2022-23 SGI CANADA Annual Report

Foreign exchange risk The investment policy defines maximum limits to exchange rate sensitive assets within the investment portfolio. The following table indicates the exposure to exchange rate sensitive assets and provides the sensitivity to a 10% appreciation/depreciation in the Canadian dollar and the corresponding decrease/increase in net income and retained earnings: Asset Class Global equities Global small cap equities Asset Class Global equities Global small cap equities 2023 Maximum exposure (%) Current exposure (%) 17.5 12.7 $ 4.0 2.3 2022 10% change in exchange rates (thousands of $) 18,578 3,392 10% change in Maximum exposure (%) Current exposure (%) exchange rates 16.0 12.0 $ 4.0 2.2 (thousands of $) 16,155 2,973 As the global equity funds are classified as fair value through profit and loss, any unrealized changes due to foreign currency are recorded in net income. There is no exposure to foreign exchange risk within the Corporation's bond and debenture portfolio. As well, no more than 10% of the market value of the bond portfolio shall be invested in bonds of foreign issuers. The Corporation's exposure to exchange rate risk resulting from the purchase of goods and services, and claims and reinsurance receivables and payables, are not considered material to the operations of the Corporation. Equity prices The Corporation is exposed to changes in equity prices in Canadian and global markets. Equities comprise 20.4% (2022-19.8%) of the carrying value of the Corporation's total investments. Individual stock holdings are diversified by geography, industry type and corporate entity. No one investee or related group of investees represents greater than 10% of the market value of the Corporation's common share portfolio. As well, no one holding represents more than 10% of the voting shares of any corporation. The Corporation's equity price risk is assessed using Value at Risk (VaR), a statistical technique that measures the potential change in the value of an asset class. The VaR has been calculated based on volatility over a four-year period, using a 95% confidence level. It is expected that the annual change in the portfolio market value will fall within the range outlined in the following table 95% of the time (19 times out of 20 years). Asset Class Canadian equities Global equities Global small cap equities (thousands of $) 2023 2022 $ +/- +/- +/- 24,935 $ +/- 52,575 12,491 +/- +/- 23,203 44,667 9,972 2022-23 SGI CANADA Annual Report 71

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