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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
Bond code: ABGI Bond code: BIABS
(Absa Group or the Group) (Absa Bank or the Bank)
ABSA GROUP – BASEL III PILLAR 3 DISCLOSURE AS AT 30 SEPTEMBER 2022
This Pillar 3 disclosure contains the quantitative Pillar 3 disclosure requirements in respect of Absa Group and Absa 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the Regulations relating to Banks (Regulations), issued in terms of the Banks Act, 1990 (Act No. 94 of 1990), where not superseded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).
The Group liquidity coverage ratio (LCR) reflects an aggregation of the Bank LCR and the LCR of the Absa Regional Operations (ARO). For this purpose,
a simple average of the relevant three month-end data points is used for ARO, noting that ARO LCR is capped at 100% per the minimum regulatory
requirements. For the Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
The summary table below provides key capital adequacy and liquidity information on a regulatory basis as at 30 September 2022.
1.1. KM1: Key metrics (at consolidated group level)1
a b c d e
30 September 30 June 31 March 31 December 30 September
2022 2022 2022 2021 2021
Available capital (Rm)
1 CET1 115 240 112 630 110 721 114 080 108 822
2 Tier 1 130 587 129 460 126 582 131 059 125 163
3 Total capital 153 444 149 576 146 583 153 534 148 281
RWA (Rm)
4 Total RWA 1 002 540 948 670 923 058 931 524 916 711
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.5 11.9 12.0 12.2 11.9
6 Tier 1 ratio 13.0 13.6 13.7 14.1 13.7
7 Total capital ratio 15.3 15.8 15.9 16.5 16.2
Additional CET1 buffer requirements as a percentage of RWA
(%)
8 Capital conservation buffer requirement 2.5 2.5 2.5 2.5 2.5
9 Countercyclical buffer requirement2 - - - - -
10 Global systemically important banks (G-SIB) and/or 1.0 1.0 1.0 1.0 1.0
domestic systemically important banks (D-SIB) additional
requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + 3.5 3.5 3.5 3.5 3.5
row 9 + row 10)
12 CET1 available after meeting the bank’s minimum capital 3.0 3.4 3.5 4.2 3.9
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 883 283 1 829 289 1 705 152 1 716 289 1 697 416
14 Basel III leverage ratio (%) (row 2 / row 13) 6.9 7.1 7.4 7.6 7.4
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 241 373 220 072 211 840 206 880 196 248
16 Total net cash outflow (Rm) 186 811 181 679 177 802 177 075 166 010
17 LCR (%) 129.2 121.1 119.1 116.8 118.2
NSFR
18 Total available stable funding (ASF) (Rm) 1 058 319 1 030 521 973 930 1 003 3113 987 128
19 Total required stable funding (RSF) (Rm) 947 805 911 668 855 523 864 0613 828 853
20 NSFR (%) 111.7 113.0 113.8 116.1 119.1
Page 1 of 7
1.2. OV1: Overview of RWA
Group Bank4
a b c a b c
30 30 30 30 30 30
September June September September June September
2022 2022 2022 2022 2022 2022
RWA RWA MRC5 RWA RWA MRC5
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 724 081 684 582 90 511 478 104 460 247 59 763
2 Of which: standardised approach (SA) 230 837 209 038 28 855 693 285 87
3 Of which: foundation internal ratings-based (FIRB) - - - - - -
approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings-based (AIRB) 493 244 475 544 61 656 477 411 459 962 59 676
approach
6 CCR 18 178 16 781 2 272 14 515 14 039 1 814
7 Of which: standardised approach for CCR (SA- 18 178 16 781 2 272 14 515 14 039 1 814
CCR)
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 11 583 9 717 1 448 6 409 6 329 801
11 Equity positions under the simple risk weight approach 3 453 3 398 432 1 819 1 779 227
12 Equity investments in funds – look-through approach 8 901 8 657 1 113 2 483 2 490 310
13 Equity investments in funds – mandate-based - - - - - -
approach
14 Equity investments in funds – fall-back approach 482 476 60 - - -
15 Settlement risk 1 404 1 603 176 1 325 1 529 166
16 Securitisation exposures in banking book 2 069 2 135 259 2 069 2 135 259
17 Of which: IRB ratings-based approach (SEC-IRBA) 2 069 2 135 259 2 069 2 135 259
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 46 595 36 562 5 825 33 059 26 194 4 133
21 Of which: SA 29 158 19 667 3 645 15 622 9 299 1 953
22 Of which: internal model approach (IMA) 17 437 16 895 2 180 17 437 16 895 2 180
23 Capital charge for switch between trading book and - - - - - -
banking book
24 Operational risk 118 845 118 845 14 856 76 641 76 641 9 580
Non-customer assets 26 916 29 297 3 365 15 300 15 984 1 913
25 Amounts below the thresholds for deduction (subject 32 385 28 969 4 048 16 189 13 878 2 024
to 250% risk weight)
26 Floor adjustment (after application of transitional cap) 6 7 648 7 648 956 6 983 6 983 873
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+ 1 002 540 948 670 125 321 654 896 628 228 81 863
25+26+non-customer assets)
1.3. CR8: RWA flow statements of credit risk exposures under IRB
a a
30 September 2022 30 June 2022
RWA amounts RWA amounts
Rm Rm
1 RWA as at end of previous quarter 475 544 470 996
2 Asset size 18 958 15 380
3 Asset quality 1 307 (11 742)
4 Model updates (4 293) (936)
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements 2 814 3 360
8 Other7 (1 086) (1 514)
9 RWA as at end of reporting period 493 244 475 544
Page 2 of 7
1.4. MR2: RWA flow statements of market risk exposures under IMA
a b c d e f
30 September 2022
Stressed Increment
value at al risk Credit risk
Value at risk charge mitigation
risk (VaR) (sVaR) (IRC) (CRM) Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 7 114 9 781 - - - 16 895
2 Movements in risk levels 1 635 (1 093) - - - 542
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 8 749 8 688 - - - 17 437
a b c d e f
30 June 2022
VaR sVaR IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 7 299 9 179 - - - 16 479
2 Movements in risk levels (185) 602 - - - 416
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 7 114 9 781 - - - 16 895
2. Leverage
Consistent with the treatment in table KM1, the leverage position below is shown on a regulatory basis.
2.1. LR1: Summary comparison of accounting assets versus leverage ratio exposure measure
Absa Group
Group
30 September
2022
Rm
1 Total consolidated assets 1 834 298
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting (32 879)
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 (35 743)
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 equivalent amounts of off-balance sheet exposures) 135 130
7 Other adjustments (17 523)
8 Leverage ratio exposure measure 1 883 283
Page 3 of 7
Absa Bank
Bank
30 September
2022
Rm
1 Total consolidated assets 1 504 041
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 (34 396)
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 equivalent amounts of off-balance sheet exposures) 105 212
7 Other adjustments (16 440)
8 Leverage ratio exposure measure 1 558 417
2.2. LR2: Leverage ratio common disclosure template
Group Bank
a b a b
30 September 30 June 30 September 30 June
2022 2022 2022 2022
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 627 575 1 560 883 1 340 411 1 300 764
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (17 523) (15 959) (16 440) (15 082)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) 1 610 052 1 544 924 1 323 971 1 285 682
(sum of rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where 21 154 30 167 20 583 29 347
applicable net of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all 29 661 28 863 28 892 28 075
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 (5 475) (8 534) (5 475) (8 534)
derivatives transactions)
8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 7 833 6 484 7 833 6 484
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 53 173 56 980 51 833 55 372
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 84 928 94 000 77 401 92 107
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) 84 928 94 000 77 401 92 107
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 413 442 387 411 344 031 321 468
18 (Adjustments for conversion to credit equivalent amounts) (278 312) (254 026) (238 819) (216 861)
19 Off-balance sheet items (sum of rows 17 and 18) 135 130 133 385 105 212 104 607
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 130 587 129 460 88 666 90 797
21 Total exposures (sum of lines 3, 11, 16 and 19) 1 883 283 1 829 289 1 558 417 1 537 768
Leverage ratio
22 Basel III leverage ratio 6.9 7.1 5.7 5.9
Page 4 of 7
3. Liquidity
3.1. LIQ1: Liquidity coverage ratio (LCR)
a b a b
30 September 2022 30 June 2022
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group8 Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 241 373 220 072
Cash outflows
2 Retail deposits and deposits from small business customers of which: 448 978 36 064 440 698 34 883
3 Stable deposits - - - -
4 Less stable deposits 448 978 36 064 440 698 34 883
5 Unsecured wholesale funding of which: 520 558 258 202 491 005 246 022
6 Operational deposits (all counterparties) and deposits in networks of 166 841 41 710 154 779 38 695
cooperative banks
7 Non-operational deposits (all counterparties) 351 268 214 043 332 581 203 682
8 Unsecured debt 2 449 2 449 3 645 3 645
9 Secured wholesale funding 3 330 1 003
10 Additional requirements of which: 318 615 44 367 309 180 38 166
11 Outflows related to derivative exposures and other collateral 19 909 19 909 15 026 15 026
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 298 706 24 458 294 154 23 140
14 Other contractual funding obligations 1 805 1 805 - -
15 Other contingent funding obligations 236 284 9 460 198 221 8 474
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 353 228 328 548
Cash inflows
17 Secured lending (e.g., reverse repos) 56 274 5 646 42 982 11 247
18 Inflows from fully performing exposures 175 867 147 226 152 010 126 367
19 Other cash inflows 14 667 13 545 10 074 9 255
20 Total cash inflows (Sum of lines 17-19) 246 808 166 417 205 066 146 869
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 241 373 220 072
22 Total net cash outflows (Rm) 186 811 181 679
23 LCR (%) 129.2 121.1
Page 5 of 7
a b a b
30 September 2022 30 June 2022
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Bank9 Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 212 724 191 019
Cash outflows
2 Retail deposits and deposits from small business customers of which: 354 987 28 139 352 002 27 208
3 Stable deposits - - - -
4 Less stable deposits 354 987 28 139 352 002 27 208
5 Unsecured wholesale funding of which: 423 453 214 161 404 092 205 437
6 Operational deposits (all counterparties) and deposits in networks of 166 841 41 710 154 779 38 695
cooperative banks
7 Non-operational deposits (all counterparties) 254 992 170 831 246 235 163 664
8 Unsecured debt 1 620 1 620 3 078 3 078
9 Secured wholesale funding 3 330 1 003
10 Additional requirements of which: 288 147 39 584 279 489 33 334
11 Outflows related to derivative exposures and other collateral 17 645 17 645 12 628 12 628
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 270 502 21 939 266 861 20 706
14 Other contractual funding obligations 1 805 1 805 - -
15 Other contingent funding obligations 205 524 8 189 168 271 7 272
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 295 208 274 254
Cash inflows
17 Secured lending (e.g. reverse repos) 56 274 5 646 42 982 11 247
18 Inflows from fully performing exposures 139 225 117 805 118 700 99 081
19 Other cash inflows 12 663 11 542 8 929 8 109
20 Total cash inflows (Sum of lines 17-19) 208 162 134 993 170 611 118 437
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 212 724 191 019
22 Total net cash outflows (Rm) 160 215 155 817
23 LCR (%) 132.8 122.6
Johannesburg
29 November 2022
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 6 of 7
Notes:
1
The fully loaded accounted ECL basis has been fully transitioned in.
2
The countercyclical buffer in South Africa is currently zero.
3
The December 2021 NSFR ASF and RSF was restated to reflect a change in the Bank’s statement of financial position.
4
Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates, and offshore holdings.
5
The 2022 minimum total regulatory CAR of 12.5% includes the capital conservation buffer, Pillar 2A at 1.00% and the D-SIB add-on but excludes the
bank-specific individual capital requirement (Pillar 2B add-on).
6
Includes the operational risk floor.
7
Other reflects RWA movements on non-performing loans due to misalignment of the definition of default between IFRS 9 impairment and regulatory
capital models.
8
The Group LCR reflects an aggregation of the Bank LCR and the LCR of the Absa Regional Operations (ARO). For this purpose, a simple average of
the relevant three month-end data points is used for ARO, noting that ARO LCR is capped at 100% per the minimum regulatory requirements. For the
Bank, the LCR was calculated as a simple average of 90 calendar-day LCR observations.
9
The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Page 7 of 7
