EIOPA · 2910
Reporting Templates
- Regulation
- (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
- Article
- Annex II
- Topic
- Reporting Templates
- Submitted
- 2023-11-29
- Answered
- 2024-02-28
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.
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'.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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