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Basel III disclosures at 31 December 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 31 December 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. 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 31 December 2019 R'mn R'mn
Common equity tier 1 capital 37,098 39,230
Additional tier 1 capital 2,400 920
Tier 1 capital 39,498 40,150
Tier 2 capital 11,824 13,360
Total regulatory capital 51,322 53,510
Risk-weighted assets per risk type:
Credit risk 261,085 258,312
Counterparty credit risk 6,328 6,351
Credit valuation adjustment risk 3,755 4,041
Equity risk 22,614 16,218
Market Risk 4,817 3,198
Operational risk 31,951 21,863
Total risk-weighted assets 330,550 309,983
Total minimum capital requirement 38,134 35,758
Capital ratios
Common equity tier 1 ratio 11.2% 12.7%
Tier 1 ratio 11.9% 13.0%
Total capital adequacy ratio 15.5% 17.3%
Leverage ratio disclosures
Including unappropriated profits
Investec Limited* IBL*
As at 31 December 2019 R'mn R'mn
Tier 1 capital 39,498 40,150
Total exposure 547,539 516,943
Leverage ratio 7.2% 7.8%
Excluding unappropriated profits
Investec Limited* IBL*
As at 31 December 2019 R'mn R'mn
Common equity tier 1 capital 36,739 38,332
Additional tier 1 capital 2,409 920
Tier 1 capital 39,148 39,252
Tier 2 capital 11,941 13,359
Total regulatory capital 51,089 52,611
Risk-weighted assets per risk type:
Credit risk 260,939 258,108
Counterparty credit risk 6,328 6,351
Credit valuation adjustment risk 3,755 4,041
Equity risk 22,614 16,218
Market Risk 4,817 3,198
Operational risk 31,951 21,863
Total risk-weighted assets 330,404 309,779
Total minimum capital requirement 38,117 35,734
Capital ratios
Common equity tier 1 ratio 11.1% 12.4%
Tier 1 ratio 11.8% 12.7%
Total capital adequacy ratio 15.5% 17.0%
Leverage ratio disclosures
Excluding unappropriated profits
Investec Limited* IBL*
As at 31 December 2019 R'mn R'mn
Tier 1 capital 39,148 39,252
Total exposure 547,481 516,861
Leverage ratio 7.2% 7.6%
* 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%, 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 31
December 2019:
IBL (solo basis) – Total IBL consolidated group – Total
weighted value weighted value
High quality liquid assets (HQLA) (R’mn) 89,375 90,712
Net cash outflows (R’mn) 62,358 57,921
Actual LCR 143.6% 157.2%
Required LCR 100% 100%
The values in the table are calculated as the simple average of 92 calendar daily values over the period 1 October 2019 to 31
December 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 October, November and December 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 31 December
2019:
IBL (solo basis) IBL consolidated group
Actual NSFR 113.0% 114.3%
Required NSFR 100% 100%
Further disclosures with respect to Investec Limited’s and Investec Bank Limited’s capital and liquidity will be
provided on the Investec website in due course as required by the relevant regulations.
3 February 2020
Sponsor: Investec Bank Limited
Date: 03-02-2020 09:00:00
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