Nedbank Limited

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For the six months ended 30 JUne 2017

Nedbank LimitedCondensed consolidated interim financial results

Condensed consolidated interim financial results for the six months ended 30 June 2017 overviewNedbank Limited ('Nedbank') is a wholly owned subsidiary of Nedbank Group Limited ('Nedbank Group'), which is listed on JSE Limited. These condensed consolidated interim financial results are published on SENS to provide information to holders of Nedbank's listed non-redeemable non-cumulative non-participating preference shares.

Commentary relating to the Nedbank condensed consolidated interim financial results is included in the Nedbank Group results, as presented to shareholders on 2 August 2017. Further information is provided on the website at nedbankgroup.co.za.

Board and groUp exeCUtive ChangesTom Boardman and David Adomakoh departed from the board as independent non-executive directors with effect from the close of Nedbank Group’s annual general meeting on Thursday, 18 May 2017.

Neo Dongwana and Linda Manzini were appointed as independent non-executive directors of the group with effect from 1 June 2017, and Hubert Brody with effect from 1 July 2017.

transFer oF sUBsidiaries*Nedbank’s shareholding in Nedbank Lesotho and Nedbank Swaziland was distributed as a dividend in specie to Nedbank Group on 1 June 2017. The value of the dividend in specie was equal to the carrying amount of the investments distributed of R906m at 1 June 2017. This has been recognised in the statement of changes in equity in the distribution of subsidiaries to shareholder line.

Basis oF preparation*Nedbank Limited is a company domiciled in SA. The reviewed condensed consolidated interim financial results of the group at and for the six months ended 30 June 2017 comprise those of the company and its subsidiaries (the 'group') and the group's interests in associates and joint arrangements.

The condensed consolidated interim financial statements comprise the condensed consolidated statement of financial position at 30 June 2017, condensed consolidated statement of comprehensive income, condensed consolidated statement of changes in equity and condensed consolidated statement of cashflows for the six months ended 30 June 2017 and selected explanatory notes, which are indicated by the symbol*. The condensed consolidated interim financial statements have been prepared under the supervision of Raisibe Morathi CA (SA), the Chief Financial Officer.

The condensed consolidated interim financial statements are prepared in accordance with International Financial Reporting Standard IAS 34 Interim Financial Reporting, the South African Institute of Chartered Accountants Financial Reporting Guides as issued by the Accounting Practices Committee, Financial Pronouncements as issued by Financial Reporting Standards Council and the requirements of the Companies Act (Act No 71 of 2008) of South Africa. The accounting policies applied in the preparation of these condensed consolidated interim financial statements, are in terms of International Financial Reporting Standards and are consistent with those of the previous annual financial statements.

iFrs 9 FinanCial instrUmentsNedbank is required to adopt IFRS 9 from 1 January 2018. IFRS 9 replaces IAS 39, addressing the classification and measurement of financial assets and financial liabilities, the measurement of impairment provisions for amortised cost and fair value through other comprehensive income financial assets and introduces a more risk-management focused hedge-accounting model.

IFRS 9 is expected to impact the Nedbank’s balance sheet provisions and classification of certain of the Nedbank's financial assets. Nedbank does not expect the classification and measurement requirements to have a significant impact on Nedbank's financial position; however, this is subject to the business models in existence at 1 January 2018. From 1 January 2018 Nedbank will recognise fair-value gains or losses due to changes in the Nedbank's own credit risk for financial liabilities it designates as at fair value through profit or loss to be presented in other comprehensive income. However, Nedbank does not expect to change the manner in which it calculates these fair-value gains or losses due to changes in Nedbank's own credit risk, which it has previously disclosed in its financial statements.

Nedbank's IFRS 9 parallel run is progressing well and we continue to expect that the transitional increase in balance sheet provisions on 1 January 2018 will not have a significant impact on our capital adequacy levels, because the increase in balance sheet provisions will be partially offset by a decrease in the excess of downturn expected loss over IAS 39 provisions regulatory deduction from CET1 capital. Nedbank's excess of downturn expected loss over IAS 39 provisions regulatory deduction at 30 June 2017 was R1,9bn (December 2016: R1,5bn).

Nedbank is considering its accounting policy choice as to whether to continue IAS 39 hedge accounting or to move to the new IFRS 9 hedge-accounting model. This accounting policy choice is not expected to have a significant impact on Nedbank's existing fair-value hedges; however, Nedbank may replace its current accounting practice to designate financial assets and financial liabilities as at fair value through profit or loss because of the accounting mismatch that arises from its economic hedging activities with IAS 39 or IFRS 9 hedge accounting.

In line with the requirements of IFRS 9, Nedbank plans not to restate its comparative financial statements. Accordingly, the transitional increase in balance sheet provisions and classification and measurement changes will be recognised, net of related taxation, in equity at 1 January 2018.

events aFter the reporting period*There are no material events after the reporting period to report on.

nedbank limited – Interim Results 2017

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reviewed Condensed Consolidated interim FinanCial statements – independent aUditors’ review ConClUsionThe condensed consolidated interim financial statements for the six months ended 30 June 2017 have been reviewed by KPMG Inc and Deloitte & Touche, who expressed an unmodified review conclusion thereon.

The auditors' review report does not necessarily report on all of the information contained in this interim results announcement. Shareholders are therefore advised that in order to obtain a full understanding of the nature of the auditors' engagement, they should obtain a copy of the auditors' report together with the accompanying financial information, from Nedbank's registered office.

Forward-looking statementsThis announcement contains certain forward-looking statements with respect to the financial condition and results of operations of Nedbank and its companies, which, by their nature, involve risk and uncertainty because they relate to events and depend on circumstances that may or may not occur in the future. Factors that could cause actual results to differ materially from those in the forward-looking statements include global, national and regional economic conditions; levels of securities markets; interest rates; credit or other risks of lending and investment activities; as well as competitive and regulatory factors. By consequence, all forward-looking statements have not been reviewed or reported on by the group's auditors.

nedBank non-redeemaBle non-CUmUlative non-partiCipating preFerenCe shares – deClaration oF dividend no 29Notice is hereby given that gross preference dividend no 29 of 43,39039 cents per share has been declared for the period from 1 January 2017 to 30 June 2017, payable on Monday, 28 August 2017, to shareholders of the Nedbank non-redeemable non-cumulative non-participating preference shares recognised in the accounting records of the company at the close of business on Friday, 25 August 2017. The dividend has been declared out of income reserves.

The dividend will be subject to a dividend withholding tax rate of 20% (applicable in SA), resulting in a net dividend of 34,71231 cents per share to those shareholders who are not exempt from paying dividend tax. The dividend tax rate was 15% and this increased to 20% on 22 February 2017. Nedbank's tax reference number is 9250/083/71/5 and the number of preference shares in issue at the date of declaration is 358 277 491.

In accordance with the provisions of Strate, the electronic settlement and custody system used by JSE Limited, the relevant dates for the payment of the dividend are as follows:Last day to trade (cum dividend) Tuesday, 22 August 2017Shares commence trading (ex dividend) Wednesday, 23 August 2017Record date (date shareholders recorded in books) Friday, 25 August 2017Payment date Monday, 28 August 2017

Share certificates may not be dematerialised or rematerialised between Wednesday, 23 August 2017, and Friday, 25 August 2017, both days inclusive.

Where applicable, dividends in respect of certificated shares will be transferred electronically to shareholders' bank accounts on the payment date. In the absence of specific mandates, dividend cheques will be posted to shareholders. Shareholders who have dematerialised their share certificates will have their accounts at their participant or broker credited on Monday, 28 August 2017.

For and on behalf of the board

vassi naidoo mike BrownChairman Chief Executive

2 August 2017

registered office

Nedbank 135 Rivonia Campus, 135 Rivonia Road, Sandown, Sandton, 2196; PO Box 1144, Johannesburg, 2000.

transfer secretaries

Computershare Investor Services Proprietary Limited, 15 Biermann Avenue, Rosebank, Johannesburg, 2196, SA. PO Box 61051, Marshalltown, 2107.

directors

V Naidoo (Chairman), MWT Brown** (Chief Executive), HR Brody, BA Dames, NP Dongwana, ID Gladman (British), JB Hemphill, EM Kruger, RAG Leith, PM Makwana, L Manzini, Dr MA Matooane, NP Mnxasana, RK Morathi** (Chief Financial Officer), JK Netshitenzhe, MC Nkuhlu** (Chief Operating Officer), S Subramoney, MI Wyman*** (British).** Executive *** Lead independent director

Company secretary: TSB Jalisponsors: Investec Bank Limited, Nedbank CIBnedbank limited Reg No 1951/000009/06 Incorporated in the Republic of South AfricaJse share code: NBKPisin: ZAE000043667

nedbank limited – Interim Results 2017 1

reviewed condensed consolidated interim financial statements for the period ended 30 June 2017

30 Jun 30 Jun 31 Dec 2017 2016 2016 Change (Reviewed) (Reviewed) (Audited) (%) Rm Rm Rm

Interest and similar income 11,4 35 405 31 774 69 862Interest expense and similar charges 16,6 22 933 19 663 45 344net interest income 3,0 12 472 12 111 24 518Impairments charge on loans and advances (24,6) 1 483 1 967 4 254income from lending activities 8,3 10 989 10 144 20 264Non-interest revenue 5,1 9 733 9 257 19 361operating income 6,8 20 722 19 401 39 625Total operating expenses 3,8 12 622 12 157 25 283Indirect taxation 0,5 404 402 810profit from operations before non-trading and capital items 12,5 7 696 6 842 13 532Non-trading and capital items (88,8) (16) (143) (289)profit from operations 14,6 7 680 6 699 13 243Share of profits/(losses) of associate companies and joint arrangements <-100 7 (12) (20)profit from operations before direct taxation 15,0 7 687 6 687 13 223Total direct taxation 16,6 1 905 1 634 3 286

Direct taxation 1 909 1 645 3 328Taxation on non-trading and capital items (4) (11) (42)

profit for the period 14,4 5 782 5 053 9 937other comprehensive income/(losses) net of taxation <-100 114 (44) (453)

items that may subsequently be reclassified to profit or loss Exchange differences on translating foreign operations 2 (97) (231)Fair-value adjustments on available-for-sale assets (3) (5) (13)items that may not subsequently be reclassified to profit or loss Gains on property revaluations (23) 24Remeasurements on long-term employee benefit assets 138 58 (233)

total comprehensive income for the period 17,7 5 896 5 009 9 484Profit attributable to: – Ordinary and preference equity holders 14,9 5 780 5 030 9 896– Non-controlling interest – ordinary shareholders (91,3) 2 23 41profit for the period 14,4 5 782 5 053 9 937Total comprehensive income attributable to: – Ordinary and preference equity holders 18,2 5 894 4 986 9 443– Non-controlling interest – ordinary shareholders (91,3) 2 23 41total comprehensive income for the period 17,7 5 896 5 009 9 484

Condensed consolidated statement of comprehensive incomefor the period ended


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Condensed consolidated statement of financial positionat

30 Jun 30 Jun 31 Dec 2017 2016 2016 Change (Reviewed) (Reviewed) (Audited) (%) Rm Rm Rm

assets Cash and cash equivalents (29,5) 12 970 18 407 20 241Other short-term securities 9,0 71 731 65 813 68 218Derivative financial instruments (5,0) 18 919 19 906 18 044Government and other securities (5,6) 48 814 51 695 50 687Loans and advances 1,3 686 806 677 672 691 925Other assets 14,1 5 460 4 785 8 164Current taxation assets (95,9) 44 1 083 440Investment securities 21,3 2 115 1 744 1 908Non-current assets held for sale >100 592 3 287Investments in private-equity associates, associate companies and joint arrangements 66,9 2 782 1 667 2 575Deferred taxation assets (53,4) 27 58 266Property and equipment (6,3) 7 745 8 265 8 197Long-term employee benefit assets 4,7 5 393 5 151 5 042Mandatory reserve deposits with central banks 7,7 18 022 16 732 18 139Intangible assets 20,8 6 505 5 387 5 928total assets 1,1 887 925 878 368 900 061equity and liabilities Ordinary share capital 28 28 28Ordinary share premium 19 182 19 182 19 182Reserves 12,2 44 761 39 898 42 698total equity attributable to equity holders of the parent 8,2 63 971 59 108 61 908Preference share capital and premium 3 561 3 561 3 561Additional tier 1 capital instruments 70,6 2 600 1 524 2 000Non-controlling interest attributable to: – Ordinary shareholders (95,3) 11 235 253 – Preference shareholders 561 total equity 9,7 70 704 64 428 67 722Derivative financial instruments (32,6) 13 222 19 611 13 469Amounts owed to depositors 0,5 733 565 729 920 750 319Provisions and other liabilities 25,2 10 176 8 128 12 717Current taxation liabilities (21,1) 86 109 53Deferred taxation liabilities (44,7) 692 1 251 391Long-term employee benefit liabilities 10,0 3 432 3 121 3 328Long-term debt instruments 8,2 56 048 51 800 52 062total liabilities 0,4 817 221 813 940 832 339total equity and liabilities 1,1 887 925 878 368 900 061


Condensed consolidated statement of changes in equity

Non-Non-

controlling Total equity controlling interest attributable Preference interest attributable

to equity

holdersshare

capitalAdditional

tier 1attributableto ordinary

topreference

of the

parentand

premiumcapital

instrumentsshare-

holdersshare-

holdersTotal

equity Rm Rm Rm Rm Rm Rm

audited balance at 31 december 2015 56 170 3 561 223 59 954Additional tier 1 capital instruments issued 1 524 1 524Preference share dividend (177) (177)Dividend to ordinary shareholders (2 500) (11) (2 511)Issues of shares net of expenses 650 650Total comprehensive income for the period 4 986 23 5 009Share-based payment reserve movement (20) (20)Other movements (1) (1)reviewed balance at 30 June 2016 59 108 3 561 1 524 235 – 64 428Additional tier 1 capital instruments issued 476 476Preference share dividend (200) (200)Additional tier 1 capital instruments interest paid (78) (78)Dividend to ordinary shareholders (1 750) (1 750)Total comprehensive income for the period 4 457 18 4 475Share-based payment reserve movement 380 380Regulatory risk reserve provision (10) (10)Other movements 1 1audited balance at 31 december 2016 61 908 3 561 2 000 253 – 67 722Additional tier 1 capital instruments issued 600 600Preference share dividend (191) (191)Additional tier 1 capital instruments interest paid (101) (101)Dividend to ordinary shareholders (2 315) (2 315)Distribution of subsidiaries to shareholder (787) (244) (1 031)Preference shares held by group entities 561 561Total comprehensive income for the period 5 894 2 5 896Share-based payment reserve movement (437) (437)reviewed balance at 30 June 2017 63 971 3 561 2 600 11 561 70 704


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Condensed consolidated statement of cashflowsfor the period ended

30 Jun 30 Jun 31 Dec 2017 2016 2016 (Reviewed) (Reviewed) (Audited) Rm Rm Rm

Cash generated by operations 11 143 10 706 21 707Change in funds for operating activities (16 305) (12 479) (14 185)Net cash (utilised by)/from operating activities before taxation (5 162) (1 773) 7 522Taxation paid (1 485) (2 067) (4 020)Cashflows (utilised by)/from operating activities (6 647) (3 840) 3 502Cashflows utilised by investing activities (3 627) (2 117) (5 265)Cashflows from financing activities 2 886 6 320 5 030Effects of exchange rate changes on opening cash and cash equivalents (excluding foreign borrowings) 435 772Net (decrease)/increase in cash and cash equivalents (7 388) 798 4 039Cash and cash equivalents at the beginning of the period1 38 380 34 341 34 341Cash and cash equivalents at the end of the period1 30 992 35 139 38 3801 Including mandatory reserve deposits with central banks.


notes to the reviewed condensed consolidated interim financial statements for the period ended 30 June 2017*

30 Jun 30 Jun 31 Dec 30 Jun 30 Jun 31 Dec 30 Jun 30 Jun 31 Dec 30 Jun 30 Jun 31 Dec 2017 2016 2016 2017 2016 2016 2017 2016 2016 2017 2016 2016 (Reviewed) (Reviewed) (Audited) (Reviewed) (Reviewed) (Audited) (Reviewed) (Reviewed) (Audited) (Reviewed) (Reviewed) (Audited) Rm Rm Rm Rm Rm Rm Rm Rm Rm Rm Rm Rm

total assets total liabilities revenue1 headline earnings/(losses)

Nedbank Corporate and Investment Banking 479 359 476 225 491 480 448 288 447 896 463 018 6 997 7 190 14 744 3 211 3 004 6 014Nedbank Retail and Business Banking 311 490 296 492 304 842 284 075 270 452 278 588 14 780 14 250 29 071 2 544 2 371 4 960Nedbank Wealth 66 621 62 668 62 042 62 857 59 223 58 655 2 150 2 271 4 384 519 614 1 192Rest of Africa 35 623 32 734 36 189 28 835 25 447 28 247 1 201 776 1 890 (1 092) (550) (287)Centre 72 737 76 069 71 469 57 116 60 284 55 803 150 (102) (160) 89 (12) (414)Total for Nedbank Group 965 830 944 188 966 022 881 171 863 302 884 311 25 278 24 385 49 929 5 271 5 427 11 465Fellow-subsidiary adjustments (77 905) (65 820) (65 961) (63 950) (49 362) (51 972) (3 073) (3 017) (6 050) 521 (265) (1 322)total 887 925 878 368 900 061 817 221 813 940 832 339 22 205 21 368 43 879 5 792 5 162 10 1431 Revenue is calculated as net interest income plus non-interest revenue.

Condensed consolidated segmental reportingfor the period ended


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headline earnings reconciliationfor the period ended

30 Jun 30 Jun 30 Jun 30 Jun 31 Dec 31 Dec 2017 2017 2016 2016 2016 2016 (Reviewed) (Reviewed) (Reviewed) (Reviewed) (Audited) (Audited) Rm Rm Rm Rm Rm Rm

Change

(%) GrossNet of

taxation GrossNet of

taxation GrossNet of

taxation

Profit attributable to ordinary and preference equity holders 14,9 5 780 5 030 9 896Non-trading and capital items (90,9) 16 12 143 132 289 247

IAS 16: Loss on disposal of property and equipment 16 12 44 44IAS 38: Impairment of intangible assets 39 28 145 103IAS 39: Loss on sale of available-for-sale financial assets 94 94 94 94IAS 40: Loss on disposal of investment properties 10 10 6 6

headline earnings 12,2 5 792 5 162 10 143


Contingent liabilities and commitmentsContingent liaBilities and Undrawn FaCilities

at

30 Jun2017

(Reviewed)Rm

30 Jun2016

(Reviewed)Rm

31 Dec2016

(Audited)Rm

Guarantees on behalf of clients 21 475 37 771 22 177Letters of credit and discounting transactions 3 342 2 879 3 360Irrevocable unutilised facilities and other 93 179 94 398 101 566 117 996 135 048 127 103

The group, in the ordinary course of business, enters into transactions that expose it to tax, legal and business risks. Provisions are made for known liabilities that are expected to materialise. Possible obligations and known liabilities where no reliable estimate can be made or it is considered improbable that an outflow would result are reported as contingent liabilities. This is in accordance with IAS 37: Provisions, Contingent Liabilities and Contingent Assets.

There are a number of legal or potential claims against Nedbank Limited and its subsidiary companies, the outcome of which cannot at present be foreseen.

CommitmentsCapital expenditure approved by directors

at

30 Jun2017

(Reviewed)Rm

30 Jun2016

(Reviewed)Rm

31 Dec2016

(Audited)Rm

Contracted 395 818 515Not yet contracted 2 320 1 850 2 092 2 715 2 668 2 607

Funds to meet capital expenditure commitments will be provided from group resources. In addition, capital expenditure is incurred in the normal course of business throughout the year.


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Fair-value hierarchyFinanCial instrUments Carried at Fair valUeThe fair value of a financial instrument is the price that would be received for the sale of an asset or paid for the transfer of a liability in an orderly transaction between market participants at the measurement date. Underlying the definition of fair value is an assumption that an entity is a going concern without any intention or need to liquidate, to curtail materially the scale of its operations or to undertake a transaction on adverse terms. Fair value is not, therefore, the amount that an entity would receive or pay in a forced transaction, involuntary liquidation or distressed sale.

The existence of published price quotations in an active market is the most reliable evidence of fair value and, where they exist, they are used to measure the financial asset or financial liability. A market is considered to be active if transactions occur with sufficient volumes and frequencies to provide pricing information on an ongoing basis. These quoted prices would generally be classified as level 1 in terms of the fair-value hierarchy.

Where a quoted price does not represent fair value at the measurement date or where the market for a financial instrument is not active, the group establishes fair value by using a valuation technique. These valuation techniques include, but are not limited to, reference to the current fair value of another instrument that is substantially the same in nature, reference to the value of the assets of underlying business, earnings multiples, discounted-cashflow analysis and various option pricing models. Valuation techniques applied by the group would generally be classified as level 2 or level 3 in terms of the fair-value hierarchy. The determination of whether an instrument is classified as level 2 or level 3 is dependent on the significance of observable inputs versus unobservable inputs in relation to the fair value of the instrument. Inputs typically used in valuation techniques include discount rates, appropriate swap rates, volatility, servicing costs, equity prices, commodity prices, counterparty credit risk, and the group's own credit on financial liabilities.

The group has an established control framework for the measurement of fair value, which includes formalised review protocols for the independent review and validation of fair values separate from the business unit entering into the transaction. The valuation methodologies, techniques and inputs applied to the fair-value measurement of the financial instruments have been applied in a manner consistent with that of the previous financial year.

Fair-valUe hierarChyThe financial instruments recognised at fair value have been categorised into the three input levels of the IFRS fair-value hierarchy as follows:

level 1: Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible at the measurement date.

level 2: Valuation techniques based (directly or indirectly) on market-observable inputs. Various factors influence the availability of observable inputs. These factors may vary from product to product and change over time. Factors include the depth of activity in the relevant market, the type of product, whether the product is new and not widely traded in the market, the maturity of market modelling and the nature of the transaction (bespoke or generic).

level 3: Valuation techniques based on significant inputs that are not observable. To the extent that a valuation is based on inputs that are not market-observable the determination of the fair value can be more subjective, depending on the significance of the unobservable inputs to the overall valuation. Unobservable inputs are determined on the basis of the best information available and may include reference to similar instruments, similar maturities, appropriate proxies or other analytical techniques.

All fair values disclosed below are recurring in nature.


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Unrealised gains or lossesThe unrealised gains or losses arising on instruments classified as level 3 include the following:

30 Jun 30 Jun 31 Dec 2017 2016 2016 (Reviewed) (Reviewed) (Audited) Rm Rm Rm

Private-equity gains (14) 153 257

sUmmary oF prinCipal valUation teChniQUes — level 2 instrUmentsThe following table sets out the group's principal valuation techniques used in determining the fair value of financial assets and financial liabilities classified as level 2 in the fair-value hierarchy:

assets valuation technique key inputs

Other short-term securities Discounted-cashflow model Discount ratesDerivative financial instruments Discounted-cashflow model Discount rates Black-Scholes model Risk-free rate and volatilities Multiple valuation techniques Valuation multiplesGovernment and other securities Discounted-cashflow model Discount ratesLoans and advances Discounted-cashflow model Interest rate curvesInvestment securities Discounted-cashflow model Money market rates and interest rates Adjusted net asset value Underlying price of market-traded instruments Dividend yield method Dividend growth ratesliabilities Derivative financial instruments Discounted-cashflow model Discount rates Black-Scholes model Risk-free rate and volatilities Multiple valuation techniques Valuation multiplesAmounts owed to depositors Discounted-cashflow model Discount ratesProvisions and other liabilities Discounted-cashflow model Discount ratesLong-term debt instruments Discounted-cashflow model Discount rates

transFers Between levels oF the Fair-valUe hierarChyIn terms of the group's policy, transfers of financial instruments between levels of the fair-value hierarchy are deemed to have occurred at the end of the reporting period.


Fin

an

Cia

l r

esU

lts

assets and liabilities not measured at fair value for which fair value is disclosedCertain financial instruments of the group are not carried at fair value, including those categorised as held to maturity, loans and receivables, financial liabilities at amortised cost. The calculation of the fair value of these financial instruments incorporates the group’s best estimate of the value at which these financial assets could be exchanged, or financial liabilities transferred, between market participants at the measurement date. The group’s estimate of what fair value is does not necessarily represent what it would be able to sell the asset for or transfer the respective financial liability for in an involuntary liquidation or distressed sale.

The fair values of these respective financial instruments at the reporting date detailed below are estimated only for the purpose of IFRS disclosure, as follows:

rmCarrying

value Fair value Level 1 Level 2 Level 3

30 June 2017 (reviewed) Financial assets 668 496 660 801 23 914 32 635 604 252

Other short-term securities 27 810 27 812 27 812 Government and other securities 29 033 28 737 23 914 4 823 Loans and advances 611 653 604 252 604 252

Financial liabilities 55 643 56 101 23 240 32 861 –

Long-term debt instruments 55 643 56 101 23 240 32 861

rmCarrying


30 June 2016 (reviewed) Financial assets 639 056 627 066 19 850 35 707 571 509

Other short-term securities 35 753 35 707 35 707 Government and other securities 20 369 19 850 19 850 Loans and advances 582 934 571 509 571 509

Financial liabilities 51 367 51 072 25 774 25 298 –Long-term debt instruments 51 367 51 072 25 774 25 298

rmCarrying


31 december 2016 (audited) Financial assets 657 716 648 545 21 828 33 128 593 589

Other short-term securities 33 184 33 128 33 128 Government and other securities 22 393 21 828 21 828 Loans and advances 602 139 593 589 593 589

Financial liabilities 51 761 48 880 20 432 28 448 –Long-term debt instruments 51 761 48 880 20 432 28 448

There have been no significant changes in the methodology used to estimate the fair value of the above instruments during the year.


loans and advanCes Loans and advances that are not recognised at fair value principally comprise variable-rate financial assets. The interest rates on these variable rate-financial assets are adjusted when the applicable benchmark interest rate changes.

Loans and advances are not actively traded in most markets and it is therefore not possible to determine the fair value of these loans and advances using observable market prices and market inputs. Due to the unique characteristics of the loans and advances portfolio and the fact that there have been no recent transactions involving the disposals of such loans and advances, there is no basis to determine a price that could be negotiated between market participants in an orderly transaction. The group is not currently in the position of a forced sale of such underlying loans and advances and it would therefore be inappropriate to value the loans and advances on a forced-sale basis.

For specifically impaired loans and advances the carrying value as determined after consideration of the group’s IAS 39 credit impairments is considered the best estimate of fair value.

The group has developed a methodology and model to determine the fair value of the gross exposures for the performing loans and advances measured at amortised cost. This model incorporates the use of average interest rates and projected monthly cashflows per product type. Future cashflows are discounted using interest rates at which similar loans would be granted to borrowers with similar credit ratings and maturities. Methodologies and models are updated on a continuous basis for changes in assumptions, forecasts and modelling techniques. Future forecasts of the group’s probability of default (PDs) and loss given defaults (LGDs) for periods 2018 to 2020 (2016: for periods 2017 to 2019) are based on the latest available internal data and is applied to the first three years’ projected cashflows. Thereafter, PDs and LGDs are gradually reverted to their long-run averages and are applied to the remaining projected cashflows. Inputs into the model include various assumptions utilised in the pricing of loans and advances. The determination of such inputs is highly subjective and therefore any change to one or more of the assumptions may result in a significant change in the determination of the fair value of loans and advances.

government and other seCUritiesThe fair value of government and other securities is determined based on available market prices (level 1) or discounted cashflow analysis (level 2), where an instrument is not quoted or the market is considered to be inactive.

other short-term seCUritiesThe fair value of other short-term securities is determined using a discounted cashflow analysis (level 2).

long-term deBt instrUmentsThe fair value of long-term debt instruments is determined based on available market prices (level 1) or discounted cashflow analysis (level 2) where an instrument is not quoted or the market is considered to be inactive.

amoUnts owed to depositorsThe amounts owed to depositors principally comprise of variable-rate liabilities. The carrying value of the amounts owed to depositors approximates fair value because the instruments reprice to current market rates at frequent intervals. In addition, a significant portion of the balance is callable or is short term in nature.

Cash and Cash eQUivalents, other assets, mandatory deposits with Central Banks and provisions and other liaBilitiesThe carrying values of cash and cash equivalents, other assets, mandatory deposits with central banks and provisions and other liabilities are considered a reasonable approximation of their respective fair values, as they are either short term in nature or are repriced to current market rates at frequent intervals.


Fin

an

Cia

l r

esU

lts

additional information

liquidity coverage ratio

Total unweighted

value1

Total weighted

value2

rm (average) (average)

total high-quality liquid assets 140 076 Cash outflows Retail deposits and deposits from small-business clients 164 224 16 424

Less stable deposits 164 224 16 424Unsecured wholesale funding 213 814 112 739

Operational deposits (all counterparties) and deposits in institutional networks of cooperative banks 99 917 28 726Non-operational deposits (all counterparties) 113 593 83 709Unsecured debt 304 304

Secured wholesale funding 25 529 32Additional requirements 77 103 10 480

Outflows related to derivative exposures and other collateral requirements 760 760Outflows related to loss of funding on debt products 64 64Credit and liquidity facilities 76 279 9 656

Other contingent funding obligations 177 853 8 954total cash outflows 658 523 148 629Cash inflows Secured lending (eg reverse repurchase agreements) 9 731 125Inflows from fully performing exposures 25 641 13 751Other cash inflows 3 103 3 103total cash inflows 38 475 16 979

Total adjusted

value

Total HQLA 140 076Total net cash outflows 131 650liquidity coverage ratio (%) 106,4%1 Unweighted values are calculated as outstanding balances maturing or callable within 30 days (for inflows and outflows). 2 Weighted values are calculated after the application of respective haircuts (for HQLA) or inflow and outflow rates (for inflows and outflows).

The figures above reflect the daily average over the quarter ended June 2017, based on regulatory submissions to SARB. This section on the liquidity coverage ratio has not been audited or reviewed by the group's auditors.


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