BARCLAYS AFRICA GROUP LIMITED - Barclays Africa Group \ABSA BANK - Base III Pillar 3 disclosure as at 31 March 2018

Release Date: 31/05/2018 14:30
Code(s): BGA ABSP
 
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Barclays Africa Group \ABSA BANK - Base III Pillar 3 disclosure as at 31 March 2018

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 2018

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), Barclays Africa 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.

Capital Adequacy

Barclays Africa Group Limited

Barclays Africa Group Limited (or the Group) remains capitalised above the minimum regulatory capital requirements
and above or within Board-approved target capital ranges.

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 Barclays Africa Group Limited at 31 March 2018 and comparatives at
31 December 2017.
                                                              31 Mar 2018 (1)                   31 Dec 2017 (1)
                                                                   IFRS (2)                         IFRS (2)
Regulatory Capital Position (excluding                          Rm                   %           Rm                 %
unappropriated profits)
Common Equity Tier 1 capital                               90 368                 12.3        91 297                 12.4
     Ordinary share capital                                  1 668                  0.2         1 666                  0.3
     Ordinary share premium                                10 784                   1.5       10 498                   1.4
     Reserves (3)                                          80 842                 11.0        85 048                 11.5
     Non-controlling interest                                1 882                  0.3         1 910                  0.3
     Deductions                                            (4 808)                (0.7)       (7 825)                (1.1)
Additional Tier 1 capital                                   3 949                  0.6          4 364                  0.6
Tier 1 capital                                             94 317                 12.9        95 661                 13.0



                                                                                                             Page 1 of 13
Tier 2 capital                                         15 990                 2.2       15 213                  2.0
Total Capital                                         110 307                15.1      110 874                 15.0


Statutory Capital Position (including                 IFRS (2)    Normalised (4)       IFRS (2)    Normalised (4)
unappropriated profits)                                     %                 %              %                 %
Common Equity Tier 1 capital                              13.3               11.9          13.5                12.1
Tier 1 capital                                            13.8               12.5          14.1                12.8
Total capital                                             16.0               14.7          16.1                14.9


Board Approved Target Ranges (including                  31 Mar 2018 (5)                     31 Dec 2017 (5)
unappropriated profits)
Common Equity Tier 1 capital                             10.00% - 11.50%                    10.00% - 11.50%
Tier 1 capital                                           11.75% - 13.25%                    11.50% - 13.00%
Total capital                                            14.25% - 15.75%                    14.00% - 15.50%


Absa Bank Limited (6)

Absa Bank Limited remains capitalised above the minimum regulatory capital requirements and above or within Board-
approved target capital ranges.

The table below represents the capital position for Absa Bank Limited at 31 March 2018 and comparatives at
31 December 2017.


                                                        31 Mar 2018 (1)                   31 Dec 2017 (1)

                                                            IFRS (2)                          IFRS (2)
Regulatory Capital Position (excluding
                                                          Rm                   %            Rm                  %
unappropriated profits)
Common Equity Tier 1 capital                           68 624                12.7       68 194              12.6
   Ordinary share capital                                 304                 0.1          304                 0.1
   Ordinary share premium                              36 880                 6.8       36 880                 6.8
   Reserves (3)                                        35 511                 6.6       37 545                 6.9
   Deductions                                         (4 071)               (0.8)       (6 535)             (1.2)
Additional Tier 1 capital                               3 347                 0.6        3 812                 0.7
Tier 1 capital                                         71 971                13.3       72 006              13.3
Tier 2 capital                                         15 072                 2.8       15 024                 2.8
Total Capital                                          87 043                16.1       87 030              16.1




                                                                                                      Page 2 of 13
Statutory Capital Position (including
unappropriated profits)                                   IFRS (2)     Normalised (4)      IFRS (2)           Normalised (4)
                                                                %                  %             %                        %

Common Equity Tier 1 capital                                 13.3                11.6            13.4                   11.6
Tier 1 capital                                               13.9                12.2            14.1                   12.3
Total capital                                                16.7                15.0                  16.9            15.0


Board Approved Target Ranges (including
unappropriated profits)                                      31 Mar 2018 (5)                         31 Dec 2017 (5)

Common Equity Tier 1 capital                                10.00% - 11.50%                       10.00% - 11.50%
Tier 1 capital                                              11.75% - 13.25%                       11.00% - 12.50%
Total capital                                               14.25% - 15.75%                       13.50% - 15.00%



Overview of Risk Weighted Assets (RWAs) [OV1]

                                                                           a                  b                           c
                                                           31 Mar 2018 (1)     31 Dec 2017 (1)            31 Mar 2018 (1)
                                                                                                         Minimum capital
                                                                       RWA                RWA
                                                                                                         requirements (7)
      Barclays Africa Group Limited                                      Rm                 Rm                          Rm
  1    Credit risk (excluding counterparty credit risk)              521 661            527 466                     58 035
  2      Of which standardised approach (SA)                         137 606            144 558                     15 309
  3      Of which internal rating-based (IRB)                        384 055            382 908                     42 726
         approach
  4    Counterparty credit risk (CCR)                                 27 773             38 126                      3 090
  5      Of which standardised approach for CCR                       27 773             38 126                      3 090
         (SA-CCR) (8)
  6      Of which internal model method (IMM)                              -                 -                            -
  7    Equity positions in banking book under                          9 606              9 707                      1 069
       market-based approach
  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                                                 1 908              1 130                        212
 12    Securitisation exposures in banking book                         453                460                          50
 13      Of which IRB ratings-based approach (RBA)                      453                460                          50
 14      Of which IRB supervisory formula approach                         -                  -                           -
         (SFA)
 15      Of which SA/simplified supervisory formula                        -                     -                        -


                                                                                                                 Page 3 of 13
            approach (SSFA)
 16       Market risk                                                 29 129              24 761                 3 241
 17         Of which standardised approach (SA)                       11 506               7 689                 1 280
 18         Of which internal model approaches (IMA)                  17 623              17 072                 1 961
 19       Operational risk                                           105 730            105 730                 11 762
 20         Of which basic indicator approach                           3 432              3 432                   381
 21         Of which standardised approach                            26 082              26 082                 2 902
 22         Of which advanced measurement approach                    76 216              76 216                 8 479
          Non-customer assets                                         24 871              24 167                 2 767
 23       Amounts below the thresholds for deduction                   5 388               5 345                   599
          (subject to 250% risk weight)
          IFRS 9 transitional adjustment                               5 565                    -                  619
 24       Floor adjustment                                                  -                   -                     -
 25       Total                                                      732 084            736 892                 81 444
          (1+4+7+8+9+10+11+12+16+19+23+24+non-
          customer assets+threshold items+IFRS9
          transitional adjustment)

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 R1.1bn mainly due to retail regulatory
            model updates and exposure growth in Corporate and Investment Banking (CIB) and Retail and Business
            Banking (RBB). This was partially offset by the implementation of IFRS 9, which reduces the RWA’s in respect
            of non-performing assets. Portfolios subject to the Standardised Approach have decreased by R7.0bn mainly
            due to exposure decreases outside South Africa as well as exchange rate fluctuations.
      -     CCR: The decrease in CCR of R10.4bn is due to methodology refinements in relation to the duration of trades
            combined with changes in the composition of the portfolio.
      -     Market Risk: The increase in market risk of R4.4bn is due to higher levels of Value at Risk (VaR) and stressed
            Value at Risk (sVaR) in the three-month averaging period as well as due to increases in exposures measured
            under the Standardised Approach.
      -     IFRS 9 transitional arrangement: The adjustment of R5.6bn represents that portion of the total release of
            RWA’s on non-performing loans arising as a result of the implementation of IFRS 9 which is required to be
            phased in over the transition period of three years.

                                                                            a                       b                     c
                                                            31 Mar 2018 (1)       31 Dec 2017 (1)        31 Mar 2018 (1)
                                                                                                        Minimum capital
                                                                        RWA                  RWA
                                                                                                        requirements (7)
      Absa Bank Limited (6)                                              Rm                    Rm                     Rm
 1    Credit risk (excluding counterparty credit risk)              384 362               384 998                 42 760

 2          Of which standardised approach (SA)                       12 050               12 882                   1 341
 3          Of which internal rating-based (IRB)                     372 312              372 116                  41 419
            approach
 4    CCR                                                             27 549               37 902                   3 065
 5          Of which standardised approach for CCR                    27 549               37 902                   3 065
            (SA-CCR) (8)
 6          Of which internal model method (IMM)                            -                   -                         -
 7    Equity positions in banking book under market-                   2 598                 2 707                    289


                                                                                                             Page 4 of 13
     based approach
 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                                                1 847                 1 069                    205
12   Securitisation exposures in banking book                         453                  460                      50
13       Of which IRB ratings-based approach (RBA)                    453                   460                     50
14       Of which IRB supervisory formula approach                       -                   -                        -
         (SFA)
15       Of which SA/simplified supervisory formula                      -                   -                        -
         approach (SSFA)
16   Market risk                                                   22 617               20 633                   2 516
17       Of which standardised approach (SA)                        4 994                 3 561                    555
18       Of which internal model approaches (IMA)                  17 623               17 072                   1 961
19   Operational risk                                              75 221               75 221                   8 368
20       Of which basic indicator approach                          3 348                 3 348                    372
21       Of which standardised approach                                  -                       -                    -
22       Of which advanced measurement approach                    71 873               71 873                   7 996
     Non-customer assets                                           19 509               18 688                   2 171
23   Amounts below the thresholds for deduction                     1 052                  521                     118
     (subject to 250% risk weight)
     IFRS 9 transitional adjustment                                 5 565                        -                 619
24   Floor adjustment                                                    -                       -                    -
25   Total                                                       540 773               542 199                 60 161
     (1+4+7+8+9+10+11+12+16+19+23+24+non-
     customer assets+threshold items+IFRS9
     transitional adjustment)


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 R0.2bn mainly due to retail regulatory
         model updates and exposure growth in CIB and RBB. This was partially offset by the implementation of IFRS 9,
         which reduces the RWA’s in respect of non-performing assets. The decrease in the Standardised Approach of
         R0.8bn is mainly due to a reduction in the size of the portfolio in South Africa measured on a standardised
         basis.
     -   CCR: The decrease in CCR of R10.4bn is due to methodology refinements in relation to the duration of trades
         combined with changes in the composition of the portfolio.
     -   Market Risk: The increase in market risk of R2.0bn is due to higher levels of Value at Risk (VaR) and stressed
         Value at Risk (sVaR) in the three-month averaging period as well as due to increases in exposures measured
         under the Standardised Approach.
     -   IFRS 9 transitional arrangement: The adjustment of R5.6bn represents that portion of the total release of
         RWA’s on non-performing loans arising as a result of the implementation of IFRS 9 which is required to be
         phased in over the transition period of three years.




                                                                                                          Page 5 of 13
Key Metrics [KM1]

In line with the requirements of IFRS 9, which became effective on 1 January 2018, Barclays Africa 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. Barclays Africa 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. The tables below reflect the
available capital and leverage when utilising the fully loaded and transitional arrangement ECL bases.

Barclays Africa Group Limited
                                                                                                                    a
                                                                                                    31 Mar 2018 (1,2)
          Available Capital (amounts) (excluding unappropriated profits)
                                                                                                                  Rm
 1        Common Equity Tier 1 (CET1) (Transitional basis)                                                    90 368
1a        Fully loaded ECL accounting model CET1                                                                88 737
 2        Tier 1 (Transitional basis)                                                                           94 317
2a        Fully loaded ECL accounting model Tier 1                                                              92 686
 3        Total capital (Transitional basis)                                                                  110 307
3a        Fully loaded ECL accounting model total capital                                                     108 676
          Risk-weighted assets (amounts)
 4        Total risk-weighted assets (RWA) (Transitional basis)                                               732 084
4a        Fully loaded RWA                                                                                    728 609
          Risk-based capital ratios as a percentage of RWA
 5        CET1 ratio (%) (Transitional basis)                                                                     12.3
5a        Fully loaded ECL accounting model CET1 (%)                                                              12.2
 6        Tier 1 ratio (%) (Transitional basis)                                                                   12.9
6a        Fully loaded ECL accounting model Tier 1(%)                                                             12.7
 7        Total capital ratio (%) (Transitional basis)                                                            15.1
7a        Fully loaded ECL accounting model total capital ratio (%)                                               14.9
          Additional CET1 buffer requirements as a percentage of RWA
 8        Capital conservation buffer requirement (2.5% from 2019) (%)                                              1.9
 9        Countercyclical buffer requirement (%)                                                                      -
10        Bank G-SIB and/or D-SIB additional requirements (%)                                                         -
11        Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)                              1.9
12        CET1 available after meeting the bank’s minimum capital requirements (%)                                  4.9
          Basel III leverage ratio
13        Total Basel III leverage ratio exposure measure                                                    1 332 584
14        Basel III leverage ratio (%) (row 2/ row 13) (Transitional basis)                                         7.1
14a       Fully loaded ECL accounting model Basel III leverage ratio (row 2a/ row 13) (%)                           7.0

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 2017)                                             382 908
     2    Asset size                                                                                             2 900
     3    Asset quality                                                                                              -
     4    Model updates                                                                                          5 197


                                                                                                          Page 6 of 13
    5    Methodology and policy                                                                                 (6 950)
    6    Acquisitions and disposals                                                                                   -
    7    Foreign exchange movements                                                                                   -
    8    Other                                                                                                        -
    9    RWA as at end of reporting period (31 Mar 2018)                                                       384 055

                                                                                                                      a
        Absa Bank Limited (6)                                                                             RWA amounts
                                                                                                                    Rm
    1    RWA as at end of previous reporting period (31 Dec 2017)                                              372 116
    2    Asset size                                                                                              2 927
    3    Asset quality                                                                                                -
    4    Model updates                                                                                            5 197
    5    Methodology and policy                                                                                 (7 928)
    6    Acquisitions and disposals                                                                                   -
    7    Foreign exchange movements                                                                                   -
    8    Other                                                                                                        -
    9    RWA as at end of reporting period (31 Mar 2018)                                                       372 312

RWA flow statements of market risk exposures under an Internal Models Approach [MR2]
        Barclays Africa Group Limited and
        Absa Bank Limited (6)                         a           b           c          d           e                f
                                                           Stressed
                                                   VaR         VaR         IRC        CRM        Other      Total RWA
                                                   Rm           Rm         Rm          Rm          Rm               Rm
1       RWA at previous quarter end (31 Dec
                                                 7 501        9 571           -           -           -         17 072
        2017)
2       Movements in risk levels                 (642)        2 662           -           -           -          2 020
3       Model updates/changes                    (528)         (941)                                            (1 469)
4       Methodology and policy                        -             -         -           -          -                -
5       Acquisitions and disposals                    -             -         -           -          -                -
6       Foreign exchange movements                    -             -         -           -          -                -
7       Other                                         -             -         -           -          -                -
8       RWA at end of reporting period (31
                                                 6 331       11 292           -           -          -          17 623
        Mar 2018)


Capital consumption of Barclays Africa Group Limited and Absa Bank Limited’s portfolios subject to the Internal Models
Approach increased by R0.5bn from December 2017 to March 2018. Drivers of quarter on quarter changes in RWA
consumption are due to increased levels of sVaR driven by an increase in foreign currency net open positions and
interest rate risk held.




                                                                                                           Page 7 of 13
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 Barclays Africa Group Limited and Absa Bank Limited at 31 March
2018 and the comparatives for the past three quarter end periods, namely 31 December 2017, 30 September 2017 and
30 June 2017.

                                                                    2018                         2017

    Barclays Africa Group Limited                                    31 Mar       31 Dec            30 Sep       30 Jun

    Leverage exposure (Rm)                                        1 332 584    1 311 893      1 318 673       1 259 572
    Tier 1 capital (excluding unappropriated profits) (2) (Rm)       94 317       95 661            98 736      96 225
    IFRS leverage ratio (excluding unappropriated profits) (2)
                                                                         7.1         7.3               7.5          7.6
    (%)
    IFRS leverage ratio (including unappropriated profits) (2)
                                                                         7.6         7.9               7.9          8.1
    (%)
    Normalised leverage ratio (including unappropriated
                                                                         6.9         7.2               7.0          7.2
    profits) (4)
    Board target leverage ratio (including unappropriated
                                                                       ?4.5         ?4.5              ?4.5         ?4.5
    profits) (%)
    Minimum required leverage ratio (%)                                  4.0         4.0               4.0          4.0

                                                                    2018                            2017
Absa Bank Limited (6)                                               31 Mar       31 Dec              30 Sep       30 Jun

Leverage exposure (Rm)                                            1 178 080    1 153 338       1 136 516       1 095 984
Tier 1 capital (excluding unappropriated profits) (2) (Rm)           71 971      72 006              72 860       71 613
IFRS leverage ratio (excluding unappropriated profits) (2)
                                                                         6.1         6.2                6.4          6.5
(%)
IFRS leverage ratio (including unappropriated profits) (2) (%)           6.4         6.6                6.7          7.0
Normalised leverage ratio (including unappropriated profits)
                                                                         5.6         5.8                5.6          6.0
(4)
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



Barclays Africa Group Limited
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
                                                                                                a
                                                                                  31 Mar 2018            31 Dec 2017
      Item
                                                                                      Rm                     Rm
1     Total consolidated assets                                                      1 174 244                1 165 979
2     Adjustment for investments in banking, financial, insurance or
      commercial entities that are consolidated for accounting purposes but            (37 646)                 (37 808)
      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                                     (8 915)               (8 142)

                                                                                                              Page 8 of 13
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
                                                                                    204 901            191 864
     equivalent amounts of off-balance sheet exposures)
7    Other adjustments                                                                    -                  -
8    Leverage ratio exposure measure                                              1 332 584          1 311 893

Leverage ratio common disclosure template [LR2]

                                                                                          a                 b

                                                                                 31 Mar 2018       31 Dec 2017
      Item                                                                                             Rm
                                                                                     Rm
      On-balance sheet exposures
1     On-balance sheet exposures (excluding derivatives and securities
                                                                                      1 052 077       1 035 107
      financing transactions (SFTs), but including collateral)
2     (Asset amounts deducted in determining Basel III Tier 1 capital)                  (5 470)         (7 249)
3     Total on-balance sheet exposures (excluding derivatives and SFTs
                                                                                     1 046 607        1 027 858
      (sum of lines 1 and 2)
      Derivative exposures
4     Replacement cost associated with all derivatives transactions (where
      applicable net of eligible cash variation margin and/or with bilateral            17 697           18 461
      netting)
5     Add-on amounts for PFE associated with all derivatives transactions               21 854           22 359
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                  20 196           10 340
10    (Adjusted effective notional offsets and add-on deductions for written
      credit derivatives)                                                                    -               -
11    Total derivative exposures (sum of rows 4 to 10)                                  59 747          51 160
      Security financing transaction exposures
12    Gross SFT assets (with no recognition of netting), after adjusting for
                                                                                        34 287           34 595
      sale 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)                                                                               34 287          34 595
      Other off-balance sheet exposures
17    Off-balance sheet exposures at gross notional amount                              305 456         319 227
18    (Adjustments for conversion to credit equivalent amounts)                       (111 882)       (120 947)
19    Off-balance sheet items (sum of rows 17 to 18)                                   193 574         198 280
      Capital and total exposures
20    Tier 1 capital (excluding unappropriated profits) (2)                             94 317          95 661
21    Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
      adjustment                                                                     1 334 215        1 311 893
      IFRS 9 transitional adjustment                                                    (1 631)               -
      Total exposures (including IFRS 9 adjustment)                                  1 332 584        1 311 893
      Leverage ratio
22    Basel III leverage ratio (2)                                                        7.1%            7.3%




                                                                                                     Page 9 of 13
Key drivers of change in the leverage ratio quarter on quarter were mainly as a result of an increase in on-balance sheet
exposures combined with a decrease in Tier 1 capital supply due to the payment of the 2017 final dividend.

Absa Bank Limited (6)


Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
                                                                                               a

                                                                                    31 Mar 2018             31 Dec 2017
     Item
                                                                                        Rm                      Rm
1    Total consolidated assets                                                            995 397                 988 358
2    Adjustment for investments in banking, financial, insurance or
     commercial entities that are consolidated for accounting purposes but                          -                      -
     outside the scope of regulator 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                                      (8 920)                (7 779)
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
                                                                                           191 603               172 759
     equivalent amounts of off-balance sheet exposures)
7    Other adjustments                                                                              -                      -
8    Leverage ratio exposure measure                                                    1 178 080               1 153 338

     Leverage ratio common disclosure template [LR2]
                                                                                                a                      b

                                                                                    31 Mar 2018             31 Dec 2017
      Item                                                                                                      Rm
                                                                                        Rm
      On-balance sheet exposures
      On-balance sheet exposures (excluding derivatives and securities
1                                                                                           910 874              894 706
      financing transactions (SFTs), but including collateral)
2     (Asset amounts deducted in determining Basel III Tier 1 capital)                       (4 151)              (5 896)
      Total on-balance sheet exposures (excluding derivatives and SFTs
                                                                                            906 723              888 810
3     (sum of lines 1 and 2)
      Derivative exposures
      Replacement cost associated with all derivatives transactions (where
4     applicable net of eligible cash variation margin and/or with bilateral                  17 697               18 461
      netting)
5     Add-on amounts for PFE associated with all derivatives transactions                     21 854               22 359
      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                        20 196               10 340
      (Adjusted effective notional offsets and add-on deductions for
                                                                                                        -                  -
10    written credit derivatives)
11    Total derivative exposures (sum of rows 4 to 10)                                       59 747               51 160
      Security financing transaction exposures
      Gross SFT assets (with no recognition of netting), after adjusting for
12                                                                                            34 285               34 595
      sale accounting transactions
13    (Netted amounts of cash payables and cash receivables of gross SFT                                -                  -

                                                                                                              Page 10 of 13
     assets)
14   CCR exposure for SFT assets                                                                      -                  -
15   Agent transaction exposures                                                                      -                  -
     Total securities financing transaction exposures (sum of rows 12 to
                                                                                                34 285             34 595
16   15)
     Other off-balance sheet exposures
17   Off-balance sheet exposures at gross notional amount                                      286 352            284 351
18   (Adjustments for conversion to credit equivalent amounts)                               (107 915)          (105 578)
19   Off-balance sheet items (sum of rows 17 to 18)                                           178 437            178 773
     Capital and total exposures
20   Tier 1 capital (excluding unappropriated profits) (2)                                      71 971             72 006
     Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
21   adjustment                                                                              1 179 192         1 153 338
     IFRS 9 transitional adjustment                                                             (1 112)                -
     Total exposures including IFRS 9 adjustment                                             1 178 080         1 153 338
     Leverage ratio
22   Basel III leverage ratio (2)                                                                 6.1%               6.2%

Key drivers of change in the leverage ratio quarter on quarter were mainly as a result of an increase in on-balance sheet
exposures combined with a decrease in Tier 1 capital supply due to the payment of the 2017 final dividend.

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 2018 is 90% (2017: 80%).

The LCR calculation is based on the value of the total HQLA divided by the net cash outflows (NCO) over the next 30
calendar days. The HQLA represents the value of assets, which can be converted into cash, whilst the NCO are
calculated according to regulations.

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.



Barclays Africa Group Limited


Barclays Africa Group Limited holds HQLA well in excess of the regulatory minimum requirement. The table below
represents the average LCR for Barclays Africa Group Limited at 31 March 2018 and the comparatives at 31 December
2017:
                                                         31 Mar 2018 (1,10)    31 Dec 2017 (1,10)

 High Quality Liquid Assets (Rm)                                        172 477                  157 119

 Net Cash Outflows (Rm)                                                 158 523                  146 104

 LCR (%)                                                                   108.8                   107.5

 Required LCR (%)                                                           90.0                     80.0




                                                                                                             Page 11 of 13
Absa Bank Limited (11)

Absa Bank Limited holds HQLA well in excess of the regulatory minimum requirement. The table below represents the
average LCR for Absa Bank Limited at 31 March 2018 and the comparatives at 31 December 2017:

                                                           31 Mar 2018 (1,9)       31 Dec 2017 (1,9)
 High Quality Liquid Assets (Rm)                                      158 462                144 970

 Net Cash Outflows (Rm)                                               142 688                129 845

 LCR (%)                                                                111.1                   111.6

 Required LCR (%)                                                         90.0                   80.0



Notes:
1. The 31 March 2018 figures are unaudited whilst the 31 December 2017 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 2018 have already been reduced by the value of the 2017 year-end final ordinary dividend
    of R5bn for Barclays Africa Group Limited and R3bn for Absa Bank Limited, which were declared on 1 March 2018
    and paid on 16 April 2018.
4. The normalised ratios exclude the impact of the Separation from Barclays PLC and reflect the underlying
    performance of the Group.
5. The Board-approved target capital ranges apply to statutory ratios on both an IFRS and 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 2018 of 11.13% (2017: 10.75%) include the RSA
    minimum of 8% (2017: 8%), Pillar 2a of 1.25% (2017: 1.50%) and capital conservation buffer of 1.88% (2017:
    1.25%) but exclude 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 will
    reduce between 1 January 2016 and 1 January 2019 reaching 1.00% by 1 January 2019.
8. SA-CCR is calculated using the Current Exposure Method.
9. The Absa Bank Limited LCR for the quarter ended 31 March 2018 is calculated on a simple average of 90 calendar-
    day observations, whilst the December 2017 quarter end was based on simple average of the relevant 3 month-end
    data points.
10. The Barclays Africa Group Limited LCR for both 31 March 2018 and 31 December 2017, reflects an aggregation of
    the Absa Bank Limited LCR as noted in (9) above and a simple average of the relevant 3 month-end data points of
    the non-South African banking entities. In addition, the surplus HQLA of non-South African banking entities in
    excess of the minimum requirement of 90% has been excluded from the calculation.
11. For liquidity reporting purposes Absa Bank Limited represents the banking operation in South Africa.



Johannesburg
31 May 2018

Enquiries:
Alan Hartdegen
(+2711) 350-2598
E-mail: Alan.Hartdegen@barclaysafrica.com


                                                                                                          Page 12 of 13
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited

Joint Sponsor:
Corporate and Investment Banking – a division of Absa Bank Limited




                                                                     Page 13 of 13

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