FIRSTRAND LIMITED - Pillar 3 quarterly disclosures as at 30 September 2016

Pillar 3 quarterly disclosures as at 30 September 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 interest rate issuer: FRII
JSE company code debt issuer: FRD
(FRB or the bank)

PILLAR 3 QUARTERLY DISCLOSURES AS AT 30 SEPTEMBER 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 quarterly information on its capital adequacy,
leverage and liquidity ratios. 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 for the quarter ended 30 September 2016 are set out
below.

R million                                         FSR         FRB
Common Equity Tier 1 capital
Ordinary share capital and premium              8 008        16 808
Qualifying reserves                            80 174        52 370
Non-controlling interests                       2 685             -
Regulatory deductions                         (4 609)         (517)
Total Common Equity Tier 1 capital             86 258        68 661

Total Additional Tier 1 capital                 4 692         1 800

Total Tier 1 capital                           90 950        70 461

Tier 2 capital
Tier 2 instruments                             16 364        15 943
Other qualifying reserves                       1 057           493
Regulatory deductions                         (1 523)         (140)
Total Tier 2 capital                           15 898        16 296

Total qualifying capital and reserves         106 848        86 757

Total minimum capital requirement per risk type:
Credit risk                                    49 525        42 119
Counterparty credit risk                        2 361         2 239
Operational risk                               11 427         8 892
Market risk                                     2 064         2 016
Equity investment risk                          2 863           789
Other assets                                    4 748         2 721
Total minimum capital requirement              72 988        58 776
Common Equity Tier 1 capital ratio (%)          12.3%         12.1%
Tier 1 capital ratio (%)                        12.9%         12.4%
Total capital ratio (%)                         15.2%         15.3%

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), and is reported at
  10.375%.
- There is currently no requirement for the countercyclical buffer
  add-on.
- Other assets include the investments in financial, banking and
  insurance entities, and deferred tax assets relating to
  temporary differences.

LEVERAGE
The leverage ratio is a supplementary measure to the risk-based
capital requirements. The leverage ratios for the group and bank
for the quarter ended 30 September 2016 and preceding three
quarters are set out below.

FSR
                                Tier 1         Total    Leverage
R million                      capital      exposure   ratio (%)
September 2016                  90 950     1 212 028       7.50%
June 2016                       91 641     1 219 661       7.51%
March 2016                      86 720     1 203 819       7.20%
December 2015                   88 904     1 189 120       7.48%

FRB
                                Tier 1         Total    Leverage
R million                      capital      exposure   ratio (%)
September 2016                  70 461     1 090 004       6.46%
June 2016                       70 336     1 102 059       6.38%
March 2016                      66 909     1 083 165       6.18%
December 2015                   68 134     1 068 858       6.37%


Notes:
-   FRB includes foreign branches and subsidiaries.
-   Actual closing balances used at each reporting period.
-   Ratios exclude unappropriated profits.
-   No material changes noted in the group and bank’s leverage
    ratio.

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
unencumbered high quality liquid assets (HQLA) to survive the net
cash outflows expected during a significant stress scenario for 30
calendar   days.  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
Regulation 43 (e), read with relevant directives specify 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 30 September 2016 are set out below.

                                                  FSR            FRB
HQLA(R million)                               165 551        152 472
Net cash outflows (R million)                 167 470        136 717
Required LCR (%)                                   70             70
Actual LCR (%)                                     99            112

FirstRand seeks to exceed the minimum LCR requirement in a
sustainable manner and to hold a sufficient buffer to allow for
volatility as determined by the group’s own internal liquidity
risk appetite.

FRB has applied for the committed liquidity facility (CLF) from
the SARB for the calendar year 2017 as provided for under guidance
note 5 of 2015 and 6 of 2016. The CLF for 2015 and 2016 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.


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.
- This announcement is also available on the group’s website:
  http://www.firstrand.co.za/investorcentre/pages/sens_announcemen
  ts_mvc.aspx


Sandton
30 November 2016

Sponsor
RAND MERCHANT BANK (a division of FirstRand Bank Limited)

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