NEDBANK CAPITAl - Nedbank Group Limited

isk and BALANCE SHEET management reportVaR utilisation for 2009 (99%, one-day VaR)VaR RmOne-day VaRAverage VaR 2009The risk appetite within all the risk factors remained largely unchanged, with foreign exchange and interest rate activities againproducing consistent revenue.VaR is an important measurement tool and the performance of the model is regularly assessed. The approach to assessing whetherthe model is performing adequately is known as backtesting. Backtesting is simply a historical test of the accuracy of the VaRmodel. To conduct a backtest the bank reviews its actual daily VaR over one year (about 250 trading days) and compares the actualdaily trading revenue (including net interest but excluding commissions and primary revenue) outcomes with its VaR estimate andcounts the number of times the trading loss exceeds the VaR estimate.Nedbank Group used a holding period of one day with a confidence level of 99%, and had no backtesting exceptions for 2009. Thissuggests that VaR, as currently implemented, has been a conservative measure of the potential net revenue variability on the dailytrading activities.VaR profit and loss for 2009Profit and lossVaR RmVaR162NEDBANK GROUP ANNUAL REPORT 2009