RISK PROFILE DISCLOSURE Pillar 3 Capital Requirements Directive

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1 RISK PROFILE DISCLOSURE Pillar 3 Capital Requirements Directive Northern Trust Holdings Limited (incorporating Northern Trust Global Services Limited) June 2012

2 CONTENTS 1 Overview 1 2 Location and Frequency of Disclosure 1 3 Scope of Application 2 4 Risk Management 3 5 Capital Resources 6 6 Capital Adequacy 7 7 Remuneration 10 8 Contacts 12

3 1. OVERVIEW Northern Trust Global Services Limited ( NTGSL ) is authorised by the UK Financial Services Authority ( FSA ) to conduct banking activities. NTGSL is owned by Northern Trust Holdings Limited ( NTHL ), a holding company which does not undertake any activities other than owning NTGSL. NTGSL and NTHL, together the NTGSL Group or Group, are wholly owned subsidiaries of the Northern Trust Corporation ( NTC ). The NTGSL Group is subject to the Basel II framework as adopted in the FSA s rules and requirements. The three pillars of the framework are minimum capital requirements ( Pillar 1 ), the supervisory review process ( Pillar 2, or the ICAAP ) and market discipline ( Pillar 3 ). Accordingly, NTGSL must disclose information as set down in Chapter 11 of the FSA Prudential Sourcebook for Banks, Building Societies and Investment Firms ( BIPRU 11: Disclosure (Pillar 3) ). These disclosure requirements aim to encourage market discipline by allowing market participants to assess key pieces of information on risk exposures and the risk assessment process of a financial institution. In the UK financial marketplace, NTC, through its UK entities, is a significant financial services provider. NTC s overall business activities in the UK comprise global custody, FX trading, securities lending, asset management and fund administration services. For global custody, the majority of the UK custody business is carried out by the London Branch of NTC. However, NTGSL has been established to provide custody and other banking services to those clients which are European Union ( EU ) domiciled, as well as fund administration services to regulated fund structures. The Pillar 3 disclosures provided in this document are made on the basis of the NTGSL Group based on 2011 year-end accounting data and have been made in accordance with the requirements of BIPRU 11. As required by BIPRU 11, certain disclosures have also been made in respect of NTGSL on a stand-alone basis given it is a significant subsidiary of the Group. The disclosures are reported in Euros, the reporting currency of the Group for regulatory capital purposes. In preparing these disclosures, the Group has taken into account that BIPRU 11 allows a firm to omit one or more of the required disclosures if the relevant information is immaterial, or where it is regarded as proprietary or confidential. The disclosures provided herein do not constitute financial statements of NTC and should not be relied on in making investment decisions in relation to NTC. These disclosures are not subject to external audit. 2. LOCATION AND FREQUENCY OF DISCLOSURE The disclosure is updated at a minimum on an annual basis and published within the Financial Information section of the Investor Relations webpage of NTC s website ( as soon as is practicable after the publication of NTGSL s annual reports. 1

4 3. SCOPE OF APPLICATION NTGSL is regulated by the FSA as a bank. It is a wholly owned subsidiary of NTHL, a UK incorporated company that is itself a wholly owned subsidiary of The Northern Trust Company ( TNTC ). NTC is the ultimate owner of TNTC and its subsidiaries. NTGSL operates branches in Luxembourg, the Netherlands and Sweden and a representative office in Abu Dhabi. NTGSL reports to the FSA on its regulatory capital position on a solo basis and the NTGSL Group reports on its regulatory capital position on a consolidated basis. NTHL s sole activity is to act as the holding company of NTGSL and as such the Group s only operations are those of NTGSL. NTGSL has undertaken the following to comply with the Basel II framework as it applies under FSA rules: - Pillar 1 - the Group has adopted the standardised approach to the calculation of the capital requirement for all Pillar 1 risks and capital requirement calculations. NTGSL s capital position is calculated and reported on a daily basis to business management; - Pillar 2 - the Group completes an Internal Capital Adequacy Assessment Process ( ICAAP ) at least annually, with the results reviewed and approved by its Board of Directors. The relevant documentation is also submitted to the FSA for review; and - Pillar 3 - this Pillar 3 disclosure document has been prepared in order to comply with regulatory requirements to provide information on the Group s risk management objectives and policies, its capital position, its approach to assessing the adequacy of its capital and its exposure to its material risks. Certain disclosures are also made for NTGSL on a stand-alone basis as it is a significant subsidiary of the Group. 2

5 4. RISK MANAGEMENT 4.1 Overview Risk management is the responsibility of the NTGSL and NTHL Boards. This is conducted within the overall global risk framework of NTC. Policies and practices are validated and locally approved by the Boards and the local risk organisation is structured to provide the Boards with the necessary risk reporting and oversight to satisfy their responsibilities. Consistent with NTC s overall risk appetite, the Group s attitude towards risk is conservative with a long term objective of stability. The primary inherent risks faced by the Group are credit risk, operational risk and market risk (namely foreign exchange risk). For all categories of risk except market risk, the risk profile of the Group aligns with that of its sole operating subsidiary, NTGSL. NTGSL has a low appetite for credit risk which it has successfully managed over its history, setting prudent limits on its loan book and counterparty selection. A sophisticated and well resourced credit risk framework and management process ensures a strong execution to this objective. In terms of operational risk, NTGSL runs a transaction processing and accounting infrastructure. NTGSL has made significant investment in its technology, process design and people to mitigate the inherent operational risk. The operational risk framework is well structured and includes monitoring programs, change management governance and strong loss assessment disciplines to manage the operational risk to an acceptable low level. In addition it should be noted that the nature and conduct of business for NTGSL leads to low exposure to market and liquidity risk. The Group was previously exposed to additional foreign exchange risk arising from the difference between the currency denomination of NTHL s capital base (US dollars) and the investment it has made in NTGSL (Euros). On 1 January 2012 NTHL s ordinary share capital was redenominated from US dollars to Euros, which reduces the level of the mismatch going forward. The following sections outline the key risks faced by NTGSL, the sole operating subsidiary of the Group. 4.2 Credit Risk For NTGSL, inherent credit risk comes from multiple activities; money market investment of clients cash balances, client overdraft facilities, its subcustodian network and securities lending. There are a series of credit approval and oversight committees within the risk framework. They are overseen by the NTC Credit Policy Committee, which has established corporate credit policies that NTGSL applies. The policies set out requirements for the creation of credit reserves and risk mitigation, inclusive of the type and nature of collateral accepted (also considering wrong way risk). All money market ( MM ) activity is subject to counterparty limits pre-approved by the Counterparty Risk Management Committee. Systems are used to check execution exposure, with independent daily reporting by Financial Control and Credit Risk Teams. Country Risk limits are also set and monitored daily. In addition to the governance outlined it is worth noting that the nature of the MM trading activity mitigates the residual risk further. All trading is in plain vanilla instruments with short term maturity and is in the interbank market, which does reduce the overall credit risk exposure. During 2011 NTGSL and TNTC entered into a risk participation agreement, whereby TNTC agreed to participate in the credit risk arising in NTGSL s credit portfolio. In addition a pledge agreement was executed under which TNTC pledges collateral under NTGSL s control to offset exposures that it has to TNTC. This collateral currently takes the form of high quality debt securities issued by third party financial institutions, as governed by NTGSL s Credit Policy. The value of this collateral is recalculated by NTGSL on a daily basis. Procedures have been established for the review and acceptance of collateral by NTGSL in order to reduce wrong way and other risks. Concentrations within credit and collateral portfolios are managed in accordance with NTGSL's Credit Policy and overall Enterprise Risk Framework. Ongoing assessments of concentration risk are performed as part of the Pillar 2 risk assessment process. 3

6 The Credit Approval Committee sets policy and procedures for the client loan approval process. Client overdrafts (and fee receivables) are generally secured by a lien over the respective clients assets held in custody. Client exposures are monitored daily by the Credit Risk Team. There is also credit exposure with the subcustodians. Client securities are held at the subcustodian in a contractual fiduciary arrangement in either a) the name of the client; or b) the nominee name of the subcustodian or that of NTGSL. As part of NTGSL s initial establishment of a subcustodian arrangement in a market, and in subsequent annual due diligence reviews which include obtaining supporting legal opinions, NTGSL ensures that clients' assets are protected to the extent possible. However cash balances are not subject to similar protection. As part of the daily process of cash management, material cash balances are generally swept from the subcustodian network and invested by NTGSL into the interbank market. Consequently, overnight the exposure from a subcustodian default is low. However intra-day the risk could be more significant. NTGSL s subcustodian network is monitored by a Subcustodian Network Oversight Committee which reports to the Counterparty Risk Committee. Credit rating and general financial stability of the subcustodian network is regularly reviewed and the NTC Credit Policy Committee sets the acceptable credit risk to be taken. For securities lending, the inherent risk arises from the risk of stock borrower failure. The standard market practice of collateralisation mitigates this risk significantly. The daily collateralisation positions are monitored and reported daily by the Securities Lending Operational Control Team. Overall, the NTGSL inherent credit risk profile from the activities noted above is significantly mitigated by the control framework outlined above. In addition, the universe of counterparties used by NTGSL is, with very few exceptions, comprised of highly credit worthy banks and financial institutions. The experience of the recent market turmoil has resulted in a position of far greater clarity and assurance on the stability of these banks and financial institutions. The residual risk profile is within the credit risk appetite. The Board of NTGSL views the effective risk management of its credit risk and large exposures as an essential component of controlling the risks of its business. NTGSL has adopted NTC s Credit Policy and receives regular reporting from the Credit Risk Team to enable it to exercise its oversight and governance. As at 31 December 2011 none of NTGSL s credit exposures were past due or impaired. Specifically, there were no non performing credits or specific reserves held for NTGSL. 4.3 Operational Risk For NTGSL, Transactional Risk, Technology Risk, Business Continuity and Product Risk are the key components of inherent operational risk. Transactional Risk is the risk that a transaction is altered, delayed or not properly executed. Examples would include losses due to clerical error, procedural error or system technology failures. This includes fraudulent acts. Line managers have the primary responsibility for managing the inherent risks of all activities under their control. As part of the NTC s overall risk framework, various risk management techniques are employed to identify the current risk profile (including a risk and control business self assessment programme and operational loss event reporting) and a reconciliation and exception management policy is in place which enables potential risk to be identified in a timely manner. The global Technology Risk Management group identifies and analyses current day to day technology risks and the longer term strategic risks. This covers system security, system availability and performance and system development and implementation. Business Continuity risk is managed by a dedicated Global Business Continuity and Recovery Services group ( GBCRS ). GBCRS sets the standards and manages the testing of incident response organisation, disaster recovery and business continuity plans. Product and Process risk is the risk associated with the introduction of new processes and products arising from strategic development or client-led service demand. The Corporate Operational Risk teams undertake a Product/Process Risk Management Program which reviews all significant new products and processes. Findings are reported to the Product and Process Risk Committee, which will opine as to whether new products or processes should be adopted. This Committee reports to the Operational Risk Committee. 4

7 Overall NTGSL s inherent operational risk is significantly mitigated by the operational risk framework as outlined above. The residual operational risk profile is within the risk appetite. The NTGSL Board receives regular reporting on operational risk to cover all aspects of the framework to ensure it can exercise the necessary oversight for operational risk. 4.4 Market and Liquidity Risk Market Risk - Trading Overall market risk is low both inherently and at a residual risk level for NTGSL given that it does not run a trading book. In terms of foreign exchange risk, NTGSL does not run a Foreign Exchange trading book within the meaning of the FSA rule BIPRU 1.2. From a balance sheet perspective, the key capital and reserve funds are invested in the base currency and therefore do not present market risk Market Risk - Interest Rate Risk For interest rate risk, NTGSL s handling of client deposits is the key consideration. Net interest income is earned by a combination of spreads against market rates and some moderate gapping of interest rate maturities. The interest rate risk is mitigated by the relative volume of sticky deposits which provide a stable base for interest rate gapping. Notwithstanding the risk assessment, the NTGSL Board receives regular reporting on the balance sheet activities Liquidity Risk The global custody cash management activities could create inherent liquidity risk from the need to match the daily cash demands of clients. However NTGSL mitigates this risk by investing in a highly liquid portfolio of money market deposits with a high proportion with less than 1 week maturity. Responsibility for the management of liquidity for the NTGSL is centralised within the TNTC London Branch, which would be the provider of liquidity to the respective entities in the unlikely event that the need should arise. TNTC London Branch provides an unlimited overdraft facility to NTGSL. In the last two years this has not been used. Liquidity policy for NTC overall is set by the Asset and Liability Policy Committee, as is the use of the overdraft facility. The Asset and Liability Policy has been approved by the Board of NTGSL. Under the new FSA liquidity regime (specified in the FSA Policy 09/16 Strengthening Liquidity Standards ), NTGSL has received approval to rely upon the significant liquidity resources of TNTC as necessary. TNTC has articulated this support in the form of a formal liquidity support letter, as well as putting in place an unsecured, revolving, multi-currency committed loan facility, which NTGSL may draw upon as needed. In addition, NTGSL has conducted an Individual Liquidity Assessment (ILAA), as required by the FSA liquidity rules. An appropriate liquidity buffer has been put in place, in the form of cash held in a Central Bank reserve account, to meet the individual liquidity guidance set by the FSA. 5

8 5. CAPITAL RESOURCES The Capital Resources of the Group and NTGSL as at 31 December 2011 are presented below. Group NTGSL All figures in Euro millions Tier 1 Capital Called up share capital Retained earnings and other reserves Less: Deductions from Tier 1 Capital Total Tier 1 Capital net of deductions Tier 2 Capital Perpetual subordinated debt Total Tier 2 Capital Less: Deductions from Tier 1 and Tier 2 capital Total Capital Resources The Group has Tier 1 capital of US$180m made up of share capital, audited retained earnings and reserves, including foreign currency translation reserve. The group also has Upper Tier 2 capital consisting of US $100m of subordinated debt. This has perpetual maturity at a rate of US dollar Libor plus 200 basis points. The terms of the debt are such that no interest will be payable, without notice given to the FSA at least one month in advance, when the Borrower s Capital Resources are less than 120% of its Capital Resources Requirement as defined in GENPRU. NTGSL has Tier 1 capital of Euro 177m made up of share capital contributed by NTHL, audited retained reserves and Upper Tier 2 capital consisting of Euro 41m of subordinated debt issued to NTHL. This subordinated debt has been issued on similar terms to that of the NTHL instrument described above. Other than restrictions due to regulatory capital requirements and corporate law restrictions on the reduction, redemption and purchase of share capital, there are no current or foreseen material, practical or legal impediments to the prompt transfer of capital resource between the Group and NTC. 6

9 6. CAPITAL ADEQUACY 6.1 Overview The Boards of NTGSL and NTHL review the capital position of NTGSL and the Group respectively on a regular basis to ensure it is sufficient to meet their strategic goals and risk profile. NTGSL s Pillar 1 capital requirements are calculated on a daily basis as outlined below and the Group s ongoing ICAAP process provides further assessment for any further risk capital under Pillar 2. The Group is sufficiently capitalised to meet its regulatory capital requirements under Pillar 1 and Pillar 2. NTGSL is also sufficiently capitalised on a stand-alone basis to meet its regulatory capital requirements under Pillar 1 and Pillar Pillar 1 Capital Requirement NTGSL calculates its minimum capital requirements in accordance with the requirements of the FSA General Prudential Sourcebook (GENPRU ), that being the higher of the following: 1. Euro 5m, being the base case capital resources requirement as per GENPRU ; and 2. the sum of the credit risk capital requirement, market risk capital requirement and operational risk capital requirement. The Group calculates its consolidated capital requirement on a similar basis. The Group uses the standardised approaches to calculate credit and market risk capital requirements, and the basic indicator approach to calculate operational risk capital requirements. The investment by NTHL in NTGSL gives rise to FX translation risk that results in additional market risk capital requirement for the Group. The Pillar 1 capital requirements of the Group and NTGSL as at 31 December 2011 are provided in the following table: Group NTGSL All figures in Euro millions Total Exposures 2,159 1,842 2,159 1,842 Total Risk Weighted Assets Credit Risk Market Risk Operational Risk Pillar 1 Capital Requirement Tier 1 Ratio % (Tier 1 Capital / RWA) 25% 20% 48% 36% Total Capital Ratio % (Total Capital / RWA) 39% 31% 60% 45% 6.3 Credit Risk Capital Requirement All credit exposures arise as a result of NTGSL s operations. In calculating its credit risk capital requirement, NTGSL uses (where available) the credit ratings assigned to counterparties by one or more eligible ratings agencies across all classes of exposure. 7

10 A breakdown of NTGSL s credit risk exposures by asset class, geography and maturity as at 31 December 2011 is provided in the following tables: Credit Risk by Exposure Class Exposure Exposure RWA Exposure RWA All figures in Euro millions (Gross) (Net) Central governments or central banks Institutions 1,552 1, , Corporates Total 2,370 2, , Credit Risk by Geographic Region All figures in Euro millions United Kingdom European Union 1, United States Other Total 2,159 1,842 Credit Risk by Maturity 2011 All figures in Euro millions Demand Less than 8 days to 8 days 1 month Undated Total Central governments or central banks Institutions 1, ,341 Corporates Total 1, , Central governments or central banks Institutions 346 1, ,799 Corporates Total 359 1, ,842 8

11 6.4 The ICAAP The Group undertakes an ICAAP as required by BIPRU 2. The ICAAP considers the adequacy of the Group s Capital Resources to cover Pillar 1 risks as well as considering other risks not captured within this Pillar 1 assessment. The adequacy of NTGSL s capital resources on a stand-alone basis is also assessed. These assessments are supported by scenario analysis and stress testing. The ICAAP also provides detail on the risk management framework and a risk assessment of all risk categories. The ICAAP has taken key input from NTC s risk professionals, business management and the finance group. For each risk category the inherent risk profile has been documented, along with the risk mitigation practices in place to derive an overall residual risk profile. For the material risks facing the Group, scenario and stress testing has been used to evaluate the potential capital demands on the Group and NTGSL as a stand-alone entity. Business management and the Board have provided input to the scenarios and stress testing process to ensure all appropriate information and experience is brought to this evaluation exercise. The ICAAP has identified the need for the Group to hold capital in addition to its Pillar 1 requirement; however this additional requirement is adequately covered by its existing Capital Resources. The ICAAP is an ongoing process. Scenario and stress testing is revisited at least twice per annum and more frequently should material events (external and/or internal) warrant a re-assessment. The whole ICAAP document is formally reviewed by the NTHL and NTGSL Boards on an annual basis. The ICAAP has been prepared in accordance with FSA guidance and has been submitted to the FSA. 9

12 7. REMUNERATION 7.1 Qualitative Disclosures The Compensation and Benefits Committee of the NTC Board ("CBC ) has primary responsibility for overseeing remuneration. The CBC consists of independent non-executive directors and takes advice from external consultants in all areas of compensation. A UK based Executive Sponsor Group, consisting of the EMEA Head of Human Resources, EMEA Head of Risk Management and EMEA CEO, has been established in 2011 to monitor and implement the EMEA regulatory compensation requirements. This group provides a report and recommendations to the CBC. Northern Trust s Total Compensation Policy applies to all partners world-wide. An addendum specifically related to EU requirements has been added for all partners in the UK, Luxembourg, Sweden and the Netherlands. "Senior Managers" have been defined in 2011 as those employees who are registered with the FSA as Control Functions and/or members of governing bodies and/or heads of significant business groups. Other Risk Takers are defined as those teams and individuals attached to a function that could have the ability to impact the risk profile of the company, however these all operate within appropriate governance structures and under delegated authorised limits from Senior Managers. Remuneration design and structure at NTC focuses on all elements of total compensation and differentiation to avoid entitlement and to develop a high performance culture. In addition to fixed remuneration, NTC offers variable compensation which includes cash incentives and equity awards where appropriate. CBC reviews the remuneration policy on an annual basis. Risk and Compliance employees have incentive awards funded from the Corporate Risk & Compliance pool and are not impacted by the business funding. Annual review processes for all partners include performance expectations related to the monitoring and mitigation of risk. In completing the annual performance evaluation and compensation planning, managers receive information on how to incorporate appropriate performance expectations relative to the management of risk into the review process. As part of the annual salary reviews and bonus process managers recommend specific total compensation activities reflecting their discretionary assessment of specific objective and subjective factors including performance against risk expectations. The global Head of Corporate Risk Management ( CRM ) participates in funding discussions that inform the recommendation to the CBC of corporate pool funding level as well as to the Chairman/CEO for the Business Unit allocation. CRM has developed a process to track and consolidate risk events for the plan year and this information is provided to Business Unit leaders and managers for incorporation in performance review and throughout the plan year. The global Head of CRM participates in quarterly discussions with Heads of Finance and Human Resources regarding the financial performance as well as consideration of risk factors such as credit loss reserves and operational losses. Once the cash incentive allocation to Business Units has been determined, the Business Unit President reviews financial performance and any risk factors to determine allocation of the cash incentive pool. The cash incentive pool funding is a discretionary pool amount set by the CBC. The funding level is based on several factors including a defined range percentage of pre-tax income, performance against profit plan and affordability. When choosing appropriate measures for incentive plans, these goals are aligned with those of the business. As these business and financial goals are achieved, partners are rewarded accordingly to reinforce the value of their contribution. To determine an individual s pay and incentive allocation, mangers will take into consideration discretionary assessment of specific objective and subjective factors such as: - corporate and BU performance; - prior and expected individual performance and long term impact; and - teamwork and individual contributions. Performance factors can result in no increase to base pay and/or a zero cash incentive award for a specific performance period. 10

13 Deferral and vesting of variable remuneration in accordance with the FSA Remuneration Code was implemented for the 2011 performance period. The Bank's policy and criteria for adjusting deferred remuneration before vesting was determined and implemented for the 2011 performance period. Total variable remuneration consists of four components: - Cash incentive plan for cash bonuses. All regular partners within NTC are eligible for an incentive payment subject to performance; - Short term Restricted Stock Unit ( RSU ) awards that vest immediately and retained by the company for six months; - Long term equity awards. Equity is typically awarded in the form of RSUs and stock options. The purpose of the equity awards is to link current and future business leaders to overall long term performance of the organisation. Long term equity awards typically vest over four years*; and - Long term cash award vesting over three years*. * In accordance with FSA Remuneration Code requirements, deferred awards are subject to Performance Adjustment consideration at time of vesting. 7.2 Quantitative Disclosures The EMEA Executive Sponsor Group was established in 2011 and met twice during that year. Remuneration of this group is incorporated in the table below for Senior Managers and Other Risk Takers. The CBC met 5 times during The directors who act as members of the CBC are also members of other committees of the NTC Board and as such the remuneration they receive relates to their full duties and not just the CBC duties. Total remuneration paid to the CBC members for 2011 was 0.9m in a combination of stock and cash. Full details of these awards are available in the 2012 NTC Proxy Statement. The disclosures relate to NTGSL Senior Management and Other Risk Takers only. There were 20 Code Staff categorised as Senior Management and other Code Staff. Aggregate remuneration expenditure in respect of Code Staff was as follows. Fixed/variable remuneration Fixed remuneration consists of base salaries and benefits. Variable remuneration consists of annual bonus, deferred bonus payable in shares and long-term incentive awards in cash and shares. Senior Management and other Code Staff Number of Code Staff Fixed remuneration ( m) Variable remuneration ( m) In addition to the NTGSL-only employees, information above includes remuneration for 9 employees whose responsibilities cover both NTGSL and NTGIL 11

14 8. CONTACTS Should you have any queries please contact: Allan Harrison Finance Department /

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