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SASFIN HOLDINGS LIMITED - Basel III disclosure - March 2019

Release Date: 31/05/2019 14:49
Code(s): SFNP SFN     PDF:  
 
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Basel III disclosure - March 2019

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 MARCH 2019
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 March 2019 are disclsoed in this report.
CAPITAL MANAGEMENT
KM1: KEY METRICS – Sasfin Holdings Limited

                                                            a            b             c           d            e
                                                       Mar-19       Dec-18       Sep-18       Jun-18       Mar-18
                                                            T          T-1          T-2          T-3          T-4
Available capital (amounts)
1    Common Equity Tier 1 (CET1)                     1 330 945    1 344 935    1 290 756    1 470 934    1 470 810
1a Fully loaded ECL accounting model                 1 330 945    1 344 935    1 290 756            –            –
2    Tier 1                                          1 387 371    1 420 169    1 365 989    1 546 166    1 546 044
2a Fully loaded accounting model Tier 1              1 387 371    1 420 169    1 365 989            –            –
3    Total capital                                   1 466 785    1 499 081    1 433 741    1 581 082    1 564 265
3a Fully loaded ECL accounting model
     total capital                                   1 466 785    1 499 081    1 433 741            –            –
Risk-weighted assets (amounts)
4    Total risk-weighted assets (RWA)                9 194 401    9 096 892    8 968 386    9 739 147    9 188 479
Risk-based capital ratios as a percentage
of RWA
5    Common Equity Tier 1 ratio (%)                   14,476%      14,785%      14,392%      15,103%      16,007%
5a   Fully loaded ECL accounting model
     CET1 (%)                                         14,476%      14,785%            0            –            –
6    Tier 1 ratio (%)                                 15,089%      15,612%      15,231%      15,876%      16,826%
6a   Fully loaded ECL accounting model Tier 1
     ratio (%)                                        15,089%      15,612%            0             -           –
7    Total capital ratio (%)                          15,953%      16,479%      15,987%      16,234%      17,024%
7a   Fully loaded ECL accounting model total
     capital ratio (%)                                15,953%      16,479%            0             –            –
Additional CET1 buffer requirements as a
percentage of RWA
8    Capital conservation buffer requirement
     (2.5% from 2019) (%)                              2,500%       1,875%       1,875%       1,875%       1,875%
9    Countercyclical buffer requirement (%)                0%           0%           0%           0%           0%
10 Bank D-SIB additional requirements (%)                  0%           0%           0%           0%           0%
11 Total of bank CET1 specific buffer
     requirements (%) (row 8 + row 9+ row 10)          2,500%       1,875%       1,875%       1,875%       1,875%
12 CET1 available after meeting the bank's
     minimum capital requirements (%)                   6,10%        6,41%        6,02%        6,73%        7,76%
Basel III Leverage Ratio
13 Total Basel III leverage ratio measure           11 481 774   12 728 982   13 022 234   14 359 382   13 907 040
14 Basel III leverage ratio (%) (row 2/row 13)         12,08%       11,16%       10,91%        9,51%       11,12%
14a Fully loaded ECL accounting model
     Basel III leverage ratio (%) (row 2A/row 13)      12,08%       11,16%       10,91%        9,51%        0,00%
CAPITAL MANAGEMENT
KM1: KEY METRICS – Sasfin Bank Limited

                                                           a            b             c           d            e
                                                      Mar-19       Dec-18       Sep-18       Jun-18       Mar-18
                                                           T          T-1          T-2          T-3          T-4
Available capital (amounts)
1    Common Equity Tier 1 (CET1)                     851 603      856 982      885 854      934 416      956 118
1a Fully loaded ECL accounting model                 851 603      856 982      885 854            –            –
2    Tier 1                                          851 603      856 982      885 854      934 416      956 118
2a Fully loaded accounting model Tier 1              851 603      856 982      885 854            –            –
3    Total capital                                   912 232      914 795      949 339      958 148      971 088
3a Fully loaded ECL accounting model
     total capital                                   912 232      914 795      949 339             –            –
Risk-weighted assets (amounts)
4    Total risk-weighted assets (RWA)               6 155 586    5 936 466    6 063 420    6 733 325    6 219 936
Risk-based capital ratios as a percentage
of RWA
5    Common Equity Tier 1 ratio (%)                  13,835%      14,436%      14,610%      13,877%      15,372%
5a Fully loaded ECL accounting model
     CET1 (%)                                        13,835%      14,436%            0            –            –
6    Tier 1 ratio (%)                                13,835%      14,436%      14,610%      13,877%      15,372%
6a Fully loaded ECL accounting model Tier 1
     ratio (%)                                       13,835%      14,436%            0            –            -–
7    Total capital ratio (%)                         14,820%      15,410%      15,657%      14,230%      15,613%
7a Fully loaded ECL accounting model total
     capital ratio (%)                               14,820%      15,410%            0             –            –
Additional CET1 buffer requirements as a
percentage of RWA
8    Capital conservation buffer requirement
     (2.5% from 2019) (%)                             2,500%       1,875%       1,875%       1,875%       1,875%
9    Countercyclical buffer requirement (%)               0%           0%           0%           0%           0%
10 Bank D-SIB additional requirements (%)                 0%           0%           0%           0%           0%
11 Total of bank CET1 specific buffer
     requirements (%) (row 8 + row 9+ row 10)         2,500%       1,875%       1,875%       1,875%       1,875%
12 CET1 available after meeting the bank's
     minimum capital requirements (%)                  5,46%        6,06%        6,23%        5,50%        7,12%
Basel III Leverage Ratio
13 Total Basel III leverage ratio measure           8 773 525   12 728 982   13 022 234   14 359 382   13 907 040
14 Basel III leverage ratio (%) (row 2/row 13)         9,71%       11,16%       10,91%        9,51%       11,12%
14a Fully loaded ECL accounting model
     Basel III leverage ratio (%) (row 2A/row 13)      9,71%       11,16%       10,91%        9,51%        0,00%
Liquidity Coverage Ratio
15 Total HQLA                                       1 406 002    1 164 161     830 415      669 498      743 380
16 Total net cash outflow                           1 120 189      922 954     605 569      405 603      377 798
17 LCR ratio (%)                                        126%         126%        134%         165%         197%
Net Stable Funding Ratio
18 Total available stable funding                   4 634 974    4 558 558    4 509 473    4 649 626    5 082 731
19 Total required stable funding                    3 925 417    4 192 769    4 465 095    4 625 016    4 420 682
20 NSFR ratio (%)                                       118%         109%         101%         101%         115%
OV1: OVERVIEW OF RWA – Sasfin Holdings
Limited


                                                                             Sasfin Holdings Limited
                                                                             a                 b                c
                                                                                                        Minimum
                                                                                                           capital
                                                                                  RWA               requirements
                                                                        Mar-19            Dec-18          Mar-19
                                                                             T               T-1                T
1    Credit risk (excluding counterparty credit risk)                 5 897 593         5 750 385        648 735
2      Of which: standardised approach (SA)                           5 897 593         5 750 385        648 735
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)                                     38 067           128 718           4 187
7      Of which: standardised approach for counterparty credit risk     38 067           128 718           4 187
8      Of which: Internal Model Method (IMM)                                 –                 –               –
9      Of which: other CCR                                                   –                 –               –
10   Credit valuation adjustment (CVA)                                   5 338             8 457             587
11   Equity positions under the simple risk weight approach            894 791           851 536          98 427
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                      416 668           425 406          45 833
17     Of which: securitisation internal ratings-based approach
       (SEC-IRBA)                                                             –                 –               –
18     Of which: securitisation external ratings-based approach
       (SEC-ERBA), including internal assessment approach                    –                 –               –
19     Of which: securitisation standardised approach (SEC-SA)         416 668           425 406          45 833
20   Market risk                                                       205 527           204 640          22 608
21     Of which: standardised approach (SA)                            205 527           204 640          22 608
22     Of which: internal model approaches (IMA)                             –                 –               –
23   Capital charge for switch between trading book and
     banking book                                                             –                 –              –
24   Operational risk                                                 1 441 795         1 441 795        158 597
25   Amounts below thresholds for deduction (subject to 250%
     risk weight)                                                       88 133            84 970           9 695
26   Aggregate capital floor applied                                   206 489           200 985          22 714
27   Floor adjustment (before application of transitional cap)               –                 –               –
28   Floor adjustment (after application of transitional cap)                –                 –               –
29   Total (1+6+10+11+12+13+14+15+16+20+23+24+25+28)                  9 194 401         9 096 892      1 011 384
LR1: SUMMARY COMPARISON OF ACCOUNTING
ASSETS VS LEVERAGE RATIO EXPOSURE
MEASURE – Sasfin Group level
                                                                                                             a
1   Total consolidated assets as per published financial statements                                13 755 906
2   Adjustments for investments in banking, financial, insurance or commercial entities that are
    consolidated for accounting purposes but outside the scope of regulatory consolidation                   –
3   Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative
    accounting framework but excluded from the leverage ratio exposure measure                              –
4   Adjustments for derivative financial instruments                                                  110 796
5   Adjustment for securities financing transactions (ie repos and similar secured lending)                 –
6   Adjustments for off-balance sheet items (ie conversion to credit equivalent amounts of
    off-balance sheet exposures)                                                                       102 692
7   Other adjustments                                                                               (2 487 620)
8   Leverage ratio exposure measure                                                                11 481 774
LR2: LEVERAGE RATIO COMMON DISCLOSURE
TEMPLATE – Sasfin Group level

                                                                                               a            b
                                                                                          Mar-19       Dec-18
                                                                                               T          T-1
On-balance sheet exposures
1   On-balance sheet exposures (excluding derivatives and securities financing
    transactions (SFTs), but including collateral)                                     11 268 286   10 460 136
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)                                                              11 268 286   10 460 136
Derivative exposures
4    Replacement cost associated with all derivatives transactions (where applicable
     net of eligible cash variation margin and/or with bilateral netting)                107 847      390 498
5    Add-on amounts for PFE associated with all derivatives transactions                  36 850       38 819
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)                                    144 697      429 317
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                                   102 692      109 676
18 (Adjustments for conversion to credit equivalent amounts)                                   –            –
19   Off-balance sheet items (sum of rows 17 and 18)                                     102 692      109 676
Capital and total exposures
20 Tier 1 capital                                                                       1 387 371    1 420 169
21   Total exposures (sum of rows 3, 11, 16 and 19)                                    11 481 774   12 728 982
Leverage ratio
22 Basel III leverage ratio                                                               12,08%       11,16%
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                                                                                      1 133 526
Cash outflows
2    Retail deposits and deposits from small business customers, of which:          1 173 289          117 329
3     Stable deposits                                                                       –                –
4     Less stable deposits                                                          1 173 289          117 329
5    Unsecured wholesale funding, of which:                                         3 308 004        1 185 511
6     Operational deposits (all counterparties) and deposits in networks of
      cooperative banks                                                                     –                –
7     Non-operational deposits (all counterparties)                                 3 308 004        1 185 511
8     Unsecured debt                                                                        –                –
9    Secured wholesale funding                                                                          54 955
10   Additional requirements, of which:                                               579 590           74 298
11    Outflows related to derivative exposures and other collateral requirements       20 273           20 273
12    Outflows related to loss of funding of debt products                                  –                –
13    Credit and liquidity facilities                                                 559 317           54 025
14   Other contractual funding obligations                                            254 949          254 949
15   Other contingent funding obligations                                                   –                –
16   TOTAL CASH OUTFLOWS                                                                             1 687 042
Cash inflows
17   Secured lending (eg reverse repo)                                              1 772 366           54 955
18   Inflows from fully performing exposures                                          707 717          700 587
19   Other cash inflows                                                                67 457           44 379
20   TOTAL CASH INFLOWS                                                             2 547 540          799 921
                                                                                     Total adjusted value
21   Total HQLA                                                                                      1 133 526
22   Total net cash outflows                                                                           887 121
23   Liquidity coverage ratio (%)                                                                      127,8%




31 May 2019

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

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

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