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Barclays Africa Group/Absa Bank- Barclays Africa Group Limited - Base III Pillar 3 Disclosure as at 31 March 2017
BARCLAYS AFRICA 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: ZAE000174124 ISIN: ZAE000079810
JSE share code: BGA JSE share code: ABSP
(Barclays Africa Group) (Absa Bank)
BARCLAYS AFRICA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2017
The quarterly Pillar 3 disclosure is made in accordance with the requirements of the Banks Act, No. 94 of 1990 (the
Banks Act) read together with South African Reserve Bank Directive 11 of 2015 (D11/2015) and the Basel
Committee on Banking Supervision’s Revised Pillar 3 disclosure requirements issued on 28 January 2015.
1) Capital Adequacy
Barclays Africa Group Limited
Barclays Africa Group Limited remains capitalised above the minimum regulatory capital requirements and
above/within our board approved target capital ranges. As at 31 March 2017, Barclays Africa Group Limited’s
Common Equity Tier 1 ratio was 11.8%, Tier 1 ratio was 12.2% and Total Capital Adequacy ratio was 14.5%, all as
reported on a statutory capital basis.
The table below represents the capital position for Barclays Africa Group Limited at 31 March 2017 and the
comparatives at 31 December 2016.
31 Mar 2017 (1) 31 Dec 2016 (1)
Statutory Capital Position (including unappropriated
Rm % Rm %
profit)
Common Equity Tier 1 capital (2) 83 298 11.8% 85 434 12.1%
Tier 1 capital 86 348 12.2% 88 991 12.6%
Total capital 102 420 14.5% 104 486 14.8%
Board Approved Target Ranges (including
unappropriated profit)
Common Equity Tier 1 capital 10.0% - 11.5% 9.5% - 11.5%
Tier 1 capital 11.5% - 13.0% 10.5% - 12.5%
Total capital 14.0% - 15.5% 13.0% - 15.0%
Regulatory Capital Position (excluding
unappropriated profit)
Common Equity Tier 1 capital 79 199 11.2% 80 451 11.4%
Share capital and premium 6 015 6 161
Reserves (2) 78 048 78 546
Non-controlling interest - ordinary shares 1 776 2 084
Deductions (6 640) (6 340)
Additional Tier 1 capital 3 050 0.5% 3 557 0.5%
Tier 1 capital 82 249 11.7% 84 008 11.9%
Tier 2 capital 16 072 2.2% 15 495 2.2%
Total capital 98 321 13.9% 99 503 14.1%
Page 1 of 8
Absa Bank Limited (3)
Absa Bank Limited remains capitalised above the minimum regulatory capital requirements and above/within our
board approved target capital ranges. As at 31 March 2017, Absa Bank Limited’s Common Equity Tier 1 ratio was
11.7%, Tier 1 ratio was 12.1% and Total Capital Adequacy ratio was 15.2%, all as reported on a statutory capital
basis.
The table below represents the capital position for Absa Bank Limited at 31 March 2017 and comparatives at
31 December 2016.
31 Mar 2017 (1) 31 Dec 2016 (1)
Statutory Capital Position (including unappropriated
Rm % Rm %
profit)
Common Equity Tier 1 capital 59 934 11.7% 59 986 11.6%
Tier 1 capital 62 228 12.1% 62 744 12.2%
Total capital 77 889 15.2% 77 769 15.1%
Board Approved Target Ranges (including
unappropriated profit)
Common Equity Tier 1 capital 10.0% – 11.5% 9.0% - 10.5%
Tier 1 capital 11.0% - 12.5% 10.0% - 11.5%
Total capital 13.5% - 15.0% 12.5% - 14.0%
Regulatory Capital Position (excluding unappropriated
profit)
Common Equity Tier 1 capital 53 363 10.4% 54 185 10.5%
Share capital and premium 25 268 25 268
Reserves (2) 33 148 33 560
Deductions (5 053) (4 643)
Additional Tier 1 capital 2 293 0.5% 2 758 0.5%
Tier 1 capital 55 656 10.9% 56 943 11.0%
Tier 2 capital 15 661 3.0% 15 025 3.0%
Total capital 71 317 13.9% 71 968 14.0%
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, in the domestic and/or international capital markets.
Page 2 of 8
2) Overview of Risk Weighted Assets (RWA)
a b c
31 Mar 2017 (1) 31 Dec 2016 (1) 31 Mar 2017 (1)
RWA RWA Minimum
capital
requirements (4)
Barclays Africa Group Limited Rm Rm Rm
1 Credit risk (excluding counterparty credit risk) (CCR) 505 936 498 826 40 475
2 Of which standardised approach (SA) 141 013 140 001 11 281
3 Of which internal rating-based (IRB) approach 364 923 358 825 29 194
4 CCR (5)
30 439 33 337 2 435
5 Of which standardised approach for CCR (SA-CCR) 30 439 33 337 2 435
6 Of which internal model method (IMM) - - -
Equity positions in banking book under market-based
7
approach 9 395 9 658 752
8 Equity investments in funds – look-through approach - - -
9 Equity investments in funds – mandate-based approach - - -
10 Equity investments in funds – fall-back approach - - -
11 Settlement risk 981 1 842 78
12 Securitisation exposures in banking book 553 576 44
13 Of which IRB ratings-based approach (RBA) 553 576 44
14 Of which IRB Supervisory Formula Approach (SFA) - - -
Of which SA/simplified supervisory formula approach
15
(SSFA) - - -
16 Market risk 27 480 28 890 2 199
17 Of which standardised approach (SA) 9 436 8 447 755
18 Of which internal model approaches (IMM) 18 044 20 443 1 444
19 Operational risk 100 433 100 433 8 035
20 Of which Basic Indicator Approach 3 849 3 849 308
21 Of which Standardised Approach 25 156 25 156 2 013
22 Of which Advanced Measurement Approach 71 428 71 428 5 714
Non-customer assets 22 748 23 524 1 820
Amounts below the thresholds for deduction (subject to
23
250% risk weight) 7 043 6 699 563
24 Floor adjustment - - -
Total (1+4+7+8+9+10+11+12+16+19+23+24+non-
25
customer assets) 705 008 703 785 56 401
Pillar 2a requirement (1.5%) 10 575
Capital conservation buffer (1.25%) (6)
8 813
S.A. minimum capital requirements including buffers (7) 75 789
Page 3 of 8
BAGL’s overall RWA’s increased by R1.2bn from December 2016 to March 2017 mainly due to an increase in credit
risk as a result of exchange rate movements for entities outside South Africa as well as loan growth in Corporate
and Investment Banking (CIB). This was offset by a decrease in CCR primarily as a result of settlements and market
movements specific to foreign currency and interest rate swaps and market risk driven by a decrease in Daily Value
at Risk (DVaR) and Stressed Value at Risk (sVaR) due to the decreased market volatility over the period of
observation in the internal models DVaR and sVaR measure for the South African business.
a b c
31 Mar 2017 (1) 31 Dec 2016 (1) 31 Mar 2017 (1)
RWA RWA Minimum
capital
requirements (4)
Rm Rm Rm
Absa Bank Limited (3)
1 Credit risk (excluding counterparty credit risk) (CCR) 369 475 366 099 29 558
2 Of which standardised approach (SA) 13 580 15 018 1 086
3 Of which internal rating-based (IRB) approach 355 895 351 081 28 472
4 CCR (5) 29 837 32 814 2 387
5 Of which standardised approach for CCR (SA-CCR) 29 837 32 814 2 387
6 Of which internal model method (IMM) - - -
Equity positions in banking book under market-based
7
approach 2 606 2 775 208
8 Equity investments in funds – look-through approach - - -
9 Equity investments in funds – mandate-based approach
- - -
10 Equity investments in funds – fall-back approach
- - -
11 Settlement risk 908 1 773 73
12 Securitisation exposures in banking book 554 576 44
13 Of which IRB ratings-based approach (RBA) 554 576 44
14 Of which IRB Supervisory Formula Approach (SFA)
- - -
Of which SA/simplified supervisory formula approach
15
(SSFA) - - -
16 Market risk 20 948 22 935 1 676
17 Of which standardised approach (SA) 2 904 2 492 232
18 Of which internal model approaches (IMM) 18 044 20 443 1 444
19 Operational risk 70 895 70 895 5 672
20 Of which Basic Indicator Approach 3 772 3 772 302
21 Of which Standardised Approach - - -
22 Of which Advanced Measurement Approach 67 123 67 123 5 370
Non-customer assets 16 681 16 943 1 334
Amounts below the thresholds for deduction (subject to
23
250% risk weight) 785 657 63
24 Floor adjustment
- - -
Total (1+4+7+8+9+10+11+12+16+19+23+24+non-
25
customer assets) 512 689 515 467 41 015
Page 4 of 8
Pillar 2a requirement (1.5%) 7 690
Capital conservation buffer (1.25%) (6) 6 409
S.A. minimum capital requirements including buffers (7) 55 114
Absa Bank Limited’s overall RWA’s decreased by R2.8bn from December 2016 to March 2017 mainly due to an
increase in credit risk as a result of loan growth in CIB. This was offset by a decrease in CCR primarily as a result of
settlements and market movements specific to foreign currency and interest rate swaps as well as market risk
driven by a decrease in DVaR and sVaR due to the decreased market volatility over the period of observation in the
internal models DVaR and sVaR measure for the South African business.
RWA flow statements of credit risk exposures under IRB RWA flow statements of credit risk exposures under
IRB (CR8)
a
Barclays Africa Group Limited RWA amounts
Rm
1 RWA as at end of previous reporting period (31 Dec 2016) 358 825
2 Asset size 6 098
3 Asset quality -
4 Model updates -
5 Methodology and policy -
6 Acquisitions and disposals -
7 Foreign exchange movements -
8 Other -
9 RWA as at end of reporting period (31 Mar 2017) 364 923
a
Absa Bank Limited (3) RWA amounts
Rm
1 RWA as at end of previous reporting period (31 Dec 2016) 351 081
2 Asset size 4 814
3 Asset quality -
4 Model updates -
5 Methodology and policy -
6 Acquisitions and disposals -
7 Foreign exchange movements -
8 Other -
9 RWA as at end of reporting period (31 Mar 2017) 355 895
There were no significant changes in the BAGL and Absa Bank’s IRB RWA amounts over the past quarter. Increases
due to asset growth were largely due to increased loan growth in CIB.
Page 5 of 8
RWA flow statements of market risk exposures under an Internal Models Approach (MR2)
a b c d e f
Stressed Total
VaR VaR IRC CRM Other RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end (31 Dec 2016) 8 406 12 037 - - - 20 443
2 Movements in risk levels (1 356) (1 043) - - - (2 399)
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals) - - - - - -
11 Other - - - - - -
12 RWA at end of reporting period (31 Mar 2017) 7 050 10 994 - - - 18 044
Capital consumption of BAGL and Absa Bank’s portfolios subject to the Internal Models Approach decreased by
R2.4bn from December 2016 to March 2017. Drivers of quarter on quarter changes in RWA consumption are
summarised as follows:
o Value at Risk (VaR) and Stressed Value at Risk (sVaR): Market Risk capital requirements noted a
decrease over the quarter, largely driven by a decrease in the VaR and sVaR capital adequacy as a result of
larger values of the measure (caused by the increased market volatility noted over the last quarter of
2016) falling off the three-month averaging period.
3) 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 table below represents the leverage ratios for Barclays Africa Group Limited at 31 March 2017 and the
comparatives for the past three quarter end periods, namely 30 June 2016, 30 September 2016 and 31 December
2016.
2017 2016
Barclays Africa Group Limited 31 Mar 31 Dec 30 Sep 30 Jun
Leverage ratio exposure (Rm) 1 254 437 1 251 249 1 255 335 1 336 240
Tier 1 Capital (excluding unappropriated profit) (Rm) 82 249 84 008 82 210 82 962
Tier 1 Capital (including unappropriated profit) (Rm) 86 348 88 991 86 529 88 090
Leverage ratio (excluding unappropriated profit) (%) 6.6 6.7 6.5 6.2
Leverage ratio (including unappropriated profit) (%) 6.9 7.1 6.9 6.6
Board target leverage ratio (including unappropriated
profit) (%) ?4.5 ?4.5 ?4.5 ?4.5
Minimum required leverage ratio (%) 4.0 4.0 4.0 4.0
Page 6 of 8
The table below represents the leverage ratios for Absa Bank Limited at 31 March 2017 and the comparatives for
the past three quarter end periods, namely 30 June 2016, 30 September 2016 and 31 December 2016.
2017 2016
Absa Bank Limited (3) 31 Mar 31 Dec 30 Sep 30 Jun
Leverage ratio exposure (Rm)
1 092 562 1 088 789 1 083 526 1 148 984
Tier 1 Capital (excluding unappropriated profit) (Rm) 55 656 56 943 54 197 53 676
Tier 1 Capital (including unappropriated profit) (Rm) 62 228 62 744 59 274 57 178
Leverage ratio (excluding unappropriated profit) (%) 5. 1 5.2 5.0 4.7
Leverage ratio (including unappropriated profit) (%) 5. 7 5.8 5.5 5.0
Board target leverage ratio (including unappropriated
profit) (%) 4.5 4.5 4.5 4.5
Minimum required leverage ratio (%) 4.0 4.0 4.0 4.0
4) 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 high quality liquid assets (HQLA) to survive a significant stress
scenario lasting 30 calendar days. The LCR became effective on 1 January 2015, with a requirement of 60%, which
will increase by 10% per year to 100% on 1 January 2019. The requirement for 2017 is 80%.
The LCR is calculated as the value of HQLA divided by total net cash outflows. HQLA represents the value of assets
that can be easily and immediately converted into cash. Net cash outflows are calculated according to regulations.
Absa Bank Limited successfully applied for a committed liquidity facility from the South African Reserve Bank under
Guidance Note 6 of 2016, which is included in HQLA for LCR purposes from January 2016.
Barclays Africa Group Limited (8)
Barclays Africa Group Limited holds HQLA well in excess of the regulatory minimum requirement. The table below
represents the average LCR (9) for Barclays Africa Group Limited at 31 March 2017 and the comparatives at 31
December 2016:
31 Mar 2017 (1) 31 Dec 2016 (1)
High Quality Liquid Assets (Rm) 155 257 142 758
Net Cash Outflows (Rm) 154 679 149 017
Liquidity Coverage Ratio (%) 100.4 95.8
Required Liquidity Coverage Ratio (%) 80.0 70.0
Page 7 of 8
Absa Bank Solo (10)
Absa Bank Solo holds HQLA well in excess of the regulatory minimum requirement. The table below represents the
average LCR (9) for Absa Bank Solo at 31 March 2017 and the comparatives at 31 December 2016:
31 Mar 2017 (1) 31 Dec 2016 (1)
High Quality Liquid Assets (Rm) 143 939 134 142
Net Cash Outflows (Rm) 138 466 135 354
Liquidity Coverage Ratio (%) 104.0 99.1
Required Liquidity Coverage Ratio (%) 80.0 70.0
Notes:
1. The 31 March 2017 figures are unaudited whilst the 31 December 2016 comparatives are reported on an
audited basis.
2. Reserves as at 31 March 2017 have already been reduced by the value of the 2016 year-end final ordinary
dividend of R4.8bn for BAGL and R2.1bn for Absa Bank Limited, which were declared on 23 February 2017 and
paid on 10 April 2017. This was the main contributor to the reduction in the CET1 ratio from 12.1% to 11.8%
over the quarter.
3. Absa Bank Limited includes subsidiary undertakings, special purpose entities, joint ventures, associates and
offshore holdings.
4. The 2017 minimum regulatory capital requirements are calculated at the BIS minimum regulatory capital
requirement of 8%.
5. SA-CCR is calculated using the Current Exposure Method.
6. The Capital conservation buffer is phased in between 1 January 2016 and 1 January 2019 reaching 2.5% by 1
January 2019.
7. The 2017 minimum regulatory capital requirements of 10.75% (2016: 10.375%) include the RSA minimum of
8%, Pillar 2a of 1.50% (2016: 1.75 %) and capital conservation buffer of 1.25% (2016: 0.625%) but exclude the
bank-specific individual capital requirement (Pillar 2b add-on) and the domestic systemically important banks
(D-SIB) add-on.
8. The LCR of Barclays Africa Group Limited represents an aggregation of the relevant individual net cash outflows
and HQLA portfolios of only the banking entities. HQLA holdings in excess of the minimum LCR requirement
have been excluded from the aggregated HQLA number for all non-South African banking entities.
9. The values disclosed represent the simple average of the relevant 3 month-end data points.
10. Absa Bank Solo includes the South African banking operation.
Johannesburg
31 May 2017
Enquiries:
Alan Hartdegen
(+2711) 350-2598
E-mail: Alan.Hartdegen@barclaysafrica.com
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: 31/05/2017 09:33:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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