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INVESTEC LIMITED - Basel III disclosures at 30 June 2019

Release Date: 01/08/2019 09:00
Code(s): INL INP     PDF:  
 
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Basel III disclosures at 30 June 2019

Investec Limited                                                     Investec plc
Incorporated in the Republic of South Africa                         Incorporated in England and Wales
Registration number 1925/002833/06                                   Registration number 3633621
JSE share code: INL                                                  LSE share code: INVP
NSX share code: IVD                                                  JSE share code: INP
BSE share code: INVESTEC                                             ISIN: GB00B17BBQ50
ISIN: ZAE000081949

As part of the dual listed company structure, Investec plc and Investec Limited notify both the London Stock
Exchange and the JSE Limited of matters which are required to be disclosed under the Disclosure Guidance,
Transparency Rules (DTR) and Listing Rules of the United Kingdom Listing Authority (the “UKLA”) and/or the
JSE Listing Requirements.

Accordingly, we advise of the following:

Investec Limited – Basel III disclosures at 30 June 2019

Capital disclosures
The disclosures below are made with respect to Basel III quarterly disclosure requirements. Investec Limited
holds capital in excess of regulatory requirements targeting a minimum common equity tier one capital ratio
above 10% and a total capital adequacy ratio range of 14% to 17%. Effective 1 April 2019, Investec Limited
and Investec Bank Limited adopted the Foundation Internal Ratings Based (FIRB) approach for calculating
regulatory capital. As such the below capital disclosures have been prepared on this basis.

                                                 Including unappropriated profits

                                               Investec Limited*                    IBL*
As at 30 June 2019                                           R'mn               R'mn


Common equity tier 1 capital                                38,366            38,177

Additional tier 1 capital                                   2,374                920

Tier 1 capital                                              40,740            39,097

Tier 2 capital                                              11,842            14,688

Total regulatory capital                                    52,582            53,785

Risk-weighted assets per risk type:
Credit risk                                             245,145              242,547
Counterparty credit risk                                  5,716                5,805
Credit valuation adjustment risk                          3,817                3,832
Equity risk                                              23,232               16,111
Market Risk                                               4,848                3,209
Operational risk                                         31,617               21,939
Total risk-weighted assets                              314,375              293,443

Total minimum capital requirement                           36,239            33,832

Capital ratios
Common equity tier 1 ratio                                  12.2%              13.0%
Tier 1 ratio                                                13.0%              13.3%
Total capital adequacy ratio                                16.7%              18.3%




                                                        
Leverage ratio disclosures
                                                          Including unappropriated profits

                                                       Investec Limited*                          IBL*
As at 30 June 2019                                                      R'mn                     R'mn
Tier 1 capital                                                      40,740                     39,097
Total exposure                                                     533,877                    506,343
Leverage ratio                                                       7.6%                       7.7%




                                                          Excluding unappropriated profits

                                                        Investec Limited*                         IBL*
As at 30 June 2019                                                      R'mn                     R'mn


Common equity tier 1 capital                                         36,703                    37,040

Additional tier 1 capital                                               2,389                      920

Tier 1 capital                                                       39,092                    37,960

Tier 2 capital                                                       12,042                    14,688

Total regulatory capital                                             51,134                    52,648

Risk-weighted assets per risk type:
Credit risk                                                        244,469                    242,288
Counterparty credit risk                                             5,716                      5,805
Credit valuation adjustment risk                                     3,817                      3,832
Equity risk                                                         23,232                     16,111
Market Risk                                                          4,848                      3,209
Operational risk                                                    31,617                     21,939
Total risk-weighted assets                                         313,699                    293,184

Total minimum capital requirement                                    36,161                    33,802

Capital ratios
Common equity tier 1 ratio                                              11.7%                   12.6%
Tier 1 ratio                                                            12.5%                   12.9%
Total capital adequacy ratio                                            16.3%                   18.0%


Leverage ratio disclosures
                                                          Excluding unappropriated profits

                                                       Investec Limited*                         IBL*
As at 30 June 2019                                                 R'mn                         R'mn
Tier 1 capital                                                    39,092                       37,960
Total exposure                                                   533,607                      506,240
Leverage ratio                                                     7.3%                         7.5%

* Where: IBL is Investec Bank Limited consolidated. The information for Investec Limited includes the information for IBL.



                                                                    
Liquidity disclosures

Liquidity coverage ratio (LCR)
The objective of the LCR is to promote the short-term resilience of the liquidity risk profile of banks by
ensuring that they have sufficient high quality liquid assets to survive a significant stress scenario lasting 30
calendar days.

The minimum LCR requirement in South Africa is 100% as of 1 January 2019, for both Investec Bank
Limited (IBL) (solo basis) and Investec Bank Limited (IBL) consolidated group.

In accordance with the provisions of section 6(6) of the South African Banks Act 1990 (Act No. 94 of 1990),
banks are directed to comply with the relevant LCR disclosure requirements. This disclosure is in
accordance with Pillar 3 of the Basel III liquidity accord, as specified by BCBS d400 (2017) and Directive
D1/2018.

The following table sets out the LCR for IBL (solo basis) and IBL consolidated group for the quarter ending
30 June 2019:

                                                    IBL (solo basis) – Total                  IBL consolidated group – Total
                                                    weighted value                            weighted value
High quality liquid assets (HQLA) (R’mn)                                           95,588                                          96,749

Net cash outflows (R’mn)                                                           67,773                                          65,788

Actual LCR                                                                        141.4%                                          147.4%

Required LCR                                                                        100%                                            100%


The values in the table are calculated as the simple average of 91 calendar daily values over the period 1 April 2019 to 30 June 2019 for
IBL (solo basis). IBL consolidated group values use daily values for IBL (solo basis), while those for other group entities use the average
of April, May and June 2019 month-end values.

Net stable funding ratio (NSFR)
The objective of the NSFR is to promote the resilience in the banking sector by requiring banks to maintain a
stable funding profile in relation to the composition of their assets and off-balance sheet activities on an
ongoing structural basis. By ensuring that banks do not embark on excessive maturity transformation that is
not sustainable, the NSFR is intended to reduce the likelihood that disruptions to a bank's funding sources
would erode its liquidity position, increasing its risk of failure and potentially lead to broader systemic risk.

The minimum NSFR requirement in South Africa is 100%. This applies to both IBL (solo basis) and IBL
consolidated group.

In accordance with the provisions of section 6(6) of the South African Banks Act 1990 (Act No. 94 of 1990),
banks are directed to comply with the relevant NSFR disclosure requirements. This disclosure is in
accordance with Pillar 3 of the Basel III liquidity accord, as specified by Directive 11/2015 and Directive
01/2018.

The following table sets out the NSFR for IBL (solo basis) and IBL consolidated group as at 30 June 2019:

                                                    IBL (solo basis)                          IBL consolidated group

Actual NSFR                                                                       112.7%                                          114.0%

Required NSFR                                                                       100%                                            100%



Further disclosures with respect to Investec Limited’s and Investec Bank Limited’s capital and liquidity is
provided on the Investec website as required by the relevant regulations.

01 August 2019
Sponsor: Investec Bank Limited
                                                                    

Date: 01/08/2019 09:00:00
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