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Banco de Chile : Market Risk Quarterly Report

09/10/2020 | 05:59pm

BANCO DE CHILE

Market Risk Quarterly Report

As of December 31st 2018

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

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 21:59:01 UTC

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