A measure of risk (value at risk, VaR) that represents the volatility to capital driven by the fair value through other comprehensive income (FVOCI) exposures. These exposures arise in the banking book and do not meet the criteria for trading book treatment. Non-traded VaR captures the volatility in the value of the FVOCI investments in a bank’s liquidity pool which flow directly through capital via the FVOCI reserve.
The methodology to calculate non-traded VaR is similar to traded management VaR, though the two measures cannot directly compare. Both traded and non-traded VaR tend to increase in response to increased market volatility (usually driven by market shocks and revised rate hikes).
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