Investec (comprising Investec plc and Investec Limited) - Basel III disclosures at 30 June 2016

29 July 2016

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. 

Leverage ratio disclosures

* 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 forseeable dividends when calculating CET1 capital as now required under the Capital Requirements Regulation and EBA technical standards. Investec plc's capital information includes unaudited profits for the last quarter. If unaudited profits are excluded from the capital information, all of Investec plc's capital ratios would be 20bps lower. Investec Limited's and IBL's capital information includes unappropriated profits. If unappropriated profits are excluded from the capital information, Investec Limited's CET1 ratio would be 30bps lower and its tier 1 and total capital ratios would be 20bps lower. If unappropriated profits are excluded from the capital information, all of IBL's ratios would be 20bps 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 70% throughout 2016, and will increase 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:

The values in the table are calculated as the simple average of daily observations over the period 1 April 2016 to 30 June 2016 for Investec Bank Limited (IBL) bank solo. 54 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 2016 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. UK banks are currently required to maintain a minimum of 80%, rising to 90% on 1 January 2017 and 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 2016 was 891% for Investec plc and 943% for Investec Bank plc (solo basis).

Sponsor: Investec Bank Limited