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Pillar 3 Quarterly Disclosures as at 31 March 2015
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: BIFR1
(FRB or the bank)
PILLAR 3 QUARTERLY DISCLOSURES AS AT 31 MARCH 2015
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. FRB reflects solo supervision, i.e. excludes foreign
branches and subsidiaries.
CAPITAL ADEQUACY
The capital positions (excluding unappropriated profits) for the
group and bank at 31 March 2015 are set out below.
R million FSR FRB
Common Equity Tier 1 capital
Ordinary share capital and premium 7 970 15 308
Qualifying reserves 71 751 44 650
Non-controlling interests 664 -
Regulatory deductions (2 361) (3 054)
Total Common Equity Tier 1 capital 78 024 56 904
Total Additional Tier 1 capital 4 941 2 100
Total Tier 1 capital 82 965 59 004
Tier 2 capital
Tier 2 instruments 11 548 11 428
Other qualifying reserves 947 164
Regulatory deductions - (2 293)
Total Tier 2 capital 12 495 9 299
Total qualifying capital and reserves 95 460 68 303
Total minimum requirement per risk type:
Credit risk 42 948 33 964
Counterparty credit risk 1 401 1 328
Operational risk 10 112 7 169
Market risk 1 360 1 224
Equity investment risk 3 017 539
Other assets 3 283 1 821
Total minimum capital requirement 62 121 46 045
Common Equity Tier 1 capital ratio (%) 12.6 12.4
Tier 1 capital ratio (%) 13.4 12.8
Total capital ratio (%) 15.4 14.8
Notes:
- The minimum capital requirement excludes any bank-specific
individual capital requirement and is reported at 10%.
LEVERAGE
The leverage ratios for the group and bank at 31 March 2015 are
set out below.
FSR FRB
Tier 1 capital measure (R million) 82 965 59 004
Total exposure measure (R million) 1 098 685 959 623
Leverage ratio (%) 7.6 6.1
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; 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 on 1 January
2015 with 10% incremental increases each year to 100% on 1 January
2019.
The average liquidity coverage ratios for the group and bank are
set out below.
FSR FRB
High quality liquid assets(R million) 102 332 91 573
Net cash flows (R million) 169 635 146 294
Required LCR (%) 60.0 60.0
Actual LCR (%) 60.3 62.6
The group seeks to exceed the minimum LCR requirement with a
sufficient buffer to allow for funding flow volatility as
determined by its internal liquidity risk appetite. For the 2015
financial year, the group targets a minimum LCR of 70%. The bank
has successfully applied for a committed liquidity facility (CLF)
from the SARB as provided for under guidance notes 5 of 2012, 6 of
2013 and 8 of 2014, however, it is not able to recognise the CLF
for LCR purposes until it has collateral as defined by the
guidance notes to position against the facility. On positioning of
collateral under the CLF, the LCR will exceed the group’s internal
target.
To mitigate net cash outflows given balance sheet growth and to
meet internal liquidity risk appetite, the group will continue to
increase high quality liquid assets via the accumulation of level
1 and level 2 assets together with utilisation of the SARB CLF.
Notes:
- The consolidated LCR for the group 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 60% 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
bank 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/interim-results.aspx.
- This announcement is also available on the group’s website: www.firstrand.co.za.
Sandton
27 May 2015
Sponsor
RAND MERCHANT BANK (a division of FirstRand Bank Limited)
Date: 27/05/2015 03:23:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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