REG - Investec PLC - Investec Ltd Basel III disclosures at 30 June 2022

InvestecAnnouncement

29/07/2022 12:00

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RNS Number : 2712U  Investec PLC  29 July 2022

 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

 JSE Hybrid code: INPR                          JSE share code: INP

ISIN: GB00B17BBQ50
 JSE debt code: INLV

                                              LEI: 2138007Z3U5GWDN3MY22
 NSX share code: IVD

 BSE share code: INVESTEC

 ISIN: ZAE000081949

 LEI: 213800CU7SM6O4UWOZ70

 

 

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 2022

 

Capital disclosures

Investec Limited calculates capital resources and requirements at a group
level using the Basel III framework, as implemented in South Africa by the
South African Prudential Authority, in accordance with the Bank's Act and all
related regulations. Investec Limited continues to hold capital in excess of
regulatory requirements and board-approved minimum targets.

 

                                      Including unappropriated profits
                                      Investec Limited*       IBL*
 As at 30 June 2022                   R'mn                    R'mn

 Common equity tier 1 capital                44,765              44,672

 Additional tier 1 capital                     3,065                  2,560

 Tier 1 capital                              47,830              47,232

 Tier 2 capital                              6,575               5,395

 Total regulatory capital                    54,405              52,627

 Risk-weighted assets per risk type:
 Credit risk                                245,952            229,492
 Counterparty credit risk                      7,161               7,721
 Credit valuation adjustment risk              2,731               3,048
 Equity risk                          16,492                     12,072
 Market Risk                          4,473                   3,617
 Operational risk                            28,774              23,845
 Total risk-weighted assets                 305,583            279,795

 Total minimum capital requirement           36,670              33,575

 Capital ratios
 Common equity tier 1 ratio           14.6%                   16.0%
 Tier 1 ratio                         15.7%                   16.9%
 Total capital adequacy ratio         17.8%                   18.8%

 

 

 

 

 

 

Leverage ratio disclosures

                     Including unappropriated profits
                     Investec Limited*   IBL*
 As at 30 June 2022  R'mn                R'mn
 Tier 1 capital      47,830              47,232
 Total exposure            634,297        594,783
 Leverage ratio      7.5%                7.9%

 

 

 

 

                                      Excluding unappropriated profits
                                      Investec Limited*  IBL*
 As at 30 June 2022                   R'mn               R'mn

 Common equity tier 1 capital         43,206             44,133

 Additional tier 1 capital            3,066              2,560

 Tier 1 capital                       46,272             46,693

 Tier 2 capital                       6,581              5,395

 Total regulatory capital             52,853             52,088

 Risk-weighted assets per risk type:
 Credit risk                          245,598            229,492
 Counterparty credit risk             7,161              7,721
 Credit valuation adjustment risk     2,731              3,048
 Equity risk                          16,492             12,072
 Market Risk                          4,473              3,617
 Operational risk                     28,774             23,845
 Total risk-weighted assets           305,229            279,795

 Total minimum capital requirement    36,627             33,575

 Capital ratios
 Common equity tier 1 ratio           14.2%              15.8%
 Tier 1 ratio                         15.2%              16.7%
 Total capital adequacy ratio         17.3%              18.6%

 

 

Leverage ratio disclosures

                     Excluding unappropriated profits
                     Investec Limited*  IBL*
 As at 30 June 2022  R'mn               R'mn
 Tier 1 capital      46,272             46,693
 Total exposure      634,156            594,783
 Leverage ratio      7.3%               7.9%

 

* 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.

 

With effect from 1 April 2020, the minimum LCR requirement in South Africa was
reduced from 100% to 80%. As the PA is now of the view that this relief
measure is no longer necessary, the minimum LCR requirement has been revised
back to 100% from 1 April 2022. This applies 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 2022:

 

                                           IBL (solo basis) - Total weighted value  IBL consolidated group - Total weighted value
 High quality liquid assets (HQLA) (R'mn)  107,488                                  112,410
 Net cash outflows (R'mn)                  74,320                                   76,249
 Actual LCR                                145.2%                                   148.1%
 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 2022 to 30 June 2022 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
2022 month-end values.

 

Net stable funding ratio (NSFR)

The objective of the NSFR is to promote the resilience of 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, increase 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 2022:

 

                IBL (solo basis)  IBL consolidated group
 Actual NSFR    113.9%            114.1%
 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.

 

29 July 2022

Sponsor: Investec Bank Limited

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