SASFIN HOLDINGS LIMITED - Quarterly report 31 March 2018

Release Date: 05/06/2018 13:11
Code(s): SFN SFNP
 
Wrap Text
Quarterly report 31 March 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 31 March 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.

The Group's capital management plan and strategy are fully disclosed in the Group's 2017 Integrated Report and the 2017 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 March 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
                                               March      December       September          June      March         March    December       September          June      March        March    December     September            June       March
      Key metrics                             2018 (T)    2017 (T-1)      2017 (T-2) 2017 (T-3)    2017 (T-4)     2018 (T)   2017 (T-1)      2017 (T-2) 2017 (T-3)    2017 (T-4)    2018 (T)   2017 (T-1)    2017 (T-2)     2017 (T-3)   2017 (T-4)
      Available capital (amounts)
 1    Common Equity Tier 1 (CET1)             1 470 810    1 481 239     1 426 762    1 367 515     1 345 342    1 223 238    1 229 436     1 218 815    1 200 411     1 140 167    956 118      969 229       929 470        939 313      945 044
 2    Tier 1                                  1 546 044    1 575 282     1 520 805    1 461 558     1 439 385    1 223 238    1 229 436     1 218 815    1 200 411     1 140 167    956 118      969 229       929 470        939 313      945 044
 3    Total capital                           1 564 265    1 597 780     1 545 327    1 486 780     1 464 962    1 242 248    1 254 507     1 246 365    1 227 988     1 168 599    971 088      990 258       953 172        963 045      969 871
      Risk weighted assets (amounts)
 4    Total risk-weighted assets (RWA)        9 188 478    8 860 353     8 857 511    8 892 621     8 337 306    7 527 461    7 411 225     6 883 776    7 417 207     6 898 731   6 219 936   6 147 604     5 498 747      6 181 858    5 757 299
      Risk-based capital ratio's as a
      percentage of RWA
 5    Common Equity Tier 1 ratio (%)            16.007       16.718         16.108       15.378       16.136       16.250       16.589         17.706       16.184       16.527      15.372       15.766        16.903         15.195       16.415
 6    Tier 1 ratio (%)                          16.826       17.779         17.170       16.436       17.264       16.250       16.589         17.706       16.184       16.527      15.372       15.766        16.903         15.195       16.415
 7    Total capital ratio (%)                   17.024       18.033         17.447       16.720       17.571       16.503       16.927         18.106       16.556       16.939      15.613       16.108        17.334         15.579       16.846
      Additional CET1 buffer
      requirements as a percentage of
      RWA
      Capital conservation buffer
      requirement (2.5% from 2019)
 8    (%)                                         1.875       1.250          1.250        1.250        1.250        1.875        1.250          1.250        1.250        1.250       1.875        1.250         1.250          1.250        1.250
      Countercyclical buffer
 9    requirements (%)                            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
 11   requirements (%)                            1.875       1.250          1.250        1.250        1.250        1.875        1.250          1.250        1.250        1.250       1.875        1.250         1.250          1.250        1.250
      CET1 available after meeting the
      bank's minimum capital
 12   requirements (%)                          10.507       10.718         10.108        9.378       10.136       10.750       10.589         11.706       10.184       10.527       9.872        9.766        10.903          9.195       10.415
      Basel III leverage ratio
      Total Basel III leverage ratio
 13   exposure measure                       13 907 040   13 338 513    13 046 766   12 727 748    12 357 405   11 995 049   11 488 764    10 641 153   10 912 675    10 518 313   8 546 668   7 873 029     7 539 578      7 968 039    7 797 907
      Basel III leverage ratio (%) (row 2/
 14   row 13)                                   11.117       11.810         11.657       11.483       11.648       10.198       10.701         11.454       11.000       10.840      11.187       12.311        12.328         11.789       12.119
      Liquidity Coverage Ratio
 15   Total HQLA                                                                                                                                                                    743 380      842 637       592 868        545 943      643 031
16   Total net cash outflow                                                                                                                                                         377 798      348 891       295 782        333 360      467 793
17   LCR ratio (%)                                                                                                                                                                      197          242           200            164         137
     Net Stable Funding Ratio
18   Total available stable funding                                                                                                                                                 5 082 731       4 901 061      4 565 397   4 911 513   4 753 605
19   Total required stable funding                                                                                                                                                  4 420 682       4 159 529      4 203 833   4 464 399   4 393 977
20   NSFR ratio (%)                                                                                                                                                                       115             118            109         110         108




                                                                              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         capital          Risk                           capital          Risk               Risk             capital
                                                                   Risk weighted       weighted requirements        weighted Risk weighted requirements             weighted           Weighted        requirements
                                                                          assets          assets               *       assets           assets                 *       assets             assets                    *
                                                                     March 2018       December       March 2018    March 2018       December       March 2018      March 2018          December          March 2018
        Risk weighted assets                                                  (T)     2017 (T-1)             (T)           (T)      2017 (T-1)               (T)           (T)         2017 (T-1)                 (T)
        Overview of Risk weighted assets
1       Credit risk (excluding counterparty credit risk) (CCR)         5 943 439      5 806 734         661 208      5 214 826       5 109 823          580 149      4 595 771          4 482 369           511 280
2       Of which: standardised approach (SA)                           5 943 439      5 806 734         661 208      5 214 826       5 109 823          580 149      4 595 771          4 482 369           511 280
        Of which: foundation internal ratings-based (F-IRB)
3       approach                                                               -              -                -             -                -                -             -                  -                    -
4       Of which: supervisory slotting approach                                -              -                -             -                -                -             -                  -                    -
        Of which: advanced internal ratings-based (A-IRB)
5       approach                                                              -              -                -             -                -                -             -                  -                     -
6       Counterparty credit risk (CCR)                                  107 468        168 416           11 956       107 468          168 416           11 956       107 368            168 180                11 945
        Of which: standardised approach for counterparty credit
7       risk                                                            107 468        168 416           11 956       107 468          168 416           11 956       107 368            168 180                11 945
8       Of which: internal model method (IMM)                                 -              -                -             -                -                -             -                  -                     -
9       Of which: other CCR                                                   -              -                -             -                -                -             -                  -                     -

10      Credit valuation adjustment (CVA)                                 5 729          7 294              637         5 729            7 294              637         5 729              7 294                   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                        604 336        608 814           67 232       604 336          608 814           67 232       604 336            608 814                67 232
        Of which: securitisation internal ratings-based approach
17      (SEC-IRBA)                                                             -              -                -             -                -                -             -                  -                    -
        Of which: securitisation external ratings-based approach
18      (SEC-ERBA), including internal assessment approach (IAA)              -              -                -             -                -                -             -                  -                     -
19      Of which: securitisation standardised approach (SEC-SA)         604 336        608 814           67 232       604 336          608 814           67 232       604 336            608 814                67 232
20      Market risk                                                      83 691          5 200            9 311        83 691            5 200            9 311         3 815              3 824                   424
21      Of which standardised approach (SA)                              83 691          5 200            9 311        83 691            5 200            9 311         3 815              3 824                   424
22      Of which internal model approaches (IMM)                              -              -                -             -                -                -             -                  -                     -
        Capital charge for switch between trading book and
23      banking book                                                           -              -               -             -                -                -             -                  -                     -
24      Operational risk                                               1 433 563      1 433 563         159 484       910 155          910 156          101 255       704 246            704 246                78 347
        Amounts below the thresholds for deduction (subject to
25      250% risk weight)                                                465 048        455 537          51 737        322 448         323 856           35 872              -                  -                 -
26      Floor adjustment                                                 545 204        374 795          60 654        278 808         277 666           31 017        198 671            172 877            22 102
27      Total                                                          9 188 478      8 860 353       1 022 218      7 527 461       7 411 225          837 431      6 219 936          6 147 604           691 968
* 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%).

                                                                             R'000           R'000               R'000            R'000                        R'000            R'000
                                                                        March 2018       December           March 2018        December                    March 2018        December
                                                                                (T)      2017 (T-1)                 (T)       2017 (T-1)                          (T)       2017 (T-1)
 Qualifying capital and reserves
 Tier 1 capital                                                           1 546 044      1 575 282            1 223 238       1 229 436                       956 118         969 229
 Common equity tier 1 capital                                             1 470 810      1 481 239            1 223 238       1 229 436                       956 118         969 229
 Share capital and premium                                                  160 103        160 103              463 476         463 476                       463 476         463 476
 Distributable reserves and other                                         1 312 608      1 301 379              749 819         742 540                       452 208         452 207
 Prescribed deductions and non-qualifying reserves                           -1 859         19 757               22 387          35 300                        40 434          53 546
 Intragroup investments                                                         -42              0              -12 444         -11 880                             -               -
 Additional tier 1 capital
 Non-redeemable preference share capital                                     75 234         94 043                    -               -                             -               -
 Tier 2 capital                                                              18 221         22 498               19 010          25 071                        14 970          21 029
 Sub-ordinated debt                                                           2 208          6 422                2 997           8 995                         2 998           8 995
 General allowance for credit impairment                                     16 013         16 076               16 013          16 076                        11 972          12 034
 Total qualifying capital and reserves                                    1 564 265      1 597 780            1 242 248       1 254 507                       971 088         990 258
 Minimum required capital and reserves                                    1 022 218        952 488              837 431         796 708                       691 968         660 867

 Capital adequacy ratios
 Tier 1 capital (%)                                                         16.826          17.779               16.250          16.589                        15.372          15.766
 Common equity tier 1 (%)                                                   16.007          16.718               16.250          16.589                        15.372          15.766
 Additional tier 1 (%)                                                       0.819           1.061                    -               -                             -               -
 Tier 2 capital (%)                                                          0.198           0.254                0.253           0.338                         0.241           0.342
 Total capital adequacy ratio (%)                                           17.024          18.033               16.503          16.927                        15.613          16.108
 Minimum required capital adequacy ratio (%)                                11.125          10.750               11.125          10.750                        11.125          10.750




                                                                         R'000            R'000              R'000            R'000                        R'000            R'000
      Summary comparison of accounting assets vs leverage ratio        March 2018       December           March 2018       December                     March 2018       December
      exposure measure                                                    (T)           2017 (T-1)            (T)           2017 (T-1)                      (T)           2017 (T-1)
      Total consolidated assets as per the published financial
 1    statements                                                        13 831 383      13 242 934           11 880 548      11 359 092                      8 448 596      7 762 627

      Adjustment for investments in banking, financial, insurance or
      commercial entities that are consolidated for accounting
 2    purposes but outside the scope of regulatory consolidation                    -                -                  -                -                            -                -
      Adjustment for fiduciary assets recognised on the balance
      sheet pursuant to the operative accounting framework but
 3    excluded from the leverage ratio exposure measure                          -               -                    -               -                             -               -
 4    Adjustments for derivative financial instruments                     170 060         231 340              170 060         231 340                       169 645         230 462
      Adjustment for securities financing transactions (i.e. repos
 5    and similar secured lending)                                                  0                0                  -                0                            -                -
      Adjustment for off balance sheet items (i.e. conversion to
 6    credit equivalent amounts of off balance sheet exposures             130 651         130 401              168 015         168 374                        127 993        121 381
 7    Other adjustments                                                 ( 225 053 )     ( 266 162 )          ( 223 574 )     ( 270 042 )                    ( 199 566 )    ( 241 441 )
 8    Leverage ratio exposure measure                                   13 907 040      13 338 513           11 995 049      11 488 764                      8 546 668      7 873 029


                                                                       March 2018       December           March 2018       December                     March 2018       December
      Leverage ratio common disclosure template                           (T)           2017 (T-1)            (T)           2017 (T-1)                      (T)           2017 (T-1)
     On balance sheet exposures
     On balance sheet exposures (excluding derivatives and
     securities financing transactions (SFT's), but including
1    collateral                                                       13 697 787    13 049 393    11 746 952    11 165 551    8 315 695     7 574 739
     (Asset amounts deducted in determining Basel III Tier 1
2    capital                                                           ( 91 457 )    ( 72 621 )    ( 89 978 )    ( 76 501 )    ( 66 665 )    ( 53 553 )
     Total on- balance sheet exposures (excluding derivatives and
3    SFT's) (sum of rows 1 and 2)                                     13 606 330    12 976 772    11 656 974    11 089 050    8 249 030     7 521 186
     Derivative exposures
     Replacement cost associated with all derivatives transactions
     (where applicable net of eligible cash variation margin and/or
4    with bilateral netting)                                            129 218       187 020       129 218       187 020       129 216       187 020
     Add on amounts for PFE associated with all derivatives
5    transactions                                                        40 841        44 320        40 841        44 320        40 429         43 442
     Gross up for derivatives collateral provided where deducted
     from the balance sheet assets pursuant to the operative
6    accounting framework                                                       -             -             -             -             -             -
     (Deductions of receivables assets for cash variation margin
7    provided in derivatives transactions)                                      -             -             -             -             -             -
8    (Exempted CCP leg of client-cleared trade exposures)                       -             -             -             -             -             -
     Adjusted effective notional amount of written credit
9    derivatives                                                                -             -             -             -             -             -
     (Adjusted effective notional offsets and add-on deductions
10   for written credit derivatives)                                          -             -             -             -             -             -
11   Total derivative exposures (sum of rows 4 to 10)                   170 060       231 340       170 060       231 340       169 645       230 462
     Securities financing transaction exposures
     Gross SFT assets (with no recognition of netting), after
12   adjusting for sale accounting transactions                                 -             -             -             -             -             -
     (Netted amounts of cash payables and cash receivables of
13   gross SFT assets)                                                          -             -             -             -             -             -
14   CCR exposure for SFT assets                                                -             -             -             -             -             -

15   Agent transaction exposures                                                -             -             -             -             -             -
     Total securities financing transaction exposures (sum of
16   rows 12 to 15)                                                             -             -             -             -             -             -
     Other off balance sheet exposures
17   Off-balance sheet exposure at gross notional amount               1 059 688     1 063 011     1 155 497     1 161 865       783 232       720 195
18   (Adjustments for conversion to credit equivalent amounts)        ( 929 037 )   ( 932 610 )   ( 987 482 )   ( 993 490 )   ( 655 239 )   ( 598 814 )
19   Off balance sheet items (sum of rows 17 to 18)                      130 651       130 401       168 015       168 374       127 993       121 381
     Capital and total exposures
20   Tier 1 capital                                                    1 546 044     1 575 282     1 223 238     1 229 436      956 118       969 229
21   Total exposures (sum of rows 3, 11, 16 and 19)                   13 907 040    13 338 513    11 995 049    11 488 764    8 546 668     7 873 029
     Leverage ratio
22   Basel III leverage ratio                                            11.117        11.810        10.198        10.701        11.187        12.311


     High- quality liquid assets
1    Total HQLA                                                                                                                 648 189       648 189
     Cash outflows
     Retail deposits and deposits from small business customers,
2    of which:                                                                                                                2 018 789       198 773
3    Stable deposits                                                                                                                  -             -
4    Less stable deposits                                                                                                     2 018 789       198 773
5    Unsecured wholesale funding, of which:                                                                                   1 242 621       941 608
      Operational deposits (all counterparties) and deposits in
  6   networks of cooperative banks                                                                                                                                                   207 826          53 814
  7   Non-operational deposits (all counterparties)                                                                                                                                 1 025 556         884 099
  8   Unsecured debt                                                                                                                                                                    9 238           3 695
  9   Secured wholesale funding                                                                                                                                                                        55 440
 10   Additional requirements, of which:                                                                                                                                             137 504          106 231
      Outflows related to derivative exposures and other collateral
 11   requirements                                                                                                                                                                    44 021           44 021

 12   Outflows related to loss of funding on debt products                                                                                                                                 -                -
 13   Credit and liquidity facilities                                                                                                                                                 93 483           62 211
 14   Other contractual funding obligations                                                                                                                                          263 726          261 886
 15   Other contingent funding obligations                                                                                                                                            36 523            1 826
 16   TOTAL CASH OUTLOWS                                                                                                                                                                            1 565 764
      Cash inflows
 17   Secured lending                                                                                                                                                               1 318 469          55 457
 18   Inflows from fully performing exposures                                                                                                                                       2 618 347       2 396 754
 19   Other cash inflows                                                                                                                                                               36 154          18 640
 20   TOTAL CASH INFLOWS                                                                                                                                                            3 972 969       2 470 851

                                                                                                                                                                                                Total adjusted
                                                                                                                                                                                                         value
 21   Total HQLA                                                                                                                                                                                       648 189
 22   Total net cash outflows                                                                                                                                                                          391 441
 23   Liquidity Coverage Ratio (%)                                                                                                                                                                       166%




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

5 June 2018
Johannesburg

Sponsor
Sasfin Capital (a member of the Sasfin group)

Independent Sponsor
Deloitte & Touche Sponsor Services (Pty) Ltd

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