NEDBANK CAPITAl - Nedbank Group Limited

isk and BALANCE SHEET management reportRisk factors for 2009Equity stressInterest rate stressCredit stressForex stressCommodity stressRevisions to the Basel II frameworkIn the Revisions to the Basel II Framework published by the Basel Committee in July 2009, a guideline for calculating stressed VaRwas provided. Stressed VaR is calculated using market data taken over a ‘period through which the relevant market factors wereexperiencing stress’. Nedbank Group used historical data from the period 26 March 2008 to 12 March 2009. This period capturessignificant volatility in the SA market.The information in the table below is the comparison of VaR, using three different calculations at 31 December 2009. The threedifferent calculations are historical VaR, extreme tail loss (measures the expected losses in the tail of the distribution) and stressedVaR, using a volatile historical data period. A 99% confidence level and one-day holding period was used for all the calculations.Comparison of trading VaR2009Historical VaR99% (one-day)RmExtreme tail loss99% (one-day)RmStress VaR99% (one-day)RmForeign exchange 3,7 4,2 4,5Interest rates 7,4 12,1 12,5Equities 3,8 5,7 6,5Credit 3,2 3,7 3,8Commodities 1,2 1,3 1,6Diversification (6,0) (10,8) (9,5)Total VaR exposure 13,3 16,2 19,4Equity risk (investment risk) in the banking bookThe total equity portfolio for investment risk is R3 901 million (2008: R3 779 million). R2 947 million (2008: R2 716 million) is heldfor capital gain, while the rest is mainly strategic investments.Equity investments held for capital gain are generally classified as fair value through profit and loss, with fair-value gains and lossesreported in non-interest revenue. Strategic investments are generally classified as available for sale, with fair-value gains and lossesrecognised directly in equity.164NEDBANK GROUP ANNUAL REPORT 2009