Wrap Text
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
Date: 02/04/2019 05:08:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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