Market risk exposures and market risks according to regulatory models
The use of the regulatory metrics, as of December 31st 2018, is illustrated below. (MM CLP)
Basel I Tier-1 + Tier-2 Capital Utilization
Equivalent Market Risk (EMR)
118,164
10% of Risk-Weighted Assets (10%RWA)
2,969,530
EMR + 10%RWA
3,087,694
Basel I Regulatory Limit
Tier-1 + Tier-2 Capital
4,129,999
Surplus/(Deficit) of Basel I Tier-2 Capital
1,042,305
Banking Book: Short-term interest rate risk
Short-term interest rate risk (STIRR) + Fees collection drop (Df)
18,872
Indices Risk (IR)
100,742
STIRR + Df + IR
119,614
Short-term Internal interest rate risk limit
25%(NRFF + fees sensitive to interest rate fluctuations)
343,502
Surplus/(Deficit) of short-term interest rate risk limit
223,889
Banking Book: Long-term interest rate risk
Long-term interest rate risk
912,668
Long-term Internal interest rate risk limit
30% (Tier-1+Tier-2 Capital)
1,239,000
Surplus/(Deficit) of long-term interest rate risk limit
326,331
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 2018 is illustrated below:
4th quarter 2018
Historical VaR
99% confidence level
MM CLP
Maximum
1,068
Minimum
379
Average
719
1
The market risk of the Accrual Portfolio determined as the EaR, considering jointly all Accrual Units exposures, within the fourth quarter of year 2018 is illustrated below:
4th quarter 2018
Historical EaR
97.7% confidence level
3 months defeasance period
MM CLP
Max
25,888
Min
25,009
Average
25,449
2
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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 21:59:01 UTC
Banco de Chile is a full service financial institution, which is engaged in providing credit and non-credit products and services in Chile. The Bank offers a range of banking services to its customers, ranging from individuals to corporations. The Bank's segments include Retail, which focuses on individuals and small and medium-sized companies, where the product offering focuses on consumer loans, commercial loans, checking accounts, credit cards, credit lines and mortgage loans; Wholesale, which focuses on corporate clients and companies, where the product offering focuses on commercial loans, checking accounts and liquidity management services, debt instruments, foreign trade, derivative contracts and leases; Treasury, which includes the associated revenues to the management of the investment portfolio and the business of financial transactions and currency trading, and Subsidiaries, which corresponds to companies and corporations controlled by the Bank.
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