This is the number of back-testing exceptions calculated for the duration of the relevant period, as determined in accordance with relevant prudential standards.Back-testing represents the process of comparing the daily trading outcome (profit or loss) with the corresponding VaR number for that day. For the purposes of this item, exceptions are reported where the trading outcome on a particularly day is a loss that exceeds the corresponding VaR number for that day.VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio based on analysis of historical price movements and volatilities, over a specified observation period.For the purposes of this item the VaR used is to be the 99% ten-day VaR number calculated daily over the relevant period. A 99% ten-day VaR represents a simulated mark-to-market loss for which there is a 1% probability of occurrence over the next ten days, assuming there is no trading of the portfolio.