basel pillar 3 disclosure

FOR THE SIX MONTHS ENDED 31 DECEMBER 2022

contents

FirstRand Basel Pillar 3 disclosure

Index of Pillar 3 disclosure

01

Overview of the FirstRand group

02

Overview of risk-weighted assets

04

Credit risk

08

Counterparty credit risk

40

Securitisations

54

Traded market risk

59

Interest rate risk in the banking book

62

Structural foreign exchange risk

63

Equity investment risk

64

Abbreviations

68

1966/010753/06

Certain entities within the

FirstRand group are authorised

financial services and credit

providers. This report is available

on the group's website: www.firstrand.co.za Email questions to investor.relations@firstrand.co.za

BASEL PILLAR 3 DISCLOSURE

01

Index of Pillar 3 disclosure

SECTION AND TABLE

PAGE

Introduction

03

Overview of risk-weighted assets

04

OV1: Overview of risk-weighted assets

04

Credit risk

08

CR1: Credit quality of assets

08

CR2: Changes in stock of defaulted advances, debt securities and off-balance sheet exposures

11

CR3: Credit risk mitigation techniques

12

CR4: Standardised approach - credit risk exposure and credit risk mitigation effects

13

CR5: Standardised approach - exposures by asset classes and risk weights

15

CR6: AIRB - Credit risk exposures by portfolio and PD range

17

CR7: AIRB - Effect on RWA of credit derivatives used as credit risk mitigation techniques

37

CR8: RWA flow statements of

credit risk exposures under AIRB

37

CR10: AIRB - Specialised lending

38

Counterparty credit risk

40

CCR1: Analysis of counterparty credit risk exposure by approach

41

CCR2: CVA capital charge

42

CCR3: Standardised approach for counterparty credit risk exposures by regulatory portfolio and risk weights

42

CCR4: AIRB - Counterparty credit risk exposures by portfolio and PD range

44

CCR5: Composition of collateral for counterparty credit risk exposure per collateral category

51

CCR6: Credit derivatives exposures

52

CCR8: Exposures to central counterparties

53

Securitisations

54

SEC1: Securitisation exposure in the banking book per portfolio

55

SEC3: Traditional securitisation exposures in the banking book and associated regulatory capital requirements

- bank acting as originator or as sponsor

57

SEC4: Traditional securitisation exposures in the banking book and associated regulatory capital requirements

- bank acting as investor

58

Traded market risk

59

MR1: Market risk under standardised approach

59

MR2: RWA flow statements of

market risk exposures under an IMA

59

MR3: IMA values for traded market risk

60

MR4: Comparison of VaR estimates with gains/losses

61

Interest rate risk in the banking book

62

Projected net interest income sensitivity to interest rate movements

62

Banking book net asset value sensitivity to interest rate movements as a percentage of total capital

62

Structural foreign exchange risk

63

Net structural foreign exposures

63

Equity investment risk

64

Investment risk exposure, sensitivity of investment risk exposure and equity investments

64

CR10: Equity exposures using simple risk weight method and equity investment in funds

66

The following standardised disclosures relating to capital, leverage and liquidity at 31 December 2022 have been published on the group's website: https://www.firstrand.co.za/investors/basel-pillar-3-disclosure/.

  • KM1: Key prudential requirements
  • CC1: Composition of regulatory capital
  • CC2: Reconciliation of regulatory capital to balance sheet
  • CCA: Main features of regulatory capital instruments
  • CCYB1: Geographical distribution of credit exposures used in the countercyclical capital buffer
  • LR1: Summary comparison of accounting assets vs leverage ratio
  • LR2: Leverage ratio common disclosure
  • LIQ1: Liquidity coverage ratio
  • LIQ2: Net stable funding ratio

02

BASEL PILLAR 3 DISCLOSURE

overview of the firstrand group

FirstRand's portfolio of integrated financial services businesses comprises FNB, WesBank, RMB and Aldermore. The group operates in South Africa, certain markets in sub-Saharan Africa and in the UK, and offers a universal set of transactional, lending, investment and insurance products and services. The Centre represents group-wide functions.

BASEL PILLAR 3 DISCLOSURE

03

Introduction

This interim risk and capital management report (Pillar 3 disclosure) covers the operations of FirstRand Limited (FirstRand or the group) and complies with:

  • the Basel Committee on Banking Supervision's (BCBS's) revised Pillar 3 disclosure requirements (Pillar 3 standard); BCBS 309 (January 2015); the consolidated and enhanced framework BCBS 400 (March 2017); and the BCBS technical amendment on the regulatory treatment of accounting provisions (August 2018); and
  • Regulation 43 of the Regulations relating to Banks (Regulations), issued in terms of the Banks Act 94 of 1990; Directive 1 of 2019 on Matters related to Pillar 3 disclosure requirement framework; and all other Pillar 3 disclosure-related directives issued by the Prudential Authority.

The table references used throughout the Pillar 3 disclosure are in accordance with the Pillar 3 standard, where required.

Some differences exist between the practices, approaches, processes and policies of FirstRand Bank Limited (FRB or the bank) and FirstRand's other wholly owned subsidiaries. These are highlighted by reference to the appropriate entity, where necessary. There is further distinction between FRB (which includes foreign branches) and FirstRand Bank Limited South Africa (FRBSA)

(which excludes foreign branches). This report has been internally verified through the group's governance processes, in line with the group's external communication and disclosure policy, which describes the responsibilities and duties of senior management and the board in the preparation and review of the Pillar 3 disclosure, and aims to ensure that:

  • minimum disclosure requirements of the Regulations, standards and directives are met;
  • disclosed information is consistent with the manner in which the board assesses the group's risk portfolio;

> the disclosure provides a true reflection of the group's financial condition and risk profile; and

  • the quantitative and qualitative disclosures are appropriately reviewed.

In this regard, the board and senior management have ensured that appropriate review of the relevant disclosures have taken place. The review process applied was approved by the FirstRand risk, capital management and compliance committee.

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Disclaimer

FirstRand Ltd. published this content on 31 March 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 31 March 2023 09:43:08 UTC.