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Pillar 3 Quarterly Disclosures as at 31 March 2016
FirstRand Limited
(Incorporated in the Republic of South Africa)
(Registration number 1966/010753/06)
JSE ordinary share code: FSR
Ordinary share ISIN: ZAE000066304
JSE B preference share code: FSRP
B preference share ISIN: ZAE000060141
NSX ordinary share code: FST
(FSR or the group)
FirstRand Bank Limited
(Incorporated in the Republic of South Africa)
(Registration number 1929/001225/06)
JSE company code: FRII
(FRB or the bank)
PILLAR 3 QUARTERLY DISCLOSURES AS AT 31 MARCH 2016
In accordance with Pillar 3 of the Basel Accord, Regulation
43(1)(e) of the Regulations relating to Banks requires the group
to disclose quantitative information on its capital adequacy and
liquidity ratios. Leverage is a supplementary measure to risk-
based capital requirements and directive 4 of 2014 requires
quarterly disclosure of the leverage position. The figures below
have not been reviewed and reported on by the group’s external
auditors.
CAPITAL ADEQUACY
The capital positions (excluding unappropriated profits) for the
group and bank at 31 March 2016 are set out below.
R million FSR FRB
Common Equity Tier 1 capital
Ordinary share capital and premium 8 019 16 808
Qualifying reserves 77 087 49 577
Non-controlling interests 677 -
Regulatory deductions (3 630) (1 276)
Total Common Equity Tier 1 capital 82 153 65 109
Total Additional Tier 1 capital 4 567 1 800
Total Tier 1 capital 86 720 66 909
Tier 2 capital
Tier 2 instruments 12 921 13 463
Other qualifying reserves 810 284
Regulatory deductions - (149)
Total Tier 2 capital 13 731 13 598
Total qualifying capital and reserves 100 451 80 507
Total minimum capital requirement per risk type:
Credit risk 49 234 41 657
Counterparty credit risk 1 828 1 750
Operational risk 10 781 8 330
Market risk 1 738 1 618
Equity investment risk 3 598 813
Other assets 3 839 2 211
Total minimum capital requirement 71 018 56 379
Common Equity Tier 1 capital ratio (%) 12.0 12.0
Tier 1 capital ratio (%) 12.7 12.3
Total capital ratio (%) 14.7 14.8
Notes:
- FRB includes foreign branches and subsidiaries.
- The disclosed minimum capital requirement excludes the bank-
specific individual capital requirement and add-on for domestic
systemically important banks (D-SIB), which is reported at
10.375%.
LEVERAGE
The leverage ratios for the group and bank at 31 March 2016 are
set out below.
R million FSR FRB
Tier 1 capital measure 86 720 66 909
Total exposure measure 1 203 819 1 083 165
Leverage ratio (%) 7.2 6.2
Notes:
- FRB includes foreign branches and subsidiaries.
LIQUIDITY
The liquidity coverage ratio (LCR) is the first minimum standard
for funding and liquidity under the Basel III regime. The
objective of the LCR is to promote short-term resilience of a
bank’s liquidity risk profile by ensuring it has sufficient high
quality liquid assets (HQLA) to survive a significant stress
scenario for one month. Regulation 26(12)(a)(vi) requires banks to
continuously meet their liquidity needs by calculating the LCR
from 1 January 2015 on both a solo and consolidated basis; and
directives 6 and 11 of 2014 require quarterly disclosure of the
LCR. The LCR compliance is on a phased in basis, beginning with a
60% minimum requirement from 1 January 2015 with 10% incremental
increases each year to 100% on 1 January 2019. The requirement
effective from 1 January 2016 is 70%.
The average liquidity coverage ratios for the group and bank for
the quarter ended 31 March 2016 are set out below.
FSR FRB
HQLA(R million) 129 749 115 841
Net cash outflows (R million) 178 526 154 451
Required LCR (%) 70 70
Actual LCR (%) 73 75
FRB has an approved committed liquidity facility (CLF) from the
SARB for the calendar year 2016 as provided for under guidance
note 8 of 2014 and 5 of 2015. The CLF was recognised as qualifying
collateral for LCR purposes within the bank’s HQLA and subject to
prescribed haircuts as required by the SARB. The group manages the
HQLA portfolio of level 1 and level 2 assets. The volatility and
determination of the usage of the CLF is within approved risk
appetite.
The group continues to target a buffer in excess of the regulatory
minimum and to reach the end-state LCR requirements in a
sustainable manner.
Notes:
- FRB includes its operations in South Africa.
- The consolidated LCR for the group (FSR) includes FRB’s
operations in South Africa and all registered banks within the
group.
- The surplus HQLA holdings by subsidiaries and foreign branches
in excess of the minimum required LCR of 70% have been excluded
in the calculation of the consolidated group LCR.
- Directive 11 of 2014 requires the LCR to be calculated on a
simple average of the three month end data points for the past
quarter and disclosure at a bank solo and consolidated level for
banks and/or deposit-taking entities.
- Further details on the liquidity coverage ratio can be found
under the group analysis of financial results under the funding
and liquidity section on the group’s website,
http://www.firstrand.co.za/investorcentre/pages/financial-
results.aspx
- This announcement is also available on the group’s website:
http://www.firstrand.co.za/investorcentre/pages/sens_announcemen
ts_mvc.aspx
Sandton
19 May 2016
Sponsor
RAND MERCHANT BANK (a division of FirstRand Bank Limited)
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