Compare each desk’s

• 1-Day VaR 97.5% versus one year of current observations of desk’s one-day actual P&L and hypothetical P&L
• 1-Day VaR 99% versus one year of current observations of desk’s one-day actual P&L and hypothetical P&L

A desk with more than 12 exceptions at the 99th percentile or 30 exceptions at the 97.5th percentile in the most recent 12-month period must be capitalized using the standardised approach.