Standard Bank : SBG 3Q21 pillar 3 report (621.5k)

Standard Bank Group

PILLAR 3

REPORT

for the period ended 30 September 2021

Standard Bank Group

Pillar 3 report 3Q21

THIS REPORT

This report sets out the Standard Bank Group (group/SBG) and The Standard Bank of South Africa Limited group (SBSA) interim disclosures in accordance with the Basel Committee on Banking Supervision's revised pillar 3 disclosure requirements, the South African Reserve Bank (SARB) Directives 11/2015 and 1/2018 issued in terms of section 6(6) of the Banks Act No. 94 of 1990 and Regulation 43 of the regulations relating to banks. Certain tables for SBSA, being a significant bank subsidiary, are included where appropriate.

This pillar 3 report covers our banking activities and other banking interests.

Shareholders are advised that the information in this report has not been reviewed nor reported on by our external auditors.

All amounts are in rand millions unless otherwise stated.

• 3Q21 refers to the period ended 30 September 2021
• 1H21 refers to the period ended 30 June 2021
• 1Q21 refers to the period ended 31 March 2021
• FY20 refers to the year ended 31 December 2020
• 3Q20 refers to the period ended 30 September 2020.

Pillar 3 table references (OV1, CR1 etc.) have been included in the table headings.

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Standard Bank Group

Pillar 3 report 3Q21

KEY PRUDENTIAL REGULATORY METRICS

The following tables provides an overview of the SBG and SBSA prudential regulatory metrics.

KM1: KEY METRICS - SBG

		3Q21	1H21	1Q21	FY20	3Q20
	Available capital 1 (Rm)
1	Common equity tier I (CET I)	165 322	157 853	154 395	155 079	159 352
1a	Fully loaded expected credit losses (ECL) accounting model CET I	165 322	157 853	154 395	153 276	157 663
2	Tier I	175 915	168 345	165 129	163 945	168 568
2a	Fully loaded ECL accounting model tier I	175 915	168 345	165 129	162 141	166 879
3	Total capital	203 468	195 313	192 102	189 848	198 339
3a	Fully loaded ECL accounting model total capital	203 468	195 313	192 102	188 991	197 596
	Risk-weighted assets (RWA) (Rm)
4	Total RWA	1 313 993	1 259 249	1 257 306	1 229 478	1 273 813
	Risk-based capital ratios as a percentage of RWA 2
5	CET I ratio (%)	12.6	12.5	12.3	12.6	12.5
5a	Fully loaded ECL accounting model CET I (%)	12.6	12.5	12.3	12.5	12.4
6	Tier I ratio (%)	13.4	13.4	13.1	13.3	13.2
6a	Fully loaded ECL accounting model tier I ratio (%)	13.4	13.4	13.1	13.2	13.1
7	Total capital ratio (%)	15.5	15.5	15.3	15.4	15.6
7a	Fully loaded ECL accounting model total capital ratio (%)	15.5	15.5	15.3	15.4	15.5
	Additional CET I buffer requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.5	2.5	2.5	2.5	2.5
9	Countercyclical buffer requirement (%)
	Bank domestic systemically important (D-SIB) additional requirements
10	(%)	1.0	1.0	1.0	1.0	1.0
	Total of bank CET I specific buffer requirements (%) (row 8 + row 9 + row
11	10)	3.5	3.5	3.5	3.5	3.5
	CET I available after meeting the bank's minimum capital requirements
12	(%)	3.5	3.3	3.3	3.4	3.5
	Basel III leverage ratio
13	Total Basel III leverage ratio exposure measure (Rm)	2 340 444	2 257 043	2 255 616	2 210 449	2 264 244
14	Basel III leverage ratio (%) (row 2/row 13)	7.5	7.5	7.3	7.4	7.4
	Fully loaded ECL accounting model Basel III leverage ratio (%) (row
14a	2a/row 13)	7.5	7.4	7.3	7.3	7.4
	Liquidity coverage ratio (LCR)
15	Total high-quality liquid assets (HQLA) (Rm)	330 552	317 914	346 110	349 104	343 507
16	Total net cash outflow (Rm)	226 741	224 909	245 047	259 065	234 733
17	LCR ratio (%)	145.8	141.3	141.2	134.8	146.3
	Net stable funding ratio (NSFR)
18	Total available stable funding (Rm)	1 371 848	1 315 599	1 305 320	1 298 314	1 330 483
19	Total required stable funding (Rm)	1 100 892	1 055 577	1 058 512	1 040 433	1 069 378
20	NSFR ratio (%)	124.6	124.6	123.3	124.8	124.4

1 The IFRS9 transition period provided for in SARB Directive 5/2017 concluded on 1 January 2021. All metrics presented for periods prior to 1Q21 are on the basis of applying the transitional arrangements with the exception of those metrics referred to as fully loaded.

2 Excludes unappropriated profits.

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Standard Bank Group

Pillar 3 report 3Q21

KM1: KEY METRICS - SBSA

Available capital 1 (Rm)

• CET I

1a Fully loaded ECL accounting model

• Tier I

2a Fully loaded ECL accounting model tier I

• Total capital

3a Fully loaded ECL accounting model total capital RWA (Rm)

• Total RWA

Risk-based capital ratios as a percentage of RWA 2

• CET I ratio (%)

5a Fully loaded ECL accounting model CET I (%)

• Tier I ratio (%)

6a Fully loaded ECL accounting model tier I ratio (%)

• Total capital ratio (%)

7a Fully loaded ECL accounting model total capital ratio (%) Additional CET I buffer requirements as a percentage of RWA

• Capital conservation buffer requirement (%)

• Countercyclical buffer requirement (%)

1. Bank G-SIB and/or D-SIB additional requirements (%)
   Total of bank CET I specific buffer requirements (%) (row 8 + row 9 +
2. row 10)

CET I available after meeting the bank's minimum capital requirements

12 (%)

Basel III leverage ratio

1. Total Basel III leverage ratio exposure measure (Rm)
2. Basel III leverage ratio (%) (row 2/row 13)

Fully loaded ECL accounting model Basel III leverage ratio (%) (row

14a 2a/row 13)

LCR

1. Total HQLA (Rm)
2. Total net cash outflow (Rm)
3. LCR ratio (%)
   NSFR
4. Total available stable funding (Rm)
5. Total required stable funding (Rm)
6. NSFR ratio (%)

3Q21	1H21	1Q21	FY20	3Q20
85 646	84 478	83 778	83 676	84 250
85 646	84 478	83 778	82 984	83 558
94 424	93 206	92 519	90 620	91 207
94 424	93 206	92 519	89 927	90 515
116 698	115 189	114 697	112 069	116 038
116 698	115 189	114 697	112 029	115 998
749 472	736 840	745 499	722 809	724 961
11.4	11.5	11.2	11.6	11.6
11.4	11.5	11.2	11.5	11.5
12.6	12.6	12.4	12.5	12.6
12.6	12.6	12.4	12.4	12.5
15.6	15.6	15.4	15.5	16.0
15.6	15.6	15.4	15.5	16.0
2.5	2.5	2.5	2.5	2.5
1.0	1.0	1.0	1.0	1.0
3.5	3.5	3.5	3.5	3.5
3.1	2.9	2.9	3.0	3.5
1 784 612	1 737 930	1 743 278	1 746 411	1 744 725
5.3	5.4	5.3	5.2	5.2
5.3	5.4	5.3	5.1	5.2
199 470	198 719	224 656	229 488	230 410
174 512	176 331	189 278	203 832	182 317
114.3	112.7	118.7	112.6	126.4
930 534	917 075	907 300	904 040	896 389
864 588	837 893	830 889	807 975	795 488
107.6	109.4	109.2	111.9	112.7

1 The IFRS9 transition period provided for in SARB Directive 5/2017 concluded on 1 January 2021. All metrics presented for periods prior to 1Q21 are on the basis of applying the transitional arrangements with the exception of those metrics referred to as fully loaded.

2 Excludes unappropriated profits.

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Standard Bank Group

Pillar 3 report 3Q21

CAPITAL MANAGEMENT

The table below is an overview of RWA and measurement approach.

OV1: BASEL RWA AND ASSOCIATED CAPITAL REQUIREMENTS - SBG
			Minimum
	RWA		capital
		requirements 1
	3Q21	1H21	3Q21
Credit risk (excluding counterparty credit risk (CCR))	927 947	889 140	111 353
Of which standardised approach2	435 179	402 480	52 221
Of which internal rating-based (IRB) approach	492 768	486 660	59 132
CCR	62 947	56 730	7 553
Of which standardised approach for CCR	19 602	15 318	2 352
Of which IRB approach	25 445	23 142	3 053
Of which credit valuation adjustments	17 900	18 270	2 148
Equity positions in banking book under market-based approach	9 743	8 218	1 169
Equity investment in funds - look through approach	4 936	6 387	592
Equity investment in funds - mandate-based approach	1 535	1 401	184
Equity investment in funds - fall-back approach	413	376	50
Securitisation exposures in banking book	588	706	71
Of which IRB approach	374	492	45
Of which IRB supervisory formula approach	214	214	26
Market risk	76 394	72 839	9 167
Of which standardised approach	59 499	53 421	7 140
Of which internal model approach	16 895	19 418	2 027
Operational risk	170 947	167 695	20 513
Of which standardised approach	88 595	85 359	10 631
Of which advanced measurement approach	82 352	82 336	9 882
Amounts below the thresholds for deduction (subject to 250% risk weight)	58 543	55 757	7 025
Total	1 313 993	1 259 249	157 677

1 Measured at 12.0% and excludes confidential bank-specific capital requirements and the pillar 2A buffer requirement that has been temporarily removed in response to the COVID-19 pandemic. The group's D-SIB buffer requirement amounts to 1.5% of which 1.0% is required to be held in CET I. There is currently no requirement for the countercyclical buffer add-on in South Africa or in other jurisdictions in which we have significant exposures.

2 Portfolios on the standardised approach relate to portfolios for which application to adopt the internal model approach has not been submitted, or for which an application has been submitted but approval has not been granted.

3 Equity investment in funds disclosure requirements came into effect on 1 January 2021.

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