Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 30 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. 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. 2 October 2018 Johannesburg Sponsor Sasfin Capital (a member of the Sasfin group) Independent Sponsor Deloitte & Touche Sponsor Services (Pty) Ltd Date: 02/10/2018 10:44:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). The JSE does not, whether expressly, tacitly or implicitly, represent, warrant or in any way guarantee the truth, accuracy or completeness of the information published on SENS. The JSE, their officers, employees and agents accept no liability for (or in respect of) any direct, indirect, incidental or consequential loss or damage of any kind or nature, howsoever arising, from the use of SENS or the use of, or reliance on, information disseminated through SENS.