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Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 30 September 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 30 September 2017
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 2017 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 30 September 2017 are disclosed below.
Sasfin Holdings Limited Sasfin Bank and Subsidiaries Sasfin Bank Limited
Minimum Minimum Risk
Risk weighted Risk weighted capital Risk weighted Risk weighted capital Risk weighted weighted Minimum capital
assets assets requirements * assets assets requirements * assets assets requirements *
September June September September June September September June September
Risk weighted assets 2017 (T) 2017 ( T-1) 2017 (T) 2017 (T) 2017 ( T-1) 2017 (T) 2017 (T) 2017 ( T-1) 2017 (T)
Overview of Risk weighted assets
5 713 985 6 255 544 614 253 4 929 537 5 483 209 529 925 4 284 253 4 903 097 460 557
1 Credit risk (excluding counterparty credit risk) (CCR)
5 713 985 6 255 544 614 253 4 929 537 5 483 209 529 925 4 284 253 4 903 097 460 557
2 Of which standardised approach (SA)
- - - - - - - - -
3 Of which internal rating-based (IRB) approach
45 126 54 966 4 851 45 126 54 966 4 851 44 037 54 027 4 734
4 Counterparty credit risk
45 126 54 966 4 851 45 126 54 966 4 851 44 037 54 027 4 734
5 Of which standardised 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
309 511 326 580 33 272 309 511 326 580 33 272 309 511 326 580 33 272
12 Securitisation exposures in banking book
- - - - - - - - -
13 Of which IRB ratings-based approach (RBA)
- - - - - - - - -
14 Of which IRB Supervisory Formula Approach (SFA)
309 511 326 580 33 272 309 511 326 580 33 272 309 511 326 580 33 272
15 Of which SA/simplified supervisory formula approach (SSFA)
36 410 10 058 3 914 36 410 10 058 3 914 3 922 3 494 422
16 Market risk
36 410 10 058 3 914 36 410 10 058 3 914 3 922 3 494 422
17 Of which standardised approach (SA)
- - - - - - - - -
18 Of which internal model approaches (IMM)
1 371 421 1 371 421 147 428 858 963 858 963 92 339 651 421 651 421 70 028
19 Operational risk
1 371 421 1 371 421 147 428 858 963 858 963 92 339 651 421 651 421 70 028
20 Of which Basic Indicator Approach
- - - - - - - - -
21 Of which standardised approach
- - - - - - - - -
22 Of which Advanced Measurement Approach
424 240 411 724 45 606 309 860 313 500 33 310 - - -
23 Amounts below the thresholds for deduction (subject to 250% risk weight)
956 818 462 328 102 858 394 369 369 931 42 395 205 603 243 239 22 102
24 Floor adjustment
8 857 511 8 892 621 952 182 6 883 776 7 417 207 740 006 5 498 747 6 181 858 591 115
25 Total
* 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
September June September June September June
Qualifying capital and reserves 2017 (T) 2017 (T-1) 2017 (T) 2017 (T-1) 2017 (T) 2017 (T-1)
1 520 805 1 461 558 1 218 815 1 200 411 929 470 939 313
Tier 1 capital
1 426 762 1 367 515 1 218 815 1 200 411 929 470 939 313
Common equity tier 1 capital
144 327 144 327 463 476 463 476 463 476 463 476
Share capital and premium
1 229 443 1 183 816 717 579 699 746 410 999 411 002
Distributable reserves and other
57 038 48 804 50 606 51 708 54 995 64 835
Prescribed deductions and non-qualifying reserves
-4 046 -9 432 -12 846 -14 519 - -
Intragroup investments
Additional tier 1 capital
94 043 94 043 - - - -
Non-redeemable preference share capital
24 522 25 222 27 550 27 577 23 702 23 732
Tier 2 capital
5 967 6 640 8 995 8 995 8 995 8 995
Sub-ordinated debt
18 555 18 582 18 555 18 582 14 707 14 737
General allowance for credit impairment
1 545 327 1 486 780 1 246 365 1 227 988 953 172 963 045
Total qualifying capital and reserves
952 182 955 956 740 006 797 350 591 115 664 550
Minimum required capital and reserves
Capital adequacy ratios
17.170 16.436 17.706 16.184 16.903 15.195
Tier 1 capital (%)
16.108 15.378 17.706 16.184 16.903 15.195
Common equity tier 1 (%)
1.062 1.058 - - - -
Additional tier 1 (%)
0.277 0.284 0.400 0.372 0.431 0.384
Tier 2 capital (%)
17.447 16.720 18.106 16.556 17.334 15.579
Total capital adequacy ratio (%)
10.750 10.750 10.750 10.750 10.750 10.750
Minimum required capital adequacy ratio (%)
Leverage and liquidity coverage
13 046 766 12 727 746 10 641 153 10 912 673 7 539 579 7 968 038
Total Exposures for Leverage disclosure
Leverage ratio (Total Tier 1 capital / Total 11.657 11.483 11.454 11.000 12.328 11.789
exposures) (%)
4.000 4.000 4.000 4.000 4.000 4.000
Minimum required Leverage Ratio (%)
200 164
Liquidity coverage ratio (%)
80 80
Benchmark liquidity coverage ratio (%)
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.
27 December 2017
Johannesburg
Lead Sponsor
Sasfin Capital (a division of Sasfin Bank Limited)
Independent Sponsor
Deloitte & Touche Sponsor Services (Pty) Ltd
Date: 27/11/2017 03:49:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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