Index
Constraints
DPM Mapeba_tC_24.00 - C 24.00 (MKR IM 1)
| C 24.00 | |||||||||||||||||
| VaR | Stressed VaR | Incremental default and migration risk capital charge | All price risks capital charge for CTP | Own funds requirements | Total risk exposure amount | Number of overshootings | VaR Multiplication Factor (mc) | SVaR Multiplication Factor (ms) | Assumed charge for CTP floor - weighted net long positions after cap | Assumed charge for CTP floor - weighted net short positions after cap | |||||||
| 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) | 12 weeks average measure | Last measure | Floor | 12 weeks average measure | Last measure | |||||||||
| 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | ||
| TOTAL POSITIONS | 010 | ||||||||||||||||
| Memorandum items: BREAKDOWN OF MARKET RISK | 019 | ||||||||||||||||
| Traded debt instruments | 020 | ||||||||||||||||
| TDI - General risk | 030 | ||||||||||||||||
| TDI - Specific Risk | 040 | ||||||||||||||||
| Equities | 050 | ||||||||||||||||
| Equities - General risk | 060 | ||||||||||||||||
| Equities - Specific Risk | 070 | ||||||||||||||||
| Foreign Exchange risk | 080 | ||||||||||||||||
| Commodities risk | 090 | ||||||||||||||||
| Total amount for general risk | 100 | ||||||||||||||||
| Total amount for specific risk | 110 | ||||||||||||||||