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Basel III Pillar 3 disclosure as at 30 September 2023
ABSA GROUP LIMITED ABSA BANK LIMITED
(Incorporated in the Republic of South Africa) (Incorporated in the Republic of South Africa)
(Registration number: 1986/003934/06) (Registration number: 1986/004794/06)
ISIN: ZAE000255915 ISIN: ZAE000079810
JSE share code: ABG JSE share code: ABSP
Bond code: ABGI Bond code: BIABS
(Absa Group or the Group) (Absa Bank or the Bank)
ABSA GROUP – BASEL III PILLAR 3 DISCLOSURE AS AT 30 SEPTEMBER 2023
This Pillar 3 disclosure contains the quantitative Pillar 3 disclosure requirements in respect of Absa Group and Absa Bank. The quarterly report provides
a view of the Group's regulatory capital and risk exposures, and it complies with:
• The Basel Committee on Banking Supervision (BCBS) revised Pillar 3 disclosure requirements (Pillar 3 standard).
• Regulation 43 of the Regulations relating to Banks (Regulations), issued in terms of the Banks Act, 1990 (Act No. 94 of 1990), where not superseded
by the revised Pillar 3 disclosure requirements.
1. Key prudential metrics and RWA
In line with regulatory and accounting requirements, the capital and leverage positions of the Group and the Bank in this document are reflected on a
regulatory basis (which requires unappropriated profits to be excluded).
The Group liquidity coverage ratio (LCR) reflects an aggregation of the Bank LCR and the LCR of the Absa Regional Operations (ARO). For this purpose,
a simple average of the relevant three month-end data points is used for ARO, noting that ARO LCR is capped at 100% per the minimum regulatory
requirements. For the Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
The summary table below provides key capital adequacy and liquidity information on a regulatory basis as at 30 September 2023.
1.1 KM1: Key metrics
Absa Group (1, 2)
a b c d e
30 September 30 June 31 March 31 December 30 September
2023 2023 2023 2022 2022
Available capital (Rm)
1 CET1 123 582 125 138 119 299 120 390 115 240
2 Tier 1 141 373 142 705 136 206 136 635 130 587
3 Total capital 159 205 158 388 159 247 158 719 153 444
RWA (Rm)
4 Total RWA 1 020 992 1 018 726 1 017 928 1 007 387 1 002 540
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 12.1 12.3 11.7 12.0 11.5
6 Tier 1 ratio 13.8 14.0 13.4 13.6 13.0
7 Total capital ratio 15.6 15.5 15.6 15.8 15.3
Additional CET1 buffer requirements as a percentage of RWA
(%)
8 Capital conservation buffer requirement 2.5 2.5 2.5 2.5 2.5
9 Countercyclical buffer requirement (3) - - - - -
10 Global systemically important banks (G-SIB) and/or 1.0 1.0 1.0 1.0 1.0
domestic systemically important banks (D-SIB) additional
requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + 3.5 3.5 3.5 3.5 3.5
row 9 + row 10)
12 CET1 available after meeting the bank's minimum capital 3.6 3.8 3.2 3.5 3.0
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 964 177 1 947 965 1 902 576 1 848 607 1 883 283
14 Basel III leverage ratio (%) (row 2 / row 13) 7.2 7.3 7.2 7.4 6.9
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 265 705 259 337 245 024 240 876 241 373
16 Total net cash outflow (Rm) 192 400 184 175 185 132 193 299 186 811
17 LCR (%) 138.1 140.8 132.4 124.6 129.2
NSFR
18 Total available stable funding (ASF) (Rm) 1 181 066 1 156 346 1 116 892 1 081 769(4) 1 058 319
19 Total required stable funding (RSF) (Rm) 997 896 980 161 969 803 954 359(4) 947 805
20 NSFR (%) 118.4 118.0 115.2 113.4(4) 111.7
Absa Bank (1)
a b c d e
30 September 30 June 31 March 31 December 30 September
2023 2023 2023 2022 2022
Available capital (Rm)
1 CET1 76 011 78 350 79 704 79 249 75 009
2 Tier 1 92 147 94 324 95 402 94 334 88 666
3 Total capital 106 192 106 235 114 701 112 835 108 002
RWA (Rm)
4 Total RWA 643 430 637 677 660 250 662 093 654 895
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.8 12.3 12.1 12.0 11.5
6 Tier 1 ratio 14.3 14.8 14.4 14.2 13.5
7 Total capital ratio 16.5 16.7 17.4 17.0 16.5
Additional CET1 buffer requirements as a percentage of RWA
(%)
8 Capital conservation buffer requirement 2.5 2.5 2.5 2.5 2.5
9 Countercyclical buffer requirement (3) - -
10 Global systemically important banks (G-SIB) and/or 1.0 1.0 1.0 1.0 1.0
domestic systemically important banks (D-SIB) additional
requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + 3.5 3.5 3.5 3.5 3.5
row 9 + row 10)
12 CET1 available after meeting the bank's minimum capital 3.3 3.8 3.6 3.5 3.0
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 618 848 1 599 001 1 578 254 1 543 179 1 558 417
14 Basel III leverage ratio (%) (row 2 / row 13) 5.7 5.9 6.0 6.1 5.7
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 234 755 227 997 215 111 208 117 212 724
16 Total net cash outflow (Rm) 161 451 154 992 157 519 161 347 160 215
17 LCR (%) 145.4 147.1 136.6 129.0 132.8
NSFR
18 Total available stable funding (ASF) (Rm) 959 933 936 587 917 129 895 875(4) 871 027
19 Total required stable funding (RSF) (Rm) 854 405 838 695 837 645 826 055(4) 814 313
20 NSFR (%) 112.4 111.7 109.5 108.5 107.0
1.2 OV1: Overview of RWA
Group Bank (5)
a b c a b c
30 30 30 30 30 30
September June September September June September
2023 2023 2023 2023 2023 2023
RWA RWA MRC (6) RWA RWA MRC(6)
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 750 133 742 612 93 766 465 944 458 138 58 243
2 Of which: standardised approach (SA) 270 058 269 402 33 757 1 349 281 169
3 Of which: foundation internal ratings-based - - - - - -
(FIRB) approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings-based (AIRB) 480 075 473 210 60 009 464 595 457 857 58 074
approach
6 CCR 16 899 17 878 2 112 15 652 16 051 1 957
7 Of which: standardised approach for CCR (SA- 16 899 17 878 2 112 15 652 16 051 1 957
CCR)
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 6 682 7 605 835 5 910 6 134 739
11 Equity positions under the simple risk weight 3 320 3 386 415 1 657 1 716 207
approach
12 Equity investments in funds – look-through approach 5 772 8 122 722 356 2 555 45
(7)
13 Equity investments in funds – mandate-based 1 176 - 147 1 176 - 147
approach (7)
14 Equity investments in funds – fall-back approach (7) 735 - 92 679 - 85
15 Settlement risk 1 456 1 478 182 1 389 1 397 174
16 Securitisation exposures in banking book 111 118 14 111 118 14
17 Of which: IRB ratings-based approach (SEC- - - - - - -
IRBA)
18 Of which: securitisation external ratings-based - - - - - -
approach (RBA) (SEC-ERBA), including internal
assessment approach (IAA)
19 Of which: securitisation SA (SEC-SA) 111 118 14 111 118 14
20 Traded market risk 37 234 44 209 4 654 27 440 31 067 3 430
21 Of which: SA 18 928 22 604 2 366 9 134 9 462 1 142
22 Of which: internal model approach (IMA) 18 306 21 605 2 288 18 306 21 605 2 288
23 Capital charge for switch between trading book and - - - - - -
banking book
24 Operational risk 119 424 119 424 14 928 68 751 68 751 8 594
Non-customer assets 27 426 25 650 3 428 17 075 15 891 2 134
25 Amounts below the thresholds for deduction (subject 28 834 26 454 3 604 16 053 14 622 2 007
to 250% risk weight)
26 Floor adjustment (after application of transitional 21 790 21 790 2 724 21 237 21 237 2 655
cap) (8)
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+ 1 020 992 1 018 726 127 623 643 430 637 677 80 431
25+26+non-customer assets)
1.3 CR8: RWA flow statements of credit risk exposures under IRB
a a
30 September 2023 30 June 2023
RWA amounts RWA amounts
Rm Rm
1 RWA as at end of previous quarter 473 210 502 252
2 Asset size 2 423 11 589
3 Asset quality 2 572 (25 304)
4 Model updates (19 800)
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements (61) 4 552
8 Other (9) 1 931 (79)
9 RWA as at end of reporting period 480 075 473 210
1.4 MR2: RWA flow statements of market risk exposures under IMA
a b c d e f
30 September 2023
Stressed Increment
value at al risk Credit risk
Value at risk charge mitigation
risk (VaR) (sVaR) (IRC) (CRM) Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 9 537 12 068 - - - 21 605
2 Movements in risk levels (811) (2 488) - - - (3 299)
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 8 726 9 580 - - - 18 306
a b c d e f
30 June 2023
VaR sVaR IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 11 080 9 622 - - - 20 702
2 Movements in risk levels (1 543) 2 446 - - - 903
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 9 537 12 068 - - - 21 605
2. Leverage
Consistent with the treatment in table KM1, the leverage position below is shown on a regulatory basis.
2.1 LR1: Summary comparison of accounting assets versus leverage ratio exposure measure
Absa Group
Group
30 September 30 June
2023 2023
Rm Rm
1 Total consolidated assets 1 908 819 1 898 340
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated (46 138) (46 698)
for accounting purposes but outside the scope of regulatory consolidation
3 Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting - -
framework but excluded from the leverage ratio exposure measure
4 Adjustments for derivative financial instruments (391) (5 393)
5 Adjustments for securities financing transactions (i.e. repos and similar secured lending) - -
6 Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet 118 846 118 296
exposures)
7 Other adjustments (16 959) (16 580)
8 Leverage ratio exposure measure 1 964 177 1 947 965
Absa Bank
Bank
30 September 30 June
2023 2023
Rm Rm
1 Total consolidated assets 1 548 282 1 532 383
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated - -
for accounting purposes but outside the scope of regulatory consolidation
3 Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting - -
framework but excluded from the leverage ratio exposure measure
4 Adjustments for derivative financial instruments (1 999) (6 480)
5 Adjustments for securities financing transactions (i.e. repos and similar secured lending) - -
6 Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet 88 539 88 689
exposures)
7 Other adjustments (15 974) (15 591)
8 Leverage ratio exposure measure 1 618 848 1 599 001
2.2 LR2: Leverage ratio common disclosure template
Group Bank
a b a b
30 September 30 June 30 September 30 June
2023 2023 2023 2023
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 723 503 1 696 572 1 409 181 1 381 424
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (16 959) (16 580) (15 974) (15 591)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of 1 706 544 1 679 992 1 393 207 1 365 833
rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where applicable 21 502 26 155 20 675 25 209
net of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all derivative 28 976 27 571 28 243 26 630
transactions
6 Gross-up for derivatives collateral provided where deducted from the balance - - - -
sheet assets pursuant to the operative accounting framework
7 (Deductions of receivable assets for cash variation margin provided in derivatives (2 113) (4 005) (2 113) (4 005)
transactions)
8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 13 904 11 973 13 904 11 973
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 62 269 61 694 60 709 59 807
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 76 518 87 983 76 394 84 672
accounting transactions
13 (Netted amounts of cash payables and cash receivables of gross SFT assets) - - - -
14 CCR exposure for SFT assets - - - -
15 Agent transaction exposures - - - -
16 Total securities financing transaction exposures (sum of rows 12 to 15) 76 518 87 983 76 394 84 672
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 434 160 433 135 364 783 363 870
18 (Adjustments for conversion to credit equivalent amounts) (315 314) (314 839) (276 244) (275 181)
19 Off-balance sheet items (sum of rows 17 and 18) 118 846 118 296 88 539 88 689
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 141 373 142 705 92 147 94 324
21 Total exposures (sum of lines 3, 11, 16 and 19) 1 964 177 1 947 965 1 618 848 1 599 001
Leverage ratio
22 Basel III leverage ratio 7.2 7.3 5.7 5.9
3. Liquidity
3.1 LIQ1: Liquidity coverage ratio (LCR)
a b a b
30 September 2023 30 June 2023
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group (10) Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 265 705 259 337
Cash outflows
2 Retail deposits and deposits from small business customers of which: 477 147 40 189 468 217 39 873
3 Stable deposits - - - -
4 Less stable deposits 477 147 40 189 468 217 39 873
5 Unsecured wholesale funding of which: 533 405 263 171 542 004 269 902
6 Operational deposits (all counterparties) and deposits in networks of 147 736 36 934 154 005 38 501
cooperative banks
7 Non-operational deposits (all counterparties) 378 717 219 285 377 570 220 972
8 Unsecured debt 6 952 6 952 10 429 10 429
9 Secured wholesale funding 857 998
10 Additional requirements of which: 354 132 44 740 333 250 42 620
11 Outflows related to derivative exposures and other collateral 17 922 17 922 17 831 17 831
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 336 210 26 818 315 419 24 789
14 Other contractual funding obligations 700 700 776 776
15 Other contingent funding obligations 239 160 10 266 248 214 10 576
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 359 923 364 745
Cash inflows
17 Secured lending (e.g., reverse repos) 42 146 11 855 48 847 19 146
18 Inflows from fully performing exposures 173 769 143 988 184 124 151 761
19 Other cash inflows 12 567 11 680 10 386 9 663
20 Total cash inflows (Sum of lines 17-19) 228 482 167 523 243 357 180 570
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 265 705 259 337
22 Total net cash outflows (Rm) 192 400 184 175
23 LCR (%) 138.1 140.8
a b a b
30 September 2023 30 June 2023
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Bank (11) Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 234 755 227 997
Cash outflows
2 Retail deposits and deposits from small business customers of which: 374 893 31 655 366 172 31 229
3 Stable deposits - - - -
4 Less stable deposits 374 893 31 655 366 172 31 229
5 Unsecured wholesale funding of which: 419 974 212 719 424 289 217 419
6 Operational deposits (all counterparties) and deposits in networks of 147 736 36 935 154 005 38 501
cooperative banks
7 Non-operational deposits (all counterparties) 265 393 168 939 260 705 169 339
8 Unsecured debt 6 845 6 845 9 579 9 579
9 Secured wholesale funding 857 998
10 Additional requirements of which: 322 741 39 358 299 282 37 090
11 Outflows related to derivative exposures and other collateral 15 122 15 122 15 079 15 079
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 307 619 24 236 284 203 22 011
14 Other contractual funding obligations 700 700 776 776
15 Other contingent funding obligations 205 856 8 881 215 005 9 166
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 294 170 296 678
Cash inflows
17 Secured lending (e.g. reverse repos) 42 147 11 854 48 847 19 146
18 Inflows from fully performing exposures 135 304 112 981 139 809 114 927
19 Other cash inflows 8 770 7 884 8 335 7 613
20 Total cash inflows (Sum of lines 17-19) 186 221 132 719 196 991 141 686
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 234 755 227 997
22 Total net cash outflows (Rm) 161 451 154 992
23 LCR (%) 145.4 147.1
Johannesburg
30 November 2023
Enquiries:
Alan Hartdegen
E-mail: Alan.Hartdegen@absa.africa
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited
Joint Sponsor:
Corporate and Investment Bank – a division of Absa Bank Limited
Notes:
(1) The fully loaded accounted ECL basis has been fully transitioned in.
(2) The numbers are excluding unappropriated profits.
(3) The countercyclical buffer in South Africa is currently zero.
(4) The December 2022 figures were revised to align with final regulatory submissions.
(5) Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates and offshore holdings.
(6) The 2023 minimum total regulatory capital adequacy requirement of 12.5% includes the capital conservation buffer, Pillar 2A which was reinstated at
1% and the D-SIB add-on but excludes the bank specific individual capital requirement (Pillar 2B add-on) as required by regulatory guidance.
(7) The approach used to calculate RWA for existing exposures was refined.
(8) Includes the operational risk floor.
(9) Other reflects RWA movements on non-performing loans due to differences in the definition of default between IFRS 9 impairment and regulatory
capital models.
(10) The Group LCR reflects an aggregation of the Bank LCR and the LCR of the Absa Regional Operations (ARO). For this purpose, a simple average
of the relevant three month-end data points is used for ARO, noting that ARO LCR is capped at 100% per the minimum regulatory requirements. For
the Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
(11) The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Date: 30-11-2023 10:21:00
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