475. A French investment firm reports the recent purchase, priced with an internal model, of a default protection. This protection is based on a bilateral derivative entered into with an Irish investment entity. The notional of the derivative is 520.000.000 EUR. The derivative falls into the category of CDS tranche derivative with an attachment point of 10% and detachment point of 20%. The underlying of the derivative corresponds to a certain series of the Itraxx Europe index. A fixed monthly coupon of 1% is paid. The derivative is partially collateralised by the purchaser.