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 | |||||||||||||||
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | ||
| CVA risk total | 010 | ||||||||||||||
| According to Advanced method | 020 | ||||||||||||||
| According to Standardised method | 030 | ||||||||||||||
| Based on OEM | 040 | ||||||||||||||