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Pillar 3 Basel III capital adequacy, leverage and liquidity ratios at 30 September 2017
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 at 30 September 2017
This quarterly Pillar 3 disclosure covers the operations of Nedbank Group Limited (group) as well as Nedbank Limited (bank) and complies with
the Basel Committee on Banking Supervision’s (BCBS) revised Pillar 3 disclosure requirements and the South African Reserve Bank (SARB)
Directive 11 of 2015.
Basel III capital adequacy
Both the group and bank remain well capitalised at levels significantly above the minimum regulatory requirements. The common-equity tier 1
ratios of 12,1% (2016: 11,5%) and 11,9% (2016: 10,9%), respectively, are reflective of organic capital generation after taking into account the
payment of dividends to shareholders and growth in risk weighted assets during the period. The group and bank’s total capital adequacy ratios
reduced as a result of the redemption of R2,0bn old-style tier 2 notes in July 2017.
The following table sets out the regulatory capital and capital ratios at 30 September 2017:
Nedbank Group Nedbank Limited
Rm % Rm %
Including unappropriated profits
Tier 1 capital 67 714 13,0 56 425 13,2
Common-equity tier 1 capital 63 286 12,1 51 169 11,9
Share capital and premium 19 168 19 221
Reserves 58 990 44 314
Minority interest: Ordinary shareholders 806
Goodwill (5 167) (1 410)
Excess of expected loss over eligible provisions (2 251) (2 204)
Defined benefit pension fund assets (2 056) (2 056)
Capitalised software and development costs (5 546) (5 545)
Other regulatory differences and non-qualifying reserves (658) (1 151)
Additional tier 1 capital 4 428 0,9 5 256 1,3
Preference share capital and premium 2 656 2 656
Perpetual subordinated debt instruments 2 600 2 600
Regulatory adjustments (828)
Tier 2 capital 11 184 2,1 12 294 2,8
Subordinated debt instruments 12 290 12 290
General allowance for credit impairment 159 4
Regulatory adjustments (1 265)
Total capital 78 898 15,1 68 719 16,0
Excluding unappropriated profits
Tier 1 capital 65 200 12,5 55 540 13,0
Common-equity tier 1 capital 60 772 11,6 50 284 11,7
Total capital 76 384 14,6 67 834 15,8
Leverage ratio
The leverage ratio is a supplementary measure to risk-based capital requirements. The leverage ratios of both the group and bank are well
above minimum regulatory requirements.
LEVERAGE RATIO
Nedbank Group Nedbank Limited
Tier 1 capital (including unappropriated profits) (Rm) 67 714 56 425
Tier 1 capital (excluding unappropriated profits) (Rm) 65 200 55 540
Total exposures (Rm) 1 013 565 921 716
Leverage ratio (including unappropriated profits) (%) 6,7 6,1
Leverage ratio (excluding unappropriated profits) (%) 6,4 6,0
Minimum required leverage ratio (%) 4,0 4,0
OVERVIEW OF RISK-WEIGHTED ASSETS (RWA)
Nedbank Group Nedbank Limited
Sep 2017 Jun 2017 Sep 2017 Sep 2017 Jun 2017 Sep 2017
RWA RWA MRC1 RWA RWA MRC1
1 Credit risk (excluding CCR) 365 663 358 231 39 309 306 233 298 795 32 920
2 Standardised Approach (TSA) 38 137 39 807 4 100 1 337 1 370 144
3 Advanced Internal Ratings-based Approach (AIRB) 327 526 318 424 35 209 304 896 297 425 32 776
4 Counterparty credit risk (CCR) 16 397 17 583 1 763 15 681 16 906 1 686
5 Current Exposure method (CEM) 16 397 17 583 1 763 15 681 16 906 1 686
6 Internal Model Method (IMM)
Equity positions in banking book under market-based
7 approach 23 868 22 745 2 566 18 380 16 670 1 976
11 Settlement risk
12 Securitisation exposures in banking book 1 106 1 203 119 1 106 1 203 119
13 IRB Ratings-based Approach (RBA) 12 39 1 12 39 1
14 IRB Supervisory Formula Approach (SFA) 1 094 1 164 118 1 094 1 164 118
15 SA/Simplified Supervisory Formula Approach (SSFA)
16 Market risk 15 661 17 182 1 683 12 375 14 065 1 330
17 Standardised Approach 3 715 3 814 399 429 697 46
18 IMA 11 946 13 368 1 284 11 946 13 368 1 284
19 Operational risk 64 266 64 266 6 909 56 375 56 375 6 060
20 Basic Indicator Approach
21 Standardised Approach 5 997 5 997 645 28 28 3
22 AMA 46 137 46 137 4 960 44 511 44 511 4 785
23 Floor adjustment 12 132 12 132 1 304 11 836 11 836 1 272
Amounts below the thresholds for deduction (subject to
24 250% risk weight) 15 068 14 690 1 620 1 948 1 905 209
25 Other assets (100% risk weighting) 20 781 20 151 2 233 16 580 15 548 1 783
26 Total 522 810 516 051 56 202 428 678 421 467 46 083
1 Total minimum required capital (MRC) is measured at 10,75% in line with transitional requirements and excludes bank-specific Pillar 2b and D-SIB capital requirements.
Credit RWA
Nedbank Limited’s lending portfolios make up approximately 94% of the total credit extended by the group and utilise the AIRB Approach. The
lending portfolios of Nedbank Private Wealth International, the Rest of Africa subsidiaries and some of the legacy Imperial Bank portfolio remain
on TSA.
RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURES UNDER AIRB
Rm RWA
1 RWA at 30 June 2017 318 424
2 Asset size 5 857
3 Asset quality 3 944
4 Model updates (728)
5 Methodology and policy
6 Acquisitions and disposals
7 Foreign exchange movements 29
8 Other
9 RWA at 30 September 2017 327 526
Market RWA
All trading activity in Nedbank Corporate and Investment Banking (CIB) is primarily focused on client activities and flow trading. This includes market
making and the facilitation of client business in the foreign exchange, interest rate, equity, credit and commodity markets. There were no
incremental or comprehensive risk capital charges.
RWA FLOW STATEMENT OF MARKET RISK EXPOSURES UNDER IMA
Rm VaR Stressed VaR Total RWA
1 RWA at 30 June 2017 5 257 8 111 13 368
2 Movement in risk levels 842 (63) 779
3 Model updates/changes
4 Methodology and policy
5 Acquisitions and disposals
6 Foreign exchange movements (1 080) (1 121) (2 201)
7 Other
8 RWA at 30 September 2017 5 019 6 927 11 946
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 of 2014 and Directive 11 of 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, the LCR is being
phased-in by an increase of 10% each year and will reach a minimum requirement of 100% by 1 January 2019.
The figures below reflect the simple average of daily observations over the quarter ending 30 September 2017 for Nedbank Limited and the
simple average of the month-end values at 31 July 2017, 31 August 2017 and 30 September 2017 for all non-SA banking entities. The figures are
based on the regulatory submissions to SARB.
LIQUIDITY COVERAGE RATIO
Nedbank Group1 Nedbank Limited
Quarterly Daily Quarterly Daily
Average Average
High quality liquid assets (Rm) 151 314 147 116
Net cash outflows (Rm) 125 652 119 249
Liquidity coverage ratio (%) 120 123
Minimum requirement (%) 80 80
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 80% for 2017 have been excluded from the aggregated HQLA number in the case of all non-SA
banking entities.
Shareholders are advised that this report has not been reviewed or reported on by the group’s auditors.
Sandton
17 November 2017
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) Ltd
Sponsors to Nedbank Limited:
Investec Bank Limited
Nedbank CIB
Date: 17/11/2017 09:00:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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