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Banco de Chile : Market Risk Quarterly Report

09/10/2020 | 05:00pm

BANCO DE CHILE

Market Risk Quarterly Report

As of March 31st 2020

Market risk exposures and market risks according to regulatory models

The use of the regulatory metrics, as of March 31st 2020, is illustrated below.

(MM CLP)

Basel I Tier-1 + Tier-2 Capital Utilization

Equivalent Market Risk (EMR)

111.685

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

3.353.083

EMR + 10%RWA

3.464.768

Basel I Regulatory Limit

Tier-1 + Tier-2 Capital

4.587.109

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

1.122.341

Banking Book: Short-term interest rate risk

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

55.190

Indices Risk (IR)

111.591

STIRR + Df + IR

166.782

Short-term Internal interest rate risk limit

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

374.590

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

207.809

Banking Book: Long-term interest rate risk

Long-term interest rate risk

965.465

Long-term Internal interest rate risk limit

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

1.376.133

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

410.668

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 first quarter of year 2020 is illustrated below:

1st quarter 2020

Historical VaR

99% confidence level

MM CLP

Maximum

3.395

Minimum

581

Average

1.778

1

The market risk of the Accrual Portfolio determined as the EaR, considering jointly all Accrual Units exposures, within the first quarter of year 2020 is illustrated below:

1st

quarter 2020

Historical EaR

99.9% confidence level

3 months defeasance period

MM CLP

Max

60.994

Min

57.038

Average

59.016

2

Disclaimer

Banco de Chile published this content on 10 September 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 10 September 2020 20:59:05 UTC

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