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  "notes": "The slide details the definitions and differences between risk management VaR and regulatory VaR, as well as other risk components like Stressed VaR, Incremental risk, Comprehensive risk, and Specific risk.",
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      "text": "Incremental risk is the potential loss in value of non-securitized positions due to the default or credit migration of issuers of financial instruments over a one-year time horizon;",
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      "text": "Specific risk is the risk of loss on a position that could result from factors other than broad market movements, including event risk, default risk and idiosyncratic risk. The standardized measurement method is used to determine specific risk RWAs, by applying supervisory defined risk-weighting factors after applicable netting is performed.",
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      "text": "Comprehensive risk is the potential loss in value, due to price risk and defaults, within our credit correlation positions; and",
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      "text": "Stressed VaR is the potential loss in value of trading assets and liabilities, as well as certain investments, loans, and other financial assets and liabilities accounted for at fair value, during a period of significant market stress;",
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      "text": "Value-at-Risk (\"VaR\") is the potential loss in value of trading assets and liabilities, as well as certain investments, loans, and other financial assets and liabilities accounted for at fair value, due to adverse market movements over a defined time horizon with a specified confidence level.",
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      "text": "Our positional losses observed on a single day exceeded its 99% one-day regulatory VaR on one occasion during each of the years ended 2022 and 2021. There was no change in our VaR multiplier used to calculate Market RWAs;",
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      "text": "RWAs for market risk in accordance with the Standardized and Advanced Capital Rules are generally consistent. Market RWAs are calculated based on measures of exposure which include the following:",
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      "text": "Market Risk",
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      "text": "For both risk management purposes and regulatory capital calculations, we use a single VaR model which captures risks, including those related to interest rates, equity prices, currency rates and commodity prices. However, VaR used for risk management purposes differs from VaR used for regulatory capital requirements (regulatory VaR) due to differences in time horizons, confidence levels and the scope of positions on which VaR is calculated. For risk management purposes, a 95% one-day VaR is used, whereas for regulatory capital requirements, a 99% 10-day VaR is used to determine Market RWAs and a 99% one-day VaR is used to determine regulatory VaR exceptions. In addition, the daily net revenues used to determine risk management VaR exceptions (i.e., comparing the daily net revenues to the VaR measure calculated as of the end of the prior business day) include intraday activity, whereas the Capital Framework requires that intraday activity be excluded from daily net revenues when calculating regulatory VaR exceptions. Intraday activity includes bid/offer net revenues, which are more likely than not to be positive by their nature. As a result, there may be differences in the number of VaR exceptions and the amount of daily net revenues calculated for regulatory VaR compared to the amounts calculated for risk management VaR.",
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      "text": "2023 Resolution Plan",
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