This is the value, calculated as at the relevant date, of the Value-at-Risk method capital requirement, as determined in accordance with relevant prudential standards.The capital requirement is the larger of 'End of Period VaR' and 'Scaled Average VaR' across asset classes plus the 'Incremental Default Risk Charge'.VaR, or Value at Risk, is a technique used to estimate the likelihood of losses in a portfolio, based on the analysis of historical price movements and volatilities, over a specified observation period.Scaled average VaR represents the average VaR, calculated over the most recent 60 trading days prior to and including the relevant date, multiplied by the scaling factor applicable.For the purposes of this item the amount reported is the average of 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.