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Absa Group – Basel III Pillar 3 Disclosure as at 31 March 2024
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 31 MARCH 2024
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.
1.1 KM1: Key metrics
The summary tables to follow provide key capital adequacy and liquidity information on a regulatory basis as at 31 March 2024.
Common equity tier 1 (CET1) capital increased during the quarter mainly due to movements in foreign currency movements attributable to the Group
and minority shareholders equity in the ARO entities combined with an increase in the share-based payment reserve.
RWA increase was primarily attributed to higher credit risk and equity risk which was marginally offset by a reduction in market risk and threshold risk.
Leverage exposure increase was mainly driven by an increase in on-balance sheet exposure, combined with marginal increase in off-balance sheet
items. This was offset by a decrease in derivatives exposure quarter-on.
The net stable funding ratio (NSFR) decrease was mainly attributable to the five-year phase-out of the national discretion.
The Group continued to lengthen and diversify the funding base, while optimizing funding costs, to support asset growth, other strategic initiatives
and maintain the strong NSFR.
The liquidity risk position remained healthy and key liquidity metrics were within risk appetite and above the minimum regulatory requirements.
Absa Group (1, 2)
a b c d e
31 30
31 March 30 June 31 March
December September
2024 2023 2023
2023 (3) 2023
Available capital (Rm)
1 CET1 129 841 127 914 123 582 125 138 119 299
2 Tier 1 148 970 146 549 141 373 142 705 136 206
3 Total capital 165 306 162 529 159 205 158 388 159 247
RWA (Rm)
4 Total RWA 1 080 525 1 058 380 1 020 992 1 018 726 1 017 928
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 12.0 12.1 12.1 12.3 11.7
6 Tier 1 ratio 13.8 13.8 13.8 14.0 13.4
7 Total capital ratio 15.3 15.4 15.6 15.5 15.6
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 (4) - - - - -
10 Global systemically important banks (G-SIB) and/or domestic 1.0 1.0 1.0 1.0 1.0
systemically important banks (D-SIB) additional requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + row 3.5 3.5 3.5 3.5 3.5
9 + row 10)
12 CET1 available after meeting the bank's minimum capital 3.5 3.6 3.6 3.8 3.2
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 2 001 360 1 955 432 1 964 177 1 947 965 1 902 576
14 Basel III leverage ratio (%) (row 2 / row 13) 7.4 7.5 7.2 7.3 7.2
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 259 304 257 309 265 705 259 337 245 024
16 Total net cash outflow (Rm) 209 283 207 665 192 400 184 175 185 132
17 LCR (%) 123.9 123.9 138.1 140.8 132.4
NSFR
18 Total available stable funding (ASF) (Rm) 1 211 706 1 191 407 1 181 066 1 156 346 1 116 892
19 Total required stable funding (RSF) (Rm) 1 034 357 1 008 962 997 896 980 161 969 803
20 NSFR (%) 117.1 118.1 118.4 118.0 115.2
Absa Bank (1, 2, 5)
a b c d e
31 30
31 March 30 June 31 March
December September
2024 2023 2023
2023 (3) 2023
Available capital (Rm)
1 CET1 79 064 79 019 76 011 78 350 79 704
2 Tier 1 96 240 95 797 92 147 94 324 95 402
3 Total capital 108 497 108 034 106 192 106 235 114 701
RWA (Rm)
4 Total RWA 687 881 683 018 643 430 637 677 660 250
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.5 11.6 11.8 12.3 12.1
6 Tier 1 ratio 14.0 14.0 14.3 14.8 14.4
7 Total capital ratio 15.8 15.8 16.5 16.7 17.4
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 (4) - -
10 Global systemically important banks (G-SIB) and/or domestic 1.0 1.0 1.0 1.0 1.0
systemically important banks (D-SIB) additional requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + row 3.5 3.5 3.5 3.5 3.5
9 + row 10)
12 CET1 available after meeting the bank's minimum capital 3.0 3.1 3.3 3.8 3.6
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 645 860 1 614 778 1 618 848 1 599 001 1 578 254
14 Basel III leverage ratio (%) (row 2 / row 13) 5.9 5.9 5.7 5.9 6.0
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 231 637 229 944 234 755 227 997 215 111
16 Total net cash outflow (Rm) 181 616 180 301 161 451 154 992 157 519
17 LCR (%) 127.5 127.5 145.4 147.1 136.6
NSFR
18 Total available stable funding (ASF) (Rm) 982 999 973 368 959 933 936 587 917 129
19 Total required stable funding (RSF) (Rm) 886 261 869 787 854 405 838 695 837 645
20 NSFR (%) 110.9 111.9 112.4 111.7 109.5
1.2 OV1: Overview of RWA
Group Bank (5)
a b c a b c
31
31 March 31 December 31 March 31 March December 31 March
2024 2023 2024 2024 2023 2024
RWA RWA (3) MRC (6) RWA RWA (3) MRC (6)
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 792 953 769 714 99 119 498 962 491 033 62 371
2 Of which: standardised approach (SA) 280 779 264 426 35 097 966 1 078 121
3 Of which: foundation internal ratings based (FIRB) - - - - - -
approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings based (AIRB) 512 174 505 288 64 022 497 996 489 955 62 250
approach
6 CCR 18 969 19 268 2 371 16 651 17 742 2 081
7 Of which: standardised approach for CCR (SA- 18 969 19 268 2 371 16 651 17 742 2 081
CCR)
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 8 834 9 679 1 104 7 005 8 187 876
11 Equity positions under the simple risk weight 3 388 3 409 424 1 653 1 725 207
approach
12 Equity investments in funds – look-through approach 6 235 6 166 779 349 376 44
13 Equity investments in funds – mandate-based 2 188 1 462 274 2 188 1 462 274
approach3
14 Equity investments in funds – fall-back approach 730 633 91 526 526 66
15 Settlement risk 1 717 1 846 215 1 654 1 781 207
16 Securitisation exposures in banking book 119 122 15 119 122 15
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) 119 122 15 119 122 15
20 Traded market risk 44 524 45 215 5 566 34 963 36 669 4 371
21 Of which: SA 17 431 18 611 2 179 7 869 10 065 984
22 Of which: internal model approach (IMA) 27 093 26 604 3 387 27 094 26 604 3 387
23 Capital charge for switch between trading book and - - - - - -
banking book
24 Operational risk 125 976 125 976 15 747 74 609 74 609 9 326
Non-customer assets 30 411 30 287 3 801 17 897 17 601 2 237
25 Amounts below the thresholds for deduction (subject 26 020 26 141 3 253 13 586 13 466 1 698
to 250% risk weight)
26 Floor adjustment (after application of transitional cap) 18 461 18 462 2 308 17 719 17 719 2 215
(7)
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+ 1 080 525 1 058 380 135 067 687 881 683 018 85 988
25+26+non-customer assets)
1.3 CR8: RWA flow statements of credit risk exposures under IRB
a a
31 March 2024 31 December 2023
RWA amounts RWA amounts (3)
Rm Rm
1 RWA as at end of previous quarter 505 288 480 075
2 Asset size 96 15 704
3 Asset quality 5 882 5 705
4 Model updates - 53
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements 1 370 (940)
8 Other (8) (462) 4 691
9 RWA as at end of reporting period 512 174 505 288
The increase in credit risk RWA over the quarter was mainly due to changes in asset quality as well as from foreign exchange (FX) movements
resulting from South African rand depreciation. There was limited impact on RWA from asset growth due to offsetting movements in exposure across
different asset classes. The net decrease in RWA for non-performing loans resulted from higher impairments.
1.4 MR2: RWA flow statements of market risk exposures under IMA
a b c d e f
31 March 2024
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 13 499 13 105 - - - 26 604
2 Movements in risk levels (415) 904 - - - 489
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 13 084 14 009 - - - 27 093
a b c d e f
31 December 2023(3)
VaR sVaR IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 8 726 9 580 - - - 18 306
2 Movements in risk levels 4 773 3 525 - - - 8 298
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 13 499 13 105 - - - 26 604
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
Group
31 March 31 December
2024 2023 (3)
Rm Rm
1 Total consolidated assets 1 923 315 1 874 876
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated (36 431) (34 536)
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 6 894 8 230
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 123 756 122 241
exposures)
7 Other adjustments (16 174) (15 379)
8 Leverage ratio exposure measure 2 001 360 1 955 432
Bank (5)
31 March 31 December
2024 2023 (3)
Rm Rm
1 Total consolidated assets 1 563 961 1 530 207
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 5 395 6 990
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 92 087 91 699
exposures)
7 Other adjustments (15 583) (14 118)
8 Leverage ratio exposure measure 1 645 860 1 614 778
2.2 LR2: Leverage ratio common disclosure template
Group Bank (5)
a b a b
31 March 31 December 31 March 31 December
2024 2023 (3) 2024 2023 (3)
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 755 155 1 704 916 1 433 074 1 397 117
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (16 174) (15 379) (15 583) (14 118)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of 1 738 981 1 689 537 1 417 491 1 382 999
rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where applicable net 15 676 19 884 14 868 19 355
of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all derivative 33 355 34 538 32 241 33 671
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 (2 673) (1 263) (2 673) (1 263)
transactions)
8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 13 595 11 963 13 595 11 963
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 59 953 65 122 58 031 63 726
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 78 670 78 532 78 251 76 354
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) 78 670 78 532 78 251 76 354
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 466 064 462 210 391 713 392 668
18 (Adjustments for conversion to credit equivalent amounts) (342 308) (339 969) (299 626) (300 969)
19 Off-balance sheet items (sum of rows 17 and 18) 123 756 122 241 92 087 91 699
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 148 970 146 549 96 240 95 797
21 Total exposures (sum of lines 3, 11, 16 and 19) 2 001 360 1 955 432 1 645 860 1 614 778
Leverage ratio
22 Basel III leverage ratio 7.4 7.5 5.9 5.9
3. Liquidity
3.1 LIQ1: Liquidity coverage ratio (LCR)
a b a b
31 Mach 2024 31 December 2023 (3)
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group (9) Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 259 304 257 309
Cash outflows
2 Retail deposits and deposits from small business customers of which: 488 601 41 440 485 799 40 837
3 Stable deposits - - - -
4 Less stable deposits 488 601 41 440 485 799 40 837
5 Unsecured wholesale funding of which: 577 483 278 523 543 079 270 722
6 Operational deposits (all counterparties) and deposits in networks of 162 077 40 520 143 100 35 775
cooperative banks
7 Non-operational deposits (all counterparties) 405 085 227 682 391 572 226 540
8 Unsecured debt 10 321 10 321 8 407 8 407
9 Secured wholesale funding 2 323 1 058
10 Additional requirements of which: 388 935 42 947 367 699 42 799
11 Outflows related to derivative exposures and other collateral 15 621 15 621 16 185 16 185
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 373 314 27 326 351 514 26 614
14 Other contractual funding obligations 289 289 - -
15 Other contingent funding obligations 247 725 10 367 240 189 10 234
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 375 889 365 650
Cash inflows
17 Secured lending (e.g., reverse repos) 56 260 13 861 48 348 8 950
18 Inflows from fully performing exposures 170 977 139 637 166 246 135 181
19 Other cash inflows 13 932 13 108 15 271 13 854
20 Total cash inflows (Sum of lines 17-19) 241 169 166 606 229 865 157 985
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 259 304 257 309
22 Total net cash outflows (Rm) 209 283 207 665
23 LCR (%) 123.9 123.9
a b a b
31 Mach 2024 31 December 2023
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Bank (5, 10) Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 231 637 229 944
Cash outflows
2 Retail deposits and deposits from small business customers of which: 384 339 32 445 384 582 32 399
3 Stable deposits - - - -
4 Less stable deposits 384 339 32 445 384 582 32 399
5 Unsecured wholesale funding of which: 460 399 228 699 429 506 220 552
6 Operational deposits (all counterparties) and deposits in networks of 162 077 40 519 143 100 35 775
cooperative banks
7 Non-operational deposits (all counterparties) 288 041 177 899 278 055 176 426
8 Unsecured debt 10 281 10 281 8 351 8 351
9 Secured wholesale funding 2 323 1 058
10 Additional requirements of which: 352 307 37 188 336 301 37 544
11 Outflows related to derivative exposures and other collateral 12 841 12 841 13 520 13 520
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 339 466 24 347 322 781 24 024
14 Other contractual funding obligations 289 289 - -
15 Other contingent funding obligations 213 311 8 911 207 256 8 845
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 309 855 300 398
Cash inflows
17 Secured lending (e.g. reverse repos) 56 260 13 861 48 349 8 950
18 Inflows from fully performing exposures 130 615 108 559 125 547 103 452
19 Other cash inflows 6 643 5 819 9 112 7 695
20 Total cash inflows (Sum of lines 17-19) 193 518 128 239 183 008 120 097
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 231 637 229 944
22 Total net cash outflows (Rm) 181 616 180 301
23 LCR (%) 127.5 127.5
Johannesburg
31 May 2024
Enquiries:
Alan Hartdegen
E-mail: Alan.Hartdegen@absa.africa
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited
Joint Sponsor and Debt Sponsor:
Corporate and Investment Bank – a division of Absa Bank Limited
Notes:
1 The fully loaded accounted expected credit loss (ECL) basis has been fully transitioned in.
2 The numbers are excluding unappropriated profits.
3 The December 2023 figures were revised to align with final regulatory submissions.
4 The countercyclical buffer in South Africa is currently zero.
5 Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates and offshore holdings.
6 The 2024 minimum total regulatory capital adequacy requirement of 12.5% includes the capital conservation buffer, Pillar 2A and the D-SIB add-
on but excludes the bank specific individual capital requirement (Pillar 2B add-on) as required by regulatory guidance.
7 Includes the operational risk floor.
8 Other reflects RWA movements on non-performing loans due to differences in the definition of default between IFRS 9 impairment and regulatory
capital models.
9 The Group LCR reflects an aggregation of the Bank LCR and the LCR of 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.
10 The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Date: 31-05-2024 12:20:00
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