Question
Annex V portfolio 1.28 Scheduled termination date 18 December 2021 is a non-working day (Saturday). Should the termination date be 17 December 2021?
Background on the question
To enable booking of the portfolios for the benchmarking exercise the exact termination date for portfolio 1.28 CDS is required.
Answer
As stated in the instructions on portfolio 1.28 provided in section 2.6 of Annex V to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, the applicable business day convention shall be ‘modified following’. In accordance with this, the CDS are deemed to expire on 20 December 2021 which is the first working day of the same month after the defined termination date. 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.