FirstRand : Basel Pillar 3 standardised disclosures – March 2023

basel pillar 3

standardised disclosures 2023

AS AT 31 MARCH

introduction

In accordance with the Basel Pillar 3 framework and Regulation 43 of the amended Regulations relating to Banks (the Regulations), 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 [e-mail]

contents

Key prudential requirements and risk-weighted assets (RWA)

KM1 - Key metrics	3
OV1 - Overview of RWA	5
CR8 - RWA flow statements of credit risk exposures under advanced internal ratings based approach (AIRB)	7
MR2 - RWA flow statements of market risk exposures under internal model approach (IMA)	7

Leverage

LR1	- Summary comparison of accounting assets vs leverage ratio exposure measure	8
LR2	- Leverage ratio common disclosure template	8

Liquidity

LIQ1 - Liquidity coverage ratio (LCR)	9

3

KEY PRUDENTIAL REQUIREMENTS AND RISK-WEIGHTED ASSETS

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
March 23	December 22	September 22	June 22	March 22
AVAILABLE CAPITAL (AMOUNTS)*
1	Common Equity Tier 1 (CET1)	154 606	152 342	150 453	137 189	126 354
1a	Fully loaded ECL accounting model	154 606	152 342	150 453	137 189	126 354
2	Tier 1	163 871	161 458	157 546	144 229	133 397
2a	Fully loaded ECL accounting model Tier 1	163 871	161 458	157 546	144 229	133 397
3	Total capital**	191 029	186 175	183 687	169 063	156 875
3a	Fully loaded ECL accounting model total capital	191 029	186 175	183 687	169 063	156 875
RISK-WEIGHTED ASSETS (AMOUNTS)
4	Total risk weighted assets	1 259 198	1 212 421	1 189 283	1 135 517	1 085 601
RISK-BASED CAPITAL RATIOS AS A PERCENTAGE OF RWA*
5	CET1 ratio (%)	12.3%	12.6%	12.7%	12.1%	11.6%
5a	Fully loaded ECL accounting model CET1 ratio (%)	12.3%	12.6%	12.7%	12.1%	11.6%
6	Tier 1 ratio (%)	13.0%	13.3%	13.2%	12.7%	12.3%
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	13.0%	13.3%	13.2%	12.7%	12.3%
7	Total capital ratio (%)	15.2%	15.4%	15.4%	14.9%	14.5%
7a	Fully loaded ECL accounting model total capital ratio (%)	15.2%	15.4%	15.4%	14.9%	14.5%
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 (%)#	0.3%	0.2%	0.0%	0.0%	0.0%
10	Bank G-SIB and/or D-SIB additional requirements (%)†	1.0%	1.0%	1.0%	1.0%	1.0%
11	Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)	3.8%	3.7%	3.5%	3.5%	3.5%
12	CET1 available after meeting the bank's minimum capital requirements (%)	1.9%	2.1%	2.4%	1.9%	1.5%
BASEL III LEVERAGE RATIO‡
13	Total Basel III leverage ratio exposure measure	2 231 926	2 191 435	2 140 751	2 058 696	2 004 882
14	Basel III leverage ratio (%) (row 2/row13)	7.3%	7.4%	7.4%	7.0%	6.7%
14a Fully loaded ECL accounting model Basel III leverage ratio (%) (row 2a/row 13)	7.3%	7.4%	7.4%	7.0%	6.7%
LIQUIDITY COVERAGE RATIO (LCR)
15	Total high-quality liquid assets	397 617	392 351	374 303	341 208	335 326
16	Total net cash outflow	348 841	324 919	312 944	281 888	278 070
17	LCR (%)	114%	121%	120%	121%	121%
NET STABLE FUNDING RATIO (NSFR)
18	Total available stable funding	1 425 733	1 390 388	1 369 446	1 333 179	1 286 769
19	Total required stable funding	1 198 116	1 163 470	1 145 010	1 093 451	1 062 200
20	NSFR	119%	120%	120%	122%	121%

• Excluding unappropriated profits.
• Relates to total qualifying capital and reserves, which includes Tier 1 and Tier 2 capital.

• The Prudential Regulatory Authority (PRA) reinstated the UK CCyB in December 2022 which has resulted in a buffer add-on of 0.26% at 31 March 2023.

• Total D-SIB requirement is 1.5% at 31 March 2023, of which 1% is held in CET1 capital.
  ‡ Based on month-end balances.

KEY DRIVERS: MARCH 2023 VS DECEMBER 2022

Risk-based capital ratios	Available capital
	• Tier 1 capital: Increase in the foreign currency translation reserve due to the rand's depreciation.
	• Tier 2 capital: Increase due to Tier 2 issuance and exchange rate movements given the rand's depreciation.
	RWA
	• Increase in RWA driven primarily by credit, counterparty credit, equity investment and other risks, partly offset by market risk.
Leverage ratio	Total exposure measure
	• Increase in exposure measure driven by an increase in on- and off-balance sheet exposures, partly offset by a decrease in derivative and securities financing transaction exposures.

Tier 1 capital

• Refer to commentary above.

Liquidity ratios

The decrease in the LCR reflects the expected cyclical changes from the previous quarter. Both the LCR and NSFR exceeded their minimum requirement of 100%.

4

KEY PRUDENTIAL REQUIREMENTS AND RISK-WEIGHTED ASSETS Key metrics

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 (FRB or the bank).

				FirstRand Bank Limited
R million
March 23	December 22	September 22	June 22	March 22
AVAILABLE CAPITAL (AMOUNTS)**
1	CET1	96 735	96 454	94 752	92 145	91 747
1a	Fully loaded ECL accounting model	96 735	96 454	94 752	92 145	91 747
2	Tier 1	104 296	104 175	99 714	97 116	96 804
2a	Fully loaded ECL accounting model Tier 1	104 296	104 175	99 714	97 116	96 804
3	Total capital#	127 442	124 856	122 060	118 113	116 870
3a	Fully loaded ECL accounting model total capital	127 442	124 856	122 060	118 113	116 870
RISK-WEIGHTED ASSETS (AMOUNTS)
4	Total RWA	823 737	806 672	792 266	757 205	730 359
RISK-BASED CAPITAL RATIOS AS A PERCENTAGE OF RWA**
5	CET1 ratio (%)	11.7%	12.0%	12.0%	12.2%	12.6%
5a	Fully loaded ECL accounting model CET1 ratio (%)	11.7%	12.0%	12.0%	12.2%	12.6%
6	Tier 1 ratio (%)	12.7%	12.9%	12.6%	12.8%	13.3%
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	12.7%	12.9%	12.6%	12.8%	13.3%
7	Total capital ratio (%)	15.5%	15.5%	15.4%	15.6%	16.0%
7a	Fully loaded ECL accounting model total capital ratio (%)	15.5%	15.5%	15.4%	15.6%	16.0%
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 G-SIB and/or D-SIB additional requirements (%)‡	1.0%	1.0%	1.0%	1.0%	1.0%
11	Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)	3.5%	3.5%	3.5%	3.5%	3.5%
12	CET1 available after meeting the bank's minimum capital requirements (%)	1.9%	2.2%	1.8%	2.1%	2.5%
BASEL III LEVERAGE RATIO^
13	Total Basel III leverage ratio exposure measure	1 664 879	1 647 119	1 622 145	1 557 964	1 536 277
14	Basel III leverage ratio (%) (row 2/row13)	6.3%	6.3%	6.1%	6.2%	6.3%
14a Fully loaded ECL accounting model Basel III leverage ratio (%) (row 2a/row 13)	6.3%	6.3%	6.1%	6.2%	6.3%
LIQUIDITY COVERAGE RATIO◊
15	Total HQLA	345 902	349 255	334 133	303 744	306 178
16	Total net cash outflow	289 308	281 601	272 229	245 147	245 389
17	LCR (%)	120%	124%	123%	124%	125%
NET STABLE FUNDING RATIO◊
18	Total available stable funding	998 781	980 065	973 164	944 069	924 756
19	Total required stable funding	855 359	835 962	823 700	785 233	774 484
20	NSFR	117%	117%	118%	120%	119%

• FRB including foreign branches.
• Excluding unappropriated profits.

• Relates to total qualifying capital and reserves, which includes Tier 1 and Tier 2 capital.

• The PRA reinstated the UK CCyB in December 2022, the buffer add-on for FRB is nil at 31 March 2023.

• Total D-SIB requirement is 1.5% at 31 March 2023, of which 1% is held in CET1 capital. ^ Based on month-end balances.
  ◊ Reflects FRB's operations in South Africa.

5

KEY PRUDENTIAL REQUIREMENTS AND RISK-WEIGHTED ASSETS

OV1: Overview of RWA

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

				FirstRand Limited
							Minimum
							capital
				RWA		requirement*
			As at	As at		As at	As at
			31 March	31 December		31 March	31 March
R million	2023	2022		2022	2023
1	Credit risk (excluding counterparty credit risk)**	901 405	874 310		766 998	119 526
2	- Standardised approach
383 938	354 106		292 996	50 910
5	- Advanced internal ratings-based approach	517 467			474 002	68 616
520 204
16	Securitisation exposures in banking book
7 037	7 463		9 310	933
17	- IRB ratings-based approach
-	-		-	-
18	- IRB supervisory formula approach	5 131			1 901	680
4 860
19	- Standardised approach/simplified supervisory formula approach	1 906			7 409	253
2 603
	Total credit risk	908 442	881 773		776 308	120 459
6	Counterparty credit risk#	14 997	13 038		17 913	1 989
7	- Standardised approach for counterparty credit risk (SA-CCR)	14 997	13 038		17 913	1 989
10	Credit valuation adjustment
9 709	7 802		8 497	1 287
11	Equity positions in banking book under market-based approach†	22 274	20 837		23 059	2 954
12	Equity investments in funds - look-through approach	296	284		-	39
13	Equity investments in funds - mandate-based approach	9 573			8 118	1 269
9 320
14	Equity investments in funds - fall-back approach	124			275	16
121
20	Market risk‡	34 322			25 827	4 551
36 133
21	- Standardised approach	12 819	13 030		9 847	1 700
22	- Internal model approach	21 503			15 980	2 851
23 103
24	Operational risk
151 344	151 344		141 527	20 068
	- Basic indicator approach
	23 086	23 086		19 478	3 061
	- Standardised approach	25 560			25 225	3 389
	25 560
	- Advanced measurement approach	102 698			96 824	13 618
	102 698
25	Amounts below the thresholds for deduction (subject to 250% risk weight)
39 362	38 237		32 522	5 220
26	Floor adjustment	32 990			20 176	4 375
19 405
	Other assets	35 765			31 379	4 743
	34 127
27	Total^	1 259 198	1 212 421		1 085 601	166 970

• Capital requirement calculated at 13.26% 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 CCyB requirement was 0.26% at 31 March 2023.
• The group does not apply the foundation internal ratings-based and the supervisory slotting approaches (rows 3 and 4 of OV1 template).

• 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).

• Subject to the simple risk weighted method.

• There were no switches between trading and banking book during the period under review (row 23 of OV1 template). ^ Settlement risk was nil for the period under review (row 15 in OV1 template) and is therefore excluded.