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).
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.