Question ID: 2910
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: Annex II
Template: S.06.02
Status: Final
Date of submission: 29 Nov 2023
Question
We would like to clarify, which valuation method is to be reportedin case of (highly) liquid government bonds traded in OTC markets, where we use the Bloomberg BGN price. In our opinion this market can be considered as active and the correct valuation method should be therefore "Quoted Market Price". The Bloomberg Generic Price (BGN) is Bloomberg’s market consensus price for corporate and government bonds, calculated by using prices contributed to Bloomberg. It includes only quotes from market participants, no theoretical prices.
EIOPA answer
In case of (highly) liquid government bonds traded in OTC markets, where the Bloomberg Generic Price (BGN) imarket consensus price for corporate and government bond is used, the valuation method should be reported as '1- quoted market price in active markets for the same assets'.