Textual Amendments
[F1EXPOSURE VALUE | VaR | STRESSED VaR | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT | MEMORANDUM ITEMS | CVA RISK HEDGE NOTIONALS | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
of which: OTC Derivatives | of which:SFT | MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg ) | PREVIOUS DAY(VaR t-1 ) | MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg ) | LATEST AVAILABLE (SVaR t-1 ) | Number of counterparties | of which: proxy was used to determine credit spread | INCURRED CVA | SINGLE NAME CDS | INDEX CDS | |||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | ||
010 | CVA risk total | Link to {CA2;r640;c010} | |||||||||||||
020 | According to Advanced method | Link to {CA2;r650;c010} | |||||||||||||
030 | According to Standardised method | Link to {CA2;r660;c010} | |||||||||||||
040 | Based on OEM | Link to {CA2;r670;c010} | ] |