SBN HOLDINGS LIMITED Annual Report 2022

MARKET RISK continued 140 Trading book portfolio characteristics VaR for the year under review Trading book market risk exposures arise mainly from residual exposures from client transactions and limited trading for the group's own account. In general, the group's trading desks have run decreased levels of market risk throughout the year for all asset classes when compared to 2021 aggregate normal VaR, and aggregate SVaR. TRADING BOOK NORMAL VAR ANALYSIS BY MARKET VARIABLE 2022 Foreign exchange risk Interest rates Aggregate¹ 2021 Normal VaR Maximum¹ N$'000 Minimum¹ N$'000 Average N$'000 Closing N$'000 456 30 201 119 98 20 43 78 1 450 54 219 155 Foreign exchange risk 787 51 162 Interest rates 105 10 40 258 42 Aggregate¹ 806 51 176 259 1 The maximum and minimum VaR figures reported for each market variable do not necessarily occur on the same day. As a result, the aggregate VaR will not equal the sum of the individual market VaR values and it is inappropriate to ascribe a diversification effect to VaR when these values may occur on different days. TRADING BOOK STRESSED VAR ANALYSIS BY MARKET VARIABLE 2022 Foreign exchange risk Interest rates Aggregate¹ 2021 Stressed VaR Maximum¹ N$'000 Minimum¹ N$'000 Average N$'000 Closing N$'000 1 359 81 608 269 1955 136 443 1 566 1 849 230 806 1 308 INTEREST RATE SENSITIVITY ANALYSIS¹ 2022 SBN HOLDINGS LIMITED Annual report 2022 141 NAD USD TOTAL 200 100 1 053 100 173 568 (1 026) (185 971) Increase in basis points Sensitivity of annual net interest income (N$'000) Decrease in basis points² 172 515 200 (184 945) Sensitivity of annual net interest income (N$'000) 2021 Increase in basis points Sensitivity of annual net interest income (N$'000) Decrease in basis points² Sensitivity of annual net interest income (N$'000) 200 217 124 100 36 217 160. 200 100 (274 478) (14) (274 492) Before tax 2 A floor of 0% is applied to all interest rates under the decreasing interest rate scenario, resulting in asymmetric rate shocks in low rate environments. Foreign currency risk Definition The group's primary non-trading-related exposures to foreign currency risk arise as a result of the translation effect of the group's foreign- denominated financial assets and liabilities. Approach to managing foreign currency risk The group asset and liability committee manages the risk according to existing legislation, Namibian exchange control regulations and accounting parameters. It takes into account naturally offsetting risk positions and manages the group's residual risk by means of forward exchange contracts, currency swaps and option contracts. Foreign currency risk sensitivity analysis The table that follows reflects the expected financial impact, in N$ equivalent, resulting from a 5% shock to foreign currency risk exposures, against N$. The sensitivity analysis is based on net open foreign currency exposures arising from foreign-denominated financial assets and liabilities inclusive of derivative instruments, cash balances and accruals. The sensitivity analysis reflects the sensitivity to OCI and profit or loss on the group's foreign denominated exposures other than those trading positions for which sensitivity has been included in the trading book VaR analysis. FOREIGN CURRENCY RISK SENSITIVITY IN N$ EQUIVALENTS1 USD Euro GBP Other Total Foreign exchange risk 3 134 138 525 772 Interest rates 4 810 GROUP 362 962 473 2022 Aggregate¹ 4 850 440 1 131 899 Total net long/(short) position Sensitivity N$'000 % 4 576 66 174 1 401 5 5 5 5 1 The maximum and minimum VaR figures reported for each market variable do not necessarily occur on the same day. As a result, the aggregate VaR will not equal the sum of the individual market VaR values, and it is inappropriate to ascribe a diversification effect to VaR when these values may occur on different days. Impact on profit or loss/ equity Total net long/(short) position Sensitivity N$'000 N$'000 229 3 9 70 311 4 576 66 174 1 401 % (5) (5) (229) (3) (9) (70) (311) Approach to managing IRRBB Banking book-related market risk exposure principally involves managing the potential adverse effect of interest rate movements on banking book earnings (IRRBB) (net interest income and banking book mark-to-market profit or loss) and the economic value of equity. The group's approach to managing IRRBB is governed by applicable regulations and is influenced by the competitive environment in which the group operates. The group' treasury and capital management team monitors banking book interest rate risk on a monthly basis operating under the oversight of ALCO. Measurement The analytical techniques used to quantify IRRBB include both earnings- and valuation-based measures. The analysis takes into account embedded optionality such as loan prepayments and accounts where the account behaviour differs from the contractual position. The results obtained from forward-looking dynamic scenario analyses, as well as Monte Carlo simulations, assist in developing optimal hedging strategies on a risk-adjusted return basis. Impact on profit or loss/ equity N$'000 2021 Total net long/(short) position Sensitivity N$'000 10 047 4 506 252 6 753 % 5 5 5 5 Impact on profit or loss/ equity N$'000 502 225 13 338 1 078 Total net long/(short) position Sensitivity Impact on profit or loss/ equity N$'000 N$'000 10 047 4 506 252 6 753 % (5) (5) (5) (5) (502) (225) (13) (338) (1 078) 1 Before tax. A 5% appreciation in N$ will have an equal and opposite impact on profit or loss to the amounts disclosed above.

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