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Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 30 June 2018
SASFIN HOLDINGS LIMITED
(Incorporated in the Republic of South Africa)
Registration Number 1987/002097/06)
Ordinary share code: SFN ISIN: ZAE000006565
Preference share code: SFNP ISIN: ZAE000060273
(“the Group”)
SASFIN HOLDINGS LIMITED / SASFIN BANK LIMITED CAPITAL ADEQUACY – QUARTERLY REPORT 30 June 2018
Sasfin Holdings Limited and Sasfin Bank Limited are required in terms of Regulation 43(1)(e)(ii) of the Banks Act, No 94 of 1990, as amended, of South Africa, and Regulations, to report on their capital management plan, capital
strategy, capital structure, capital adequacy and leverage ratio publicly.
Sasfin Holdings Limited and Sasfin Bank Limited capital structure, capital adequacy, leverage and liquidity coverage ratios at 30 June 2018 are disclosed below.
Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries Sasfin Bank Limited
R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000
June March December September June 2017 June 2018 March December September June June March December September June
Key metrics 2018 (T) 2018 (T-1) 2017 (T-1) 2017 (T-2) (T-3) (T) 2018 (T-1) 2017 (T-1) 2017 (T-2) 2017 (T-3) 2018 (T) 2018 (T-1) 2017 (T-1) 2017 (T-2) 2017 (T-3)
Available
capital
(amounts)
Common
Equity Tier 1
1 (CET1) 1 470 934 1 470 810 1 481 239 1 426 762 1 367 515 1 203 943 1 223 238 1 229 436 1 218 815 1 200 411 934 416 956 118 969 229 929 470 939 313
2 Tier 1 1 546 166 1 546 044 1 575 282 1 520 805 1 461 558 1 203 943 1 223 238 1 229 436 1 218 815 1 200 411 934 416 956 118 969 229 929 470 939 313
3 Total capital 1 581 082 1 564 265 1 597 780 1 545 327 1 486 780 1 235 189 1 242 248 1 254 507 1 246 365 1 227 988 958 148 971 088 990 258 953 172 963 045
Risk weighted
assets
(amounts)
Total risk-
weighted
4 assets (RWA) 9 739 147 9 188 478 8 860 353 8 857 511 8 892 621 8 173 516 7 527 461 7 411 225 6 883 776 7 417 207 6 733 325 6 219 936 6 147 604 5 498 747 6 181 858
Risk-based
capital ratio's
as a
percentage of
RWA
Common
Equity Tier 1
5 ratio (%) 15.103 16.007 16.718 16.108 15.378 14.730 16.250 16.589 17.706 16.184 13.877 15.372 15.766 16.903 15.195
6 Tier 1 ratio (%) 15.876 16.826 17.779 17.170 16.436 14.730 16.250 16.589 17.706 16.184 13.877 15.372 15.766 16.903 15.195
Total capital
7 ratio (%) 16.235 17.024 18.033 17.447 16.720 15.112 16.503 16.927 18.106 16.556 14.229 15.613 16.108 17.334 15.579
Additional
CET1 buffer
requirements
as a
percentage of
RWA
Capital
conservation
buffer
requirement
(2.5% from
8 2019) (%) 1.875 1.875 1.250 1.250 1.250 1.875 1.875 1.250 1.250 1.250 1.875 1.875 1.250 1.250 1.250
Countercyclical
buffer
requirements
9 (%) 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Total of bank
CET1 specific
buffer
requirements
11 (%) 1.875 1.875 1.250 1.250 1.250 1.875 1.875 1.250 1.250 1.250 1.875 1.875 1.250 1.250 1.250
CET1 available
after meeting
the bank's
minimum
capital
requirements
12 (%) 9.603 10.507 10.718 10.108 9.378 9.230 10.750 10.589 11.706 10.184 8.377 9.872 9.766 10.903 9.195
Basel III
leverage ratio
Total Basel III
leverage ratio
exposure
13 measure 13 907 040 13 907 040 13 338 513 13 046 766 12 727 748 11 995 049 11 995 049 11 488 764 10 641 153 10 912 675 7 348 462 8 546 668 7 873 029 7 539 578 7 968 039
Basel III
leverage ratio
(%) (row 2/
14 row 13) 11.118 11.117 11.810 11.657 11.483 10.037 10.198 10.701 11.454 11.000 12.716 11.187 12.311 12.328 11.789
Liquidity
Coverage
Ratio
15 Total HQLA 669 498 743 380 842 637 592 868 545 943
Total net cash
16 outflow 369 234 377 798 348 891 295 782 333 360
17 LCR ratio (%) 181 197 242 200 164
Net Stable
Funding Ratio
Total available
18 stable funding 4 984 714 5 082 731 4 901 061 4 565 397 4 911 513
Total required
19 stable funding 4 802 770 4 420 682 4 159 529 4 203 833 4 464 399
20 NSFR ratio (%) 104 115 118 109 110
Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries Sasfin Bank Limited
R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000
Risk Risk Minimum Risk Risk Minimum Risk Risk Minimum
weighted weighted capital weighted weighted capital weighted weighted capital
assets assets requirements * assets assets requirements * assets assets requirements *
Risk weighted assets March 2018 March 2018 June 2018 March 2018 (T-
June 2018 (T) (T-1) June 2018 (T) June 2018 (T) (T-1) June 2018 (T) (T) 1) June 2018 (T)
Overview of Risk weighted assets
1 Credit risk (excluding counterparty credit risk) (CCR) 6 574 987 5 943 439 731 467 5 760 393 5 214 826 640 844 5 016 007 4 595 771 558 031
2 Of which: standardised approach (SA) 6 574 987 5 943 439 731 467 5 760 393 5 214 826 640 844 5 016 007 4 595 771 558 031
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 - - - - - - - - -
6 Counterparty credit risk (CCR) 134 684 107 468 14 984 134 684 107 468 14 984 128 869 107 368 14 337
7 Of which: standardised approach for counterparty credit risk 134 684 107 468 14 984 134 684 107 468 14 984 128 869 107 368 14 337
8 Of which: internal model method (IMM) - - - - - - - - -
9 Of which: other CCR - - - - - - - - -
10 Credit valuation adjustment (CVA) 5 729 5 729 637 5 729 5 729 637 5 729 5 729 637
11 Equity positions under the simple risk weight approach - - - - - - - - -
12 Equity investments in funds - look-through approach - - - - - - - - -
13 Equity investments in funds - mandate-based approach - - - - - - - - -
14 Equity investments in funds - fall back approach - - - - - - - - -
15 Settlement risk - - - - - - - - -
16 Securitisation exposures in banking book 592 511 604 336 65 917 592 511 604 336 65 917 592 511 604 336 65 917
17 Of which: securitisation internal ratings-based approach (SEC-IRBA including internal
assessment approach (IAA) - - - - - - - - -
18 including internal assessment approach (IAA) - - - - - - - - -
19 Of which: securitisation standardised approach (SEC-SA) 592 511 604 336 65 917 592 511 604 336 65 917 592 511 604 336 65 917
20 Market risk 162 594 83 691 18 089 162 594 83 691 18 089 1 606 3 815 179
21 Of which standardised approach (SA) 162 594 83 691 18 089 162 594 83 691 18 089 1 606 3 815 179
22 Of which internal model approaches (IMM) - - - - - - - - -
23 Capital charge for switch between trading book and banking book - - - - - - - - -
24 Operational risk 1 491 169 1 433 563 159 484 956 476 910 155 89 938 755 807 704 246 51 390
25 Amounts below the thresholds for deduction (subject to 250% risk weight) 450 139 465 048 50 078 310 688 322 448 34 564 - - -
26 Floor adjustment 327 337 545 204 36 416 250 441 278 808 27 862 232 797 198 671 25 899
27 Total 9 739 147 9 188 478 1 077 072 8 173 516 7 527 461 892 835 6 733 325 6 219 936 716 388
* The minimum capital requirement per risk category is 11.125% which comprises the Base minimum (8.000%) plus the Pillar 2A systemic risk Add-on (1.250%) plus the Capital Conservation Buffer (CCB) (1.8750%).
Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries Sasfin Bank Limited
R'000 R'000 R'000 R'000 R'000 R'000
June March June March June March
2018 (T) 2018 (T-1) 2018 (T) 2018 (T-1) 2018 (T) 2018 (T-1)
Qualifying capital and reserves
Tier 1 capital 1 546 166 1 546 044 1 203 943 1 223 238 934 416 956 118
Common equity tier 1 capital 1 470 934 1 470 810 1 203 943 1 223 238 934 416 956 118
Share capital and premium 160 103 160 103 463 476 463 476 463 476 463 476
Distributable reserves and other 1 303 975 1 312 608 672 965 749 819 446 288 452 208
Prescribed deductions and non-qualifying reserves 6 886 -1 859 81 699 22 387 24 653 40 434
Intragroup investments -30 -42 -14 198 -12 444 - -
Additional tier 1 capital
Non-redeemable preference share capital 75 234 75 234 - - - -
Tier 2 capital 34 915 18 221 31 246 19 010 23 732 14 970
Sub-ordinated debt 2 980 2 208 2 998 2 997 2 998 2 998
General allowance for credit impairment 31 935 16 013 28 248 16 013 20 734 11 972
Total qualifying capital and reserves 1 581 082 1 564 265 1 235 189 1 242 248 958 148 971 088
Minimum required capital and reserves 1 077 072 1 022 218 892 835 837 431 716 388 691 968
Capital adequacy ratios
Tier 1 capital (%) 15.876 16.826 14.730 16.250 13.877 15.372
Common equity tier 1 (%) 15.103 16.007 14.730 16.250 13.877 15.372
Additional tier 1 (%) 0.772 0.819 - - - -
Tier 2 capital (%) 0.359 0.198 0.382 0.253 0.352 0.241
Total capital adequacy ratio (%) 16.235 17.024 15.112 16.503 14.229 15.613
Minimum required capital adequacy ratio (%) 11.125 11.125 11.125 11.125 11.125 11.125
Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries Sasfin Bank Limited
R'000 R'000 R'000 R'000 R'000 R'000
Summary comparison of accounting assets vs leverage ratio exposure
measure June 2018 (T) March 2018 (T-1) June 2018 (T) March 2018 (T-1) June 2018 (T) March 2018 (T-1)
1 Total consolidated assets as per the published financial statements 14 321 086 13 831 383 12 362 383 11 880 548 8 646 719 8 448 596
Adjustment for investments in banking, financial, insurance or
commercial entities that are consolidated for accounting purposes but
2 outside the scope of regulatory consolidation - - - - - -
Adjustment for fiduciary assets recognised on the balance sheet pursuant
to the operative accounting framework but excluded from the leverage
3 ratio exposure measure - - - - - -
4 Adjustments for derivative financial instruments 218 168 170 060 218 168 170 060 199 102 169 645
Adjustment for securities financing transactions (i.e. repos/secured
5 lending 0 0 - 0 - -
Adjustment for off balance sheet items (i.e. conversion to credit
6 equivalent amounts of off balance sheet exposures 109 656 130 651 149 588 168 015 124 790 127 993
7 Other adjustments ( 289 528 ) ( 225 053 ) ( 286 732 ) ( 223 574 ) ( 256 630 ) ( 199 566 )
8 Leverage ratio exposure measure 14 359 382 13 907 040 12 443 407 11 995 049 8 713 980 8 546 668
Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries Sasfin Bank Limited
R'000 R'000 R'000 R'000 R'000 R'000
Leverage ratio common disclosure template June 2018 (T) March 2018 (T-1) June 2018 (T) March 2018 (T-1) June 2018 (T) March 2018 (T-1)
On balance sheet exposures
On balance sheet exposures (excluding derivatives and securities
1 financing transactions (SFT's), but including collateral 14 144 881 13 697 787 12 182 965 11 746 952 8 472 535 8 315 695
2 (Asset amounts deducted in determining Basel III Tier 1 capital ( 113 323 ) ( 91 457 ) ( 107 314 ) ( 89 978 ) ( 82 446 ) ( 66 665 )
Total on- balance sheet exposures (excluding derivatives and SFT's)
3 (sum of rows 1 and 2) 14 031 558 13 606 330 12 075 651 11 656 974 8 390 089 8 249 030
Derivative exposures
Replacement cost associated with all derivatives transactions (where
applicable net of eligible cash variation margin and/or with bilateral
4 netting) 159 820 129 218 159 820 129 218 159 367 129 216
40
5 Add on amounts for PFE associated with all derivatives transactions 58 348 40 841 58 348 40 841 39 735 429
Gross up for derivatives collateral provided where deducted from the
6 balance sheet assets pursuant to the operative accounting framework - - - - - -
(Deductions of receivables 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 - - - - - -
(Adjusted effective notional offsets and add-on deductions for
10 written credit derivatives) - - - - - -
169
11 Total derivative exposures (sum of rows 4 to 10) 218 168 170 060 218 168 170 060 199 102 645
Securities financing transaction exposures
Gross SFT assets (with no recognition of netting), after adjusting for
12 sale 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) - - - - - -
Other off balance sheet exposures
17 Off-balance sheet exposure at gross notional amount 809 811 1 059 688 935 290 1 155 497 698 477 783 232
18 (Adjustments for conversion to credit equivalent amounts) ( 700 155 ) ( 929 037 ) ( 785 702 ) ( 987 482 ) ( 573 687 ) ( 655 239 )
19 Off balance sheet items (sum of rows 17 to 18) 109 656 130 651 149 588 168 015 124 790 127 993
Capital and total exposures
20 Tier 1 capital 1 546 166 1 546 044 1 203 943 1 223 238 934 416 956 118
21 Total exposures (sum of rows 3, 11, 16 and 19) 14 359 382 13 907 040 12 443 407 11 995 049 8 713 981 8 546 668
Leverage ratio
22 Basel III leverage ratio 10.768 11.117 9.675 10.198 10.723 11.187
R'000 R'000
June June
2018 (T) 2018 (T)
Total Total
unweighted weighted
value value
High- quality liquid assets
1 Total HQLA 669 498 669 498
Cash outflows
2 Retail deposits and deposits from small business customers, of which: 1 992 370 119 395
3 Stable deposits 1 193 948 119 395
4 Less stable deposits 798 422 0
5 Unsecured wholesale funding, of which: 3 266 805 1 010 076
Operational deposits (all counterparties) and deposits in networks of
6 cooperative banks 369 638 92 410
7 Non-operational deposits (all counterparties) 2 897 167 917 667
8 Unsecured debt
9 Secured wholesale funding 54 563
10 Additional requirements, of which: 866 973 292 903
Outflows related to derivative exposures and other collateral
11 requirements 47 927 47 927
12 Outflows related to loss of funding on debt products - -
13 Credit and liquidity facilities 570 553 53 297
14 Other contractual funding obligations 183 791 183 791
15 Other contingent funding obligations
16 TOTAL CASH OUTLOWS 1 476 937
Cash inflows
17 Secured lending 1 449 749 54 562
18 Inflows from fully performing exposures 1 547 998 1 547 446
19 Other cash inflows 74 819 62 144
20 TOTAL CASH INFLOWS 3 072 566 1 664 152
Total
adjusted
value
21 Total HQLA 669 498
22 Total net cash outflows 369 234
23 Liquidity Coverage Ratio (%) 181%
Risk weighted assets flow statements of credit risk exposures under IRB
Sasfin does not use the internal ratings based, but rather the standardised approach, in the calculation of credit risk-weighted assets. This template is therefore not completed.
Risk weighted assets flow statements of CCR exposures under Internal Model Method (IMM)
Sasfin does not use an internal model method, but rather the standardised approach, in the calculation of counterparty credit risk. This template is therefore not completed.
Risk weighted assets flow statements of market risk exposures under an
IMA
Sasfin does not use an internal model approach, but rather the standardised approach, for its market risk exposures. This template is therefore not completed.
Key metrics - TLAC requirements
Sasfin is not a G-SIB. This template is therefore not completed.
The amounts highlighted in yellow cast, however due to the use of the round formula results in a marginal difference when multiplying total risk weighted assets by the regulatory minimum percentage.
2 October 2018
Johannesburg
Sponsor
Sasfin Capital (a member of the Sasfin group)
Independent Sponsor
Deloitte & Touche Sponsor Services (Pty) Ltd
Date: 02/10/2018 10:44:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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