Version date: 29 May 2018 - onwards
TR Question 12: Field "Maturity" [last update 29 May 2018]
Maturity
a) Does a counterparty need to report as a termination the fact that a contract has matured on the agreed day or could it assume that was implied by the initial report (which would include the maturity) and that termination would only need to be reported if the contract was terminated before maturity?
b) The RTS on the minimum details of the data to be reported to trade repositories indicates in Field 27 of Table 2 that the Maturity date field should reflect the "original date of expiry of the reported contract. An early termination shall not be reported in this field". However, in certain instances the maturity date of a derivative is subject to modifications which are already foreseen in the original contract specifications (e.g. calendar trades in commodities derivatives). Therefore, the current maturity date might be substantially different from the original maturity date as its value will reflect the updated maturity date that has been agreed in the original contract specifications. Is the maturity date field intended to reflect the updated maturity date?
c) In the case where the Maturity date falls on a weekend or a bank holiday, should counterparties report the original Maturity date or the adjusted one?
TR Answer 12