Wrap Text
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
Date: 31/05/2019 02:49:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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