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01/15/2020 | 04:03pm

BANCO DE CHILE

Market Risk Quarterly Report

As of December 31st2019

Market risk exposures and market risks according to regulatory models

The use of the regulatory metrics, as of December 31st2019, is illustrated below.

(MM CLP)

Basel I Tier-1 + Tier-2 Capital Utilization

Equivalent Market Risk (EMR)

124.324

10% of Risk-Weighted Assets (10%RWA)

3.230.734

EMR + 10%RWA

3.355.057

Basel I Regulatory Limit

Tier-1 + Tier-2 Capital

4.569.091

Surplus/(Deficit) of Basel I Tier-2 Capital

1.214.033

Banking Book: Short-term interest rate risk

Short-term interest rate risk (STIRR) + Fees collection drop (Df)

57.274

Indices Risk (IR)

106.833

STIRR + Df + IR

164.107

Short-term Internal interest rate risk limit

25%(NRFF + fees sensitive to interest rate fluctuations)

359.262

Surplus/(Deficit) of short-term interest rate risk limit

195.155

Banking Book: Long-term interest rate risk

Long-term interest rate risk

987.202

Long-term Internal interest rate risk limit

30% (Tier-1+Tier-2 Capital)

1.370.727

Surplus/(Deficit) of long-term interest rate risk limit

383.525

Market risk exposures and risks according to internal models

The market risk of the Trading Portfolio determined as the VaR, considering jointly all Trading Units exposures, within the fourth quarter of year 2019 is illustrated below:

4thquarter 2019

Historical VaR

99% confidence level

MM CLP

Maximum

846

Minimum

176

Average

509

1

The market risk of the Accrual Portfolio determined as the EaR, considering jointly all Accrual Units exposures, within the fourth quarter of year 2019 is illustrated below:

4thquarter 2019

Historical EaR

99.9% confidence level

3 months defeasance period

MM CLP

Max

54.372

Min

49.681

Average

52.027

2

Disclaimer

Banco de Chile published this content on 15 January 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 15 January 2020 21:02:02 UTC

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