{
  "url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-V",
  "json_url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-V.json",
  "legislation": "eur/2017/1486",
  "legislation_title": "Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2017-1486",
  "path": "annex/V",
  "kind": "annex",
  "number": "V",
  "heading": null,
  "text": "‘ANNEX V\nMARKET BENCHMARKING PORTFOLIOS\nCOMMON INSTRUCTIONS\nAn institution shall apply all of the following:\n(a) Unless explicitly specified otherwise in the portfolio description, all positions shall be booked on 13 October 2016. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculations shall be made under the assumption that the institution will not take any action to manage the portfolio during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular portfolio, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on 13 October 2016;\n(b) for the purpose of the pre-benchmarking exercise validation, the valuation of each portfolio shall be submitted to the institution's competent authority by [date of entry into force]. Initial Market Valuation (IMV) means the sum of the market value at the booking date and of the unrealised balance (i.e. profit or loss that has been made but not yet realised or that would be realised if the position would be closed out (or ‘unwound’)) between the booking date and the valuation date and time. Therefore, IMV means the mark-to-market value on the valuation date and time. The valuation shall be performed on 27 October 2016, 5.30 pm CET (4.30 pm GMT);\n(c) the risks of the positions shall be calculated without taking into account the funding costs;\n(d) to the extent possible, counterparty credit risk shall be excluded when valuing the risks of the portfolios;\n(e) the 10-day 99 % VaR shall be calculated on a daily basis. Stressed Value-at-Risk (‘sVaR’) and the Incremental Risk Charge (‘IRC’) may be calculated on a weekly basis. sVaR and IRC shall be based on end–of-day prices for each Friday in the time window of the benchmarking exercise;\n(f) for each portfolio, results in the base currency of the portfolio, as required in the tables below, shall be provided;\n(g) for transactions that include long positions in Credit Default Swaps (‘CDS’), it shall be assumed that an immediate up-front fee is paid to enter the position as per the market conventions. It shall be assumed that the maturity dates for all CDS positions in the exercise follow conventional quarterly termination dates;\n(h) additional specifications needed in order to carry out pricing calculations required for CDS positions shall be done in a way that is consistent with commonly used market standards and conventions;\n(i) the maturity date that ensures that the transaction is closest to the term-to-maturity specified shall be used;\n(j) for material details of the product specification that are not explicitly stated in this Annex, the assumptions that have been used, including day count convention, and the choice for a tradable and liquid instrument where permitted, shall be provided along with the results;\n(k) the abbreviations ATM, OTM and ITM refer to the relative position of the current or future price of a derivative's underlying asset with respect to the strike price of that derivative (‘moneyness’). ATM stands for ‘at the money’, OTM stands for ‘out of the money’, and ITM stands for ‘in the money’;\n(l) all options shall be treated as if they are traded over-the-counter (‘OTC’), unless explicitly specified otherwise in the portfolio;\n(m) the standard timing conventions for OTC options shall be followed (i.e. expiry dates are the business day following a non-trading day). The timing convention for options shall be as follows: the time to maturity for a n-month option shall be n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business day, in accordance with common market practices;\n(n) all OTC options shall be treated as follows:\nas American for single name equities and commodities;\nas European for equity indices, foreign exchange and swaptions;\n(o) for all options, the premium from the initial market value calculations shall be excluded, so that options shall be considered as ‘naked’;\n(p) regarding the Correlation Trading Portfolio (CTP), IM stands for Risk Measures resulting from Internal Model calculations for CTP in accordance with Article 377 of Regulation (EU) No 575/2013. It is indicated as All Price Risk (APR) in Annex VI to this Implementing Regulation;\n(q) for the positions denominated in a common base currency but composed of one or more instruments denominated in a different currency, the Initial Market Valuation (‘IMV’) shall be converted in the common portfolio base currency using the appropriate foreign exchange (‘FX’) spot rate at the end of the booking date (13 October 2016). The same common portfolio base currency that was used to convert the IMV shall be used for profit-and-loss results (‘P&L’) and risk and stressed measures (VaR, sVaR, IRC, APR) by using the corresponding and appropriate FX rate;\n(r) when booking all positions, institutions shall follow appropriate market conventions unless otherwise specified. In the following sections, ‘long’ means ‘buy’ and ‘short’ means ‘sell’. For CDS positions, ‘long’ means ‘buy protection’ and ‘short’ means ‘sell protection’, following standard market practice;\n(s) where an instrument is subject to a corporate action including a call from the issuer, or a default or similar actions, institutions shall exclude that instrument from the portfolio together with any related CDS or option;\n(t) ‘on-the-run’ referring to an Index series means the most liquid and tradable series of that specific index available on the market. Institutions shall communicate their choice of the Index series along with the related results in the appropriate text cell in the templates;\n(u) the Euro Interbank Offered Rate (‘EURIBOR’) is the rate calculated by the European Money Markets Institute at different maturities for Euro interbank term deposits;\n(v) the London Interbank Offered Rate (‘LIBOR’) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposits in different currencies;\nSection 1: Non-Correlation Trading Portfolios\nPortfolio numberRisk factor\nPortfolios\nCurrency\nRisk Metrics requested\nEquity Portfolios\n1\nEquity\nEquity index futures\nLong delta\nLong 30 contracts ATM*, last trading date 17 March 2017, delivery date 20 March 2017, FTSE 100 index futures (1 contract = 10 underlying)\n*\nThe futures price is based on the index level at NYSE Liffe London market close on 13 October 2016.\nGBP\nVaR and sVaR\n2\nEquity\nBullish leveraged trade\nLong gamma and long vega\nLong 100 contracts OTC Apple (AAPL US Equity) OTM* 6-month call options (1 contract = 100 shares underlying)\n*\nThe strike price is out-of-the-money by 10 % relative to the stock price at market close on 13 October 2016.\nUSD\nVaR and sVaR\n3\nEquity\nVolatility trade #1\nShort short-term vega & long long-term vega\nShort straddle 6-month ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlying)\nLong straddle 2-year ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlying)\n*\nThe strike price is based on the index level at NYSE at 4:30 pm New York on 13 October 2016.\nUSD\nVaR and sVaR\n4\nEquity\nVolatility trade #2 (smile effect)\nLong/short puts on FTSE 100\nLong 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % OTM* based on the end-of-day index value), last trading date 17 March 2017, delivery date 20 March 2017 (1 contract = 10 underlying)\nShort 40 contracts of put options on FTSE 100 index (with a strike price that is 10 % ITM* based on the end-of-day index value), last trading date 17 March 2017, delivery date 20 March 2017 (1 contract = 10 underlying)\n*\nThe strike price is based on the index level at NYSE Liffe London market close on 13 October 2016.\nGBP\nVaR and sVaR\n5\nEquity\nEquity spot and short call position (‘covered call’)\nLong 50 000 equity shares Generali SPA (G IM Equity) at the stock price at market close on 13 October 2016.\nSell 6-month Call option on Generali SPA (G IM Equity) for 50 000 equity shares with a strike price that is 10 % above the price specified previously.\nEUR\nVaR and sVaR\n6\nEquity\nCollar Strategy\nLong 10 000 equity shares Sanofi (SAN FP Equity) at the stock price at market close on 13 October 2016.\nSell 10 % OTM 6-month Call and Buy 10 % OTM 6-month Put for 10 000 equity shares Sanofi relative to the above specified price.\nEUR\nVaR and sVaR\n7\nEquity\nLong Strangle 12-month maturity\nBuy 12-month 10 % OTM Call on 10 000 equity shares Aviva Plc. (AV/LN Equity) relative to the stock price at market close on 13 October 2016.\nBuy 12-month 10 % OTM Put for 10 000 equity shares Aviva Plc. (AV/LN Equity) relative to the stock price at market close on 13 October 2016\nGBP\nVaR and sVaR\nInterest Rate\n8\nIR\nCurve flattener trade\nLong long-term and short short-term treasuries\nLong EUR 5 million 10-year German Treasury bond (ISIN: DE0001102382, expiry 15 August 2025)\nShort EUR 20 million 2-year German Treasury note (ISIN:DE0001141679, expiry 12 October 2018)\nEUR\nVaR, sVaR and IRC\n9\nIR\nInterest rate swap\nReceive fixed rate and pay floating rate\nFixed leg: receive annually\nFloating leg: 3-month Euribor rate, pay quarterly\nNotional: EUR 5 million\nRoll convention and calendar: standard\nEffective date: 13 October 2016 (i.e. rates to be used are those at the market close on 13 October 2016)\nMaturity date: 13 October 2026\nEUR\nVaR and sVaR\n10\nIR\nTwo-year swaption on ten-year interest rate swap\nSeller* of an OTC receiver swaption with maturity of two years on the interest rate swap described in row 9 but with a modified effective date and maturity date.\nEffective date: 13 October 2016\nExpiry date (of swaption): 14 October 2018\nMaturity date (of the underlying swap): 13 October 2028\nPremium paid at expiry\nCash settled\n*\nThe strike price is based on the IRS rate as per row 9 (i.e. the strike price is the fixed rate as per row 9)\n*\nThe institution is the seller of the option on the swap. The counterparty of the institution buys the right to enter a swap with the institution; if the counterparty exercises its right, it will receive the fixed rate while the institution will receive the floating rate.\nEUR\nVaR and sVaR\n11\nIR\nInterest rate swap USD\nReceive fixed rate and pay floating rate\nFixed leg: receive annually\nFloating leg: 1-year USD Libor rate, pay yearly\nNotional: USD 5 million\nRoll convention and calendar: standard\nEffective date 13 October 2016 (i.e. rates to be used are those at the market close on 13 October 2016)\nMaturity date: 13 October 2026\nUSD\nVaR and sVaR\n12\nIR\nInflation zero coupon swap\nCPTFEMU index 10Y maturity par zero coupon swap\nSee details in Section 2.1 of this Annex.\nEUR\nVaR and sVaR\nFX\n13\nFX\nCovered FX call\nShort EUR/USD and short put EUR call USD option\nShort 6-month EUR/USD forward contracts (i.e. long USD short EUR), cash-settled, with USD 20 million notional purchased at the EUR/USD ECB reference rate as of end of day 13 October 2016\nShort 6-month put EUR call USD option notional USD 40 million (i.e. short USD against EUR), cash-settled, with strike price corresponding to the six-month forward exchange rate as of end of day 13 October 2016\nEffective date: 13 October 2016\nExpiry date: 13 April 2017\nEUR\nVaR and sVaR\n14\nFX\nMark-to-market cross-currency basis swap\n2 Year 3-month USD Libor vs 3-month Euribor swap\nSee details in Section 2.2 of this Annex.\nEUR\nVaR and sVaR\n15\nFX\nKnock-out option\nVanilla option that ceases to exist if the underlying spot breaches a predetermined barrier before maturity, cash-settled.\nSee details in Section 2.3 of this Annex.\nEUR\nVaR and sVaR\n16\nFX\nDouble no touch option\nDigital option that pays a predetermined amount if the spot does not touch any of the barriers during the life of the option, cash-settled.\nSee details in Section 2.4 of this Annex.\nEUR\nVaR and sVaR\nCommodity\n17\nCommodity\nGold forwards position\nLong short-term and Short long-term contracts\nLong 3 500 000 6-month ATM OTC London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3 500 troy ounces)\nShort 4 300 000 1-year ATM OTC London Gold Forwards contracts (Notional: 4 300 troy ounces)\nUSD\nVaR and sVaR\n18\nCommodity\nShort oil put options\nShort 30 contracts of 6-month OTC WTI Crude Oil puts with strike = 12-month end-of-day forward price on 13 October 2016 (1 contract = 1 000 barrels, total notional 30 000 barrels)\nUSD\nVaR and sVaR\nCredit Spread\n19\nCredit Spread\nSovereign CDS portfolio\nShort protection via CDS on five countries\nShort EUR 2 million per single-name 5year CDS (total 10 million notional) on the following countries:\neffective date: 13 October 2016\nrestructuring clause: FULL\nCountry\ncurrency\nItaly\nUSD\nUK\nUSD\nGermany\nUSD\nFrance\nUSD\nUS\nEUR\nEUR\nVaR, sVaR and IRC\n20\nCredit Spread\nSovereign bond/CDS portfolio\nSovereign bond basis portfolio on five countries\nLong EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries: Italy, UK, Germany, France, US as in portfolio in row 19\nLong EUR 2 million per single-name 5 year bonds (total 10 million notional) on the following countries: Italy, UK, Germany, France, US (as identified in the following table)\neffective date 13 October 2016\nto convert the notional of the non-euro bonds use the FX spot as at end of day 13 October 2016\nIdentifier\nDescription\nIT0004966401\nBTP 1 May 2021\nDE0001135457\nBUND 4 September 2021\nGB00B4RMG977\nGILT 7 September 2021\nFR0010192997\nOAT 25 April 2021\nUS912828D721\nTBOND 31 August 2021\nEUR\nVaR, sVaR and IRC\n21\nCredit Spread\nSector concentration portfolio\nShort protection via CDS on 6 insurance conglomerates\nShort 1 million notional per single-name 5 year CDS (total EUR 6 million notional) on the following companies\neffective date 13 October 2016\nName\nCurrency\nDoc clause\nGenerali SpA\nEUR\nMM\nAllianz\nEUR\nMM\nAXA\nEUR\nMM\nAegon\nEUR\nMM\nAviva\nEUR\nMM\nSwiss Rinsurance\nEUR\nMM\nEUR\nVaR, sVaR and IRC\n22\nCredit Spread\nDiversified index portfolio\nShort protection via CDS index\nShort EUR 10 million notional iTraxx 5-year Europe SF index,on-the-run Series effective date 13 October 2016\nEUR\nVaR, sVaR and IRC\n23\nCredit Spread\nDiversified index portfolio (higher concentration)\nShort protection via CDS index\nShort EUR 5 million notional* iTraxx 5-year Europe SF index,on-the-run Series,\nShort EUR 5 million notional (equally weighted) on the following five financials belonging to the iTraxx 5-year Europe SF index,on the run Series,\nCDS name\nCurrency\nDoc clause\nAllianz SE CDS EUR SR 5Y\nEUR\nMM\nAXA CDS EUR SR 5Y\nEUR\nMM\nGenerali Assicurazioni CDS EUR SR 5Y\nEUR\nMM\nAEGON N.V. CDS EUR SR 5Y\nEUR\nMM\nAviva Plc CDS EUR SR 5Y\nEUR\nMM\nEffective date: 13 October 2016\n*\nEach single name CDS shall have a notional of EUR 1 million.\nEUR\nVaR, sVaR and IRC\n24\nCredit Spread\nDiversified corporate portfolio\nShort protection via CDS on 10 European corporates\nShort EUR 1 million notional per single-name 5 year CDS (total EUR 10 million notional) on the following 10 companies (for USD CDS use the exchange rate at 13 October 2016):\nName\nCurrency\nTotal SA\nEUR\nTelefonica SA\nEUR\nSiemens\nEUR\nRoyal Dutch Shell\nEUR\nUnilever\nEUR\nAirbus Group\nEUR\nBayer AG\nEUR\nVodafone\nEUR\nEnel SpA\nEUR\nRoche\nEUR\nEUR\nVaR, sVaR and IRC\n25\nCredit Spread\nIndex basis\nShort EUR 5 million notional iTraxx 5-year Europe SF index,on the run Series,\nEffective date: 13 October 2016\nLong EUR 5 million notional on all constituents of iTraxx 5-year Europe SF index,on–the-run Series (i.e. the aggregate notional is EUR 5 million and all names are equally weighted)\nEffective date: 13 October 2016\nEUR\nVaR, sVaR and IRC\n26\nCredit Spread\nCDS bond basis\nLong bonds EUR 2 million per single-name 5 year bonds on 3 EU Corporates.\nISIN\nSecurity name\nXS0647298883\nENEL SPA 7 December 2021\nBBG0000DZMN8\nVODAFONE GROUP PLC 20 January 2022\nFR0011380476\nAXA SA\n15 March 2021\nLong protection via CDS on the same names (EUR 2 million per single-name 5 year).\nName\nCurrency\nDoc clause\nEnel SpA\nEUR\nMM\nVodafone Group PLC\nEUR\nMM\nAXA\nEUR\nMM\nEUR\nVaR, sVaR and IRC\n27\nCredit Spread\nShort index put on ITraxx Europe Crossover on-the-run\nSee details in Section 2.5 of this Annex.\nEUR\nVaR, sVaR and IRC\n28\nCredit Spread\nQuanto CDS on Spain with delta hedge\nSee details in Section 2.6 of this Annex.\nEUR\nVaR, sVaR and IRC\nAll-in portfolios\n29\nAll-in portfolio (1)\nA portfolio made of the portfolios in rows 1 to 28\nEUR\nVaR, sVaR and IRC\n30\nAll-in Equity portfolio (2)\nA portfolio made of the equity portfolios in rows 1 to 7\nEUR\nVaR and sVaR\n31\nAll-in IR portfolio (3)\nA portfolio made of the interest rate portfolios in rows 8 to 12\nEUR\nVaR and sVaR\n32\nAll-in FX portfolio (4)\nA portfolio made of the FX portfolios in rows 13 to 16\nEUR\nVaR and sVaR\n33\nAll-in Commodity portfolio (5)\nA portfolio made of the commodity portfolios in rows 17 and 18\nEUR\nVaR and sVaR\n34\nAll-in Credit Spread portfolio (6)\nA portfolio made of the credit spread portfolios in rows 19 to 28\nEUR\nVaR, sVaR and IRC\nSection 2: Details for portfolios\n2.1.\nDetails for portfolio n. 12: CPTFEMU index 10Y maturity zero coupon swap\nContract date 13 October 2016\nPayer of fixed Participating institution\nPayer of HICP XT Float Counterparty\nNotional amount EUR 10 000 000,0\nStart date 13 October 2016\nMaturity date 13 October 2026\nFixed rate details\nFixed rate 2,000 per cent\nPayment day convention Modified Following\nPayment days Target\nFixed payment dates 13 October 2026\nHICP XT Float rate details\nFloat rate Target\nFrequency At maturity in arrears\nIndex name Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA\nPayment days 13 October 2026\nHICP XT Fixed rate calculation method\nNotional amount * [(1 + Fixed rate)n – 1]\nHICP XT Floating rate calculation method\nNotional amount * [(Index(end)/Index(start)) – 1]\nIndex (end) = HICP XT October 2026 Index unrevised\nIndex (start) = HICP XT October 2016 Index unrevised\nThere is no floor.\n2.2\nDetails for portfolio n. 14: Mark-to-market (resettable) cross-currency basis swap\nTrade date 13 October 2016\nMaturity date 15 October 2018\nBusiness day convention Modified Following\nReset dates Each quarter starting from 13 October 2016\nPayment dates Quarterly\nNotional EUR (constant currency amount) EUR 20 000 000\nNotional USD (variable currency amount) An amount corresponding to EUR 20 000 000 according to the EUR/USD spot exchange rate at the beginning of each interest period\nMark-to-market amount The difference between the variable currency amount of the current interest period and the variable currency amount of the previous interest period.\nInterest period From the previous payment date (inclusive) to the next payment date (exclusive)\nParty A (variable currency payer) Counterparty\nParty B (constant currency payer) Participating institution\nParty A pays USD 3M Libor on the variable currency amount (USD)\nUSD 3M Libor: 3-month Libor flat as quoted on Reuters page Libor01, 11:00 am London time, fixed 2 business days prior to the first day of each interest period\nParty B pays EUR 3M Euribor minus 20 basis points on the constant currency amount (EUR)\nEUR 3M Euribor: 3-month Euribor as quoted on Reuters page Euribor01, 11:00 am London time, fixed 2 business days prior to the first day of each interest period\nAt each reset date party A will pay to party B the mark-to-market amount, if negative.\nAt each reset date party A will receive from party B the mark-to-market amount, if positive.\nInitial exchange\nInitial exchange date Trade date\nEUR initial exchange amount EUR 20 000 000\nUSD initial exchange amount USD equivalent to EUR 20 000 000\nFinal exchange\nFinal exchange date Maturity date\nEUR final exchange amount EUR 20 000 000,0\nUSD final exchange amount The variable currency amount determined for the final calculation period\n2.3\nDetails for portfolio n. 15: Knock-out currency option\nTrade date 13 October 2016\nBuyer Participating institution (Party B)\nSeller Client (Party A)\nCurrency option style European\nCurrency option type EUR Call USD Put\nCall currency & call currency amount EUR 15 000 000,0\nPut currency & put currency amount Equivalent amount of EUR 15 000 000,0 based on EUR/USD exchange rate on 13 October 2016, New York closing time\nStrike price EUR/USD exchange rate on 13 October 2016, New York closing time\nExpiration date 13 October 2017\nExpiration time 10:00 a.m. New York time\nAutomatic exercise Applicable\nSettlement Non-Deliverable\nSettlement date 20 October 2017\nBarrier event Applicable\nEvent type Knock-out\nSpot exchange rate direction Greater than or equal to the barrier level\nInitial spot price value of EUR/USD on 13 October 2015\nBarrier level 120 % of the initial spot price (USD/EUR)\nEvent period start date and time Trade date at the time of execution hereof\nEvent period end date and time Expiration date at the Expiration Time\n2.4\nDetails for portfolio n. 16: Double no touch binary currency option\nTrade Date 13 October 2016\nBuyer Participating institution (Party B)\nSeller Client [Party A]\nCurrency option style Binary\nExpiration date 13 October 2017\nExpiration time 10:00 AM New York time\nAutomatic exercise Applicable\nSettlement Non-deliverable\nSettlement amount EUR 1 000 000,0\nSettlement date 20 October 2017\nBarrier event Applicable\nEvent type Double No-Touch Binary\nInitial spot price Level of USD/EUR on 13 October 2016\nUpper barrier level 120 % of the initial spot price (USD/EUR)\nLower barrier level 80 % of the initial spot price (USD/EUR)\nEvent period start date and time Trade date at the time of execution hereof\nEvent period end date and time Expiration date at the expiration time\nBusiness day convention Following\n2.5\nDetails for portfolio n. 27: Index put on ITraxx Europe Crossover\nBuyer Counterparty\nSeller Participating institution\nOption type Put (i.e. right to sell an index for which we receive the fixed coupon leg)\nTrade date 13 October 2016\nMaturity 15 April 2017\nReference ITRAXX-Xover ‘on-the-run’\nUnderlying end Related reference maturity\nOption style European\nOption strike 500.00 bp\nNotional EUR 10 000 000,0\n2.6\nDetails for portfolio n. 28: Quanto Euro CDS on Spain with USD delta hedge\nQuanto CDS General Terms:\nTrade date 13 October 2016\nEffective date 13 October 2016\nScheduled termination date 18 December 2021\nProtection seller Counterparty\nProtection buyer Participating institution\nBusiness day London\nBusiness day convention Modified Following\nReference entity Kingdom of Spain\nNotional EUR 10 000 000,0\nCoupon payment dates 18 March, 18 June, 18 September and 18 December of each year\nCoupon spread 1,00 %\nFixed rate day count fraction Actual/365 (Fixed)\nFloating payment:\nFloating rate payer calculation amount EUR 10 000 000,0\nConditions to settlement Credit Event Notice\nNotice of publicly available information applicable\nCredit events The following credit events shall apply to this transaction:\nBankruptcy\nDebt restructuring (CR)\nFailure to pay\nSettlement currency EUR\nDelta Hedge CDS General Terms:\nTrade date 13 October 2016\nEffective date 13 October 2016\nScheduled termination date 18 December 2021\nProtection seller Participating institution\nProtection buyer Counterparty\nBusiness day London\nBusiness day convention Modified Following\nReference entity Kingdom of Spain\nNotional USD 11 000 000,0\nCoupon payment dates 18 March, 18 June, 18 September and 18 December of each year\nCoupon spread 1,00 %\nFixed rate day count fraction Actual/365 (Fixed)\nFloating payment:\nFloating rate payer calculation amount USD 11 000 000,0\nConditions to settlement Credit Event Notice\nNotice of publicly available information applicable\nSettlement currency USD\nSection 3: Correlation Trading Portfolios (CTPS)\nPortfolio numberRisk factor\nPortfolios\nCurrency\nRisk Metrics requested\n35\nCTP\nLong position in spread hedged equity tranche of iTraxx Europe index on-the-run Series (attachment point: 0 %, detachment point: 3 %)\nEUR\nVaR, sVaR and IM for CTP\n36\nCTP\nLong position in spread hedged mezzanine tranche of iTraxx Europe index on-the-run Series (attachment point: 7 %, detachment point: 10 %)\nEUR\nVaR, sVaR and IM for CTP\n37\nCTP\nShort position in spread hedged super senior tranche of iTraxx Europe index on-the-run Series (attachment point: 30 %, detachment point: 100 %)\nEUR\nVaR, sVaR and IM for CTP\nThe correlation trading portfolios contain positions in tranches of the iTraxx Europe index (on-the-run Series) defined in the table above.\nNotional is EUR 10 million for each tranche.\nThe contractual maturity is 5 years. Valuation as of 5:00 pm New York time on each date of valuation.\nThe running spread that shall be used is 500 bps for the tranches in portfolio 1 and 2, and 100 bps for portfolio 3.\nThe portfolios are constructed by hedging each index tranche with the iTraxx Europe index (on the run Series) to achieve zero CS01 as of initial valuation date (‘spread hedged’). No further re-hedging is required.’",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2017/1486/annex/V",
    "retrieved_at": "2026-11-01T14:44:41.414803+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}