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Sasfin Holdings Limited / Sasfin Bank Limited Capital Adequacy – Quarterly Report 30 Sept 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 Sept 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 2018 Integrated Report and the 2018 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 2018 are disclosed below.
KM1 - Key metrics (at consolidated
Sasfin Bank Limited
group level) Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries
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
Sept June March December September September June March December September September June March December September
2018 2018 2018 2017 2017 2018 2018 2018 2017 2017 2018 2018 2018 2017 2017
Key metrics (T) (T-1) (T-2) (T-3) (T-4) (T) (T-1) (T-2) (T-3) (T-4) (T) (T-1) (T-2) (T-3) (T-4)
Available capital (amounts)
1 Common Equity Tier 1 (CET1) 1 290 756 1 470 934 1 470 810 1 481 239 1 426 762 1 075 686 1 203 943 1 223 238 1 229 436 1 218 815 853 029 934 416 956 118 969 229 929 470
2 Tier 1 1 365 989 1 546 166 1 546 044 1 575 282 1 520 805 1 075 686 1 203 943 1 223 238 1 229 436 1 218 815 853 029 934 416 956 118 969 229 929 470
3 Total capital 1 433 741 1 581 082 1 564 265 1 597 780 1 545 327 1 143 437 1 235 189 1 242 248 1 254 507 1 246 365 913 516 958 148 971 088 990 258 953 172
Risk weighted assets (amounts)
4 Total risk-weighted assets (RWA) 8 968 383 9 739 147 9 188 478 8 860 353 8 857 511 7 289 956 8 173 516 7 527 461 7 411 225 6 883 776 6 063 420 6 733 325 6 219 936 6 147 604 5 498 747
Risk-based capital ratio's as a
percentage of RWA
5 Common Equity Tier 1 ratio (%) 14.392 15.103 16.007 16.718 16.108 14.463 14.730 16.250 16.589 17.706 14 068 13.877 15.372 15.766 16.903
6 Tier 1 ratio (%) 15.231 15.876 16.826 17.779 17.170 14.463 14.730 16.250 16.589 17.706 14.068 13.877 15.372 15.766 16.903
7 Total capital ratio (%) 15.986 16.235 17.024 18.033 17.447 15.374 15.112 16.503 16.927 18.106 15.066 14.229 15.613 16.108 17.334
Additional CET1 buffer requirements
as a percentage of RWA
Capital conservation buffer requirement
8 (2.5% from 2019) (%) 1.875 1.875 1.875 1.250 1.250 1.875 1.875 1.875 1.250 1.250 1.875 1.875 1.875 1.250 1.250
9 Countercyclical buffer 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
` requirements (%) 1.875 1.875 1.875 1.250 1.250 1.875 1.875 1.875 1.250 1.250 1.875 1.875 1.875 1.250 1.250
CET1 available after meeting the bank's
12 minimum capital requirements (%) 8.892 9.603 10.507 10.718 10.108 8.963 9.230 10.750 10.589 11.706 8 568 8.377 9.872 9.766 10.903
Basel III leverage ratio
Total Basel III leverage ratio exposure
13 measure 13 022 234 14 359 382 13 907 040 13 338 513 13 046 766 11 805 504 12 443 407 11 995 049 11 488 764 10 641 153 8 611 399 8 713 981 8 546 668 7 873 029 7 539 578
Basel III leverage ratio (%) (row 2/ row
14 13) 10.490 10.768 11.117 11.810 11.657 9.112 9.675 10.198 10.701 11.454 9.906 10.723 11.187 12.311 12.328
Liquidity Coverage Ratio
15 Total HQLA 830 415 669 498 743 380 842 637 592 868
16 Total net cash outflow 618 221 369 234 377 798 348 891 295 782
17 LCR ratio (%) 134 181 197 242 200
Net Stable Funding Ratio
18 Total available stable funding 4 509 473 4 984 714 5 082 731 4 901 061 4 565 397
19 Total required stable funding 4 666 482 4 802 770 4 420 682 4 159 529 4 203 833
20 NSFR ratio (%) 97 104 115 118 109
OV1 - Overview of Risk Weighted
Sasfin Bank Limited
Assets Sasfin Holdings Limited Sasfin Bank Limited and Subsidiaries
R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000 R'000
Minimum Minimum Minimum
Risk Risk capital Risk Risk capital Risk Risk capital
weighted weighted requiremen weighted weighted requirement weighted weighted requirements
assets assets ts * assets assets s* assets assets *
Sept 2018 June 2018 Sept 2018 June 2018 Sept 2018 June 2018
Risk weighted assets (T) (T-1) (T) Sept 2018 (T) (T-1) (T) Sept 2018 (T) (T-1) Sept 2018 (T)
Overview of Risk weighted assets
Credit risk (excluding counterparty
1 credit risk) (CCR) 6 085 631 6 574 987 677 026 5 199 606 5 760 393 578 456 4 518 086 5 016 007 502 637
2 Of which: standardised approach (SA) 6 085 631 6 574 987 677 026 5 199 606 5 760 393 578 456 4 518 086 5 016 007 502 637
Of which: foundation internal ratings-
3 based (F-IRB) approach - - - - - - - - -
4 Of which: supervisory slotting approach - - - - - - - - -
Of which: advanced internal ratings-
5 based (A-IRB) approach - - - - - - - -
6 Counterparty credit risk (CCR) 100 044 134 684 11 130 105 773 134 684 11 767 98 952 128 869 11 008
Of which: standardised approach for
7 counterparty credit risk 100 044 134 684 11 130 105 773 34 684 11 767 98 952 128 869 11 008
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
Equity positions under the simple risk
11 weight approach - - - - - - - - -
Equity investments in funds - look-
12 through approach - - - - - - - - -
Equity investments in funds - mandate-
13 based approach - - - - - - - - -
Equity investments in funds - fall back
14 approach - - - - - - - - -
15 Settlement risk - - - - - - - - -
Securitisation exposures in banking
16 book 425 126 592 511 47 295 452 551 592 511 50 346 425 126 592 511 47 295
Of which: securitisation internal ratings-
17 based approach (SEC-IRBA) - - - - - - - - -
Of which: securitisation external ratings-
based approach (SEC-ERBA), including
18 internal assessment approach (IAA) - - - - - - - - -
Of which: securitisation standardised
19 approach (SEC-SA) 425 126 592 511 47 295 452 551 592 511 50 346 425 126 592 511 47 295
20 Market risk 202 374 162 594 22 514 202 374 162 594 22 514 3 196 1 606 356
21 Of which standardised approach (SA) 202 374 162 594 22 514 202 374 162 594 22 514 3 196 1 606 356
Of which internal model approaches
22 (IMM) - - - - - - - - -
Capital charge for switch between
23 trading book and banking book - - - - - - - - -
24 Operational risk 1 340 884 1 491 169 159 484 940 176 956 476 89 938 755 807 755 807 51 390
Amounts below the thresholds for
deduction (subject to 250% risk
25 weight) 417 680 450 139 46 467 287 257 310 688 31 957 - - -
26 Floor adjustment 390 916 327 337 43 489 96 490 250 441 10 734 256 524 232 797 28 538
27 Total 8 968 383 9 739 147 1 008 043 7 289 956 8 173 516 796 352 6 063 420 6 733 325 641 862
* 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
Sept June Sept June Sept
2018 2018 2018 2018 2018 June 2018
(T) (T-1) (T) (T-1) (T) (T-1)
Qualifying capital and reserves
Tier 1 capital 1 365 989 1 546 166 1 075 686 1 203 943 853 029 934 416
Common equity tier 1 capital 1 290 756 1 470 934 1 075 686 1 203 943 853 029 934 416
Share capital and premium 163 681 160 103 463 476 463 476 463 476 463 476
Distributable reserves and other 1 241 028 1 303 975 642 261 672 965 399 687 446 288
Prescribed deductions and non-
qualifying reserves -60 228 6 886 33 121 81 699 10 134 24 653
Intragroup investments -53 725 -30 -63 172 -14 198 - -
Additional tier 1 capital
Non-redeemable preference share
capital 75 234 75 234 - - - -
Tier 2 capital 67 751 34 915 67 751 31 246 60 487 23 732
Sub-ordinated debt - 2 980 - 2 998 - 2 998
General allowance for credit impairment 67 751 31 935 67 751 28 248 60 487 20 734
Total qualifying capital and reserves 1 433 741 1 581 082 1 143 437 1 235 189 913 515 958 148
Minimum required capital and
reserves 1 008 043 1 077 072 796 352 892 835 641 862 716 388
Capital adequacy ratios
Tier 1 capital (%) 15.231 15.876 14.463 14.730 14.068 13.877
Common equity tier 1 (%) 14.392 15.103 14.463 14.730 14.068 13.877
Additional tier 1 (%) 0.839 0.772 - - - -
Tier 2 capital (%) 0.755 0.359 0.911 0.382 0.998 0.352
Total capital adequacy ratio (%) 15.986 16.235 15.374 15.112 15.066 14.229
Minimum required capital adequacy
ratio (%) 11.125 11.125 11.125 11.125 11.125 11.125
LR1 - Summary comparison of
accounting assets vs leverage ratio
exposure measure R'000 R'000 R'000 R'000 R'000 R'000
Sept 2018 June 2018 June 2018 June 2018
(T) (T-1) Sept 2018 (T) (T-1) Sept 2018 (T) (T-1)
Total consolidated assets as per the
1 published financial statements 13 819 714 14 321 086 11 897 290 12 362 383 8 601 295 8 646 719
Adjustment for investments in banking,
financial, insurance or commercial
entities that are consolidated for
accounting purposes but outside the
2 scope of regulatory consolidation - - - - - -
Adjustment for fiduciary assets
recognised on the balance sheet
pursuant to the operative accounting
framework but excluded from the
3 leverage ratio exposure measure - - - - - -
Adjustments for derivative financial
4 instruments 110 796 218 168 110 796 218 168 145 733 199 102
Adjustment for securities financing
transactions (i.e. repos and similar
5 secured lending) 0 0 1 217 604 0 - -
Adjustment for off balance sheet items
(i.e. conversion to credit equivalent
6 amounts of off balance sheet exposures 105 013 109 656 133 944 149 588 106 433 124 790
7 Other adjustments 1 013 289 ) (289 528 ) (1 554 130 ) (286 732 ) (242 062) (256 630)
8 Leverage ratio exposure measure 13 022 234 14 359 382 11 805 504 12 443 407 8 611 399 8 713 980
LIQ1 - Liquidity Coverage Ratio R'000 R'000
Sept 2018
Sept 2018 (T) (T)
Total Total
unweighted weighted
value value
High- quality liquid assets
1 Total HQLA 830 415 830 415
Cash outflows
Retail deposits and deposits from
2 small business customers, of which: 1 619 644 101 681
3 Stable deposits 1 016 809 101 681
4 Less stable deposits 602 835 0
Unsecured wholesale funding, of
5 which: 3 493 697 1 088 044
Operational deposits (all counterparties)
and deposits in networks of cooperative
6 banks 0 0
Non-operational deposits (all
7 counterparties) 3 493 697 1 088 044
8 Unsecured debt
9 Secured wholesale funding 54 336
10 Additional requirements, of which: 837 880 331 241
Outflows related to derivative exposures
11 and other collateral requirements 28 978 28 978
Outflows related to loss of funding on
12 debt products - -
13 Credit and liquidity facilities 515 820 47 521
14 Other contractual funding obligations 248 442 248 442
15 Other contingent funding obligations
16 TOTAL CASH OUTLOWS 1 575 302
Cash inflows
17 Secured lending 1 691 242 54 336
Inflows from fully performing
18 exposures 850 163 834 377
19 Other cash inflows 107 342 68 368
20 TOTAL CASH INFLOWS 2 648 747 957 081
Total
adjusted
value
21 Total HQLA 830 415
22 Total net cash outflows 618 221
23 Liquidity Coverage Ratio (%) 134%
CR7- IRB- Effect on RWA of credit derivatives used as CRM techniques
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.
CR8 - 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.
CCR7 - 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.
KM2- Key metrics - TLAC requirements
Sasfin is not a G-SIB. This template is therefore not completed.
MR3 - IMA values for trading portfolio's
Sasfin does not use an internal model approach, but rather the standardised approach, in the calculation of market risk. This template is therefore not completed.
Following the finalisation of the regulatory audit in October 2018 and the introduction of IFRS 9 with effect from 1 July 2018, the Group's Regulatory Capital has reduced from R1.581bn as reported for June to R1.439bn at 30 September 2018. This also resulted in a
reduction in the Capital Adequacy Ratio (“CAR”) from 16.23% to 15.99%, which is well above the minimum prescribed CAR. The restated Regulatory Capital post the audit adjustments (excluding IFRS 9) at 30 June was R1.469bn with an adjusted CAR of 15.14%.
The primary contributors to the reduction in capital for the quarter are -
- Goodwill and Intangible Assets were historically treated as a deduction against capital net of deferred tax. Management have reviewed this treatment and, in consultation with our auditors, considered that the gross amount for Goodwill and Intangible Assets to be
more appropriate.
- The day one impact of IFRS9 on retained earnings. The Group elected to implement the full IFRS 9 provision in year one, as opposed to the three-year option allowed by the SARB.
Sasfin's performance for the quarter has been positive and is in line with expectations and profits have not yet been appropriated. Post the end of September, the Sasfin Holdings Board approved the appropriation of R55m of profits, which will enhance the Group’s
CAR.
Further to the regulatory audit, the Net Stable Funding Ratio (NSFR) was revised downwards to 95.88% primarily due to certain interpretative matters on the treatment of specific deposit balances. Management actions have been implemented to remediate the
NSFR above the regulatory threshold. Furthermore, we have engaged with the SARB-PA in respect of some of the abovementioned deposits and a process has commenced internally in this regard, the result of which should positively impact the NSFR. In addition,
given the revisions to the NSFR, there were consequential impacts to the LCR resulting in a decline in the ratio, which remains well above the regulatory threshold.
3 December 2018
Johannesburg
Sponsor
Sasfin Capital (a member of the Sasfin group)
Independent Sponsor
Deloitte & Touche Sponsor Services (Pty) Ltd
Date: 03/12/2018 05:10:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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