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Investor Presentaiton

NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2021 46 RISK MANAGEMENT (CONTINUED) M. Market Risk (continued) Market risk oversight and management process (continued) 31 December 2020 Market risk measure Assets subject to market risk Cash and deposits with Central Banks Due from banks Loans and receivables Investment securities Investments in associates Positive fair value of derivatives AED 000 Trading portfolio AED 000 Non-trading portfolio AED 000 100,841,896 34,997,680 443,541,469 72,695,287 5,895,902 201,628 100,841,896 34,997,680 443,541,469 66,799,385 201,628 13,697,399 11,720,619 1,976,780 Liabilities subject to market risk Due to banks 51,672,068 Customer deposits 464,197,034 Debt issued and other borrowed funds 54,662,670 Sukuk payable 5,510,933 Negative fair value of derivatives 10,775,231 9,826,150 51,672,068 464,197,034 54,662,670 5,510,933 949,081 The impact of sensitivity analysis on foreign exchange risk and equity price risk on the income statement and other comprehensive income is immaterial. 111 EMIRATES NBD BANK PJSC - GROUP CONSOLIDATED FINANCIAL STATEMENTS - FOR THE YEAR ENDED 31 DECEMBER 2021 112 46 RISK MANAGEMENT (CONTINUED) M. Market Risk (continued) Trading book oversight by Group Market & Treasury Credit Risk (MTCR) MTCR monitors the limits' utilisation in the Trading Book of the Group on a daily basis through a multi-layered Limit Monitoring System which uses independently sourced data and reports from the GM&T IT systems. Depending on the trading exposure and as appropriate, MTCR uses appropriate metrics including: 1. Non statistical metrics: Interest rate sensitivity, (DV01/PV01), FX sensitivity (FX01), Net open/Net Gross outstanding positions, Maximum notional and tenor measures, Derivatives' Greek sensitivities (Delta, Gamma, Vega), and Stop Loss limits; 2. Statistical metrics: Value-at-Risk (VaR), by Desk as well as total for the whole Trading Book. The Group is not significantly exposed to structural FX Risk - which is a component of market risk - since the majority of the assets and liabilities of the Group are denominated predominately in either AED or in USD- pegged currencies from other GCC countries. Value-at-Risk To better capture the multi-dimensional aspects of market risk, the Group's primary market risk metric is a statistical one, Value-at-Risk, which is used for short-term risk holding periods. VaR metrics are calculated daily for the specific Trading Desk, such as Interest Rate Desk VaR, Foreign Exchange Desk VaR and overall Trading Book VaR. The Group's year-end VaR numbers reported below have been calculated using the following parameters: Statistical level of confidence: 99% Holding period: 1 business day Methodology: Full Revaluation, Historical Simulation using over 2 years of historical market data 2021 AED 000 2020 AED 000 Average Maximum Minimum Actual* Average Maximum Minimum Actual* By Trading desk Interest rate risk Foreign exchange risk Credit trading risk 15,780 25,764 7,968 9,066 6,505 12,637 3,449 11,921 3,124 13,735 923 2,792 2,258 10,394 257 2,703 3,801 8,134 1,579 1,750 3,105 7,627 559 5,589 Total 17,007 29,354 7,218 9,283 8,017 14,714 4,378 12,890 *Note that the sum of asset class VaR metrics does not add up to the reported Total VaR metric due to diversification and cross correlation effects. بنك الإمارات دبي الوطني Emirates NBD
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