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European Insurance and Occupational Pensions Authority
 

2910

Q&A

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'.