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Banco de Chile : Market Risk Quarterly Report

09/10/2020 | 05:15pm

BANCO DE CHILE

Market Risk Quarterly Report

As of March 31st 2019

Market risk exposures and market risks according to regulatory models

The use of the regulatory metrics, as of March 31st 2019, is illustrated below.

(MM CLP)

Basel I Tier-1 + Tier-2 Capital Utilization

Equivalent Market Risk (EMR)

119.467

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

2.992.043

EMR + 10%RWA

3.111.510

Basel I Regulatory Limit

Tier-1 + Tier-2 Capital

4.111.455

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

999.945

Banking Book: Short-term interest rate risk

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

22.371

Indices Risk (IR)

98.099

STIRR + Df + IR

120.470

Short-term Internal interest rate risk limit

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

340.885

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

220.415

Banking Book: Long-term interest rate risk

Long-term interest rate risk

952.422

Long-term Internal interest rate risk limit

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

1.233.437

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

281.015

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 2019 is illustrated below:

1st quarter 2019

Historical VaR

99% confidence level

MM CLP

Maximum

872

Minimum

482

Average

637

1

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

1st

quarter 2019

Historical EaR

99.9% confidence level

3 months defeasance period

MM CLP

Max

47.001

Min

46.116

Average

46.559

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 21:14:08 UTC

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