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