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Absa Group - Basel III Pillar 3 Disclosure as at 30 September 2024
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 2024
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 Groups capital ratios have decreased due to the R44.7bn growth in risk weighted assets (RWA). RWA increased due to higher operational risk and
credit risk which was marginally offset by a reduction in market risk, and threshold RWA.
Group common equity tier 1 (CET1) capital decreased primarily due to the foreign currency translation reserve of R2.4bn offset by an improvement in the
available for sale reserve of R1.4bn.
The Group's tier 2 capital includes the redemption of tier 2 capital instruments of R1.4bn and issuances amounting to R3.0bn.
Leverage exposure increased due to an increase in on-balance sheet exposure, combined with an increase in derivatives and securities financing
transaction exposure. This was offset by a marginal decrease in off-balance sheet items quarter-on-quarter.
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 liquidity risk position remained healthy and key liquidity metrics were within risk appetite and above the minimum regulatory requirements.
The Group continued to lengthen and diversify the funding base, while optimizing funding costs, to support asset growth, other strategic initiatives and
maintain the strong net stable funding ratio (NSFR).
The overall reliance on wholesale funding was managed appropriately to support asset growth and to further strengthen the NSFR over the five-year
phase out period of the national discretion item, which came into effect from 1 June 2023.
The summary tables to follow provide key capital adequacy and liquidity information on a regulatory basis as at 30 September 2024.
1.1 KM1: Key metrics
Absa Group (1,2)
a b c d e
30 30
30 June 31 March
September 31 December September
2024 2024
2024 2023(3) 2023
Available capital (Rm)
1 CET1 127 701 128 107 129 841 127 914 123 582
2 Tier 1 147 712 148 387 148 970 146 549 141 373
3 Total capital 162 931 162 950 165 306 162 529 159 205
RWA (Rm)
4 Total RWA 1 119 698 1 074 983 1 080 525 1 058 380 1 020 992
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.4 11.9 12.0 12.1 12.1
6 Tier 1 ratio 13.2 13.8 13.8 13.8 13.8
7 Total capital ratio 14.6 15.2 15.3 15.4 15.6
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 (4) - - - - -
10 Global systemically important banks (G-SIB) and/or domestic 1.0 1.0 1.0 1.0 1.0
systemically important banks (D-SIB) additional requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + row 9 3.5 3.5 3.5 3.5 3.5
+ row 10)
12 2.9 3.4 3.5 3.6 3.6
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 2 096 052 2 031 135 2 001 360 1 955 432 1 964 177
14 Basel III leverage ratio (%) (row 2 / row 13) 7.0 7.3 7.4 7.5 7.2
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 275 365 265 920 259 304 257 309 265 705
16 Total net cash outflow (Rm) 210 623 210 672 209 283 207 665 192 400
17 LCR (%) 130.7 126.2 123.9 123.9 138.1
NSFR
18 Total available stable funding (ASF) (Rm) 1 266 611 1 242 819 1 211 706 1 191 407 1 181 066
19 Total required stable funding (RSF) (Rm) 1 063 714 1 042 073 1 034 357 1 008 962 997 896
20 NSFR (%) 119.1 119.3 117.1 118.1 118.4
Absa Bank (1, 2, 5)
a b c d e
30 30
30 June 31 March
September 31 December September
2024 2024
2024 2023 (3) 2023
Available capital (Rm)
1 CET1 79 524 78 758 79 064 79 019 76 011
2 Tier 1 97 681 97 006 96 240 95 797 92 147
3 Total capital 109 571 107 685 108 497 108 034 106 192
RWA (Rm)
4 Total RWA 701 300 693 018 687 881 683 018 643 430
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.3 11.4 11.5 11.6 11.8
6 Tier 1 ratio 13.9 14.0 14.0 14.0 14.3
7 Total capital ratio 15.6 15.5 15.8 15.8 16.5
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 (4) - - - - -
10 Global systemically important banks (G-SIB) and/or domestic 1.0 1.0 1.0 1.0 1.0
systemically important banks (D-SIB) additional requirements
11 Total of bank CET1 specific buffer requirements (Row 8 + row 3.5 3.5 3.5 3.5 3.5
9 + row 10)
12 2.8 2.9 3.0 3.1 3.3
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 750 377 1 669 957 1 645 860 1 614 778 1 618 848
14 Basel III leverage ratio (%) (row 2 / row 13) 5.6 5.8 5.9 5.9 5.7
LCR
15 Total HQLA (Rm) 243 074 232 595 231 637 229 944 234 755
16 Total net cash outflow (Rm) 178 332 177 347 181 616 180 301 161 451
17 LCR (%) 136.3 131.2 127.5 127.5 145.4
NSFR
18 Total ASF (Rm) 1 040 530 1 015 760 982 999 973 368 959 933
19 Total RSF (Rm) 909 743 894 390 886 261 869 787 854 405
20 NSFR (%) 114.4 113.6 110.9 111.9 112.4
1.2 LR1: Summary comparison of accounting assets versus leverage ratio exposure measure
Absa Group
Group
30 September 30 June
2024 2024
Rm Rm
1 Total consolidated assets 2 036 616 1 953 354
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated (38 541) (37 251)
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 (14 168) 681
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 125 202 129 420
exposures)
7 Other adjustments (13 057) (15 069)
8 Leverage ratio exposure measure 2 096 052 2 031 135
Absa Bank (5)
Bank
30 September 30 June
2024 2024
Rm Rm
1 Total consolidated assets 1 683 750 1 587 649
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 (14 885) (1 425)
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 96 547 98 693
exposures)
7 Other adjustments (15 035) (14 960)
8 Leverage ratio exposure measure 1 750 377 1 669 957
1.3 LR2: Leverage ratio common disclosure template
Group Bank (5)
a b a b
30 30 June 30 30 June
September 2024 September 2024
2024 2024
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 838 085 1 794 472 1 526 080 1 466 687
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III tier 1 capital) (13 057) (15 069) (15 035) (14 960)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of 1 825 028 1 779 403 1 511 045 1 451 727
rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where applicable net 25 287 18 355 24 488 16 886
of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all derivative 33 446 33 339 33 043 32 152
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 (5 629) (2 152) (5 629) (2 152)
transactions)
8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 5 996 4 755 5 997 4 755
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 59 100 54 297 57 899 51 641
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 86 722 68 015 84 886 67 896
accounting transactions
13 (Netted amounts of cash payables and cash receivables of gross SFT assets) - - - -
14 Counterparty credit risk (CCR) exposure for SFT assets - - - -
15 Agent transaction exposures - - - -
16 Total securities financing transaction exposures (sum of rows 12 to 15) 86 722 68 015 84 886 67 896
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 467 242 480 294 395 205 410 195
18 (Adjustments for conversion to credit equivalent amounts) (342 040) (350 874) (298 658) (311 502)
19 Off-balance sheet items (sum of rows 17 and 18) 125 202 129 420 96 547 98 693
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 147 712 148 387 97 681 97 006
21 Total exposures (sum of lines 3, 11, 16 and 19) 2 096 052 2 031 135 1 750 377 1 669 957
Leverage ratio
22 Basel III leverage ratio 7.0 7.3 5.6 5.8
1.4 LIQ1: Liquidity coverage ratio (LCR)
a b a b
30 September 2024 30 June 2024
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group (6) Rm Rm Rm Rm
HQLA
1 Total HQLA 275 365 265 920
Cash outflows
2 Retail deposits and deposits from small business customers of which: 516 206 39 559 495 787 38 295
3 Stable deposits 87 535 4 377 99 055 4 953
4 Less stable deposits 428 671 35 182 396 732 33 342
5 Unsecured wholesale funding of which: 581 668 272 401 577 153 281 197
6 Operational deposits (all counterparties) and deposits in networks of 170 355 40 750 156 232 37 107
cooperative banks
7 Non-operational deposits (all counterparties) 405 571 225 909 414 435 237 604
8 Unsecured debt 5 742 5 742 6 486 6 486
9 Secured wholesale funding 4 593 1 707
10 Additional requirements of which: 407 389 46 450 395 736 45 113
11 Outflows related to derivative exposures and other collateral 15 484 15 484 15 535 15 535
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 391 905 30 966 380 201 29 578
14 Other contractual funding obligations 437 437 444 444
15 Other contingent funding obligations 263 903 11 456 252 231 10 854
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 374 896 377 610
Cash inflows
17 Secured lending (e.g., reverse repos) 53 672 13 174 51 671 16 004
18 Inflows from fully performing exposures 167 210 138 228 170 067 138 622
19 Other cash inflows 13 683 12 871 12 807 12 312
20 Total cash inflows (Sum of lines 17-19) 234 565 164 273 234 545 166 938
Total weighted value Total weighted value
HQLA
21 Total HQLA (Rm) 275 365 265 920
22 Total net cash outflows (Rm) 210 623 210 672
23 LCR (%) 130.7 126.2
a b a b
30 September 2024 30 June 2024
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Bank (7) Rm Rm Rm Rm
HQLA)
1 Total HQLA 243 074 232 595
Cash outflows
2 Retail deposits and deposits from small business customers of which: 403 586 29 801 392 544 29 267
3 Stable deposits 87 535 4 377 99 055 4 953
4 Less stable deposits 316 051 25 424 293 489 24 314
5 Unsecured wholesale funding of which: 469 417 222 220 459 414 229 814
6 Operational deposits (all counterparties) and deposits in networks of 170 355 40 750 156 232 37 107
cooperative banks
7 Non-operational deposits (all counterparties) 294 013 176 421 297 231 186 756
8 Unsecured debt 5 049 5 049 5 951 5 951
9 Secured wholesale funding 4 593 1 707
10 Additional requirements of which: 370 033 41 078 361 882 39 572
11 Outflows related to derivative exposures and other collateral 13 162 13 162 12 744 12 744
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 356 871 27 916 349 138 26 828
14 Other contractual funding obligations 437 437 444 444
15 Other contingent funding obligations 230 606 10 053 219 013 9 448
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 308 182 310 252
Cash inflows
17 Secured lending (e.g. reverse repos) 53 672 13 174 51 671 16 004
18 Inflows from fully performing exposures 129 526 108 086 133 910 110 124
19 Other cash inflows 9 401 8 590 7 272 6 777
20 Total cash inflows (Sum of lines 17-19) 192 599 129 850 192 853 132 905
Total weighted value Total weighted value
HQLA
21 Total HQLA (Rm) 243 074 232 595
22 Total net cash outflows (Rm) 178 332 177 347
23 LCR (%) 136.3 131.2
2. Risk-weighted assets (RWAs)
2.1 OV1: Overview of RWA
Group Bank (5)
a b c a b c
30 30 30 30 30 30
September June September September June September
2024 2024 2024 2024 2024 2024
RWA RWA MRC (8) RWA RWA MRC(8)
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding CCR) 815 280 789 339 101 911 516 681 510 342 64 585
2 Of which: standardised approach (SA) 284 716 263 755 35 590 1 187 1 317 148
3 Of which: foundation internal ratings based - - - - - -
(FIRB) approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings based (AIRB) 530 564 525 584 66 321 515 494 509 025 64 437
approach
6 CCR 20 160 19 421 2 520 18 705 16 999 2 338
7 Of which: standardised approach for CCR (SA- 20 160 19 421 2 520 18 705 16 999 2 338
CCR)
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 12 058 10 741 1 507 10 207 7 992 1 276
11 Equity positions under the simple risk weight 4 958 3 507 620 2 922 1 755 365
approach
12 Equity investments in funds look-through approach 6 017 6 185 752 561 428 70
13 Equity investments in funds mandate-based 2 188 2 188 274 2 188 2 188 274
approach
14 Equity investments in funds fall-back approach 364 440 46 313 313 39
15 Settlement risk 1 343 1 592 168 1 289 1 544 161
16 Securitisation exposures in banking book 106 104 13 106 104 13
17 Of which: IRB ratings-based approach (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) 106 104 13 106 104 13
20 Traded market risk 37 180 38 648 4 648 25 182 26 466 3 148
21 Of which: SA 21 549 20 783 2 694 9 551 8 601 1 194
22 Of which: internal model approach (IMA) 15 631 17 865 1 954 15 631 17 865 1 954
23 Capital charge for switch between trading book and - - - - - -
banking book
24 Operational risk 129 151 129 151 16 144 73 111 73 111 9 139
Non-customer assets 27 683 27 171 3 460 17 145 17 817 2 143
25 Amounts below the thresholds for deduction (subject 23 797 24 984 2 975 11 864 12 933 1 483
to 250% risk weight)
26 Floor adjustment (after application of transitional 39 413 21 512 4 927 21 026 21 026 2 628
cap) (9)
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+ 1 119 698 1 074 983 139 965 701 300 693 018 87 662
25+26+non-customer assets)
Total Group RWAs increased by R44.7bn during the reporting period primarily due to:
Credit risk RWAs increased by R25.9bn primarily due to a R21.0bn increase in standardised approach RWA, driven by the
sovereign rating and asset growth in certain ARO portfolios. This increase was further supported by asset growth in the AIRB approach portfolios.
Traded market risk RWAs decreased by R1.5bn due to a reduction in the IMA capital driven by a decline in the 60-day average VaR and sVaR from
reduced interest rate risk exposure.
Floor adjustment RWA increased by R17.9bn due to higher operational risk requirements.
2.2 CR8: RWA flow statements of credit risk exposures under IRB
a a
30 September 2024 30 June 2024
RWA amounts RWA amounts
Rm Rm
1 RWA as at end of previous quarter 525 584 512 174
2 Asset size 5 339 13 662
3 Asset quality (852) (2 917)
4 Model updates - -
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements (1 993) (1 861)
8 Other (10) 2 486 4 526
9 RWA as at end of reporting period 530 564 525 584
RWA increase driven primarily by growth in sovereign and specialised lending asset classes. This was partially offset by ZAR strengthening and a marginal
improvement in asset quality resulting from changes in portfolio mix.
2.3 MR2: RWA flow statements of market risk exposures under IMA
a b c d e f
30 September 2024
Stressed Increment
value at al risk Credit risk
Value at risk charge mitigation
risk (VaR) (sVaR) (IRC) 1 (CRM) Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 7 521 10 344 - - - 17 865
2 Movements in risk levels (1 343) (891) - - - (2 235)
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 6 177 9 454 - - - 15 631
RWAs decreased due to a reduction in the IMA capital, driven by a decline in the 60-day average VaR and sVaR. This decline was a result of lower
interest rate risk stemming from reduced rate cut expectations. As of 30 September 2024, IMA constitutes 62.07% of South Africa total traded market risk
charge and 42.04% of the Group total traded market risk charge.
a b c d e f
30 June 2024
Incrementa
Stressed l risk Credit risk
Value at value at charge mitigation
risk (VaR) risk (sVaR) (IRC) 1 (CRM) Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 13 084 14 009 - - - 27 093
2 Movements in risk levels (5 563) (3 665) - - - (9 228)
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 7 521 10 344 - - - 17 865
Johannesburg
29 November 2024
Enquiries:
Alan Hartdegen
E-mail: Alan.Hartdegen@absa.africa
Lead Independent Sponsor:
J.P. Morgan Equities South Africa Proprietary Limited
Joint Sponsor and Debt Sponsor:
Corporate and Investment Bank a division of Absa Bank Limited
Notes:
(1) The fully loaded accounted expected credit loss (ECL) basis has been fully transitioned in.
(2) The numbers are excluding unappropriated profits.
(3) The December 2023 figures were revised to align with final regulatory submissions.
(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 Group LCR reflects an aggregation of the Bank LCR and the LCR of 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.
(7) The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
(8) The 2024 minimum total regulatory capital adequacy requirement of 12.5% includes the capital conservation buffer, Pillar 2A and the D-SIB add-
on but excludes the bank specific individual capital requirement (Pillar 2B add-on) as required by regulatory guidance.
(9) Includes the operational risk floor.
(10) Other reflects RWA movements on non-performing loans due to differences in the definition of default between IFRS 9 impairment and regulatory
capital models.
Date: 29-11-2024 12:30:00
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