Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 31 March 2017 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 March 2017 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 capital capital Risk weighted Risk weighted requirements Risk weighted Risk weighted requirements Risk weighted Risk weighted Minimum capital assets assets * assets assets * assets assets requirements * March December 2016 March 2017 December 2016 March March December 2016 March Risk weighted assets 2017 (T) (T-1) (T) March 2017 (T) (T-1) 2017 (T) 2017 (T) (T-1) 2017 (T) Overview of Risk weighted assets Credit risk (excluding counterparty credit risk) (CCR) 5 787 940 5 610 184 622 204 5 027 599 4 874 822 540 467 4 517 062 4 335 318 485 584 Of which standardised approach (SA) 5 787 940 5 610 184 622 204 5 027 599 4 874 822 540 467 4 517 062 4 335 318 485 584 Of which internal rating-based (IRB) approach - - - - - - Counterparty credit risk 71 563 94 903 7 693 71 563 94 903 7 693 66 089 87 619 7 105 Of which standardised approach for counterparty credit risk (SA-CCR) 71 563 94 903 7 693 71 563 94 903 7 693 66 089 87 619 7 105 Of which internal model method (IMM) - - - - - - - - - Equity positions in banking book under market- based approach - - - - - - - - - Equity investments in funds - look-through approach - - - - - - - - - Equity investments in funds - mandate-based approach - - - - - - - - - Equity investments in funds - fall back approach - - - - - - - - - Settlement risk - - - - - - - - - Securitisation exposures in banking book 341 094 348 245 36 668 341 094 348 245 36 668 341 094 348 245 36 668 Of which IRB ratings-based approach (RBA) - - - - - - - - - Of which IRB Supervisory Formula Approach (SFA) - - - - - - - - - Of which SA/simplified supervisory formula approach (SSFA) 341 094 348 245 36 668 341 094 348 245 36 668 341 094 348 245 36 668 Market risk 44 355 47 306 4 768 44 355 47 306 4 768 2 857 3 634 307 Of which standardised approach (SA) 44 355 47 306 4 768 44 355 47 306 4 768 2 857 3 634 307 Of which internal model approaches (IMM) - - - - - - - - - Operational risk 1 289 913 1 289 913 138 666 807 387 807 387 86 794 607 948 607 948 65 354 Of which Basic Indicator Approach 1 289 913 1 289 913 138 666 807 387 807 387 86 794 607 948 607 948 65 354 Of which standardised approach - - - - - - - - - Of which Advanced Measurement Approach - - - - - - - - - Amounts below the thresholds for deduction (subject to 250% risk weight) 399 682 401 373 42 966 290 041 289 383 31 179 - - - Floor adjustment 402 759 386 401 43 297 316 692 321 525 34 044 222 249 231 845 23 892 Total 8 337 306 8 178 325 896 262 6 898 731 6 783 571 741 613 5 757 299 5 614 609 618 910 * The minimum capital requirement per risk category is 10.750% which comprises the Base minimum (8.000%) plus the Pillar 2A systemic risk Add-on (1.500%) plus the Capital Conservation Buffer (CCB) (1.250%). R'000 R'000 R'000 R'000 R'000 R'000 March December March December March December 2017 (T) 2016 (T-1) 2017 (T) 2016 (T-1) 2017 (T) 2016 (T-1) Qualifying capital and reserves Tier 1 capital 1 439 385 1 466 746 1 140 167 1 137 274 945 044 956 679 Common equity tier 1 capital 1 345 342 1 353 894 1 140 167 1 137 274 945 044 956 679 Share capital and premium 144 327 144 327 463 476 463 476 463 476 463 476 Distributable reserves and other 1 153 519 1 150 068 631 473 617 388 410 995 410 998 Prescribed deductions and non-qualifying reserves 58 944 70 169 65 214 76 669 70 573 82 205 Intragroup investments -11 448 -10 670 -19 996 -20 259 - - Additional tier 1 capital Non-redeemable preference share capital 94 043 112 852 - - - - Tier 2 capital 25 577 31 724 28 432 36 731 24 827 33 570 Sub-ordinated debt 6 140 12 982 8 995 17 989 8 995 17 989 General allowance for credit impairment 19 437 18 742 19 437 18 742 15 832 15 581 Total qualifying capital and reserves 1 464 962 1 498 470 1 168 599 1 174 005 969 871 990 249 Minimum required capital and reserves 896 262 848 500 741 613 703 795 618 910 582 517 Capital adequacy ratios Tier 1 capital (%) 17.264 17.935 16.527 16.765 16.415 17.039 Common equity tier 1 (%) 16.136 16.555 16.527 16.765 16.415 17.039 Additional tier 1 (%) 1.128 1.380 0.000 0.000 0.000 0.000 Tier 2 capital (%) 0.307 0.388 0.412 0.541 0.431 0.598 Total capital adequacy ratio (%) 17.571 18.323 16.939 17.306 16.846 17.637 Minimum required capital adequacy ratio (%) 10.750 10.375 10.750 10.375 10.750 10.375 Leverage and liquidity coverage Total Exposures for Leverage disclosure 12 357 405 11 694 980 10 518 313 9 856 123 7 797 907 6 995 420 Leverage ratio (Total Tier 1 capital / Total exposures) (%) 11.648 12.542 10.840 11.539 12.119 13.676 Minimum required Leverage Ratio (%) 4.000 4.000 4.000 4.000 4.000 4.000 Liquidity coverage ratio (%) 137 279 Benchmark liquidity coverage ratio (%) 80 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. 30 May 2017 Johannesburg Lead Sponsor Sasfin Capital (a division of Sasfin Bank Limited) Independent Sponsor KPMG Services (Pty) Ltd Date: 30/05/2017 10:55:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 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