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Absa Group Limited (JSE:ABG) News - ABSA Group Limited - Basel III Pillar 3 Disclosure as at 30 September 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) (Absa Bank)
ABSA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 30 SEPTEMBER 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the Regulations relating to Banks (Regulations), issued in terms of the Banks Act, 1990 (Act No. 94 of 1990), where not superseded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). The capital and leverage positions of the Group are also managed on a statutory
basis (which includes unappropriated profits).
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. 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 both a regulatory and statutory basis as at 30 September 2021.
1.1 Capital adequacy and liquidity
30 September 30 June 30 September 30 June
2021 2021 2021 2021
Minimum
Board target regulatory Group Group Bank Bank
ranges 10F requirements 21F performance performance performance performance
Statutory capital ratios (includes
unappropriated profits) (%)
CET1 11.0 – 12.5 12.5 12.4 12.0 11.8
Tier 1 >12.0 14.2 14.2 14.4 14.2
Total capital adequacy requirement (CAR) >14.5 16.8 16.9 17.7 17.7
Leverage 5.5 – 7.5 7.7 7.7 6.4 6.3
Regulatory capital ratios (excludes
unappropriated profits) (%)
CET1 8.0 11.9 12.1 11.5 11.7
Tier 1 9.5 13.7 13.9 13.9 14.1
Total CAR 11.5 16.2 16.6 17.2 17.6
Leverage 4.0 7.4 7.5 6.2 6.3
LCR (%) 80.0 118.2 124.0 125.1 131.1
Net stable funding ratio (NSFR) (%) 100.0 119.1 118.3 111.4 112.4
1.2 KM1: Key metrics (at consolidated group level)
30 September 30 June 31 March 31 December 30 September
2021 3
2F 20213 20213 2020 2020
Available capital (Rm)
1 CET1 transitional basis 108 822 107 437 103 041 102 496 104 119
1a Fully loaded expected credit loss (ECL) accounting model 108 822 107 437 103 041 101 632 103 255
2 Tier 1 transitional basis 125 163 123 508 111 990 111 803 112 189
2a Fully loaded ECL accounting model Tier 1 125 163 123 508 111 990 110 939 111 325
3 Total capital transitional basis 148 281 147 781 136 908 137 454 139 143
3a Fully loaded ECL accounting model total capital 148 281 147 781 136 908 136 590 138 279
RWA (Rm)
4 Total RWA transitional basis 916 711 891 769 904 628 915 061 921 129
4a Fully loaded RWA 916 711 891 769 904 628 911 488 917 556
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio transitional basis 11.9 12.1 11.4 11.2 11.3
5a Fully loaded ECL accounting model CET1 11.9 12.1 11.4 11.2 11.3
6 Tier 1 ratio transitional basis 13.7 13.9 12.4 12.2 12.2
6a Fully loaded ECL accounting model Tier 1 ratio 13.7 13.9 12.4 12.2 12.1
7 Total capital ratio transitional basis 16.2 16.6 15.1 15.0 15.1
7a Fully loaded ECL accounting model total capital ratio 16.2 16.6 15.1 15.0 15.1
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 requirement 43F - - - - -
10 Global systemically important banks (G-SIB) and/or 1.0 1.0 0.5 0.5 0.5
domestic systemically important banks (D-SIB) additional
requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + 3.5 3.5 3.0 3.0 3.0
row 9 + row 10)
12 CET1 available after meeting the bank’s minimum capital 3.9 4.1 3.9 3.7 3.8
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 697 416 1 645 788 1 614 976 1 560 437 1 733 777
14 Basel III leverage ratio (%) (row 2 / row 13) transitional 7.4 7.5 6.9 7.2 6.5
basis
14 Fully loaded ECL accounting model Basel III leverage ratio 7.4 7.5 6.9 7.1 6.4
a (%) (row 2a / row 13)
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 196 248 214 589 206 410 213 637 235 845
16 Total net cash outflow (Rm) 166 010 173 009 175 300 177 135 169 516
17 LCR (%) 118.2 124.0 117.7 120.6 139.2
NSFR
18 Total available stable funding (ASF) (Rm) 987 128 962 485 942 574 935 190 951 963
19 Total required stable funding (RSF) (Rm) 828 853 813 629 812 689 807 517 800 811
20 NSFR (%) 119.1 118.3 116.0 115.8 118.9
1.3 OV1: Overview of RWA
Group Bank 5
4F
30 30 30 30 30 30
September June September September June September
2021 2021 2021 2021 2021 2021
RWA RWA MRC 6
5F RWA RWA MRC6
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 667 689 642 010 76 784 462 380 450 280 53 173
2 Of which: standardised approach (SA) 192 993 178 656 22 194 526 - 60
3 Of which: foundation internal ratings-based (FIRB)
- - - - - -
approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings-based (AIRB)
474 696 463 354 54 590 461 854 450 280 53 113
approach
6 CCR 17 016 19 008 1 957 15 689 18 685 1 804
7 Of which: standardised approach for CCR (SA-
17 016 19 008 1 957 15 689 18 685 1 804
CCR) 7 6F
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 11 061 11 315 1 272 9 840 11 092 1 132
11 Equity positions under the simple risk weight
4 258 4 437 490 1 961 2 054 226
approach
12 Equity investments in funds – look-through approach 7 017 6 812 807 379 354 44
13 Equity investments in funds – mandate-based
- - - - - -
approach
14 Equity investments in funds – fall-back approach 547 765 63 - 189 -
15 Settlement risk 1 163 922 134 1 097 852 126
16 Securitisation exposures in banking book 4 056 4 180 466 4 056 4 180 466
17 Of which: IRB ratings-based approach (SEC-IRBA) 4 056 4 180 466 4 056 4 180 466
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 41 202 40 280 4 739 27 646 27 118 3 180
21 Of which: SA 21 483 21 289 2 471 7 927 8 127 912
22 Of which: internal model approach (IMA) 19 719 18 991 2 268 19 719 18 991 2 268
23 Capital charge for switch between trading book and
- - - - - -
banking book
24 Operational risk 111 193 111 194 12 787 73 921 73 922 8 501
Non-customer assets 24 656 25 131 2 835 15 897 16 704 1 828
25 Amounts below the thresholds for deduction (subject
22 265 21 128 2 560 10 286 9 877 1 183
to 250% risk weight)
26 Floor adjustment (after application of transitional cap)
8 4 588 4 587 528 4 472 4 472 514
7F
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+
916 711 891 769 105 422 627 624 619 779 72 177
25+26+non-customer assets)
1.4 CR8: RWA flow statements of credit risk exposures under IRB
30 September 2021 30 June 2021
RWA amounts RWA amounts
Rm Rm
1 RWA as at end of previous quarter 463 354 482 911
2 Asset size 12 133 7 746
3 Asset quality (2 149) (14 066)
4 Model updates - (2 232)
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements 1 358 (1 259)
8 Other - (9 746) 9
8F
9 RWA as at end of reporting period 474 696 463 354
1.5 MR2: RWA flow statements of market risk exposures under IMA
30 September 2021
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 7 602 11 389 - - - 18 991
2 Movements in risk levels 212 516 - - - 728
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 7 814 11 905 - - - 19 719
30 June 2021
Stressed
Value at value at
risk (VaR) risk (sVaR) IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 6 706 11 352 - - - 18 058
2 Movements in risk levels 896 37 - - - 933
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 7 602 11 389 - - - 18 991
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 10 9F
Group Bank
30 30 30 30
September June September June
2021 2021 2021 2021
Rm Rm Rm Rm
1 Total consolidated assets 1 626 330 1 580 535 1 336 072 1 320 971
2 Adjustment for investments in banking, financial, insurance or commercial (31 575) (32 601) - -
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 (12 556) (12 727) (11 334) (12 026)
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 126 869 122 165 102 023 100 041
amounts of off-balance sheet exposures)
7 Other adjustments (11 652) (11 584) (10 475) (10 361)
8 Leverage ratio exposure measure 1 697 416 1 645 788 1 416 286 1 398 625
2.2 LR2: Leverage ratio common disclosure template 11
10F
Group Bank
30 30 30 30
September June September June
2021 2021 2021 2021
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 428 298 1 372 923 1 176 980 1 151 657
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (11 652) (11 584) (10 475) (10 361)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of 1 416 646 1 361 339 1 166 505 1 141 296
rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where applicable net 22 645 27 197 22 645 27 197
of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all derivative 23 242 27 547 23 242 27 547
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 5 314 6 961 5 314 6 961
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 51 201 61 705 51 201 61 705
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 102 700 100 579 96 557 95 583
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) 102 700 100 579 96 557 95 583
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 377 624 368 562 318 927 314 340
18 (Adjustments for conversion to credit equivalent amounts) (250 755) (246 397) (216 904)) (214 299)
19 Off-balance sheet items (sum of rows 17 and 18) 126 869 122 165 102 023 100 041
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 125 163 123 508 87 528 87 373
21 Total exposures excluding IFRS 9 adjustment (sum of lines 3, 11, 16 and 19) 1 697 416 1 645 788 1 416 286 1 398 625
Leverage ratio
22 Basel III leverage ratio 7.4 7.5 6.2 6.3
3. Liquidity
3.1 LIQ1: Liquidity coverage ratio (LCR)
30 September 2021 30 June 2021
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 196 248 214 589
Cash outflows
2 Retail deposits and deposits from small business customers of which: 417 250 32 040 390 892 29 656
3 Stable deposits - - - -
4 Less stable deposits 417 250 32 040 390 892 29 656
5 Unsecured wholesale funding of which: 485 891 240 326 485 378 237 878
6 Operational deposits (all counterparties) and deposits in networks of 150 647 37 662 172 346 43 086
cooperative banks
7 Non-operational deposits (all counterparties) 332 453 199 873 308 803 190 563
8 Unsecured debt 2 791 2 791 4 229 4 229
9 Secured wholesale funding 308 415
10 Additional requirements of which: 311 536 37 185 297 785 36 393
11 Outflows related to derivative exposures and other collateral 13 555 13 555 13 545 13 545
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 297 981 23 630 284 240 22 848
14 Other contractual funding obligations - - - -
15 Other contingent funding obligations 151 465 6 278 151 338 6 288
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 316 137 310 630
Cash inflows
17 Secured lending (e.g. reverse repos) 51 202 11 273 47 886 6 198
18 Inflows from fully performing exposures 147 219 124 597 139 320 116 575
19 Other cash inflows 14 795 14 257 15 916 14 848
20 Total cash inflows (Sum of lines 17-19) 213 216 150 127 203 122 137 621
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 196 248 214 589
22 Total net cash outflows (Rm) 166 010 173 009
23 LCR (%) 118.2 124.0
30 September 2021 30 June 2021
Total Total
unweighted weighted Total Total weighted
value value unweighted value
(average) (average) value (average) (average)
Bank 12
11F Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 175 931 195 412
Cash outflows
2 Retail deposits and deposits from small business customers of which: 337 237 25 281 316 405 23 336
3 Stable deposits - - - -
4 Less stable deposits 337 237 25 281 316 405 23 336
5 Unsecured wholesale funding of which: 393 968 199 667 404 591 202 448
6 Operational deposits (all counterparties) and deposits in networks of 150 647 37 662 172 346 43 086
cooperative banks
7 Non-operational deposits (all counterparties) 241 189 159 873 228 767 155 884
8 Unsecured debt 2 132 2 132 3 478 3 478
9 Secured wholesale funding 308 415
10 Additional requirements of which: 281 824 34 673 268 024 33 771
11 Outflows related to derivative exposures and other collateral 13 553 13 553 13 421 13 421
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 268 271 21 120 254 603 20 350
14 Other contractual funding obligations - - - -
15 Other contingent funding obligations 126 821 5 284 129 452 5 389
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 265 213 265 359
Cash inflows
17 Secured lending (e.g. reverse repos) 51 202 11 273 47 886 6 198
18 Inflows from fully performing exposures 121 072 104 133 117 144 99 451
19 Other cash inflows 9 730 9 191 11 740 10 671
20 Total cash inflows (Sum of lines 17-19) 182 004 124 597 176 770 116 320
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 175 931 195 412
22 Total net cash outflows (Rm) 140 616 149 039
23 LCR (%) 125.1 131.1
Johannesburg
29 November 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
Notes:
1
Capital ratios (including unappropriated profits) are managed against Board target capital ranges. The Absa Bank Limited CET1 Board target
range is 10.5% to 12.0%.
2
The 2021 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 in South Africa is currently zero.
5
Absa Bank Limited includes subsidiary undertakings, special-purpose entities, joint ventures, associates and offshore holdings.
6
The 2021 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).
7
SA-CCR amount is calculated using the current exposure method.
8
Includes the operational risk floor.
9
Other mainly reflects benefits realised from improvements in data quality.
10
Numbers reported are on a regulatory quarter-end basis
11
Numbers reported are on a spot regulatory quarter-end basis and not on an average basis.
12
The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Date: 29-11-2021 12:44:00
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