Basel III disclosures at 31 December 2019
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Investec Limited NSX share code: IVD BSE share code: INVESTEC ISIN: ZAE000081949 |
Investec plc JSE share code: INP |
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 weighted value |
IBL consolidated group - Total 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.
03 February 2020
Sponsor: Investec Bank Limited
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