STANDARD BANK GROUP Standard Bank Group PILLAR 3 REPORT

PILLA

R 3

RE

PO

RT

FOR

TH

E S

IX M

ON

TH

S E

ND

ED

30

JUN

E 2

02

0S

TAN

DA

RD

BA

NK

GR

OU

P

PILLAR 3 REPORTfor the six months ended 30 June 2020

Standard Bank Group

STANDARD BANK GROUP | Pillar 3 Report for the six months ended 30 June 2020

GROUP RESULTS IN BRIEF

A

1 This report

5CAPITAL MANAGEMENT

13CREDIT RISK

CONTENTS

28COUNTRY RISK

31FUNDING AND LIQUIDITY RISK

2KEY PRUDENTIAL REGULATORY METRICS

40MARKET RISK

44ANNEXURES

STANDARD BANK GROUP | Pillar 3 Report for the six months ended 30 June 2020STANDARD BANK GROUP | Pillar 3 Report for the six months ended 30 June 2020

1THIS 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.

• 1H20 refers to the period ended 30 June 2020

• 1Q20 refers to the period ended 31 March 2020

• FY19 refers to the year ended 31 December 2019

• 3Q19 refers to the period ended 30 September 2019

• 1H19 refers to the period ended 30 June 2019.

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

2

KEY PRUDENTIAL REGULATORY METRICS


3

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

KM1: KEY METRICS – SBG

1H20 1Q20 FY19 3Q19 1H19

Available capital1 (Rm)

1 Common equity tier I (CET I) 164 684 160 296 140 222 142 327 137 1931a Fully loaded expected credit losses (ECL) accounting

model CET I 162 998 158 602 137 091 138 979 133 8432 Tier I 172 467 167 749 147 981 150 772 145 8082a Fully loaded ECL accounting model tier I 170 781 166 055 144 851 147 424 142 4583 Total capital 202 636 196 106 169 983 176 369 172 5373a Fully loaded ECL accounting model total capital 201 896 195 358 168 744 174 912 171 079

Risk-weighted assets (RWA) (Rm)

4 Total RWA 1 324 767 1 274 176 1 099 528 1 107 849 1 063 866

Risk-based capital ratios as a percentage of RWA2

5 CET I ratio (%) 12.4 12.6 12.8 12.8 12.95a Fully loaded ECL accounting model CET I (%) 12.3 12.5 12.5 12.6 12.66 Tier I ratio (%) 13.0 13.2 13.5 13.6 13.76a Fully loaded ECL accounting model tier I ratio (%) 12.9 13.0 13.2 13.3 13.47 Total capital ratio (%) 15.3 15.4 15.5 15.9 16.27a Fully loaded ECL accounting model total capital

ratio (%) 15.2 15.3 15.4 15.8 16.1

Additional CET I 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 requirement (%) 0.0329 0.0311 0.029510 Bank domestic systemically important (D-SIB)

additional requirements (%)3 1.011 Total of bank CET I specific buffer requirements (%)

(row 8 + row 9 + row 10) 3.5 2.5 2.5 2.5 2.512 CET I available after meeting the bank’s minimum

capital requirements (%) 3.2 3.8 3.8 4.3 4.6

Basel III leverage ratio

13 Total Basel III leverage ratio exposure measure (Rm) 2 310 930 2 206 213 1 969 404 1 969 019 1 911 41414 Basel III leverage ratio (%) (row 2 / row 13) 7.5 7.6 7.5 7.7 7.614a Fully loaded ECL accounting model Basel III leverage

ratio (%) (row 2a / row 13) 7.4 7.5 7.4 7.5 7.5

Liquidity coverage ratio (LCR)

15 Total high-quality liquid assets (HQLA) (Rm) 341 672 300 508 293 594 283 257 264 32716 Total net cash outflow (Rm) 251 132 211 787 212 109 210 710 213 66317 LCR ratio (%) 136.1 141.9 138.4 134.4 123.7

Net stable funding ratio (NSFR)

18 Total available stable funding (Rm) 1 332 554 1 259 294 1 171 157 1 163 167 1 125 25219 Total required stable funding (Rm) 1 090 127 1 072 503 980 118 988 631 946 80620 NSFR ratio (%) 122.2 117.4 119.5 117.7 118.8

1 On 1 January 2018 the group adopted IFRS 9 – Financial Instruments (IFRS 9). For more information on the IFRS 9 transition adjustment, please refer to the group’s IFRS 9 Transition Report which is available on the group’s Investor Relations website. In terms of the SARB Directive 5/2017, the group elected the three-year transition period. All metrics are presented on the basis of applying this transition period with the exception of those metrics referred to as ‘fully loaded’.

2 Excluding unappropriated profit.3 Confidential requirement for disclosure made prior to 1 September 2020.

KEY PRUDENTIAL REGULATORY METRICS

4

KM1: KEY METRICS – SBSA

1H20 1Q20 FY19 3Q19 1H19

Available capital1 (Rm)

1 CET I 84 176 79 319 78 675 77 230 76 4151a Fully loaded ECL accounting model 83 483 78 626 77 289 75 844 75 0042 Tier I 89 634 84 756 84 150 82 697 81 8552a Fully loaded ECL accounting model tier I 88 940 84 063 82 764 81 311 80 4443 Total capital 114 648 107 167 102 876 104 779 105 3623a Fully loaded ECL accounting model total capital 114 606 107 125 102 791 104 696 105 253

RWA (Rm)

4 Total RWA 746 991 730 446 669 571 669 076 648 365

Risk-based capital ratios as a percentage of RWA2

5 CET I ratio (%) 11.3 10.9 11.7 11.5 11.85a Fully loaded ECL accounting model CET I (%) 11.2 10.8 11.5 11.3 11.66 Tier I ratio (%) 12.0 11.6 12.6 12.4 12.66a Fully loaded ECL accounting model tier I ratio (%) 11.9 11.5 12.4 12.2 12.47 Total capital ratio (%) 15.3 14.7 15.4 15.7 16.37a Fully loaded ECL accounting model total capital ratio

(%) 15.3 14.7 15.4 15.6 16.2

Additional CET I 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 requirement (%) 0.0216 0.0192 0.018810 Bank G-SIB and/or D-SIB additional

requirements (%)3 1.011 Total of bank CET I specific buffer requirements (%)

(row 8 + row 9 + row 10) 3.5 2.5 2.5 2.5 2.512 CET I available after meeting the bank’s minimum

capital requirements (%) 2.8 3.2 3.8 4.1 4.7

Basel III leverage ratio

13 Total Basel III leverage ratio exposure measure (Rm) 1 772 260 1 723 936 1 593 527 1 617 060 1 570 21814 Basel III leverage ratio (%) (row 2 / row 13) 5.1 4.9 5.3 5.1 5.214a Fully loaded ECL accounting model Basel III leverage

ratio (%) (row 2a / row 13) 5.0 4.9 5.2 5.0 5.1

LCR

15 Total HQLA (Rm) 221 503 201 712 205 349 186 558 172 79316 Total net cash outflow (Rm) 189 025 161 290 165 096 146 204 133 37317 LCR ratio (%) 117.2 125.1 124.4 127.6 129.6

NSFR

18 Total available stable funding (Rm) 890 808 851 175 830 874 826 285 812 34019 Total required stable funding (Rm) 805 821 810 756 763 595 753 087 746 94420 NSFR ratio (%) 110.5 105.0 108.8 109.7 108.8

1 On 1 January 2018 the group adopted IFRS 9 – Financial Instruments (IFRS 9). For more information on the IFRS 9 transition adjustment, please refer to the group’s IFRS 9 Transition Report which is available on the group’s Investor Relations website. In terms of the SARB Directive 5/2017, the group elected the three-year transition period. All metrics are presented on the basis of applying this transition period with the exception of those metrics referred to as ‘fully loaded’.

2 Excluding unappropriated profit.3 Confidential requirement for disclosure made prior to 1 September 2020.


5

CAPITAL MANAGEMENT

6 South African minimum capital requirements

6 Capital adequacy

6 RWA history

6 Maturity profile of the group’s qualifying tier II instruments

6 Maturity profile of the group’s additional tier I instruments

7 Qualifying capital excluding unappropriated profits

7 OV1: Basel RWA and associated capital requirements – SBG

7 RWA reconciliation

8 OV1: Basel RWA and associated capital requirements – SBSA

9 Capital adequacy ratios

9 Capital adequacy ratios of banking subsidiaries

9 CETI capital adequacy ratio movement

9 CCYB1: geographical distribution of credit exposures used in the countercyclical buffer

9 LR1: summary comparison of accounting assets vs. leverage ratio exposure measure – SBG

10 LR1: summary comparison of accounting assets vs. leverage ratio exposure measure – SBSA

10 LR2: leverage ratio common disclosure table – SBG

11 LR2: leverage ratio common disclosure table – SBSA

11 Reconciliation with published financial statements – SBG

11 Reconciliation with published financial statements – SBSA

12 Economic capital

12 Return on ordinary equity

CAPITAL MANAGEMENT

20

16

12

8

4

02018

CAPITAL ADEQUACYSBG

2016 1H20201720152014 2019

%

Tier I Tier II Required capital

South African minimum capital requirementsIn response to the COVID-19 pandemic the Prudential Authority reduced the pillar 2A buffer requirement to nil percent from 6 April 2020. The South African minimum fully phased-in Basel III capital requirements are 8.0% for CET I, 10.0% for tier I and 13.0% for total capital adequacy after considering the reduction in pillar 2A requirements (8,5 %, 10.8% and 14.0% respectively prior to the reduction of pillar 2A requirements). These minimums exclude the countercyclical buffer and confidential bank-specific pillar 2b capital requirements, but include the maximum potential D-SIB requirement of 2.5%.

2 500

2 000

1 500

1 000

500

02018

RWA HISTORY1

SBG

2016 1H2020172015 2019

Rbn

Total assets RWA

1 Banking activities and other banking interests.

2014

MATURITY PROFILE OF THE GROUP’S QUALIFYING TIER II INSTRUMENTS1

SBG

8 000

7 000

6 000

5 000

4 000

3 000

2 000

1 000

020232021 202520222020 2024

Rm

First callable date

1 Instruments issued in non-ZAR are converted to ZAR using the month-end exchange rate applicable to the 30 June 2020 reporting period.

MATURITY PROFILE OF THE GROUP’S ADDITIONAL TIER I INSTRUMENTSSBG

5 000

4 000

3 000

2 000

1 000

02022 2023 2024

Rm

First callable date

6


7

Qualifying capital, excluding unappropriated profitsFor disclosure relating to the group’s qualifying capital as at 30 June 2020 and 31 December 2019, refer to page 68 of the group's financial results for the six months ended 30 June 2020, found on our investor relations website.

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

OV1: BASEL RWA AND ASSOCIATED CAPITAL REQUIREMENTS – SBG

Table

RWA Minimumcapital

requirements1

1H201H20 FY19

Credit risk (excluding counterparty credit risk (CCR)) 938 867 768 308 98 581

Of which standardised approach2 CR4 437 848 333 306 45 974Of which internal rating-based (IRB) approach CR6, CR7, CR8 501 019 435 002 52 607

CCR CCR1, CCR2 56 073 31 912 5 888

Of which standardised approach for CCR 16 450 6 584 1 727Of which IRB approach 20 775 14 485 2 181OF which credit valuation adjustments 18 848 10 843 1 979

Equity positions in banking book under market-based approach CR10 6 794 5 700 713Securitisation exposures in banking book 605 463 64

Of which IRB approach 392 268 41Of which IRB supervisory formula approach 213 195 23

Market risk 86 062 75 383 9 037

Of which standardised approach MR1 72 717 60 795 7 635 Of which internal model approach MR2 13 345 14 588 1 401

Operational risk 178 506 165 819 18 743

Of which standardised approach 98 895 89 090 10 384 Of which advanced measurement approach 79 611 76 729 8 359

Amounts below the thresholds for deduction (subject to 250% risk weight) 57 860 51 943 6 075

Total 1 324 767 1 099 528 139 101

1 Measured at 10.5%, excluding any bank-specific capital requirements and considering the temporary reduction of pillar 2A buffer requirements. Disclosure of D-SIB buffer requirements are required from 1 September 2020 and have not been included in this table. Required disclosures are included in table CC1. There is currently no requirement for the countercyclical buffer add-on in South Africa or in other jurisdictions in which the group has significant exposures.

2 Portfolios on the standardised approach relate to the group's Africa Regions and portfolios for which application to adopt the IRB approach has not been submitted, or for which an application has been submitted but approval has not been granted.

RWA RECONCILIATIONSBG

1 500

1 200

900

600

300

0PBB 1H20CIB Centre CCR OtherFY19

Rm

1 100 28

133 12 23 28 1 325

CAPITAL MANAGEMENT

8

OV1: BASEL RWA AND ASSOCIATED CAPITAL REQUIREMENTS – SBSA

Table

RWA MinimumCapital

requirements1

1H201H20 FY19

Credit risk (excluding CCR) 544 994 482 537 57 224

Of which standardised approach2 CR4 67 561 45 673 7 094 Of which IRB approach CR6, CR7, CR8 477 433 436 864 50 130

CCR CCR1, CCR2 38 464 25 430 4 039

Of which standardised approach for CCR 2 452 1813 257Of which IRB approach 21 222 14 524 2 228Of which credit valuation adjustments 14 790 9 093 1 553

Equity positions in banking book under market-based approach CR10 3 312 2 327 348Securitisation exposures in banking book 605 463 64

Of which IRB approach 392 463 41Of which IRB supervisory formula approach 213 23

Market risk 46 999 46 770 4 935

Of which standardised approach MR1 33 654 32 182 3 534 Of which internal model approach MR2 13 345 14 588 1 401

Operational risk 99 517 99 434 10 449

Of which standardised approach 19 906 22 704 2 090 Of which advanced measurement approach 79 611 76 730 8 359

Amounts below the thresholds for deduction (subject to 250% risk weight) 13 100 12 610 1 376

Total 746 991 669 571 78 434

1 Measured at 10.5% excluding any bank-specific capital requirements and considering the temporary reduction of pillar 2A buffer requirements. Disclosure of D-SIB buffer requirements are required from 1 September 2020 and have not been included in this table. Required disclosures are included in table CC1. There is currently no requirement for the countercyclical buffer add-on in South Africa or in other jurisdictions in which the group has significant exposures.

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


Capital adequacy ratios of banking subsidiariesFor disclosure relating to the group’s capital adequacy ratios of banking subsidiaries as at 30 June 2020 and 31 December 2019, refer to page 69 of the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.

CCYB1: SBG geographical distribution of credit exposures used in the countercyclical bufferThe SARB has not activated a countercyclical capital buffer (CCyB) requirement for banks in South Africa, but the group is subject to CCyB requirements on exposures in other jurisdictions where these buffers apply from time-to-time. Directive 2/2018 issued by the SARB allows for a threshold of 2% of total private sector credit exposure below which banks can apply the home jurisdiction CCyB requirement (currently 0% in South Africa) to foreign private sector credit exposures. Additionally, if the sum of all foreign private sector credit exposures that are less than 2% of total private sector credit exposure amounts to greater than 10% in aggregate then the three most significant exposures must be assigned their jurisdiction’s CCyB and not the home jurisdiction CCyB.

The proportion of capital held for CCyB requirements in geographies other than South Africa are shown in the table below.

Countercyclical capital buffer

rate%

Risk-weighted assets used in

the computation of the

countercyclical capital buffer

Rm

Bank-specific countercyclical

capital buffer rate

%

Countercyclical buffer amount

Rm

Geographical breakdownHong Kong 2.0 88Norway 2.0 5France 0.3 2 175

Leverage ratioThe non-risk-based leverage measure is designed to complement the Basel III risk-based framework. The tables below show the reconciliation of the total assets in the financial statements to the leverage ratio exposure measure and detailed breakdowns of the components of the leverage ratio for the group and SBSA.

LR1: SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE – SBG1H20

RmFY19 Rm

Total consolidated assets (banking activities) 2 170 361 1 836 652Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for

accounting purposes but outside the scope of regulatory consolidation 12 035 11 182Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting

framework but excluded from the leverage ratio exposure measureAdjustments for derivative financial instruments (31 713) (10 862)Adjustment for securities financing transactions (SFT) (repos and similar secured lending) 3 793 1 628Adjustment for off-balance sheet items (conversion to credit equivalent amounts of off-balance sheet exposures) 144 550 113 436Other adjustments 11 904 17 368

Leverage ratio exposure 2 310 930 1 969 404

9


Capital adequacy ratiosFor disclosure relating to the group’s capital adequacy ratios as at 30 June 2020 and 31 December 2019, refer to pages 68 to 69 of the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.

20

16

12

8

4

0

CET I CAPITAL ADEQUACY RATIO MOVEMENT1

SBG

1H20FY19 Sale of ICBC

Argen-tina

Profit for theperiod

Growth in NCI

Other Divi-dendspaid2

RWA Growth

FCTR

%

14.0 0.3 0.1 1.2 0.2 0.1 (0.8)

(2.6)

12.6

1 Including unappropriated profits and IFRS 9 transitional impact.2 Related to FY19 final dividend paid in April 2020.

LR1: SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE – SBSA1H20

RmFY19 Rm

Total consolidated assets 1 679 307 1 480 748Adjustment for derivative financial instruments (42 888) (12 761)Adjustments for securities financing transactions (SFT) (i.e. repos and similar securities lending) 6 519 1 634Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet) 109 217 97 262Other adjustments 20 105 26 644

Leverage ratio exposure 1 772 260 1 593 527

LR2: LEVERAGE RATIO COMMON DISCLOSURE TABLE – SBG

1H20Rm

FY19Rm

On-balance sheet exposures (excluding derivatives and SFT) 1 953 538 1 730 899

On-balance sheet exposures (excluding derivatives and SFTs, but including collateral) 1 973 709 1 753 358Less: asset amounts deducted in determining Basel III tier I capital (20 171) (22 459)

Derivatives exposures 77 191 55 962

Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting) 31 233 16 636

Add-on amounts for potential future exposures (PFE) associated with all derivatives transactions 55 970 49 008Less: deductions of receivables assets for cash variation margin provided in derivatives transactions (16 010) (7 078)Less: exempted central counterparty (CCP) leg of client-cleared trade exposures (16 289) (16 998)Adjusted effective notional amount of written credit derivatives 22 287 14 394

SFT exposures 135 652 69 107

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions (Netted amounts of cash payables and cash receivables of gross SFT assets) 131 859 67 479

CCR exposure for SFT assets 3 793 1 628Agent transaction exposures

Other off-balance sheet exposures 144 549 113 436

Off-balance sheet exposure at gross notional amount 393 300 362 912Less: adjustments for conversion to credit equivalent amounts (248 751) (249 476)

Capital and total exposuresTier I capital1 172 467 147 981Total exposures 2 310 930 1 969 404Leverage ratioBasel III leverage ratio 7.5 7.5Basel III leverage ratio (including unappropriated profits) 7.6 8.2

1 Excluding unappropriated profits.

CAPITAL MANAGEMENT

10


LR2: LEVERAGE RATIO COMMON DISCLOSURE TABLE – SBSA

1H20Rm

FY19Rm

On-balance sheet exposures (excluding derivatives and SFT) 1 453 405 1 376 033

On-balance sheet exposures (excluding derivatives and SFT), but including collateral) 1 465 145 1 388 621Less: asset amounts deducted in determining Basel III tier I capital (11 740) (12 588)

Derivatives exposures 73 797 53 630

Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting) 24 921 14 008

Add-on amounts for PFE associated with all derivatives transactions 59 843 49 675Less: deductions of receivables assets for cash variation margin provided in derivatives transactions (16 965) (7 449)Less: exempted CCP leg of client-cleared trade exposures (16 289) (16 998)Adjusted effective notional amount of written credit derivatives 22 287 14 394

SFT exposures 135 841 66 602

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 129 322 64 968Less: Netted amounts of cash payables and cash receivables of gross SFT assetsCCR exposure for SFT assets 6 519 1 634Agent transaction exposures

Other off-balance sheet exposures 109 217 97 262

Off-balance sheet exposure at gross notional amount 320 266 295 157Less: adjustments for conversion to credit equivalent amounts (211 049) (197 895)

Capital and total exposuresTier I capital1 89 634 84 150Total exposures 1 772 260 1 593 527Leverage ratioBasel III leverage ratio 5.1 5.3Basel III leverage ratio (including unappropriated profits) 5.1 5.9

1 Excluding unappropriated profits.

RECONCILIATION WITH PUBLISHED FINANCIAL STATEMENTS – SBG

1H20Rm

FY19Rm

Total consolidated assets (banking activities) 2 170 361 1 836 652 Derivative assets as per the statement of financial position (SOFP) (108 904) (66 825) Security financing transactions per the SOFP (131 859) (67 479)

Total consolidated assets (excluding derivative and SFT assets) 1 929 598 1 702 348

Gross-up for cash management schemes 32 076 39 829 Adjustment for share of consolidated insurance assets 12 035 11 182

Total on-balance sheet items LR2 1 973 709 1 753 359

RECONCILIATION WITH PUBLISHED FINANCIAL STATEMENTS – SBSA

1H20Rm

FY19Rm

Total consolidated assets 1 679 307 1 480 748 Derivative assets as per the SOFP (116 685) (66 392) Security financing transactions per the SOFP (129 322) (64 968)

Total consolidated assets (excluding derivative and SFT assets) 1 433 300 1 349 388

Gross-up for cash management schemes 31 845 39 233

Total on-balance sheet items LR2 1 465 145 1 388 621

11

Economic capitalFor disclosure relating to the group’s economic capital by risk type as at 30 June 2020 and 31 December 2019, refer to page 65 of the group financial results for the six months ended 30 June 2020, found on our investor relations website.

200 000

150 000

100 000

50 000

02018

RETURN ON ORDINARY EQUITYSBG

2016 1H2020172015 2019

%20

16

12

8

4

0

Rm

Ordinary shareholders' funds (average Rm) ROE (%)

2014

CAPITAL MANAGEMENT

12


13

CREDIT RISK

14 CR1: credit quality of assets14 CR2: changes in stock of defaulted loans and debt

securities15 CR3: credit risk mitigation techniques – overview16 CR4: standardised approach – credit risk

exposure and CRM effects17 CR5: standardised approach – exposure by asset

classes and risk weights18 CR6: IRB – credit risk exposures by portfolio and

probability of default range total (all portfolios)20 CR7: IRB – effect on RWA of credit derivatives

used as CRM techniques20 CR8: IRB – RWA flow statements of credit risk

exposures20 CR10: IRB equities under the simple risk weight

method21 CCR1: analysis of CCR exposure by approach21 CCR2: credit valuation adjustments capital charge

22 CCR3: standardised approach – CCR exposures by regulatory portfolio and risk weights

23 CCR4: IRB – CCR exposures by portfolio and pd scale (total)

24 CCR5: composition of collateral for CCR exposure24 CCR6: credit derivatives exposures25 CCR8: exposures to central counterparties25 SEC1: securitisation exposures in the banking

book26 SEC3: securitisation exposures in the banking

book and associated regulatory capital requirements – bank acting as originator or as sponsor

27 SEC4: securitisation exposures in the banking book and associated regulatory capital requirements – bank acting as investor

CREDIT RISK14

CR1: CREDIT QUALITY OF ASSETS – SBGThe credit quality of the group’s on- and off-balance sheet assets is reflected in table CR1 below, through the disclosure of the gross carrying values of both defaulted and non-defaulted exposures, as well as the net exposures after impairments and allowances.

Gross carrying values of

Allowances/impairments

(c)Rm

Net values (a+b-c)

Rm

Defaulted exposures

(a)Rm

Non-defaulted

exposures(b)Rm

Total exposure

Rm

1H20Loans1 58 433 1 316 270 1 374 703 39 135 1 335 568Debt securities and other investments 454 189 868 190 322 12 190 310On-balance sheet exposures 58 887 1 506 138 1 565 025 39 147 1 525 878Off-balance sheet exposures 1 487 370 109 371 596 531 371 065

Total 60 374 1 876 247 1 936 621 39 678 1 896 943

CR2FY19Loans1 42 901 1 191 583 1 234 484 29 337 1 205 147Debt securities and other investments 22 156 474 156 496 0 156 496On-balance sheet exposures 42 923 1 348 057 1 390 980 29 337 1 361 643Off-balance sheet exposures 662 343 000 343 662 359 343 303

Total 43 585 1 691 057 1 734 642 29 696 1 704 946

CR21 Included in loans are placements with central banks outside of South Africa. Placements under resale agreement are included within the CCR framework and excluded from

credit risk.

CR2: CHANGES IN STOCK OF DEFAULTED LOANS AND DEBT SECURITIES –SBGTable CR2 presents the movement in the balance of defaulted exposures for the reporting period, including loans and debt securities that have defaulted since the last reporting period, those that have returned to default status and the amounts that have been written off.

1H20Rm

FY19Rm

Defaulted loans and debt securities at beginning of period 43 585 42 930Loans and debt securities that have defaulted since the last reporting period 23 263 25 533Returned to non-defaulted status (3 731) (11 184)Amounts written off (3 808) (12 990)Other changes (1 092) (704)

Defaulted loans and debt securities at end of period 60 374 43 585

CR1 CR1


15

CR3: CREDIT RISK MITIGATION TECHNIQUES – OVERVIEW –SBG

Exposures unsecured:

carrying amount1

Rm

Exposuressecured1

RmTotal

Rm

Exposuressecured by

collateralRm

Exposures secured by collateral,

of which secured amount

Rm

Exposuressecured by

financialguarantees

Rm

Exposuressecured by

financial guarantees,

of which; secured amount

Rm

Exposuressecured

by credit derivatives

Rm

Exposures secured

by credit derivatives,

of which; secured amount

Rm

1H20Loans 640 143 695 425 1 335 568 579 264 560 640 116 161 29 431Debt securities 179 610 10 700 190 310 10 700 10 700Off-balance sheet

exposures 351 362 19 703 371 065 14 494 8 534 5 209 5 209

Total 1 171 115 725 828 1 896 943 604 458 579 874 121 370 34 640

Of which: defaulted 11 747 25 944 37 691 24 085 23 686 1859 1850

FY19Loans 594 018 611 129 1 205 147 580 272 568 209 30 857 29 546Debt securities 144 975 11 521 156 496 11 521 11 521Off-balance

sheet exposures 322 427 20 876 343 303 13 912 12 725 6 964 6 370

Total 1 061 420 643 526 1 704 946 605 705 592 455 37 821 35 916

Of which: defaulted 10 384 16 406 26 790 14 757 14 456 1 649 1 574

1 Exposures are net of impairments.

CREDIT RISK

CR4: STANDARDISED APPROACH – CREDIT RISK EXPOSURE AND CRM EFFECTS

Asset classes

Exposures before CCF and CRM

Exposures post-CCF and CRM

RWA and RWA density

On-balance sheet

amountRm

Off-balance sheet

amountRm

On-balance sheet

amountRm

Off-balance sheet

amountRm

RWARm

RWA density

%

1H20Corporate 70 012 39 366 66 470 15 179 80 576 99SME corporate 71 543 30 689 69 601 8 697 83 051 106Public sector entities 3 505 597 3 269 144 1 707 50Local governments and municipalities 40 92 40 32 65 90Sovereign 210 876 341 210 941 68 160 009 76Banks 27 887 18 267 25 372 9 584 16 953 48Securities firmsRetail mortgage advances 21 675 4 007 21 338 3 374 13 214 53Retail revolving credit 5 916 1 027 5 711 2 4 885 86SME retail 11 258 6 321 10 745 2 015 12 223 96Other retail 25 354 1 718 24 566 534 21 058 84Other assets 86 254 86 254 44 107 51

Total 534 320 102 425 524 307 39 629 437 848 78

Sum of exposures post-CCF and CRM 563 936

CR5 OV1

FY19Corporate 63 107 33 271 59 801 11 887 69 188 97SME corporate 55 514 20 110 54 216 6 823 64 494 106Public sector entities 3 451 681 3 241 323 1 782 50Local governments and municipalities 57 91 57 43 91 91Sovereign 133 009 1 396 132 083 614 96 371 73Banks 27 008 17 316 24 038 11 018 16 611 47Securities firms 1 1Retail mortgage advances 20 180 1 597 19 886 1 053 10 993 53Retail revolving credit 5 201 3 955 5 071 4 307 85SME retail 11 053 5 846 10 366 1 929 11 383 93Other retail 22 027 1 928 21 622 673 18 542 83Other assets 80 992 80 992 39 542 49

Total 421 600 86 191 411 374 34 363 333 304 75

Sum of exposures post-CCF and CRM 445 737

CR5 OV1

16


CR5: STANDARDISED APPROACH – EXPOSURE BY ASSET CLASSES AND RISK WEIGHTS

Risk weights Total credit exposures

amount (post CCF

and post CRM)Asset classes

0%

20%

35%

50%

75%

100%

150%

1H20Corporate 7 231 187 67 390 6 841 81 649SME corporate 127 69 160 9 011 78 298Public sector entities 3 413 3 413Local governments and municipalities 17 54 1 72Sovereign 57 509 3 545 4 204 122 650 23 101 211 009Banks 1 749 33 207 34 956Securities firmsRetail mortgage advances 19 219 352 3 837 1 304 24 712Retail revolving credit 8 5 650 17 38 5 713SME retail 52 8 152 3 912 644 12 760Other retail 293 24 342 322 143 25 100Securitisation and re-securitisation exposureOther assets 41 566 726 43 962 86 254

Total 99 075 6 020 26 450 41 860 41 981 308 771 39 779 563 936

CR4

FY19Corporate 6 779 2 60 051 4 856 71 688SME corporate 100 54 133 6 806 61 039Public sector entities 3 564 3 564Local governments and municipalities 20 77 3 100Sovereign 41 181 3 789 3 034 65 631 19 062 132 697Banks 3 487 31 569 35 056Securities firms 1 1Retail mortgage advances 16 887 284 2 770 998 20 939Retail revolving credit 7 5 011 21 32 5 071SME retail 73 8 167 3 721 334 12 295Other retail 225 21 674 305 91 22 295Securitisation and re-securitisation exposureOther assets 40 220 1 537 39 235 80 992

Total 81 401 8 814 23 666 38 878 37 622 224 172 31 184 445 737

CR4

17

CR6: IRB – CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT RANGE TOTAL (ALL PORTFOLIOS)1

PD scales

Original on-balance

sheet gross exposure

Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%

EAD post CRM and post-CCF

Rm

Average PD%

Number of obligors1

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

Rm

Impairment provisions

Rm

1H200.00 to < 0.15 189 458 64 126 45.68 224 781 0.05 130 682 32.85 1.7 25 180 11.20 430.15 to < 0.25 68 524 40 943 46.36 88 702 0.20 177 236 27.17 1.7 17 229 19.42 490.25 to < 0.50 233 091 71 136 48.28 270 454 0.39 359 453 24.55 2.2 76 589 28.32 2590.50 to < 0.75 137 775 19 888 49.49 145 594 0.63 261 880 22.90 2.3 48 171 33.09 2110.75 to < 2.50 262 387 52 427 46.14 286 001 1.40 1 518 707 31.13 2.3 147 360 51.52 1 3092.50 to < 10.00 128 827 16 710 55.07 134 163 4.66 2 027 730 36.83 2.1 93 610 69.77 2 30710.00 to < 100.00 51 523 2 455 45.07 52 848 26.17 797 458 33.78 2.2 59 327 112.26 4 946100.00 (default) 45 374 1 486 51.93 46 153 100.00 441 486 33.61 2.2 33 553 72.70 17 646

Total 1 116 959 269 171 47.35 1 248 696 5.80 5 714 632 29.59 2.0 501 019 40.12 26 770 30 673

OV1CR7

FY190.00 to < 0.15 145 171 57 600 46.00 195 486 0.05 150 410 30.82 1.7 18 106 9.26 290.15 to < 0.25 83 512 39 841 48.00 102 150 0.21 182 065 26.65 2.0 21 942 21.48 560.25 to < 0.50 252 012 67 453 47.37 281 581 0.38 411 105 22.34 2.2 72 186 25.64 2440.50 to < 0.75 129 319 24 911 35.62 138 553 0.63 290 122 21.74 2.4 42 135 30.41 1830.75 to < 2.50 237 154 49 445 34.39 254 631 1.38 1 475 733 30.84 2.3 121 595 47.75 1 1212.50 to < 10.00 125 024 14 402 6.37 127 260 4.47 1 858 416 38.21 2.4 89 446 70.29 2 17310.00 to < 100.00 43 792 3 156 58.08 44 308 25.48 715 634 35.95 2.2 56 387 127.26 4 165100.00 (default) 34 388 663 63.36 32 656 100.00 333 384 31.28 2.4 13 205 40.44 13 018

Total 1 050 372 257 471 32.31 1 176 625 4.71 5 416 869 28.37 2.1 435 002 36.97 20 989 22 773

OV1CR7

1 Represents the number of unique obligors. The total number of unique obligors will not equal the sum of the obligors in the underlying asset classes since an obligor may be present in more than one asset class.

CREDIT RISK

18


CR6: IRB – CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT RANGE TOTAL (ALL PORTFOLIOS)1

PD scales

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%

EAD post CRM and post-CCF

Rm

Average PD%

Number of obligors1

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

Rm

Impairment provisions

Rm

1H200.00 to < 0.15 189 458 64 126 45.68 224 781 0.05 130 682 32.85 1.7 25 180 11.20 430.15 to < 0.25 68 524 40 943 46.36 88 702 0.20 177 236 27.17 1.7 17 229 19.42 490.25 to < 0.50 233 091 71 136 48.28 270 454 0.39 359 453 24.55 2.2 76 589 28.32 2590.50 to < 0.75 137 775 19 888 49.49 145 594 0.63 261 880 22.90 2.3 48 171 33.09 2110.75 to < 2.50 262 387 52 427 46.14 286 001 1.40 1 518 707 31.13 2.3 147 360 51.52 1 3092.50 to < 10.00 128 827 16 710 55.07 134 163 4.66 2 027 730 36.83 2.1 93 610 69.77 2 30710.00 to < 100.00 51 523 2 455 45.07 52 848 26.17 797 458 33.78 2.2 59 327 112.26 4 946100.00 (default) 45 374 1 486 51.93 46 153 100.00 441 486 33.61 2.2 33 553 72.70 17 646

Total 1 116 959 269 171 47.35 1 248 696 5.80 5 714 632 29.59 2.0 501 019 40.12 26 770 30 673

OV1CR7

FY190.00 to < 0.15 145 171 57 600 46.00 195 486 0.05 150 410 30.82 1.7 18 106 9.26 290.15 to < 0.25 83 512 39 841 48.00 102 150 0.21 182 065 26.65 2.0 21 942 21.48 560.25 to < 0.50 252 012 67 453 47.37 281 581 0.38 411 105 22.34 2.2 72 186 25.64 2440.50 to < 0.75 129 319 24 911 35.62 138 553 0.63 290 122 21.74 2.4 42 135 30.41 1830.75 to < 2.50 237 154 49 445 34.39 254 631 1.38 1 475 733 30.84 2.3 121 595 47.75 1 1212.50 to < 10.00 125 024 14 402 6.37 127 260 4.47 1 858 416 38.21 2.4 89 446 70.29 2 17310.00 to < 100.00 43 792 3 156 58.08 44 308 25.48 715 634 35.95 2.2 56 387 127.26 4 165100.00 (default) 34 388 663 63.36 32 656 100.00 333 384 31.28 2.4 13 205 40.44 13 018

Total 1 050 372 257 471 32.31 1 176 625 4.71 5 416 869 28.37 2.1 435 002 36.97 20 989 22 773

OV1CR7

1 Represents the number of unique obligors. The total number of unique obligors will not equal the sum of the obligors in the underlying asset classes since an obligor may be present in more than one asset class.

19

CR7: IRB – EFFECT ON RWA OF CREDIT DERIVATIVES USED AS CRM TECHNIQUES – SBG

1H20 FY19

Pre-creditderivatives

RWARm

ActualRWA

Rm

Pre-creditderivatives

RWARm

ActualRWA

Rm

Corporate 198 558 198 558 166 689 166 689Other asset classes1 302 461 268 313

Specialised lending – high volatility commercial real estate (property development) 258 171

Specialised lending – income producing real estate 6 680 6 242Specialised lending – project finance 14 490 12 222SME corporate 22 755 16 851Securities firms 535 151Sovereign 13 973 11 080Public sector entities 18 178 7 669Local governments and municipalities 1 353 1 450Banks 18 492 16 610Retail mortgages 81 437 74 906QRRE 56 386 54 564Retail – other 32 689 30 593SME retail 26 306 24 550Equity 8 929 11 254

Total (all portfolios) 501 019 435 002

OV1 OV1CR6 CR6CR8 CR8

1 Other asset classes' pre-credit derivatives RWA is equivalent to actual.

CR8: IRB – RWA FLOW STATEMENTS OF CREDIT RISK EXPOSURES – SBGThe table below explains the variations in credit RWA under the IRB approach attributable to each of the key risk drivers. Note the following:

• asset size represents organic changes in the book size and composition

• asset quality represents changes in borrower risk, such as risk grade migration or similar effects

• foreign exchange movements are changes driven by changes in foreign exchange rates.

1H20RWA

Rm

FY19RWA

Rm

RWA at beginning of period 435 002 435 307Asset size 24 988 32 029Asset quality 23 179 (5 897)Model updates (23 578)Foreign exchange movements 17 578 (2 694)Other 272 (165)

RWA at end of period 501 019 435 002

OV1 OV1CR6 CR6CR8 CR8

CR10: IRB EQUITIES UNDER THE SIMPLE RISK WEIGHT METHOD – SBG

On-balance sheet amount

Rm

Off-balance sheet amount

Rm

Risk weight

%RWA

Rm

1H20Private equity exposures 1 562 400 6 622Other equity exposures 54 300 172

Total 1 616 6 794

OV1

FY19Private equity exposures 1 326 400 5 624Other equity exposures 24 300 76

Total 1 350 5 700

OV1

CREDIT RISK

20


Counterparty credit risk

CCR1: ANALYSIS OF CCR EXPOSURE BY APPROACH – SBGThe table below provides a view of the methods used to calculate CCR regulatory requirements and the main parameters used within each method.

Replacement cost

Rm

Potential future

exposureRm

Alpha used for

computing regulatory

EAD

EAD post-CRM

RmRWA

Rm

1H20Current exposure method (for derivatives) 113 520 78 528 1.4 53 775 28 778Comprehensive approach for credit risk mitigation

(for SFTs) 19 662 7 799

Total 113 520 78 528 1.4 73 437 36 577

CVA 18 848 CCR2

CCP and default funds 648 CCR8

Total 56 073

CCR3 OV1FY19Current exposure method (for derivatives) 70 801 66 754 1.4 38 282 17 529Comprehensive approach for credit risk mitigation

(for SFTs) 10 103 3 022

Total 70 801 66 754 1.4 48 385 20 551

CVA 10 843 CCR2CCP and default funds 518 CCR8

Total 31 912

CCR3 OV1

CCR2: CREDIT VALUATION ADJUSTMENTS CAPITAL CHARGE – SBG

1H20 FY19

EAD post-CRM

RmRWA

Rm

EAD post-CRM

RmRWA

Rm

All portfolios subject to the standardised CVA capital charge 53 775 18 848 38 282 10 843

Total subject to the CVA capital charge 53 775 18 848 38 282 10 843

CCR1 CCR1

21

CCR3: STANDARDISED APPROACH – CCR EXPOSURES BY REGULATORY PORTFOLIO AND RISK WEIGHTS – SBG

Regulatory portfolios 20% 50% 100% 150%

Total credit

exposure

1H20Corporate 2 673 3 2 676SME corporate 805 2 807Public sector entities 199 199Local governments and municipalitiesSovereign 182 10 618 10 800Banks 1 570 3 793 5 363Securities firmsRetail exposureRetail mortgage advancesRetail revolving creditSME retailOther retailSecuritisation and re-securitisation exposure

Total 1 752 3 992 14 096 5 19 845

EAD 53 592 CCR4

Total 73 473 CCR1

FY19Corporate 1 474 5 1 479SME corporate 428 1 429Public sector entities 37 37Local governments and municipalitiesSovereign 277 3 029 3 306Banks 4 566 1 304 5 870Securities firms 9 9Retail exposureRetail mortgage advancesRetail revolving creditSME retailOther retailSecuritisation and re-securitisation exposure

Total 4 843 1 350 4 931 6 11 130

EAD 37 255 CCR4

Total 48 385 CCR1

CREDIT RISK

22


CCR4: IRB – CCR EXPOSURES BY PORTFOLIO AND PD SCALE (TOTAL) – SBGThe table below provides information on all the relevant parameters used for the calculation of CCR capital requirements under the IRB approach. To note:

• EAD post-CRM is the EAD as calculated under the applicable CCR approach and after applying CRM but gross of accounting provisions

• number of obligors correspond to the number of individual PDs in a band

• average PD and LGD are weighted by EAD

• RWA density is total RWA to EAD post-CRM.

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.15 34 921 0.06 76 39.72 1.5 6 677 19.120.15 to < 0.25 1 940 0.22 74 41.28 1.7 835 43.040.25 to < 0.50 11 003 0.43 182 42.28 2.3 7 739 68.030.50 to < 0.75 2 450 0.64 79 38.67 2.4 1 697 69.270.75 to < 2.50 2 636 1.18 179 39.38 1.9 2 301 87.272.50 to < 10.00 625 5.68 63 33.81 4.2 835 133.7410.00 to < 100.00 13 10.45 7 57.46 1.0 32 243.49100.00 (default) 4 100.00 3 44.32 1.0 11 295.09

Total 53 592 0.30 663 40.17 1.8 20 127 37.07

CCR3FY190.00 to < 0.15 22 757 0.06 76 39.24 1.5 4 106 18.040.15 to < 0.25 2 680 0.22 56 42.35 1.6 1 287 48.010.25 to < 0.50 8 817 0.43 196 42.06 1.9 5 922 67.060.50 to < 0.75 1 010 0.64 75 37.12 2.4 679 67.330.75 to < 2.50 1 228 1.15 158 39.64 1.8 1 082 88.152.50 to < 10.00 757 5.19 65 34.46 3.2 887 117.1610.00 to < 100.00 1 11.14 4 58.18 1.0 3 256.83100.00 (default) 5 100.00 2 40.09 1.0 1 20.61

Total 37 255 0.33 632 39.99 1.6 13 967 37.47

CCR3

23

CCR5: COMPOSITION OF COLLATERAL FOR CCR EXPOSURE1 – SBGThe following table discloses a breakdown of all types of collateral posted or received to support or reduce the CCR exposures related to derivative and SFTs. The total collateral posted or received is reflected.

Collateral used in derivative transactions Collateral used in SFTs

Fair value of collateral received

Fair value of posted collateral Fair value

of collateral received

Rm

Fair value of posted collateral

RmSegregated

RmUnsegregated2

RmSegregated

RmUnsegregated2

Rm

1H20Cash – domestic currency 10 626 1 772 27 472 26 684Cash – other currencies 1 667 5 440 5 920 81 703Domestic sovereign debt 1 203 15 919 25 309Other sovereign debt 10 608 2 777Government agency debt 538 25Corporate bonds 63 973 1 499Equity securities 4 426 7 002Other collateral 4 340 24 422

Total 18 374 7 212 152 765 144 974

FY19Cash – domestic currency 10 423 445 32 448 26 282Cash – other currencies 1 831 6 633 3 570 50 323Domestic sovereign debt 1 281 9 806 25 666Other sovereign debt 1 9 056 2 612Government agency debt 570 26Corporate bonds 43 355 598Equity securities 5 318 6 033Other collateral 5 580 12 694

Total 19 686 7 078 116 273 111 514

1 Per the requirement of the framework, collateral includes both cash and securities that are subject to the transaction. Collateral items are presented at fair value and gross of haircuts.

2 Unsegregated refers to collateral not held in a bankruptcy-remote manner.

CCR6: CREDIT DERIVATIVES EXPOSURES – SBGThe table that follows details the group’s exposure to credit derivatives with a distinction made between protection bought and sold.

1H20 FY19

Protection bought

Protection sold

Protection bought

Protection sold

Rm Rm Rm Rm

NotionalsSingle-name credit default swaps 24 007 48 042 20 519 35 906Index credit default swaps 15 059 16 178 7 963 9 326Total return swaps 3 228 1 183 3 983 4 205Other credit derivatives 39 499 4 796 44 677 9 701

Total notionals 81 793 70 199 77 142 59 138

Fair valuesPositive fair value (asset) 833 715 890 387Negative fair value (liability) 1 902 3 417 3 421 935

CREDIT RISK

24


CCR8: EXPOSURES TO CENTRAL COUNTERPARTIES – SBG

1H20 FY19

EAD(post-CRM)

RmRWA

Rm

EAD (post-CRM)

RmRWA

Rm

Exposures to qualifying CCPs (total) 39 272 648 31 315 518

Exposures for trades at qualifying CCPs (excluding initial margin and default fund contributions) of which: 21 847 545 18 983 415

OTC derivatives 7 928 266 6 541 166Exchange-traded derivatives 13 919 279 12 442 249

Segregated initial marginNon-segregated initial margin 17 306 100 12 223 100Pre-funded default fund contributions 119 3 109 3

SecuritisationSEC1: SECURITISATION EXPOSURES IN THE BANKING BOOK – SBG

a e i

Bank acts as originator

Bank acts as sponsor

Bank acts as investor

TraditionalRm

TraditionalRm

TraditionalRm

1H20Retail 49 648 3 746 314

Of which: residential mortgages 49 648 3 398 Of which: credit card Of which: other retail exposures 348 314 Of which: re-securitisation

Wholesale

Of which: loans to corporates Of which: commercial mortgages Of which: lease and receivables Of which:other wholesale Of which: re-securitisation

FY19Retail 49 793 3 513 315

Of which: residential mortgages 49 793 3 167 Of which: credit card Of which: other retail exposures 346 315 Of which: re-securitisation

Wholesale Of which: loans to corporates Of which: commercial mortgages Of which: lease and receivables Of which: other wholesale Of which: re-securitisation

25

SEC3: SECURITISATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS – BANK ACTING AS ORIGINATOR OR AS SPONSOR – SBG

a b f g j k n o

Exposure values (by risk weight bands)

Exposure values (by regulatory

approach)

RWA (by regulatory

approach)Capital charge

after cap

<=20%RW

<20% to 50%

RW

IRB RBA1

(includingIAA2)

IRBSFA3

IRB RBA1

(includingIAA2)

IRBSFA3

IRB RBA1 (including

IAA2)IRB SFA3

1H20Total exposures 3 515 231 874 2 872 226 213 28 27

Traditional securitisation 3 515 231 874 2 872 226 213 28 27

Of which securitisation 3 515 231 874 2 872 226 213 28 27

Of which retail underlying 3 515 231 874 2 872 226 213 28 27 Of which wholesale

Of which re-securitisation

Of which senior Of which non-senior

Synthetic securitisation

Of which securitisation Of which retail underlying

FY19Total exposures 3 513 880 2 633 151 195 20 26

Traditional securitisation 3 513 880 2 633 151 195 20 26

Of which securitisation 3 513 880 2 633 151 195 20 26

Of which retail underlying 3 513 880 2 633 151 195 20 26 Of which wholesale

Of which re-securitisation

Of which senior Of which non-senior


Of which securitisation Of which retail underlying

1 Ratings-based approach.2 Internal assessment approach.3 Supervisory formula approach.4 Simplified supervisory formula approach.

CREDIT RISK

26


27

SEC4: SECURITISATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS – BANK ACTING AS INVESTOR –SBG

b f j n

Exposure values(by RW bands)

Exposure values

(by regulatory approach)

RWA (by

regulatory approach)

Capital charge

after cap

>20% to 50%

RW

IRB RBA

(including IAA)

IRB RBA

(including IAA)

IRB RBA

(including IAA)

1H20Total exposures 314 314 166 21

Traditional securitisation 314 314 166 21

Of which: securitisation 314 314 166 21

Of which: retail underlying 314 314 166 21 Of which: wholesale

Of which: re-securitisation

Of which: senior Of which: non-senior

Synthetic securitisation Of which: securitisation Of which: retail underlying Of which: wholesale Of which: re-securitisation Of which: senior Of which: non-senior

FY19Total exposures 315 315 117 16

Traditional securitisation 315 315 117 16

Of which: securitisation 315 315 117 16

Of which: retail underlying 315 315 117 16 Of which: wholesale

Of which: re-securitisation

Of which: senior Of which: non-senior


Of which: securitisation Of which: retail underlying

Of which: wholesale

Of which: re-securitisation Of which: senior

Of which: non-senior

28COUNTRY RISK

29 Country risk exposure by region and risk grade – SBG29 Country risk exposure by region and risk grade – SBSA30 Medium- and high-risk country exposure by region30 Top five medium- and high-risk country EAD30 Medium- and high-risk country EAD concentration by country ceiling


29

COUNTRY RISK

COUNTRY RISK EXPOSURE BY REGION AND RISK GRADE – SBGThe risk distribution of cross-border country risk exposures is weighted towards European, Asian and North American low-risk countries, as well as sub-Saharan African medium- and high-risk countries.

Risk grade

Sub-Saharan-

Africa%

Asia%

Australasia%

Europe%

LatinAmerica

%

Middle East and North

Africa%

North America

%

1H20SB01-SB07 0.79 15.54 0.44 33.32 1.08 8.96SB08-SB11 2.42 0.31SB12-SB14 15.53 1.00 0.10SB15-SB17 11.40SB18-SB21 6.73SB22+ 2.38

FY19SB01-SB07 2.40 21.03 0.65 24.35 2.25 10.52SB08-SB11 6.30 0.53 0.19SB12-SB14 11.78 1.15 0.12SB15-SB17 12.20 0.33 0.01SB18-SB21 0.99SB22+ 5.20

COUNTRY RISK EXPOSURE BY REGION AND RISK GRADE – SBSA

Risk grade

Sub-Saharan-

Africa%

Asia%

Australasia%

Europe%

Latin America

%

Middle East and North

Africa%

North America

%

1H20SB01-SB07 0.92 15.54 0.53 30.05 1.10 4.04SB08-SB11 2.65 0.39SB12-SB14 19.14 0.94 0.13SB15-SB17 14.11SB18-SB21 8.03SB22+ 2.43

FY19SB01-SB07 2.70 22.06 0.52 22.84 2.55 4.45SB08-SB11 7.27 0.63 0.20SB12-SB14 13.97 1.09 0.15SB15-SB17 14.41 0.39 0.01SB18-SB21 1.18SB22+ 5.58

The distribution of risk ratings for medium- and high risk countries by region is in line with our strategy, which is focused on Africa.

30

MEDIUM- AND HIGH-RISK COUNTRY EXPOSURE BY REGION (%)SBG

20

15

10

5

0SB12 – SB14 SB22+SB15 – SB17 SB18 – SB21SB08 – SB11

%

Sub-Saharan-Africa Asia Latin America Middle East and North Africa

Exposure to the top five medium- and high-risk countries is shown together with comparatives in the graph below. These exposures are in line with our growth strategy, which is focused on Africa.

TOP FIVE MEDIUM- AND HIGH-RISK COUNTRY EAD SBG

2 500

2 000

1 500

1 000

500

01H20 FY19

(USDm)

Nigeria Kenya Mozambique Ghana Tanzania

30

25

20

15

10

5

0

MEDIUM- AND HIGH-RISK COUNTRY EAD CONCENTRATION BY COUNTRY CEILINGSBG

SB22+SB08 SB10SB09 SB11 SB12 SB13 SB14 SB15 SB16 SB17 SB18 SB19 SB20 SB21

%

1H20 FY19


31

GROUP RESULTS IN BRIEF

31

FUNDING AND LIQUIDITY RISK

32 Overview of funding and liquidity metrics – SBG32 Overview of funding and liquidity metrics – SBSA33 LIQ1: liquidity coverage ratio – SBG34 LIQ1: liquidity coverage ratio – SBSA35 LIQ2: net stable funding ratio – SBG37 LIQ2: net stable funding ratio – SBSA39 Total contingent liquidity39 Funding activities39 SBSA 12- and 60-month liquidity spread


Overview of funding and liquidtiy metricsThe summary of liquidity results reflected in the table below for 30 June 2020 and 31 December 2019, provides an overview of results detailed within this section of reference to the additional liquidity management detail on page 62 and 63 in the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.

OVERVIEW OF FUNDING AND LIQUIDITY METRICS – SBG

1H20 FY19

Total contingent liquidity (Rbn) 562.0 427.3

Eligible Basel III LCR HQLA (Rbn) 361.2 304.7Managed liquidity (Rbn) 200.8 122.6

Total contingent liquidity as a % of funding related liabilities (%) 33.0 29.1Single depositor (%) 3.5 2.2Top 10 depositors (%) 9.4 8.0Basel III LCR (quarterly average %) 136.1 138.4Minimum regulatory LCR requirement (%) 80.0 100.0Basel III NSFR (%) 122.2 119.5Minimum regulatory NSFR requirement (%) 100.0 100.0

OVERVIEW OF FUNDING AND LIQUIDITY METRICS – SBSA

1H20 FY19

Total contingent liquidity (Rbn) 381.3 274.4

Eligible Basel III LCR HQLA (Rbn) 241.6 210.7Managed liquidity (Rbn) 139.7 63.7

Total contingent liquidity as a % of funding related liabilities (%) 28.1 22.8Single depositor (%) 4.3 2.6Top 10 depositors (%) 11.6 9.6Basel III LCR (quarterly average %) 117.2 124.4Minimum regulatory LCR requirement (%) 80.0 100.0Basel III NSFR (%) 110.5 108.8Minimum regulatory NSFR requirement (%) 100.0 100.0

In light of the effects of COVID-19 on the South African market, the SARB has amended the minimum LCR requirements from 100% to 80% (effective 1 April 2020). This is to provide temporary liquidity relief to banks, in line with the intention of the Basel III LCR framework, and to promote the continued provision of credit by banks. No temporary measures have been applied to the NSFR.

32


33

LIQ1: LIQUIDITY COVERAGE RATIO – SBGThe LCR is designed to promote short-term resilience of the 30 calendar day liquidity profile, by ensuring that banks have sufficient high quality liquid assets (HQLA) to meet potential outflows in a stressed environment. The analysis that follows includes banking and/or deposit taking entities and represents an aggregation of the relevant individual net cash outflows and HQLA portfolios.

2Q201 4Q191

Total unweighted2

value (average)

Rm

Total weighted3

value (average)

Rm

Total unweighted2

value (average)

Rm

Total weighted3

value (average)

Rm

HQLATotal HQLA 341 672 293 594

Retail deposits and deposits from small business customers, of which: 406 702 39 583 375 725 36 684

Stable deposits 21 754 1 088 17 776 889 Less-stable deposits 384 948 38 495 357 949 35 795

Unsecured wholesale funding, of which: 786 542 424 104 637 516 331 995

Operational deposits (all counterparties) and deposits in networks of cooperative banks 189 662 47 415 174 438 43 609

Non-operational deposits (all counterparties) 594 165 373 974 460 556 285 864 Unsecured debt 2 715 2 715 2 522 2 522

Secured wholesale funding 1 315 159Additional requirements 125 195 42 419 102 862 28 108

Outflows related to derivative exposures and other collateral requirements 24 481 24 481 12 882 12 882 Outflows related to loss of funding on debt products 3 570 3 570 3 031 3 031 Credit and liquidity facilities 97 144 14 368 86 949 12 195

Other contractual funding obligations 8 192 8 192 6 476 6 476Other contingent funding obligations 404 861 16 478 389 992 15 611

Cash outflows 532 091 419 033

Secured lending 74 108 56 213 52 040 39 847Inflows from fully performing exposures 224 785 197 498 175 706 147 342Other cash inflows 33 254 27 248 25 931 19 735

Cash inflows 280 959 206 924

Total adjusted

value4

Rm

Total adjusted

value4

Rm

Total HQLA 341 672 293 594

Total net cash outflows 251 132 212 109

LCR (%) 136.1 138.4

1 Simple average of 91/92 days of daily observations over the quarter ended 30 June 2020 and 31 December 2019 for SBSA, SBSA Isle of Man branch, Stanbic Bank Ghana, Stanbic Bank Uganda, Stanbic IBTC Bank Nigeria, Standard Bank Namibia, Standard Bank Isle of Man Limited and Standard Bank Jersey Limited and the simple average of three month-end data points for the respective quarters for the other Africa Regions banking entities.

2 Unweighted value represents the outstanding balances maturing or callable within 30 days (for inflows and outflows).3 Total weighted value is calculated after the application of respective haircuts (for HQLA) (for inflow and outflows).4 Adjusted value calculated after the application of both (i) haircuts and inflow and outflow rates; and (ii) any applicable caps (i.e. cap on level 2B a and level 2 assets for HQLA and cap

on inflows).


34

LIQ1: LIQUIDITY COVERAGE RATIO – SBSA

2Q201 4Q191

Total unweighted2

value (average)

Rm

Total weighted3

value (average)

Rm

Total unweighted2

value (average)

Rm

Total weighted3

value (average)

Rm

HQLATotal HQLA 221 503 205 349

Retail deposits and deposits from small business customers, of which: 243 353 24 335 237 780 23 778

Stable deposits Less stable deposits 243 353 24 335 237 780 23 778

Unsecured wholesale funding, of which: 571 358 318 252 483 794 257 627

Operational deposits (all counterparties) and deposits in networks of cooperative banks 189 656 47 414 174 438 43 609

Non-operational deposits (all counterparties) 379 038 268 174 306 620 211 282 Unsecured debt 2 664 2 664 2 736 2 736

Secured wholesale funding 1 315 159

Additional requirements 73 608 34 942 65 875 21 666

Outflows related to derivative exposures and other collateral requirements 23 299 23 299 11 383 11 383 Outflows related to loss of funding on debt products 3 570 3 570 3 031 3 031 Credit and liquidity facilities 46 739 8 073 51 461 7 252

Other contractual funding obligations 8 192 8 192 6 476 6 476Other contingent funding obligations 353 699 14 736 344 169 14 026

Cash outflows 401 772 323 732

Secured lending 56 251 38 355 37 127 35 200Inflows from fully performing exposures 161 237 146 222 121 796 105 031Other cash inflows 33 929 28 170 24 261 18 405

Cash inflows 212 747 158 636

Total adjusted

value4

Rm

Total adjusted

value4

Rm

Total HQLA 221 503 205 349

Total net cash outflows 189 025 165 096

LCR (%) 117.2 124.4

1 Simple average of 91/92 days of daily observations over the quarter ended 30 June 2020 and 31 December 2019 for SBSA, excluding foreign branches.2 Unweighted value represents the outstanding balances maturing or callable within 30 days (for inflows and outflows).3 Total weighted value is calculated after the application of respective haircuts (for HQLA) or inflow and outflow rates (for inflows and outflows).4 Adjusted value calculated after the application of both (i) haircuts and inflow and outflow rates and (ii) any applicable caps (i.e. cap on level 2B and level 2 assets for HQLA and cap

on inflows).


35

LIQ2: NET STABLE FUNDING RATIO – SBGThe Basel III NSFR became effective on 1 January 2018 with the objective of promoting funding stability and resilience in the banking sector by requiring banks to maintain a stable funding profile in relation to the composition of its assets and off-balance sheet activities. The available stable funding (ASF) is defined as the portion of capital and liabilities expected to be reliable over the one year time horizon considered by the NSFR. The amount of required stable funding (RSF) is a function of the liquidity characteristics and residual maturities of the various assets (including off-balance sheet exposures) held by the bank. By ensuring that banks do not embark on excessive maturity transformation that is not sustainable, the NSFR is intended to reduce the likelihood that disruptions to a banks funding sources would erode its liquidity position, increase its risk of failure and potentially lead to broader systemic risk.

Only banking and/or deposit taking entities are included and the group data represents a consolidation of the relevant individual assets, liabilities and off-balance sheet items as at 30 June 2020.

The group maintained NSFR compliance in excess of the 100% regulatory requirement and operated above risk appetite and management internal buffer requirements for the six months ended 30 June 2020.

Unweighted value by residual maturity

Weighted value

RmNo maturity

Rm

< 6 months

Rm

6 months to < 1 year

Rm≥ 1 year

Rm

1H20ASF itemCapital: 155 688 4 991 1 851 31 982 190 343 Regulatory capital 149 069 1 491 1 851 31 982 182 499 Other capital instruments 6 619 3 500 7 844Retail deposits and deposits from small business

customers: 232 568 208 671 9 647 12 678 420 812 Stable deposits 21 163 60 20 162 Less stable deposits 211 405 208 611 9 647 12 678 400 650Wholesale funding: 387 896 635 206 98 698 214 130 665 752 Operational deposits 159 274 39 389 99 331 Other wholesale funding 228 622 595 817 98 698 214 130 566 421Liabilities with matching interdependent assetsOther liabilities: 25 711 2 748 486 55 404 55 647

NSFR derivative liabilities 10 790

All other liabilities and equity not included in the above categories 25 711 2 748 486 55 404 55 647

Total ASF KM1 1 332 554RSF itemTotal NSFR HQLA 35 719Deposits held at other financial institutions for

operational purposes 1 092 24 176Performing loans and securities: 17 287 438 005 98 395 886 064 878 961

Performing loans to financial institutions secured by level 1 HQLA 22 294 2 024 4 368 7 609

Performing loans to financial institutions secured by non-level 1 HQLA and unsecured performing loans to financial institutions 4 272 858 14 861 26 832 74 494

Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: 17 124 888 69 365 503 035 525 154

With a risk weight of less than or equal to 35% under the Basel II standardised approach for credit risk 48 075 12 019 92 808 108 934

Performing residential mortgages, of which: 7 998 7 836 301 306 206 945With a risk weight of less than or equal to 35%

under the Basel II standardised approach for credit risk 7 548 7 335 281 352 190 320

Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 17 266 9 967 4 309 50 523 64 759

Assets with matching interdependent liabilitiesOther assets: 60 696 73 190 346 83 103 157 680

Physical traded commodities, including gold

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs 3 890 3 307

NSFR derivative assets 17 703 7 295NSFR derivative liabilities before deduction of

variation margin posted 26 592 2 692 All other assets not included in the above categories 60 696 73 190 346 83 103 144 386

Off-balance sheet items 425 049 17 591

Total RSF KM1 1 090 127NSFR (%) KM1 122.2


Weighted value

RmNo maturity

Rm

< 6 months

Rm


Rm≥ 1 year

Rm

1Q20ASF itemCapital: 150 362 1 496 4 675 30 715 183 938

Regulatory capital 144 011 1 496 1 175 30 715 175 837Other capital instruments 6 351 3 500 8 101

Retail deposits and deposits from small business customers: 225 312 199 202 11 366 12 948 408 304

Stable deposits 21 241 153 20 324Less stable deposits 204 071 199 049 11 366 12 948 387 980

Wholesale funding: 324 783 602 170 107 186 204 322 614 811

Operational deposits 151 721 37 048 94 385Other wholesale funding 173 062 565 122 107 186 204 322 520 426

Liabilities with matching interdependent assetsOther liabilities: 45 146 4 282 505 39 120 52 241



Total ASF 1 259 294

RSF itemTotal NSFR HQLA 30 576Deposits held at other financial institutions for

operational purposes 1 731 125 322Performing loans and securities: 12 714 365 129 113 911 882 097 870 542


Performing loans to financial institutions secured by non-level 1 HQLA and unsecured performing loans to financial institutions 1 207 411 21 671 25 757 67 505

Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: 32 133 546 76 239 505 747 534 794


Performing residential mortgages, of which: 7 473 7 305 306 666 210 881



Assets with matching interdependent liabilitiesOther assets: 67 604 56 484 346 65 227 153 490



NSFR derivative assets 29 755 8 986NSFR derivative liabilities before deduction of

variation margin posted 51 948 5 218

All other assets not included in the above categories 67 604 56 484 346 65 227 133 393


Total RSF 1 072 503

NSFR (%) 117.4


36


37

LIQ2: NET STABLE FUNDING RATIO – SBSA


Weighted value

RmNo maturity

Rm

< 6 months

Rm


Rm≥ 1 year

Rm

1H20ASF itemCapital: 95 062 4 991 1 851 24 991 122 725

Regulatory capital 95 062 1 491 1 851 24 991 121 500Other capital instruments 3 500 1 225


Stable depositsLess stable deposits 93 690 185 442 7 108 9 245 266 861






Total ASF 890 808

RSF itemTotal NSFR HQLA 27 167Deposits held at other financial institutions for operational

purposesPerforming loans and securities: 17 266 290 277 74 102 727 712 691 064


Performing loans to financial institutions secured by non-level 1 HQLA and unsecured performing loans to financial institutions 189 340 15 036 35 502 71 421

Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: 61 136 46 216 350 038 351 209

With a risk weight of less than or equal to 35% under the Basel II standardised approach for credit risk




Assets with matching interdependent liabilitiesOther assets: 60 472 6 868 346 945 74 057



NSFR derivative assets 16 324 5 916NSFR derivative liabilities before deduction of variation

margin posted 28 295 2 829

All other assets not included in the above categories 60 472 6 868 346 945 62 005


Total RSF 805 821

NSFR (%) 110.5


Weighted value

RmNo maturity

Rm

< 6 months

Rm


Rm≥ 1 year

Rm

1Q20ASF itemCapital: 91 920 1 496 4 675 23 471 118 252

Regulatory capital 91 920 1 496 1 175 23 471 116 502Other capital instruments 3 500 1 750


Stable depositsLess stable deposits 90 365 177 084 8 280 9 372 257 529






Total ASF 851 175RSF itemTotal NSFR HQLA 22 628Deposits held at other financial institutions for operational

purposesPerforming loans and securities: 12 681 255 770 83 065 735 341 693 754


Performing loans to financial institutions secured by non-level 1 HQLA and unsecured performing loans to financial institutions 164 330 20 731 37 407 72 423

Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: 67 954 47 480 355 906 360 237

With a risk weight of less than or equal to 35% under the Basel II standardised approach for credit risk




Assets with matching interdependent liabilitiesOther assets: 60 135 9 191 346 945 81 080



NSFR derivative assets 29 076 8 352NSFR derivative liabilities before deduction of variation

margin posted 51 923 5 192

All other assets not included in the above categories 60 135 9 191 346 945 61 643


Total RSF 810 756

NSFR (%) 105.0


38


39

Total contingent liquidityFor disclosure relating to the breakdown of the group’s liquid and marketable instruments as at 30 June 2020 and 31 December 2019, refer to page 62 of the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.

Funding activitiesFor disclosure relating to the diversified funding base as at 30 June 2020 and 31 December 2019, refer to page 63 of the group’s financial results for the six months ended 30 June 2019, found on our investor relations website.

SBSA 12- and 60-month liquidity spreadFor disclosure relating to the market cost of liquidity for the period ended 30 June 2020, refer to page 63 of the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.

STANDARD BANK GROUP | Analysis of financial results for the six months ended 30 June 2020

40

MARKET RISK


41 MR1: market risk under the standardised approach41 MR2: RWA flow statements of market risk exposures under IMA41 MR3: IMA values for trading portfolios42 MR4: backtesting – comparison of VAR and hypothetical income of trading units


MARKET RISK

We have approval from the SARB to adopt the IMA for most asset classes and across most market variables in SBSA with the balance of exposures on the standardised model. We use the historical value-at-risk (VaR) and stressed VaR (SVaR) approach to quantify market risk under normal and stressed conditions.

For risk management purposes, VaR is based on 251 days of unweighted recent historical data updated at least monthly, a holding period of one day and a confidence level of 95%. SVaR uses a similar methodology to VaR but is based on a 251-day period of financial stress which is reviewed quarterly and assumes a ten-day holding period and a worst case loss.

Where we have received internal model approval, the market risk regulatory capital requirement is based on VaR and SVaR; both of which use a confidence level of 99% and a ten-day holding period.

VaR is calculated on the basis of exposures outstanding at the close of business and, therefore, does not necessarily reflect intra-day exposures. VaR is unlikely to reflect loss potential on exposures that only arise under significant market movements.

MR1: MARKET RISK UNDER THE STANDARDISED APPROACH –SBG

1H20RWA

Rm

FY19RWA

Rm

Outright products 68 589 57 608

Interest rate risk (general and specific) 64 591 54 167Equity risk (general and specific) 229 5Foreign exchange risk 3 677 3 185Commodity risk 92 251

Options 4 128 3 187

Simplified approachDelta-plus method 4 128 3 187Scenario approachSecuritisation

Total 72 717 60 795

OV1 OV1

MR2: RWA FLOW STATEMENTS OF MARKET RISK EXPOSURES UNDER IMA – SBG

1H20 FY19

VaRRm

SVaRRm

Total RWARm

VaRRm

SVaRRm

Total RWARm

RWA at beginning of reporting period 6 188 8 400 14 588 5 115 8 719 13 834Movement in risk levels 1 521 (2 764) (1 243) 1 073 (349) 724Model updates / changes 30 30

RWA at end of reporting period 7 709 5 636 13 345 6 188 8 400 14 588

OV1 OV1

MR3: IMA VALUES FOR TRADING PORTFOLIOS – SBG

1H20Rm

FY19Rm

VaR (ten day 99%)Maximum value 288 199Average value 157 131Minimum value 88 72Period end 172 95

SVaR (ten day 99%)Maximum value 329 405Average value 167 220Minimum value 73 82Period end 201 324

41

42

200

150

100

50

0

-50

-100

-150

MR4: BACKTESTING – COMPARISON OF VAR AND HYPOTHETICAL INCOME OF TRADING UNITSSBG

02 January 2020 30 June 2020

%

Hypothetical income 95% VaR (including diversification benefits) 99% VaR (including diversification benefits)

Distribution of daily trading incomeFor graph of the distribution of daily trading profit or loss for the period ended 30 June 2020, refer to page 49 of the group’s financial results for the six months ended 30 June 2020, found on our investor relations website.


43

ANNEXURES

44 CR6: credit risk exposures by portfolio and PD range60 CCR4: CCR exposure by portfolio and PD scale64 CC1: composition of regulatory capital – SBG (excluding unappropriated profits)67 CC1: composition of regulatory capital – SBSA (excluding unappropriated profits)70 CC2: reconciliation of IFRS

CR6: CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE

Corporates

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%

EAD post-CRM and post-CCF

Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 41 689 30 866 41.97 54 753 0.08 175 37.2 1.7 9 664 17.65 150.15 to < 0.25 21 182 25 969 43.58 32 526 0.21 224 28.93 2.1 8 891 27.34 190.25 to < 0.50 109 037 53 603 46.32 134 343 0.41 639 28.69 2.0 50 901 38.51 1600.50 to < 0.75 47 768 10 546 46.03 52 651 0.64 289 27.46 2.1 25 192 47.85 920.75 to < 2.50 65 782 17 776 51.95 75 278 1.39 10 407 34.15 2.4 62 211 82.64 3682.50 to < 10.00 18 634 4 542 57.01 21 370 3.94 298 33.28 1.8 21 397 100.13 28610.00 to < 100.00 1 555 890 38.81 1 918 24.28 92 32.8 2.0 3 186 166.06 142100.00 (default) 5 331 1 219 50.22 5 943 100.00 166 45.08 1.8 17 116 287.98 1 860

Subtotal 310 978 145 411 45.63 378 782 2.45 12 290 31.39 2.0 198 558 52.64 2 942 3 450

FY190.00 to < 0.15 22 671 27 001 42.42 43 378 0.07 165 37.61 1.8 7 402 17.06 110.15 to < 0.25 36 446 27 262 45.21 48 508 0.21 248 26.99 2.3 12 617 26.01 280.25 to < 0.50 115 211 50 399 45.11 134 026 0.40 654 25.67 2.1 47 226 35.27 1390.50 to < 0.75 29 995 9 052 47.93 34 577 0.64 275 26.94 2.3 16 934 48.97 590.75 to < 2.50 60 154 15 971 50.13 65 981 1.33 10 469 31.56 2.3 49 433 74.92 2792.50 to < 10.00 17 637 3 921 56.62 19 112 3.52 286 34.76 2.1 20 358 106.52 24810.00 to < 100.00 3 307 1 386 52.49 3 081 20.22 68 39.55 1.3 6 207 201.47 252100.00 (default) 3 285 469 45.4 2 929 100.00 142 44.05 2.0 6 512 222.35 1 122

Subtotal 288 706 135 461 45.61 351 592 1.70 12 307 29.32 2.1 166 689 47.42 2 138 2 448

Specialised lending – HVCRS

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.150.15 to < 0.250.25 to < 0.50 22.83 3.80.50 to < 0.75 91 91 0.64 1 29.52 1.0 57 62.800.75 to < 2.50 142 92 50.00 188 1.61 1 17.21 4.3 136 72.20 22.50 to < 10.00 100 100 2.56 1 65 64.9510.00 to < 100.00100.00 (default) 24.67 2.6

Subtotal 333 92 50.00 379 1.63 3 258 68.04 2 2

FY190.00 to < 0.150.15 to < 0.250.25 to < 0.500.50 to < 0.75 86 86 0.64 1 22.83 1.0 34 39.870.75 to < 2.50 110 92 50.00 156 1.56 2 24.29 1.0 92 58.91 12.50 to < 10.00 98 98 2.56 2 17.03 1.0 45 45.9310.00 to < 100.00100.00 (default)

Subtotal 294 92 50.00 340 1.62 5 21.82 1.0 171 50.36 1 1

ANNEXURES

44


45

CR6: CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE

Corporates

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 41 689 30 866 41.97 54 753 0.08 175 37.2 1.7 9 664 17.65 150.15 to < 0.25 21 182 25 969 43.58 32 526 0.21 224 28.93 2.1 8 891 27.34 190.25 to < 0.50 109 037 53 603 46.32 134 343 0.41 639 28.69 2.0 50 901 38.51 1600.50 to < 0.75 47 768 10 546 46.03 52 651 0.64 289 27.46 2.1 25 192 47.85 920.75 to < 2.50 65 782 17 776 51.95 75 278 1.39 10 407 34.15 2.4 62 211 82.64 3682.50 to < 10.00 18 634 4 542 57.01 21 370 3.94 298 33.28 1.8 21 397 100.13 28610.00 to < 100.00 1 555 890 38.81 1 918 24.28 92 32.8 2.0 3 186 166.06 142100.00 (default) 5 331 1 219 50.22 5 943 100.00 166 45.08 1.8 17 116 287.98 1 860

Subtotal 310 978 145 411 45.63 378 782 2.45 12 290 31.39 2.0 198 558 52.64 2 942 3 450

FY190.00 to < 0.15 22 671 27 001 42.42 43 378 0.07 165 37.61 1.8 7 402 17.06 110.15 to < 0.25 36 446 27 262 45.21 48 508 0.21 248 26.99 2.3 12 617 26.01 280.25 to < 0.50 115 211 50 399 45.11 134 026 0.40 654 25.67 2.1 47 226 35.27 1390.50 to < 0.75 29 995 9 052 47.93 34 577 0.64 275 26.94 2.3 16 934 48.97 590.75 to < 2.50 60 154 15 971 50.13 65 981 1.33 10 469 31.56 2.3 49 433 74.92 2792.50 to < 10.00 17 637 3 921 56.62 19 112 3.52 286 34.76 2.1 20 358 106.52 24810.00 to < 100.00 3 307 1 386 52.49 3 081 20.22 68 39.55 1.3 6 207 201.47 252100.00 (default) 3 285 469 45.4 2 929 100.00 142 44.05 2.0 6 512 222.35 1 122

Subtotal 288 706 135 461 45.61 351 592 1.70 12 307 29.32 2.1 166 689 47.42 2 138 2 448

Specialised lending – HVCRS

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.150.15 to < 0.250.25 to < 0.50 22.83 3.80.50 to < 0.75 91 91 0.64 1 29.52 1.0 57 62.800.75 to < 2.50 142 92 50.00 188 1.61 1 17.21 4.3 136 72.20 22.50 to < 10.00 100 100 2.56 1 65 64.9510.00 to < 100.00100.00 (default) 24.67 2.6

Subtotal 333 92 50.00 379 1.63 3 258 68.04 2 2

FY190.00 to < 0.150.15 to < 0.250.25 to < 0.500.50 to < 0.75 86 86 0.64 1 22.83 1.0 34 39.870.75 to < 2.50 110 92 50.00 156 1.56 2 24.29 1.0 92 58.91 12.50 to < 10.00 98 98 2.56 2 17.03 1.0 45 45.9310.00 to < 100.00100.00 (default)

Subtotal 294 92 50.00 340 1.62 5 21.82 1.0 171 50.36 1 1

Specialised lending – IPRE

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 27 27 0.11 5 5.49 1.4 1 3.220.15 to < 0.25 163 163 0.22 34 6.73 2.7 12 7.430.25 to < 0.50 10 412 214 64.76 10 551 0.40 168 13.56 2.4 2 101 19.91 50.50 to < 0.75 5 432 9 64.84 5 438 0.64 155 14.62 2.3 1 324 24.36 60.75 to < 2.50 6 400 87 50.00 6 443 1.11 145 18.73 2.3 2 449 38.01 142.50 to < 10.00 749 749 2.81 24 25.01 2.3 534 71.20 610.00 to < 100.00 1 1 28.96 1 10.04 5.0 1 63.96100.00 (default) 198 198 100.00 9 24.02 4.5 258 130.40 41

Subtotal 23 382 310 59.80 23 570 1.56 541 15.61 2.4 6 680 28.34 72 90

FY190.00 to < 0.15 48 48 0.11 9 5.09 1.3 1 2.460.15 to < 0.25 377 377 0.22 60 9.72 2.5 35 9.370.25 to < 0.50 9 743 85 65.00 9 798 0.42 255 13.40 2.4 1 993 20.34 60.50 to < 0.75 6 951 132 54.00 7 022 0.64 283 15.83 2.5 1 881 26.78 70.75 to < 2.50 5 124 50 52.99 5 151 1.09 225 17.83 2.3 1 940 37.64 102.50 to < 10.00 442 29 54.00 457 2.97 44 22.08 2.5 294 64.39 310.00 to < 100.00 28.96 1 5.00 1.0 27.77100.00 (default) 194 194 100.00 13 13.18 4.1 98 50.74 33

Subtotal 22 879 296 56.57 23 047 1.52 890 15.22 2.4 6 242 27.08 59 64

Specialised lending – project finance

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 552 552 0.08 1 33.17 5.0 185 33.450.15 to < 0.250.25 to < 0.50 7 934 630 99.36 8 419 0.45 21 28.04 4.4 4 964 58.98 90.50 to < 0.75 3 937 377 99.98 5 556 0.64 7 29.74 4.5 4 219 75.93 110.75 to < 2.50 4 339 143 50.00 4 416 1.26 11 29.62 3.5 3 262 73.86 182.50 to < 10.00 2 756 1 514 3.55 4 36.80 3.1 1 860 122.81 2410.00 to < 100.00100.00 (default) 448 448 100.00 2 37.00 3.5 403

Subtotal 19 966 1 150 88.65 20 905 3.02 46 29.79 4.1 14 490 69.32 465 497

FY190.00 to < 0.15 385 385 0.06 1 33.18 5.0 108 28.110.15 to < 0.250.25 to < 0.50 8 164 343 99.36 8 506 0.45 21 25.01 4.4 4 635 54.49 100.50 to < 0.75 2 928 321 99.98 3 249 0.64 7 28.95 4.4 2 154 66.29 60.75 to < 2.50 2 614 3 50.00 2 615 0.97 11 26.31 4.4 1 887 72.15 72.50 to < 10.00 2 665 2 665 3.31 4 36.44 3.6 2 945 110.51 3510.00 to < 100.00100.00 (default) 318 318 100.00 2 36.94 3.2 493 154.83 223

Subtotal 17 074 667 99.29 17 738 2.77 46 28.03 4.3 12 222 68.90 281 298

ANNEXURES

46


Specialised lending – IPRE

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 27 27 0.11 5 5.49 1.4 1 3.220.15 to < 0.25 163 163 0.22 34 6.73 2.7 12 7.430.25 to < 0.50 10 412 214 64.76 10 551 0.40 168 13.56 2.4 2 101 19.91 50.50 to < 0.75 5 432 9 64.84 5 438 0.64 155 14.62 2.3 1 324 24.36 60.75 to < 2.50 6 400 87 50.00 6 443 1.11 145 18.73 2.3 2 449 38.01 142.50 to < 10.00 749 749 2.81 24 25.01 2.3 534 71.20 610.00 to < 100.00 1 1 28.96 1 10.04 5.0 1 63.96100.00 (default) 198 198 100.00 9 24.02 4.5 258 130.40 41

Subtotal 23 382 310 59.80 23 570 1.56 541 15.61 2.4 6 680 28.34 72 90

FY190.00 to < 0.15 48 48 0.11 9 5.09 1.3 1 2.460.15 to < 0.25 377 377 0.22 60 9.72 2.5 35 9.370.25 to < 0.50 9 743 85 65.00 9 798 0.42 255 13.40 2.4 1 993 20.34 60.50 to < 0.75 6 951 132 54.00 7 022 0.64 283 15.83 2.5 1 881 26.78 70.75 to < 2.50 5 124 50 52.99 5 151 1.09 225 17.83 2.3 1 940 37.64 102.50 to < 10.00 442 29 54.00 457 2.97 44 22.08 2.5 294 64.39 310.00 to < 100.00 28.96 1 5.00 1.0 27.77100.00 (default) 194 194 100.00 13 13.18 4.1 98 50.74 33

Subtotal 22 879 296 56.57 23 047 1.52 890 15.22 2.4 6 242 27.08 59 64

Specialised lending – project finance

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 552 552 0.08 1 33.17 5.0 185 33.450.15 to < 0.250.25 to < 0.50 7 934 630 99.36 8 419 0.45 21 28.04 4.4 4 964 58.98 90.50 to < 0.75 3 937 377 99.98 5 556 0.64 7 29.74 4.5 4 219 75.93 110.75 to < 2.50 4 339 143 50.00 4 416 1.26 11 29.62 3.5 3 262 73.86 182.50 to < 10.00 2 756 1 514 3.55 4 36.80 3.1 1 860 122.81 2410.00 to < 100.00100.00 (default) 448 448 100.00 2 37.00 3.5 403

Subtotal 19 966 1 150 88.65 20 905 3.02 46 29.79 4.1 14 490 69.32 465 497

FY190.00 to < 0.15 385 385 0.06 1 33.18 5.0 108 28.110.15 to < 0.250.25 to < 0.50 8 164 343 99.36 8 506 0.45 21 25.01 4.4 4 635 54.49 100.50 to < 0.75 2 928 321 99.98 3 249 0.64 7 28.95 4.4 2 154 66.29 60.75 to < 2.50 2 614 3 50.00 2 615 0.97 11 26.31 4.4 1 887 72.15 72.50 to < 10.00 2 665 2 665 3.31 4 36.44 3.6 2 945 110.51 3510.00 to < 100.00100.00 (default) 318 318 100.00 2 36.94 3.2 493 154.83 223

Subtotal 17 074 667 99.29 17 738 2.77 46 28.03 4.3 12 222 68.90 281 298

47

SME corporate

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 2 067 493 66.09 2 444 0.06 97 33.67 2.4 337 13.78 10.15 to < 0.25 487 90 71.79 565 0.20 25 25.89 3.3 147 26.020.25 to < 0.50 8 564 1 197 73.83 9 620 0.41 246 33.36 2.0 3 884 40.38 130.50 to < 0.75 4 543 81 64.83 4 599 0.64 59 10.99 2.1 749 16.28 30.75 to < 2.50 17 711 1 721 64.29 18 920 1.32 623 19.26 2.5 7 251 38.33 532.50 to < 10.00 7 103 520 66.89 7 504 3.99 478 20.70 2.7 4 221 56.25 7310.00 to < 100.00 1 861 101 69.56 1 950 25.80 73 26.46 2.4 2 365 121.26 133100.00 (default) 1 875 76 50.00 1 913 100.00 56 33.68 2.6 3 801 198.64 519

Subtotal 44 211 4 279 67.18 47 515 6.39 1 657 23.24 2.4 22 755 47.89 795 912

FY190.00 to < 0.15 451 156 45.35 1 915 0.07 28 36.54 1.7 266 13.860.15 to < 0.25 2 820 157 50.97 1 526 0.22 29 36.05 1.5 442 28.99 10.25 to < 0.50 5 223 873 71.41 5 974 0.38 214 26.17 2.7 1 937 32.42 60.50 to < 0.75 4 977 147 49.33 5 071 0.64 48 10.91 2.0 814 16.05 30.75 to < 2.50 15 903 1 339 57.24 16 866 1.40 588 19.34 2.4 6 497 38.53 452.50 to < 10.00 5 655 449 63.75 5 985 3.78 432 21.00 2.8 3 320 55.47 5110.00 to < 100.00 821 21 58.20 836 23.81 37 26.58 2.3 972 116.16 52100.00 (default) 1 657 6 45.40 1 660 100.00 36 29.44 2.8 2 603 156.82 422

Subtotal 37 507 3 148 59.79 39 833 5.98 1 412 21.58 2.4 16 851 42.31 580 618

Securities firms

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 438 438 0.08 10 41.63 1.9 139 31.690.15 to < 0.250.25 to < 0.50 505 186 39.85 577 0.45 6 36.69 1.0 308 53.42 20.50 to < 0.75 202 39.50 172 0.64 1 40.53 1.0 88 51.310.75 to < 2.50 86.742.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 943 388 39.67 1 187 0.34 17 39.06 1.3 535 45.10 2 6

FY190.00 to < 0.15 384 384 0.08 10 40.24 1.9 108 28.160.15 to < 0.250.25 to < 0.50 4 155 39.85 66 0.45 6 40.09 1.0 40 61.200.50 to < 0.75 50 39.50 20 0.64 1 10.64 1.0 3 14.880.75 to < 2.502.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 388 205 39.76 470 0.15 17 38.97 1.7 151 32.23 4

ANNEXURES

48


SME corporate

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 2 067 493 66.09 2 444 0.06 97 33.67 2.4 337 13.78 10.15 to < 0.25 487 90 71.79 565 0.20 25 25.89 3.3 147 26.020.25 to < 0.50 8 564 1 197 73.83 9 620 0.41 246 33.36 2.0 3 884 40.38 130.50 to < 0.75 4 543 81 64.83 4 599 0.64 59 10.99 2.1 749 16.28 30.75 to < 2.50 17 711 1 721 64.29 18 920 1.32 623 19.26 2.5 7 251 38.33 532.50 to < 10.00 7 103 520 66.89 7 504 3.99 478 20.70 2.7 4 221 56.25 7310.00 to < 100.00 1 861 101 69.56 1 950 25.80 73 26.46 2.4 2 365 121.26 133100.00 (default) 1 875 76 50.00 1 913 100.00 56 33.68 2.6 3 801 198.64 519

Subtotal 44 211 4 279 67.18 47 515 6.39 1 657 23.24 2.4 22 755 47.89 795 912

FY190.00 to < 0.15 451 156 45.35 1 915 0.07 28 36.54 1.7 266 13.860.15 to < 0.25 2 820 157 50.97 1 526 0.22 29 36.05 1.5 442 28.99 10.25 to < 0.50 5 223 873 71.41 5 974 0.38 214 26.17 2.7 1 937 32.42 60.50 to < 0.75 4 977 147 49.33 5 071 0.64 48 10.91 2.0 814 16.05 30.75 to < 2.50 15 903 1 339 57.24 16 866 1.40 588 19.34 2.4 6 497 38.53 452.50 to < 10.00 5 655 449 63.75 5 985 3.78 432 21.00 2.8 3 320 55.47 5110.00 to < 100.00 821 21 58.20 836 23.81 37 26.58 2.3 972 116.16 52100.00 (default) 1 657 6 45.40 1 660 100.00 36 29.44 2.8 2 603 156.82 422

Subtotal 37 507 3 148 59.79 39 833 5.98 1 412 21.58 2.4 16 851 42.31 580 618

Securities firms

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 438 438 0.08 10 41.63 1.9 139 31.690.15 to < 0.250.25 to < 0.50 505 186 39.85 577 0.45 6 36.69 1.0 308 53.42 20.50 to < 0.75 202 39.50 172 0.64 1 40.53 1.0 88 51.310.75 to < 2.50 86.742.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 943 388 39.67 1 187 0.34 17 39.06 1.3 535 45.10 2 6

FY190.00 to < 0.15 384 384 0.08 10 40.24 1.9 108 28.160.15 to < 0.250.25 to < 0.50 4 155 39.85 66 0.45 6 40.09 1.0 40 61.200.50 to < 0.75 50 39.50 20 0.64 1 10.64 1.0 3 14.880.75 to < 2.502.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 388 205 39.76 470 0.15 17 38.97 1.7 151 32.23 4

49

Sovereign

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 95 331 5 50.39 98 846 0.03 5 29.60 1.8 7 833 7.92 90.15 to < 0.25 81 0.16 1 40.09 1.9 26 32.190.25 to < 0.50 69 6 9.27 71 0.45 4 29.36 1.0 24 34.160.50 to < 0.75 7 834 311 41.32 5 945 0.64 5 40.57 2.3 4 305 72.41 150.75 to < 2.50 2 816 27 9.28 2 818 0.91 14 34.77 1.0 1 638 58.15 102.50 to < 10.00 1 405 592 49.02 141 2.60 9 34.94 2.6 145 102.42 110.00 to < 100.00 1 13 9.27 1 42.39 8 31.92 1.0 2 166.61100.00 (default) 3 3 100.00 9 31.17 1.0 1

Subtotal 107 459 954 38.72 107 906 0.09 55 30.35 1.8 13 973 12.95 36 51

FY190.00 to < 0.15 84 954 2 47.47 87 709 0.02 6 28.41 1.6 4 823 5.50 50.15 to < 0.25 58 0.16 1 40.09 3.3 25 43.000.25 to < 0.50 3 607 18 17.16 3 609 0.45 7 28.15 1.3 1 267 35.10 50.50 to < 0.75 4 946 32 45.15 3 304 0.64 6 43.10 2.9 2 755 83.37 90.75 to < 2.50 2 761 23 9.59 2 763 0.91 9 35.44 1.4 1 812 65.60 102.50 to < 10.00 1 151 483 48.21 248 2.58 14 48.22 3.9 396 159.78 310.00 to < 100.00 1 2 25.20 1 18.32 7 33.36 1.0 2 170.67100.00 (default) 3 3 100.00 3 34.52 1.0 1

Subtotal 97 423 560 39.29 97 695 0.09 53 29.15 1.6 11 080 11.34 33 41

Public sector entities

PD scale

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 7 641 2 000 39.50 8 431 0.03 3 30.70 2.3 766 9.08 10.15 to < 0.25 0.23 1 40.09 1.0 37.500.25 to < 0.50 2 256 1 994 39.25 3 039 0.45 4 40.09 3.2 2 149 70.72 50.50 to < 0.75 11 10.67 2 0.63 5 28.72 1.4 1 49.540.75 to < 2.50 9 383 3 032 39.28 10 582 1.42 13 41.70 1.8 11 514 108.81 662.50 to < 10.00 39 925 36.12 394 7.23 11 26.05 1.1 373 94.69 710.00 to < 100.00 4 10.52 24.31 8 30.97 1.0 1 161.18100.00 (default) 949 191 67.58 1 078 100.00 3 47.92 1.6 3 374 312.89 262

Subtotal 20 268 8 157 39.13 23 526 5.41 48 37.57 2.2 18 178 77.27 341 385

FY190.00 to < 0.15 401 897.42 8 348 0.02 6 28.89 2.5 714 8.55 10.15 to < 0.250.25 to < 0.50 1 796 1 887 39.06 2 536 0.32 6 28.18 2.6 972 38.32 20.50 to < 0.75 3 768 5 698 18.83 4 840 0.64 5 26.29 1.9 2 382 49.22 80.75 to < 2.50 5 480 4 474 8.51 5 105 0.98 16 26.53 2.4 3 197 62.64 142.50 to < 10.00 3 175 889 0.44 383 7.22 13 26.06 1.1 364 94.89 710.00 to < 100.00 32.06 12.28 2 13.92 1.0 62.48100.00 (default) 1 387 188 8 100.00 2 39.80 1.0 40 503.27 3

Subtotal 16 007 13 136 4.52 21 220 0.60 50 27.60 2.3 7 669 36.14 35 49

ANNEXURES

50


Sovereign

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 95 331 5 50.39 98 846 0.03 5 29.60 1.8 7 833 7.92 90.15 to < 0.25 81 0.16 1 40.09 1.9 26 32.190.25 to < 0.50 69 6 9.27 71 0.45 4 29.36 1.0 24 34.160.50 to < 0.75 7 834 311 41.32 5 945 0.64 5 40.57 2.3 4 305 72.41 150.75 to < 2.50 2 816 27 9.28 2 818 0.91 14 34.77 1.0 1 638 58.15 102.50 to < 10.00 1 405 592 49.02 141 2.60 9 34.94 2.6 145 102.42 110.00 to < 100.00 1 13 9.27 1 42.39 8 31.92 1.0 2 166.61100.00 (default) 3 3 100.00 9 31.17 1.0 1

Subtotal 107 459 954 38.72 107 906 0.09 55 30.35 1.8 13 973 12.95 36 51

FY190.00 to < 0.15 84 954 2 47.47 87 709 0.02 6 28.41 1.6 4 823 5.50 50.15 to < 0.25 58 0.16 1 40.09 3.3 25 43.000.25 to < 0.50 3 607 18 17.16 3 609 0.45 7 28.15 1.3 1 267 35.10 50.50 to < 0.75 4 946 32 45.15 3 304 0.64 6 43.10 2.9 2 755 83.37 90.75 to < 2.50 2 761 23 9.59 2 763 0.91 9 35.44 1.4 1 812 65.60 102.50 to < 10.00 1 151 483 48.21 248 2.58 14 48.22 3.9 396 159.78 310.00 to < 100.00 1 2 25.20 1 18.32 7 33.36 1.0 2 170.67100.00 (default) 3 3 100.00 3 34.52 1.0 1

Subtotal 97 423 560 39.29 97 695 0.09 53 29.15 1.6 11 080 11.34 33 41


PD scale

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 7 641 2 000 39.50 8 431 0.03 3 30.70 2.3 766 9.08 10.15 to < 0.25 0.23 1 40.09 1.0 37.500.25 to < 0.50 2 256 1 994 39.25 3 039 0.45 4 40.09 3.2 2 149 70.72 50.50 to < 0.75 11 10.67 2 0.63 5 28.72 1.4 1 49.540.75 to < 2.50 9 383 3 032 39.28 10 582 1.42 13 41.70 1.8 11 514 108.81 662.50 to < 10.00 39 925 36.12 394 7.23 11 26.05 1.1 373 94.69 710.00 to < 100.00 4 10.52 24.31 8 30.97 1.0 1 161.18100.00 (default) 949 191 67.58 1 078 100.00 3 47.92 1.6 3 374 312.89 262

Subtotal 20 268 8 157 39.13 23 526 5.41 48 37.57 2.2 18 178 77.27 341 385

FY190.00 to < 0.15 401 897.42 8 348 0.02 6 28.89 2.5 714 8.55 10.15 to < 0.250.25 to < 0.50 1 796 1 887 39.06 2 536 0.32 6 28.18 2.6 972 38.32 20.50 to < 0.75 3 768 5 698 18.83 4 840 0.64 5 26.29 1.9 2 382 49.22 80.75 to < 2.50 5 480 4 474 8.51 5 105 0.98 16 26.53 2.4 3 197 62.64 142.50 to < 10.00 3 175 889 0.44 383 7.22 13 26.06 1.1 364 94.89 710.00 to < 100.00 32.06 12.28 2 13.92 1.0 62.48100.00 (default) 1 387 188 8 100.00 2 39.80 1.0 40 503.27 3

Subtotal 16 007 13 136 4.52 21 220 0.60 50 27.60 2.3 7 669 36.14 35 49

51

Local governments and municipalities

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

PD scale 1H200.00 to < 0.150.15 to < 0.25 100.25 to < 0.50 180 180 0.45 11 24.95 3.1 85 46.600.50 to < 0.75 436 10 75.00 446 0.64 22 24.95 3.0 216 48.51 10.75 to < 2.50 1 592 1 9.28 1 592 1.35 32 24.28 3.6 1 046 65.71 102.50 to < 10.00 9 9 2.56 2 24.95 1.4 6 66.5810.00 to < 100.00 18.91 2 25.00 1.0 129.47100.00 (default)

Subtotal 2 217 11 47.33 2 227 1.14 79 24.47 3.4 1 353 60.73 11 15

FY190.00 to < 0.150.15 to < 0.25 445 445 0.16 20 24.90 3.8 133 29.870.25 to < 0.50 309 1 75.00 309 0.45 9 24.96 3.3 138 44.510.50 to < 0.75 31 675 39.50 298 0.64 22 21.40 1.4 97 32.600.75 to < 2.50 1 227 10 74.64 1 238 1.58 35 24.28 3.6 868 70.15 52.50 to < 10.00 184 1 9.67 184 3.25 8 32.40 2.2 164 89.16 210.00 to < 100.00 41 41 18.04 5 23.62 2.0 50 122.90 2100.00 (default)

Subtotal 2 237 687 39.62 2 515 1.47 99 24.71 3.2 1 450 57.67 9 12

Banks

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

PD scale 1H200.00 to < 0.15 28 861 6 536 49.85 32 431 0.06 96 39.43 1.1 4 930 15.20 70.15 to < 0.25 16 223 294 44.17 16 353 0.21 17 43.69 1.0 5 467 33.43 150.25 to < 0.50 1 467 51 39.18 2 488 0.43 20 43.43 1.1 1 449 58.25 50.50 to < 0.75 1 037 2 86.30 39 0.64 5 47.04 1.2 27 69.150.75 to < 2.50 6 235 805 26.35 6 447 1.28 28 49.11 1.0 6 047 93.82 402.50 to < 10.00 6 1 150 48.11 247 3.59 12 51.44 1.0 420 169.66 510.00 to < 100.00 28 65 24.81 44 37.82 5 59.27 1.0 152 345.78 10100.00 (default)

Subtotal 53 857 8 903 45.39 58 049 0.30 183 41.95 1.1 18 492 31.86 82 137

FY190.00 to < 0.15 16 885 5 168 42.24 19 477 0.05 67 39.07 1.2 2 951 15.15 40.15 to < 0.25 12 565 280 45.18 12 696 0.22 11 43.73 1.0 5 521 43.49 120.25 to < 0.50 1 139 193 44.45 1 217 0.41 9 45.66 1.1 688 56.47 20.50 to < 0.75 302 701 47.81 608 0.64 2 43.61 1.5 442 72.68 20.75 to < 2.50 6 578 1 251 48.82 6 900 1.35 24 49.25 1.0 6 644 96.31 452.50 to < 10.00 2 13 54.59 162 3.30 12 49.41 1.0 214 132.16 310.00 to < 100.00 38 777 51.19 44 37.59 2 59.24 1.0 150 344.99 10100.00 (default)

Subtotal 37 509 8 383 44.45 41 104 0.39 127 42.54 1.1 16 610 40.41 78 116

ANNEXURES

52


Local governments and municipalities

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

PD scale 1H200.00 to < 0.150.15 to < 0.25 100.25 to < 0.50 180 180 0.45 11 24.95 3.1 85 46.600.50 to < 0.75 436 10 75.00 446 0.64 22 24.95 3.0 216 48.51 10.75 to < 2.50 1 592 1 9.28 1 592 1.35 32 24.28 3.6 1 046 65.71 102.50 to < 10.00 9 9 2.56 2 24.95 1.4 6 66.5810.00 to < 100.00 18.91 2 25.00 1.0 129.47100.00 (default)

Subtotal 2 217 11 47.33 2 227 1.14 79 24.47 3.4 1 353 60.73 11 15

FY190.00 to < 0.150.15 to < 0.25 445 445 0.16 20 24.90 3.8 133 29.870.25 to < 0.50 309 1 75.00 309 0.45 9 24.96 3.3 138 44.510.50 to < 0.75 31 675 39.50 298 0.64 22 21.40 1.4 97 32.600.75 to < 2.50 1 227 10 74.64 1 238 1.58 35 24.28 3.6 868 70.15 52.50 to < 10.00 184 1 9.67 184 3.25 8 32.40 2.2 164 89.16 210.00 to < 100.00 41 41 18.04 5 23.62 2.0 50 122.90 2100.00 (default)

Subtotal 2 237 687 39.62 2 515 1.47 99 24.71 3.2 1 450 57.67 9 12

Banks

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

PD scale 1H200.00 to < 0.15 28 861 6 536 49.85 32 431 0.06 96 39.43 1.1 4 930 15.20 70.15 to < 0.25 16 223 294 44.17 16 353 0.21 17 43.69 1.0 5 467 33.43 150.25 to < 0.50 1 467 51 39.18 2 488 0.43 20 43.43 1.1 1 449 58.25 50.50 to < 0.75 1 037 2 86.30 39 0.64 5 47.04 1.2 27 69.150.75 to < 2.50 6 235 805 26.35 6 447 1.28 28 49.11 1.0 6 047 93.82 402.50 to < 10.00 6 1 150 48.11 247 3.59 12 51.44 1.0 420 169.66 510.00 to < 100.00 28 65 24.81 44 37.82 5 59.27 1.0 152 345.78 10100.00 (default)

Subtotal 53 857 8 903 45.39 58 049 0.30 183 41.95 1.1 18 492 31.86 82 137

FY190.00 to < 0.15 16 885 5 168 42.24 19 477 0.05 67 39.07 1.2 2 951 15.15 40.15 to < 0.25 12 565 280 45.18 12 696 0.22 11 43.73 1.0 5 521 43.49 120.25 to < 0.50 1 139 193 44.45 1 217 0.41 9 45.66 1.1 688 56.47 20.50 to < 0.75 302 701 47.81 608 0.64 2 43.61 1.5 442 72.68 20.75 to < 2.50 6 578 1 251 48.82 6 900 1.35 24 49.25 1.0 6 644 96.31 452.50 to < 10.00 2 13 54.59 162 3.30 12 49.41 1.0 214 132.16 310.00 to < 100.00 38 777 51.19 44 37.59 2 59.24 1.0 150 344.99 10100.00 (default)

Subtotal 37 509 8 383 44.45 41 104 0.39 127 42.54 1.1 16 610 40.41 78 116

53

Retail mortgages

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

0.00 to < 0.15 9 766 14 352 40.15 15 530 0.14 32 662 12.31 615 3.96 30.15 to < 0.25 28 517 10 862 45.28 33 462 0.19 58 703 13.37 1 862 5.56 90.25 to < 0.50 85 763 8 918 48.39 90 227 0.35 136 565 14.69 8 361 9.27 450.50 to < 0.75 59 744 2 810 47.52 61 144 0.63 94 501 14.55 8 591 14.05 560.75 to < 2.50 82 644 2 374 48.04 83 834 1.28 128 707 14.49 18 669 22.27 1562.50 to < 10.00 38 323 115 59.31 38 399 5.05 84 841 15.36 20 165 52.51 29810.00 to < 100.00 26 322 5 73.71 26 327 24.19 43 356 15.69 23 174 88.02 1 007100.00 (default) 21 558 21 558 100.00 32 492 15.82 6 340

Subtotal 352 637 39 436 44.20 370 481 8.56 611 827 14.61 81 437 21.98 7 914 8 571

FY190.00 to < 0.15 16 288 16 759 42.45 23 408 0.14 43 517 12.53 959 4.10 40.15 to < 0.25 28 007 8 201 46.65 31 887 0.20 52 372 14.16 1 900 5.96 90.25 to < 0.50 95 951 8 907 50.44 100 666 0.35 152 004 14.82 9 439 9.38 520.50 to < 0.75 67 728 3 144 49.04 69 370 0.63 106 194 14.77 9 880 14.24 640.75 to < 2.50 70 964 1 784 49.84 71 929 1.31 112 069 14.71 16 594 23.07 1402.50 to < 10.00 33 489 114 66.92 33 576 4.90 80 978 15.00 16 978 50.57 24710.00 to < 100.00 21 952 8 58.18 21 957 25.31 39 027 15.63 19 156 87.24 888100.00 (default) 16 984 16 984 100.00 26 412 15.90 5 230

Subtotal 351 363 38 917 45.84 369 777 7.04 612 573 14.70 74 906 20.26 6 634 6 981

QRRE

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 85 2 358 110.33 2 688 0.12 78 513 59.71 123 4.57 20.15 to < 0.25 315 1 840 111.66 2 370 0.19 104 408 60.07 155 6.53 30.25 to < 0.50 947 2 017 112.99 3 226 0.35 115 322 60.48 345 10.68 60.50 to < 0.75 1 013 4 080 56.81 2 648 0.65 125 171 62.62 480 18.15 110.75 to < 2.50 22 796 23 133 42.47 31 055 1.60 1 164 248 66.94 11 897 38.31 3342.50 to < 10.00 29 258 5 594 106.71 32 195 4.44 1 662 630 66.23 24 709 76.75 94010.00 to < 100.00 8 456 837 97.98 9 120 29.11 565 309 65.37 15 496 169.91 1 753100.00 (default) 6 645 6 645 100.00 341 666 65.75 3 181 47.88 4 238

Subtotal 69 515 39 859 54.36 89 947 12.52 4 157 267 65.68 56 386 62.69 7 287 8 560

FY190.00 to < 0.15 160 2 865 104.62 3 157 0.12 96 064 59.34 143 4.53 20.15 to < 0.25 435 1 936 112.29 2 609 0.20 120 346 59.99 173 6.64 30.25 to < 0.50 1 182 1 913 114.36 3 371 0.36 154 011 60.44 367 10.88 70.50 to < 0.75 1 198 3 606 44.17 2 765 0.66 151 748 62.71 512 18.51 110.75 to < 2.50 22 781 21 447 47.27 30 669 1.58 1 167 488 66.82 11 591 37.80 3252.50 to < 10.00 31 207 5 497 91.27 33 975 4.44 1 574 707 66.01 25 931 76.32 98610.00 to < 100.00 7 151 745 103.05 7 763 28.33 528 216 65.58 13 249 170.66 1 450100.00 (default) 5 046 5 046 100.00 262 198 65.50 2 598 51.48 3 216

Subtotal 69 160 38 009 57.23 89 355 10.38 4 054 778 65.50 54 564 61.06 6 000 6 687

ANNEXURES

54


Retail mortgages

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

0.00 to < 0.15 9 766 14 352 40.15 15 530 0.14 32 662 12.31 615 3.96 30.15 to < 0.25 28 517 10 862 45.28 33 462 0.19 58 703 13.37 1 862 5.56 90.25 to < 0.50 85 763 8 918 48.39 90 227 0.35 136 565 14.69 8 361 9.27 450.50 to < 0.75 59 744 2 810 47.52 61 144 0.63 94 501 14.55 8 591 14.05 560.75 to < 2.50 82 644 2 374 48.04 83 834 1.28 128 707 14.49 18 669 22.27 1562.50 to < 10.00 38 323 115 59.31 38 399 5.05 84 841 15.36 20 165 52.51 29810.00 to < 100.00 26 322 5 73.71 26 327 24.19 43 356 15.69 23 174 88.02 1 007100.00 (default) 21 558 21 558 100.00 32 492 15.82 6 340

Subtotal 352 637 39 436 44.20 370 481 8.56 611 827 14.61 81 437 21.98 7 914 8 571

FY190.00 to < 0.15 16 288 16 759 42.45 23 408 0.14 43 517 12.53 959 4.10 40.15 to < 0.25 28 007 8 201 46.65 31 887 0.20 52 372 14.16 1 900 5.96 90.25 to < 0.50 95 951 8 907 50.44 100 666 0.35 152 004 14.82 9 439 9.38 520.50 to < 0.75 67 728 3 144 49.04 69 370 0.63 106 194 14.77 9 880 14.24 640.75 to < 2.50 70 964 1 784 49.84 71 929 1.31 112 069 14.71 16 594 23.07 1402.50 to < 10.00 33 489 114 66.92 33 576 4.90 80 978 15.00 16 978 50.57 24710.00 to < 100.00 21 952 8 58.18 21 957 25.31 39 027 15.63 19 156 87.24 888100.00 (default) 16 984 16 984 100.00 26 412 15.90 5 230

Subtotal 351 363 38 917 45.84 369 777 7.04 612 573 14.70 74 906 20.26 6 634 6 981

QRRE

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 85 2 358 110.33 2 688 0.12 78 513 59.71 123 4.57 20.15 to < 0.25 315 1 840 111.66 2 370 0.19 104 408 60.07 155 6.53 30.25 to < 0.50 947 2 017 112.99 3 226 0.35 115 322 60.48 345 10.68 60.50 to < 0.75 1 013 4 080 56.81 2 648 0.65 125 171 62.62 480 18.15 110.75 to < 2.50 22 796 23 133 42.47 31 055 1.60 1 164 248 66.94 11 897 38.31 3342.50 to < 10.00 29 258 5 594 106.71 32 195 4.44 1 662 630 66.23 24 709 76.75 94010.00 to < 100.00 8 456 837 97.98 9 120 29.11 565 309 65.37 15 496 169.91 1 753100.00 (default) 6 645 6 645 100.00 341 666 65.75 3 181 47.88 4 238

Subtotal 69 515 39 859 54.36 89 947 12.52 4 157 267 65.68 56 386 62.69 7 287 8 560

FY190.00 to < 0.15 160 2 865 104.62 3 157 0.12 96 064 59.34 143 4.53 20.15 to < 0.25 435 1 936 112.29 2 609 0.20 120 346 59.99 173 6.64 30.25 to < 0.50 1 182 1 913 114.36 3 371 0.36 154 011 60.44 367 10.88 70.50 to < 0.75 1 198 3 606 44.17 2 765 0.66 151 748 62.71 512 18.51 110.75 to < 2.50 22 781 21 447 47.27 30 669 1.58 1 167 488 66.82 11 591 37.80 3252.50 to < 10.00 31 207 5 497 91.27 33 975 4.44 1 574 707 66.01 25 931 76.32 98610.00 to < 100.00 7 151 745 103.05 7 763 28.33 528 216 65.58 13 249 170.66 1 450100.00 (default) 5 046 5 046 100.00 262 198 65.50 2 598 51.48 3 216

Subtotal 69 160 38 009 57.23 89 355 10.38 4 054 778 65.50 54 564 61.06 6 000 6 687

55

Retail other

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 1 1 0.11 60 10.60 3.610.15 to < 0.25 137 2 115.65 140 0.16 727 6.63 4 2.790.25 to < 0.50 1 599 16 112.20 1 617 0.32 1 278 27.31 260 16.09 10.50 to < 0.75 802 5 128.35 808 0.62 4 241 28.36 195 24.11 10.75 to < 2.50 24 903 55 95.29 24 955 1.78 106 563 28.47 9 317 37.33 1322.50 to < 10.00 20 209 24 115.95 20 237 5.12 154 895 38.04 12 157 60.07 42210.00 to < 100.00 8 252 3 108.78 8 255 30.16 126 878 51.17 9 483 114.88 1 288100.00 (default) 4 492 4 492 100.00 43 807 41.04 1 273 28.34 1 918

Subtotal 60 395 105 103.91 60 505 14.00 438 449 35.62 32 689 54.03 3 762 4 532

FY190.00 to < 0.15 4 4 105.54 8 0.11 107 49.76 1 14.200.15 to < 0.25 162 6 110.44 169 0.17 820 6.10 4 2.630.25 to < 0.50 5 086 16 114.78 5 104 0.46 1 565 26.46 981 19.22 60.50 to < 0.75 821 6 122.29 828 0.62 4 233 29.22 207 24.96 10.75 to < 2.50 22 251 82 79.35 22 318 1.69 121 166 29.08 8 414 37.70 1152.50 to < 10.00 21 485 39 111.84 21 529 4.93 150 964 36.72 12 376 57.49 40410.00 to < 100.00 6 571 269.64 6 571 25.69 125 594 55.37 7 996 121.68 935100.00 (default) 2 990 2 990 100.00 38 198 40.17 614 20.53 1 280

Subtotal 59 370 153 92.06 59 517 10.33 442 647 35.02 30 593 51.40 2 741 3 102

SME retail

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 3 000 7 516 74.97 8 640 0.05 19 055 47.77 587 6.79 20.15 to < 0.25 1 474 1 886 81.68 3 016 0.20 13 085 47.21 609 20.20 30.25 to < 0.50 4 287 2 304 75.13 6 025 0.36 105 166 40.96 1 537 25.51 90.50 to < 0.75 4 879 1 444 63.37 5 796 0.59 37 417 39.43 1 905 32.86 140.75 to < 2.50 16 663 3 181 57.31 18 492 1.45 107 909 39.17 8 797 47.57 1052.50 to < 10.00 10 208 3 248 32.54 11 276 5.15 124 523 42.26 7 462 66.17 24410.00 to < 100.00 5 036 537 31.52 5 221 25.42 61 725 45.07 5 409 103.60 612100.00 (default) 3 471 3 471 100.00 23 272 42.33 0.01 2 064

Subtotal 49 018 20 116 57.61 61 937 9.22 492 152 42.20 26 306 42.47 3 053 3 465

FY190.00 to < 0.15 2 540 5 645 83.70 7 269 0.07 19 456 44.04 630 8.67 20.15 to < 0.25 2 125 1 999 80.96 3 745 0.20 14 320 44.14 713 19.05 30.25 to < 0.50 4 299 2 663 68.76 6 101 0.35 113 593 41.66 1 564 25.63 90.50 to < 0.75 4 915 1 347 68.61 5 842 0.56 29 685 39.89 1 902 32.56 130.75 to < 2.50 20 509 2 919 59.72 22 242 1.44 129 332 38.55 10 395 46.73 1242.50 to < 10.00 7 834 2 967 35.64 8 886 4.73 123 023 44.04 6 061 68.21 18410.00 to < 100.00 2 948 217 43.81 3 052 24.74 54 508 46.74 3 285 107.62 358100.00 (default) 2 502 2 502 100.00 16 296 42.47 0.01 1 488

Subtotal 47 672 17 757 61.75 59 639 6.81 500 213 41.42 24 550 41.16 2 181 2 352

ANNEXURES

56


Retail other

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 1 1 0.11 60 10.60 3.610.15 to < 0.25 137 2 115.65 140 0.16 727 6.63 4 2.790.25 to < 0.50 1 599 16 112.20 1 617 0.32 1 278 27.31 260 16.09 10.50 to < 0.75 802 5 128.35 808 0.62 4 241 28.36 195 24.11 10.75 to < 2.50 24 903 55 95.29 24 955 1.78 106 563 28.47 9 317 37.33 1322.50 to < 10.00 20 209 24 115.95 20 237 5.12 154 895 38.04 12 157 60.07 42210.00 to < 100.00 8 252 3 108.78 8 255 30.16 126 878 51.17 9 483 114.88 1 288100.00 (default) 4 492 4 492 100.00 43 807 41.04 1 273 28.34 1 918

Subtotal 60 395 105 103.91 60 505 14.00 438 449 35.62 32 689 54.03 3 762 4 532

FY190.00 to < 0.15 4 4 105.54 8 0.11 107 49.76 1 14.200.15 to < 0.25 162 6 110.44 169 0.17 820 6.10 4 2.630.25 to < 0.50 5 086 16 114.78 5 104 0.46 1 565 26.46 981 19.22 60.50 to < 0.75 821 6 122.29 828 0.62 4 233 29.22 207 24.96 10.75 to < 2.50 22 251 82 79.35 22 318 1.69 121 166 29.08 8 414 37.70 1152.50 to < 10.00 21 485 39 111.84 21 529 4.93 150 964 36.72 12 376 57.49 40410.00 to < 100.00 6 571 269.64 6 571 25.69 125 594 55.37 7 996 121.68 935100.00 (default) 2 990 2 990 100.00 38 198 40.17 614 20.53 1 280

Subtotal 59 370 153 92.06 59 517 10.33 442 647 35.02 30 593 51.40 2 741 3 102

SME retail

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.15 3 000 7 516 74.97 8 640 0.05 19 055 47.77 587 6.79 20.15 to < 0.25 1 474 1 886 81.68 3 016 0.20 13 085 47.21 609 20.20 30.25 to < 0.50 4 287 2 304 75.13 6 025 0.36 105 166 40.96 1 537 25.51 90.50 to < 0.75 4 879 1 444 63.37 5 796 0.59 37 417 39.43 1 905 32.86 140.75 to < 2.50 16 663 3 181 57.31 18 492 1.45 107 909 39.17 8 797 47.57 1052.50 to < 10.00 10 208 3 248 32.54 11 276 5.15 124 523 42.26 7 462 66.17 24410.00 to < 100.00 5 036 537 31.52 5 221 25.42 61 725 45.07 5 409 103.60 612100.00 (default) 3 471 3 471 100.00 23 272 42.33 0.01 2 064

Subtotal 49 018 20 116 57.61 61 937 9.22 492 152 42.20 26 306 42.47 3 053 3 465

FY190.00 to < 0.15 2 540 5 645 83.70 7 269 0.07 19 456 44.04 630 8.67 20.15 to < 0.25 2 125 1 999 80.96 3 745 0.20 14 320 44.14 713 19.05 30.25 to < 0.50 4 299 2 663 68.76 6 101 0.35 113 593 41.66 1 564 25.63 90.50 to < 0.75 4 915 1 347 68.61 5 842 0.56 29 685 39.89 1 902 32.56 130.75 to < 2.50 20 509 2 919 59.72 22 242 1.44 129 332 38.55 10 395 46.73 1242.50 to < 10.00 7 834 2 967 35.64 8 886 4.73 123 023 44.04 6 061 68.21 18410.00 to < 100.00 2 948 217 43.81 3 052 24.74 54 508 46.74 3 285 107.62 358100.00 (default) 2 502 2 502 100.00 16 296 42.47 0.01 1 488

Subtotal 47 672 17 757 61.75 59 639 6.81 500 213 41.42 24 550 41.16 2 181 2 352

57

Equity

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.150.15 to < 0.25 26 26 0.23 2 90.00 5.0 56 215.380.25 to < 0.50 71 71 0.45 3 90.00 5.0 221 311.270.50 to < 0.75 259 259 0.64 2 90.00 5.0 822 317.37 10.75 to < 2.50 981 981 1.08 6 90.00 5.0 3 126 318.58 12.50 to < 10.00 28 28 3.53 2 90.00 5.0 96 349.83 110.00 to < 100.00 11 11 14.48 1 90.00 5.0 58 523.19 1100.00 (default) 404 404 100.00 4 90.00 5.0 4 550 1 125.00

Subtotal 1 780 1 780 23.55 20 90.00 5.0 8 929 501.63 4

0.00 to < 0.150.15 to < 0.25 130 130 0.23 4 90.00 5.0 379 291.540.25 to < 0.50 298 298 0.45 4 90.00 5.0 939 315.100.50 to < 0.75 673 673 0.64 3 90.00 5.0 2 138 317.680.75 to < 2.50 698 698 1.22 3 90.00 5.0 2 231 319.38 12.50 to < 10.00 5.12 1 90.00 5.0 383.5710.00 to < 100.00 962 962 25.16 2 90.00 5.0 5 320 553.10 218100.00 (default) 22 22 100.00 3 90.00 5.0 247 1 125.00

Subtotal 2 783 2 783 10.01 20 90.00 5.0 11 254 404.38 219

ANNEXURES

58


Equity

PD scale

Original on-balance


Rm

Off-balance sheet

exposures pre-CCF

Rm

Average CCF

%


Rm

AveragePD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%EL

RmProvisions

Rm

1H200.00 to < 0.150.15 to < 0.25 26 26 0.23 2 90.00 5.0 56 215.380.25 to < 0.50 71 71 0.45 3 90.00 5.0 221 311.270.50 to < 0.75 259 259 0.64 2 90.00 5.0 822 317.37 10.75 to < 2.50 981 981 1.08 6 90.00 5.0 3 126 318.58 12.50 to < 10.00 28 28 3.53 2 90.00 5.0 96 349.83 110.00 to < 100.00 11 11 14.48 1 90.00 5.0 58 523.19 1100.00 (default) 404 404 100.00 4 90.00 5.0 4 550 1 125.00

Subtotal 1 780 1 780 23.55 20 90.00 5.0 8 929 501.63 4

0.00 to < 0.150.15 to < 0.25 130 130 0.23 4 90.00 5.0 379 291.540.25 to < 0.50 298 298 0.45 4 90.00 5.0 939 315.100.50 to < 0.75 673 673 0.64 3 90.00 5.0 2 138 317.680.75 to < 2.50 698 698 1.22 3 90.00 5.0 2 231 319.38 12.50 to < 10.00 5.12 1 90.00 5.0 383.5710.00 to < 100.00 962 962 25.16 2 90.00 5.0 5 320 553.10 218100.00 (default) 22 22 100.00 3 90.00 5.0 247 1 125.00

Subtotal 2 783 2 783 10.01 20 90.00 5.0 11 254 404.38 219

59

CCR4: CCR EXPOSURE BY PORTFOLIO AND PD SCALEThe table below provides information on all the relevant parameters used for the calculation of CCR capital requirements under the IRB approach. To note:

• EAD post-CRM is the EAD as calculated under the applicable CCR approach and after applying CRM but gross of accounting provisions

• number of obligors correspond to the number of individual PDs in a band

• average PD and LGD are weighted by EAD

• RWA density is total RWA to EAD post-CRM.

Corporate

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.15 196 0.08 25 38.52 2.0 41 20.810.15 to < 0.25 1 010 0.21 68 39.48 2.1 501 49.680.25 to < 0.50 4 810 0.41 146 42.13 2.4 3 263 63.250.50 to < 0.75 1 423 0.64 56 39.41 1.8 923 64.830.75 to < 2.50 2 045 1.24 127 40.25 1.8 1 876 91.742.50 to < 10.00 263 4.05 47 41.84 3.5 394 149.8010.00 to < 100.00 12 10.24 3 57.51 1.0 30 240.43100.00 (default) 2 100.00 2 40.09 1.0 5 275.31

Subtotal 9 761 0.72 474 41.01 2.2 7 033 69.82

FY190.00 to < 0.15 534 0.07 24 36.36 1.3 78 14.680.15 to < 0.25 991 0.22 53 39.73 1.3 357 35.930.25 to < 0.50 2 653 0.40 160 41.08 1.7 1 461 54.760.50 to < 0.75 312 0.64 51 38.41 1.7 196 62.950.75 to < 2.50 817 1.15 111 40.38 1.6 752 92.132.50 to < 10.00 237 3.25 47 40.67 1.5 272 114.7610.00 to < 100.00 1 10.24 2 58.64 1.0 2 245.14100.00 (default) 5 100.00 1 40.09 1.0

Subtotal 5 550 0.67 449 40.12 1.6 3 118 56.04

SME corporate

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.150.15 to < 0.25 159 0.23 1 40.09 1.0 51 31.870.25 to < 0.50 52 0.32 2 40.09 5.0 35 68.950.50 to < 0.75 320 0.64 8 39.04 2.5 202 63.080.75 to < 2.50 355 0.98 18 40.35 2.5 278 78.142.50 to < 10.00 33 3.76 8 40.09 3.0 34 103.0110.00 to < 100.00 10.24 1 40.09 1.0 149.78100.00 (default)

Subtotal 919 0.80 38 39.82 2.4 600 65.27

FY190.00 to < 0.150.15 to < 0.250.25 to < 0.50 28 0.32 2 40.09 5.0 20 68.890.50 to < 0.75 136 0.64 8 40.09 2.2 82 60.310.75 to < 2.50 56 1.23 15 41.29 2.4 59 105.432.50 to < 10.00 74 2.63 8 40.09 1.2 58 78.2010.00 to < 100.00100.00 (default) 100.00 1 40.09 1.5 1 531.19

Subtotal 294 1.29 34 40.32 2.3 220 74.57

ANNEXURES

60


Securities firms

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.15 12 890 0.06 8 39.49 1.8 2 584 20.050.15 to < 0.250.25 to < 0.50 30.50 to < 0.75 107 0.64 2 40.09 1.0 77 72.770.75 to < 2.50 43 0.90 3 40.09 1.0 29 66.562.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 13 040 0.07 16 39.50 1.8 2 690 20.63

FY190.00 to < 0.15 8 149 0.05 8 39.40 1.7 1 540 18.900.15 to < 0.250.25 to < 0.50 16 0.45 4 40.09 1.0 10 61.180.50 to < 0.75 267 0.64 2 40.09 1.0 194 72.750.75 to < 2.50 158 1.26 5 40.09 1.0 119 75.222.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 8 590 0.09 19 39.43 1.7 1 863 21.69

Sovereign

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.15 30 0.03 1 29.34 1.0 1 5.050.15 to < 0.250.25 to < 0.50 227 0.45 1 29.34 4.4 138 60.610.50 to < 0.75 60 0.64 2 30.57 1.0 26 42.760.75 to < 2.502.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 317 0.45 4 29.57 3.4 165 52.03

FY190.00 to < 0.15 153 0.02 3 28.14 3.1 15 9.680.15 to < 0.250.25 to < 0.50 482 0.45 1 29.34 4.2 286 59.450.50 to < 0.75 0.64 2 26.29 1.0 — 36.770.75 to < 2.502.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 635 0.35 6 29.05 4.0 301 47.44

61


PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.150.15 to < 0.250.25 to < 0.50 406 0.39 3 41.64 3.5 305 74.940.50 to < 0.75 2 0.64 2 39.99 1.0 1 72.610.75 to < 2.50 29 0.90 4 33.80 1.8 23 78.962.50 to < 10.00 324 7.24 3 26.39 4.9 401 123.9710.00 to < 100.00100.00 (default) 2 100.00 1 48.09 1.0 6 312.75

Subtotal 763 3.57 13 34.89 4.0 736 96.49

FY190.00 to < 0.150.15 to < 0.250.25 to < 0.50 195 0.32 3 36.21 2.7 104 52.900.50 to < 0.75 20 0.64 4 26.48 2.0 10 52.380.75 to < 2.50 21 0.90 3 35.50 1.0 15 73.272.50 to < 10.00 386 7.24 2 26.29 5.0 478 123.9310.00 to < 100.00100.00 (default)

Subtotal 622 4.64 12 29.72 4.0 607 97.62

Specialised lending - project finance

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.150.15 to < 0.250.25 to < 0.50 1 410 0.45 15 34.36 3.8 879 62.300.50 to < 0.75 538 0.64 7 37.09 4.5 468 86.960.75 to < 2.50 120 0.98 4 19.26 3.8 55 45.992.50 to < 10.0010.00 to < 100.00100.00 (default)

Subtotal 2 068 0.53 26 34.20 4.0 1 402 67.77

FY190.00 to < 0.150.15 to < 0.250.25 to < 0.50 914 0.45 17 33.53 3.2 500 54.710.50 to < 0.75 272 0.64 5 31.92 4.6 195 71.630.75 to < 2.50 96 0.92 5 25.05 4.5 65 67.772.50 to < 10.00 21 3.09 2 63.64 1.8 29 140.7710.00 to < 100.00100.00 (default)

Subtotal 1 303 0.57 29 33.05 3.6 789 60.57

ANNEXURES


Banks

PD scale

EAD post-CRM

Rm

Average PD%

Number of obligors

Average LGD

%

Average maturity

YearsRWA

Rm

RWA density

%

1H200.00 to < 0.15 21 805 0.07 42 39.88 1.3 4 051 18.580.15 to < 0.25 771 0.23 5 43.88 1.3 283 36.660.25 to < 0.50 4 098 0.45 12 45.98 1.3 3 085 75.270.50 to < 0.75 0.64 2 47.04 1.0 65.800.75 to < 2.50 44 1.09 22 48.60 1.0 40 91.292.50 to < 10.00 5 2.56 5 51.24 1.0 6 125.7110.00 to < 100.00 1 14.48 3 56.49 1.0 2 302.38100.00 (default)

Subtotal 26 724 0.13 91 40.95 1.3 7 467 27.94

FY190.00 to < 0.15 13 921 0.06 41 39.38 1.3 2 473 17.760.15 to < 0.25 1 689 0.23 3 43.89 1.8 930 55.100.25 to < 0.50 4 529 0.45 9 45.99 1.5 3 541 78.190.50 to < 0.75 3 0.64 3 47.04 1.0 2 65.800.75 to < 2.50 80 1.14 18 48.70 1.0 72 89.212.50 to < 10.00 39 2.57 6 51.25 1.0 50 125.8010.00 to < 100.00 14.48 2 56.49 1.0 1 300.30100.00 (default)

Subtotal 20 261 0.17 82 41.29 1.4 7 069 38.42

63

CC1: COMPOSITION OF REGULATORY CAPITAL – SBG1 (EXCLUDING UNAPPROPRIATED PROFITS)

1H20 FY19 Rm Rm

CET I capital 164 684 140 222

Instruments and reservesCET I capital before regulatory adjustments 184 855 162 681

Directly issued qualifying common share capital plus related stock surplus 18 015 17 984Retained earnings 150 482 144 904Accumulated other comprehensive income (and other reserves) 8 004 (5 818)Directly issued capital subject to phase out from CET I (only applicable to non-joint stock companies)Public sector capital injections grandfathered until 1 January 2018Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET I) 8 354 5 611

Regulatory adjustmentsLess: total regulatory adjustments to CET I (20 171) (22 459)

Prudential valuation adjustments 1 457 2 754Goodwill (net of related tax liability) (2 616) (2 186)Other intangibles other than mortgage-servicing rights (net of related tax liability) (14 646) (16 518)Deferred tax assets that rely on future profitability excluding those arising from temporary differences

(net of related tax liability) (1 643) (413)Cash-flow hedge reserve 487 51Shortfall of provisions to expected lossesSecuritisation gain on saleGains and losses due to changes in own credit risk on fair valued liabilities (96) (21)Defined-benefit pension fund net assets (221) (242)Investments in own shares (if not already netted of paid-in capital on reported balance sheet) (27) (51)Reciprocal cross-holdings in common equityInvestments in the capital of banking, financial and insurance entities that are outside the scope of

regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold)

Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) (2 866) (5 833)

Mortgage servicing rights (amount above 10% threshold)Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax

liability)Amount exceeding the 15% threshold, relating to:Significant investments in the common stock of financialsMortgage servicing rightsDeferred tax assets arising from temporary differences

National specific regulatory adjustments

Regulatory adjustments applied to CET I in respect of amounts subject to pre-Basel III treatment

Regulatory adjustments applied to CET I due to insufficient additional tier I and tier II to cover deductions

ANNEXURES


65

1H20 FY19 Rm Rm

Additional tier I capitalInstrumentsAdditional tier I capital before regulatory adjustments 7 783 7 759

Directly issued qualifying additional tier I instruments plus related stock surplus, classified as: 6 585 7 134

Equity under applicable accounting standards 6 585 7 134Liabilities under applicable accounting standards

Directly issued capital instruments subject to phase out from additional tier I 5 495 5 495

Additional tier I instruments (and CET I instruments not included in common share capital ) issued by subsidiaries and held by third parties (amount allowed in group additional tier I), including: 1 226 636

Instruments issued by subsidiaries subject to phase out

Regulatory adjustmentsTotal regulatory adjustments to additional tier I capital (28) (11)

Investments in own additional tier I instruments (28) (11)Reciprocal cross-holdings in additional tier I instrumentsInvestments in the capital of banking, financial and insurance entities that are outside the scope of


Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)

National specific regulatory adjustments:

Regulatory adjustments applied to CET I in respect of amounts subject to pre-Basel III treatmentRegulatory adjustments applied to additional tier I due to insufficient additional tier I due to insufficient

tier II to cover deductions

Tier I capital 172 467 147 981

Capital and provisionsTier II capital before regulatory adjustments 30 693 23 116

Directly issued qualifying tier II instruments plus related stock surplus 25 517 20 431

Directly issued capital instruments subject to phase out from tier II 3 500 3 500

Tier II instruments (and CET I and additional tier I instruments not included in common share capital and additional tier I instruments) issued by subsidiaries and held by third parties (amount allowed in group tier II), including: 436 (1 065)


Provisions 5 176 2 685

Regulatory adjustmentsTotal regulatory adjustments to tier II capital (88) (49)

Investments in own tier II instruments (88) (49)Reciprocal cross-holdings in tier II instrumentsInvestments in the capital of banking, financial and insurance entities that are outside the scope of


Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)


Regulatory adjustments applied to tier II in respect of amounts subject to pre-Basel III treatment

Tier II capital 30 169 22 002

Total capital 202 636 169 983

Total RWA 1 324 767 1 099 528

RWA in respect of amounts subject to pre-Basel III treatmentCapital ratios and buffers

ANNEXURES

66

1H20 FY19 Rm Rm

CET I (as a % of RWA) 12.4 12.8Tier I (as a % of RWA) 13.0 13.5Total capital (as a % of RWA) 15.3 15.5Institution specific buffer requirement (minimum CET I requirement plus capital conservation buffer

plus countercyclical buffer requirements plus D-SIB buffer requirement, expressed as a % of RWA) 8.0 7.5

Capital conservation buffer requirement (%) 2.5 2.5Bank specific countercyclical buffer requirement (%)D-SIB buffer requirement (%)3 1.0

CET I available to meet buffers (as a % of RWA) 4.4 5.3

National minimaNational CET I minimum ratio – excluding individual capital requirement (ICR) and D-SIB (%) 8.0 7.5National tier I minimum ratio – excluding ICR, including D-SIB3 10.0 9.3National total capital minimum ratio – excluding ICR, including D-SIB3 12.0 11.5

Amounts below the threshold for deductions (before risk weighting)Non-significant investments in the capital of other financials 18 236Significant investments in the common stock of financials 16 602 14 321Mortgage servicing rights (net of related tax liability)Deferred tax assets arising from temporary differences (net of related tax liability) 6 389 6 172

Applicable caps on the inclusion of provisions in tier IIProvisions eligible for inclusion in tier II in respect of exposures subject to standardised approach (prior

to application of cap) 3 263 2 849Cap on inclusion of provisions in tier II under standardised approach 5 529 4 375Provisions eligible for inclusion in tier II in respect of exposures subject to internal ratings-based

approach (prior to application of cap)2 3 001 2 399Cap for inclusion of provisions in tier II under internal ratings-based approach 1 913 165

Capital instruments subject to phase-out arrangements (only applicable between 1 January 2018 and 1 January 2022)

Current cap on CET I instruments subject to phase out arrangementsAmount excluded from CET I due to cap (excess over cap after redemptions and maturities)Current cap on additional tier I instruments subject to phase out arrangementsAmount excluded from additional tier I due to cap (excess over cap after redemptions and maturities)Current cap on tier II instruments subject to phase out arrangementsAmount excluded from tier II due to cap (excess over cap after redemptions and maturities)

1 Disclosure based on prescribed SARB template. All blank line items are not applicable as at 30 June 2020.2 Based on SARB IFRS 9 phased-in approach.3 Confidential requirement for disclosure made prior to 1 September 2020.


CC1: COMPOSITION OF REGULATORY CAPITAL – SBSA1 (EXCLUDING UNAPPROPRIATED PROFITS)

1H20 FY19 Rm Rm

CET I capital 84 176 78 675

Instruments and reservesCET I capital before regulatory adjustments 95 916 91 263

Directly issued qualifying common share capital plus related stock surplus 49 313 45 248Retained earnings 45 230 45 174Accumulated other comprehensive income (and other reserves) 1 373 841Directly issued capital subject to phase out from CET I (only applicable to non-joint stock companies)Public sector capital injections grandfathered until 1 January 2018Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET I)

Regulatory adjustmentsLess: total regulatory adjustments to CET I (11 740) (12 588)

Prudential valuation adjustments 619 1 294Goodwill (net of related tax liability) (42) (42)Other intangibles other than mortgage-servicing rights (net of related tax liability) (11 346) (13 561)Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net

of related tax liability) (1 171) (1)Cash-flow hedge reserve 519 (15)Shortfall of provisions to expected lossesSecuritisation gain on saleGains and losses due to changes in own credit risk on fair valued liabilities (96) (21)Defined-benefit pension fund net assets (221) (242)Investments in own shares (if not already netted of paid-in capital on reported balance sheet)Reciprocal cross-holdings in common equityInvestments in the capital of banking, financial and insurance entities that are outside the scope of



Mortgage servicing rights (amount above 10% threshold)Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax

liability)Amount exceeding the 15% threshold, relating to:

Significant investments in the common stock of financialsMortgage servicing rightsDeferred tax assets arising from temporary differences



Regulatory adjustments applied to CET I due to insufficient additional tier I and tier II to cover deductions

67

ANNEXURES

68

1H20 FY19 Rm Rm

Additional tier I capitalInstrumentsAdditional tier I capital before regulatory adjustments 5 486 5 486

Directly issued qualifying additional tier I instruments plus related stock surplus, classified as: 5 486 5 486

Equity under applicable accounting standards 5 486 5 486Liabilities under applicable accounting standards

Directly issued capital instruments subject to phase out from additional tier I

Additional tier I instruments (and CET I instruments not included in common share capital ) issued by subsidiaries and held by third parties (amount allowed in group additional tier I), including:


Regulatory adjustmentsTotal regulatory adjustments to additional tier I capital (28) (11)

Investments in own additional tier I instruments (28) (11)Reciprocal cross-holdings in additional tier I instrumentsInvestments in the capital of banking, financial and insurance entities that are outside the scope of



National specific regulatory adjustments:


Regulatory adjustments applied to additional tier I due to insufficient additional tier I due to insufficient tier II to cover deductions

Tier I capital 89 634 84 150

Capital and provisionsTier II capital before regulatory adjustments 27 992 21 283

Directly issued qualifying tier II instruments plus related stock surplus 25 517 20 431

Directly issued capital instruments subject to phase out from tier II 3 500 3 500

Tier II instruments (and CET I and additional tier I instruments not included in common share capital and additional tier I instruments) issued by subsidiaries and held by third parties (amount allowed in group tier II), including:


Provisions 2 475 852

Regulatory adjustmentsTotal regulatory adjustments to tier II capital (2 978) (2 557)

Investments in own tier II instruments (88) (49)Reciprocal cross-holdings in tier II instruments (2 890) (2 508)Investments in the capital of banking, financial and insurance entities that are outside the scope of


Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)

National specific regulatory adjustmentsRegulatory adjustments applied to tier II in respect of amounts subject to pre-Basel III treatment

Tier II capital 25 014 18 726

Total capital 114 648 102 876

Total RWA 746 991 669 571


1H20 FY19 Rm Rm

Capital ratios and buffersCET I (as a % of RWA) 11.3 11.7Tier I (as a % of RWA) 12.0 12.6Total capital (as a % of RWA) 15.3 15.4Institution specific buffer requirement (minimum CET I requirement plus capital conservation buffer plus

countercyclical buffer requirements plus D-SIB buffer requirement, expressed as a % of RWA) 8.0 7.5

Capital conservation buffer requirement (%) 2.5Bank specific countercyclical buffer requirement (%)D-SIB buffer requirement (%)2 1.0

CET I available to meet buffers (as a % of RWA) 3.3 4.2

National minimaNational CET I minimum ratio – excluding ICR, including D-SIB (%)2 8.0 7.5National tier I minimum ratio – excluding ICR, including D-SIB2 10.0 9.3National total capital minimum ratio – excluding ICR, including D-SIB2 12.5 11.5

Amounts below the threshold for deductions (before risk weighting)Non-significant investments in the capital of other financials 292 292Significant investments in the common stock of financials 469 486Mortgage servicing rights (net of related tax liability)Deferred tax assets arising from temporary differences (net of related tax liability) 4 771 4 558

Applicable caps on the on the inclusion of provisions in tier IIProvisions eligible for inclusion in tier II in respect of exposures subject to standardised approach (prior to

application of cap) 793 713Cap on inclusion of provisions in tier II under standardised approach 268 249Provisions eligible for inclusion in tier II in respect of exposures subject to internal ratings-based approach

(prior to application of cap) 2 859 2 462Cap for inclusion of provisions in tier II under internal ratings-based approach 2 208 603

Capital instruments subject to phase-out arrangements (only applicable between 1 January 2018 and 1 January 2022)

Current cap on CET I instruments subject to phase out arrangementsAmount excluded from CET I due to cap (excess over cap after redemptions and maturities)Current cap on additional tier I instruments subject to phase out arrangementsAmount excluded from additional tier I due to cap (excess over cap after redemptions and maturities)Current cap on tier II instruments subject to phase out arrangementsAmount excluded from tier II due to cap (excess over cap after redemptions and maturities)

1 Disclosure based on prescribed SARB template. All blank line items are not applicable as at 30 June 2020.2 Confidential requirement for disclosure made prior to 1 September 2020.

69

CC2: RECONCILIATION OF IFRS

Statementof financial

positionRm

Underregulatory

scope ofconsolidation

Rm

1H20AssetsCash and balances with central banks 107 405 107 405Derivative assets 118 679 108 904Trading assets 267 197 263 195Pledged assets 25 356 12 194Financial investments 612 463 252 587Current tax assets 903 701Disposal group assets held for sale 1 036 819Loans and advances 1 345 870 1 345 870Policyholders' assets 5 746Other assets 43 658 32 272 Of which: defined-benefit pension fund net assets 867Interest in associates and joint ventures 6 505 2 581 Of which: CET I capital deductions 2 866Investment property 30 243 637Property and equipment 21 632 19 451Goodwill and other intangible assets 20 057 19 583Of which: goodwill 2 616Of which: other intangibles 14 646Deferred tax assets 4 162 4 162 Of which: deferred tax liability (DTL) other intangible assets (CET I deduction) 2 321 Of which: DTA that relies on future profitability (CET I deduction) 1 643 Of which: DTL defined-benefit pension fund net assets (CET I deduction) (86)

Total assets 2 610 912 2 170 361

Liabilities Derivative liabilities 123 502 114 445Trading liabilities 86 955 86 751Current tax liabilities 3 948 3 948Deposits and debt funding 1 654 238 1 673 653Policyholders' liabilities 315 852Subordinated debt 34 132 28 566 Of which tier II capital 30 169Disposal group liabilities held for sale 172Provisions and other liabilities 170 985 73 692Deferred tax liabilities 2 675 648Of which: DTLs related to other intangible assets 197

Total liabilities 2 392 459 1 981 703

Shareholder's equityPaid-in share capital 18 015 18 015Of which: amount eligible for CET I 18 015Retained earnings and other reserves 161 228 161 228 Of which: amount eligible for CET I 158 486Equity attributable to other equity instrument holders 10 989 10 989 Of which: additional tier I capital 6 585Equity attributable to non-controlling interest 28 220 28 220 Of which: CETI capital 8 354 Of which: additional tier I capital 1 226

Total shareholders’ equity 218 453 218 453

ANNEXURES

70

Standard Bank Group LimitedRegistration No. 1969/017128/06 Incorporated in the Republic of South Africa Website: www.standardbank.com

Investor relationsSarah Rivett-CarnacTel: +27 11 631 6897 Email: [email protected]

Group secretaryZola StephenTel: +27 11 631 9106 Email: [email protected]

Group financial directorArno DaehnkeTel: +27 11 636 3756 Email: [email protected]

Registered office9th Floor, Standard Bank Centre 5 Simmonds Street, Johannesburg, 2001

PO Box 7725, Johannesburg, 2000

DirectorsTS Gcabashe (chairman), A Daehnke*, MA Erasmus1, GJ Fraser-Moleketi, GMB Kennealy, BP Mabelane, JH Maree (deputy chairman), NNA Matyumza, KD Moroka, NMC Nyembezi, ML Oduor-Otieno2, AC Parker, ANA Peterside CON3, MJD Ruck, PD Sullivan4, SK Tshabalala* (chief executive), JM Vice, L Wang5.

* Executive director 1 British 2 Kenyan 3 Nigerian 4 Australian 5 ChineseAll nationalities are South African, unless otherwise specified.

Head office switchboardTel: +27 11 636 9111

Share transfer secretaries in South AfricaComputershare Investor Services Proprietary Limited Rosebank Towers, 15 Biermann Ave, Rosebank, 2196 PO Box 61051, Marshalltown, 2107

JSE independent sponsorJP Morgan Equities South Africa (Proprietary) Limited

ADMINISTRATIVE AND CONTACT DETAILS

DisclaimerThis document contains certain statements that are “forward-looking” with respect to certain of the group’s plans, goals and expectations relating to its future performance, results, strategies and objectives. Words such as “may”, “could”, “will”, “expect”, “intend”, “estimate”, “anticipate”, “aim”, “outlook”, “believe”, “plan”, “seek”, “predict” or similar expressions typically identify forward-looking statements. These forward-looking statements are not statements of fact or guarantees of future performance, results, strategies and objectives, and by their nature, involve risk and uncertainty because they relate to future events and circumstances which are difficult to predict and are beyond the group’s control, including but not limited to, domestic and global economic business conditions, market-related risks such as fluctuations in interest rates and exchange rates, the policies and actions of regulatory authorities (including changes related to capital and solvency requirements), the impact of competition, inflation, deflation, the timing impact and other uncertainties of future acquisitions or combinations within relevant industries, as well as the impact of changes in domestic and global legislation and regulations in the jurisdictions in which the group and its affiliates operate. The group’s actual future performance, results, strategies and objectives may differ materially from the plans, goals and expectations expressed or implied in the forward-looking statements. The group makes no representations or warranty, express or implied, that these forward-looking statements will be achieved and undue reliance should not be placed on such statements. The group undertakes no obligation to update the historical information or forward-looking statements in this document and does not assume responsibility for any loss or damage arising as a result of the reliance by any party thereon.

Please direct all customer queries and comments to [email protected]

Please direct all shareholder queries and comments to: [email protected]

Refer to www.standardbank.com/reporting for a list of definitions, acronyms and abbreviations.

www.standardbank.com/reporting

standardbank.com

PILLA

R 3

RE

PO

RT

FOR

TH

E S

IX M

ON

TH

S E

ND

ED

30

JUN

E 2

02

0S

TAN

DA

RD

BA

NK

GR

OU

P

STANDARD BANK GROUP Standard Bank Group PILLAR 3 REPORT

Documents

Transcript of STANDARD BANK GROUP Standard Bank Group PILLAR 3 REPORT