Wrap Text
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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