# Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance), Division 74

Extent: E+W+S+N.I.

Short position in spread hedged Super Senior tranche of iTraxx Europe index on-the-run series. Attachment point: 25 %; detachment point: 100 %. Notional EUR 5 million. Maturity: five years. Running spread 100 bps. The portfolio is constructed by hedging the index tranche with the iTraxx Europe index on-the-run series to achieve a zero CS01 as of booking date. No further re-hedging is required. Base currency EUR;

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/V/division/2/division/6/division/74 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-V/division-2/division-6/division-74
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.