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Investec PLC (INVP)

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Friday 29 January, 2021

Investec PLC

Investec Limited Capital Disclosures

RNS Number : 3933N
Investec PLC
29 January 2021
 

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 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 weighted value

IBL consolidated group - Total 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

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