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Investec PLC

Investec PLC - Quarterly Capital Adequacy Disclosure

RNS Number : 6747U
Investec PLC
31 July 2020
 

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 30 June 2020

 

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 30 June 2020

R'mn

R'mn




Common equity tier 1 capital

       40,007

   41,257




Additional tier 1 capital

         1,870

        652




Tier 1 capital

       41,877

   41,909




Tier 2 capital

       10,825

   12,682




Total regulatory capital

       52,702

   54,591




Risk-weighted assets per risk type:



Credit risk

      261,108

 261,741

Counterparty credit risk

         8,745

     8,699

Credit valuation adjustment risk

         2,827

     2,821

Equity risk

       29,864

   14,519

Market Risk

6,530

6,150

Operational risk

       27,777

   22,162

Total risk-weighted assets

      336,851

 316,092




Total minimum capital requirement

       35,369

   33,190




Capital ratios



Common equity tier 1 ratio

11.9%

13.1%

Tier 1 ratio

12.4%

13.3%

Total capital adequacy ratio

15.6%

17.3%

 

 

 

 

 

 

 

 

Leverage ratio disclosures


Including unappropriated profits


Investec Limited*

IBL*

As at 30 June 2020

R'mn

R'mn

Tier 1 capital

41,877

41,909

Total exposure

      590,570

 562,460

Leverage ratio

7.1%

7.5%

 

 

 

 


Excluding unappropriated profits


Investec Limited*

IBL*

As at 30 June 2020

R'mn

R'mn




Common equity tier 1 capital

38,016

39,889




Additional tier 1 capital

1,882

612




Tier 1 capital

39,898

40,501




Tier 2 capital

10,960

12,597




Total regulatory capital

50,858

53,098




Risk-weighted assets per risk type:



Credit risk

260,244

261,327

Counterparty credit risk

8,745

8,699

Credit valuation adjustment risk

2,827

2,821

Equity risk

29,598

14,519

Market Risk

6,530

6,150

Operational risk

27,777

22,162

Total risk-weighted assets

335,721

315,678




Total minimum capital requirement

35,251

33,146




Capital ratios



Common equity tier 1 ratio

11.3%

12.6%

Tier 1 ratio

11.9%

12.8%

Total capital adequacy ratio

15.1%

16.8%

 

 

Leverage ratio disclosures


Excluding unappropriated profits


Investec Limited*

IBL*

As at 30 June 2020

R'mn

R'mn

Tier 1 capital

39,898

40,501

Total exposure

590,163

562,296

Leverage ratio

6.8%

7.2%

 

* 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 2020:

 


IBL (solo basis) - Total weighted value

IBL consolidated group - Total weighted value

High quality liquid assets (HQLA) (R'mn)

82,946

84,633

Net cash outflows (R'mn)

62,198

59,928

Actual LCR

134.4%

142.6%

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 2020 to 30 June 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 April, May and June 2020 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 30 June 2020:

 


IBL (solo basis)

IBL consolidated group

Actual NSFR

117.4%

118.5%

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.

 

31 July 2020

Sponsor: Investec Bank Limited


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