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

Investec (comprising Investec plc and Investec Limited) - Basel III disclosures at 30 June 2017

28 July 2017

Capital disclosures

The disclosures below are made with respect to Basel III quarterly disclosure requirements. The group holds capital in excess of regulatory requirements targeting a minimum common equity tier one capital ratio above 10% and a total capital adequacy ratio range of 14% to 17% on a consolidated basis for each of Investec plc and Investec Limited.

Investec plc*^

IBP*^

Investec Limited*º

IBL*º

As at 30 June 2017

GBP 'mn

GBP 'mn

R'mn

R'mn

Common equity tier 1 capital

1,557

1,575

33,583

34,465

Additional tier 1 capital

24

-

2,911

767

Tier 1 capital

1,581

1,575

36,494

35,232

Tier 2 capital

468

531

12,402

15,407

Total regulatory capital

2,049

2,106

48,896

50,639

Risk-weighted assets per risk type:

Credit risk

9,959

9,725

249,934

246,032

Counterparty credit risk

541

549

5,484

5,548

Credit valuation adjustment risk

74

75

1,632

1,632

Equity risk

79

80

47,851

46,045

Market Risk

1,063

1,033

4,681

4,291

Operational risk

2,087

1,656

30,486

20,499

Total risk-weighted assets

13,803

13,118

340,068

324,047

Total minimum capital requirement

1,104

1,049

36,557

34,835

Capital ratios

Common equity tier 1 ratio

11.3%

12.0%

9.9%

10.6%

Tier 1 ratio

11.5%

12.0%

10.7%

10.9%

Total capital ratio

14.8%

16.1%

14.4%

15.6%

Leverage ratio disclosures

Investec plc*^

IBP*^

Investec Limited*

IBL*

As at 30 June 2017

GBP 'mn

GBP 'mn

R'mn

R'mn

Tier 1 capital

1,581

1,575

36,494

35,232

Total exposure

20,242

20,053

471,559

445,879

Leverage ratio

7.8%

7.9%

7.7%

7.9%

* Where: IBP is Investec Bank plc consolidated and IBL is Investec Bank Limited consolidated. The information for Investec plc includes the information for IBP. The information for Investec Limited includes the information for IBL.

^ The capital adequacy disclosures follow Investec's normal basis of presentation so as to show a consistent basis of calculation across the jurisdictions in which the group operates. For Investec plc and IBP this does not include the deduction of foreseeable dividends when calculating CET1 capital as required under the Capital Requirements Regulation and EBA technical standards and in line with Investec's normal basis of presentation includes unaudited profits for the current quarter.

º Investec Limited's and IBL's capital information includes unappropriated profits. If unappropriated profits are excluded from capital information, all Investec Limited's capital ratios would be 46bps lower and IBL's capital ratios would be 20 bps lower.

Liquidity coverage ratio disclosure

The objective of the liquidity coverage ratio (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.

Investec Bank Limited (solo basis) and Investec Bank Limited Consolidated Group

The minimum LCR requirement in South Africa is 80% for 2017, increasing by 10% each year to 100% on 1 January 2019.

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, as set out in Directive 6/2014 and Directive 11/2014. This disclosure is in accordance with Pillar 3 of the Basel III liquidity accord.

The following table sets out the LCR for Investec Bank Limited (solo basis) and Investec Bank Consolidated Group as at 30 June 2017:

R'mn

Investec Bank Limited Solo - Total weighted value

Investec Bank Limited Consolidated Group - Total weighted value

High quality liquid assets (HQLA)

69,025

69,101

Net cash outflows

52,969

47,833

Actual LCR (%)

130.4%

127.4%

Required LCR (%)

80%

80%

The values in the table are calculated as the simple average of daily observations over the period 1 April 2017 to 30 June 2017 for Investec Bank Limited (IBL) bank solo. 61 business day observations were used. Investec Bank Limited consolidated group values use daily values for IBL bank solo, while those for other group entities use the average of April, May, June 2017 month-end values.

Investec plc, Investec Bank plc (solo basis)

On 1 October 2015 under European Commission Delegated Regulation 2015/61, the LCR became the PRA's primary regulatory reporting standard for liquidity. The LCR is a Pillar 1 metric to which the PRA apply Pillar 2 add-ons. The LCR is being introduced on a phased basis, and the PRA has opted to impose higher liquidity coverage requirements during the phased-in period than the minimum required by CRD IV. From 1 January 2017, UK banks are required to maintain a minimum of 90%, rising to 100% on 1 January 2018. The published LCR excludes Pillar 2 add-ons.

For Investec plc and Investec Bank plc (solo basis), the LCR is calculated using our own interpretations of the EU Delegated Act. The reported LCR may change over time with regulatory developments.

The LCR reported to the PRA at 30 June 2017 was 613% for Investec plc and 525% for Investec Bank plc (solo basis).

Johannesburg and London

28 July 2017

Sponsor:

Investec Bank Limited

Investec plc published this content on 28 July 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 28 July 2017 12:04:08 UTC.

Original documenthttps://otp.tools.investis.com/clients/uk/investec/rns/regulatory-story.aspx?cid=78&newsid=896660

Public permalinkhttp://www.publicnow.com/view/6F7B455D58FE3E79855F3F67384C2F838DCC33AA