Under the Basel II.5/III framework for general market risk, the capital requirement based on internal models is calculated as the sum of the maximum of the latest available 10-day 99% VaR and the multiplier times the 60-day average 10-day 99% VaR, plus the maximum of the latest available 10-day 99% Stressed VaR and the multiplier times the 60-day average 10-day 99% Stressed VaR.

For market risk capital, we must use the 99% confidence level.

From the table at the 99.0% confidence level: $VaR_{latest} = 970$ $VaR_{avg} = 900$ $sVaR_{latest} = 2,200$ $sVaR_{avg} = 2,460$

Given the multiplication factor ($m_c$ and $m_s$) is 4: Capital Requirement = $\max(VaR_{latest}, VaR_{avg} \times 4) + \max(sVaR_{latest}, sVaR_{avg} \times 4)$ = $\max(970, 900 \times 4) + \max(2,200, 2,460 \times 4)$ = $\max(970, 3,600) + \max(2,200, 9,840)$ = $3,600 + 9,840 = 13,440$ million CAD.