EBU Single Rulebook Q&A 8 October 2015 2015_2382 Counterparty credit risk

Our Institution has entered into an Equity Option Swap, by which receives the 'Floating Amount' and pays, in the termination date, the 'Equity Amount'. Our Institution receives quarterly cash-flows linked to Euribor 3 months, and at maturity will pay a payoff linked to a basket of listed stocks.