NEDBANK CAPITAl - Nedbank Group Limited

isk and BALANCE SHEET management reportAIRB Approach for Nedbank LimitedAll credit exposure and asset classes in Nedbank Limited are covered by the Basel II AIRB Approach.Summary of the AIRB Approach for Nedbank Limited**Basel II credit exposures by business cluster and asset class2009AIRB onbalancesheetexposureAIRB offbalancesheetexposureRepurchaseand resaleexposureDerivativeexposureTotal credit Exposure atextended* defaultDownturnexpectedloss(performing)Best estimateof expectedloss (nonperforming)RmNedbank Business Banking 52 013 19 201 – – 71 214 69 546 454 819Corporate 6 303 2 784 9 087 8 348 67 4Specialised lending – incomeproducingreal estate 2 211 189 2 400 2 450 8 7SME – corporate 19 390 7 805 27 195 26 528 154 202Public sector entities 2 3 5 3Local government and municipalities 298 25 323 333 1Banks 1 88 89 88Retail mortgages 4 314 1 272 5 586 5 454 35 99Retail – other 2 580 227 2 807 2 857 34 162SME – retail 16 914 6 808 23 722 23 485 155 345Nedbank Corporate 129 191 58 907 – – 188 098 171 536 394 417Corporate 62 251 49 564 111 815 96 279 204 75Specialised lending – high-volatilitycommercial real estate 7 442 629 8 071 8 231 58 61Specialised lending – incomeproducingreal estate 39 998 2 080 42 078 43 447 103 259SME – corporate 4 096 995 5 091 4 987 25 22Public sector entities 10 642 3 377 14 019 13 221 2Local government and municipalities 4 357 322 4 679 4 767 1Banks 377 1 940 2 317 575Retail – other 1 1 1SME – retail 27 27 28 1Nedbank Capital 46 657 7 783 8 026 12 976 75 441 60 833 140 29Corporate 14 753 316 875 3 326 19 270 18 814 123 20Specialised lending – object finance 439 439 457 2Specialised lending – commoditiesfinance 55 55 57Specialised lending – project finance 4 811 4 811 4 989 9SME – corporate 2 186 188 234 1Public sector entities 2 561 467 702 3 729 3 480Local government and municipalities 417 451 99 967 474Sovereign 5 302 5 302 5 303 9Banks 18 283 98 6 198 7 646 32 225 21 148 4Securities firms 35 854 889 858Retail mortgages 4 4 4Retail – other 6 6 7SME – retail 36 153 189 222 1Securitisation exposure 7 367 7 367 4 786142NEDBANK GROUP ANNUAL REPORT 2009