Market risk
For this risk, limits are established by portfolio and business. The risk is monitored daily to verify business areas compliance with the limits.
As of December 2017, the capital and VaR (Value-at-Risk) consumptions were within limits established for the Markets and Exchange portfolios, as well as for the National and Foreign Currency Investment portfolios.
Money Market Capital Limit and Consumption
Money Market VaR Limit and Consumption
Exchange Capital Limit and Consumption
Exchange VaR Limit and Consumption
Derivatives Capital Limit and Consumption
Derivatives VaR Limit and Consumption
Foreign Currency Investment Capital Limit and Consumption
National Currency Investment Capital Limit and Consumption
National Currency Investment VaR Limit and Consumption
The repricing profile of active and passive positionsby ranges greater than one year, both in foreign and national currency, they are practically in equilibrium and does not present exposure to the volatility of the base rate, as of December 2017.
The profile of the balance sheet due date, foreign and national currency, presents a structure of medium and long-term assets funded with short-term resources, with exposure to an increase in the surtax of deposits, as of December 2017.