Investor Presentaiton

46 RISK MANAGEMENT (CONTINUED) R. Interest rate risk in the banking book NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 Interest Rate Risk in the Banking Book (IRRBB) is defined as the exposure of the non-trading products of the Group to interest rates. Non-trading portfolios include all banking book positions that arise from the interest rate on the Group's retail and corporate and institutional banking assets and liabilities, and financial investments designated as FVOCI and amortised cost/held to maturity. IRRBB arises principally from mismatches between the future yields on assets and their funding costs, as a result of interest rate changes. In order to manage this risk optimally, IRRBB in non-trading portfolios is transferred to Group Treasury under the supervision of the Group ALCO, through Funds Transfer Pricing (FTP) Systems. Group ALCO is required to regularly monitor all such interest rate risk positions to ensure they comply with interest rate risk limits. For measuring overall interest sensitivity in the banking book, the Group conducts stress tests by simulating parallel shifts to the yield curve(s) ranging from 50 basis points to 200 basis points, and assessing the corresponding impact on its Net Interest Income. Amount AED 000 Rates Up 200 bps 17,659,482 Base Case 14,651,672 Rates Down 200 bps 14,240,910 As at 31 December 2021 (378,899) The interest rate sensitivities set out in the table above are based on a set scenario i.e. the projections above assume that interest rates of all maturities move by the same amount and, therefore, do not reflect the potential effect on net interest income of some rates changing while others remain unchanged. The projections also make the assumption that all positions run to maturity. This effect does not incorporate actions that would be taken by Group Treasury or in the business units to mitigate the impact of this interest rate risk. In practice, Group Treasury seeks proactively to change the interest rate risk profile to minimise losses and optimise net revenues. 121 EMIRATES NBD BANK PJSC - GROUP CONSOLIDATED FINANCIAL STATEMENTS - FOR THE YEAR ENDED 31 DECEMBER 2021 122 Variance AED 000 AED 000 3,007,810 18,947,846 16,521,436 (410,762) 16,142,537 As at 31 December 2020 Amount Variance AED 000 2,426,410 NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 46 RISK MANAGEMENT (CONTINUED) S. Interest rate repricing analysis* 31 December 2021 ASSETS Cash and deposits with Central Bank Due from banks Investment securities Loans and receivables Positive fair value of derivatives Customer acceptances Property and equipment 119,568,860 ------------------ ---------------------- 267,677,314 -------------- 44,791,318 *Represents when the interest rate will be repriced for each class of assets and liabilities. Goodwill and Intangibles Other assets TOTAL ASSETS بنك الإمارات دبي الوطني Emirates NBD ---------------------- 32,563,020 Total AED 000 70,753,613 45,343,248 106,156,886 422,272,390 10,658,925 11,343,522 3,747,621 5,981,491 ---------- 120,465,381 11,178,922 ---------------- 687,436,618

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