Index
Constraints
DPM Mapboemd_tIM.03.07.01.06 - Market Risk Outputs - comments (material currencies)
| IM.03.07.01.06 | ||
| At balance sheet date: | ||
| For rows MKT101 to MKT110 - Firm's definition, used in its model, of the risk component; and any relevant comments or explanations. For rows MKT201 to MKT213 explanation of any difference between quantum of assets reported in C101 and quantum of assets reported in the Solvency II balance sheet {S.02.01, C0010}. In addition for MKT211 information about any loans to connected parties. For other rows - any relevant comments or notes. | ||
| C301 | ||
| Risk Component | MKT099 | |
| Risk free yields data - material currency | MKT420 | |
| Increase in risk free zero coupon bond spot yield Term 1 | MKT421 | |
| Increase in risk free zero coupon bond spot yield Term 2 | MKT422 | |
| Increase in risk free zero coupon bond spot yield Term 5 | MKT423 | |
| Increase in risk free zero coupon bond spot yield Term 10 | MKT424 | |
| Increase in risk free zero coupon bond spot yield Term 15 | MKT425 | |
| Increase in risk free zero coupon bond spot yield Term 25 | MKT426 | |
| Credit spread data - material currency | MKT650 | |
| Increase in AAA rate ZCB spot yield spread (over RF) Term 1 | MKT651 | |
| Increase in AAA rate ZCB spot yield spread (over RF) Term 2 | MKT652 | |
| Increase in AAA rate ZCB spot yield spread (over RF) Term 5 | MKT653 | |
| Increase in AAA rate ZCB spot yield spread (over RF) Term 10 | MKT654 | |
| Increase in AAA rate ZCB spot yield spread (over RF) Term 15 | MKT655 | |
| Increase in AA rate ZCB spot yield spread (over RF) Term 1 | MKT656 | |
| Increase in AA rate ZCB spot yield spread (over RF) Term 2 | MKT657 | |
| Increase in AA rate ZCB spot yield spread (over RF) Term 5 | MKT658 | |
| Increase in AA rate ZCB spot yield spread (over RF) Term 10 | MKT659 | |
| Increase in AA rate ZCB spot yield spread (over RF) Term 15 | MKT660 | |
| Increase in A rate ZCB spot yield spread (over RF) Term 1 | MKT661 | |
| Increase in A rate ZCB spot yield spread (over RF) Term 2 | MKT662 | |
| Increase in A rate ZCB spot yield spread (over RF) Term 5 | MKT663 | |
| Increase in A rate ZCB spot yield spread (over RF) Term 10 | MKT664 | |
| Increase in A rate ZCB spot yield spread (over RF) Term 15 | MKT665 | |
| Increase in BBB rate ZCB spot yield spread (over RF) Term 1 | MKT666 | |
| Increase in BBB rate ZCB spot yield spread (over RF) Term 2 | MKT667 | |
| Increase in BBB rate ZCB spot yield spread (over RF) Term 5 | MKT668 | |
| Increase in BBB rate ZCB spot yield spread (over RF) Term 10 | MKT669 | |
| Increase in BBB rate ZCB spot yield spread (over RF) Term 15 | MKT670 | |
| Increase in B rate ZCB spot yield spread (over RF) Term 1 | MKT671 | |
| Increase in B rate ZCB spot yield spread (over RF) Term 2 | MKT672 | |
| Increase in B rate ZCB spot yield spread (over RF) Term 5 | MKT673 | |
| Increase in B rate ZCB spot yield spread (over RF) Term 10 | MKT674 | |
| Increase in B rate ZCB spot yield spread (over RF) Term 15 | MKT675 | |
| Currency exchange rate data | MKT800 | |
| Material currency: relative increase in exchange rate to GBP | MKT801 | |
| Inflation data for modelling asset values - material currency | MKT920 | |
| Inflation spot rate Term 1 | MKT921 | |
| Inflation spot rate Term 2 | MKT922 | |
| Inflation spot rate Term 5 | MKT923 | |
| Inflation spot rate Term 10 | MKT924 | |
| Inflation spot rate Term 15 | MKT925 | |
| Inflation spot rate Term 25 | MKT926 | |
| Description of measure of inflation for this currency in above outputs | MKT927 | |
| List of any other inflation measures for this currency output by the model, and the purpose of each of these measures | MKT928 | |