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Absa Group - Basel III Pillar 3 Disclosure as at 31 March 2023
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 31 MARCH 2023
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superseded by the revised Pillar 3 disclosure requirements.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 31 March 2023.
1.1 KM1: Key metrics
Absa Group ( 1, 2)
0F 1F
a b c d e
31 March 31 December 30 September 30 June 31 March
2023 2022 2022 2022 2022
Available capital (Rm)
1 CET1 119 299 120 390 (3) 115 240 112 630 110 721
2 Tier 1 136 206 136 635 (3) 130 587 129 460 126 582
3 Total capital 159 247 158 719 (3) 153 444 149 576 146 583
RWA (Rm)
4 Total RWA 1 017 928 1 007 1 002 540 948 670 923 058
387( 3)
2F
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 11.7 12.0 (3) 11.5 11.9 12.0
6 Tier 1 ratio 13.4 13.6 13.0 13.6 13.7
7 Total capital ratio 15.6 15.8 15.3 15.8 15.9
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)
3F - - - - -
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 CET1 available after meeting the bank’s minimum capital 3.2 3.5 (3) 3.0 3.4 3.5
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 902 576 1 848 607 1 883 283 1 829 289 1 705 152
14 Basel III leverage ratio (%) (row 2 / row 13) 7.2 7.4 6.9 7.1 7.4
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 245 024 240 876 241 373 220 072 211 840
16 Total net cash outflow (Rm) 185 132 193 299 186 811 181 679 177 802
17 LCR (%) 132.4 124.6 129.2 121.1 119.1
NSFR
18 Total available stable funding (ASF) (Rm) 1 116 892 1 081 769(3) 1 058 319 1 030 521 973 930
19 Total required stable funding (RSF) (Rm) 969 803 954 359 (3) 947 805 911 668 855 523
20 NSFR (%) 115.2 113.4 111.7 113.0 113.8
Absa Bank (1,2)
a b c d e
31 March 31 December 30 September 30 June 31 March
2023 2022 2022 2022 2022
Available capital (Rm)
1 CET1 79 704 79 249 75 009 75 582 75 821
2 Tier 1 95 402 94 334 88 666 90 797 90 215
3 Total capital 114 701 112 835 (3) 108 002 106 806 107302
RWA (Rm)
4 Total RWA 660 251 662 093 654 895 628 228 628 390
Risk-based capital ratios as a percentage of RWA (%)
5 CET1 ratio 12.1 12.0 11.5 12.0 12.1
6 Tier 1 ratio 14.4 14.2 13.5 14.5 14.4
7 Total capital ratio 17.4 17.0 16.5 17.0 17.1
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 (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 CET1 available after meeting the bank’s minimum capital 3.6 3.5 3.0 3.5 3.6
requirements
Basel III leverage ratio
13 Total Basel III leverage ratio exposure measure (Rm) 1 578 254 1 543 179 1 558 417 1 537 928 1 450 804
14 Basel III leverage ratio (%) (row 2 / row 13) 6.0 6.1 5.7 5.9 6.2
LCR
15 Total high-quality liquid assets (HQLA) (Rm) 215 111 208 117 212 724 191 019 186 662
16 Total net cash outflow (Rm) 157 519 161 347 160 215 155 817 152 760
17 LCR (%) 136.6 129.0 132.8 122.6 122.2
NSFR
18 Total available stable funding (ASF) (Rm) 917 129 895 875 (3) 871 027 857 843 814 099
19 Total required stable funding (RSF) (Rm) 837 645 826 055 (3) 814 313 790 522 751 037
20 NSFR (%) 109.5 108.5 107.0 108.5 108.4
1.2 OV1: Overview of RWA
Group Bank ( 5)4F
a b c a b c
31 March 31 December 31 March 31 March 31 December 31 March
2023 2022 2023 2023 2022 2023
RWA RWA MRC ( 6)
5F RWA RWA MRC (6)
Rm Rm Rm Rm Rm Rm
1 Credit risk (excluding counterparty credit risk (CCR)) 756 387 739 995 (3) 94 548 486 638 488 353 (3) 60 829
2 Of which: standardised approach (SA) 254 135 235 128 31 767 419 506 52
3 Of which: foundation internal ratings-based (FIRB) - - - - - -
approach
4 Of which: supervisory slotting approach - - - - - -
5 Of which: advanced internal ratings-based (AIRB) 502 252 504 867 (3) 62 781 486 219 487 847 (3) 60 777
approach
6 CCR 16 451 16 303 2 056 14 575 14 860 1 822
7 Of which: standardised approach for CCR (SA- 16 451 16 303 2 056 14 575 14 860 1 822
CCR)
8 Of which: internal model method (IMM) - - - - - -
9 Of which: other CCR - - - - - -
10 Credit valuation adjustment (CVA) 7 941 6 480 993 6 815 5 098 852
11 Equity positions under the simple risk weight 3 484 3 482 436 1 823 1 823 228
approach
12 Equity investments in funds – look-through approach 7 935 8 151 992 2 570 2 626 321
13 Equity investments in funds – mandate-based - - - - - -
approach
14 Equity investments in funds – fall-back approach - - - - - -
15 Settlement risk 888 1 279 111 825 1 222 103
16 Securitisation exposures in banking book 566 577 71 566 577 71
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) 566 577 71 566 577 71
20 Traded market risk 40 312 38 882 5 039 28 555 28 250 3 570
21 Of which: SA 19 610 18 915 2 451 7 853 8 283 982
22 Of which: internal model approach (IMA) 20 702 19 967 2 588 20 702 19 967 2 588
23 Capital charge for switch between trading book and - - - - - -
banking book
24 Operational risk 122 493 122 493 (3) 15 312 74 857 74 857 (3) 9 357
Non-customer assets 26 669 25 838 3 334 17 457 17 405 2 182
25 Amounts below the thresholds for deduction (subject 25 274 34 379 3 159 13 666 15 118 1 708
to 250% risk weight)
26 Floor adjustment (after application of transitional cap) 9 528 9 528 (3) 1 191 11 904 11 904 (3) 1 488
( 7)
6F
27 Total (1+6+10+11+12+13+14+15+16+20+23+24+ 1 017 928 1 007 387 (3) 127 242 660 251 662 093 82 531
25+26+non-customer assets)
1.3 CR8: RWA flow statements of credit risk exposures under IRB
a a
31 March 2023 31 December 2022
RWA amounts RWA amounts (3)
Rm Rm
1 RWA as at end of previous quarter 504 867 493 244
2 Asset size (538) 6 286
3 Asset quality (2 216) 4 659
4 Model updates - (124)
5 Methodology and policy - -
6 Acquisitions and disposals - -
7 Foreign exchange movements 1 840 (1 940)
8 Other ( 8)
7F
(1 701) 2 742
9 RWA as at end of reporting period 502 252 504 867
1.4 MR2: RWA flow statements of market risk exposures under IMA
a b c d e f
31 March 2023
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 9 692 10 275 - - - 19 967
2 Movements in risk levels 1 388 (653) - - - 735
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 11 080 9 622 - - - 20 702
a b c d e f
31 December 2022
VaR sVaR IRC CRM Other Total RWA
Rm Rm Rm Rm Rm Rm
1 RWA at previous quarter end 8 749 8 688 - - - 17 437
2 Movements in risk levels 943 1 587 - - - 2 530
3 Model updates/changes - - - - - -
4 Methodology and policy - - - - - -
5 Acquisitions and disposals - - - - - -
6 Other - - - - - -
7 RWA at end of reporting period 9 692 10 275 - - - 19 967
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
31 March 31 December
2023 2022
Rm Rm
1 Total consolidated assets 1 829 664 1 793 201
2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for (32 741) (31 869)
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 7 145 (14 103)
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 114 045 117 482
exposures)
7 Other adjustments (15 537) (16 104)
8 Leverage ratio exposure measure 1 902 576 1 848 607
Absa Bank
Bank
31 March 31 December
2023 2022
Rm Rm
1 Total consolidated assets 1 498 229 1 479 352
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 7 242 (13 537)
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 88 502 92 485
exposures)
7 Other adjustments (15 718) (15 121)
8 Leverage ratio exposure measure 1 578 254 1 543 179
2.2 LR2: Leverage ratio common disclosure template
Group Bank
a b a b
31 March 31 December 31 March 31 December
2023 2022 2023 2022
Rm Rm Rm Rm
On-balance sheet exposures
1 On-balance sheet exposures (excluding derivatives and securities financing 1 653 867 1 611 729 1 360 905 1 338 039
transactions (SFTs), but including collateral)
2 (Asset amounts deducted in determining Basel III Tier 1 capital) (15 537) (16 104) (15 718) (15 121)
3 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of 1 638 330 1 595 625 1 345 187 1 322 918
rows 1 and 2)
Derivative exposures
4 Replacement cost associated with all derivative transactions (where applicable net 29 146 20 943 28 439 20 510
of eligible cash variation margin and/ or with bilateral netting)
5 Add-on amounts for potential future exposure (PFE) associated with all derivative 32 050 26 240 31 282 25 727
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 (5 759) (6 170) (5 759) (6 170)
transactions)
8 (Exempted central counterparty (CCP) leg of client-cleared trade exposures) - - - -
9 Adjusted effective notional amount of written credit derivative 9 792 8 445 9 792 8 445
10 (Adjusted effective notional offsets and add-on deductions for written credit - - - -
derivatives)
11 Total derivative exposures (sum of rows 4 to 10) 65 229 49 458 63 754 48 512
Security financing transaction exposures
12 Gross SFT assets (with no recognition of netting), after adjusting for sale 84 972 86 043 80 811 79 264
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) 84 972 86 043 80 811 79 264
Other off-balance sheet exposures
17 Off-balance sheet exposures at gross notional amount 396 836 408 792 335 777 350 894
18 (Adjustments for conversion to credit equivalent amounts) (282 791) (291 310) (247 275) (258 409)
19 Off-balance sheet items (sum of rows 17 and 18) 114 045 117 482 88 502 92 485
Capital and total exposures
20 Tier 1 capital (excluding unappropriated profits) 136 206 136 619 95 402 94 334
21 Total exposures (sum of lines 3, 11, 16 and 19) 1 902 576 1 848 607 1 578 254 1 543 179
Leverage ratio
22 Basel III leverage ratio 7.2 7.4 6.0 6.1
3. Liquidity
3.1 LIQ1: Liquidity coverage ratio (LCR)
a b a b
31 March 2023 31 December 2022
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Group ( 9)
8F Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 245 024 240 876
Cash outflows
2 Retail deposits and deposits from small business customers of which: 457 524 38 657 457 319 36 692
3 Stable deposits - - - -
4 Less stable deposits 457 524 38 657 457 319 36 692
5 Unsecured wholesale funding of which: 537 893 271 500 521 622 262 457
6 Operational deposits (all counterparties) and deposits in networks of 157 322 39 330 157 728 39 432
cooperative banks
7 Non-operational deposits (all counterparties) 368 221 219 820 359 315 218 446
8 Unsecured debt 12 350 12 350 4 579 4 579
9 Secured wholesale funding 877 663
10 Additional requirements of which: 339 444 47 421 335 960 45 729
11 Outflows related to derivative exposures and other collateral 22 352 22 352 19 626 19 626
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 317 092 25 069 316 334 26 103
14 Other contractual funding obligations 317 317 - -
15 Other contingent funding obligations 253 013 10 669 249 072 10 337
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 369 441 355 878
Cash inflows
17 Secured lending (e.g., reverse repos) 47 280 11 681 45 641 4 333
18 Inflows from fully performing exposures 194 297 163 799 174 432 144 398
19 Other cash inflows 9 677 8 829 15 050 13 848
20 Total cash inflows (Sum of lines 17-19) 251 254 184 309 235 123 162 579
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 245 024 240 876
22 Total net cash outflows (Rm) 185 132 193 299
23 LCR (%) 132.4 124.6
a b a b
31 March 2023 31 December 2022
Total Total Total Total
unweighted weighted unweighted weighted
value value value value
(average) (average) (average) (average)
Bank ( 10)
9F Rm Rm Rm Rm
High-quality liquid assets (HQLA)
1 Total HQLA 215 111 208 117
Cash outflows
2 Retail deposits and deposits from small business customers of which: 362 298 30 764 363 819 28 894
3 Stable deposits - - - -
4 Less stable deposits 362 298 30 764 363 819 28 894
5 Unsecured wholesale funding of which: 425 953 218 908 417 273 214 530
6 Operational deposits (all counterparties) and deposits in networks of 157 322 39 330 157 728 39 432
cooperative banks
7 Non-operational deposits (all counterparties) 256 848 167 795 255 583 171 136
8 Unsecured debt 11 783 11 783 3 962 3 962
9 Secured wholesale funding 877 663
10 Additional requirements of which: 311 666 42 929 308 175 41 620
11 Outflows related to derivative exposures and other collateral 20 141 20 141 17 836 17 836
requirements
12 Outflows related to loss of funding on debt products - - - -
13 Credit and liquidity facilities 291 525 22 788 290 339 23 784
14 Other contractual funding obligations 317 317 - -
15 Other contingent funding obligations 222 400 9 374 217 814 9 019
16 Total cash outflows (Sum of lines 2+5+9+10+14+15) 303 169 294 726
Cash inflows
17 Secured lending (e.g. reverse repos) 47 280 11 681 45 641 4 333
18 Inflows from fully performing exposures 150 021 126 394 140 947 118 314
19 Other cash inflows 8 424 7 575 11 934 10 732
20 Total cash inflows (Sum of lines 17-19) 205 725 145 650 198 522 133 379
Total weighted value Total weighted value
High-quality liquid assets (HQLA)
21 Total HQLA (Rm) 215 111 208 117
22 Total net cash outflows (Rm) 157 519 161 347
23 LCR (%) 136.6 129.0
Johannesburg
31 May 2023
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
The fully loaded accounted ECL basis has been fully transitioned in.
2
The numbers are excluding unappropriated profits.
3
The December 2022 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 2023 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).
7
Includes the operational risk floor.
8
Other reflects RWA movements on non-performing loans due to differences in the definition of default between IFRS 9 impairment and regulatory
capital models.
9
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.
10
The Bank LCR was calculated as a simple average of 90 calendar-day LCR observations.
Date: 31-05-2023 11:58:00
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