Download the PDF (5.4 MB) - Nedbank Group Limited
Download the PDF (5.4 MB) - Nedbank Group Limited
Download the PDF (5.4 MB) - Nedbank Group Limited
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
302 NEDBANK GROUP <strong>Limited</strong> INTEGRATED REPORT 20109 HISTORICAL Value at Risk (99%, ONE-DAY) BY RISK TYPE2010 2009Rm Average Minimum Maximum Year-end Average Minimum Maximum Year-endForeign exchange 2,2 0,6 6,7 3,9 4,1 1,0 10,3 3,7Interest rate 9,0 3,9 14,9 6,2 16,9 7,2 28,7 7,4Equity products 3,6 1,4 9,3 2,8 6,3 2,5 13,3 3,8Credit 2,8 0,8 4,0 4,0 6,0 2,5 10,9 3,2Commodity 0,7 1,5 0,2 0,5 2,4 1,2Diversification (7,3) (6,2) (12,5) (6,0)Total VAR exposure 11,0 6,1 18,3 10,9 21,3 9,9 33,1 13,3Refer to pages 173 to 175 of <strong>the</strong> Risk and Balance Sheet Management Review for information on <strong>the</strong> group trading book VaR and <strong>the</strong> comparisonof trading VaR.10 INTEREST RATE REPRICING GAP>3 months6 months1 year5 yearsTrading,non-rateand foreignRm