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ConnectingConnecting
AM
Alex Morgan
RISK MANAGEMENT
PARALLEL SHIFT (BPS)
0
SPREAD WIDENING (BPS)
0
PROJECTED IMPACT (VaR)
----LIVE FEED
| Portfolio | CCY | DV01 (€) | Vega (€) | VaR 99% 1D | ES 97.5% | IM Req | Update |
|---|---|---|---|---|---|---|---|
| Global Macro | HUF | -62,450 | 12,500 | 158,502,543 | 195,000 | 450,000 | 23:30:59 |
| Global Macro | EUR | -12,450 | 5,000 | 94,884,900 | 95,000 | 230,000 | 21:29:20 |
| Rates Exotics | USD | 1,440 | 40,000 | 128,327,554 | 100,000 | 380,000 | 18:45:31 |
| Rates Exotics | EUR | 50 | 1,200 | 16,812,674 | 11,000 | 31,000 | 02:07:01 |
| Global Macro | JPY | -32,100 | 18,000 | 245,900,000 | 150,000 | 290,000 | 15:42:10 |
| Global Macro | GBP | 8,900 | 15,000 | 112,450,000 | 85,000 | 180,000 | 11:20:44 |
| Credit Portfolio | CHF | -4,500 | 0 | 75,000,000 | 120,000 | 95,000 | 09:15:12 |
| Rates Exotics | AUD | 6,500 | 25,000 | 88,900,000 | 70,000 | 165,000 | 17:34:55 |
| Global Macro | CAD | -15,600 | 9,800 | 105,000,000 | 65,000 | 140,000 | 14:22:18 |
| Credit Portfolio | EUR | 2,100 | 0 | 50,000,000 | 90,000 | 75,000 | 08:05:33 |
| Global Macro | USD | -85,000 | 55,000 | 320,000,000 | 250,000 | 520,000 | 22:50:11 |
| Global Macro | EUR | 12,800 | 22,000 | 142,000,000 | 110,000 | 210,000 | 19:12:05 |
| Rates Exotics | GBP | -1,800 | 14,500 | 63,000,000 | 45,000 | 85,000 | 13:08:42 |
| Credit Portfolio | USD | -10,500 | 0 | 115,000,000 | 180,000 | 135,000 | 10:48:29 |
| Rates Exotics | EUR | 4,200 | 8,500 | 35,000,000 | 28,000 | 58,000 | 07:14:16 |