Working Days, Public Holidays, and Calendar Best Practice

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Status: Best Practice Finalised, Last Updated: 26/04/2021

Question:
What is the best practice for reporting on working days and public holidays?

Best Practice:
ESMA clarified their position on working days and holidays in their Q&A on SFTR Reporting 5th November 2020.

1) Where "T" = "Today" and not "Trade Date", reportable events should be reported no later than close of business local time on T+1 for the entity with the reporting obligation, excluding weekends and public holidays. To determine whether a day is a working day or a holiday, participants should refer to the local calendar of the member state they are operating from.

Therefore, if trading on a Friday and there is a UK public holiday on the Monday, report no later than Tuesday where the participant is UK domiciled. If the other counterparty is not UK domiciled and has no public holiday constraints, they should report no later than Monday.

If an SFT is traded on a public holiday and there is other relevant trade activity then report on a normal T+1 basis, as the TR would expect to report COLU and VALU reports as per standard reporting deadlines whether public holidays or not.

2) If internal systems do not allow reporting to be determined by a holiday calendar, then report on standard weekdays (i.e. report on bank holiday Monday if required).

3) Regarding Middle East and Far East weekend markets; if a trade is concluded on a Friday or Sunday for an eligible client, then report as per the calendar if the EU member state being transacted with (i.e. on the next EU working day). (SFTR-187)