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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

ANNEX V MARKET BENCHMARKING PORTFOLIOS

COMMON INSTRUCTIONS

An institution shall apply the following:

  1. (a)

    Unless explicitly specified otherwise in the portfolio description, all positions shall be booked 15 October 2015. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculations shall be done under the assumption that the institution does not take any action to manage the portfolio in any way 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 15 October 2015.

  2. (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 30 June 2016. The exact timing of the valuation shall be 26 October 2015, 5.30 pm CET.

  3. (c)

    The risks of the positions shall be calculated without taking into account the funding costs associated with the portfolios

  4. (d)

    To the extent possible, counterparty credit risk shall be excluded when valuing the risks of the portfolios.

  5. (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.

  6. (f)

    For each portfolio, results shall be reported in the base currency of the portfolio as provided in the sections below.

  7. (g)

    For transactions that include long positions in Credit Default Swaps ("CDS"), assume an immediate up-front fee is paid to enter the position as per the market conventions.

  8. (h)

    It shall be assumed that the maturity date for all CDS in the benchmarking exercise follows conventional quarterly termination dates, often referred to as "IMM dates".

  9. (i)

    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.

  10. (j)

    The maturity date (for example, some options expire on the third Saturday of the month) that ensures that the transaction is closest to the term-to-maturity specified shall be used. For material details of the product specification that are not explicitly stated in this document, the assumptions that have been used (day count convention, etc.) shall be provided along with the results.

  11. (k)

    The abbreviations ATM, OTM and ITM refer to a derivative's moneyness (i.e. the relative position of the price of an underlying with respect to the strike price of that derivative). ATM stands for "at the money", OTM stands for "out of the money", and ITM stands for "in the money".

  12. (l)

    All options shall be treated as if they are traded over-the-counter ("OTC") unless explicitly specified otherwise in the portfolio.

  13. (m)

    The standard timing conventions for OTC options shall be followed (i.e. expiry dates are the business day following a non-trading day). For example, a 3-month OTC option booked on 15 October 2015 expires on 15 January 2016. If options expire on a non-trading day, adjust the expiration date per business day, in accordance with common market practices.

  14. (n)

    All OTC options shall be treated as:

    • American for single name equities and commodities; and
    • European for equity indices, foreign exchange and swaptions.

  15. (o)

    For all options the premium from the initial market value calculations shall be excluded (i.e. options shall be considered as "naked").

  16. (p)

    For the positions denominated in Euro but composed by one or more instruments denominated in a different currency, the Initial Market Valuation ("IMV"), VaR, sVaR and IRC shall be converted in Euro using the appropriate foreign exchange ("FX") spot rate at the end of the booking date (15 October 2015).

  17. (q)

    When booking all positions, appropriate market convention shall be followed unless otherwise specified in the instructions applicable to the portfolio.

  18. (r)

    When an instrument is subject to a corporate action (a call from the issuer, a default etc.) it shall be excluded from the portfolio along with any related CDS or option.

  19. (s)

    The Euro Interbank Offered Rate ("Euribor") is the rate calculated by the European Money Markets Institute at different maturities for Euro interbank term deposits.

  20. (t)

    The London Interbank Offered Rate ("Libor") is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposits in different currencies.

Section 1: Non-Correlation Trading Portfolios

Portfolio number

Risk factor

Portfolios

Currency

Risk Metrics requested

Equity Portfolios

1.1

Equity

Equity index futures

Long delta

  • Long 30 contracts ATM*, last trading date 18 March 2016, delivery date 21 March 2016, FTSE 100 index futures (1 contract = 10 underlyings)

GBP

VaR and sVaR

1.2

Equity

Bullish leveraged trade

Long gamma and long vega

  • Long 100 contracts OTC Google (GOOG) OTM* 3-month call options (1 contract = 100 shares underlying)

USD

VaR and sVaR

1.3

Equity

Volatility trade #1

Short short-term vega & long long-term vega

  • Short straddle 3-month ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
  • Long straddle 2-year ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
  • Effective date: 15 October 2015.

USD

VaR and sVaR

1.4

Equity

Volatility trade #2 (smile effect)

Long/short puts on FTSE 100

  • Long 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 18 March 2016, delivery date 21 March 2016 (1 contract = 10 underlyings)
  • Short 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 18 March 2016, delivery date 21 March 2016 (1 contract = 10 underlyings)

GBP

VaR and sVaR

1.5

Equity

Equity variance swaps on Eurostoxx 50 (SX5E)

  • Long ATM* variance swap on Eurostoxx 50 with a maturity of 2 years, Vega notional amount of EUR 50,000. The payoff is based on the following realized variance formula:
  • where n is the number of working days until maturity, and Si and Si + 1 are the price of the underlying at date i and i + 1 respectively.

EUR

VaR and sVaR

1.6

Equity

Barrier option

  • Long 40 contracts of 3-month ATM* S&P 500 down-and-in put options with a barrier level that is 10 % OTM* and continuous monitoring frequency (1 contract = 100 underlyings)

USD

VaR and sVaR

1.7

Equity

Quanto index call

  • 3-year USD Quanto call on Eurostoxx 50

See details in Section 2.1 of this Annex.

USD

VaR and sVaR

Interest Rate

1.8

IR

Curve flattener trade

Long long-term and short short-term treasuries

  • Long EUR 5 million 10-year German Treasury bond (ISIN: DE0001102366, expiry 15 August 2024)
  • Short EUR 20 million 2-year German Treasury note (ISIN:DE0001135341, expiry 4 January 2018)

EUR

VaR, sVaR and IRC

1.9

IR

Ten-year fixed for variable interest rate swap

Bloomberg code eusw10v3 curncy

  • Receive fixed rate and pay floating rate
  • Fixed leg: receive annually
  • Floating leg: 3-month Euribor rate, pay quarterly
  • Notional: EUR 5 million
  • Roll convention and calendar: standard
  • Effective date: 15 October 2015 (i.e. rates to be used are those at the market close on 15 October 2015)
  • Maturity date: 15 October 2025

EUR

VaR and sVaR

1.10

IR

Two-year swaption on ten-year interest rate swap

Bloomberg code eusv0210 curncy

  • Seller* of an OTC receiver swaption with maturity of two years on the interest rate swap described in row 1.9 but with a modified effective date of 16 October 2017 and a modified maturity date of 15  ctober 2027.
  • Effective date of swaption: 15 October 2015
  • Expiry date of swaption: 16 October 2017
  • Premium paid at expiry
  • Cash settled

EUR

VaR and sVaR

1.11

IR

Libor range accrual

Structured coupon indexed on the number of days in the interest rate period when the Libor fixes in a predetermined range.

See details in Section 2.2 of this Annex.

USD

VaR and sVaR

1.12

IR

Inflation zero coupon swap

CPTFEMU index 10Y maturity par zero coupon swap

See details in Section 2.3 of this Annex.

EUR

VaR and sVaR

FX

1.13

FX

Covered FX call

Short EUR/USD and short put EUR call USD option

  • Short 3-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 15 October 2015
  • Short 3-month put EUR call USD option notional USD 40 million (i.e. short USD against EUR), cash-settled, with strike price corresponding to the three-month forward exchange rate as of end of day 15 October 2015
  • Effective date: 15 October 2015
  • Expiry date: 15 January 2016

EUR

VaR and sVaR

1.14

FX

Mark-to-market cross-currency basis swap

2 Year 3-month USD Libor vs 3-month Euribor swap

See details in Section 2.8 of this Annex.

EUR

VaR and sVaR

1.15

FX

Knock-out option

Vanilla option that ceases to exist if the spot price of the underlying breaches a predetermined barrier before maturity, cash-settled.

See details in Section 2.4 of this Annex.

EUR

VaR and sVaR

1.16

FX

Double no touch option

Digital option that pays a predetermined amount if the spot does not touch any of the barriers during the life of the option, cash-settled.

See details in Section 2.5 of this Annex.

EUR

VaR and sVaR

Commodity

1.17

Commodity

Curve play from contango to backwardation

Long short-term and Short long-term contracts

  • Long 3500000 3-month ATM OTC London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3500 troy ounces)
  • Short 4300000 1-year ATM OTC London Gold Forwards contracts (notional: 4300 troy ounces)

USD

VaR and sVaR

1.18

Commodity

Short oil put options

  • Short 30 contracts of 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015 (1 contract = 1000 barrels, total notional 30000 barrels)

USD

VaR and sVaR

Credit Spread

1.19

Credit Spread

Sovereign CDS portfolio

Short protection via CDS on five countries

  • Short EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries:
  • Effective date: 15 October 2015
  • Restructuring clause: FULL

EUR

VaR, sVaR and IRC

1.20

Credit Spread

Sovereign bond/CDS portfolio

Sovereign bond basis portfolio on five countries

  • Long 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 1.19
  • Long 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)
  • Effective date: 15 October 2015
  • To convert the notional of the non-euro bonds use the FX spot as at end of day 15 October 2015

EUR

VaR, sVaR and IRC

1.21

Credit Spread

Sector concentration portfolio

Short protection via CDS on 10 financials

  • Equivalent of short 1 million notional per single-name 5 year CDS (total EUR 10 million notional) on the following 10 companies
  • Effective date: 15 October 2015

EUR

VaR, sVaR and IRC

1.22

Credit Spread

Diversified index portfolio

Short protection via CDS index

  • Short EUR 10 million notional iTraxx 5-year Europe SF index Series 24, Version 1 — maturity 20 December 2020 (RED Pair Code: 2I667DAX2)
  • Effective date: 15 October 2015

EUR

VaR, sVaR and IRC

1.23

Credit Spread

Diversified index portfolio (higher concentration)

Short protection via CDS index

  • Short EUR 5 million notional* iTraxx 5-year Europe index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX)
  • Short EUR 5 million notional (equally weighted) on the following five financials belonging to the iTraxx 5-year Europe SF index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX):
  • CDS name

    RED Code

    Currency

    Doc clause

    ING BK CDS EUR SR 5Y

    48DGFEAH6

    EUR

    MM

    CMZB CDS EUR SR 5Y

    2C27EGAG9

    EUR

    MM

    AXA SA CDS EUR SR 5Y

    FF667MAD8

    EUR

    MM

    AEGON CDS EUR SR 5Y

    007GB6AD4

    EUR

    MM

    SANTAN CDS EUR SR 5Y

    EFAGG9AF6

    EUR

    MM

  • Effective date: 15 October 2015

EUR

VaR, sVaR and IRC

1.24

Credit Spread

Diversified corporate portfolio

Short protection via CDS on 10 A- to AA- corporate

  • Short equivalent of EUR 2 million notional per single-name 5 year CDS (total EUR 20 million notional) on the following 10 companies (for USD CDS use the exchange rate at 15 October 2015):
  • Name

    RED Code

    Currency

    Doc clause

    P&G

    7B6989

    USD

    MR

    Home Depot

    47A77D

    USD

    MR

    Siemens

    8A87AG

    EUR

    MM

    Royal Dutch Shell

    GNDF9A

    EUR

    MM

    IBM

    49EB20

    USD

    MR

    Met Life

    5EA6BX

    USD

    MR

    Southern Co

    8C67DF

    USD

    MR

    Vodafone

    9BADC3

    EUR

    MM

    BHP

    08GE66

    USD

    MR

    Roche

    7E82AF

    EUR

    MM

EUR

VaR, sVaR and IRC

1.25

Credit Spread

Index basis

  • Short EUR 5 million notional iTraxx 5-year Europe SF index Series 24, Version 1 — Maturity 20 December 2020 (RED Pair Code: 2I667DAX)
  • Effective date: 15 October 2015
  • Long EUR 5 million notional on all constituents of iTraxx 5-year Europe SF index Series 24, Version 1 — maturity 20 December 2020 (RED Pair Code: 2I667DAX) (i.e. the aggregate notional is EUR 5 million and all names are equally weighted)
  • Effective date: 15 October 2015

EUR

VaR, sVaR and IRC

1.26

Credit Spread

CDS bond basis

  • Long bonds EUR 2 million per single-name 5 year bonds on 4 Financials (2 EU, 2 North America).
  • ISIN

    Security name

    XS1110874820

    MET LIFE GLOB FUNDING I

    17 September 2021

    US74432QBP90

    PRUDENTIAL FINANCIAL INC

    15 November 2020

    XS0122028904

    AXA SA

    15 December 2020

    DE000A1HBYR3

    ING BANK NV

    11 May 2020

  • Long protection via CDS on the same names (EUR 2 million per single-name 5 year).
  • Name

    RED Code

    Currency

    Doc clause

    Met Life

    5EA6BX

    USD

    MR

    Prudential

    7B8752

    USD

    MR

    AXA

    FF667M

    EUR

    MM

    ING

    49BEBA

    EUR

    MM

EUR

VaR, sVaR and IRC

1.27

Credit Spread

Short index put on ITraxx Europe Crossover series 24

See details in Section 2.6 of this Annex.

EUR

VaR, sVaR and IRC

1.28

Credit Spread

Quanto CDS on Spain with delta hedge

See details in Section 2.7 of this Annex.

EUR

VaR, sVaR and IRC

All-in portfolios

1.29

All-in portfolio (1)

A portfolio made of the portfolios in rows 1.1, 1.2, 1.4, 1.8, 1.9, 1.13, 1.17, 1.18, 1.19, 1.20, 1.21, 1.24, and 1.26

EUR

VaR, sVaR and IRC

1.30

All-in portfolio (2)

A portfolio made of the portfolios in rows 1.1 to 1.28

EUR

VaR, sVaR and IRC

1.31

All-in portfolio (3)

A portfolio made of the equity portfolios in rows 1.1 to 1.7

EUR

VaR and sVaR

1.32

All-in portfolio (4)

A portfolio made of the interest rate portfolios in rows 1.8 to 1.12

EUR

VaR and sVaR

1.33

All-in portfolio (5)

A portfolio made of the FX portfolios in rows 1.13 to 1.16

EUR

VaR and sVaR

1.34

All-in portfolio (6)

A portfolio made of the commodity portfolios in rows 1.17 and 1.18

EUR

VaR and sVaR

1.35

All-in portfolio (7)

A portfolio made of the redit spread portfolios in rows 1.19 to 1.28

EUR

VaR, sVaR and IRC

Section 2: Details for portfolios

2.1.

Details for portfolio 1.7: 3-year USD quanto call on EUROSTOXX 50

  • Party A: Counterparty

  • Party B: Participating institution

  • Equity Notional Amount (ENA): USD 5000000

  • Trade date: 15 October 2015

  • Strike date: 15 October 2015

  • Effective date: 15 October 2015

  • Valuation date: 16 October 2018

  • Termination date: 16 October 2018

  • Underlying index: EURO STOXX 50 (Bloomberg: SX5E Index)

  • Floating rate payer: Counterparty

  • Notional amount: USD 5000000

  • Floating rate: 3-month USD Libor

  • Spread: + 300 bps

  • Floating rate day count fraction: Actual/360

  • n/floating amount payment dates:

    1/15 January 2016

    2/15 April 2016

    3/15 July 2016

    4/17 October 2016

    5/16 January 2017

    6/17 April 2017

    7/17 July 2017

    8/16 October 2017

    9/15 January 2018

    10/16 April 2018

    11/16 July 2018

    12/16 October 2018

  • Equity amount payer: Party B

  • Equity amount:

    On the termination date, Party B will pay Party A the following cash settlement amount:

    Where

  • Indexinitial is the official closing level of the underlying index on the strike date

  • Indexfinal is the official closing level of the underlying index on the valuation date

  • Settlement terms:

  • Settlement currency: USD Quanto

  • Business days: New York

  • 2.2.

    Details for portfolio 1.11: USD 3M Libor range accrual

  • Party A: Participating institution

  • Party B: Counterparty

  • Notional amount: USD 10000000,0

  • Trade date: 15 October 2015

  • Effective date: 15 October 2015

  • Termination date: 15 October 2025

  • Party A pays: 4 % * n/N

  • n: Number of days when the range accrual index fixes between the lower barrier and the upper barrier (inclusive) during the relevant interest period

  • N: Number of days in the relevant interest period

  • Range accrual index: 3-month USD Libor

  • Lower barrier: 2,50 %

  • Upper barrier: 4,00 %

  • Day count fraction: Actual/360

  • Payment dates: Quarterly

  • Business day convention: Modified Following

  • Business days for fixing: London and New York

  • Business days for payment: London and New York

  • Party B pays: USD 3M Libor

  • Day count fraction: Actual/360

  • Payment dates: Quarterly

  • Business day convention: Modified Following

  • Business days for fixing: London and New York

  • Business days for payment: London and New York

  • Interest period: From the previous payment date (inclusive) to the next payment date (exclusive)

  • 2.3.

    Details for portfolio 1.12: CPTFEMU index 10Y maturity par zero coupon swap

  • Contract date: 15 October 2015

  • Payer of fixed: Participating institution

  • Payer of HICP XT Float: Counterparty

  • Notional amount: EUR 10000000,00

  • Start date: 15 October 2015

  • Maturity date: 15 October 2025

  • Fixed rate details

  • Fixed rate 2,000 per cent

  • Payment day convention Modified Following

  • Payment days Target

  • Fixed payment dates 15 October 2025

  • HICP XT Float rate details

  • Float rate Target

  • Frequency At maturity in arrears

  • Index name Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA

  • Payment days 15 October 2025

  • HICP XT Fixed rate calculation method

    Notional amount * [(1 + Fixed rate)n – 1]

    HICP XT Floating rate calculation method

    Notional amount * [(Indexend/Indexstart) – 1]

  • Indexend= HICP XT October 2025 Index unrevised

  • Indexstart= HICP XT October 2015 Index unrevised

  • There is no floor.

    2.4.

    Details for portfolio 1.15: Knock-out currency option

  • Trade date: 15 October 2015

  • Buyer: Participating institution (Party B)

  • Seller: Client (Party A)

  • Currency option style: European

  • Currency option type: EUR Call USD Put

  • Call currency and call currency amount: EUR 15000000,00

  • Put currency and put currency amount: Equivalent amount of EUR 15000000,00 based on EUR/USD exchange rate on 15 October 2015, New York closing time

  • Strike price: EUR/USD exchange rate on 15 October 2015, New York closing time

  • Expiration date: 21 October 2016

  • Expiration time: 10:00 am New York time

  • Automatic exercise: Applicable

  • Settlement: Deliverable

  • Settlement date: 21 October 2016

  • Barrier event: Applicable

  • Event type: Knock-out

  • Spot exchange rate direction: Greater than or equal to the barrier level

  • Initial spot price: value of EUR/USD on 15 October 2015

  • Barrier level: 1,5000 USD/EUR

  • Event period start date and time: Trade date at the time of execution hereof

  • Event period end date and time: Expiration date at the Expiration Time

  • 2.5.

    Details for portfolio 1.16: Double no touch binary currency option

  • Trade Date: 15 October 2015

  • Buyer: Participating institution (Party B)

  • Seller: Client [Party A]

  • Currency option style: Binary

  • Expiration date: 15 October 2016

  • Expiration time: 10:00 am New York time

  • Automatic exercise: Applicable

  • Settlement: Non-deliverable

  • Settlement amount: EUR 1000000,00

  • Settlement date: 21 October 2016

  • Barrier event: Applicable

  • Event type: Double No-Touch Binary

  • Initial spot price: Level of USD/EUR on 15 October 2015

  • Upper barrier level: 1,5000 USD/EUR

  • Lower barrier level: 1,2000 USD/EUR

  • Event period start date and time: Trade date at the time of execution hereof

  • Event period end date and time: Expiration date at the expiration time

  • Business day convention: Following

  • 2.6.

    Details for portfolio 1.27: Index put on ITraxx Europe Crossover series 24

  • Buyer: Counterparty

  • Seller: Participating institution

  • Option type: Put (i.e. right to sell an index for which we receive the fixed coupon leg)

  • Trade date: 15 October 2015

  • Maturity: 15 April 2016

  • Ticker: ITRAXX-Xover24

  • Underlying end: 20 December 2020

  • Option style: European

  • Option strike: 500,00 bp

  • Notional: EUR 10000000,00

  • 2.7.

    Details for portfolio 1.28: Quanto Euro CDS on Spain with USD delta hedge

    Quanto CDS General Terms

  • Trade date: 15 October 2015

  • Effective date: 15 October 2015

  • Scheduled termination date: 20 December 2019

  • Protection seller: Counterparty

  • Protection buye: Participating institution

  • Business day: London

  • Business day convention: Modified Following

  • Reference entity: Kingdom of Spain

  • Notional: EUR 10000000,00

  • Red Code: 8CA965

  • Coupon payment dates: 20 March, 20 June, 20 September and 20 December of each year

  • Coupon spread: 1,00 %

  • Fixed rate day count fraction: Actual/365 (Fixed)

  • Floating payment

  • Floating rate payer calculation amount: EUR 10000000,00

  • Conditions to settlement:

    Credit Event Notice

    Notice of publicly available information applicable

  • Credit events:

    The following credit events shall apply to this transaction:

  • Bankruptcy

  • Debt restructuring (CR)

  • Failure to pay

  • Settlement currency: EUR

  • Delta Hedge CDS General Terms

  • Trade date: 15 October 2015

  • Effective date: 15 October 2015

  • Scheduled termination date: 20 December 2019

  • Protection seller: Participating institution

  • Protection buyer: Counterparty

  • Business day: London

  • Business day convention: Modified Following

  • Reference entity: Kingdom of Spain

  • Notional: USD 10300000,00

  • Red Code: 8CA965

  • Coupon payment dates: 20 March, 20 June, 20 September and 20 December of each year

  • Coupon spread: 1,00 %

  • Fixed rate day count fraction: Actual/365 (Fixed)

  • Floating payment

  • Floating rate payer calculation amount: USD 10300000,00

  • Conditions to settlement:

    Credit Event Notice

    Notice of publicly available information applicable

  • Settlement currency: USD

  • 2.8.

    Details for portfolio 1.14: Mark-to-market (resettable) cross-currency basis swap

  • Trade date: 15 October 2015

  • Maturity date: 16 October 2017

  • Business day convention: Modified Following

  • Reset dates: Each quarter starting from 15 October 2015

  • Payment dates: Quarterly

  • Notional EUR (constant currency amount): EUR 20000000

  • Notional USD (variable currency amount): An amount corresponding to EUR 20000000 according to the EUR/USD spot exchange rate at the beginning of each interest period

  • Mark-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.

  • Interest period: From the previous payment date (inclusive) to the next payment date (exclusive)

  • Party A (variable currency payer): Counterparty

  • Party B (constant currency payer): Participating institution

  • Party A pays: 3-month Libor on the variable currency amount (USD)

  • Party B pays:

    3-month Euribor minus 20 basis points on the constant currency amount (EUR)

    At each reset date party A will pay to party B the mark-to-market amount, if negative.

    At each reset date party A will receive from party B the mark-to-market amount, if positive.

  • Initial exchange

  • Initial exchange date: Trade date

  • EUR initial exchange amount: EUR 20000000

  • USD initial exchange amount: USD equivalent to EUR 20000000

  • Final exchange

  • Final exchange date: Maturity date

  • EUR final exchange amount: EUR 20000000,00

  • USD final exchange amount: The variable currency amount determined for the final calculation period

  • Section 3: Correlation trading portfolios (CTPs)

    Portfolio number

    Risk factor

    Portfolios

    Currency

    Risk Metrics requested

    2.1

    CTP

    Long position in spread hedged equity tranche of CDX.NA.IG index Series 24, Version 1

    RED Code 2I65BYDI3 (attachment point: 0 %, detachment point: 3 %)

    USD

    VaR, sVaR and IM for the CTP

    2.2

    CTP

    Long position in spread hedged mezzanine tranche of CDX.NA.IG index Series 24, Version 1

    RED Code 2I65BYDI3 (attachment point: 7 %, detachment point: 10 %)

    USD

    VaR, sVaR and IM for the CTP

    2.3

    CTP

    Short position in spread hedged super senior tranche of CDX.NA.IG index Series 24, Version 1

    RED Code 2I65BYDI3 (attachment point: 30 %, detachment point: 100 %)

    USD

    VaR, sVaR and IM for the CTP

    These portfolios contain positions in index tranches referencing the CDX.NA.IG index Series 24, Version 1.

    • Notional is USD 10 million for each tranche.
    • The contractual maturity is 5 years, effective as of 20 March 2015, with an actual maturity date on 20 June 2020 for each tranche.
    • Valuation as of 5:00 pm New York time on each date of valuation.
    • The running spread that shall be used is 500 bps for the tranches in portfolio 1 and 2, and 100 bps for portfolio 3.

    The portfolios are constructed by hedging each index tranche with the CDX.NA.IG index Series 24 Version 1 5Y CDS to achieve zero CS01 as of initial valuation date ("spread hedged"). No further re-hedging is required.