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.
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