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    FSR   ZAE000066304

FIRSTRAND LIMITED

(FSR)
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FirstRand : Basel Pillar 3 standardised disclosures – September 2021

11/26/2021 | 02:30am EST

BASEL PILLAR 3 STANDARDISED DISCLOSURES 2021

as at 30 September

introduction

In accordance with the Basel Pillar 3 framework and Regulation 43 of the amended Regulations relating to Banks, the group is required to publish standardised disclosure templates that provide users with key quantitative and qualitative information that is comparable and consistent.

1966/010753/06

Certain entities within the FirstRand group are authorised financial services and credit providers.

This analysis is available on the group's website: www.firstrand.co.za

Email questions to investor.relations@firstrand.co.za

contents

KEY PRUDENTIAL REQUIREMENTS AND RISK WEIGHTED ASSETS (RWA)

KM1: Key metrics

01

OV1: Overview of RWA

03

CR8: RWA flow statements of credit risk exposures under advanced internal ratings based approach (AIRB)

05

MR2: RWA flow statements of market risk exposures under internal model approach (IMA)

05

LEVERAGE

LR1:

Summary comparison of accounting assets vs leverage ratio exposure measure

06

LR2:

Leverage ratio common disclosure template

06

LIQUIDITY

LIQ1:

Liquidity coverage ratio (LCR)

07

LIQ2:

Net stable funding ratio (NSFR)

08

01 KEY PRUDENTIAL REQUIREMENTS

KM1: Key metrics (at consolidated group)

The table below consists of key prudential metrics related to regulatory capital, leverage and liquidity for FirstRand Limited (the group).

FirstRand Limited

R million

September 21

June 21

March 21

December 20

September 20

AVAILABLE CAPITAL (AMOUNTS)*

1

Common Equity Tier 1

125 029

124 445

124 916

121 902

125 303

1a

Fully loaded ECL accounting model

125 029

123 364

123 835

120 820

124 222

2

Tier 1

132 349

131 536

132 184

129 537

132 049

2a

Fully loaded ECL accounting model Tier 1

132 349

130 455

131 103

128 456

130 968

3

Total capital**

156 027

154 976

156 240

153 878

158 312

3a

Fully loaded ECL accounting model total capital

156 027

154 177

155 158

152 804

157 230

RISK-WEIGHTED ASSETS (AMOUNTS)

4

Total risk-weighted assets

1 078 531

1 058 916

1 072 898

1 080 689

1 121 131

RISK-BASED CAPITAL RATIOS AS A PERCENTAGE OF RWA*

5

Common Equity Tier 1 (%)

11.6%

11.8%

11.6%

11.3%

11.2%

5a

Fully loaded ECL accounting model Common Equity Tier 1 (%)

11.6%

11.6%

11.5%

11.2%

11.1%

6

Tier 1 (%)

12.3%

12.4%

12.3%

12.0%

11.8%

6a

Fully loaded ECL accounting model Tier 1 (%)

12.3%

12.3%

12.2%

11.9%

11.7%

7

Total capital (%)

14.5%

14.6%

14.6%

14.2%

14.1%

7a

Fully loaded ECL accounting model total capital (%)

14.5%

14.6%

14.5%

14.1%

14.0%

ADDITIONAL CET1 BUFFER REQUIREMENTS AS A PERCENTAGE OF RWA

8

Capital conservation buffer requirement (2.5% from 2019) (%)

2.5%

2.5%

2.5%

2.5%

2.5%

9

Countercyclical buffer (CCyB) requirement (%)#

0.0%

0.0%

0.0%

0.0%

0.0%

10

Bank D-SIB additional requirements (%)

1.0%

1.0%

0.8%

0.8%

0.8%

11

Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)

3.5%

3.5%

3.3%

3.3%

3.3%

12

CET1 available after meeting the bank's minimum capital requirements (%)

2.3%

2.4%

2.6%

2.2%

2.1%

BASEL III LEVERAGE RATIO

13

Total Basel III leverage ratio exposure measure

1 945 643

1 933 685

1 955 435

1 926 054

1 915 294

14

Basel III leverage ratio (%) (row 2/row13)

6.8%

6.8%

6.8%

6.7%

6.9%

14a

Fully loaded ECL accounting model Basel III leverage ratio (%) (row 2a/row 13)

6.8%

6.8%

6.7%

6.7%

6.8%

LIQUIDITY COVERAGE RATIO

15

Total high-quality liquid assets

335 039

312 514

326 296

326 422

309 106

16

Total net cash outflow

287 727

277 326

285 352

267 681

248 283

17

LCR ratio (%)

116%

113%

114%

122%

124%

NET STABLE FUNDING RATIO

18

Total available stable funding

1 286 987

1 240 336

1 231 589

1 240 146

1 237 864

19

Total required stable funding

1 029 799

1 004 757

1 011 309

992 581

1 004 557

20

NSFR ratio

125%

123%

122%

125%

123%

  • Excluding unappropriated profits.
  • Relates to total qualifying capital and reserves, which includes Tier 1 and Tier 2 capital.
  • In March 2020, the Prudential Regulation Authority reduced the UK CCyB requirement from 1% to 0%. The FirstRand CCyB requirement is nil for the June 2020 reporting period and onwards.
  • Total D-SIB requirement is 1.5% at 30 September 2021, of which 1% is held in CET1 capital.
  • Based on month-end balances.

KEY DRIVERS: SEPTEMBER 2021 VS JUNE 2021

Risk-based capital ratios

Available capital

Tier 1 capital: Increase in the foreign currency translation reserve given the depreciation of the rand, partly offset by the final IFRS 9 transition on 1 July 2021.

Tier 2 capital: Third party capital movement and depreciation of the rand.

RWA

Increase in credit, counterparty credit and other RWA, mainly impacted by the depreciation of the rand.

Leverage ratio

Total exposure measure

Mainly due an increase in on-balance sheet exposures and securities financing transactions (SFT).

Tier 1 capital measure

  • Refer to commentary above.

Liquidity ratios

The increase in the LCR and NSFR reflect the expected cyclical changes from the previous quarter. The group's LCR continues to exceed the revised minimum requirement of 80% and the NSFR is above the minimum requirement of 100%.

02 KEY PRUDENTIAL REQUIREMENTS

KM1: Key metrics (FirstRand Bank Limited*)

The table below consists of key prudential metrics related to regulatory capital, leverage and liquidity for FirstRand Bank Limited (the bank).

FirstRand Bank Limited

R million

September 21

June 21

March 21

December 20

September 20

AVAILABLE CAPITAL (AMOUNTS)**

1

Common Equity Tier 1

92 067

92 439

92 530

90 400

91 106

1a

Fully loaded ECL accounting model

92 067

91 766

91 857

89 727

90 433

2

Tier 1

96 998

97 435

97 461

95 360

94 499

2a

Fully loaded ECL accounting model Tier 1

96 998

96 762

96 788

94 686

93 826

3

Total capital#

116 165

116 265

116 313

114 344

114 494

3a

Fully loaded ECL accounting model total capital

116 165

115 591

115 640

113 677

113 821

RISK-WEIGHTED ASSETS (AMOUNTS)

4

Total risk-weighted assets (RWA)

719 659

717 153

721 543

732 622

762 946

RISK-BASED CAPITAL RATIOS AS A PERCENTAGE OF RWA**

5

Common Equity Tier 1 (%)

12.8%

12.9%

12.8%

12.3%

11.9%

5a

Fully loaded ECL accounting model Common Equity Tier 1 (%)

12.8%

12.8%

12.7%

12.2%

11.8%

6

Tier 1 (%)

13.5%

13.6%

13.5%

13.0%

12.4%

6a

Fully loaded ECL accounting model Tier 1 (%)

13.5%

13.5%

13.4%

12.9%

12.3%

7

Total capital (%)

16.1%

16.2%

16.1%

15.6%

15.0%

7a

Fully loaded ECL accounting model total capital ratio (%)

16.1%

16.1%

16.0%

15.5%

14.9%

ADDITIONAL CET1 BUFFER REQUIREMENTS AS A PERCENTAGE OF RWA

8

Capital conservation buffer requirement (2.5% from 2019) (%)

2.5%

2.5%

2.5%

2.5%

2.5%

9

CCyB requirement (%)

0.0%

0.0%

0.0%

0.0%

0.0%

10

Bank D-SIB additional requirements

1.0%

1.0%

0.8%

0.8%

0.8%

11

Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)

3.5%

3.5%

3.3%

3.3%

3.3%

12

CET1 available after meeting the bank's minimum capital requirements (%)

3.5%

3.6%

3.9%

3.4%

2.8%

BASEL III LEVERAGE RATIO^

13

Total Basel III leverage ratio exposure measure

1 474 289

1 463 072

1 498 115

1 466 304

1 435 719

14

Basel III leverage ratio (%) (row 2/row13)

6.6%

6.7%

6.5%

6.5%

6.6%

14a

Fully loaded ECL accounting model Basel III leverage ratio (%) (row 2a/row 13)

6.6%

6.6%

6.5%

6.5%

6.5%

LIQUIDITY COVERAGE RATIO

15

Total HQLA

307 010

286 628

296 794

299 201

283 189

16

Total net cash outflow

253 274

245 861

248 687

235 849

208 546

17

LCR ratio (%)

121%

117%

119%

127%

136%

NET STABLE FUNDING RATIO

18

Total available stable funding

909 827

879 957

866 021

871 233

854 477

19

Total required stable funding

740 261

722 913

721 550

700 763

684 984

20

NSFR ratio

123%

122%

120%

124%

125%

  • FirstRand Bank Limited including foreign branches.
  • Excluding unappropriated profits.
  • Relates to total qualifying capital and reserves, which include Tier 1 and Tier 2 capital.
  • In March 2020, the Prudential Regulation Authority reduced the UK CCyB requirement from 1% to 0%. The FirstRand Bank Limited CCyB requirement is nil for the June 2020 reporting period and onwards.
  • Total D-SIB requirement is 1.5% at 30 September 2021, of which 1% is held in CET1 capital. ^ Based on month-end balances.
  • Reflects FirstRand Bank Limited's operations in South Africa.

03

CAPITAL AND RISK-WEIGHTED ASSETS

Overview of RWA

OV1: Overview of RWA

The following table provides an overview of RWA per risk type.

FirstRand Limited

Minimum

capital

RWA

requirement*

As at

As at

As at

As at

30 September

30 June

30 September

30 September

R million

2021

2021

2020

2021

1

Credit risk (excluding counterparty credit risk)**

744 049

729 530

782 611

89 286

2

- Standardised approach

293 790

277 917

309 750

35 255

5

- AIRB

450 259

472 861

54 031

451 613

16

Securitisation exposures in banking book

27 000

26 303

32 278

3 240

17

- IRB ratings-based approach

-

-

-

-

18

- IRB supervisory formula approach

1 976

4 417

237

2 029

19

- Standardised approach/simplified supervisory formula approach

25 024

27 861

3 003

24 274

Total credit risk

771 049

755 833

814 889

92 526

6

Counterparty credit risk#

17 476

14 321

15 758

2 097

7

- SA-CCR

17 476

14 321

15 758

2 097

10

Credit valuation adjustment

10 880

11 110

17 996

1 306

11

Equity positions in banking book under market-based approach

20 709

27 915

2 485

20 722

Equity investments in funds - look-through approach

12

-

-

-

-

13

Equity investments in funds - mandate-based approach

8 315

8 224

-

998

14

Equity investments in funds - fall-back approach

-

-

-

-

15

Settlement risk

-

-

-

-

20

Market risk

28 045

32 622

3 365

30 163

21

- Standardised approach

12 595

12 688

13 536

1 511

22

- Internal model approach

15 450

19 086

1 854

17 475

24

Operational risk

137 474

137 474

139 332

16 497

- Basic indicator approach

17 998

17 998

15 721

2 160

- Standardised approach

25 075

25 616

3 009

25 075

- Advanced measurement approach

94 401

97 995

11 328

94 401

25

Amounts below the thresholds for deduction (subject to 250% risk weight)

31 853

30 173

25 269

3 822

26

Floor adjustment

21 092

11 914

2 531

21 092

Other assets

31 638

35 436

3 797

29 804

27

Total

1 078 531

1 058 916

1 121 131

129 424

  • Capital requirement calculated at 12.0% of RWA. The minimum requirement excludes the Pillar 2B capital requirement. The difference to the BCBS base minimum (8%) relates to the buffer add-ons for Pillar 2A, CCyB, capital conservation and the D-SIB as prescribed in the Regulations. The Pillar 2A and CCyB requirements were 0% at 30 September 2021.
  • The group does not apply the foundation internal ratings-based and the supervisory slotting approaches (rows 3 and 4 of OV1 template).
  • Implementation of SA-CCR was 1 January 2021. The group does not apply the internal model method to counterparty credit risk (row 8 of OV1 template) and there were no other counterparty credit risks (CCRs) (row 9 of OV1 template).
    Implementation of the capital requirements for equity investment in funds was 1 January 2021. Rows 12 - 14 of the OV1 template have now been included in this table.
    There were no switches between trading and banking book during the period under review (row 23 of OV1 template).

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

FirstRand Ltd. published this content on 26 November 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 November 2021 07:29:01 UTC.


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