Investor Presentaiton
NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2021
46
RISK MANAGEMENT (CONTINUED)
M.
Market Risk (continued)
NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2021
46
RISK MANAGEMENT (CONTINUED)
M.
Market Risk (continued)
Respective portfolio managers are accountable for managing market risk within the approved limits. These
managers have extensive knowledge of markets and products, their risk exposures and of the financial
instruments available to hedge their exposures.
The Group's risk exposures to market risk are segregated into Trading and Banking Books. The Trading Book
include those financial instruments held with trading intent arising from market-making, position-taking and
other so designated financial instruments accounted for at fair value daily. The Banking Book include financial
instruments not held with trading intent that arise from the management of Interest Rate risk and FX risk from
the Group's retail and corporate and institutional banking assets and liabilities, and other financial investments
designated as either FVOCI or Amortised Cost.
Market risk oversight and management process
As part of the Group's enterprise-wide risk management framework, an extensive governance process is
applied to the market risk taking activities. This governance framework includes, inter alia:
.
.
Approval by the Board Risk Committee and Group Asset-Liability Committee of a set of risk limits with
appropriate monitoring, reporting and limits excesses' escalation procedures;
Independent valuation of financial instruments in the Trading Book and measurement of market risk;
A comprehensive set of policies, procedures and limits; and
Monitoring a wide range of risk metrics appropriate for the respective trading activities such as risk
sensitivities, Gross and Net open positions, Value-at-Risk (VaR) and stop-loss limits.
Market risk oversight and management process (continued)
The Group uses appropriate and independently validated market standard models for the revaluation and
risk measurement of its linear and non-linear financial products and receives regular market information from
independent market data providers in order to measure and monitor market risk.
Details of allocation of assets and liabilities subject to market risk between trading and non-trading portfolios
are as follows:
Assets subject to market risk
Cash and deposits with Central Banks
Due from banks
Loans and receivables
Investment securities
AED 000
31 December 2021
Market risk measure
Trading
portfolio
AED 000
Non-trading
portfolio
AED 000
70,753,613
45,343,248
422,272,390
106,156,886
70,753,613
45,343,248
422,272,390
2,492,360
103,664,526
109
EMIRATES NBD BANK PJSC - GROUP CONSOLIDATED FINANCIAL STATEMENTS - FOR THE YEAR ENDED 31 DECEMBER 2021
110
Investments in associates
Positive fair value of derivatives
10,658,925
10,133,018
525,907
Liabilities subject to market risk
Due to banks
43,755,207
43,755,207
Customer deposits
456,483,888
456,483,888
Debt issued and other borrowed funds
63,387,228
63,387,228
Sukuk payable
3,672,500
3,672,500
Negative fair value of derivatives
9,186,321
7,966,273
1,220,048
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