Wrap Text
Absa Group Limited – Basel III Pillar 3 Disclosure as at 31 March 2021
ABSA 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: 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 31 MARCH 2021
This Pillar 3 disclosure contains the quantitative Pillar 3 disclosure requirements in respect of Absa Group Limited (Absa Group or the Group) and
Absa Bank Limited (Absa Bank or the Bank). The quarterly report provides a view of the Group’s regulatory capital and risk exposures, and it complies
with:
- The Basel Committee on Banking Supervision (BCBS) revised Pillar 3 disclosure requirements (Pillar 3 standard).
- Regulation 43 of the Regulations relating to Banks (Regulations), issued in terms of the Banks Act, 1990 (Act No. 94 of 1990), where not
superseded by the revised Pillar 3 disclosure requirements.
1. Key prudential metrics and RWA
In line with regulatory and accounting requirements, the capital and leverage positions of the Group and the Bank in this document are reflected on a
regulatory basis (which requires unappropriated profits to be excluded). However, the capital and leverage positions of the Group are also managed
on a statutory basis (which includes unappropriated profits). The summary table below provides key capital adequacy and liquidity information on
both a regulatory and statutory basis as at 31 March 2021.
1.1 Capital adequacy and liquidity
Group Bank
Group Board Actual Actual Actual Actual
target Minimum RC 31 March 31 December 31 March 31 December
ranges1 requirements2 2021 2020 2021 2020
% % % % % %
Statutory capital ratios (includes
unappropriated profits)
Common equity tier 1 (CET1) 11.00 – 12.50 11.9 11.2 11.2 10.6
Tier 1 >12.00 12.9 12.2 12.4 11.9
Total capital adequacy requirement
(CAR) >14.50 15.6 15.0 16.0 15.6
Leverage 5.50 – 7.50 7.2 7.2 5.7 5.7
Regulatory Capital ratios (excludes
unappropriated profits)
CET1 7.5 11.4 11.2 10.8 10.6
Tier 1 9.3 12.4 12.2 12.0 11.9
Total CAR 11.5 15.1 15.0 15.5 15.6
Leverage 4.0 6.9 7.2 5.5 5.7
Liquidity coverage ratio (LCR) (%) 117.7 120.6 123.9 126.9
Net stable funding ratio (%) 116.0 115.9 109.4 109.4
Page 1 of 8
1.2 KM1: Key metrics (at consolidated group level)
31 March 31 December 30 September 30 June 31 March
20213 2020 2020 2020 2020
Available capital (Rm)
1 CET1 transitional basis 103 041 102 496 104 119 102 818 103 450
1a Fully loaded ECL accounting model 103 041 101 632 103 255 101 954 102 586
2 Tier 1 transitional basis 111 990 111 803 112 189 110 885 111 636
2a Fully loaded ECL accounting model Tier 1 111 990 110 939 111 325 110 021 110 772
3 Total capital transitional basis 136 908 137 454 139 143 139 411 137 789
3a Fully loaded ECL accounting model total capital 136 908 136 590 138 279 138 547 136 924
RWA (Rm)
4 Total RWA transitional basis 904 628 915 061 921 129 935 766 939 800
4a Fully loaded RWA 904 628 911 488 917 556 932 193 936 226
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio transitional basis 11.4 11.2 11.3 11.0 11.0
5a Fully loaded ECL accounting model CET1 11.4 11.2 11.3 10.9 11.0
6 Tier 1 ratio transitional basis 12.4 12.2 12.2 11.9 11.9
6a Fully loaded ECL accounting model Tier 1 ratio 12.4 12.2 12.1 11.8 11.8
7 Total capital ratio transitional basis 15.1 15.0 15.1 14.9 14.7
7a Fully loaded ECL accounting model total capital ratio 15.1 15.0 15.1 14.9 14.6
Additional CET1 buffer requirements as a percentage of RWA
(%)
8 Capital conservation buffer requirement (2.5% from 2019) 2.5 2.5 2.5 2.5 2.5
9 Countercyclical buffer requirement4 - - - - -
10 Bank global systemically important banks (G-SIB) and/or 0.5 0.5 0.5 0.5 0.5
domestic systemically important banks (D-SIB) additional
requirements5
11 Total of bank CET1 specific buffer requirements (Row 8 + row 3.0 3.0 3.0 3.0 3.0
9 + row 10)
12 CET1 available after meeting the bank’s minimum capital 3.9 3.7 3.8 3.0
requirements5 3.5
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 614 976 1 560 437 1 733 777 1 707 091 1 703 332
14 Basel III leverage ratio (%) (row 2 / row 13) transitional basis 6.9 7.2 6.5 6.5 6.6
14a Fully loaded ECL accounting model Basel III leverage ratio 6.9 7.1 6.4 6.4 6.5
(%) (row 2a / row13)
LCR 6
15 Total high-quality liquid assets (HQLA) (Rm) 206 410 213 637 235 845 215 229 176 982
16 Total net cash outflow (Rm) 175 300 177 135 169 516 169 966 146 514
17 LCR (%) 117.7 120.6 139.2 126.6 120.8
Net stable funding ratio (NSFR)
18 Total available stable funding (ASF) (Rm) 942 574 933 882 951 963 952 906 928 531
19 Total required stable funding (RSF) (Rm) 812 689 805 814 800 811 813 876 828 278
20 NSFR (%) 116.0 115.9 118.9 117.1 112.1
Page 2 of 8
1.3 OV1: Overview of RWA
Group Bank7
31 March 31 December 31 March 31 March 31 December
2021 2020 2021 2021 2020 31 March 2021
RWA RWA MCR8 RWA RWA MCR8
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit 657 594 663 636 75 624 467 739 467 595 53 790
risk (CCR))
2 Of which: standardised approach (SA) 174 683 180 421 20 089 24 62 3
3 Of which: foundation internal ratings- - - - - - -
based (FIRB) approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings- 482 911 483 215 55 535 467 715 467 533 53 787
based (AIRB) approach
6 CCR 18 082 20 210 2 079 17 436 19 443 2 005
7 Of which: standardised approach for 18 082 20 210 2 079 17 436 19 443 2 005
CCR (SA-CCR)9
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 12 091 14 663 1 390 11 676 13 844 1 343
11 Equity positions under the simple risk 4 047 4 080 465 1 714 1 714 197
weight approach
12 Equity investments in funds – look-through 7 556 7 262 869 373 378 43
approach
13 Equity investments in funds – mandate- - - - - - -
based approach
14 Equity investments in funds – fall-back - - - - - -
approach
15 Settlement risk 940 762 108 892 704 102
16 Securitisation exposures in banking book 4 320 4 451 497 4 320 4 451 497
17 Of which: IRB ratings-based approach 4 320 4 451 497 4 320 4 451 497
(SEC-IRBA)
18 Of which: securitisation external ratings- - - - - - -
based approach (RBA) (SEC-ERBA),
including internal assessment approach
(IAA)
19 Of which: securitisation SA (SEC-SA) - - - - - -
20 Traded market risk 37 356 40 110 4 296 23 772 28 944 2 734
21 Of which: SA 19 298 18 142 2 219 5 714 6 976 657
22 Of which: internal model approach (IMA) 18 058 21 968 2 077 18 058 21 968 2 077
23 Capital charge for switch between trading - - - - - -
book and banking book
24 Operational risk 117 197 117 197 13 478 80 107 80 107 9 212
Non-customer assets 24 009 25 483 2 761 17 436 18 637 2 005
25 Amounts below the thresholds for deduction 21 436 17 207 2 465 9 226 4 227 1 061
(subject to 250% risk weight)
26 Floor adjustment (after application of - - - -
transitional cap)10
27 Total 904 628 915 061 104 032 634 691 640 044 72 989
(1+6+10+11+12+13+14+15+16+20+23+24+
25+26+non-customer assets)
1.4 CR8: RWA flow statements of credit risk exposures under IRB
31 March 2021 31 December 2020
RWA amounts RWA amounts
Rm Rm
1 RWA as at end of previous quarter 483 215 473 407
2 Asset size 155 (2 285)
3 Asset quality 2 955 15 659
4 Model updates - 193
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements 159 (3 759)
8 Other (3 573)11 -
9 RWA as at end of reporting period 482 911 483 215
Page 3 of 8
1.5 MR2: RWA flow statements of market risk exposures under IMA
31 March 2021
stressed
value at
Value at risk
risk (VaR) (sVaR) IRC12 CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 7 946 14 022 - - - 21 968
2 Movements in risk levels (1 240) (2 670) - - - (3 910)
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 6 706 11 352 - - - 18 058
31 December 2020
VaR sVaR IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 8 601 14 585 - - - 23 186
2 Movements in risk levels (596) (382) - - - (978)
3 Model updates/changes (59) (181) - - - (240)
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 7 946 14 022 - - - 21 968
2. Leverage
Consistent with the treatment in table KM1, the leverage position below is shown on a regulatory, IFRS basis.
2.1 LR1: Summary comparison of accounting assets versus leverage ratio exposure measure13
Group Bank
31 March 31 December 31 March 31 December
2021 2020 2021 2020
Rm Rm Rm Rm
1 Total consolidated assets 1 550 717 1 531 120 1 293 609 1 286 275
2 Adjustment for investments in banking, financial, insurance or (33 938) (34 658) - -
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 (13 820) (43 888) (13 175) (43 173)
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 123 479 120 386 101 890 98 753
equivalent amounts of off-balance sheet exposures)
7 Other adjustments (11 462) (12 523) (10 630) (10 867)
8 Leverage ratio exposure measure 1 614 976 1 560 437 1 371 694 1 330 988
Page 4 of 8
2. Leverage
2.2 LR2: Leverage ratio common disclosure template13
Group Bank
31 March 31 December 31 March 31 December
2021 202014 2021 202014
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 343 236 1 312 909 1 120 692 1 103 574
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (10 465) (11 534) (9 331) (10 015)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) 1 332 771 1 301 374 1 111 361 1 093 559
(sum of rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where 30 869 32 286 30 869 32 286
applicable net of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all 23 006 26 539 23 006 26 539
derivative transactions
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 central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 6 438 7 139 6 438 7 139
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 60 313 65 964 60 313 65 964
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 98 413 72 712 98 130 72 712
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) 98 413 72 712 98 130 72 712
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 350 058 355 205 294 292 300 606
18 (Adjustments for conversion to credit equivalent amounts) (226 579) (234 819) (192 402) (201 853)
19 Off-balance sheet items (sum of rows 17 and 18) 123 479 120 386 101 890 98 753
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 111 990 111 803 75 893 75 984
21 Total exposures excluding IFRS 9 adjustment (sum of lines 3, 11, 16 1 614 976 1 560 437 1 371 694 1 330 988
and 19)
Leverage ratio
22 Basel III leverage ratio 6.9 7.2 5.5 5.7
Page 5 of 8
3. Liquidity
3.1 LIQ1: Liquidity coverage ratio (LCR)
The Group LCR reflects an aggregation of the Bank LCR and the LCR of Absa Regional Operations (ARO). For this purpose, the Bank LCR is
calculated as a simple average of 90 calendar-day LCR observations and the ARO LCR is derived from a simple average of the relevant 3 month-
end data points.
31 March 2021 31 December 2020
Total Total
unweighted weighted Total Total weighted
value value unweighted value
(average) (average) value (average) (average)
Group Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 206 410 213 637
Cash outflows
2 Retail deposits and deposits from small business customers, of 386 185 29 206 386 685 29 018
which:
3 Stable deposits - - - -
4 Less stable deposits 386 185 29 206 386 685 29 018
5 Unsecured wholesale funding, of which: 476 573 237 795 448 325 227 388
6 Operational deposits (all counterparties) and deposits in networks 163 686 40 921 149 093 37 273
of cooperative banks
7 Non-operational deposits (all counterparties) 306 013 190 000 291 890 182 773
8 Unsecured debt 6 874 6 874 7 342 7 342
9 Secured wholesale funding 620 125
10 Additional requirements, of which: 299 966 38 394 310 373 42 094
11 Outflows related to derivative exposures and other collateral 15 631 15 631 19 690 19 690
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 284 335 22 763 290 683 22 404
14 Other contractual funding obligations - - - -
15 Other contingent funding obligations 154 785 6 831 172 386 7 568
16 Total cash outflows 312 846 306 193
Cash inflows
17 Secured lending (e.g. reverse repos) 35 172 3 257 30 262 2 411
18 Inflows from fully performing exposures 142 441 121 118 133 547 114 330
19 Other cash inflows 15 317 13 171 13 305 12 317
20 Total cash inflows 192 930 137 546 177 114 129 058
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 206 410 213 637
22 Total net cash outflows (Rm) 175 300 177 135
23 LCR (%) 117.7 120.6
Page 6 of 8
31 March 2021 31 December 2020
Total Total
unweighted weighted Total Total weighted
value value unweighted value
(average) (average) value (average) (average)
Bank15 Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 186 863 194 495
Cash outflows
2 Retail deposits and deposits from small business customers, of 309 875 22 674 309 874 22 466
which:
3 Stable deposits - - - -
4 Less stable deposits 309 875 22 674 309 874 22 466
5 Unsecured wholesale funding, of which: 395 117 201 864 370 275 193 087
6 Operational deposits (all counterparties) and deposits in networks 163 686 40 921 149 093 37 273
of cooperative banks
7 Non-operational deposits (all counterparties) 225 378 154 890 215 089 149 721
8 Unsecured debt 6 053 6 053 6 093 6 093
9 Secured wholesale funding 620 125
10 Additional requirements, of which: 272 595 35 947 281 685 39 549
11 Outflows related to derivative exposures and other collateral 15 569 15 569 19 645 19 645
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 257 026 20 378 262 040 19 904
14 Other contractual funding obligations - - - -
15 Other contingent funding obligations 132 628 5 912 149 687 6 605
16 Total cash outflows 267 017 261 832
Cash inflows
17 Secured lending (e.g. reverse repos) 35 172 3 257 30 262 2 411
18 Inflows from fully performing exposures 119 700 103 319 111 573 97 650
19 Other cash inflows 11 722 9 576 9 551 8 563
20 Total cash inflows 166 594 116 152 151 386 108 624
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 186 863 194 495
22 Total net cash outflows (Rm) 150 865 153 208
23 LCR (%) 123.9 126.9
Page 7 of 8
Notes:
1
Statutory capital ratios (including unappropriated profits) are managed against Board capital target ranges.
2
The 2020 minimum total regulatory capital adequacy requirement of 11.5% includes the capital conservation buffer, Pillar 2A at zero percent and
the D-SIB add-on but excludes the bank-specific individual capital requirement (Pillar 2B add-on).
3
The four-year transition period for phasing in the RC impact of IFRS 9, as afforded by Directive 5 issued by the PA has been concluded at the end
of the 2020 financial year therefore there is no longer a difference between capital and leverage position of the Group on a fully loaded and
transitional basis.
4
The countercyclical buffer is not required for banks in South Africa.
5
SARB Directive 4/2020 requires the D-SIB add-on to be disclosed. Previously the disclosure of the D-SIB add-on was not a disclosure
requirement. Comparatives have been restated to allow for better comparability with prior period disclosures.
6
The Group LCR reflects an aggregation of the Bank LCR and the ARO LCR. For this purpose, a simple average of the relevant three month-end
data points is used for ARO. For the Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
7
Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates and offshore holdings.
8
The 2020 minimum regulatory capital requirements (MCR) of 11.5% includes the capital conservation buffer, Pillar 2A at zero percent and the D-
SIB add-on but excludes the bank-specific individual capital requirement (Pillar 2B add-on).
9
SA-CCR amount is calculated using the CEM.
10
The floor adjustment is not required for March 2021, due to the operational risk AMA modelled amount exceeding the AMA floor by R4.4bn.
11
The four-year transition period for phasing in the RC impact of IFRS 9, as afforded by Directive 5 issued by the PA has been concluded at the end
of the 2020 financial year.
12
IRC: incremental risk charge.
13
Numbers reported are on a regulatory quarter-end basis
14
Lines 1-4 and 11 were restated for the correct disclosure of derivative asset components. Cash variation margin received on derivative assets
were moved from line 1 to line 4.
15
The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Johannesburg
31 May 2021
Enquiries:
Alan Hartdegen
E-mail: Alan.Hartdegen@absa.africa
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited
Joint Sponsor:
Corporate and Investment Bank – a division of Absa Bank Limited
Page 8 of 8
Date: 31-05-2021 09:02:00
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