EBA · 2016_2930 Archive

Clarification on portfolio specification.

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2016-10-06
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

For Portfolio 1.27 the maturity of the index option is given as 15-Apr-2017 (a Saturday). Index options expire on the 3rd Wednesday of the month. Should the maturity be 19-Apr-2017 ?

Background

Expiry date given is a Saturday (15-Apr-2017).

Answer

In accordance with the first sentence of Annex V, Common instructions, point (r) of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, institutions shall follow appropriate market conventions where not specified otherwise. With regard to portfolio 1.27, if – due to market conventions – an expiry date different from the one stated in Annex V for this portfolio is used, this should be stated and briefly explained in the appropriate free text box (c060) in template C 106.00 of Annex VII to the ITS on benchmarking for the 2017-benchmarking exercise.   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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.

Original source: European Banking Authority, Q&A ID 2016_2930

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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