To view the PDF file, sign up for a MySharenet subscription.

NEDBANK GROUP LIMITED - Basel III Pillar 3 Disclosure as at 30 September 2015

Release Date: 03/11/2015 08:00
Code(s): NED NBKP     PDF:  
Wrap Text
Basel III Pillar 3 Disclosure as at 30 September 2015

NEDBANK GROUP LIMITED
(Incorporated in the Republic of South Africa)
Registration number: 1966/010630/06
JSE share code: NED
NSX share code: NBK
ISIN: ZAE000004875
('Nedbank Group' or 'the group')


NEDBANK LIMITED
(Incorporated in the Republic of South Africa)
Registration number: 1951/000009/06
JSE share code: NBKP
ISIN: ZAE000043667
("Nedbank Limited" or "the bank")


BASEL III PILLAR 3 DISCLOSURE AS AT 30 SEPTEMBER 2015
The Basel III Pillar 3 disclosure is in accordance with the requirements of the Banks Act, No.
94 of 1990 (the “Banks Act”).


Quarterly disclosure is required on the capital adequacy and leverage ratio of the group and
the bank under Regulation 43(1)(e)(iii) relating to Banks and Directive 4/2014 issued in terms
of section 6 (6) of the Banks Act. Certain of the information required to be disclosed is
included in the group's trading update for the three month period to 30 September 2015 that
was released on 2 November 2015.


CAPITAL ADEQUACY AND LEVERAGE RATIO
Both the group and the bank remain well capitalised at levels significantly above the
minimum regulatory requirements. The common equity tier 1 ratio decreased since 30 June
as organic capital generation was offset by the payment of the interim dividends in
September 2015. The total capital ratios were impacted by the redemption of the old-style
NED11 subordinated-debt instruments during the period. The capital positions of the group
and the bank are set out in the following tables:




                                                                                               
Regulatory capital adequacy           Nedbank Group           Nedbank Limited

Including unappropriated profits         Rm              %        Rm            %
Tier 1 Capital                        56 556          11,8%   43 990        11,2%


Common Equity Tier 1 Capital          53 179          11,1%   40 429        10,3%
Share capital and premium             17 940                  18 571
Reserves                              51 410                  31 367
Minority interest:
Ordinary shareholders                    300                        0
Goodwill                              (5 209)                 (1 410)
Excess of expected loss over
eligible provisions                   (1 822)                 (1 812)
Defined benefit pension fund
assets                                (1 541)                 (1 541)
Capitalised software and
development costs                     (3 249)                 (3 265)
Investments in the common stock
of financial entities (amount above
10% threshold)                        (4 200)                       0
Other regulatory differences and
non- qualifying reserves               ( 450)                 ( 1 481)


Additional Tier 1 Capital              3 377          0,7%      3 561        0,9%
Preference share capital and
premium                                3 561                    3 561
Hybrid debt capital                        0                        0
Grandfathering and other
regulatory adjustments                 ( 184)                       0
Tier 2 Capital                        10 395          2,2%     10 837        2,8%
Long-term liabilities                 10 825                   10 825
General allowance for credit
impairment                               118                       12
Grandfathering and other
adjustments                            ( 548)                       0


                                                                               
 Total Capital                         66 951        14,0%     54 827       14,0%


 Excluding unappropriated profits
   Tier 1 Capital                      53 075        11,1%     43 418       11,1%
   Common Equity Tier 1 Capital        49 698        10,4%     39 857       10,1%
   Total Capital                       63 470        13,2%     54 254       13,8%



                                                 Nedbank Group                       Nedbank Limited
 Minimum required capital and
 reserve funds per risk type              Pillar 1    Pillar 2a     Total      Pillar 1   Pillar 2a    Total


 Minimum ratios                               8,0%       2,0%       10,0%        8,0%        2,0%       10,0%


 Credit Risk                                29 679       7 420     37 099      25 110       6 277      31 387
 Equity Risk                                   958         240      1 198         678         169         847
 Market Risk                                   578         145        723         437         109         546
 Operational risk                            4 507       1 127      5 634       3 880         970       4 850
 Other                                       2 662         665      3 327       1 316         329       1 645
 Total minimum required capital
 and reserve funds                          38 384       9 597     47 981      31 421       7 854      39 275

Notes:
1. Minimum required capital and reserve funds have been reported at 10,0%, in terms of Directive
    05/2011 issued in terms of section 6(4) of the Banks Act, 1990.
2. Regulation requires details of any risk exposure or other item that is subject to rapid or material
    change. These are detailed in the trading update released on 2 November 2015.


LEVERAGE RATIO
The leverage ratio is a supplementary measure to risk-based capital requirements.

 Leverage ratio                                                   Nedbank Group     Nedbank Limited
 Tier 1 Capital (including unappropriated profit) (Rm)                   56 556              43 990
 Tier 1 Capital (excluding unappropriated profit) (Rm)                   53 075              43 418
 Total exposures (Rm)                                                   922 651             805 509
 Leverage ratio (including unappropriated profit) (Rm)                    6,13%               5,46%
 Leverage ratio (excluding unappropriated profit) (Rm)                    5,75%               5,39%
 Minimum required leverage ratio                                           4,0%                4,0%

                                                                                                       
LIQUIDITY COVERAGE RATIO (LCR)
In accordance with the provisions of section 6(6) of the Banks Act, quarterly disclosure of the
LCR is required, as set out in Directive 6/2014 and Directive 11/2014.


The LCR aims to ensure that a bank holds an adequate stock of unencumbered high quality
liquid assets (HQLA) to cover total Net Cash Outflows over a 30-day period under a
prescribed stress scenario. Based on the final revisions announced by the Basel Committee
in January 2013, the LCR is being phased-in starting at 60% on 1 January 2015 and
increasing by 10% each year to 100% on 1 January 2019.


The following table sets out Nedbank’s LCR at aggregated group and bank levels:

                                                              Nedbank Group¹      Nedbank Limited

 High Quality Liquid Assets2 (Rm)                                   118 235               114 811

 Net Cashflows2                                                     143 662               135 979

 Liquidity Coverage Ratio %2                                          82,3%                 84,4%

 Minimum requirement                                                    60%                   60%

Notes:
1. Only banking and/ or deposit-taking entities are included and the group data represents an
   aggregation of the relevant individual net cash outflows and the individual HQLA portfolios, where
   surplus HQLA holdings in excess of the minimum requirement of 60% have been excluded from
   the aggregated HQLA number in the case of all non-SA banking entities.
2. The above figures reflect the simple average of the month-end values at 31 July 2015, 31 August
   2015 and 30 September 2015, based on the regulatory submissions to the South African Reserve
   Bank.


HIGH QUALITY LIQUID ASSETS (HQLA)
HQLA can be easily and immediately converted into cash at little or no loss of value. There
are two categories of assets included in the stock of HQLA. Level 1 assets that can be
included without limit at no haircut, comprising notes and coins, cash reserves, treasury bills,
government bonds and debentures. Level 2 assets which may not account for more than
40% of the total stock of HQLA in aggregate, comprising certain government securities,
public sector and corporate bonds. The South African Reserve Bank has undertaken to
provide Committed Liquidity Facilities of up to 40% of the HQLA requirement due to the
limited supply of level 2 assets in South Africa.

                                                                                                   
NET CASH OUTFLOWS
Net cash outflows are defined as the total expected cash outflows minus total expected cash
inflows during a 30 day stress period.


NEDBANK’S LCR PROGRAMME
Based on internal risk modelling, Nedbank targets an LCR operational level above the
minimum regulatory requirement to absorb normal seasonal volatility inherent in the domestic
financial system and consequently in the LCR.


During 2015 Nedbank will procure additional HQLAs to support balance sheet growth and
the LCR phase-in from a minimum regulatory requirement of 60% in 2015 to 70% in 2016,
while continuing to maintain appropriately sized surplus liquid-asset buffers to absorb
seasonal volatility in the LCR.


Stress testing and scenario analysis is conducted at both a bank and industry level with the
aim of appropriately sizing the liquidity buffer portfolio in the most optimal manner for
seasonal, cyclical and/or stress events. The stress testing and scenario analysis focuses on
estimating if-and-when the LCR liquidity buffer could be significantly consumed beyond
tolerable levels in order to pre-emptively facilitate the formulation of mitigating actions
designed to ensure that the size of the liquidity buffer always remains appropriate for forecast
liquidity requirements.


Sandton
3 November 2015

Sponsors to Nedbank Group in South Africa:
Merrill Lynch South Africa (Pty) Limited
Nedbank Corporate and Investment Banking

Sponsor to Nedbank Group in Namibia:
Old Mutual Investment Services (Namibia) (Pty) Ltd

Sponsors to Nedbank Limited in South Africa:
Nedbank Corporate and Investment Banking
Investec Bank Limited

                                                                          

Date: 03/11/2015 08:00:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 
The JSE does not, whether expressly, tacitly or implicitly, represent, warrant or in any way guarantee the truth, accuracy or completeness of
 the information published on SENS. The JSE, their officers, employees and agents accept no liability for (or in respect of) any direct, 
indirect, incidental or consequential loss or damage of any kind or nature, howsoever arising, from the use of SENS or the use of, or reliance on,
 information disseminated through SENS.

Share This Story