30 Jul - 5 min read

Investec Limited – Basel III disclosures at 30 June 2021

Investec Limited – Basel III disclosures at 30 June 2021

 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                                                   LEI: 2138007Z3U5GWDN3MY22
 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 Financial Conduct Authority and/or the JSE Listing
Requirements.

Accordingly, we advise of the following:

Investec Limited – Basel III disclosures at 30 June 2021

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 2021                                           R'mn               R'mn


 Common equity tier 1 capital                                44,317            43,792

 Additional tier 1 capital                                    2,727             1,936

 Tier 1 capital                                              47,044            45,728

 Tier 2 capital                                              10,405            13,326

 Total regulatory capital                                    57,449            59,054

 Risk-weighted assets per risk type:
 Credit risk                                                260,201           256,442
 Counterparty credit risk                                    11,393            11,393
 Credit valuation adjustment risk                             6,523             6,523
 Equity risk                                                 24,301             9,542
 Market Risk                                                  6,120             3,422
 Operational risk                                            26,832            22,193
 Total risk-weighted assets                                 335,370           309,515

 Total minimum capital requirement                           36,891            34,047

 Capital ratios
 Common equity tier 1 ratio                                  13.2%              14.1%
 Tier 1 ratio                                                14.0%              14.8%
 Total capital adequacy ratio                                17.1%              19.1%




                                                        
Leverage ratio disclosures
                                                            Including unappropriated profits

                                                         Investec Limited*                         IBL*
 As at 30 June 2021                                                       R'mn                    R'mn
 Tier 1 capital                                                       47,044                    45,728
 Total exposure                                                      618,715                   584,373
 Leverage ratio                                                        7.6%                      7.8%




                                                            Excluding unappropriated profits

                                                         Investec Limited*                          IBL*
 As at 30 June 2021                                                       R'mn                    R'mn


 Common equity tier 1 capital                                            41,456                  42,399

 Additional tier 1 capital                                                2,733                   1,937

 Tier 1 capital                                                          44,189                  44,336

 Tier 2 capital                                                          10,467                  13,326

 Total regulatory capital                                                54,656                  57,662

 Risk-weighted assets per risk type:
 Credit risk                                                            259,476                256,126
 Counterparty credit risk                                                11,393                 11,393
 Credit valuation adjustment risk                                         6,523                  6,523
 Equity risk                                                             23,839                  9,542
 Market Risk                                                              6,120                  3,422
 Operational risk                                                        26,862                 22,193
 Total risk-weighted assets                                             334,183                309,199

 Total minimum capital requirement                                       36,760                  34,012

 Capital ratios
 Common equity tier 1 ratio                                              12.4%                   13.7%
 Tier 1 ratio                                                            13.2%                   14.3%
 Total capital adequacy ratio                                            16.4%                   18.6%


Leverage ratio disclosures
                                                           Excluding unappropriated profits

                                                         Investec Limited*                        IBL*
 As at 30 June 2021                                                  R'mn                        R'mn
 Tier 1 capital                                                     44,189                      44,336
 Total exposure                                                    618,315                     584,246
 Leverage ratio                                                      7.1%                        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.

With effect from 1 April 2020, the minimum LCR requirement in South Africa was reduced from 100% to 80%,
until such time as the South African Prudential Authority (PA) is of the view that the financial markets have
normalised post COVID-19. 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 2021:

                                                    IBL (solo basis) – Total                  IBL consolidated group – Total
                                                    weighted value                            weighted value
 High quality liquid assets (HQLA) (R’mn)                                          97,587                                        99,249

 Net cash outflows (R’mn)                                                          65,633                                        62,895

 Actual LCR                                                                       149.3%                                        158.5%

 Required LCR                                                                       80%^                                           80%^

^ - temporarily reduced from 100% by the PA.

The values in the table are calculated as the simple average of 91 calendar daily values over the period 1 April 2021 to 30 June 2021 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 2021 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 2021:

                                                    IBL (solo basis)                          IBL consolidated group

 Actual NSFR                                                                      114.7%                                        116.0%

 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.

30 July 2021
Sponsor: Investec Bank Limited

                                                                    

Date: 30-07-2021 04:00:00
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