EBA · 2015_2448 Archive

Requested guidance on portfolio 1.26 – pricing bond XS0516040671

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2015-10-27
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

Bond XS0516040671 in portfolio 1.26 has been completely purchased on March. How should be price this bond?

Background

The bond has been completely purchased on March and hence we do not have a price.

Answer

The Allianz Bond in portfolio 1.26 of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) has been recalled hence it shouldn’t be considered along with the related CDS. When an instrument is subject to a corporate action (i.e. calling from the issuer, default etc.) it should be excluded from the portfolio along with any related CDS or option.    DISCLAIMER:   The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.

Original source: European Banking Authority, Q&A ID 2015_2448

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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