Investec : Basel III disclosures at 30 June 2022

Investec Limited	Investec plc
Incorporated in the Republic of South Africa	Incorporated in England and Wales
Registration number 1925/002833/06	Registration number 3633621
JSE share code: INL	LSE share code: INVP
JSE Hybrid code: INPR	JSE share code: INP
JSE debt code: INLV	ISIN: GB00B17BBQ50
NSX share code: IVD	LEI: 2138007Z3U5GWDN3MY22
BSE share code: INVESTEC
ISIN: ZAE000081949
LEI: 213800CU7SM6O4UWOZ70

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 2022

Capital disclosures

Investec Limited calculates capital resources and requirements at a group level using the Basel III framework, as implemented in South Africa by the South African Prudential Authority, in accordance with the Bank's Act and all related regulations. Investec Limited continues to hold capital in excess of regulatory requirements and board-approved minimum targets.

	Including unappropriated profits
	Investec Limited*		IBL*
As at 30 June 2022	R'mn		R'mn
Common equity tier 1 capital	44,765	44,672
Additional tier 1 capital	3,065	2,560
Tier 1 capital	47,830	47,232
Tier 2 capital	6,575	5,395
Total regulatory capital	54,405	52,627
Risk-weighted assets per risk type:
Credit risk	245,952	229,492
Counterparty credit risk	7,161	7,721
Credit valuation adjustment risk	2,731	3,048
Equity risk	16,492	12,072
Market Risk	4,473	3,617
Operational risk	28,774	23,845
Total risk-weighted assets	305,583	279,795
Total minimum capital requirement	36,670	33,575
Capital ratios
Common equity tier 1 ratio	14.6%	16.0%
Tier 1 ratio	15.7%	16.9%
Total capital adequacy ratio	17.8%	18.8%

Leverage ratio disclosures

	Including unappropriated profits
	Investec Limited*		IBL*
As at 30 June 2022	R'mn		R'mn
Tier 1 capital	47,830	47,232
Total exposure	634,297	594,783
Leverage ratio	7.5%	7.9%

	Excluding unappropriated profits
	Investec Limited*		IBL*
As at 30 June 2022	R'mn		R'mn
Common equity tier 1 capital	43,206	44,133
Additional tier 1 capital	3,066	2,560
Tier 1 capital	46,272	46,693
Tier 2 capital	6,581	5,395
Total regulatory capital	52,853	52,088
Risk-weighted assets per risk type:
Credit risk	245,598	229,492
Counterparty credit risk	7,161	7,721
Credit valuation adjustment risk	2,731	3,048
Equity risk	16,492	12,072
Market Risk	4,473	3,617
Operational risk	28,774	23,845
Total risk-weighted assets	305,229	279,795
Total minimum capital requirement	36,627	33,575
Capital ratios
Common equity tier 1 ratio	14.2%	15.8%
Tier 1 ratio	15.2%	16.7%
Total capital adequacy ratio	17.3%	18.6%

Leverage ratio disclosures

	Excluding unappropriated profits
	Investec Limited*		IBL*
As at 30 June 2022	R'mn		R'mn
Tier 1 capital	46,272	46,693
Total exposure	634,156	594,783
Leverage ratio	7.3%	7.9%

* 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%. As the PA is now of the view that this relief measure is no longer necessary, the minimum LCR requirement has been revised back to 100% from 1 April 2022. 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 2022:

	IBL (solo basis) - Total		IBL consolidated group - Total
	weighted value		weighted value
High quality liquid assets (HQLA) (R'mn)		107,488	112,410
Net cash outflows (R'mn)		74,320	76,249
Actual LCR		145.2%	148.1%
Required LCR		100%	100%

The values in the table are calculated as the simple average of 91 calendar daily values over the period 1 April 2022 to 30 June 2022 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 2022 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 30 June 2022:

	IBL (solo basis)		IBL consolidated group
Actual NSFR		113.9%	114.1%
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 July 2022

Sponsor: Investec Bank Limited