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Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 31 December 2016
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 31 December 2016
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.
The Group's capital management plan and strategy are fully disclosed in The Group's 2016 Integrated Report and Audited Annual Financial Statements which are available at www.sasfin.com or from the Company Secretary.
Sasfin Holdings Limited and Sasfin Bank Limited capital structure, capital adequacy, leverage and liquidity coverage ratios at 31 December 2016 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
Minimum Minimum Minimum
Risk Risk capital Risk Risk capital Risk Risk capital
weighted weighted requirements weighted weighted requirements weighted weighted requirements
assets assets * assets assets * assets assets *
December September December December September December December September December
Risk weighted assets 2016 (T) 2016 (T-1) 2016 (T) 2016 (T) 2016 (T-1) 2016 (T) 2016 (T) 2016 (T-1) 2016 (T)
Overview of Risk
weighted assets
1 Credit risk (excluding 5 610 184 5 531 697 582 057 4 874 822 4 641 029 505 763 4 335 318 4 019 347 449 789
counterparty credit risk)
(CCR)
2 Of which standardised 5 610 184 5 531 697 582 057 4 874 822 4 641 029 505 763 4 335 318 4 019 347 449 789
approach (SA)
3 Of which internal rating-
based (IRB) approach
4 Counterparty credit risk 94 903 92 947 9 846 94 903 92 947 9 846 87 619 65 778 9 091
5 Of which standardised 94 903 92 947 9 846 94 903 92 947 9 846 87 619 65 778 9 091
approach for counterparty
credit risk (SA-CCR)
6 Of which internal model - - - - - - - - -
method (IMM)
7 Equity positions in banking - - - - - - - - -
book under market-based
approach
8 Equity investments in - - - - - - - - -
funds - look-through
approach
9 Equity investments in - - - - - - - - -
funds - mandate-based
approach
10 Equity investments in - - - - - - - - -
funds - fall back approach
11 Settlement risk - - - - - - - - -
12 Securitisation exposures 348 245 411 962 36 130 348 245 411 962 36 130 348 245 411 962 36 130
in banking book
13 Of which IRB ratings-based - - - - - - - - -
approach (RBA)
14 Of which IRB Supervisory - - - - - - - - -
Formula Approach (SFA)
15 Of which SA/simplified 348 245 411 962 36 130 348 245 411 962 36 130 348 245 411 962 36 130
supervisory formula
approach (SSFA)
16 Market risk 47 306 50 344 4 908 47 306 50 344 4 908 3 634 11 443 377
17 Of which standardised 47 306 50 344 4 908 47 306 50 344 4 908 3 634 11 443 377
approach (SA)
18 Of which internal model - - - - - - - - -
approaches (IMM)
19 Operational risk 1 289 913 1 191 265 133 828 807 387 732 503 83 766 607 948 561 795 63 075
20 Of which Basic Indicator 1 289 913 1 191 265 133 828 807 387 732 503 83 766 607 948 561 795 63 075
Approach
21 Of which standardised - - - - - - - - -
approach
22 Of which Advanced - - - - - - - - -
Measurement Approach
23 Amounts below the 401 373 392 299 41 642 289 383 298 325 30 024 - - -
thresholds for deduction
(subject to 250% risk
weight)
24 Floor adjustment 386 401 326 669 40 089 321 525 261 890 33 358 231 845 147 211 24 055
25 Total 8 178 325 7 997 183 848 500 6 783 571 6 489 000 703 795 5 614 609 5 217 536 582 517
R'000 R'000 R'000 R'000 R'000 R'000
December September December September December September
2016 (T) 2016 (T-1) 2016 (T) 2016 (T-1) 2016 (T) 2016 (T-1)
Qualifying capital and
reserves
Tier 1 capital 1 466 746 1 468 141 1 137 274 1 176 617 956 679 961 773
Common equity tier 1
capital 1 353 894 1 352 420 1 137 274 1 176 617 956 679 961 773
Share capital and premium 144 327 144 327 463 476 463 476 463 476 463 476
Distributable reserves and
other 1 150 068 1 153 931 617 388 662 760 410 998 425 521
Prescribed deductions and
non-qualifying reserves 70 169 54 998 76 669 67 063 82 205 72 776
Intragroup investments -10 670 -836 -20 259 -16 682 - -
Additional tier 1 capital
Non-redeemable
preference share capital 112 852 115 721 - - - -
Tier 2 capital 31 724 30 400 36 731 36 106 33 570 32 433
Sub-ordinated debt 12 982 12 283 17 989 17 989 17 989 17 989
General allowance for
credit impairment 18 742 18 117 18 742 18 117 15 581 14 444
Total qualifying capital
and reserves 1 498 470 1 498 541 1 174 005 1 212 723 990 249 994 206
Minimum required capital
and reserves 848 500 829 708 703 795 673 234 582 517 541 319
Capital adequacy ratios
Tier 1 capital (%) 17.93 18.36 16.77 18.13 17.04 18.44
Common equity tier 1 (%) 16.55 16.91 16.77 18.13 17.04 18.44
Additional tier 1 (%) 1.38 1.45 - - - -
Tier 2 capital (%) 0.39 0.38 0.54 0.56 0.60 0.62
Total capital adequacy
ratio (%) 18.32 18.74 17.31 18.69 17.64 19.06
Minimum required capital
adequacy ratio (%) 10.375 10.375 10.375 10.375 10.375 10.375
Leverage and liquidity
coverage
Total Exposures for
Leverage disclosure 11 694 980 11 809 351 9 856 123 9 464 107 6 995 420 6 526 440
Leverage ratio (Total Tier
1 capital / Total
exposures) (%) 12.54 12.43 11.54 12.43 13.68 14.74
Minimum required
Leverage Ratio (%) 4.00 4.00 4.00 4.00 4.00 4.00
Liquidity coverage ratio
(%) - - - - 279 234
Benchmark liquidity
coverage ratio (%) - - - - 70 70
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.
31 March 2017
Johannesburg
Lead Sponsor
Sasfin Capital (a division of Sasfin Bank Limited)
Independent Sponsor
KPMG Services (Pty) Ltd
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