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Barclays Africa Group Limited - Basel III Pillar 3 Disclosure as at 30 September 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 30 SEPTEMBER 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 Directive 11 of 2014
(D11/2014), as well as 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 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, in the domestic and/or international capital markets.
The table below represents the capital position for Barclays Africa Group Limited at 30 September 2017 and comparatives
at 30 June 2017.
30 Sep 2017 (1) 30 Jun 2017 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 94 489 12.9 93 560 12.9
Ordinary share capital 1 694 0.2 1 694 0.2
Ordinary share premium 12 898 1.8 12 868 1.8
Reserves (3) 85 067 11.6 83 681 11.5
Non-controlling interest 2 048 0.3 1 831 0.3
Deductions (7 218) (1.0) (6 514) (0.9)
Additional Tier 1 capital 4 247 0.6 2 665 0.4
Tier 1 capital 98 736 13.5 96 225 13.3
Tier 2 capital 16 412 2.2 14 659 2.0
Total Capital 115 148 15.7 110 884 15.3
Page 1 of 9
Statutory Capital Position (including IFRS (2) Normalised (4) IFRS (2) Normalised (4)
unappropriated profits) % % % %
Common Equity Tier 1 capital 13.6 12.0 13.7 12.1
Tier 1 capital 14.2 12.7 14.0 12.4
Total capital 16.4 15.0 16.1 14.5
Board Approved Target Ranges (including 30 Sep 2017 30 Jun 2017
unappropriated profits)
Common Equity Tier 1 capital 10.0% - 11.5% 10.0% - 11.5%
Tier 1 capital 11.5% - 13.0% 11.5% - 13.0%
Total capital 14.0% - 15.5% 14.0% - 15.5%
Absa Bank Limited (5)
Absa Bank Limited remains capitalised above the minimum regulatory capital requirements and above board approved
target capital ranges.
The table below represents the capital position for Absa Bank Limited at 30 September 2017 and comparatives at 30
June 2017.
30 Sep 2017 (1) 30 Jun 2017 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding
Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 69 049 13.1 69 320 13.2
Ordinary share capital 304 0.1 304 0.1
Ordinary share premium 36 880 7.0 36 880 7.0
Reserves (3) 37 686 7.1 37 068 7.0
Deductions (5 821) (1.1) (4 932) (0.9)
Additional Tier 1 capital 3 811 0.7 2 293 0.4
Tier 1 capital 72 860 13.8 71 613 13.6
Tier 2 capital 16 838 3.2 15 154 2.9
Total Capital 89 698 17.0 86 767 16.5
Statutory Capital Position (including
IFRS (2) Normalised (4) IFRS (2) Normalised (4)
unappropriated profits)
% % % %
Common Equity Tier 1 capital 13.6 11.4 14.1 11.9
Tier 1 capital 14.3 12.2 14.5 12.3
Total capital 17.5 15.3 17.4 15.2
Page 2 of 9
Board Approved Target Ranges (including
unappropriated profits) 30 Sep 2017 30 Jun 2017
Common Equity Tier 1 capital 10.0% - 11.5% 10.0% - 11.5%
Tier 1 capital 11.0% – 12.5% 11.0% – 12.5%
Total capital 13.5% - 15.0% 13.5% - 15.0%
2) Overview of Risk Weighted Assets (RWAs) [OV1]
a b c
30 Sep 2017 (1) 30 Jun 2017 (1) 30 Sep 2017 (1)
Minimum capital
RWA RWA
requirements (6)
Barclays Africa Group Limited Rm Rm Rm
1 Credit risk (excluding counterparty credit risk) 534 497 515 946 42 760
2 Of which standardised approach (SA) 152 922 146 408 12 234
3 Of which internal rating-based (IRB) 381 575 369 538 30 526
approach
4 Counterparty credit risk (CCR) 31 448 32 156 2 516
5 Of which standardised approach for CCR 31 448 32 156 2 516
(SA-CCR) (7)
6 Of which internal model method (IMM) - - -
7 Equity positions in banking book under 9 521 9 223 761
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 435 583 35
12 Securitisation exposures in banking book 492 564 39
13 Of which IRB ratings-based approach (RBA) 492 564 39
14 Of which IRB Supervisory Formula - - -
Approach (SFA)
15 Of which SA/simplified supervisory formula - - -
approach (SSFA)
16 Market risk 23 993 32 284 1 919
17 Of which standardised approach (SA) 9 292 10 645 743
18 Of which internal model approaches (IMA) 14 701 21 639 1 176
19 Operational risk 103 487 103 487 8 279
20 Of which Basic Indicator Approach 3 528 3 528 282
21 Of which Standardised Approach 25 533 25 533 2 043
22 Of which Advanced Measurement 74 426 74 426 5 954
Approach
Page 3 of 9
Non-customer assets 23 845 24 904 1 908
23 Amounts below the thresholds for deduction 5 175 5 633 414
(subject to 250% risk weight)
24 Floor adjustment - - -
25 Total 732 893 724 780 58 631
(1+4+7+8+9+10+11+12+16+19+23+24+non-
customer assets)
Pillar 2a requirement (1.5%) 10 994
Capital conservation buffer (1.25%) (8) 9 161
S.A. minimum capital requirements including 78 786
buffers (9)
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 R12bn as a result of exposure growth in
Corporate and Investment Banking (CIB). Portfolios subject to the SA have increased by R6.5bn mainly due to
asset growth outside of South Africa as well as exchange rate fluctuations.
- CCR: The decrease in CCR of R0.7bn is in line with market volatility, specifically exchange rate fluctuations.
- Market risk: The decrease in market risk of R8.3bn is due to lower levels of Value at Risk (VaR) and Stressed
Value at Risk (sVaR) in the three-month averaging period.
a b c
30 Sep 2017 (1) 30 Jun 2017 (1) 30 Sep 2017 (1)
Minimum capital
RWA RWA
requirements (6)
Absa Bank Limited (5) Rm Rm Rm
1 Credit risk (excluding counterparty credit risk) 383 693 373 604 30 695
2 Of which standardised approach (SA) 12 396 13 545 991
3 Of which internal rating-based (IRB) 371 297 360 059 29 704
approach
4 CCR 30 955 31 815 2 476
5 Of which standardised approach for CCR 30 955 31 815 2 476
(SA-CCR) (7)
6 Of which internal model method (IMM) - - -
7 Equity positions in banking book under market- 2 494 2 493 200
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 435 583 35
12 Securitisation exposures in banking book 492 564 39
13 Of which IRB ratings-based approach (RBA) 492 564 39
14 Of which IRB Supervisory Formula - - -
Approach (SFA)
15 Of which SA/simplified supervisory formula - - -
Page 4 of 9
approach (SSFA)
16 Market risk 18 076 24 741 1 446
17 Of which standardised approach (SA) 3 375 3 102 270
18 Of which internal model approaches (IMA) 14 701 21 639 1 176
19 Operational risk 73 612 73 612 5 889
20 Of which Basic Indicator Approach 3 439 3 439 275
21 Of which Standardised Approach - - -
22 Of which Advanced Measurement 70 173 70 173 5 614
Approach
Non-customer assets 17 898 17 971 1 432
23 Amounts below the thresholds for deduction 620 762 50
(subject to 250% risk weight)
24 Floor adjustment - - -
25 Total 528 275 526 145 42 262
(1+4+7+8+9+10+11+12+16+19+23+24+non-
customer assets)
Pillar 2a requirement (1.5%) 7 924
Capital conservation buffer (1.25%) (8) 6 603
S.A. minimum capital requirements including 56 789
buffers (9)
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 R11.2bn as a result of exposure growth
in CIB. The decrease in the SA of R1.1bn 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 R0.9bn is in line with market volatility, specifically exchange rate fluctuations.
- Market Risk: The decrease in market risk of R6.7bn is due to lower levels of VaR and sVaR in the three-month
averaging period.
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 (30 Jun 2017) 369 538
2 Asset size 12 037
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 (30 Sep 2017) 381 575
Page 5 of 9
a
Absa Bank Limited (5) RWA amounts
Rm
1 RWA as at end of previous reporting period (30 Jun 2017) 360 059
2 Asset size 11 238
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 (30 Sep 2017) 371 297
RWA flow statements of market risk exposures under an Internal Models Approach [MR2]
Barclays Africa Group Limited and
Absa Bank Limited 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 (30 Jun
10 805 10 834 - - - 21 639
2017)
2 Movements in risk levels (2 763) (2 712) - - - (5 475)
3 Model updates/changes (1 463) (1 463)
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Foreign exchange movements - - - - - -
7 Other - - - - - -
8 RWA at end of reporting period (30
6 579 8 122 - - - 14 701
Sep 2017)
Capital consumption of Barclays Africa Group Limited and Absa Bank’s portfolios subject to the Internal Models
Approach decreased by R6.9bn from June 2017 to September 2017. Drivers of quarter on quarter changes in RWA
consumption are due to reduced levels of VaR and sVaR.
Page 6 of 9
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 tables below represent the leverage ratios for Barclays Africa Group Limited and Absa Bank Limited at 30
September 2017 and the comparatives for the past three quarter end periods, namely 31 December 2016, 31 March
2017 and 30 June 2017.
2017 2016
IFRS
Barclays Africa Group Limited 30 Sep 30 Jun 31 Mar 31 Dec
Leverage ratio exposure (Rm) 1 318 673 1 259 572 1 254 437 1 251 249
Tier 1 Capital (excluding unappropriated profits) (Rm) 98 736 96 225 82 249 84 008
Leverage ratio (excluding unappropriated profits) (%) 7.5 7.6 6.6 6.7
Leverage ratio (including unappropriated profits) (%) (10) 7.9 8.1 6.9 7.1
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
2017 2016
IFRS
Absa Bank Limited (5) 30 Sep 30 Jun 31 Mar 31 Dec
Leverage ratio exposure (Rm) 1 136 516 1 095 984 1 092 562 1 088 789
Tier 1 Capital (excluding unappropriated profits) (Rm) 72 860 71 613 55 656 56 943
Leverage ratio (excluding unappropriated profits) (%) 6.4 6.5 5.1 5.2
Leverage ratio (including unappropriated profits) (%) (10) 6.7 7.0 5.7 5.8
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
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.
Page 7 of 9
Barclays Africa Group Limited (11)
Barclays Africa Group Limited holds HQLA well in excess of the regulatory minimum requirement. The table below
represents the average LCR (12) for Barclays Africa Group Limited at 30 September 2017 and the comparatives at 30
June 2017:
30 Sep 2017 (1) 30 Jun 2017 (1)
High Quality Liquid Assets (Rm) 155 794 155 075
Net Cash Outflows (Rm) 131 195 130 416
LCR (%) 118.8 118.9
Required LCR (%) 80.0 80.0
Absa Bank Solo (13)
Absa Bank Solo holds HQLA well in excess of the regulatory minimum requirement. The table below represents the
average LCR (12) for Absa Bank Solo at 30 September 2017 and the comparatives at 30 June 2017:
30 Sep 2017 (1) 30 Jun 2017 (1)
High Quality Liquid Assets (Rm) 144 252 144 168
Net Cash Outflows (Rm) 116 527 115 876
LCR (%) 123.8 124.4
Required LCR (%) 80.0 80.0
Notes:
1. The 30 September figures and 30 June 2017 comparatives are unaudited.
2. The IFRS view includes the contribution amounts received from Barclays PLC as part of the separation.
3. Reserves as at 30 September 2017 have already been reduced by the value of the 2017 interim ordinary dividend of
R4.0bn for Barclays Africa Group Limited and R4.0bn for Absa Bank Limited, which were declared on 28 July 2017
and paid on 11 September 2017 respectively.
4. The normalised ratios exclude the impact of the separation from Barclays PLC and reflect the underlying
performance of the Group.
5. Absa Bank Limited includes subsidiary undertakings, special purpose entities, joint ventures, associates and offshore
holdings.
6. The South African minimum regulatory capital requirement of 8% (excluding the Pillar 2a and capital conservation
buffers).
7. SA-CCR is calculated using the Current Exposure Method.
8. The capital conservation buffer is phased-in between 1 January 2016 and 1 January 2019 reaching 2.5% by 1 January
2019.
9. The 2017 minimum regulatory capital requirements of 10.75% include the RSA minimum of 8%, Pillar 2a of 1.50%
and capital conservation buffer of 1.25% but exclude the bank-specific individual capital requirement (Pillar 2b add-
on) and the domestic systemically important banks (D-SIB) add-on. The Pillar 2a buffer will reduce between 1
January 2016 and 1 January 2019 reaching 1.00% by 1 January 2019.
Page 8 of 9
10. The leverage ratio including unappropriated profits for Barclays Africa Group Limited and Absa Bank Limited at 30
September 2017, on a normalised basis, was 7.0% (30 June 2017: 7.2%) and 5.6% (30 June 2017: 5.9%)
respectively.
11. The LCR of Barclays Africa Group Limited represents an aggregation of the relevant individual net cash outflows and
HQLA portfolios of all the banking entities which form part of the group. Where non-South African banking entities
have an excess of HQLA above the minimum required by the LCR, this excess has been excluded from the
calculation.
12. The values disclosed represent the simple average of the relevant 3 month-end data points.
13. Absa Bank Solo consists of only the South African banking operation.
Johannesburg
30 November 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 9 of 9
Date: 30/11/2017 11:30:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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