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INVESTEC LIMITED - Basel III disclosures at 31 December 2019

Release Date: 03/02/2020 09:00
Code(s): INL INP     PDF:  
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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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