BANCO DE CHILE

Market Risk Quarterly Report

As of September 30th 2020

Market risk exposures and market risks according to regulatory models

The use of the regulatory metrics, as of September 30th 2020, is illustrated below.

(MM CLP)

Basel I Tier-1 + Tier-2 Capital Utilization

Equivalent Market Risk (EMR)

101.036

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

3.134.066

EMR + 10%RWA

3.235.103

Basel I Regulatory Limit

Tier-1 + Tier-2 Capital

4.695.529

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

1.460.426

Banking Book: Short-term interest rate risk

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

87.630

Indices Risk (IR)

116.026

STIRR + Df + IR

203.656

Short-term Internal interest rate risk limit

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

346.987

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

143.331

Banking Book: Long-term interest rate risk

Long-term interest rate risk

1.056.899

Long-term Internal interest rate risk limit

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

1.408.659

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

351.759

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 2020 is illustrated below:

3rd quarter 2020

Historical VaR

99% confidence level

MM CLP

Maximum

1.146

Minimum

215

Average

629

1

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

3rd quarter 2020

Historical EaR

99.9% confidence level

3 months defeasance period

MM CLP

Max

84.782

Min

83.999

Average

84.391

2

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Disclaimer

Banco de Chile published this content on 30 October 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 October 2020 21:34:08 UTC