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Investec Limited – Basel III disclosures at 31 December 2020
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 2020
Capital disclosures
The disclosures below are made with respect to Basel III quarterly disclosure requirements and have been
prepared in line with the Foundation Internal Ratings Based (FIRB) approach. Investec Limited’s application
for conversion to the Advanced Internal Ratings Based (AIRB) approach remains under review by the South
African Prudential Authority (PA). Investec Limited has commenced with its six-month parallel run for certain
AIRB models. Full conversion to AIRB is expected to result in a circa 2% uplift to the CET1 ratio. Investec
Limited continues to hold capital in excess of regulatory requirements and board-approved minimum targets.
Including unappropriated profits
Investec Limited* IBL*
As at 31 December 2020 R'mn R'mn
Common equity tier 1 capital 41,698 42,109
Additional tier 1 capital 2,127 1,040
Tier 1 capital 43,825 43,149
Tier 2 capital 10,460 12,371
Total regulatory capital 54,285 55,520
Risk-weighted assets per risk type:
Credit risk 266,468 262,701
Counterparty credit risk 9,030 9,029
Credit valuation adjustment risk 6,062 6,062
Equity risk 30,717 14,961
Market Risk 5,928 4,841
Operational risk 28,795 22,529
Total risk-weighted assets 347,000 320,123
Total minimum capital requirement 36,435 33,613
Capital ratios
Common equity tier 1 ratio 12.0% 13.2%
Tier 1 ratio 12.6% 13.5%
Total capital adequacy ratio 15.6% 17.3%
Leverage ratio disclosures
Including unappropriated profits
Investec Limited* IBL*
As at 31 December 2020 R'mn R'mn
Tier 1 capital 43,825 43,149
Total exposure 567,335 544,253
Leverage ratio 7.7% 7.9%
Excluding unappropriated profits
Investec Limited* IBL*
As at 31 December 2020 R'mn R'mn
Common equity tier 1 capital 39,245 39,936
Additional tier 1 capital 2,145 1.039
Tier 1 capital 41,390 40,975
Tier 2 capital 10,730 12,371
Total regulatory capital 52,120 53,346
Risk-weighted assets per risk type:
Credit risk 265,664 262,207
Counterparty credit risk 9,030 9,029
Credit valuation adjustment risk 6,062 6,062
Equity risk 30,302 14,961
Market Risk 5,928 4,841
Operational risk 28,795 22,529
Total risk-weighted assets 345,781 319,629
Total minimum capital requirement 36,307 33,561
Capital ratios
Common equity tier 1 ratio 11.3% 12.5%
Tier 1 ratio 12.0% 12.8%
Total capital adequacy ratio 15.1% 16.7%
Leverage ratio disclosures
Excluding unappropriated profits
Investec Limited* IBL*
As at 31 December 2020 R'mn R'mn
Tier 1 capital 41,390 40,975
Total exposure 566,801 544,055
Leverage ratio 7.3% 7.5%
* 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 31
December 2020:
IBL (solo basis) – Total IBL consolidated group – Total
weighted value weighted value
High quality liquid assets (HQLA) (R’mn) 86,019 87,717
Net cash outflows (R’mn) 58,751 56,030
Actual LCR 147.4% 157.6%
Required LCR 80%^ 80%^
^ - temporarily reduced from 100% by the PA.
The values in the table are calculated as the simple average of 92 calendar daily values over the period 1 October 2020 to 31
December 2020 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 2020 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 31 December
2020:
IBL (solo basis) IBL consolidated group
Actual NSFR 110.7% 112.2%
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 January 2021
Sponsor: Investec Bank Limited
Date: 29-01-2021 02:30:00
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