NEDBANK CAPITAl - Nedbank Group Limited

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OVERVIEWThe additional disclosure below depicts the contractual and BaU liquidity mismatches in respect of Nedbank Limited, and highlightsthe split of total deposits into stable and more volatile. Based on the behaviour of the bank’s clients, it is estimated that in excess of83% of the total deposit base is stable in nature.Nedbank Limited* contractual balance sheet mismatch at year-endMore thanRm Total Next day 2 to 7 days8 days to1 month1 monthto 2 monthsContractual maturity of assets 509 150 47 759 5 921 31 156 11 496Loans and advances 398 899 29 810 2 445 18 590 6 682Trading, hedging and other investment instruments 71 295 4 930 3 243 11 011 4 542Other assets 38 956 13 019 233 1 555 272Contractual maturity of liabilities 509 150 161 943 19 629 74 292 29 018Stable deposits 348 378 139 898 10 470 55 617 22 474Volatile deposits 72 197 14 982 1 537 9 236 5 575Trading and hedging instruments 50 240 7 063 7 622 9 439 969Other liabilities 38 335On-balance-sheet contractual mismatch (114 184) (13 708) (43 136) (17 522)Cumulative on-balance-sheet contractualmismatch (114 184) (127 892) (171 028) (188 550)GROUP REPORTSThe BaU table below shows the expected liquidity mismatch under normal market conditions after taking into account the behaviouralattributes of Nedbank Limited’s stable deposits, savings and investment products.Nedbank Limited* BaU balance sheet mismatch at year-endMore than1 monthto 2 monthsRm Total Next day 2 to 7 days8 days to1 monthBaU maturity of assets 509 150 27 358 2 667 14 263 10 031Loans and advances 398 899 6 861 2 327 9 299 8 365Trading, hedging and other investment instruments 71 295 20 497 340 3 410 1 394Other assets 38 956 1 554 272BaU maturity of liabilities 509 150 17 788 10 813 31 567 20 900Stable deposits 348 378 444 1 158 7 989 14 356Volatile deposits 72 197 1 705 5 030 19 083 5 575Trading and hedging instruments 50 240 15 639 4 625 4 495 969Other liabilities 38 335On-balance-sheet BaU mismatch 9 570 (8 146) (17 304) (10 869)9 570 1 424 (15 880) (26 749)Cumulative on-balance-sheet BaUmismatchOPERATIONAL REVIEWS* Nedbank Limited refers to the SA reporting entity in terms of Regulation 38 (BA700) of the SA banking regulations.As per the table above Nedbank Limited’s BaU inflows exceed outflows overnight to one week, taking into account behaviouralassumptions, including rollover assumptions associated with term deals and excluding BaU management actions.As per the graph below the improved BaU maturity mismatch in 2009, when compared with 2008, can be attributed to thefollowing: Previously Nedbank Limited adopted a very conservative approach when estimating the BaU mismatch, which meansthat Nedbank Limited previously assumed that no term deposits were refinanced and that they resulted in a cash outflow onmaturity of the deposit. As this does not reflect reality under normal market conditions, refinancing assumptions (having beenstatistically derived) have now been applied to term funding, thus yielding a more realistic BaU mismatch.GOVERNANCE171NEDBANK GROUP ANNUAL REPORT 2009
isk and BALANCE SHEET management reportNedbank Limited behavioural liquidity mismatchPercentage420-2-4-6-8-10-12-14Next day2 to 7 days8 days to 1 month1 to 2 months2 to 3 months3 to 6 months20092008(Expressed on total assets and based on maturity assumptions before rollovers and risk management)Note: The improvement in the 2009 profile is mainly due to refinements to the refinancing assumptions as detailed above.Interest rate risk in the banking bookNedbank Group is exposed to IRRBB primarily because:• the bank writes a quantum of prime-linked advances;• funding is prudently raised across the curve at fixed-term deposit rates that reprice only on maturity;• three-month JIBAR-linked swaps and forward rate agreements are typically used in the risk management of term deposits andfixed-rate advances;• short-term demand funding products reprice to different short-end base rates;• certain non-repricing transactional deposit accounts are non-rate-sensitive; and• the bank has a mismatch in net non-rate-sensitive balances, including shareholders’ funds that do not reprice for interest ratechanges.IRRBB comprises:• Repricing risk (mismatch risk) – timing difference in the maturity (for fixed rate) and repricing (for floating rate) of bank assets,liabilities and off-balance-sheet positions.• Reset or basis risk – imperfect correlation in the adjustment of the rates earned and paid on different instruments with otherwisesimilar repricing characteristics.• Yield curve risk – changes in the shape and slope of the yield curve.• Embedded optionality – the risk pertaining to interest-related options embedded in bank products.Nedbank Group interest rate repricing profile at year-endBetween3 and6 monthsBetween6 and12 months > 1 yearWithinNon-rate-Rm3 monthssensitiveNet repricing profile before hedging 65 358 (27 622) (32 210) 31 335 (36 861)Net repricing profile after hedging 33 999 (1 017) (2 726) 6 605 (36 861)Cumulative repricing gap after hedging 33 999 32 982 30 256 36 861172NEDBANK GROUP ANNUAL REPORT 2009
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NEDBANK CAPITAl - Nedbank Group Limited

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