natgillin/translations-raw huggingface dataset:
* Strikeværdien af variansswappen bestemmes på handelsdagen den 15. oktober 2015 for at annullere værdien af swappen.
An institution that does not calculate cure rates for a given model shall calculate a proxy taking into account the definition provided.
(Den strikeværdi, som instituttet angiver på skemaet med oplysninger om validering forud for benchmarkingen, skal oplyses samtidig med den indledende markedsværdi af handelen.)
The institution shall report the use of a proxy to the competent authority.
Barriereoption
The case-weighted average recovery rate of the foreclosed assets for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported.
Lang position, 40 kontrakter på 3-måneders-S&P 500 down and in-put-optioner, ATM*, med en barriere på 10 % OTM* og løbende overvågning (1 kontrakt = 100 underliggende aktiver).
An institution that does not have a specific recovery rate of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided.
* Strikekursen er baseret på indeksværdien på NYSE-markedet ved handelsdagens afslutning den 15. oktober 2015.
The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the non-cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported.
Quanto-indeks-call-option
An institution that does not have a specific recovery period length of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided.
3-årig USD Quanto-call-option på Eurostoxx 50
Article 20(2)(a) of Regulation (EU) No 575/2013
Se nærmere oplysninger i afsnit 2.1 i dette bilag.
The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (host) competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios.
Rentesats
Article 20 of Regulation (EU) No 575/2013
Curve flattener-handel
The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported.
Lang langsigtede og kort kortsigtede statsobligationer
Column 010 of templates 102 and 103
Lang position, 10-årig tysk statsobligation på 5 mio. EUR (ISIN: DE0001102366, udløb 15. august 2024)
The code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported.
Kort position, 2-årig tysk statsobligation på 20 mio. EUR (ISIN: DE0001135341, udløb 4. januar 2018)
Column 010 of template 105.01
VaR, sVaR og IRC
Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Host supervisor’.
Tiårig fixed for variable-renteswap
Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.
Bloomberg-kode eusw10v3 curncy
The country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach).
Modtag fast rente, og betal variabel rente
‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant).
Fast ben: modtag årligt
ANNEX V
Variabelt ben: 3-måneders Euribor-rente, betal kvartalsvis
MARKET BENCHMARKING PORTFOLIOS
Notionel værdi: 5 mio. EUR
COMMON INSTRUCTIONS
Roll-konvention og -tidsplan: standard
SECTION 1: NON-CORRELATION TRADING PORTFOLIOS
Startdato: 15. oktober 2015 (dvs. de renter, der skal anvendes, er renterne ved handelsdagens afslutning den 15. oktober 2015)
SECTION 2: DETAILS FOR PORTFOLIOS
Udløbsdato: 15. oktober 2025
DETAILS FOR PORTFOLIO 1.7: 3-YEAR USD QUANTO CALL ON EUROSTOXX 50
Toårig swaption på tiårig renteswap
DETAILS FOR PORTFOLIO 1.11: 3M LIBOR USD RANGE ACCRUAL
Bloomberg-kode eusv0210 curncy
DETAILS FOR PORTFOLIO 1.12: CPTFEMU INDEX 10Y MATURITY ZERO COUPON SWAP
Sælger* af en OTC-modtagerswaption med løbetid på to år på den i række 1.9 beskrevne renteswap, men med en ændret startdato, 16. oktober 2017, og en ændret udløbsdato, 15. oktober 2027.
DETAILS FOR PORTFOLIO 1.15: KNOCK-OUT CURRENCY OPTION
Startdato for swaption: 15. oktober 2015
DETAILS FOR PORTFOLIO 1.16: DOUBLE NO TOUCH BINARY CURRENCY OPTION
Udløbsdato for swaption: 16. oktober 2017
DETAILS FOR PORTFOLIO 1.27: INDEX PUT ON ITRAXX EUROPE CROSSOVER SERIES 24
Præmie betales ved udløb
DETAILS FOR PORTFOLIO 1.28: QUANTO EURO CDS ON SPAIN WITH USD DELTA HEDGE
Afvikles kontant
DETAILS FOR PORTFOLIO 1.14: MARK-TO-MARKET (RESETTABLE) CROSS-CURRENCY BASIS SWAP
* Strikekursen er baseret på renteswapsatsen efter række 1.9 (dvs. strikekursen er den faste rente efter række 1.9).
SECTION 3: CORRELATION TRADING PORTFOLIOS (CTPS)
* Det er instituttet, der sælger optionen på swappen.
An institution shall apply the following:
Instituttets modpart køber retten til at indgå en swap med instituttet; hvis modparten udnytter sin ret, vil den modtage den faste rente, mens instituttet modtager den variable rente.
Unless explicitly specified otherwise in the portfolio description, all positions shall be booked 15 October 2015.
Struktureret kupon, der er indekseret på antallet af dage i den renteperiode, hvor Libor ligger inden for et forudfastsat spænd.
Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise.
Se nærmere oplysninger i afsnit 2.2 i dette bilag.
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.
Inflationsnulkuponswap
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.
Se nærmere oplysninger i afsnit 2.3 i dette bilag.
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.
Dækket valuta-call-option (Covered FX call)
The exact timing of the valuation shall be 26 October 2015, 5.30 pm CET.
Kort EUR/USD og kort put EUR og call USD-option
The risks of the positions shall be calculated without taking into account the funding costs associated with the portfolios
Kort position, 3-måneders-EUR/USD-terminskontrakter (dvs. lang USD kort EUR), kontantafviklet, med en notionel værdi på 20 mio. USD, der købes til ECB's referencekurs for EUR/USD ved dagens afslutning den 15. oktober 2015
To the extent possible, counterparty credit risk shall be excluded when valuing the risks of the portfolios.
Kort position, 3-måneders-put EUR call USD-option, notionel værdi 40 mio. USD (dvs. kort USD mod EUR), kontantafviklet, med strikekurs svarende til tremånedersterminskursen ved dagens afslutning 15. oktober 2015
The 10-day 99 % VaR shall be calculated on a daily basis.
Startdato: 15. oktober 2015
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.
Udløbsdato: 15. januar 2016
For each portfolio, results shall be reported in the base currency of the portfolio as provided in the sections below.
Mark-to-market cross-currency-basisswap
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.
Swap, 2 år 3-månedersUSD Libor mod 3-måneders-Euribor
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’.
Se nærmere oplysninger i afsnit 2.8 i dette bilag.
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.
Knock-out-option
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.
Vanillaoption, der ophører med at eksistere, hvis det underliggende aktivs spotkurs overskrider en forudfastsat barriere før udløbstidspunktet, kontantafviklet.
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.
Se nærmere oplysninger i afsnit 2.4 i dette bilag.
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).
Double no touch-option
ATM stands for ‘at the money’, OTM stands for ‘out of the money’, and ITM stands for ‘in the money’.
Digital option, hvor der udbetales et forudfastsat beløb, hvis spotkursen ikke rører nogen af barriererne i løbet af optionens løbetid, kontantafviklet.
All options shall be treated as if they are traded over-the-counter (‘OTC’) unless explicitly specified otherwise in the portfolio.
Se nærmere oplysninger i afsnit 2.5 i dette bilag.
The standard timing conventions for OTC options shall be followed (i.e. expiry dates are the business day following a non-trading day).
Råvarer
For example, a 3-month OTC option booked on 15 October 2015 expires on 15 January 2016.
Kurveforløb fra contango til backwardation
If options expire on a non-trading day, adjust the expiration date per business day, in accordance with common market practices.
Lang kortsigtede og kort langsigtede kontrakter
All OTC options shall be treated as:
Kort position, 4300000 1-årige OTC London Gold Forwards-kontrakter, ATM (notionel værdi: 4300 troy ounces)
European for equity indices, foreign exchange and swaptions.
Kort olie-put-optioner
For all options the premium from the initial market value calculations shall be excluded (i.e. options shall be considered as ‘naked’).
Kort position, 30 kontrakter på 3-måneders-OTC WTI råolie-put-optioner med strikekurs = 6-månedersterminskurs ved dagens afslutning den 15. oktober 2015 (1 kontrakt = 1000 tønder, samlet notionel værdi: 30000 tønder)
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).
Kreditspænd
When booking all positions, appropriate market convention shall be followed unless otherwise specified in the instructions applicable to the portfolio.
Sovereign CDS-portefølje
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.
Kort afdækning via CDS på fem lande
The Euro Interbank Offered Rate (‘Euribor’) is the rate calculated by the European Money Markets Institute at different maturities for Euro interbank term deposits.
Kort position, 5-årige single-name-CDS'er på 2 mio. EUR (samlet notionel værdi: 10 mio.) på følgende lande:
The London Interbank Offered Rate (‘Libor’) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposits in different currencies.
Omstruktureringsklausul: FULD
Section 1: Non-Correlation Trading Portfolios
Land
Portfolio number
RED-kode
Risk factor
Valuta
Portfolios
Italien
Currency
Frankrig
Risk Metrics requested
Statsobligation/-CDS-portefølje
Equity Portfolios
Basisportefølje med statsobligationer på fem lande
Equity
Lang position, 5-årige single-name-CDS'er på 2 mio. EUR (samlet notionel værdi: 10 mio.) på følgende lande: Italien, UK, Tyskland, Frankrig, USA, som i porteføljen i række 1.19
Equity index futures
Lang position, 5-årige single-name-obligationer på 2 mio. EUR (samlet notionel værdi: 10 mio.) på følgende lande: Italien, UK, Tyskland, Frankrig, USA (som angivet i nedenstående tabel)
Long delta
For at omregne den notionelle værdi af de obligationer, der ikke er i EUR, anvendes valutaspotkursen ved dagens afslutning den 15. oktober 2015.
Long 30 contracts ATM*, last trading date 18 March 2016, delivery date 21 March 2016, FTSE 100 index futures (1 contract = 10 underlyings)
Identifikator
* The futures price is based on the index level at NYSE Liffe London market close on 15 October2015.
Beskrivelse
VaR and sVaR
BTP 1. september 2020
Bullish leveraged trade
Sektorkoncentrationsportefølje
Long gamma and long vega
Kort afdækning via CDS på 10 finansielle selskaber
Long 100 contracts OTC Google (GOOG) OTM* 3-month call options (1 contract = 100 shares underlying)
Modværdi til kort position, 5-årige single-name-CDS'er på 1 mio. notionel værdi (samlet notionel værdi: 10 mio. EUR) på følgende 10 selskaber:
* The strike price is out-of-the-money by 10 % relative to the stock price at market close on 15 October 2015.
Prudential
Volatility trade #1
Diversificeret indeksportefølje
Short short-term vega & long long-term vega
Kort afdækning via CDS-indeks
Short straddle 3-month ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
Kort position, notionel værdi: 10 mio. EUR, iTraxx, 5 år, Europe SF index Series 24, Version 1 — udløb 20. december 2020 (RED Pair-kode: 2I667DAX2)
Long straddle 2-year ATM* S&P 500 Index OTC options (30 contracts; 1 contract = 100 underlyings)
Diversificeret indeksportefølje (højere koncentration)
Effective date: 15 October 2015.
Kort position, notionel værdi 5 mio. EUR*, iTraxx, 5 år, Europe index Series 24, Version 1 — udløb 20. december 2020 (RED Pair-kode: 2I667DAX)
* The strike price is based on the index level at NYSE at 4:30 pm New York time on 15 October 2015.
Kort position, notionel værdi: 5 mio. EUR (ligeligt vægtet) på følgende fem finansielle selskaber i iTraxx, 5 år, Europe SF index Series 24, Version 1 — udløb 20. december 2020 (RED Pair-kode: 2I667DAX):
Volatility trade #2 (smile effect)
CDS-navn
Long/short puts on FTSE 100
* Hver single name-CDS bør have en notionel værdi på 1 mio. EUR.
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)
Diversificeret selskabsportefølje
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)
Kort afdækning via CDS på 10 selskaber med ratings fra A- til AA-
* The strike price is based on the index level at NYSE Liffe London market close on 15 October2015.
Modværdi til kort position, 5-årige single-name-CDS'er på 2 mio. EUR notionel værdi (samlet notionel værdi: 20 mio. EUR) på følgende 10 selskaber (for CDS'er i USD anvendes valutakursen den 15. oktober 2015):
Equity variance swaps on Eurostoxx 50 (SX5E)
Indeksbasis
Long ATM* variance swap on Eurostoxx 50 with a maturity of 2 years, Vega notional amount of EUR 50,000.
Kort position, notionel værdi: 5 mio. EUR, iTraxx, 5 år, Europe SF index Series 24, Version 1 — udløb 20. december 2020 (RED Pair-kode: 2I667DAX)
The payoff is based on the following realized variance formula:
Lang position, notionel værdi: 5 mio. EUR, på alle komponenter i iTraxx, 5 år, Europe SF index Series 24, Version 1 — udløb 20. december 2020 (RED Pair-kode: 2I667DAX) (dvs., at den samlede notionelle værdi er 5 mio. EUR, og alle selskaber er ligeligt vægtede)
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.
CDS-obligationsbasis
* The strike value of the variance swap shall be defined on the trade date 15 October 2015 to cancel the value of the swap.
Lang position, 5-årige single-name-obligationer på 2 mio. EUR på 4 finansielle selskaber (2 EU, 2 Nordamerika).
(The strike value determined by the institution on the pre-benchmarking exercise validation data template shall be provided together with the initial market value of the trade.)
Værdipapirets navn
Barrier option
Lang afdækning via CDS på de samme selskaber (5-årige single-name-obligationer på 2 mio. EUR).
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)
Kort indeks-put-option på ITraxx Europe Crossover series 24
* The strike price is based on the index level at NYSE market close on 15 October 2015.
Se nærmere oplysninger i afsnit 2.6 i dette bilag.
Quanto index call
Quanto-CDS på Spanien med delta-afdækning
ear USD Quanto call on Eurostoxx 50
Se nærmere oplysninger i afsnit 2.7 i dette bilag.
See details in Section 2.1 of this Annex.
All-in-porteføljer
Interest Rate
All-in-portefølje (1)
Curve flattener trade
En portefølje af porteføljerne i række 1.1, 1.2, 1.4, 1.8, 1.9, 1.13, 1.17, 1.18, 1.19, 1.20, 1.21, 1.24 og 1.26
Long long-term and short short-term treasuries
En portefølje af porteføljerne i række 1.1 til 1.28
Short EUR 20 million 2-year German Treasury note (ISIN:DE0001135341, expiry 4 January 2018)
All-in-portefølje (3)
VaR, sVaR and IRC
En portefølje af aktieporteføljerne i række 1.1 til 1.7
Ten-year fixed for variable interest rate swap
En portefølje af renteporteføljerne i række 1.8 til 1.12
Receive fixed rate and pay floating rate
All-in-portefølje (5)
Fixed leg: receive annually
En portefølje af valutaporteføljerne i række 1.13 til 1.16
Floating leg: 3-month Euribor rate, pay quarterly
All-in-portefølje (6)
Notional: EUR 5 million
En portefølje af råvareporteføljerne i række 1.17 til 1.18
Roll convention and calendar: standard
All-in-portefølje (7)
Effective date: 15 October 2015 (i.e. rates to be used are those at the market close on 15 October 2015)
En portefølje af kreditspændsporteføljerne i række 1.19 til 1.28
Maturity date: 15 October 2025
Afsnit 2: Oplysninger om porteføljer
Two-year swaption on ten-year interest rate swap
Oplysninger om portefølje 1.7: 3-årig USD Quanto-call på Eurostoxx 50
Bloomberg code eusv0210 curncy
Part A Modpart
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.
Part B Deltagende institut
Effective date of swaption: 15 October 2015
Notionel værdi af aktier (Equity Notional Amount, ENA) 5000000 USD
Expiry date of swaption: 16 October 2017
Handelsdato 15. oktober 2015
Premium paid at expiry
Strikedato 15. oktober 2015
Cash settled
Startdato 15. oktober 2015
* The strike price is based on the IRS rate as per row 1.9 (i.e. the strike price is the fixed rate as per row 1.9)
Dato for værdiansættelse 16. oktober 2018
* The institution is the seller of the option on the swap.
Udløbsdato 16. oktober 2018
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.
Underliggende indeks EURO STOXX 50 (Bloomberg: SX5E Index)
Libor range accrual
Betaler af den variable rente Modpart
Structured coupon indexed on the number of days in the interest rate period when the Libor fixes in a predetermined range.
Notionel værdi 5000000 USD
See details in Section 2.2 of this Annex.
Variabel rente 3-måneders-USD-Libor
Inflation zero coupon swap
Spænd + 300 basispoint
CPTFEMU index 10Y maturity par zero coupon swap
Dagtællingsbrøk for variabel rente Aktuel/360
See details in Section 2.3 of this Annex.
n/datoer for betaling af variabel rente 1/15. januar 2016
Covered FX call
2/15. april 2016
Short EUR/USD and short put EUR call USD option
3/15. juli 2016
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
4/17. oktober 2016
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
5/16. januar 2017
Effective date: 15 October 2015
6/17. april 2017
Expiry date: 15 January 2016
7/17. juli 2017
Mark-to-market cross-currency basis swap
8/16. oktober 2017
2 Year 3-month USD Libor vs 3-month Euribor swap
9/15. januar 2018
See details in Section 2.8 of this Annex.
10/16. april 2018
Knock-out option
11/16. juli 2018
Vanilla option that ceases to exist if the spot price of the underlying breaches a predetermined barrier before maturity, cash-settled.
12/16. oktober 2018
See details in Section 2.4 of this Annex.
Betaler af aktiebeløb Part B
Double no touch option
Aktiebeløb På udløbsdatoen betaler part B part A følgende kontantafviklingsbeløb
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.
hvor
See details in Section 2.5 of this Annex.
Indexinitial (startindeks) er den officielle lukkeværdi af det underliggende indeks på strikedatoen
Commodity
Indexfinal (slutindeks) er den officielle lukkeværdi af det underliggende indeks på værdiansættelsesdatoen
Curve play from contango to backwardation
Afviklingsvilkår
Long short-term and Short long-term contracts
Afviklingsvaluta USD Quanto
Long 3500000 3-month ATM OTC London Gold Forwards contracts (1 contract = 0,001 troy ounces, notional: 3500 troy ounces)
Arbejdsdage New York
Short 4300000 1-year ATM OTC London Gold Forwards contracts (notional: 4300 troy ounces)
Oplysninger om portefølje 1.11: USD 3M Libor range accrual
Short oil put options
Part B Modpart
Credit Spread
Udløbsdato 15. oktober 2025 Part A betaler 4 % * n/N n antal dage, hvor range accrual-indekset ligger inden for (fix) den nedre barriere og den øvre barriere (inklusive) i løbet af den relevante renteperiode N antal dage i den relevante renteperiode Range accrual-indeks 3-måneders-USD-Libor Nedre barriere 2,50 %
Short protection via CDS on five countries
Dagtællingsbrøk Aktuel/360
Short EUR 2 million per single-name 5 year CDS (total 10 million notional) on the following countries:
Betalingsdatoer Kvartalsvis
Restructuring clause: FULL
Arbejsdagskonvention Modified Following
Country
Arbejdsdage for rentebevægelse (fixing) London og New York
RED Code
Arbejdsdage for betaling London og New York
currency
Part B betaler USD 3M Libor
Italy
Renteperiode Fra den foregående betalingsdato (inklusive) til den næste betalingsdato (eksklusive)
France
Oplysninger om portefølje 1.12: CPTFEMU index 10Y maturity par zero coupon swap
Sovereign bond/CDS portfolio
Kontraktdato 15. oktober 2015
Sovereign bond basis portfolio on five countries
Betaler af fast rente Deltagende institut
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
Notionel værdi 10000000,00 EUR
To convert the notional of the non-euro bonds use the FX spot as at end of day 15 October 2015
Startdato 15. oktober 2015
Identifier
Udløbsdato 15. oktober 2025
Description
Oplysninger om fast sats
BT 1 September 2020
Fast sats 2,000 procent
Sector concentration portfolio
Betalingskonvention Modified Following
Short protection via CDS on 10 financials
Betalingsdage TARGET
Equivalent of short 1 million notional per single-name 5 year CDS (total EUR 10 million notional) on the following 10 companies