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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
Date: 05/06/2018 01:11:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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