EBU Single Rulebook Q&A 22 October 2015 2015_2440 Market risk benchmarking portfolio 1.18 not fully clear how to book
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European Union · · · 22-10-2015
Portfolio 1.18 is short 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015. Is the underlying the 6m future, or spot? To enable booking of the portfolio for the benchmarking excercise the exact underlying for the option is required. Credit institution The underlying for the option in portfolio 1.
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