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SASFIN HOLDINGS LIMITED - Sasfin Holdings Limited/Sasfin Bank Limited - Basel Pillar Iii Disclosure - 31 December 2018

Release Date: 02/04/2019 17:08
Code(s): SFNP SFN     PDF:  
 
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Sasfin Holdings Limited/Sasfin Bank Limited - Basel Pillar Iii Disclosure - 31 December 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 - BASEL PILLAR III DISCLOSURE -
31 DECEMBER 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 as well as in accordance with the Basel Committee on
Banking Supervision (BCBS) revised pillar 3 disclosure requirements, the South African Reserve
Bank (SARB) Directives 4 of 2014, 11 of 2015 and 1 of 2018, 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 risk governance process is fully disclosed in the Group’s 2018 Integrated Report which
is available and still applicable for the period under review at www.sasfin.com or from the
Company Secretary.

Sasfin Holdings Limited capital structure, capital adequacy and Sasfin Bank Limited leverage and
liquidity coverage ratios at 31 December 2018 are disclosed in this report.

All amounts in this report are rounded to the nearest Rand thousand unless otherwise stated.
CAPITAL MANAGEMENT
KM1: KEY METRICS – Sasfin Holdings Group level

                                                            a            b             c           d            e
                                                       Dec-18       Sep-18       Jun-18       Mar-18       Dec-17
                                                            T          T-1          T-2          T-3          T-4
Available capital (amounts)
1    Common Equity Tier 1 (CET1)                     1 344 935    1 290 756    1 361 921    1 470 810    1 452 702
1a Fully loaded ECL accounting model                 1 344 935    1 290 756            –            –            –
2    Tier 1                                          1 420 169    1 365 989    1 437 154    1 546 044    1 546 745
2a Fully loaded accounting model Tier 1              1 420 169    1 365 989            –            –            –
3    Total capital                                   1 499 081    1 433 741    1 469 072    1 564 265    1 562 821
3a Fully loaded ECL accounting model
     Total capital                                   1 499 081    1 433 741            –            –            –
Risk-weighted assets (amounts)
4    Total risk-weighted assets (RWA)                9 096 892    8 968 386    9 705 595    9 188 479    8 856 134
Risk-based capital ratios as a percentage
of RWA
5    Common Equity Tier 1 ratio (%)                   14.785%      14.392%      14.032%      16.007%      16.403%
5a Fully loaded ECL accounting model
     CET1 (%)                                         14.785%      14.392%            –            –            –
6    Tier 1 ratio (%)                                 15.612%      15.231%      14.807%      16.826%      17.465%
6a Fully loaded ECL accounting model
     Tier 1 ratio (%)                                 15.612%      15.231%            –            –            –
7    Total capital ratio (%)                          16.479%      15.987%      15.136%      17.024%      17.647%
7a Fully loaded ECL accounting model
     total capital ratio (%)                          16.479%      15.987%             –            –            –
Additional CET1 buffer requirements
as a percentage of RWA
8     Capital conservation buffer requirement
      (2.5% from 2019) (%)                             1.875%       1.875%       1.875%       1.875%       1.250%
9     Countercyclical buffer requirement (%)                –            –            –            –            –
10 Bank D-SIB additional requirements (%)                   –            –            –            –            –
11 Total of bank CET1 specific buffer
      requirements (%) (row 8 + row 9+ row 10)         1.875%       1.875%       1.875%       1.875%       1.250%
12 CET1 available after meeting the bank’s
      minimum capital requirements (%)                  5.97%        6.02%        6.73%        7.63%        8.15%
Basel III Leverage Ratio
13 Total Basel III leverage ratio measure           12 728 982   13 022 234   14 359 382   13 907 040   13 338 513
14 Basel III leverage ratio (%) (row 2/row 13)         11.16%       10.49%       10.77%       11.12%       11.60%
14a Fully loaded ECL accounting model
     Basel III leverage ratio (%) (row 2A/row 13)      11.16%       10.49%             –            –            –
CAPITAL MANAGEMENT
KM1: KEY METRICS – Sasfin Bank Limited level

                                                           a           b            c          d           e
                                                      Dec-18      Sep-18      Jun-18      Mar-18      Dec-17
                                                           T         T-1         T-2         T-3         T-4
Available capital (amounts)
1    Common Equity Tier 1 (CET1)                     856 982     885 854     934 416     956 118     969 229
1a Fully loaded ECL accounting model                 856 982     885 854           –           –           –
2    Tier 1                                          856 982     885 854     934 416     956 118     969 228
2a Fully loaded accounting model Tier 1              856 982     885 854           –           –           –
3    Total capital                                   914 795     949 339     958 148     971 088     990 258
3a Fully loaded ECL accounting model
     total capital                                   914 795     949 339           –           –           –
Risk-weighted assets (amounts)
4    Total risk-weighted assets (RWA)               5 936 466   6 063 420   6 733 325   6 219 936   6 147 604
Risk-based capital ratios as a percentage
of RWA
5    Common Equity Tier 1 ratio (%)                  14.436%     14.610%     13.877%     15.372%     15.766%
5a Fully loaded ECL accounting model
     CET1 (%)                                        14.436%     14.610%           –           –           –
6    Tier 1 ratio (%)                                14.436%     14.610%     13.877%     15.372%     15.766%
6a Fully loaded ECL accounting model
     Tier 1 ratio (%)                                14.436%     14.610%           –           –           –
7    Total capital ratio (%)                         15.410%     15.657%     14.229%     15.613%     16.108%
7a Fully loaded ECL accounting model
     total capital ratio (%)                         15.410%     15.657%           –           –           –
Additional CET1 buffer requirements
as a percentage of RWA
8     Capital conservation buffer requirement
      (2.5% from 2019) (%)                            1.875%      1.875%      1.875%      1.875%      1.250%
9     Countercyclical buffer requirement (%)               –           –           –           –           –
10 Bank D-SIB additional requirements (%)                  –           –           –           –           –
11 Total of bank CET1 specific buffer
      requirements (%) (row 8 + row 9+ row 10)        1.875%      1.875%      1.875%      1.875%      1.250%
12 CET1 available after meeting the bank's
      minimum capital requirements (%)                 6.06%       6.23%       5.50%       7.00%       7.52%
Basel III Leverage Ratio
13 Total Basel III leverage ratio measure           8 841 808   8 644 224   8 713 981   8 546 668   7 873 029
14 Basel III leverage ratio (%) (row 2/row 13)         9.69%      10.25%     10.723%      11.19%      12.31%
14a Fully loaded ECL accounting model
     Basel III leverage ratio (%) (row 2A/row 13)      9.69%      10.25%           –           –           –
Liquidity Coverage Ratio
15 Total HQLA                                       1 164 161    830 415     669 498     743 380     842 637
16 Total net cash outflow                             922 954    605 569     405 603     377 798     348 891
17 LCR ratio (%)                                        126%       134%        165%        197%        242%
Net Stable Funding Ratio
18 Total available stable funding                   4 558 558   4 509 473   4 649 626   5 082 731   4 901 061
19 Total required stable funding                    4 192 769   4 465 095   4 625 016   4 420 682   4 159 529
20 NSFR ratio (%)                                       109%        101%        101%        115%        118%
OV1: OVERVIEW OF RWA – Sasfin Holdings
Group level


                                                                               Sasfin Holdings Ltd
                                                                             a                b                  c
                                                                                                         Minimum
                                                                                                            capital
                                                                                  RWA                requirements
                                                                        Dec-18            Sep-18           Dec-18
                                                                             T               T-1                 T
1    Credit risk (excluding counterparty credit risk)
2      Of which: standardised approach (SA)                           5 750 385         5 064 416         646 918
       Of which: foundation internal ratings-based (F-IRB)
3      approach                                                              –                  –               –
4      Of which: supervisory slotting approach                               –                  –               –
5      Of which: advanced internal ratings-based (A-IRB) approach            –                  –               –
6    Counterparty credit risk (CCR)                                    128 718            100 044          14 481
7      Of which: standardised approach for counterparty credit risk    128 718            100 044          14 481
8      Of which: Internal Model Method (IMM)                                 –                  –               –
9      Of which: other CCR                                                   –                  –               –
10   Credit valuation adjustment (CVA)                                   8 457              5 729             951
11   Equity positions under the simple risk weight approach            851 536          1 021 216          95 798
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 the banking book                      425 406            425 126          47 858
       Of which: securitisation internal ratings-based approach
17     (SEC-IRBA)                                                             –                 –                –
       Of which: securitisation external ratings-based approach
18     (SEC-ERBA), including internal assessment approach                    –                 –                –
19     Of which: securitisation standardised approach (SEC-SA)         425 406           425 126           47 858
20   Market risk                                                       204 640           202 374           23 022
21     Of which: standardised approach (SA)                            204 640           202 374           23 022
22     Of which: internal model approaches (IMA)                             –                 –                –
     Capital charge for switch between trading book
23   and banking book                                                         –                 –               –
24   Operational risk                                                 1 441 795         1 340 884         162 202
     Amounts below thresholds for deduction
25   (subject to 250% risk weight)                                      84 970           417 680            9 559
26   Aggregate capital floor applied                                   200 985           390 916           22 611
27   Total (1+6+10+11+12+13+14+15+16+20+23+24+25+26)                  9 096 892         8 968 386       1 023 400
LR1: SUMMARY COMPARISON OF ACCOUNTING
ASSETS VS LEVERAGE RATIO EXPOSURE
MEASURE – Sasfin Holdings Group level
                                                                                                             a
1   Total consolidated assets as per published financial statements                                13 572 067
    Adjustments for investments in banking, financial, insurance or commercial entities that are
2   consolidated for accounting purposes but outside the scope of regulatory consolidation                   –
    Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative
3   accounting framework but excluded from the leverage ratio exposure measure                              –
4   Adjustments for derivative financial instruments                                                  429 317
5   Adjustment for securities financing transactions (ie repos and similar secured lending)                 –
    Adjustments for off-balance sheet items (ie conversion to credit equivalent amounts of
6   off-balance sheet exposures)                                                                       109 676
7   Other adjustments                                                                               (1 382 077)
8   Leverage ratio exposure measure                                                                12 728 983
LR2: LEVERAGE RATIO COMMON DISCLOSURE
– Sasfin Holdings Group level

                                                                                               a            b
                                                                                          Dec-18       Sep-18
                                                                                               T          T-1
On-balance sheet exposures
1   On-balance sheet exposures (excluding derivatives and securities financing
    transactions (SFTs), but including collateral)                                     10 460 136   12 806 426
2   (Asset amounts deducted in determining Basel III Tier 1 capital)                            –            –
3    Total on-balance sheet exposures (excluding derivatives and SFTs)
     (sum of row 1 and 2)                                                              10 460 136   12 806 426
Derivative exposures
4    Replacement cost associated with all derivatives transactions (where applicable
     net of eligible cash variation margin and/or with bilateral netting)                390 498      107 847
5    Add-on amounts for PFE associated with all derivatives transactions                  38 819        2 949
6    Gross-up for derivatives collateral provide where deducted from the
     balance sheet assets pursuant to the operative accounting framework                        –            –
7    (Deductions of receivable assets for cash variation margin provided in
     derivatives transactions)                                                                  –            –
8    (Exempted CCP leg of client-cleared trade exposures)                                       –            –
9    Adjusted effective notional amount of written credit derivatives                           –            –
10 (Adjusted effective notional offsets and add-on deductions for written
     credit derivatives)                                                                        –            –
11   Total derivative exposures (sum of rows 4 to 10)                                    429 317      110 796
Securities financing transactions
12 Gross SFT assets (with no recognition of netting), after adjusting for sale
    accounting transactions                                                                     –            –
13 (Netted amounts of cash payables and cash receivables of gross SFT 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                                   109 676      105 014
18 (Adjustments for conversion to credit equivalent amounts)                                   –            –
19   Off-balance sheet items (sum of rows 17 and 18)                                     109 676      105 014
Capital and total exposures
20 Tier 1 capital                                                                       1 420 171    1 365 989
21   Total exposures (sum of rows 3, 11, 16 and 19)                                    12 728 982   13 022 234
Leverage ratio
22 Basel III leverage ratio                                                               11.16%       10.49%
CR1: CREDIT QUALITY OF ASSETS
– Sasfin Bank Limited level

                                  a               b                c              d                 e                 f                 g
                                                                                                              Of which
                                                                                                                   ECL
                                                                       Of which ECL accounting              accounting
                                                                          provisions for credit              provisions       Net values
                            Carrying values of                         losses on SA exposures                       for           (a+b-c)
                                                                       Allocated in Allocated in
                                            Non-                        regulatory   regulatory
                          Defaulted     defaulted Allowances/          category or category or
                          exposures    exposures impairments               Specific     General
Loans                      362 217     4 615 929           242 461         153 456           89 005                  –        4 735 685
Debt securities                  –             –                 –               –                –                  –                –
Off-balance sheet
exposures                         –        727 316                 –               –                –                –          727 316
Total                      362 217     5 343 245           242 461         153 456           89 005                  –        5 463 001




CR3: CREDIT RISK MITIGATION TECHNIQUES
– OVERVIEW – Sasfin Bank Limited level

                                      a               b                c               d                e                 f             g

                                                                                             Exposures                         Exposures
                                                             Exposures                      secured by                        secured by
                                                            secured by                         financial                            credit
                              Exposures                    collateral of    Exposures      guarantees,        Exposures       derivatives,
                              unsecured:     Exposures           which:    secured by         of which:      secured by         of which:
                                carrying    secured by         secured        financial        secured            credit         secured
                                 amount       collateral        amount     guarantees           amount       derivatives          amount

1    Loans                     1 269 797     3 708 349       3 017 968                 –                –             –        4 978 146
2    Debt securities                  –               –                –               –                –             –                 –
3    Total                     1 269 797     3 708 349       3 017 968                 –                –             –        4 978 146
4    Of which defaulted               –        362 217         204 806                 –                –             –          362 217
CR4: STANDARDISED APPROACH – CREDIT
RISK EXPOSURE AND CREDIT RISK
MITIGATION (CRM) EFFECTS – Sasfin Bank
Limited level


                                        a              b            c             d          e              f
                                Exposures before CCF         Exposures post-CCF
                                     and CRM                     and CRM              RWA and RWA density
                               On-balance   Off-balance    On-balance   Off-balance
                                    sheet         sheet         sheet         sheet                   RWA
                                  amount        amount        amount        amount        RWA       density
Asset classes
Sovereigns and their
central banks                   2 431 707              –    2 633 780             –      1 126              –
Non-central government
public sector entities            516 790            –        516 794            –      132 512             –
Banks                           1 349 087       20 643        966 483       20 643      285 025             –
Securities firms                   53 129          225         53 129          225       53 354             –
Corporates                      2 779 636      540 841      3 095 304       22 972    2 891 300             –
Regulatory retail portfolios    1 014 119       61 935        985 424        4 731      836 329             –
Other assets                      368 981            –        368 981            –      425 406             –
Total                           8 513 449      623 644      8 619 895       48 571    4 625 052             –
CR5: STANDARDISED APPROACH –
EXPOSURES BY ASSET CLASSES AND RISK
WEIGHTS – Sasfin Bank Limited level

                                               a      b           c     d        e          f          g         h         i               j
                                                                                                                                 Total credit
                                                                                                                                  exposures
                                                                                                                               amount (post
                                                                                                                                   CCF and
Risk weight                                   0%    10%        20%    35%      50%       75%       100%       150%    Others      post-CRM)
Asset classes
         Sovereigns and their
1        central banks                  2 631 528     –          –      –     2 253         –          –          –        –      2 633 781
         Non-central government
2        public sector entities                –      –    479 258      –     1 750         –      35 786         –        –        516 794
3        Banks                                 –      –    987 112      –        14         –           –         –        –        987 126
4        Securities firms                      –      –          –      –         –         –      53 354         –        –         53 354
5        Corporates                      124 383      –          –      –    91 325       554   2 640 428   261 585        –      3 118 275
6        Regulatory retail portfolios          –      –          –      –    83 807   583 885     311 062    11 400    4 907        995 061
7        Other assets                          –      –          –      –         –         –     364 075         –        –              –
8         Total                         2 755 911     –   1 466 370     –   179 149   584 439   3 404 705   272 985    4 907      8 668 466
CCR1: ANALYSIS OF COUNTERPARTY CREDIT
RISK (CCR) EXPOSURE BY APPROACH –
Sasfin Bank Limited level
                                              a            b            c           d            e         f
                                                                                Alpha
                                                                              used for
                                      Replace-      Potential               computing
                                         ment          future               regulatory        EAD
                                          cost      exposure         EEPE         EAD    post-CRM      RWA
1    SA-CCR (for derivatives)          594 431        23 632                        –            –   137 175
     Internal Model Method
2    (for derivatives and SFTs)                                         –           –            –         –
     Simple Approach for credit
3    risk mitigation (for SFTs)                                                                  –         –
     Comprehensive Approach
     for credit risk mitigation
4    (for SFTs)                                                                                  –         –
5    VaR for SFTs                                                                                –         –
6    Total                                                                                           137 175




CCR2: CREDIT VALUATION ADJUSTMENT
(CVA) CAPITAL CHARGE – Sasfin Bank Limited
level

                                                                                             a            b
                                                                                 EAD post-CRM          RWA
Total portfolios subject to the Advanced CVA capital charge                                  –             –
1    (i) VaR component (including the 3x multiplier)                                         –             –
2    (ii) Stressed VaR component (including the 3x multiplier)                               –             –
3    All portfolios subject to the Standardised CVA capital charge                         803         8 457
4    Total subject to the CVA capital charge                                               803         8 457
CCR3: STANDARDISED APPROACH – CCR
EXPOSURES BY REGULATORY PORTFOLIO
AND RISK WEIGHTS – Sasfin Bank Limited level
                                a        b         c       d      e          f         g            h           i
                                                                                                          Total
                                                                                                         credit
Risk weight                   0%       10%      20%      50%    75%     100%      150%         Others exposure
Regulatory portfolio*
Sovereigns                      –        –         –        –     –          –         –            –          –
Non-central
government public
sector entities (PSEs)          –        –         –        –     –          –         –            –          –
Multilateral
development
banks (MDBs)                    –        –         –        –     –          –         –            –          –
Banks                           –        –   345 690   36 914     –                    –            –    382 604
Securities firms                –        –         .        –     –          –         –            –          –
Corporates                      –        –         –        –     –          –         –            –          –
Regulatory retail
portfolios                      –        –         –       –      –    46 547          –            –     46 547
Other assets                    –        –         –       –      –       166          –            –        166
Total                           –        –   345 690   36 914     –    46 713          –            –    429 317




SEC1: SECURITISATION EXPOSURES IN
THE BANKING BOOK – Sasfin Bank Limited level

                                                                         a                 b                   c
                                                                         Bank acts as originator
                                                                Traditional       Synthetic             Sub-total
1       Retail (total) – of which                                       –                  –                   –
2       residential mortgage                                            –                  –                   –
3       credit card                                                     –                  –                   –
4       other retail exposures                                          –                  –                   –
5       re-securitisation                                               –                  –                   –
6       Wholesale (total) – of which                              368 981                  –             368 981
7       loans to corporates                                             –                  –                   –
8       commercial mortgages                                            –                  –                   –
9       lease and receivables                                     368 981                  –             368 981
10      other wholesale                                                 –                  –                   –
11      re-securitisation                                               –                  –                   –
LIQ1: LIQUIDITY COVERAGE RATIO (LCR)
– Sasfin Bank Limited level

                                                                                            a               b
                                                                                         Total           Total
                                                                                   unweighted        weighted
                                                                                         value           value
                                                                                     (average)       (average)
High-quality liquid assets
1    Total HQLA                                                                                        888 025
Cash outflows
2    Retail deposits and deposits from small business customers,
     of which:                                                                        983 822           98 382
3     Stable deposits                                                                       –                –
4     Less stable deposits                                                            983 822           98 382
5    Unsecured wholesale funding, of which:                                         3 512 107        1 164 382
6     Operational deposits (all counterparties) and deposits in networks
      of cooperative banks                                                                  –                –
7     Non-operational deposits (all counterparties)                                 3 512 107        1 164 382
8     Unsecured debt                                                                        –                –
9    Secured wholesale funding                                                                          54 642
10   Additional requirements, of which:                                               623 862           89 046
11    Outflows related to derivative exposures and other collateral requirements       31 718           31 718
12    Outflows related to loss of funding of debt products                                  –                –
13    Credit and liquidity facilities                                                 592 144           57 329
14   Other contractual funding obligations                                            225 447          225 447
15   Other contingent funding obligations                                                   –                –
16   Total cash outflows                                                                             1 631 899
Cash inflows
17   Secured lending (eg reverse repo)                                              1 623 615           54 642
18   Inflows from fully performing exposures                                        1 028 715        1 021 793
19   Other cash inflows                                                                77 624           55 655
20   Total cash inflows                                                             2 729 953        1 132 090
                                                                                     Total adjusted value
21   Total HQLA                                                                                        888 025
22   Total net cash outflows                                                                           499 810
23   Liquidity coverage ratio (%)                                                                      177.7%
LIQ2: NET STABLE FUNDING RATIO (NSFR)
– Sasfin Bank Limited level

                                                      a             b             c            d           e
                                                    Unweighted value by residual maturity
                                                    No                    6 months                  Weighted
                                                maturity* <6 months     to <1 year        >1 year       value
Available stable funding (ASF) item
1    Capital:                                         –             –             –      922 342     922 342
2      Regulatory capital                             –             –             –      922 342     922 342
3      Other capital instruments                      –             –             –            –           –
     Retail deposits and deposits
4    from small business customers:                   –     2 088 804      281 838        51 412    2 184 990
5      Stable deposits                                –             –            –             –            –
6      Less stable deposits                           –     2 088 804      281 838        51 412    2 184 990
7    Wholesale funding:                               –     2 331 983      156 811       382 705    1 383 872
8      Operational deposits                           –       746 681       76 685        31 162      442 844
9      Other wholesale funding                        –     1 585 302       80 126       351 544      941 028
10   Liabilities with matching
     interdependent assets                            –             –            –             –           –
11   Other liabilities:                               –     2 164 893       15 662        59 523      67 354
12     NSFR derivative liabilities
13     All other liabilities and equity not
       included in the above categories                     2 164 893       15 662        59 523      67 354
14   Total ASF                                                                                      4 558 558
Required stable funding (RSF) item
15   Total NSFR high-quality liquid assets
     (HQLA)                                           –             –             –            –    1 725 671
16   Deposits held at other financial
     institutions for operational purposes            –       656 566            –             –      328 283
17   Performing loans and securities:                 –     3 774 921      881 939     3 119 826    3 748 645
18     Performing loans to financial
       institutions secured by Level 1 HQLA           –             –             –            –           –
19     Performing loans to financial
       institutions secured by non-Level 1
       HQLA and unsecured performing
       loans to financial institutions                –        55 692      161 341       323 276     412 301
20     Performing loans to non-financial
       corporate clients, loans to retail and
       small business customers, and loans
       to sovereigns, central banks and
       PSEs, of which:                                –     1 349 576      620 598             –     985 087
21     With a risk weight of less than or
       equal to 35% under the Basel II
       standardised approach for credit risk          –             –             –            –           –
22     Performing residential mortgages,
       of which:                                      –             –             –            –           –
23     With a risk weight of less than or
       equal to 35% under the Basel II
       standardised approach for credit risk          –             –             –            –           –
24     Securities that are not in default and
       do not qualify as HQLA, including
       exchange-traded equities                       –     2 369 654      100 000     2 796 550    2 351 257
LIQ2: NET STABLE FUNDING RATIO (NSFR)
– Sasfin Bank Limited level continued

                                                    a             b             c            d           e
                                                  Unweighted value by residual maturity
                                                  No                    6 months                  Weighted
                                              maturity* <6 months     to <1 year        >1 year       value
26   Other liabilities:                             –             –             –            –      85 060
27   Physical traded commodities,
     including gold                                 –                                                    –
28   Assets posted as initial margin for
     derivative contracts and contributions
     to default funds of CCPs                                     –             –            –           –
29   NSFR derivative assets                                       –             –            –      85 060
30   NSFR derivative liabilities before
     deduction of variation margin posted                         –             –            –           –
31   All other assets not included in the
     above categories                               –             –             –            –           –
32   Off-balance sheet items                                      –             –            –      30 781
33   Total RSF                                                                                    4 192 769
34   Net Stable Funding Ratio (%)                                                                  108.72%
MR1: MARKET RISK UNDER THE
STANDARDISED APPROACH (SA) –
Sasfin Bank level
                                                                                     a
                                                                                Capital
                                                                           charge in SA
General interest rate risk                                                           –
Equity risk                                                                          –
Commodity risk                                                                       –
Foreign exchange risk                                                              495
Credit spread risk – non-securitisations                                             –
Credit spread risk – securitisations (non-correlation trading portfolio)             –
Credit spread risk – securitisation (correlation trading portfolio)                  –
Default risk – non-securitisations                                                   –
Default risk – securitisations (non-correlation trading portfolio)                   –
Default risk – securitisations (correlation trading portfolio)                       –
Residual risk add-on                                                                 –
Total                                                                              495




2 April 2019

SPONSOR:
Sasfin Capital (a member of the Sasfin group)

INDEPENDENT SPONSOR:
Deloitte & Touche Sponsor Services (Pty) Ltd

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