SBN HOLDINGS LIMITED Annual Report 2022

ANNEXURE BRISK AND CAPITAL MANAGEMENT/FUNDING AND LIQUIDITY RISK continued 138 The table also includes contractual cash flows with respect to off-balance sheet items. Where cash flows are exchanged simultaneously, the net amounts have been reflected. GROUP 2022 Liabilities Redeemable Maturing within Maturing between Maturing between on demand N$'000 1 month N$'000 1-6 months N$'000 6-12 months N$'000 Maturing after 12 months N$'000 Total N$'000 Derivative liabilities 32 310 108 453 Trading liabilities 8 075 25 959 2 782 Deposits and current accounts 20 631 824 338 304 2 618 978 2 207 335 Debt securities issued Other financial liabilities 458 755 Total 21 090 579 1 981 380 670 8 017 300 000 7 838 1 556 966 2 193 500 14 897 2 761 407 2 517 955 3 765 363 Unrecognised financial liabilities Letters of credit and bankers' acceptances 320 134 092 134 412 Guarantees 6 984 32 005 1 340 863 297 465 1 677 317 Unutilised borrowing facilities 2 981 232 2 981 232 Total 2 981 232 6 984 32 325 1 474 955 297 465 4 792 961 2021 Liabilities MARKET RISK SBN HOLDINGS LIMITED Annual report 2022 140 763 36 816 27 353 407 2 493 500 491 488 30 515 974 70 576 55 772 28 242 080 1961 123. 637 435 30 966 986 Definition Market risk is the risk of a change in the market value, actual or effective earnings, or future cash flows of a portfolio of financial instruments, including commodities, caused by adverse movements in market variables such as equity, bond and commodity prices, currency exchange and interest rates, credit spreads, recovery rates, correlations and implied volatilities in all of these variables. The group's key market risks are trading book market risk ■Interest rate in the banking book (IRRBB) ■foreign currency risk Trading book market risk Definition Trading book market risk is represented by financial instruments, including commodities, held in the trading book, arising out of normal global markets' trading activity. Approach to managing market risk in the trading book The group's policy is that all trading activities are undertaken within the group's global markets' operations. The market risk functions are independent of the group's trading operations and are overseen by the market risk committee which is accountable to the relevant legal entity ALCOS. All value at risk (VaR) and stressed VaR (SVaR) limits require prior approval from the respective entity ALCOs. The market risk functions have the authority to set these limits at a lower level. Market risk teams are responsible for identifying, measuring, managing, monitoring and reporting market risk as outlined in the market risk governance standard. Exposures and excesses are monitored and reported daily. Where breaches in limits and triggers occur, actions are taken by market risk functions to bring exposures back in line with approved market risk appetite, with such breaches being reported to management and entity ALCOs. VaR and SVaR The group uses the historical VaR and SVaR approach to quantify market risk under normal and stressed conditions. For risk management purposes VaR is based on 251 days of unweighted recent historical data updated at least monthly, a holding period of one day and a confidence level of 95%. The historical VaR results are calculated in four steps: ■calculate 250 daily market price movements based on 251 days' historical data. Absolute movements are used for interest rates and volatility movements; relative for spot, equities, credit spreads, and commodity prices ■calculate hypothetical daily profit or loss for each day using these daily market price movements ■aggregate all hypothetical profits or losses for day one across all positions, giving daily hypothetical profit or loss, and then repeat for all other days ■ VaR is the 95th percentile selected from the 250 days of daily hypothetical total profit or loss. Daily losses exceeding the VaR are unlikely to occur. Limitations of historical VaR are acknowledged globally and include: ■the use of historical data as a proxy for estimating future events may not encompass all potential events, particularly those which are extreme in nature ■the use of a one-day holding period assumes that all positions can be liquidated or the risk offset in one day. This will usually not fully reflect the market risk arising at times of severe illiquidity, when a one-day holding period may be insufficient to liquidate or hedge all positions fully ■the use of a 95% confidence level, by definition, does not take into account losses that might occur beyond this level of confidence. VaR is calculated on the basis of exposures outstanding at the close of business and, therefore, does not necessarily reflect intra-day exposures. VaR is unlikely to reflect loss potential on exposures that only arise under significant market movements. Derivative liabilities 12 046 27 808 14 857 15 865 Trading liabilities 10 040 20 990 24 742 Deposits and current accounts 20 521 638 1 967 320 2 708 392 1 883 507 1 161 223 Debt securities issued 7 756 35 911 43 667 1 873 789 Other financial liabilities 583 307 2 940 11 898 11 633 27 657 Total 21 116 991 2015 864 2 792 048 1 979 414 3 062 669 Unrecognised financial liabilities Letters of credit and bankers' acceptances 14 182 189 14 371 Guarantees 66 268 1 450 459 308 540 1 825 267 Unutilised borrowing facilities 5 588 026 5 588 026 Total 5 588 026 80 450 1 450 459 308 729 7 427 664 139

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