Question ID
2016_2930
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex V, Section 2.5, Details for Portfolio 1.27
Type of submitter
Credit institution
Subject matter
Clarification on portfolio specification.
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 on the question

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

Submission date
Final 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.

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.