Wrap Text
Basel III Pillar 3 Disclosure as at 30 September 2018
ABSA GROUP LIMITED ABSA BANK LIMITED
(Formerly Barclays Africa Group Limited)
(Incorporated in the Republic of South Africa) (Incorporated in the Republic of South Africa)
(Registration number: 1986/003934/06) (Registration number: 1986/004794/06)
ISIN: ZAE000255915 ISIN: ZAE000079810
JSE share code: ABG JSE share code: ABSP
(Absa Group Limited) (Absa Bank)
ABSA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 30 SEPTEMBER 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), Absa 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.
All prescribed tables are highlighted by including the regulatory title of the table in square brackets.
Capital Adequacy
Absa Group Limited
Absa Group Limited (or the Group) remains capitalised above the minimum regulatory capital requirements.
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.
Total capital supply has reduced over the quarter due to the payment of the 2018 interim dividend, offset by an
increase in unappropriated profits.
The table below represents the capital position for Absa Group Limited at 30 September 2018 and comparatives at 30
June 2018.
30 Sep 2018 (1) 30 Jun 2018 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 94 973 12.1 96 655 12.5
Ordinary share capital 1 677 0.2 1 664 0.2
Ordinary share premium 10 140 1.3 10 850 1.4
Reserves (3) 85 816 10.9 86 384 11.2
Non-controlling interest 2 369 0.3 2 251 0.3
Deductions (5 029) (0.6) (4 494) (0.6)
Additional Tier 1 capital 4 355 0.5 4 271 0.6
Tier 1 capital 99 328 12.6 100 926 13.1
Tier 2 capital 21 968 2.8 21 862 2.8
Page 1 of 12
Total Capital 121 296 15.4 122 788 15.9
30 Sep 2018 (1) 30 Jun 2018 (1)
Statutory Capital Position (including IFRS (2) Normalised (4) IFRS (2) Normalised (4)
unappropriated profits) % % % %
Common Equity Tier 1 capital 13.1 12.1 13.3 12.2
Tier 1 capital 13.7 12.7 13.9 12.8
Total capital 16.5 15.5 16.7 15.7
Board target ranges (including 30 Sep 2018 30 Jun 2018
(%) (5) (%) (5)
unappropriated profits)
Common Equity Tier 1 capital 10.00 - 11.50 10.00 - 11.50
Tier 1 capital 11.75 - 13.25 11.75 - 13.25
Total capital 14.25 - 15.75 14.25 - 15.75
Absa Bank Limited (6)
Absa Bank Limited remains capitalised above the minimum regulatory capital requirements.
The table below represents the capital position for Absa Bank Limited at 30 September 2018 and comparatives at 30
June 2018.
30 Sep 2018 (1) 30 Jun 2018 (1)
IFRS (2) IFRS (2)
Regulatory Capital Position (excluding
Rm % Rm %
unappropriated profits)
Common Equity Tier 1 capital 67 433 12.3 68 609 12.7
Ordinary share capital 304 0.1 304 0.1
Ordinary share premium 36 880 6.7 36 880 6.8
Reserves (3) 34 900 6.4 35 219 6.5
Deductions (4 651) (0.9) (3 794) (0.7)
Additional Tier 1 capital 3 357 0.6 3 357 0.6
Tier 1 capital 70 790 12.9 71 966 13.3
Tier 2 capital 20 863 3.8 20 718 3.8
Total Capital 91 653 16.7 92 684 17.1
Page 2 of 12
30 Sep 2018 (1) 30 Jun 2018 (1)
IFRS (2) Normalised (4) IFRS (2) Normalised (4)
Statutory Capital Position (including % % % %
unappropriated profits)
Common Equity Tier 1 capital 12.8 11.4 13.5 11.9
Tier 1 capital 13.4 12.0 14.1 12.5
Total capital 17.2 15.8 17.9 16.3
Board target ranges (including
30 Sep 2018 30 Jun 2018
unappropriated profits) (%) (5) (%) (5)
Common Equity Tier 1 capital 10.00 - 11.50 10.00 - 11.50
Tier 1 capital 11.75 - 13.25 11.75 - 13.25
Total capital 14.25 - 15.75 14.25 - 15.75
Overview of Risk Weighted Assets (RWAs) [OV1]
30 Sep 30 Jun 30 Sep
2018 (1) 2018 (1) 2018 (1)
Minimum
capital
RWA RWA
requireme
nts (7)
Absa Group Limited Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 559 695 552 556 62 266
2 Of which: standardised approach (SA) 163 888 164 671 18 232
3 Of which: foundation internal rating-based (F-IRB) approach - - -
4 Of which: supervisory slotting approach - - -
5 Of which: advanced internal ratings based (A-IRB) approach 395 807 387 885 44 034
6 CCR 15 010 18 797 1 670
7 Of which: standardised approach for CCR (SA-CCR) (8) 15 010 18 797 1 670
8 Of which: internal model method (IMM) - - -
9 Of which: other CCR - - -
10 Credit valuation adjustment (CVA) 7 932 10 267 883
11 Equity positions under the simple risk weight approach 3 977 3 780 442
12 Equity investments in funds – look-through approach 7 511 7 544 836
13 Equity investments in funds – mandate-based approach - - -
14 Equity investments in funds – fall-back approach - - -
15 Settlement risk 1 021 1 384 114
16 Securitisation exposures in banking book 420 435 47
17 Of which: IRB ratings-based approach (SEC -IRBA) 420 435 47
18 Of which: securitisation external ratings based approach
- - -
(SEC-ERBA), including internal assessment approach (IAA)
19 Of which: securitisation SA (SEC-SA) - - -
20 Market risk 36 806 31 014 4 095
21 Of which: standardised approach (SA) 15 028 13 035 1 672
Page 3 of 12
22 Of which: internal model approaches (IMA) 21 778 17 979 2 423
23 Capital charge for switch between trading book and banking - - -
book
24 Operational risk 88 731 88 731 9 871
Non-customer assets 23 746 23 392 2 642
25 Amounts below the thresholds for deduction (subject to 250% 15 032 7 638 1 671
risk weight)
IFRS 9 transitional adjustment 5 566 5 566 619
26 Floor adjustment 20 164 20 164 2 243
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
785 611 771 268 87 399
customer assets+IFRS9 transitional adjustment)
30 Sep 30 Jun 30 Sep
2018 (1) 2018 (1) 2018 (1)
Minimum
capital
RWA RWA
requiremen
ts (7)
Absa Bank Limited (6) Rm
1 Credit risk (excluding CCR) 392 460 384 983 43 661
2 Of which: standardised approach (SA) 10 958 11 429 1 219
3 Of which: foundation internal ratings-based (F-IRB) - - -
approach
4 Of which: supervisory slotting approach - - -
5 Of which: advanced internal ratings based (A-IRB) 381 502 373 554 42 442
approach
6 CCR 14 548 18 389 1 619
7 Of which: standardised approach for CCR (SA-CCR) (8) 14 548 18 389 1 619
8 Of which: internal model method (IMM) - - -
9 Of which: other CCR - - -
10 Credit valuation adjustment (CVA) 7 932 10 267 883
11 Equity positions under the simple risk weight approach 1 688 1 769 187
12 Equity investments in funds – look-through approach 358 368 40
13 Equity investments in funds – mandate-based approach - - -
14 Equity investments in funds – fall-back approach - - -
15 Settlement risk 959 1 323 107
16 Securitisation exposures in banking book 420 435 47
17 Of which: securitisation IRB ratings-based approach (SEC- 420 435 47
IRBA)
18 Of which: securitisation external ratings based approach
- - -
(SEC-ERBA) including internal assessment approach (IAA)
19 Of which: securitisation SA (SEC-SA) - - -
20 Market risk 28 594 22 603 3 181
21 Of which: standardised approach (SA) 6 816 4 624 758
22 Of which: internal model approaches (IMA) 21 778 17 979 2 423
23 Capital charge for switch between trading book and banking - - -
book
Page 4 of 12
24 Operational risk 57 414 57 414 6 387
Non-customer assets 17 756 17 942 1 975
25 Amounts below the thresholds for deduction (subject to 250% 3 099 2 493 344
risk weight)
IFRS 9 transitional adjustment 5 566 5 566 619
26 Floor adjustment 18 270 18 270 2 033
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
549 064 541 822 61 083
customer assets+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 R7.9bn (Group and Absa Bank
Limited) due to balance sheet growth in Corporate and Investment Banking (CIB) and Retail and Business
Banking (RBB).
- CCR & CVA: The R3.8bn CCR and R2.3bn CVA decrease in RWA are primarily due to market volatility.
- Market Risk: The increase of R5.8bn (Group) and R6.0bn (Absa Bank Limited) is driven by market volatility
and business requirements.
- Threshold items: Increase of R7.4bn (Group) is due to a revised treatment of insurance entities.
Key Metrics (at consolidated group level) [KM1]
In line with the requirements of IFRS 9, which became effective on 1 January 2018, Absa 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. Absa 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.
Absa Group Limited
The table below reflects the available capital and leverage when utilising the fully loaded and transitional arrangement
ECL bases. The numbers reported are on a regulatory basis, and include the contribution amounts received from
Barclays PLC as part of the separation. All figures are unaudited except for 31 December 2017 comparatives, which
are reported on an audited basis.
30 30 31 31 30
Available Capital (amounts) Rm
Sep Jun Mar Dec Sep
(excluding unappropriated profits)
2018 2018 2018 (9) 2017 2017
1 Common Equity Tier 1 (CET1) (Transitional basis) 94 973 96 655 90 639 91 297 94 489
1a Fully loaded ECL accounting model CET1 93 384 95 152 89 051 - -
2 Tier 1 (Transitional basis) 99 328 100 926 94 588 95 661 98 736
2a Fully loaded ECL accounting model Tier 1 97 739 99 424 93 000 - -
3 Total capital (Transitional basis) 121 296 122 788 111 030 110 874 115 148
3a Fully loaded ECL accounting model total capital 119 695 121 020 109 487 - -
Risk-weighted assets (amounts)
4 Total risk-weighted assets (RWA) (Transitional basis) 785 611 771 268 737 202 736 892 732 893
4a Fully loaded RWA 780 045 765 702 734 858 - -
Risk-based capital ratios as a percentage of RWA
5 CET1 ratio (%) (Transitional basis) 12.1 12.5 12.3 12.4 12.9
5a Fully loaded ECL accounting model CET1 (%) 12.0 12.4 12.1 - -
6 Tier 1 ratio (%) (Transitional basis) 12.6 13.1 12.8 13.0 13.5
6a Fully loaded ECL accounting model Tier 1 (%) 12.5 13.0 12.7 - -
Page 5 of 12
7 Total capital ratio (%) (Transitional basis) 15.4 15.9 15.1 15.0 15.7
7a Fully loaded ECL accounting model total capital ratio (%) 15.3 15.8 14.9 - -
Additional CET1 buffer requirements as a percentage
of RWA
Capital conservation buffer requirement (2.5% from 2019)
8 1.9 1.9 1.9 1.3 1.3
(%)
9 Countercyclical buffer requirement (10) (%) - - - - -
10 Bank G-SIB and/or D-SIB additional requirements (10) (%) - - - - -
Total of bank CET1 specific buffer requirements (%) (row 8
11 1.9 1.9 1.9 1.3 1.3
+ row 9 + row 10)
CET1 available after meeting the bank’s minimum capital
12 4.7 5.1 4.9 5.1 5.6
requirements (%)
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure 1 433 546 1 407 707 1 332 452 1 311 893 1 318 673
Basel III leverage ratio (%) (row 2/ row 13) (Transitional
14 6.9 7.2 7.1 7.3 7.5
basis)
Fully loaded ECL accounting model Basel III leverage ratio
14a 6.8 7.1 7.0 - -
(row 2a/ row 13) (%)
Liquidity coverage ratio
15 Total HQLA 180 750 173 195 172 477 157 119 155 794
16 Total net cash outflow 167 234 160 150 158 523 146 104 131 195
17 LCR (%) 108.1 108.6 108.8 107.5 118.8
RWA flow statements of credit risk exposures under IRB [CR8]
Absa Group Limited Rm RWA amounts
1 RWA as at end of previous reporting period (30 Jun 2018) 387 885
2 Asset size 7 922
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 2018) 395 807
Absa Bank Limited (6) Rm RWA amounts
1 RWA as at end of previous reporting period (30 Jun 2018) 373 554
2 Asset size 7 948
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 2018) 381 502
Page 6 of 12
RWA flow statements of market risk exposures under an Internal Models Approach [MR2]
Absa Group Limited and Absa
Bank Limited (6) Rm
Stressed
VaR VaR IRC CRM Other Total RWA
1 RWA at previous quarter end (30
6 368 11 611 - - - 17 979
Jun 2018)
2 Movements in risk levels 1 603 1 999 - - - 3 602
3 Model updates/changes 46 151 197
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Foreign exchange movements - - - - - -
7 Other - - - - - -
8 RWA at end of reporting period (30
8 017 13 761 - - - 21 778
Sep 2018)
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 Absa Group Limited and Absa Bank Limited at 30 September 2018
and the comparatives for the past three quarter end periods, namely 30 June 2018, 31 March 2018 and 31 December
2017.
30 Sep 30 Jun 31 Mar 31 Dec
Absa Group Limited Rm
2018 2018 2018 (9) 2017
Leverage exposure 1 433 546 1 407 707 1 332 452 1 311 893
Tier 1 capital (excluding unappropriated profits) (2) 99 328 100 926 94 588 95 661
IFRS leverage ratio (excluding unappropriated profits) (2)
6.9 7.2 7.1 7.3
(%)
IFRS leverage ratio (including unappropriated profits) (2)
7.5 7.6 7.6 7.9
(%)
Normalised leverage ratio (including unappropriated
7.0 7.0 6.7 (9) 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
30 Sep 30 Jun 31 Mar 31 Dec
Absa Bank Limited (6) Rm 2018 2018 2018 (9) 2017
Leverage exposure 1 230 326 1 210 529 1 177 749 1 153 338
Tier 1 capital (excluding unappropriated profits) (2) 70 790 71 966 72 016 72 006
IFRS leverage ratio (excluding unappropriated profits) (2)
5.8 6.0 6.1 6.2
(%)
IFRS leverage ratio (including unappropriated profits) (2)
6.0 6.3 6.4 6.6
(%)
Normalised leverage ratio (including unappropriated profits)
5.4 5.6 5.4 5.8
(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
Page 7 of 12
Absa Group Limited
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
30 Sep 30 Jun
Item Rm 2018 2018
(1,2) (1,2)
1 Total consolidated assets 1 258 758 1 234 643
2 Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but (37 838) (37 474)
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 5 575 6 771
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
215 499 211 406
equivalent amounts of off-balance sheet exposures)
7 Other adjustments (8 448) (7 641)
8 Leverage ratio exposure measure 1 433 546 1 407 707
Leverage ratio common disclosure template [LR2]
30 Sep 30 Jun
Item Rm 2018 2018
(1,2) (1,2)
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities
1 123 022 1 090 862
financing transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (6 875) (6 138)
3 Total on-balance sheet exposures (excluding derivatives and
1 116 147 1 084 724
SFTs (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 23 855 26 016
bilateral netting)
5 Add-on amounts for PFE associated with all derivatives transactions 48 195 49 161
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 (9 980) (9 230)
10 (Adjusted effective notional offsets and add-on deductions for
written credit derivatives) - -
11 Total derivative exposures (sum of rows 4 to 10) 62 070 65 947
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for
41 403 47 132
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
41 403 47 132
12 to 15)
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 345 822 333 096
18 (Adjustments for conversion to credit equivalent amounts) (130 323) (121 690)
Page 8 of 12
19 Off-balance sheet items (sum of rows 17 to 18) 215 499 211 406
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) (2) 99 328 100 926
21 Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS
9 adjustment 1 435 119 1 409 209
IFRS 9 transitional adjustment (1 573) (1 502)
Total exposures (including IFRS 9 adjustment) 1 433 546 1 407 707
Leverage ratio
22 Basel III leverage ratio (2) 6.9% 7.2%
Absa Bank Limited (6)
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]
30 Sep 30 Jun
Item Rm 2018 2018
(1,2) (1,2)
1 Total consolidated assets 1 046 724 1 029 261
2 Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but - -
outside the scope of regulatory consolidation
3 Adjustment for fiduciary assets recognised on the balance sheet
pursuant to the operative accounting framework but excluded from - -
the leverage ratio exposure measure
4 Adjustments for derivative financial instruments 6 055 7 079
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
184,851 180 403
equivalent amounts of off-balance sheet exposures)
7 Other adjustments (7 304) (6 214)
8 Leverage ratio exposure measure 1 230 326 1 210 529
Leverage ratio common disclosure template [LR2]
30 Sep 30 Jun
Item Rm 2018 2018
(1,2) (1,2)
On-balance sheet exposures
On-balance sheet exposures (excluding derivatives and securities
1 949 307 923 262
financing transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (6 137) (5 045)
Total on-balance sheet exposures (excluding derivatives and
943 170 918 217
3 SFTs (sum of lines 1 and 2)
Derivative exposures
Replacement cost associated with all derivatives transactions
4 (where applicable net of eligible cash variation margin and/or with 23 855 26 016
bilateral netting)
5 Add-on amounts for PFE associated with all derivatives transactions 48 195 49 161
Gross-up for derivatives collateral provided where deducted from
6 the balance sheet assets pursuant to the operative accounting - -
framework
(Deductions of receivable assets for cash variation margin provided
7 - -
in derivatives transactions)
8 (Exempted CCP leg of client-cleared trade exposures) - -
9 Adjusted effective notional amount of written credit derivatives (9 980) (9 230)
Page 9 of 12
(Adjusted effective notional offsets and add-on deductions for
- -
10 written credit derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 62 070 65 947
Security financing transaction exposures
Gross SFT assets (with no recognition of netting), after adjusting for
12 41 403 47 131
sale accounting transactions
(Netted amounts of cash payables and cash receivables of gross
- -
13 SFT assets)
14 CCR exposure for SFT assets - -
15 Agent transaction exposures - -
Total securities financing transaction exposures (sum of rows
41 403 47 131
16 12 to 15)
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 296 690 285 080
18 (Adjustments for conversion to credit equivalent amounts) (111 838) (104 677)
19 Off-balance sheet items (sum of rows 17 to 18) 184 852 180 403
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) (2) 70 790 71 966
Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS
21 9 adjustment 1 231 495 1 211 698
IFRS 9 transitional adjustment (1 169) (1 169)
Total exposures including IFRS 9 adjustment 1 230 326 1 210 529
Leverage ratio
22 Basel III leverage ratio (2) 5.8% 6.0%
Key drivers of change in the leverage ratio quarter on quarter were on-balance sheet asset growth as well as a reduction
in Tier 1 capital due to the payment of the 2018 interim 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 unencumbered high quality liquid assets (HQLA) ) to cover net cash
outflows (NCOF) to survive a prescribed stress scenario over a 30 calendar day period. The LCR became effective
on 1 January 2015, with a requirement of 60%, which is being phased in by increasing the minimum regulatory
requirement by 10% per year to reach a minimum of 100% compliance level on 1 January 2019. The requirement for
2018 is 90% (2017: 80%).
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.
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 30 September 2018 and the comparatives as at 30 June 2018:
30 Sep 2018 (1,12) 30 Jun 2018 (1,12)
High Quality Liquid Assets (Rm) 166 024 159 667
Net Cash Outflows (Rm) 150 816 144 318
LCR (%) 110.1 110.6
Required LCR (%) 90.0 90.0
Page 10 of 12
LCR Common disclosure template and summary [LIQ1]
Absa Bank Limited (11,12) Absa Group Limited (13)
TOTAL TOTAL TOTAL TOTAL
UNWEIGHTED WEIGHTED UNWEIGHTED WEIGHTED
VALUE VALUE VALUE VALUE
(average) (average) (average) (average)
HIGH-QUALITY LIQUID ASSETS
1 Total high-quality liquid assets (HQLA) 166 024 180 750
CASH OUTFLOWS
2 Retail deposits and deposits from small business customers, of which: 249 566 19 309 325 935 25 767
3 Stable deposits - - - -
4 Less stable deposits 249 566 19 309 325 935 25 767
5 Unsecured wholesale funding, of which: 294 625 163 751 348 124 187 327
Operational deposits (all counterparties) and deposits in networks of
6 94 326 23 582 100 121 25 030
cooperative banks
7 Non-operational deposits (all counterparties) 196 065 135 935 240 887 155 181
8 Unsecured debt 4 234 4 234 7 116 7 116
9 Secured wholesale funding - 1 195 - 1 195
10 Additional requirements, of which: 256 306 29 907 277 817 32 101
11 Outflows related to derivative exposures and other collateral requirements 11 912 11 912 11 912 11 912
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 244 394 17 995 265 896 20 180
14 Other contractual funding obligations 540 540 540 540
15 Other contingent funding obligations 157 785 7 784 186 150 9 041
16 TOTAL CASH OUTFLOWS - 222 486 - 255 971
CASH INFLOWS
17 Secured lending (e.g. reverse repos) 24 490 4 420 24 490 4 420
18 Inflows from fully performing exposures 83 597 62 695 114 087 77 191
19 Other cash inflows 4 618 4 555 7 189 7 126
20 TOTAL CASH INFLOWS 112 705 71 670 145 766 88 737
TOTAL TOTAL
ADJUSTED ADJUSTED
VALUE VALUE
21 TOTAL HQLA 166 024 180 750
22 TOTAL NET CASH OUTFLOWS 150 816 167 234
23 LCR (%) 110.1 108.1
Page 11 of 12
Notes:
1. The 30 September 2018 figures and the 30 June 2018 comparatives are reported on an unaudited basis.
2. The IFRS view includes the contribution amounts received from Barclays PLC as part of the separation.
3. Reserves as at 30 September 2018 have already been reduced by the value of the 2018 interim ordinary dividend
of R4.1bn for Absa Group Limited and R2.7bn for Absa Bank Limited, which were declared on 6 August 2018 and
paid on 17 September 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 target ranges apply to statutory ratios on 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% includes the RSA minimum of 8%,
Pillar 2a buffer of 1.25% and capital conservation buffer of 1.88% but excludes 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. Numbers restated due to the IFRS 9 audit requirement as per Directive 5.
10. The countercyclical buffer is not required for banks in South Africa. The D-SIB add on is not publicly disclosed.
11. For liquidity reporting purposes Absa Bank Limited represents the banking operations in South Africa.
12. The Absa Bank Limited LCR for the quarter ended 30 September 2018 is calculated on a simple average of 90
calendar-day observations. The 30 September 2018 figures are reported on an unaudited basis.
13. The Absa Group Limited LCR for 30 September 2018 reflects an aggregation of the Absa Bank Limited LCR as
noted in (12) above with that of the non-South African banking entities, which is calculated as a simple average of
the relevant 3 month-end data points. 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. The 30 September 2018 figures are
reported on an unaudited basis.
Johannesburg
29 November 2018
Enquiries:
Alan Hartdegen
(+2711) 350-2598
E-mail: Alan.Hartdegen@absa.co.za
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited
Joint Sponsor:
Corporate and Investment Banking – a division of Absa Bank Limited
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