To view the PDF file, sign up for a MySharenet subscription.

ABSA GROUP LIMITED - Absa Group Limited Basel III Pillar 3 Disclosure as at 31 March 2021

Release Date: 31/05/2021 09:02
Code(s): ABG ABSP     PDF:  
Wrap Text
Absa Group Limited – Basel III Pillar 3 Disclosure as at 31 March 2021

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
(Absa Group Limited)                                                     (Absa Bank)


ABSA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2021

This Pillar 3 disclosure contains the quantitative Pillar 3 disclosure requirements in respect of Absa Group Limited (Absa Group or the Group) and
Absa Bank Limited (Absa Bank or the 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      superseded by the revised Pillar 3 disclosure requirements.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). However, the capital and leverage positions of the Group are also managed
on a statutory basis (which includes unappropriated profits). The summary table below provides key capital adequacy and liquidity information on
both a regulatory and statutory basis as at 31 March 2021.

1.1     Capital adequacy and liquidity


                                                                                            Group                                 Bank
                                                 Group Board                            Actual        Actual                 Actual      Actual
                                                       target     Minimum RC         31 March   31 December               31 March 31 December
                                                     ranges1     requirements2           2021          2020                   2021        2020
                                                           %                %               %             %                      %           %

    Statutory capital ratios (includes
    unappropriated profits)
    Common equity tier 1 (CET1)                  11.00 – 12.50                             11.9             11.2                11.2              10.6
    Tier 1                                             >12.00                              12.9             12.2                12.4              11.9
    Total capital adequacy requirement
    (CAR)                                              >14.50                              15.6             15.0                16.0              15.6
    Leverage                                       5.50 – 7.50                              7.2              7.2                 5.7               5.7
    Regulatory Capital ratios (excludes
    unappropriated profits)
    CET1                                                                   7.5             11.4             11.2                10.8              10.6
    Tier 1                                                                 9.3             12.4             12.2                12.0              11.9
    Total CAR                                                             11.5             15.1             15.0                15.5              15.6
    Leverage                                                               4.0              6.9              7.2                 5.5               5.7
    Liquidity coverage ratio (LCR) (%)                                                    117.7            120.6              123.9              126.9
    Net stable funding ratio (%)                                                          116.0            115.9              109.4              109.4




                                                                                                                                          Page 1 of 8
1.2   KM1: Key metrics (at consolidated group level)


                                                                           31 March 31 December    30 September    30 June     31 March
                                                                              20213        2020            2020       2020         2020

 Available capital (Rm)
  1     CET1 transitional basis                                             103 041     102 496        104 119     102 818      103 450
  1a    Fully loaded ECL accounting model                                   103 041     101 632        103 255     101 954      102 586
  2     Tier 1 transitional basis                                           111 990     111 803        112 189     110 885      111 636
  2a    Fully loaded ECL accounting model Tier 1                            111 990     110 939        111 325     110 021      110 772
  3     Total capital transitional basis                                    136 908     137 454        139 143     139 411      137 789
  3a    Fully loaded ECL accounting model total capital                     136 908     136 590        138 279     138 547      136 924
 RWA (Rm)
  4     Total RWA transitional basis                                        904 628     915 061        921 129     935 766      939 800
  4a    Fully loaded RWA                                                    904 628     911 488        917 556     932 193      936 226
 Risk-based capital ratios as a percentage of RWA (%)
  5     CET1 ratio transitional basis                                           11.4        11.2          11.3         11.0         11.0
  5a    Fully loaded ECL accounting model CET1                                  11.4        11.2          11.3         10.9         11.0
  6     Tier 1 ratio transitional basis                                         12.4        12.2          12.2         11.9         11.9
  6a    Fully loaded ECL accounting model Tier 1 ratio                          12.4        12.2          12.1         11.8         11.8
  7     Total capital ratio transitional basis                                  15.1        15.0          15.1         14.9         14.7
  7a    Fully loaded ECL accounting model total capital ratio                   15.1        15.0          15.1         14.9         14.6
 Additional CET1 buffer requirements as a percentage of RWA
 (%)
  8     Capital conservation buffer requirement (2.5% from 2019)                 2.5         2.5           2.5          2.5          2.5
  9     Countercyclical buffer requirement4                                        -           -             -            -            -
  10    Bank global systemically important banks (G-SIB) and/or                  0.5         0.5           0.5          0.5          0.5
        domestic systemically important banks (D-SIB) additional
        requirements5
  11    Total of bank CET1 specific buffer requirements (Row 8 + row             3.0         3.0           3.0          3.0          3.0
        9 + row 10)
  12    CET1 available after meeting the bank’s minimum capital                  3.9         3.7           3.8                       3.0
        requirements5                                                                                                   3.5
 Basel III leverage ratio
  13    Total Basel III leverage ratio exposure measure (Rm)               1 614 976   1 560 437     1 733 777    1 707 091   1 703 332
  14    Basel III leverage ratio (%) (row 2 / row 13) transitional basis         6.9         7.2           6.5          6.5         6.6
 14a Fully loaded ECL accounting model Basel III leverage ratio                  6.9         7.1           6.4          6.4         6.5
        (%) (row 2a / row13)
 LCR 6
  15    Total high-quality liquid assets (HQLA) (Rm)                        206 410     213 637        235 845     215 229      176 982
  16    Total net cash outflow (Rm)                                         175 300     177 135        169 516     169 966      146 514
  17    LCR (%)                                                               117.7       120.6          139.2       126.6        120.8
 Net stable funding ratio (NSFR)
  18    Total available stable funding (ASF) (Rm)                           942 574     933 882        951 963     952 906      928 531
  19    Total required stable funding (RSF) (Rm)                            812 689     805 814        800 811     813 876      828 278
  20    NSFR (%)                                                              116.0       115.9          118.9       117.1        112.1




                                                                                                                              Page 2 of 8
1.3       OV1: Overview of RWA


                                                                               Group                             Bank7
                                                             31 March       31 December   31 March   31 March 31 December
                                                                 2021              2020       2021       2021        2020       31 March 2021
                                                                 RWA               RWA       MCR8        RWA         RWA                MCR8
                                                                  Rm                 Rm        Rm         Rm           Rm                 Rm

   1     Credit risk (excluding counterparty credit           657 594           663 636     75 624    467 739      467 595             53 790
            risk (CCR))
   2        Of which: standardised approach (SA)              174 683           180 421     20 089        24              62                3
   3        Of which: foundation internal ratings-               -                 -          -         -               -                -
               based (FIRB) approach
   4        Of which: supervisory slotting approach              -                 -          -          -            -                  -
   5        Of which: advanced internal ratings-               482 911           483 215     55 535    467 715      467 533             53 787
               based (AIRB) approach
   6     CCR                                                   18 082           20 210      2 079     17 436          19 443           2 005
   7        Of which: standardised approach for                18 082           20 210      2 079     17 436          19 443           2 005
               CCR (SA-CCR)9
   8           Of which: internal model method (IMM)                 -                -          -          -               -               -
   9           Of which: other CCR                                   -                -          -          -               -               -
  10        Credit valuation adjustment (CVA)                   12 091           14 663      1 390     11 676          13 844           1 343
  11        Equity positions under the simple risk               4 047            4 080        465      1 714           1 714             197
            weight approach
  12        Equity investments in funds – look-through           7 556            7 262       869        373             378               43
            approach
  13        Equity investments in funds – mandate-                      -             -          -          -               -               -
            based approach
  14        Equity investments in funds – fall-back                     -             -          -          -               -               -
            approach
  15        Settlement risk                                        940              762       108         892             704             102
  16        Securitisation exposures in banking book             4 320            4 451       497       4 320           4 451             497
  17           Of which: IRB ratings-based approach              4 320            4 451       497       4 320           4 451             497
               (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)                  -                -          -          -               -               -
  20        Traded market risk                                  37 356           40 110      4 296     23 772          28 944           2 734
  21           Of which: SA                                     19 298           18 142      2 219      5 714           6 976             657
  22           Of which: internal model approach (IMA)          18 058           21 968      2 077     18 058          21 968           2 077
  23        Capital charge for switch between trading                -                -          -          -               -               -
            book and banking book
  24        Operational risk                                  117 197           117 197     13 478     80 107          80 107           9 212
            Non-customer assets                                24 009            25 483      2 761     17 436          18 637           2 005
  25        Amounts below the thresholds for deduction         21 436            17 207      2 465      9 226           4 227           1 061
            (subject to 250% risk weight)
  26        Floor adjustment (after application of                      -             -                     -               -
            transitional cap)10
  27        Total                                             904 628           915 061    104 032    634 691      640 044             72 989
            (1+6+10+11+12+13+14+15+16+20+23+24+
            25+26+non-customer assets)



1.4       CR8: RWA flow statements of credit risk exposures under IRB

                                                                                                      31 March 2021        31 December 2020
                                                                                                      RWA amounts              RWA amounts
                                                                                                                Rm                      Rm

      1      RWA as at end of previous quarter                                                              483 215                  473 407
      2      Asset size                                                                                         155                   (2 285)
      3      Asset quality                                                                                    2 955                   15 659
      4      Model updates                                                                                         -                      193
      5      Methodology and policy                                                                                -                        -
      6      Acquisitions and disposals                                                                            -                        -
      7      Foreign exchange movements                                                                         159                   (3 759)
      8      Other                                                                                         (3 573)11                        -
      9      RWA as at end of reporting period                                                              482 911                  483 215


                                                                                                                                   Page 3 of 8
1.5           MR2: RWA flow statements of market risk exposures under IMA


                                                                                                              31 March 2021
                                                                                           stressed
                                                                                            value at
                                                                          Value at              risk
                                                                        risk (VaR)           (sVaR)               IRC12           CRM             Other       Total RWA
                                                                               Rm               Rm                  Rm             Rm               Rm               Rm

          1     RWA at previous quarter end                                  7 946           14 022                  -                -                  -       21 968
          2     Movements in risk levels                                   (1 240)           (2 670)                 -                -                  -       (3 910)
          3     Model updates/changes                                            -                -                  -                -                  -            -
          4     Methodology and policy                                           -                -                  -                -                  -            -
          5     Acquisitions and disposals                                       -                -                  -                -                  -            -
          6     Other                                                            -                -                  -                -                  -            -
          7     RWA at end of reporting period                               6 706           11 352                  -                -                  -       18 058


                                                                                                            31 December 2020
                                                                              VaR             sVaR              IRC        CRM                    Other       Total RWA
                                                                               Rm               Rm               Rm          Rm                     Rm               Rm

          1     RWA at previous quarter end                                  8 601           14 585                   -                -                  -      23 186
          2     Movements in risk levels                                     (596)            (382)                   -                -                  -       (978)
          3     Model updates/changes                                          (59)           (181)                   -                -                  -       (240)
          4     Methodology and policy                                            -               -                   -                -                  -           -
          5     Acquisitions and disposals                                        -               -                   -                -                  -           -
          6     Other                                                             -               -                   -                -                  -           -
          7     RWA at end of reporting period                               7 946           14 022                  -                -                  -       21 968




2. Leverage
Consistent with the treatment in table KM1, the leverage position below is shown on a regulatory, IFRS basis.

2.1 LR1: Summary comparison of accounting assets versus leverage ratio exposure measure13


                                                                                                          Group                                         Bank
                                                                                                   31 March 31 December                    31 March       31 December
                                                                                                       2021        2020                        2021              2020
                                                                                                        Rm          Rm                          Rm                Rm

      1        Total consolidated assets                                                          1 550 717              1 531 120         1 293 609          1 286 275
      2        Adjustment for investments in banking, financial, insurance or                       (33 938)               (34 658)                -                  -
               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                                        (13 820)           (43 888)          (13 175)            (43 173)
      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                      123 479            120 386           101 890              98 753
               equivalent amounts of off-balance sheet exposures)
      7        Other adjustments                                                                    (11 462)               (12 523)          (10 630)           (10 867)
      8        Leverage ratio exposure measure                                                    1 614 976              1 560 437         1 371 694          1 330 988




                                                                                                                                                              Page 4 of 8
2. Leverage

2.2   LR2: Leverage ratio common disclosure template13

                                                                                                Group                     Bank
                                                                                         31 March 31 December      31 March 31 December
                                                                                             2021       202014         2021       202014
                                                                                              Rm          Rm            Rm          Rm

 On-balance sheet exposures
  1 On-balance sheet exposures (excluding derivatives and securities financing           1 343 236    1 312 909    1 120 692    1 103 574
      transactions (SFTs), but including collateral)
  2 (Asset amounts deducted in determining Basel III Tier 1 capital)                       (10 465)     (11 534)      (9 331)     (10 015)
  3 Total on-balance sheet exposures (excluding derivatives and SFTs)                    1 332 771    1 301 374    1 111 361    1 093 559
      (sum of rows 1 and 2)
 Derivative exposures
  4 Replacement cost associated with all derivative transactions (where                     30 869       32 286       30 869       32 286
      applicable net of eligible cash variation margin and/ or with bilateral netting)
  5 Add-on amounts for potential future exposure (PFE) associated with all                  23 006       26 539       23 006       26 539
      derivative 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 transactions)
  8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures)                  -            -            -            -
  9 Adjusted effective notional amount of written credit derivative                          6 438        7 139        6 438        7 139
 10 (Adjusted effective notional offsets and add-on deductions for written credit                -            -            -            -
      derivatives)
 11 Total derivative exposures (sum of rows 4 to 10)                                        60 313       65 964       60 313       65 964
 Security financing transaction exposures
 12 Gross SFT assets (with no recognition of netting), after adjusting for sale             98 413       72 712       98 130       72 712
      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)                 98 413       72 712       98 130       72 712
 Other off-balance sheet exposures
 17 Off-balance sheet exposures at gross notional amount                                   350 058      355 205      294 292      300 606
 18 (Adjustments for conversion to credit equivalent amounts)                            (226 579)    (234 819)    (192 402)    (201 853)
 19 Off-balance sheet items (sum of rows 17 and 18)                                        123 479      120 386      101 890       98 753
 Capital and total exposures
 20 Tier 1 capital (excluding unappropriated profits)                                      111 990      111 803       75 893       75 984
 21 Total exposures excluding IFRS 9 adjustment (sum of lines 3, 11, 16                  1 614 976    1 560 437    1 371 694    1 330 988
      and 19)
 Leverage ratio
 22 Basel III leverage ratio                                                                   6.9          7.2          5.5          5.7




                                                                                                                                 Page 5 of 8
3. Liquidity

3.1 LIQ1: Liquidity coverage ratio (LCR)

The Group LCR reflects an aggregation of the Bank LCR and the LCR of Absa Regional Operations (ARO). For this purpose, the Bank LCR is
calculated as a simple average of 90 calendar-day LCR observations and the ARO LCR is derived from a simple average of the relevant 3 month-
end data points.

                                                                                   31 March 2021                   31 December 2020
                                                                                     Total        Total
                                                                              unweighted      weighted                 Total Total weighted
                                                                                    value         value          unweighted           value
                                                                                (average)     (average)      value (average)      (average)
 Group                                                                                Rm            Rm                   Rm             Rm

 High-quality liquid assets (HQLA)
  1 Total HQLA                                                                                  206 410                            213 637
 Cash outflows
  2 Retail deposits and deposits from small business customers, of               386 185         29 206            386 685          29 018
      which:
  3     Stable deposits                                                                -              -                  -               -
  4     Less stable deposits                                                     386 185         29 206            386 685          29 018
  5 Unsecured wholesale funding, of which:                                       476 573        237 795            448 325         227 388
  6     Operational deposits (all counterparties) and deposits in networks       163 686         40 921            149 093          37 273
        of cooperative banks
  7     Non-operational deposits (all counterparties)                            306 013        190 000            291 890         182 773
  8     Unsecured debt                                                             6 874          6 874              7 342           7 342
  9 Secured wholesale funding                                                                       620                                125
 10 Additional requirements, of which:                                           299 966         38 394            310 373          42 094
 11     Outflows related to derivative exposures and other collateral             15 631         15 631             19 690          19 690
        requirements
 12     Outflows related to loss of funding on debt products                           -              -                  -               -
 13     Credit and liquidity facilities                                          284 335         22 763            290 683          22 404
 14 Other contractual funding obligations                                              -              -                  -               -
 15 Other contingent funding obligations                                         154 785          6 831            172 386           7 568
 16 Total cash outflows                                                                         312 846                            306 193
 Cash inflows
 17 Secured lending (e.g. reverse repos)                                          35 172          3 257             30 262           2 411
 18 Inflows from fully performing exposures                                      142 441        121 118            133 547         114 330
 19 Other cash inflows                                                            15 317         13 171             13 305          12 317
 20 Total cash inflows                                                           192 930        137 546            177 114         129 058

                                                                                   Total weighted value                Total weighted value

 High-quality liquid assets (HQLA)
 21 Total HQLA (Rm)                                                                             206 410                            213 637
 22 Total net cash outflows (Rm)                                                                175 300                            177 135
 23 LCR (%)                                                                                       117.7                              120.6




                                                                                                                                   Page 6 of 8
                                                                                 31 March 2021               31 December 2020
                                                                                   Total        Total
                                                                            unweighted      weighted              Total Total weighted
                                                                                  value         value       unweighted           value
                                                                              (average)     (average)   value (average)      (average)
Bank15                                                                              Rm            Rm                Rm             Rm

High-quality liquid assets (HQLA)
 1 Total HQLA                                                                               186 863                          194 495
Cash outflows
 2 Retail deposits and deposits from small business customers, of             309 875        22 674           309 874         22 466
     which:
 3     Stable deposits                                                              -             -                 -              -
 4     Less stable deposits                                                   309 875        22 674           309 874         22 466
 5 Unsecured wholesale funding, of which:                                     395 117       201 864           370 275        193 087
 6     Operational deposits (all counterparties) and deposits in networks     163 686        40 921           149 093         37 273
       of cooperative banks
 7     Non-operational deposits (all counterparties)                          225 378       154 890           215 089        149 721
 8     Unsecured debt                                                           6 053         6 053             6 093          6 093
 9 Secured wholesale funding                                                                    620                              125
10 Additional requirements, of which:                                         272 595        35 947           281 685         39 549
11     Outflows related to derivative exposures and other collateral           15 569        15 569            19 645         19 645
       requirements
12     Outflows related to loss of funding on debt products                         -             -                 -              -
13     Credit and liquidity facilities                                        257 026        20 378           262 040         19 904
14 Other contractual funding obligations                                            -             -                 -              -
15 Other contingent funding obligations                                       132 628         5 912           149 687          6 605
16 Total cash outflows                                                                      267 017                          261 832
Cash inflows
17 Secured lending (e.g. reverse repos)                                        35 172         3 257            30 262          2 411
18 Inflows from fully performing exposures                                    119 700       103 319           111 573         97 650
19 Other cash inflows                                                          11 722         9 576             9 551          8 563
20 Total cash inflows                                                         166 594       116 152           151 386        108 624

                                                                                Total weighted value             Total weighted value

High-quality liquid assets (HQLA)
21 Total HQLA (Rm)                                                                          186 863                          194 495
22 Total net cash outflows (Rm)                                                             150 865                          153 208
23 LCR (%)                                                                                    123.9                            126.9




                                                                                                                             Page 7 of 8
Notes:

1
    Statutory capital ratios (including unappropriated profits) are managed against Board capital target ranges.
2
  The 2020 minimum total regulatory capital adequacy requirement of 11.5% includes the capital conservation buffer, Pillar 2A at zero percent and
the D-SIB add-on but excludes the bank-specific individual capital requirement (Pillar 2B add-on).
3
  The four-year transition period for phasing in the RC impact of IFRS 9, as afforded by Directive 5 issued by the PA has been concluded at the end
of the 2020 financial year therefore there is no longer a difference between capital and leverage position of the Group on a fully loaded and
transitional basis.
4
    The countercyclical buffer is not required for banks in South Africa.
5
  SARB Directive 4/2020 requires the D-SIB add-on to be disclosed. Previously the disclosure of the D-SIB add-on was not a disclosure
requirement. Comparatives have been restated to allow for better comparability with prior period disclosures.
6
 The Group LCR reflects an aggregation of the Bank LCR and the ARO LCR. For this purpose, a simple average of the relevant three month-end
data points is used for ARO. For the Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
7
    Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates and offshore holdings.
8
    The 2020 minimum regulatory capital requirements (MCR) of 11.5% includes the capital conservation buffer, Pillar 2A at zero percent and the D-
    SIB add-on but excludes the bank-specific individual capital requirement (Pillar 2B add-on).
9
    SA-CCR amount is calculated using the CEM.
10
     The floor adjustment is not required for March 2021, due to the operational risk AMA modelled amount exceeding the AMA floor by R4.4bn.
11
  The four-year transition period for phasing in the RC impact of IFRS 9, as afforded by Directive 5 issued by the PA has been concluded at the end
of the 2020 financial year.
12
    IRC: incremental risk charge.
13
     Numbers reported are on a regulatory quarter-end basis
14
 Lines 1-4 and 11 were restated for the correct disclosure of derivative asset components. Cash variation margin received on derivative assets
were moved from line 1 to line 4.
15
     The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.


Johannesburg
31 May 2021

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




                                                                                                                                        Page 8 of 8

Date: 31-05-2021 09:02:00
Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 
The JSE does not, whether expressly, tacitly or implicitly, represent, warrant or in any way guarantee the truth, accuracy or completeness of
 the information published on SENS. The JSE, their officers, employees and agents accept no liability for (or in respect of) any direct, 
indirect, incidental or consequential loss or damage of any kind or nature, howsoever arising, from the use of SENS or the use of, or reliance on,
 information disseminated through SENS.

Share This Story