Basel III quarterly disclosures

Investec Limited Incorporated in the Republic of South Africa Registration number 1925/002833/06 JSE share code: INL NSX share code: IVD BSE share code: INVESTEC ISIN: ZAE000081949

Investec plc Incorporated in England and Wales Registration number 3633621 LSE share code: INVP JSE share code: INP ISIN: GB00B17BBQ50

 

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 2018

 

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%. 

 

	Investec Limited*	IBL*º
As at 31 December 2018	R'mn	R'mn
Common equity tier 1 capital	35,874	36,808
Additional tier 1 capital	2,794	963
Tier 1 capital	38,668	37,771
Tier 2 capital	13,023	14,533
Total regulatory capital	51,691	52,304
Risk-weighted assets per risk type:
Credit risk	284,383	280,279
Counterparty credit risk	5,891	6,028
Credit valuation adjustment risk	2,528	2,600
Equity risk	24,957	18,192
Market Risk	4,614	3,746
Operational risk	32,305	22,211
Total risk-weighted assets	354,678	333,056
Total minimum capital requirement	39,507	37,100
Capital ratios
Common equity tier 1 ratio	10.1%	11.1%
Tier 1 ratio	10.9%	11.3%
Total capital adequacy ratio	14.6%	15.7%

 

 

Leverage ratio disclosures

	Investec Limited*	IBL*
As at 31 December 2018	R'mn	R'mn
Tier 1 capital	38,668	37,771
Total exposure	528,427	500,204
Leverage ratio	7.3%	7.6%

 

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

 

º IBL's capital information includes unappropriated profits. If unappropriated profits are excluded from capital information, all IBL's capital ratios would be 23bps lower.

 

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 was 90% for 2018, increasing to 100% from 1 January 2019. This applies to 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 as at 31 December 2018:

 

	IBL (solo basis) - Total weighted value	IBL consolidated group - Total weighted value
High quality liquid assets (HQLA) (R'mn)	80,356	81,386
Net cash outflows (R'mn)	57,883	54,969
Actual LCR	139.2%	148.6%
Required LCR (from 1 January 2019)	100%	100%

 

The values in the table are calculated as the simple average of 92 calendar daily values over the period 1 October 2018 to 31 December 2018 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 2018 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 2018:

 

	IBL (solo basis)	IBL consolidated group
Actual NSFR	110.9%	112.3%
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.

Johannesburg

31 January 2019

Sponsor: Investec Bank Limited