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ABSA Group Limited - Basel III Pillar 3 Disclosure as at 31 March 2019
ABSA GROUP LIMITED ABSA BANK LIMITED
(Formerly Barclays Africa Group 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
(Absa Group or the Group) (Absa Bank)
ABSA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2019
The quarterly Pillar 3 disclosure is made in accordance with the requirements of Regulation 43 of the regulations relating to Banks and previously
issued Banks Act directives as well as the Basel Committee on Banking Supervision’s Revised Pillar 3 disclosure requirements issued on 29 March
2017.
This disclosure is made in terms of International Financial Reporting Standards (IFRS) as required by Regulation 3 of the regulations relating to
Banks. IFRS results include the impact of the contribution amounts received as part of the separation from Barclays PLC. Normalised results,
which exclude the impact of contribution amounts received from Barclays PLC, are also included.
In accordance with SARB Directive 5 of 2017 (Directive 5), Absa Group Limited and Absa Bank Limited have elected to utilise the transition period
of three years for phasing in regulatory capital impact of IFRS 9. As required by Directive 5, both the fully loaded and transitional impacts of IFRS
9 are disclosed.
All prescribed tables are highlighted by including the regulatory title of the table in square brackets.
Capital Adequacy
Absa Group Limited
Absa Group Limited (or the Group) remains capitalised above the minimum regulatory capital requirements.
The Group continues to optimise the level and composition of capital resources. In line with this objective, the Group will continue to raise Basel III
compliant capital instruments as and when appropriate, in the domestic and/or international capital markets.
The table below represents the capital position for Absa Group Limited at 31 March 2019 and comparatives at 31 December 2018.
31 Mar 2019 (1) 31 Dec 2018 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 95 984 11.5 92 829 11.3
Ordinary share capital 1 715 0.2 1 655 0.3
Ordinary share premium 11 090 1.3 10 205 1.2
Reserves (3) 88 856 10.7 85 107 10.4
Non-controlling interest 2 524 0.3 2 433 0.3
Deductions (8 201) (1.0) (6 571) (0.8)
Additional Tier 1 capital 5 357 0.6 5 718 0.7
Tier 1 capital 101 341 12.2 98 547 12.0
Tier 2 capital 20 846 2.5 21 288 2.6
Total Capital 122 187 14.7 119 835 14.6
31 Mar 2019 (1) 31 Dec 2018 (1)
Statutory Capital Position (including unappropriated IFRS (2) Normalised (4) IFRS (2) Normalised (4)
profits) % % % %
Common Equity Tier 1 capital 12.3 11.6 12.8 12.0
Tier 1 capital 12.9 12.3 13.5 12.8
Total capital 15.4 14.8 16.1 15.4
Page 1 of 11
Board target ranges (including 31 Mar 2019 31 Dec 2018
(%) (5) (%) (5)
unappropriated profits)
Common Equity Tier 1 capital 11.00 - 12.00 10.00 - 11.50
Tier 1 capital 12.00 - 13.00 11.75 - 13.25
Total capital 14.50 - 15.50 14.25 - 15.75
Absa Bank Limited (6)
Absa Bank Limited remains capitalised above the minimum regulatory capital requirements.
The table below represents the capital position for Absa Bank Limited at 31 March 2019 and comparatives at 31 December 2018.
31 Mar 2019 (1) 31 Dec 2018 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding
Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 65 987 11.5 64 827 11.4
Ordinary share capital 304 0.1 304 0.1
Ordinary share premium 36 880 6.4 36 880 6.5
Reserves (3) 36 266 6.3 33 993 6.0
Deductions (7 463) (1.3) (6 350) (1.1)
Additional Tier 1 capital 4 134 0.7 4 599 0.8
Tier 1 capital 70 121 12.2 69 426 12.2
Tier 2 capital 19 049 3.3 19 284 3.4
Total Capital 89 170 15.5 88 710 15.6
31 Mar 2019 (1) 31 Dec 2018 (1)
IFRS (2) Normalised (4) IFRS (2) Normalised (4)
Statutory Capital Position (including unappropriated % % % %
profits)
Common Equity Tier 1 capital 12.3 11.3 12.3 11.2
Tier 1 capital 13.0 12.0 13.1 12.0
Total capital 16.3 15.3 16.5 15.4
Board target ranges (including 31 Mar 31 Dec
2019 2018
unappropriated profits)
(%) (5) (%) (5)
Common Equity Tier 1 capital 11.00 - 12.00 10.00 - 11.50
Tier 1 capital 12.00 - 13.00 11.75 - 13.25
Total capital 14.50 - 15.50 14.25 - 15.75
Page 2 of 11
Overview of Risk Weighted Assets (RWAs) [OV1]
31 Mar 31 Dec 31 Mar
2019 (1) 2018 (1) 2019 (1)
Minimum
capital
RWA RWA
requirements
(7)
Absa Group Limited Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 599 132 593 992 68 900
2 Of which: standardised approach (SA) 178 804 176 051 20 562
3 Of which: foundation internal rating-based (F-IRB) approach - - -
4 Of which: supervisory slotting approach - - -
5 Of which: advanced internal ratings based (A-IRB) approach 420 328 417 941 48 338
6 CCR 14 211 14 268 1 634
7 Of which: standardised approach for CCR (SA-CCR) (8) 14 211 14 268 1 634
8 Of which: internal model method (IMM) - - -
9 Of which: other CCR - - -
10 Credit valuation adjustment (CVA) 8 551 7 400 983
11 Equity positions under the simple risk weight approach 4 015 4 171 462
12 Equity investments in funds – look-through approach 7 624 6 990 877
13 Equity investments in funds – mandate-based approach - - -
14 Equity investments in funds – fall-back approach - - -
15 Settlement risk 1 940 874 223
16 Securitisation exposures in banking book 28 24 3
17 Of which: IRB ratings-based approach (SEC -IRBA) 28 24 3
18 Of which: securitisation external ratings based approach (SEC-
- - -
ERBA), including internal assessment approach (IAA)
19 Of which: securitisation SA (SEC-SA) - - -
20 Market risk 39 435 37 007 4 535
21 Of which: standardised approach (SA) 19 069 15 818 2 193
22 Of which: internal model approaches (IMA) 20 366 21 189 2 342
23 Capital charge for switch between trading book and banking book - - -
24 Operational risk 90 156 90 156 10 368
Non-customer assets 27 239 24 637 3 133
25 Amounts below the thresholds for deduction (subject to 250% risk 17 106 16 483 1 967
weight)
26 Floor adjustment 22 591 22 590 2 598
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
832 028 818 592 95 683
customer assets)
31 Mar 31 Dec 31 Mar
2019 (1) 2018 (1) 2019 (1)
Minimum
capital
RWA RWA
requirements
(7)
Absa Bank Limited (6) Rm
1 Credit risk (excluding CCR) 417 969 416 843 48 066
2 Of which: standardised approach (SA) 9 902 10 792 1 139
Page 3 of 11
3 Of which: foundation internal ratings-based (F-IRB) approach - - -
4 Of which: supervisory slotting approach - - -
5 Of which: advanced internal ratings based (A-IRB) approach 408 067 406 051 46 928
6 CCR 13 214 13 499 1 520
7 Of which: standardised approach for CCR (SA-CCR) (8) 13 214 13 499 1 520
8 Of which: internal model method (IMM) - - -
9 Of which: other CCR - - -
10 Credit valuation adjustment (CVA) 8 551 7 400 983
11 Equity positions under the simple risk weight approach 1 814 1 769 209
12 Equity investments in funds – look-through approach 367 353 42
13 Equity investments in funds – mandate-based approach - - -
14 Equity investments in funds – fall-back approach - - -
15 Settlement risk 1 873 783 215
16 Securitisation exposures in banking book 28 24 3
17 Of which: securitisation IRB ratings-based approach (SEC-IRBA) 28 24 3
18 Of which: securitisation external ratings based approach (SEC-
- - -
ERBA) including internal assessment approach (IAA)
19 Of which: securitisation SA (SEC-SA) - - -
20 Market risk 28 866 29 187 3 320
21 Of which: standardised approach (SA) 8 500 7 998 978
22 Of which: internal model approaches (IMA) 20 366 21 189 2 342
23 Capital charge for switch between trading book and banking book - - -
24 Operational risk 56 424 56 424 6 489
Non-customer assets 20 624 18 364 2 372
25 Amounts below the thresholds for deduction (subject to 250% risk 3 650 4 287 420
weight)
26 Floor adjustment 20 570 20 570 2 366
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
573 950 569 503 66 004
customer assets)
The key drivers of change in RWA consumption quarter on quarter were as follows:
- Credit risk: Portfolios subject to the AIRB approach have increased by R5.9bn (both in respect of Absa Group and Absa Bank Limited) due
to balance sheet growth in Retail and Business Banking (RBB). This is offset by a decrease in the IFRS9 transitional adjustment of R3.5bn
in respect of Absa Group Limited and R3.7bn in respect of Absa Bank Limited. Portfolios subjected to the standardised approach increased
by R2.7bn, primarily due to exchange rate fluctuation applicable to the Absa Regional Operations.
- CVA: The R1.1bn CVA increase in RWA (both in respect of Absa Group Limited and Absa Bank Limited) is primarily due to market volatility.
- Market Risk: The Absa Group increase of R2.4bn is driven by the growth in the Absa Regional Operations. The Absa Bank Limited decrease
of R321m is driven by lower risk levels in value-at-risk.
Key Metrics (at consolidated group level) [KM1]
In line with the requirements of IFRS 9, which became effective on 1 January 2018, Absa Group Limited and Absa Bank Limited have moved from
the recognition of credit losses on an incurred loss basis to an expected credit loss (ECL) basis. Absa Group Limited and Absa Bank Limited have
elected to utilise the transition period of three years for phasing in the regulatory capital impact of IFRS 9, as afforded by Directive 5.
Page 4 of 11
Absa Group Limited
The table below reflects the available capital and leverage when utilising the fully loaded and transitional arrangement ECL bases. The numbers
reported are on a regulatory basis, and include the contribution amounts received from Barclays PLC as part of the separation. All figures are
unaudited except for 31 December 2018 comparatives, which are reported on an audited basis.
31 31 30 30 31
Available Capital (amounts) Rm
Mar Dec Sep Jun Mar
(excluding unappropriated profits)
2019 2018 2018 2018 2018
1 Common Equity Tier 1 (CET1) (Transitional basis) 95 984 92 829 94 638 96 391 90 289
1a Fully loaded ECL accounting model CET1 94 256 90 237 92 062 93 814 87 713
2 Tier 1 (Transitional basis) 101 341 98 547 98 993 100 662 94 238
2a Fully loaded ECL accounting model Tier 1 99 613 95 955 96 417 98 086 91 662
3 Total capital (Transitional basis) 122 187 119 835 120 961 122 524 110 679
3a Fully loaded ECL accounting model total capital 120 459 117 243 118 385 119 948 108 103
Risk-weighted assets (amounts)
4 Total risk-weighted assets (RWA) (Transitional basis) 832 028 818 592 784 068 769 725 735 660
4a Fully loaded RWA 824 882 807 872 773 349 759 005 724 940
Risk-based capital ratios as a percentage of RWA
5 CET1 ratio (%) (Transitional basis) 11.5 11.3 12.1 12.5 12.3
5a Fully loaded ECL accounting model CET1 (%) 11.4 11.2 11.9 12.4 12.1
6 Tier 1 ratio (%) (Transitional basis) 12.2 12.0 12.6 13.1 12.8
6a Fully loaded ECL accounting model Tier 1 (%) 12.1 11.9 12.5 12.9 12.6
7 Total capital ratio (%) (Transitional basis) 14.7 14.6 15.4 15.9 15.0
7a Fully loaded ECL accounting model total capital ratio (%) 14.6 14.5 15.3 15.8 14.9
Additional CET1 buffer requirements as a percentage of
RWA
8 Capital conservation buffer requirement (2.5% from 2019) (%) 2.5 1.9 1.9 1.9 1.9
9 Countercyclical buffer requirement (10) (%) - - - - -
10 Bank G-SIB and/or D-SIB additional requirements (10) (%) - - - - -
Total of bank CET1 specific buffer requirements (%) (row 8 +
11 2.5 1.9 1.9 1.9 1.9
row 9 + row 10)
CET1 available after meeting the bank’s minimum capital
12 4.0 3.9 4.7 5.1 4.9
requirements (%)
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure 1 586 022 1 494 861 1 431 094 1 416 659 1 330 032
14 Basel III leverage ratio (%) (row 2/ row 13) (Transitional basis) 6.4 6.6 6.9 7.1 7.1
Fully loaded ECL accounting model Basel III leverage ratio (row
14a 6.3 6.4 6.7 6.9 6.9
2a/ row 13) (%)
Liquidity coverage ratio
15 Total HQLA (Rm) 187 382 189 979 180 750 173 915 172 477
16 Total net cash outflow (Rm) 151 301 162 862 167 234 160 150 158 523
17 LCR (%) (13) 123.8 116.7 108.1 108.6 108.8
Net stable funding ratio
18 Total available stable funding (ASF) (Rm) 827 614 808 351 799 054 755 870 -
19 Total required stable funding (RSF) (Rm) 750 073 734 200 704 855 713 291 -
20 NSFR (%) 110.3 110.1 113.4 106.0 N/A
Page 5 of 11
RWA flow statements of credit risk exposures under IRB [CR8]
Absa Group Limited Rm RWA amounts
1 RWA as at end of previous reporting period (31 Dec 2018) (9) 417 941
2 Asset size 5 943
3 Asset quality -
4 Model updates -
5 Methodology and policy -
6 Acquisitions and disposals -
7 Foreign exchange movements -
8 Other (3 556)
9 RWA as at end of reporting period (31 Mar 2019) 420 328
Absa Bank Limited (6) Rm RWA amounts
1 RWA as at end of previous reporting period (31 Dec 2018) (9) 406 051
2 Asset size 5 792
3 Asset quality -
4 Model updates -
5 Methodology and policy -
6 Acquisitions and disposals -
7 Foreign exchange movements -
8 Other (3 776)
9 RWA as at end of reporting period (31 Mar 2019) 408 067
RWA flow statements of market risk exposures under an Internal Models Approach [MR2]
Absa Group Limited and Absa Bank
Limited (6) Rm
Stressed
VaR VaR IRC CRM Other Total RWA
1 RWA at previous quarter end (31 Dec
7 103 14 086 - - - 21 189
2018) (14)
2 Movements in risk levels (292) (531) - - - (823)
3 Model updates/changes - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Foreign exchange movements - - - - - -
7 Other - - - - - -
8 RWA at end of reporting period (31 Mar
6 811 13 555 - - - 20 366
2019)
This table applies to both Absa Group and Absa Bank Limited as the Internal Models Approach is applied at an Absa Bank level.
Leverage Ratio
The leverage ratio framework is complementary to the risk-based capital framework and is a non-risk based contingency measure to restrict the
build-up of excessive leverage in the banking sector.
The tables below represent the leverage ratios for Absa Group Limited and Absa Bank Limited at 31 March 2019 and the comparatives for the
past three quarter end periods, namely 31 December 2018, 30 September 2018 and 30 June 2018.
Page 6 of 11
31 Mar 31 Dec 30 Sep 30 Jun
Absa Group Limited Rm
2019 2018 2018 2018
Leverage exposure 1 586 022 1 494 861 1 431 094 1 416 659
Tier 1 capital (excluding unappropriated profits) (2) 101 341 98 547 98 993 100 662
IFRS leverage ratio (excluding unappropriated profits) (2) (%) 6.4 6.6 6.9 7.1
IFRS leverage ratio (including unappropriated profits) (2) (%) 6.8 7.4 7.5 7.5
Normalised leverage ratio (including unappropriated profits) (4) 6.4 7.0 6.9 6.9
Board target leverage ratio (including unappropriated profits) (%) ?4.5 ?4.5 ?4.5 ?4.5
Minimum required leverage ratio (%) 4.0 4.0 4.0 4.0
31 Mar 31 Dec 30 Sep 30 Jun
Absa Bank Limited (6) Rm 2019 2018 2018 2018
Leverage exposure 1 347 144 1 297 287 1 229 002 1 209 478
Tier 1 capital (excluding unappropriated profits) (2) 70 122 69 426 70 712 71 714
IFRS leverage ratio (excluding unappropriated profits) (2) (%) 5.2 5.4 5.8 5.9
IFRS leverage ratio (including unappropriated profits) (2) (%) 5.5 5.7 6.0 6.3
Normalised leverage ratio (including unappropriated profits) (4) 5.1 5.3 5.3 5.2
Board target leverage ratio (including unappropriated profits) (%) ?4.5 ?4.5 ?4.5 ?4.5
Minimum required leverage ratio (%) 4.0 4.0 4.0 4.0
Absa Group Limited
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
31 Mar 31 Dec
Item Rm 2019 2018
(1,2) (1,2)
1 Total consolidated assets 1 351 637 1 288 744
2 Adjustment for investments in banking, financial, insurance or commercial entities that
are consolidated for accounting purposes but outside the scope of regulatory (38 014) (37 105)
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 14 988 10 143
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
268 032 244 381
of off-balance sheet exposures)
7 Other adjustments (10 621) (11 302)
8 Leverage ratio exposure measure 1 586 022 1 494 861
Leverage ratio common disclosure template [LR2]
31 Mar 31 Dec
Item Rm 2019 2018
(1,2) (1,2)
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing
1 213 520 1 158 946
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (8 909) (8 711)
3 Total on-balance sheet exposures (excluding derivatives and SFTs (sum
1 204 611 1 150 235
of lines 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivatives transactions (where
21 553 20 795
applicable net of eligible cash variation margin and/or with bilateral netting)
5 Add-on amounts for PFE associated with all derivatives transactions 54 061 46 429
Page 7 of 11
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 transactions) - -
8 (Exempted CCP leg of client-cleared trade exposures) - -
9 Adjusted effective notional amount of written credit derivatives (13 023) (10 143)
10 (Adjusted effective notional offsets and add-on deductions for written credit
derivatives) - -
11 Total derivative exposures (sum of rows 4 to 10) 62 591 57 081
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale
52 500 45 756
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) 52 500 45 756
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 393 047 384 452
18 (Adjustments for conversion to credit equivalent amounts) (125 015) (140 071)
19 Off-balance sheet items (sum of rows 17 to 18) 268 032 244 381
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) (2) 101 341 98 547
21 Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
adjustment 1 587 734 1 497 453
IFRS 9 transitional adjustment (1 712) (2 592)
Total exposures (including IFRS 9 adjustment) 1 586 022 1 494 861
Leverage ratio
22 Basel III leverage ratio (2) 6.4% 6.6%
Absa Bank Limited (6)
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
31 Mar 31 Dec
Item Rm 2019 2018
(1,2) (1,2)
1 Total consolidated assets 1 127 535 1 079 679
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 16 020 10 948
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
212 223 215 717
of off-balance sheet exposures)
7 Other adjustments (8 634) (9 057)
8 Leverage ratio exposure measure 1 347 144 1 297 287
Leverage ratio common disclosure template [LR2]
31 Mar 31 Dec
Item Rm 2019 2018
(1,2) (1,2)
On-balance sheet exposures
On-balance sheet exposures (excluding derivatives and securities financing
1 1 028 464 987 493
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (7 586) (7 188)
Total on-balance sheet exposures (excluding derivatives and SFTs (sum
1 020 878 980 305
3 of lines 1 and 2)
Derivative exposures
Replacement cost associated with all derivatives transactions (where
4 21 553 20 795
applicable net of eligible cash variation margin and/or with bilateral netting)
Page 8 of 11
5 Add-on amounts for PFE associated with all derivatives transactions 54 061 47 233
Gross-up for derivatives collateral provided where deducted from the
6 - -
balance sheet assets pursuant to the operative accounting framework
(Deductions of receivable assets for cash variation margin provided in
7 - -
derivatives transactions)
8 (Exempted CCP leg of client-cleared trade exposures) - -
9 Adjusted effective notional amount of written credit derivatives (13 023) (10 947)
(Adjusted effective notional offsets and add-on deductions for written credit
- -
10 derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 62 591 57 081
Security financing transaction exposures
Gross SFT assets (with no recognition of netting), after adjusting for sale
12 52 500 45 756
accounting transactions
(Netted amounts of cash payables and cash receivables of gross SFT
- -
13 assets)
14 CCR exposure for SFT assets - -
15 Agent transaction exposures - -
16 Total securities financing transaction exposures (sum of rows 12 to 15) 52 500 45 756
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 316 751 313 446
18 (Adjustments for conversion to credit equivalent amounts) (104 529) (97 729)
19 Off-balance sheet items (sum of rows 17 to 18) 212 223 215 717
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) (2) 70 122 69 426
Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
21 adjustment 1 348 192 1 298 859
IFRS 9 transitional adjustment (1 048) (1 572)
Total exposures including IFRS 9 adjustment 1 347 144 1 297 287
Leverage ratio
22 Basel III leverage ratio (2) 5.2% 5.4%
Key drivers of change in the leverage ratio quarter on quarter were on-balance sheet asset growth.
Liquidity Coverage Ratio
The objective of the liquidity coverage ratio (LCR) is to promote the short-term resilience of the liquidity risk profile of banks by ensuring that they
have sufficient unencumbered high quality liquid assets (HQLA) ) to cover net cash outflows (NCOF) to survive a prescribed stress scenario over
a 30 calendar day period. The LCR became effective on 1 January 2015, with a requirement of 60%, which is being phased in by increasing the
minimum regulatory requirement by 10% per year to reach a minimum of 100% compliance level on 1 January 2019. The requirement for 2019 is
100% (2018: 90%).
Absa Bank Limited successfully applied for a committed liquidity facility from the South African Reserve Bank under Guidance Note 5 of 2017,
which is included in HQLA for LCR purposes from January 2016.
Absa Bank Limited (11)
Absa Bank Limited holds HQLA in excess of the regulatory minimum requirement. The table below represents the average LCR for Absa Bank
Limited at 31 March 2019 and the comparatives as at 31 December 2018:
31 Mar 2019 (1,12) 31 Dec 2018 (1,12)
High Quality Liquid Assets (Rm) 166 982 173 987
Net Cash Outflows (Rm) 130 578 145 094
LCR (%) 127.9 119.9
Required LCR (%) 100.0 90.0
Page 9 of 11
LCR Common disclosure template and summary [LIQ1]
Absa Bank Limited (11,12) Absa Group Limited (13)
TOTAL TOTAL TOTAL TOTAL
UNWEIGHTED WEIGHTED UNWEIGHTED WEIGHTED
VALUE VALUE VALUE VALUE
(average) (average) (average) (average)
HIGH-QUALITY LIQUID ASSETS
1 Total high-quality liquid assets (HQLA) 166 982 187 382
CASH OUTFLOWS
Retail deposits and deposits from small business customers,
2 260 773 19 714 337 276 26 049
of which:
3 Stable deposits - - - -
4 Less stable deposits 260 773 19 714 337 276 26 049
5 Unsecured wholesale funding, of which: 288 191 166 037 349 990 195 036
Operational deposits (all counterparties) and deposits in
6 95 272 23 818 95 414 23 854
networks of cooperative banks
7 Non-operational deposits (all counterparties) 187 664 136 964 245 232 161 838
8 Unsecured debt 5 255 5 255 9 344 9 344
9 Secured wholesale funding - 2 892 - 2 892
10 Additional requirements, of which: 269 839 26 181 294 927 28 686
Outflows related to derivative exposures and other collateral
11 8 486 8 486 8 597 8 597
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 261 353 17 695 286 330 20 089
14 Other contractual funding obligations 117 117 117 117
15 Other contingent funding obligations 154 722 7 546 184 060 8 850
16 TOTAL CASH OUTFLOWS - 222 487 - 261 630
CASH INFLOWS
17 Secured lending (e.g. reverse repos) 32 592 5 253 32 592 5 253
18 Inflows from fully performing exposures 100 359 82 208 130 221 98 202
19 Other cash inflows 4 563 4 448 6 989 6 874
20 TOTAL CASH INFLOWS 137 514 91 909 169 802 110 329
TOTAL TOTAL
ADJUSTED ADJUSTED
VALUE VALUE
21 TOTAL HQLA 166 982 187 382
22 TOTAL NET CASH OUTFLOWS 130 578 151 301
23 LCR (%) 127.9 123.8
Page 10 of 11
Notes:
1. The 31 March 2019 figures are unaudited whilst the 31 December 2018 comparatives are reported on an audited basis.
2. The IFRS view includes the contribution amounts received from Barclays PLC as part of the separation.
3. Reserves as at 31 March 2019 have already been reduced by the value of the 2018 final ordinary dividend of R5.3bn for Absa Group Limited
and R500m for Absa Bank Limited, which were declared on 11 March 2019 and paid on 15 April 2019.
4. The normalised ratios exclude the impact of the separation from Barclays PLC and reflect the underlying performance of the Group.
5. The Board target ranges apply to statutory ratios on a normalised basis. Regulatory ratios are measured against regulatory minimum levels.
6. Absa Bank Limited includes subsidiary undertakings, special purpose entities, joint ventures, associates and offshore holdings.
7. The South African minimum regulatory capital requirement for 2019 of 11.5% includes the RSA minimum of 8%, Pillar 2a buffer of 1% and
capital conservation buffer of 2.5% but excludes the bank-specific individual capital requirement (Pillar 2b add-on) and the domestic
systemically important banks (D-SIB) add-on (excluding the Pillar 2a and capital conservation buffers). The Pillar 2a buffer reduced from 2%
on 31 December 2015 to 1% by 1 January 2019.
8. SA-CCR is calculated using the Current Exposure Method.
9. Numbers restated due to the IFRS 9 audit requirement.
10. The countercyclical buffer is not required for banks in South Africa. The D-SIB add on is not publicly disclosed.
11. For liquidity reporting purposes Absa Bank Limited represents the banking operations in South Africa.
12. The Absa Bank Limited quarterly LCR is calculated on a simple average of 90 calendar-day observations.
13. The Absa Group Limited LCR for 31 March 2019 reflects an aggregation of the Absa Bank Limited LCR as noted in (12) above with that of the
non-South African banking entities, which is calculated as a simple average of the relevant 3 month-end data points. In addition, the surplus
HQLA of non-South African banking entities in excess of the minimum requirement of 100% has been excluded from the calculation.
14. Numbers restated.
Johannesburg
30 May 2019
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
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