Question
We will use 16 October 2018 as start date for the swap and thus 14 October 2018 as maturity of the option. Please confirm that these dates are appropriate.
Background on the question
In the definition for Portfolio 10 the option expiry date is 14 October 2018 and the maturity date of the swap is 13 October 2028. As current Market Conventions expects a two day settlement for the Swaption and 14 October 2018 is a non-trading date, we will use 16 October 2018 as start date for the swap.
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 1.10 of Annex V, if the expiry dates respectively maturity dates have to be changed slightly due to market settlement procedures and / or non-working days, 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.