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Pillar 3 Basel III Capital Adequacy, Leverage and Liquidity Ratios as at 30 September 2016
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")
PILLAR 3 BASEL III CAPITAL ADEQUACY, LEVERAGE AND LIQUIDITY
RATIOS AS AT 30 SEPTEMBER 2016
BASEL III CAPITAL ADEQUACY
In terms of the requirements under Regulation 43(1)(e)(iii) of the regulations relating to banks and Directive 4/2014 issued in terms of section 6(6) of the Banks
Act (Act No. 94 of 1990), minimum disclosure on the capital adequacy of the group and its leverage ratio is required on a quarterly basis. This disclosure is in
accordance with Pillar 3 of the Basel III accord.
Both the group and the bank remain well capitalised at levels significantly above the minimum regulatory requirements. The common equity tier 1 ratios of 11,5%
and 10,9%, respectively is reflective of organic capital generation, movements in risk weighted assets and the payment of interim dividends in September 2016.
The tier 1 ratios benefitted from the issuance of R1,5bn of new style additional tier 1 capital in May 2016. The group’s total capital ratio was positively impacted by
the issuance of R2,0bn of new style tier 2 capital in September 2016.
The following table sets out the regulatory capital as at 30 September 2016:
Nedbank Group Nedbank Limited
Rm % Rm %
Including unappropriated profits
Tier 1 capital 63 021 12,4% 51 500 12,0%
Common-equity tier 1 capital 58 669 11,5% 46 812 10,9%
Share capital and premium 18 518 19 221
Reserves 55 491 38 273
Minority interest:
Ordinary shareholders 416 0
Goodwill (5 190) (1 410)
Excess of expected loss over eligible provisions (1 781) (1 783)
Defined benefit pension fund assets (1 931) (1 931)
Capitalised software and development costs (4 230) (4 233)
Investments in the common stock of financial entities (2 217) 0
(amount above 10% threshold)
Other regulatory differences and non-qualifying reserves (407) (1 325)
Additional tier 1 capital 4 352 0,9% 4 688 1,1%
Preference share capital and premium 3 188 3 561
Perpetual subordinated debt instruments 1 500 1 500
Grandfathering and other regulatory adjustments (336) (373)
Tier 2 capital 12 372 2,4% 10 829 2,5%
Subordinated debt instruments 12 825 10 825
General allowance for credit impairment 99 4
Grandfathering and other adjustments (552) 0
Total capital 75 393 14,8% 62 329 14,5%
Excluding unappropriated profits
Tier 1 capital 57 064 11,2% 47 660 11,1%
Common-equity tier 1 capital 52 712 10,4% 42 972 10,0%
Total capital 69 436 13,6% 58 489 13,6%
Minimum required capital and reserve funds per risk
type Nedbank Group Nedbank Limited
Pillar 1 Pillar 2a Capital Total Pillar 1 Pillar 2a Capital Total
Conservation Conservation
Rm Buffer Buffer
Minimum ratios (%)1 8,0 1,75 0,625 10,375 8,0 1,75 0,625 10,375
Credit risk 30 700 6 716 2 398 39 814 26 477 5 792 2 068 34 336
Equity risk 1 131 248 88 1 467 842 184 66 1 092
Market risk 1 302 285 102 1 689 1 202 263 94 1 559
Operational risk 4 943 1 081 386 6 410 4 256 931 332 5 519
Other 2 663 583 208 3 454 1 529 334 120 1 983
Total minimum required capital and reserve funds 40 739 8 913 3 182 52 834 34 305 7 504 2 679 44 489
Notes:
1. Minimum required capital and reserve funds have been reported at 10,375%, in line with the phasing-in of Basel III minimum regulatory capital requirements.
LEVERAGE RATIO
The leverage ratio is a supplementary measure to risk-based capital requirements. Nedbank Group’s and Nedbank Limited’s leverage ratios are
well above minimum regulatory requirements.
Leverage ratio Nedbank Group Nedbank Limited
Tier 1 capital (including unappropriated profit) (Rm) 63 021 51 500
Tier 1 capital (excluding unappropriated profit) (Rm) 57 064 47 660
Total exposures (Rm) 995 056 902 609
Leverage ratio (including unappropriated profit) (%) 6,3% 5,7%
Leverage ratio (excluding unappropriated profit) (%) 5,7% 5,3%
Minimum required leverage ratio (%) 4% 4%
LIQUIDITY COVERAGE RATIO (LCR)
In accordance with the provisions of section 6(6) of the Banks Act, 1990 (Act No. 94 of 1990), banks are directed, to comply with the relevant
LCR disclosure requirements, 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 LCR for Nedbank Group and Nedbank Limited are well above minimum regulatory requirements. These are set out in the following table:
Nedbank Group 1 Nedbank Limited
High quality liquid assets 2 (Rm) 130 475 127 115
Net cash outflows 2 (Rm) 139 876 133 075
Liquidity coverage ratio 2 (%) 93,3% 95,5%
Minimum requirement 2 (%) 70% 70%
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 70% 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 2016, 31 August 2016 and 30 September 2016, based on the regulatory submissions to SARB.
Shareholders are advised that the Pillar 3 reporting for the period have not been reviewed or reported on by the group’s auditors.
Sandton
11 November 2016
Sponsors to Nedbank Group in South Africa:
Merrill Lynch South Africa (Pty) Limited
Nedbank CIB
Sponsor to Nedbank Group in Namibia:
Old Mutual Investment Services (Namibia) (Pty) Limited
Date: 11/11/2016 08:00:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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