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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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