Index
Constraints
DPM Mapeba_tC_25.00 - C 25.00 (CVA)
| C 25.00 | |||||||||||||||
| EXPOSURE VALUE | OTC Derivatives | SFT | VaR | STRESSED VaR | Own funds requirements | Total risk exposure amount | MEMORANDUM ITEMS | CVA Risk Hedge Notionals | |||||||
| MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) | PREVIOUS DAY (VaRt-1) | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) | LATEST AVAILABLE (SVaRt-1) | Number of counterparties | Incurred CVA | Single Name CDS | Index CDS | ||||||||
| of which: proxy was used to determine credit spread | |||||||||||||||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | ||
| CVA risk total | 0010 | ||||||||||||||
| According to Advanced method | 0020 | ||||||||||||||
| According to Standardised method | 0030 | ||||||||||||||
| Based on OEM | 0040 | ||||||||||||||