Last checked at 29 Jul 2015 08:00
Investec LimitedIncorporated in the Republic of South AfricaRegistration number 1925/002833/06JSE share code: INL NSX share code: IVD BSE share code: INVESTEC ISIN: ZAE000081949 | Investec plcIncorporated in England and WalesRegistration number 3633621LSE share code: INVP JSE share code: INPISIN: GB00B17BBQ50 |
Investec (comprising Investec plc and Investec Limited) - Basel III disclosures at 30 June 2015
29 July 2015
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% by March 2016 and a total capital adequacy ratio range of 14% to 17% on a consolidated basis for each of Investec plc and Investec Limited. The group is comfortable with its common equity tier 1 ratio target at a 10% level, as its current leverage ratios for both Investec Limited and Investec plc are well above 7%.
Investec plc*^ | IBP*^ | Investec Limited*^ | IBL*^ | |
As at 30 June 2015 | GBP 'mn | GBP 'mn | R'mn | R'mn |
Common equity tier 1 capital before deductions | 1,719 | 1,775 | 26,656 | 28,046 |
Deductions | (521) | (400) | (428) | 302 |
Common equity tier 1 capital | 1,198 | 1,375 | 26,228 | 28,348 |
Additional tier 1 capital | 130 | - | 4,596 | 1,074 |
Tier 1 capital | 1,328 | 1,375 | 30,824 | 29,422 |
Tier 2 capital | 550 | 590 | 9,307 | 10,370 |
Total regulatory capital | 1,878 | 1,965 | 40,131 | 39,792 |
Risk-weighted assets per risk type: | ||||
Credit risk | 7,534 | 7,383 | 200,974 | 198,229 |
Counterparty credit risk | 452 | 470 | 5,095 | 5,095 |
Credit valuation adjustment risk | 47 | 48 | 2,623 | 2,623 |
Equity risk | 735 | 740 | 38,887 | 43,079 |
Market risk | 924 | 902 | 3,240 | 3,000 |
Operational risk | 1,784 | 1,416 | 23,355 | 14,921 |
Total risk-weighted assets | 11,476 | 10,959 | 274,174 | 266,947 |
Total minimum capital requirement | 918 | 877 | 27,417 | 26,695 |
Capital ratios | ||||
Common equity tier 1 ratio | 10.4% | 12.5% | 9.6% | 10.6% |
Tier 1 ratio | 11.6% | 12.5% | 11.2% | 11.0% |
Total capital ratio | 16.4% | 17.9% | 14.6% | 14.9% |
Leverage ratio disclosures
Investec plc*^ | IBP*^ | Investec Limited*^ | IBL*^ | |
As at 30 June 2015 | GBP 'mn | GBP 'mn | R'mn | R'mn |
Tier 1 capital | 1,328 | 1,375 | 30,824 | 29,422 |
Total exposure | 17,559 | 17,408 | 385,449 | 358,589 |
Leverage ratio | 7.6% | 7.9% | 8.0% | 8.2% |
* 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. If forseeable dividends are deducted Investec plc's CET1 ratio would be 40bps lower. Investec Limited's capital information includes unappropriated profits. If unappropriated profits are excluded from the capital information, all of Investec Limited's capital ratios would be 11bps lower. IBL has no unappropriated profits included in its capital information.
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. The LCR was phased in at 60% on 1 January 2015, 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.
R'mn | Investec Bank Limited Solo - Total weighted value | Investec Bank Limited Consolidated Group - Total weighted value |
High quality liquid assets (HQLA) | 44,580 | 44,636 |
Net cash outflows | 42,746 | 40,914 |
Actual LCR (%) | 104.7 | 109.6 |
Required LCR (%) | 60.0 | 60.0 |
The values in the table are calculated as the simple average of daily observations over the period 1 April 2015 to 30 June 2015. 54 business day observations were used.