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.
Attachments
- Original Link
- Original Document
- Permalink
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.