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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