Financial Sector (Collection of Data) determination No. 68 of 2005 - Reporting Standard ARS 113.0 (2005) - Market Risk
Table 15: Largest daily levels of limit Table 15: Largest daily levels of limit utilisation over the quarter
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Table 15: Largest daily levels of limit utilisation over the quarter
To calculate levels of limit utilisation for each day in the reporting period, divide the end-of-day exposure across all asset classes by the corresponding aggregate VaR or contingent loss limit and express the result as a percentage. Enter the five largest percentages in order of magnitude with the largest percentage entered in row 1, the second largest in row 2, etc.
Using the information entered in Table 15, if end-of-day exposure was within limit for each day in the reporting period complete Table 16. Alternatively, if the limit was exceeded during the quarter complete Table 17.