SASFIN HOLDINGS LIMITED SASFIN HOLDINGS LIMITED
(Incorporated in the Republic of South Africa) Registration Number 1987/002097/06)
Ordinary share code: SFN ISIN: ZAE000006565 Preference share code: SFNP ISIN: ZAE000060273 ("The Group")
SASFIN HOLDINGS LIMITED / SASFIN BANK LIMITED CAPITAL ADEQUACY - QUARTERLY REPORT 31 March 2017Sasfin Holdings Limited | Sasfin Bank Limited and Subsidiaries | Sasfin Bank Limited | |||||||
R'000 | R'000 | R'000 | R'000 | R'000 | R'000 | R'000 | R'000 | R'000 | |
Risk weighted assets | Risk weighted assets | Minimum capital requirements * | Risk weighted assets | Risk weighted assets | Minimum capital requirements * | Risk weighted assets | Risk weighted assets | Minimum capital requirements * | |
Risk weighted assets | March 2017 (T) | December 2016 (T-1) | March 2017 (T) | March 2017 (T) | December 2016 (T-1) | March 2017 (T) | March 2017 (T) | December 2016 (T-1) | March 2017 (T) |
Overview of Risk weighted assets | |||||||||
Credit risk (excluding counterparty credit risk) (CCR) | 5 787 940 | 5 610 184 | 622 204 | 5 027 599 | 4 874 822 | 540 467 | 4 517 062 | 4 335 318 | 485 584 |
Of which standardised approach (SA) | 5 787 940 | 5 610 184 | 622 204 | 5 027 599 | 4 874 822 | 540 467 | 4 517 062 | 4 335 318 | 485 584 |
Of which internal rating-based (IRB) approach | - | - | - | - | - | - | |||
Counterparty credit risk | 71 563 | 94 903 | 7 693 | 71 563 | 94 903 | 7 693 | 66 089 | 87 619 | 7 105 |
Of which standardised approach for counterparty credit risk (SA-CCR) | 71 563 | 94 903 | 7 693 | 71 563 | 94 903 | 7 693 | 66 089 | 87 619 | 7 105 |
Of which internal model method (IMM) | - | - | - | - | - | - | - | - | - |
Equity positions in banking book under market- based approach | - | - | - | - | - | - | - | - | - |
Equity investments in funds - look-through approach | - | - | - | - | - | - | - | - | - |
Equity investments in funds - mandate-based approach | - | - | - | - | - | - | - | - | - |
Equity investments in funds - fall back approach | - | - | - | - | - | - | - | - | - |
Settlement risk | - | - | - | - | - | - | - | - | - |
Securitisation exposures in banking book | 341 094 | 348 245 | 36 668 | 341 094 | 348 245 | 36 668 | 341 094 | 348 245 | 36 668 |
Of which IRB ratings-based approach (RBA) | - | - | - | - | - | - | - | - | - |
Of which IRB Supervisory Formula Approach (SFA) | - | - | - | - | - | - | - | - | - |
Of which SA/simplified supervisory formula approach (SSFA) | 341 094 | 348 245 | 36 668 | 341 094 | 348 245 | 36 668 | 341 094 | 348 245 | 36 668 |
Market risk | 44 355 | 47 306 | 4 768 | 44 355 | 47 306 | 4 768 | 2 857 | 3 634 | 307 |
Of which standardised approach (SA) | 44 355 | 47 306 | 4 768 | 44 355 | 47 306 | 4 768 | 2 857 | 3 634 | 307 |
Of which internal model approaches (IMM) | - | - | - | - | - | - | - | - | - |
Operational risk | 1 289 913 | 1 289 913 | 138 666 | 807 387 | 807 387 | 86 794 | 607 948 | 607 948 | 65 354 |
Of which Basic Indicator Approach | 1 289 913 | 1 289 913 | 138 666 | 807 387 | 807 387 | 86 794 | 607 948 | 607 948 | 65 354 |
Of which standardised approach | - | - | - | - | - | - | - | - | - |
Of which Advanced Measurement Approach | - | - | - | - | - | - | - | - | - |
Amounts below the thresholds for deduction (subject to 250% risk weight) | 399 682 | 401 373 | 42 966 | 290 041 | 289 383 | 31 179 | - | - | - |
Floor adjustment | 402 759 | 386 401 | 43 297 | 316 692 | 321 525 | 34 044 | 222 249 | 231 845 | 23 892 |
Total | 8 337 306 | 8 178 325 | 896 262 | 6 898 731 | 6 783 571 | 741 613 | 5 757 299 | 5 614 609 | 618 910 |
* The minimum capital requirement per risk category is 10.750% which comprises the Base minimum (8.000%) plus the Pillar 2A systemic risk Add-on (1.500%) plus the Capital
Conservation Buffer (CCB) (1.250%).
R'000 | R'000 | R'000 | R'000 | R'000 | R'000 | |
March 2017 (T) | December 2016 (T-1) | March 2017 (T) | December 2016 (T-1) | March 2017 (T) | December 2016 (T-1) | |
Qualifying capital and reserves | ||||||
Tier 1 capital | 1 439 385 | 1 466 746 | 1 140 167 | 1 137 274 | 945 044 | 956 679 |
Common equity tier 1 capital | 1 345 342 | 1 353 894 | 1 140 167 | 1 137 274 | 945 044 | 956 679 |
Share capital and premium | 144 327 | 144 327 | 463 476 | 463 476 | 463 476 | 463 476 |
Distributable reserves and other | 1 153 519 | 1 150 068 | 631 473 | 617 388 | 410 995 | 410 998 |
Prescribed deductions and non-qualifying reserves | 58 944 | 70 169 | 65 214 | 76 669 | 70 573 | 82 205 |
Intragroup investments | -11 448 | -10 670 | -19 996 | -20 259 | - | - |
Additional tier 1 capital | ||||||
Non-redeemable preference share capital | 94 043 | 112 852 | - | - | - | - |
Tier 2 capital | 25 577 | 31 724 | 28 432 | 36 731 | 24 827 | 33 570 |
Sub-ordinated debt | 6 140 | 12 982 | 8 995 | 17 989 | 8 995 | 17 989 |
General allowance for credit impairment | 19 437 | 18 742 | 19 437 | 18 742 | 15 832 | 15 581 |
Total qualifying capital and reserves | 1 464 962 | 1 498 470 | 1 168 599 | 1 174 005 | 969 871 | 990 249 |
Minimum required capital and reserves | 896 262 | 848 500 | 741 613 | 703 795 | 618 910 | 582 517 |
Capital adequacy ratios | ||||||
Tier 1 capital (%) | 17.264 | 17.935 | 16.527 | 16.765 | 16.415 | 17.039 |
Common equity tier 1 (%) | 16.136 | 16.555 | 16.527 | 16.765 | 16.415 | 17.039 |
Additional tier 1 (%) | 1.128 | 1.380 | 0.000 | 0.000 | 0.000 | 0.000 |
Tier 2 capital (%) | 0.307 | 0.388 | 0.412 | 0.541 | 0.431 | 0.598 |
Total capital adequacy ratio (%) | 17.571 | 18.323 | 16.939 | 17.306 | 16.846 | 17.637 |
Minimum required capital adequacy ratio (%) | 10.750 | 10.375 | 10.750 | 10.375 | 10.750 | 10.375 |
Leverage and liquidity coverage | ||||||
Total Exposures for Leverage disclosure | 12 357 405 | 11 694 980 | 10 518 313 | 9 856 123 | 7 797 907 | 6 995 420 |
Leverage ratio (Total Tier 1 capital / Total exposures) (%) | 11.648 | 12.542 | 10.840 | 11.539 | 12.119 | 13.676 |
Minimum required Leverage Ratio (%) | 4.000 | 4.000 | 4.000 | 4.000 | 4.000 | 4.000 |
Liquidity coverage ratio (%) | 137 | 279 | ||||
Benchmark liquidity coverage ratio (%) | 80 | 70 | ||||
Risk weighted assets flow statements of credit risk exposures under IRB
Sasfin does not use the internal ratings based, but rather the standardised approach, in the calculation of credit risk-weighted assets. This template is therefore not completed.
Risk weighted assets flow statements of CCR exposures under Internal Model Method (IMM)
Sasfin does not use an internal model method, but rather the standardised approach, in the calculation of counterparty credit risk. This template is therefore not completed.
Risk weighted assets flow statements of market risk exposures under an IMA
Sasfin does not use an internal model approach, but rather the standardised approach, for its market risk exposures. This template is therefore not completed.
30 May 2017
Johannesburg
Lead Sponsor
Sasfin Capital (a division of Sasfin Bank Limited)
Independent Sponsor KPMG Services (Pty) Ltd
Sasfin Holdings Limited published this content on 30 May 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 30 May 2017 09:14:20 UTC.
Original documenthttps://www.sasfin.com/media/11320/quarterly-report-march-2017.pdf
Public permalinkhttp://www.publicnow.com/view/B29195009503A67D33B1760056A222F4279697D0
