This is the value, as at the relevant date, of the maximum potential change in the economic value of banking book items in the relevant currency or composite of currencies over the following year, for a 99 per cent confidence level, arising from basis riskBasis risk represents the risk of loss in earnings or economic value arising from differences between the actual and expected interest margins on banking book items, where 'margin' means the difference between the interest rate on the items and the implied cost of funds for those items.