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Banco de Chile : Market Risk Quarterly Report

09/10/2020 | 05:10pm

BANCO DE CHILE

Market Risk Quarterly Report

As of September 30th 2019

Market risk exposures and market risks according to regulatory models

The use of the regulatory metrics, as of September 30th 2019, is illustrated below.

(MM CLP)

Basel I Tier-1 + Tier-2 Capital Utilization

Equivalent Market Risk (EMR)

113.140

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

3.152.561

EMR + 10%RWA

3.265.701

Basel I Regulatory Limit

Tier-1 + Tier-2 Capital

4.460.056

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

1.194.355

Banking Book: Short-term interest rate risk

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

35.934

Indices Risk (IR)

92.112

STIRR + Df + IR

128.047

Short-term Internal interest rate risk limit

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

352.361

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

224.314

Banking Book: Long-term interest rate risk

Long-term interest rate risk

956.719

Long-term Internal interest rate risk limit

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

1.338.017

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

381.298

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 third quarter of year 2019 is illustrated below:

3rd quarter 2019

Historical VaR

99% confidence level

MM CLP

Maximum

799

Minimum

196

Average

506

1

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

3rd quarter 2019

Historical EaR

99.9% confidence level

3 months defeasance period

MM CLP

Max

47.102

Min

45.023

Average

46.063

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 21:09:06 UTC

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