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SASFIN HOLDINGS LIMITED - CANCELLATION OF S405579 Sasfin Holdings / Sasfin Bank Capital Adequacy Quarterly Report30 June 2018

Release Date: 02/10/2018 10:43
Code(s): SFN SFNP     PDF:  
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CANCELLATION OF S405579 Sasfin Holdings / Sasfin Bank Capital Adequacy – Quarterly Report30 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.

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 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.


1 October 2018
Johannesburg

Sponsor
Sasfin Capital (a member of the Sasfin group)

Independent Sponsor
Deloitte & Touche Sponsor Services (Pty) Ltd

Date: 02/10/2018 10:43:59 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). 
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