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ABSA GROUP LIMITED - Basel III Pillar 3 Disclosure as at 30 September 2018

Release Date: 29/11/2018 12:41
Code(s): ABG ABSP     PDF:  
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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




                                                                                                          Page 12 of 12

Date: 29/11/2018 12:41:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 
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