Investec Limited (JSE:INL) News - Investec Limited – 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 Date: 29-07-2022 01:00:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE'). The JSE does not, whether expressly, tacitly or implicitly, represent, warrant or in any way guarantee the truth, accuracy or completeness of the information published on SENS. The JSE, their officers, employees and agents accept no liability for (or in respect of) any direct, indirect, incidental or consequential loss or damage of any kind or nature, howsoever arising, from the use of SENS or the use of, or reliance on, information disseminated through SENS.