To view the PDF file, sign up for a MySharenet subscription.

ABSA GROUP LIMITED - ABSA Group Limited - Basel III Pillar 3 Disclosure as at 31 March 2019

Release Date: 30/05/2019 14:25
Code(s): ABG ABSP     PDF:  
 
Wrap Text
ABSA Group Limited - Basel III Pillar 3 Disclosure as at 31 March 2019

ABSA GROUP LIMITED                                                         ABSA BANK LIMITED
(Formerly Barclays Africa Group 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 or the Group)                                                  (Absa Bank)

ABSA GROUP LIMITED – BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2019

The quarterly Pillar 3 disclosure is made in accordance with the requirements of Regulation 43 of the regulations relating to Banks and previously
issued Banks Act directives as well as the Basel Committee on Banking Supervision’s Revised Pillar 3 disclosure requirements issued on 29 March
2017.

This disclosure is made in terms of International Financial Reporting Standards (IFRS) as required by Regulation 3 of the regulations relating to
Banks. IFRS results include the impact of the contribution amounts received as part of the separation from Barclays PLC. Normalised results,
which exclude the impact of contribution amounts received from Barclays PLC, are also included.

In accordance with SARB Directive 5 of 2017 (Directive 5), Absa Group Limited and Absa Bank Limited have elected to utilise the transition period
of three years for phasing in regulatory capital impact of IFRS 9. As required by Directive 5, both the fully loaded and transitional impacts of IFRS
9 are disclosed.

All prescribed tables are highlighted by including the regulatory title of the table in square brackets.

Capital Adequacy

Absa Group Limited

Absa Group Limited (or the Group) remains capitalised above the minimum regulatory capital requirements.

The Group continues to optimise the level and composition of capital resources. In line with this objective, the Group will continue to raise Basel III
compliant capital instruments as and when appropriate, in the domestic and/or international capital markets.

The table below represents the capital position for Absa Group Limited at 31 March 2019 and comparatives at 31 December 2018.
                                                                     31 Mar 2019 (1)                      31 Dec 2018 (1)
                                                                         IFRS (2)                             IFRS (2)
 Regulatory Capital Position (excluding                               Rm                    %             Rm                  %
 unappropriated profits)
 Common Equity Tier 1 capital                                         95 984                    11.5         92 829                    11.3
       Ordinary share capital                                           1 715                     0.2         1 655                     0.3
       Ordinary share premium                                         11 090                      1.3        10 205                     1.2
       Reserves (3)                                                   88 856                    10.7         85 107                    10.4
       Non-controlling interest                                         2 524                     0.3         2 433                     0.3
       Deductions                                                     (8 201)                   (1.0)        (6 571)                  (0.8)
 Additional Tier 1 capital                                              5 357                     0.6         5 718                     0.7
 Tier 1 capital                                                      101 341                    12.2         98 547                    12.0
 Tier 2 capital                                                       20 846                      2.5        21 288                     2.6
 Total Capital                                                       122 187                    14.7        119 835                    14.6


                                                                         31 Mar 2019 (1)                         31 Dec 2018 (1)
 Statutory Capital Position (including unappropriated                IFRS (2)       Normalised (4)         IFRS (2)        Normalised (4)
 profits)                                                                  %                    %                %                     %
 Common Equity Tier 1 capital                                            12.3                   11.6            12.8                   12.0
 Tier 1 capital                                                          12.9                   12.3            13.5                   12.8
 Total capital                                                           15.4                   14.8            16.1                   15.4



                                                                                                                                   Page 1 of 11
 Board target ranges (including                                     31 Mar 2019                               31 Dec 2018
                                                                       (%) (5)                                   (%) (5)
 unappropriated profits)
 Common Equity Tier 1 capital                                       11.00 - 12.00                          10.00 - 11.50
 Tier 1 capital                                                     12.00 - 13.00                          11.75 - 13.25
 Total capital                                                      14.50 - 15.50                          14.25 - 15.75


Absa Bank Limited (6)

Absa Bank Limited remains capitalised above the minimum regulatory capital requirements.

The table below represents the capital position for Absa Bank Limited at 31 March 2019 and comparatives at 31 December 2018.



                                                                 31 Mar 2019 (1)                       31 Dec 2018 (1)

                                                                     IFRS (2)                              IFRS (2)
 Regulatory Capital Position (excluding
                                                                   Rm                        %          Rm                     %
 unappropriated profits)
 Common Equity Tier 1 capital                                  65 987                      11.5      64 827                  11.4
     Ordinary share capital                                        304                      0.1         304                   0.1
     Ordinary share premium                                    36 880                       6.4      36 880                   6.5
     Reserves (3)                                              36 266                       6.3      33 993                   6.0
     Deductions                                                (7 463)                 (1.3)        (6 350)                  (1.1)
 Additional Tier 1 capital                                       4 134                      0.7       4 599                   0.8
 Tier 1 capital                                                70 121                      12.2      69 426                  12.2
 Tier 2 capital                                                19 049                       3.3      19 284                   3.4
 Total Capital                                                 89 170                      15.5      88 710                  15.6


                                                                   31 Mar 2019 (1)                     31 Dec 2018 (1)

                                                                 IFRS (2)    Normalised (4)         IFRS (2)     Normalised (4)
 Statutory Capital Position (including unappropriated                  %                 %                %                  %
 profits)
 Common Equity Tier 1 capital                                        12.3                  11.3        12.3                  11.2
 Tier 1 capital                                                      13.0                  12.0        13.1                  12.0
 Total capital                                                       16.3                  15.3        16.5                  15.4


 Board target ranges (including                                        31 Mar                              31 Dec
                                                                        2019                                2018
 unappropriated profits)
                                                                       (%) (5)                             (%) (5)
 Common Equity Tier 1 capital                                       11.00 - 12.00                       10.00 - 11.50
 Tier 1 capital                                                     12.00 - 13.00                       11.75 - 13.25
 Total capital                                                      14.50 - 15.50                       14.25 - 15.75




                                                                                                                            Page 2 of 11
Overview of Risk Weighted Assets (RWAs) [OV1]



                                                                             31 Mar     31 Dec                31 Mar
                                                                            2019 (1)   2018 (1)             2019 (1)
                                                                                                           Minimum
                                                                                                              capital
                                                                              RWA        RWA
                                                                                                       requirements
                                                                                                                  (7)
        Absa Group Limited Rm
    1    Credit risk (excluding counterparty credit risk (CCR))             599 132    593 992                68 900
    2      Of which: standardised approach (SA)                             178 804    176 051                20 562
    3      Of which: foundation internal rating-based (F-IRB) approach             -               -                -
    4      Of which: supervisory slotting approach                                 -               -                -
    5      Of which: advanced internal ratings based (A-IRB) approach       420 328    417 941                48 338
    6    CCR                                                                 14 211     14 268                 1 634
    7      Of which: standardised approach for CCR (SA-CCR) (8)              14 211     14 268                 1 634
    8      Of which: internal model method (IMM)                                   -               -                -
    9      Of which: other CCR                                                     -               -                -
   10    Credit valuation adjustment (CVA)                                    8 551      7 400                   983
   11    Equity positions under the simple risk weight approach               4 015      4 171                   462
   12    Equity investments in funds – look-through approach                  7 624      6 990                   877
   13    Equity investments in funds – mandate-based approach                      -           -                    -
   14    Equity investments in funds – fall-back approach                          -      -                         -
   15    Settlement risk                                                      1 940           874                223
   16    Securitisation exposures in banking book                                28           24                   3
   17      Of which: IRB ratings-based approach (SEC -IRBA)                      28           24                   3
   18      Of which: securitisation external ratings based approach (SEC-
                                                                                   -           -                    -
           ERBA), including internal assessment approach (IAA)
   19      Of which: securitisation SA (SEC-SA)                                    -           -                    -
   20    Market risk                                                         39 435     37 007                 4 535
   21      Of which: standardised approach (SA)                              19 069     15 818                 2 193
   22      Of which: internal model approaches (IMA)                         20 366     21 189                 2 342
   23    Capital charge for switch between trading book and banking book           -               -                -
   24    Operational risk                                                    90 156     90 156                10 368
         Non-customer assets                                                 27 239     24 637                 3 133
   25    Amounts below the thresholds for deduction (subject to 250% risk    17 106     16 483                 1 967
         weight)
   26    Floor adjustment                                                    22 591     22 590                2 598
   27    Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
                                                                            832 028    818 592                95 683
         customer assets)




                                                                             31 Mar     31 Dec                31 Mar
                                                                            2019 (1)   2018 (1)             2019 (1)
                                                                                                           Minimum
                                                                                                              capital
                                                                              RWA        RWA
                                                                                                       requirements
                                                                                                                  (7)
         Absa Bank Limited (6) Rm
    1    Credit risk (excluding CCR)                                        417 969    416 843                48 066
    2        Of which: standardised approach (SA)                             9 902     10 792                 1 139



                                                                                                          Page 3 of 11
     3       Of which: foundation internal ratings-based (F-IRB) approach                        -                     -              -
     4       Of which: supervisory slotting approach                                             -                     -              -
     5       Of which: advanced internal ratings based (A-IRB) approach                   408 067            406 051           46 928
     6   CCR                                                                               13 214             13 499             1 520
     7       Of which: standardised approach for CCR (SA-CCR) (8)                          13 214             13 499             1 520
     8       Of which: internal model method (IMM)                                               -                     -              -
     9       Of which: other CCR                                                                 -                     -              -
    10   Credit valuation adjustment (CVA)                                                  8 551              7 400               983
    11   Equity positions under the simple risk weight approach                             1 814              1 769               209
    12   Equity investments in funds – look-through approach                                  367                353                42
    13   Equity investments in funds – mandate-based approach                                    -                 -                  -
    14   Equity investments in funds – fall-back approach                                        -                 -                  -
    15   Settlement risk                                                                    1 873                783               215
    16   Securitisation exposures in banking book                                              28                 24                 3
    17       Of which: securitisation IRB ratings-based approach (SEC-IRBA)                    28                 24                 3
    18       Of which: securitisation external ratings based approach (SEC-
                                                                                                 -                 -                  -
             ERBA) including internal assessment approach (IAA)
    19       Of which: securitisation SA (SEC-SA)                                                -                 -                  -
    20   Market risk                                                                       28 866             29 187             3 320
    21       Of which: standardised approach (SA)                                           8 500              7 998               978
    22       Of which: internal model approaches (IMA)                                     20 366             21 189             2 342
    23   Capital charge for switch between trading book and banking book                         -                     -              -
    24   Operational risk                                                                  56 424             56 424             6 489
         Non-customer assets                                                               20 624             18 364             2 372
    25   Amounts below the thresholds for deduction (subject to 250% risk                   3 650              4 287               420
         weight)
    26   Floor adjustment                                                                  20 570             20 570             2 366
    27   Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26+non-
                                                                                          573 950            569 503           66 004
         customer assets)



The key drivers of change in RWA consumption quarter on quarter were as follows:

-     Credit risk: Portfolios subject to the AIRB approach have increased by R5.9bn (both in respect of Absa Group and Absa Bank Limited) due
      to balance sheet growth in Retail and Business Banking (RBB). This is offset by a decrease in the IFRS9 transitional adjustment of R3.5bn
      in respect of Absa Group Limited and R3.7bn in respect of Absa Bank Limited. Portfolios subjected to the standardised approach increased
      by R2.7bn, primarily due to exchange rate fluctuation applicable to the Absa Regional Operations.
-     CVA: The R1.1bn CVA increase in RWA (both in respect of Absa Group Limited and Absa Bank Limited) is primarily due to market volatility.
-     Market Risk: The Absa Group increase of R2.4bn is driven by the growth in the Absa Regional Operations. The Absa Bank Limited decrease
      of R321m is driven by lower risk levels in value-at-risk.


Key Metrics (at consolidated group level) [KM1]

In line with the requirements of IFRS 9, which became effective on 1 January 2018, Absa Group Limited and Absa Bank Limited have moved from
the recognition of credit losses on an incurred loss basis to an expected credit loss (ECL) basis. Absa Group Limited and Absa Bank Limited have
elected to utilise the transition period of three years for phasing in the regulatory capital impact of IFRS 9, as afforded by Directive 5.




                                                                                                                            Page 4 of 11
      Absa Group Limited

      The table below reflects the available capital and leverage when utilising the fully loaded and transitional arrangement ECL bases. The numbers
      reported are on a regulatory basis, and include the contribution amounts received from Barclays PLC as part of the separation. All figures are
      unaudited except for 31 December 2018 comparatives, which are reported on an audited basis.


                                                                                    31             31                 30             30                31
       Available Capital (amounts) Rm
                                                                                   Mar            Dec                Sep            Jun               Mar
       (excluding unappropriated profits)
                                                                                  2019           2018               2018           2018              2018
1      Common Equity Tier 1 (CET1) (Transitional basis)                         95 984         92 829             94 638         96 391            90 289
1a     Fully loaded ECL accounting model CET1                                   94 256         90 237             92 062         93 814            87 713
2      Tier 1 (Transitional basis)                                            101 341          98 547             98 993        100 662            94 238
2a     Fully loaded ECL accounting model Tier 1                                 99 613         95 955             96 417         98 086            91 662
3      Total capital (Transitional basis)                                     122 187         119 835            120 961        122 524          110 679
3a     Fully loaded ECL accounting model total capital                        120 459         117 243            118 385        119 948          108 103
       Risk-weighted assets (amounts)
4      Total risk-weighted assets (RWA) (Transitional basis)                  832 028         818 592            784 068        769 725          735 660
4a     Fully loaded RWA                                                       824 882         807 872            773 349        759 005          724 940
       Risk-based capital ratios as a percentage of RWA
5      CET1 ratio (%) (Transitional basis)                                        11.5            11.3               12.1           12.5                12.3
5a     Fully loaded ECL accounting model CET1 (%)                                 11.4            11.2               11.9           12.4                12.1
6      Tier 1 ratio (%) (Transitional basis)                                      12.2            12.0               12.6           13.1                12.8
6a     Fully loaded ECL accounting model Tier 1 (%)                               12.1            11.9               12.5           12.9                12.6
7      Total capital ratio (%) (Transitional basis)                               14.7            14.6               15.4           15.9                15.0
7a     Fully loaded ECL accounting model total capital ratio (%)                  14.6            14.5               15.3           15.8                14.9
       Additional CET1 buffer requirements as a percentage of
       RWA
8      Capital conservation buffer requirement (2.5% from 2019) (%)                2.5             1.9                1.9            1.9                 1.9
9      Countercyclical buffer requirement (10) (%)                                    -              -                  -              -                   -
10     Bank G-SIB and/or D-SIB additional requirements (10) (%)                       -              -                  -              -                   -
       Total of bank CET1 specific buffer requirements (%) (row 8 +
11                                                                                 2.5             1.9                1.9            1.9                 1.9
       row 9 + row 10)
       CET1 available after meeting the bank’s minimum capital
12                                                                                 4.0             3.9                4.7            5.1                 4.9
       requirements (%)
       Basel III leverage ratio
13     Total Basel III leverage ratio exposure measure                       1 586 022      1 494 861          1 431 094      1 416 659        1 330 032
14     Basel III leverage ratio (%) (row 2/ row 13) (Transitional basis)           6.4             6.6                6.9            7.1                 7.1
       Fully loaded ECL accounting model Basel III leverage ratio (row
14a                                                                                6.3             6.4                6.7            6.9                 6.9
       2a/ row 13) (%)
       Liquidity coverage ratio
15     Total HQLA (Rm)                                                        187 382         189 979            180 750        173 915          172 477
16     Total net cash outflow (Rm)                                            151 301         162 862            167 234        160 150          158 523
17     LCR (%) (13)                                                              123.8           116.7             108.1          108.6             108.8
       Net stable funding ratio
18     Total available stable funding (ASF) (Rm)                              827 614         808 351            799 054        755 870                    -
19     Total required stable funding (RSF) (Rm)                               750 073         734 200            704 855        713 291                    -
20     NSFR (%)                                                                  110.3           110.1             113.4          106.0                 N/A




                                                                                                                                 Page 5 of 11
RWA flow statements of credit risk exposures under IRB [CR8]

          Absa Group Limited Rm                                                                                         RWA amounts

      1    RWA as at end of previous reporting period (31 Dec 2018) (9)                                                      417 941
      2    Asset size                                                                                                           5 943
      3    Asset quality                                                                                                            -
      4    Model updates                                                                                                            -
      5    Methodology and policy                                                                                                   -
      6    Acquisitions and disposals                                                                                               -
      7    Foreign exchange movements                                                                                               -
      8    Other                                                                                                             (3 556)
      9    RWA as at end of reporting period (31 Mar 2019)                                                                   420 328



          Absa Bank Limited (6) Rm                                                                                      RWA amounts

      1    RWA as at end of previous reporting period (31 Dec 2018) (9)                                                      406 051
      2    Asset size                                                                                                           5 792
      3    Asset quality                                                                                                            -
      4    Model updates                                                                                                            -
      5    Methodology and policy                                                                                                   -
      6    Acquisitions and disposals                                                                                               -
      7    Foreign exchange movements                                                                                               -
      8    Other                                                                                                             (3 776)
      9    RWA as at end of reporting period (31 Mar 2019)                                                                   408 067

RWA flow statements of market risk exposures under an Internal Models Approach [MR2]
          Absa Group Limited and Absa Bank
          Limited (6) Rm
                                                                  Stressed
                                                         VaR           VaR          IRC         CRM         Other         Total RWA
  1       RWA at previous quarter end (31 Dec
                                                        7 103        14 086            -            -               -        21 189
          2018) (14)
  2       Movements in risk levels                      (292)         (531)            -            -               -           (823)
  3       Model updates/changes                              -             -                                                        -
  4       Methodology and policy                             -             -           -            -           -                   -
  5       Acquisitions and disposals                         -             -           -            -           -                   -
  6       Foreign exchange movements                         -             -           -            -           -                   -
  7       Other                                              -             -           -            -           -                   -
  8       RWA at end of reporting period (31 Mar
                                                        6 811        13 555            -            -           -            20 366
          2019)


This table applies to both Absa Group and Absa Bank Limited as the Internal Models Approach is applied at an Absa Bank level.


Leverage Ratio


The leverage ratio framework is complementary to the risk-based capital framework and is a non-risk based contingency measure to restrict the
build-up of excessive leverage in the banking sector.

The tables below represent the leverage ratios for Absa Group Limited and Absa Bank Limited at 31 March 2019 and the comparatives for the
past three quarter end periods, namely 31 December 2018, 30 September 2018 and 30 June 2018.




                                                                                                                            Page 6 of 11
                                                                                 31 Mar         31 Dec           30 Sep                30 Jun
    Absa Group Limited Rm
                                                                                   2019           2018             2018                 2018
    Leverage exposure                                                         1 586 022     1 494 861         1 431 094             1 416 659
    Tier 1 capital (excluding unappropriated profits) (2)                       101 341         98 547           98 993               100 662
    IFRS leverage ratio (excluding unappropriated profits) (2) (%)                   6.4           6.6                 6.9                    7.1
    IFRS leverage ratio (including unappropriated profits) (2) (%)                   6.8           7.4                 7.5                    7.5
    Normalised leverage ratio (including unappropriated profits) (4)                 6.4           7.0                 6.9                    6.9
    Board target leverage ratio (including unappropriated profits) (%)              ?4.5          ?4.5                ?4.5                   ?4.5
    Minimum required leverage ratio (%)                                              4.0           4.0                 4.0                    4.0


                                                                                 31 Mar         31 Dec               30 Sep            30 Jun
 Absa Bank Limited (6) Rm                                                          2019           2018                 2018             2018
 Leverage exposure                                                            1 347 144     1 297 287           1 229 002           1 209 478

 Tier 1 capital (excluding unappropriated profits) (2)                            70 122        69 426                70 712           71 714
 IFRS leverage ratio (excluding unappropriated profits) (2) (%)                       5.2          5.4                   5.8                  5.9
 IFRS leverage ratio (including unappropriated profits) (2) (%)                       5.5          5.7                   6.0                  6.3
 Normalised leverage ratio (including unappropriated profits) (4)                     5.1          5.3                   5.3                  5.2
 Board target leverage ratio (including unappropriated profits) (%)                 ?4.5          ?4.5                  ?4.5                 ?4.5
 Minimum required leverage ratio (%)                                                  4.0          4.0                   4.0                  4.0



Absa Group Limited
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]

                                                                                                                        31 Mar                    31 Dec
      Item Rm                                                                                                             2019                      2018
                                                                                                                          (1,2)                     (1,2)
1     Total consolidated assets                                                                                      1 351 637                 1 288 744
2     Adjustment for investments in banking, financial, insurance or commercial entities that
      are consolidated for accounting purposes but outside the scope of regulatory                                    (38 014)                  (37 105)
      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                                                                  14 988                       10 143
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
                                                                                                                      268 032                       244 381
      of off-balance sheet exposures)
7     Other adjustments                                                                                                (10 621)                  (11 302)
8     Leverage ratio exposure measure                                                                                1 586 022                 1 494 861

Leverage ratio common disclosure template [LR2]

                                                                                                           31 Mar                  31 Dec
        Item Rm                                                                                              2019                    2018
                                                                                                             (1,2)                   (1,2)
        On-balance sheet exposures
 1      On-balance sheet exposures (excluding derivatives and securities financing
                                                                                                         1 213 520             1 158 946
        transactions (SFTs), but including collateral)
 2      (Asset amounts deducted in determining Basel III Tier 1 capital)                                   (8 909)                 (8 711)
 3      Total on-balance sheet exposures (excluding derivatives and SFTs (sum
                                                                                                         1 204 611             1 150 235
        of lines 1 and 2)
        Derivative exposures
 4      Replacement cost associated with all derivatives transactions (where
                                                                                                           21 553                  20 795
        applicable net of eligible cash variation margin and/or with bilateral netting)
 5      Add-on amounts for PFE associated with all derivatives transactions                                54 061                  46 429



                                                                                                                                   Page 7 of 11
 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 CCP leg of client-cleared trade exposures)                                              -                   -
  9   Adjusted effective notional amount of written credit derivatives                           (13 023)            (10 143)
 10   (Adjusted effective notional offsets and add-on deductions for written credit
      derivatives)                                                                                      -                     -
 11   Total derivative exposures (sum of rows 4 to 10)                                             62 591                57 081
      Security financing transaction exposures
 12   Gross SFT assets (with no recognition of netting), after adjusting for sale
                                                                                                   52 500                45 756
      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)                      52 500                45 756
      Other off-balance sheet exposures
 17   Off-balance sheet exposures at gross notional amount                                        393 047            384 452
 18   (Adjustments for conversion to credit equivalent amounts)                                 (125 015)          (140 071)
 19   Off-balance sheet items (sum of rows 17 to 18)                                              268 032            244 381
      Capital and total exposures
 20   Tier 1 capital (excluding unappropriated profits) (2)                                      101 341                 98 547
 21   Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
      adjustment                                                                                1 587 734          1 497 453
      IFRS 9 transitional adjustment                                                               (1 712)            (2 592)
      Total exposures (including IFRS 9 adjustment)                                             1 586 022          1 494 861
      Leverage ratio
 22   Basel III leverage ratio (2)                                                                  6.4%                  6.6%



Absa Bank Limited (6)
Summary comparison of accounting assets vs leverage ratio exposure measure [LR1]

                                                                                                               31 Mar                31 Dec
      Item Rm                                                                                                    2019                  2018
                                                                                                                 (1,2)                 (1,2)
 1    Total consolidated assets                                                                              1 127 535             1 079 679
 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                                                         16 020                10 948
 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
                                                                                                              212 223               215 717
      of off-balance sheet exposures)
 7    Other adjustments                                                                                        (8 634)               (9 057)
 8    Leverage ratio exposure measure                                                                        1 347 144             1 297 287

          Leverage ratio common disclosure template [LR2]
                                                                                                   31 Mar                31 Dec
       Item Rm                                                                                       2019                  2018
                                                                                                     (1,2)                 (1,2)
       On-balance sheet exposures
       On-balance sheet exposures (excluding derivatives and securities financing
  1                                                                                             1 028 464            987 493
       transactions (SFTs), but including collateral)
  2    (Asset amounts deducted in determining Basel III Tier 1 capital)                            (7 586)               (7 188)
       Total on-balance sheet exposures (excluding derivatives and SFTs (sum
                                                                                                1 020 878            980 305
  3    of lines 1 and 2)
       Derivative exposures
       Replacement cost associated with all derivatives transactions (where
  4                                                                                                21 553                20 795
       applicable net of eligible cash variation margin and/or with bilateral netting)


                                                                                                                         Page 8 of 11
  5     Add-on amounts for PFE associated with all derivatives transactions                                   54 061               47 233
        Gross-up for derivatives collateral provided where deducted from the
  6                                                                                                                  -                    -
        balance sheet assets pursuant to the operative accounting framework
        (Deductions of receivable assets for cash variation margin provided in
  7                                                                                                                  -                    -
        derivatives transactions)
  8     (Exempted CCP leg of client-cleared trade exposures)                                                        -                    -
  9     Adjusted effective notional amount of written credit derivatives                                     (13 023)             (10 947)
        (Adjusted effective notional offsets and add-on deductions for written credit
                                                                                                                     -                    -
 10     derivatives)
 11     Total derivative exposures (sum of rows 4 to 10)                                                      62 591               57 081
        Security financing transaction exposures
        Gross SFT assets (with no recognition of netting), after adjusting for sale
 12                                                                                                           52 500               45 756
        accounting transactions
        (Netted amounts of cash payables and cash receivables of gross SFT
                                                                                                                     -                    -
 13     assets)
 14     CCR exposure for SFT assets                                                                                -                    -
 15     Agent transaction exposures                                                                                -                    -
 16     Total securities financing transaction exposures (sum of rows 12 to 15)                               52 500               45 756
        Other off-balance sheet exposures
 17     Off-balance sheet exposures at gross notional amount                                                 316 751              313 446
 18     (Adjustments for conversion to credit equivalent amounts)                                          (104 529)              (97 729)
 19     Off-balance sheet items (sum of rows 17 to 18)                                                       212 223              215 717
        Capital and total exposures
 20     Tier 1 capital (excluding unappropriated profits) (2)                                                 70 122               69 426
        Total exposures (sum of rows 3, 11, 16 and 19) excluding IFRS 9
 21     adjustment                                                                                         1 348 192            1 298 859
        IFRS 9 transitional adjustment                                                                        (1 048)              (1 572)
        Total exposures including IFRS 9 adjustment                                                        1 347 144            1 297 287
        Leverage ratio
 22     Basel III leverage ratio (2)                                                                            5.2%                 5.4%

Key drivers of change in the leverage ratio quarter on quarter were on-balance sheet asset growth.

Liquidity Coverage Ratio

The objective of the liquidity coverage ratio (LCR) is to promote the short-term resilience of the liquidity risk profile of banks by ensuring that they
have sufficient unencumbered high quality liquid assets (HQLA) ) to cover net cash outflows (NCOF) to survive a prescribed stress scenario over
a 30 calendar day period. The LCR became effective on 1 January 2015, with a requirement of 60%, which is being phased in by increasing the
minimum regulatory requirement by 10% per year to reach a minimum of 100% compliance level on 1 January 2019. The requirement for 2019 is
100% (2018: 90%).

Absa Bank Limited successfully applied for a committed liquidity facility from the South African Reserve Bank under Guidance Note 5 of 2017,
which is included in HQLA for LCR purposes from January 2016.


Absa Bank Limited (11)

Absa Bank Limited holds HQLA in excess of the regulatory minimum requirement. The table below represents the average LCR for Absa Bank
Limited at 31 March 2019 and the comparatives as at 31 December 2018:

                                                                        31 Mar 2019 (1,12)         31 Dec 2018 (1,12)
   High Quality Liquid Assets (Rm)                                                 166 982                     173 987

   Net Cash Outflows (Rm)                                                          130 578                     145 094

   LCR (%)                                                                            127.9                      119.9

   Required LCR (%)                                                                   100.0                        90.0




                                                                                                                                   Page 9 of 11
LCR Common disclosure template and summary [LIQ1]

                                                                        Absa Bank Limited (11,12)        Absa Group Limited (13)

                                                                            TOTAL          TOTAL             TOTAL         TOTAL
                                                                       UNWEIGHTED       WEIGHTED        UNWEIGHTED      WEIGHTED
                                                                            VALUE          VALUE             VALUE         VALUE
                                                                          (average)       (average)        (average)      (average)

 HIGH-QUALITY LIQUID ASSETS

 1     Total high-quality liquid assets (HQLA)                                             166 982                          187 382

 CASH OUTFLOWS
       Retail deposits and deposits from small business customers,
 2                                                                          260 773          19 714         337 276          26 049
       of which:
 3     Stable deposits                                                            -                 -              -                 -

 4     Less stable deposits                                                 260 773          19 714         337 276          26 049
 5     Unsecured wholesale funding, of which:                               288 191        166 037          349 990         195 036
       Operational deposits (all counterparties) and deposits in
 6                                                                           95 272          23 818          95 414          23 854
       networks of cooperative banks
 7     Non-operational deposits (all counterparties)                        187 664        136 964          245 232         161 838
 8     Unsecured debt                                                         5 255           5 255            9 344            9 344
 9     Secured wholesale funding                                                  -           2 892                -            2 892
 10    Additional requirements, of which:                                   269 839          26 181         294 927          28 686
       Outflows related to derivative exposures and other collateral
 11                                                                           8 486           8 486            8 597            8 597
       requirements
 12    Outflows related to loss of funding on debt products                       -                 -              -                 -
 13    Credit and liquidity facilities                                      261 353          17 695         286 330          20 089

 14    Other contractual funding obligations                                   117             117              117                117
 15    Other contingent funding obligations                                 154 722           7 546         184 060             8 850

 16    TOTAL CASH OUTFLOWS                                                        -        222 487                 -        261 630

 CASH INFLOWS
 17    Secured lending (e.g. reverse repos)                                  32 592           5 253          32 592             5 253

 18    Inflows from fully performing exposures                              100 359          82 208         130 221          98 202
 19    Other cash inflows                                                     4 563           4 448            6 989            6 874

 20    TOTAL CASH INFLOWS                                                   137 514          91 909         169 802         110 329
                                                                                           TOTAL                           TOTAL
                                                                                        ADJUSTED                        ADJUSTED
                                                                                           VALUE                           VALUE
 21    TOTAL HQLA                                                                          166 982                          187 382

 22    TOTAL NET CASH OUTFLOWS                                                             130 578                          151 301
 23    LCR (%)                                                                                127.9                             123.8




                                                                                                                Page 10 of 11
Notes:
1. The 31 March 2019 figures are unaudited whilst the 31 December 2018 comparatives are reported on an audited basis.
2. The IFRS view includes the contribution amounts received from Barclays PLC as part of the separation.
3. Reserves as at 31 March 2019 have already been reduced by the value of the 2018 final ordinary dividend of R5.3bn for Absa Group Limited
    and R500m for Absa Bank Limited, which were declared on 11 March 2019 and paid on 15 April 2019.
4. The normalised ratios exclude the impact of the separation from Barclays PLC and reflect the underlying performance of the Group.
5. The Board target ranges apply to statutory ratios on a normalised basis. Regulatory ratios are measured against regulatory minimum levels.
6. Absa Bank Limited includes subsidiary undertakings, special purpose entities, joint ventures, associates and offshore holdings.
7. The South African minimum regulatory capital requirement for 2019 of 11.5% includes the RSA minimum of 8%, Pillar 2a buffer of 1% and
    capital conservation buffer of 2.5% but excludes the bank-specific individual capital requirement (Pillar 2b add-on) and the domestic
    systemically important banks (D-SIB) add-on (excluding the Pillar 2a and capital conservation buffers). The Pillar 2a buffer reduced from 2%
    on 31 December 2015 to 1% by 1 January 2019.
8. SA-CCR is calculated using the Current Exposure Method.
9. Numbers restated due to the IFRS 9 audit requirement.
10. The countercyclical buffer is not required for banks in South Africa. The D-SIB add on is not publicly disclosed.
11. For liquidity reporting purposes Absa Bank Limited represents the banking operations in South Africa.
12. The Absa Bank Limited quarterly LCR is calculated on a simple average of 90 calendar-day observations.
13. The Absa Group Limited LCR for 31 March 2019 reflects an aggregation of the Absa Bank Limited LCR as noted in (12) above with that of the
    non-South African banking entities, which is calculated as a simple average of the relevant 3 month-end data points. In addition, the surplus
    HQLA of non-South African banking entities in excess of the minimum requirement of 100% has been excluded from the calculation.
14. Numbers restated.


Johannesburg
30 May 2019

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 11 of 11

Date: 30/05/2019 02:25:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 
The JSE does not, whether expressly, tacitly or implicitly, represent, warrant or in any way guarantee the truth, accuracy or completeness of
 the information published on SENS. The JSE, their officers, employees and agents accept no liability for (or in respect of) any direct, 
indirect, incidental or consequential loss or damage of any kind or nature, howsoever arising, from the use of SENS or the use of, or reliance on,
 information disseminated through SENS.

Email this JSE Sens Item to a Friend.

Share This Story