National Australia Bank - NAB releases Basel II Risk and Capital Report
2008-11-25 08:13:00+10:00
Group Corporate Affairs 500 Bourke Street Melbourne Victoria 3000 AUSTRALIA www.nabgroup.com ABN 12 004 044 937 ASX Announcement Tuesday, 25 November 2008 National Australia Bank releases Basel II Risk and Capital Report National Australia Bank Limited (the Group) today released its first Risk and Capital Report under the Basel Capital Accord (Basel II). National Australia Bank has issued similar announcements 74 times before, most recently about 0 minutes ago on Thursday 20 November 2008. The announcement 'NAB releases Basel II Risk and Capital Report' was issued to the ASX on Tuesday 25 November 2008. The share price for National Australia Bank was $18.800 trending down at the time of the announcement. [Notice Type: Other - not one of the above]
2008-11-25 08:13:00+10:00
Group Corporate Affairs 500 Bourke Street Melbourne Victoria 3000 AUSTRALIA www.nabgroup.com ABN 12 004 044 937 ASX Announcement Tuesday, 25 November 2008 National Australia Bank releases Basel II Risk and Capital Report National Australia Bank Limited (the Group) today released its first Risk and Capital Report under the Basel Capital Accord (Basel II). National Australia Bank has issued similar announcements 74 times before, most recently about 0 minutes ago on Thursday 20 November 2008. The announcement 'NAB releases Basel II Risk and Capital Report' was issued to the ASX on Tuesday 25 November 2008. The share price for National Australia Bank was $18.800 trending down at the time of the announcement. [Notice Type: Other - not one of the above]
NAB releases Basel II Risk and Capital Report
Tuesday 25 Nov 2008
Group Corporate Affairs 500 Bourke Street Melbourne Victoria 3000 AUSTRALIA www.nabgroup.com ABN 12 004 044 937
ASX Announcement
Tuesday, 25 November 2008
National Australia Bank releases Basel II Risk and Capital Report
National Australia Bank Limited (the Group) today released its first Risk and Capital Report under the Basel Capital Accord (Basel II). The 2008 Risk and Capital Report addresses the requirements of APRA’s Pillar 3 public disclosure standard APS 330, and provides enhanced information about the Group’s capital adequacy, risk management practices and risk exposures. The report is available at http://www.nabgroup.com/0,,96819,00.html
For further information contact: Investor Relations Nehemiah Richardson Lyndal Kennedy Wendy Carter M: +61 (0) 427 513 233 M: +61 (0) 400 983 038 M: +61 (0) 488 318 952
2008 Risk & Capital Report
Basel II Pillar 3 Disclosures Investor Presentation
25 November 2008
Mark Joiner, Group Chief Financial Officer Rob Giles, Deputy Group Chief Risk Officer
National Australia Bank Limited ABN 12 004 044 937
Contents
Introduction Disclosures in the Risk & Capital Report NAB’s RWA composition Credit risk disclosures Expected Loss vs Eligible Provision Pro-cyclicality impacts Capital adequacy Additional information
2
Introduction
NAB has made significant investment to achieve Basel II advanced accreditation, which has the benefit of enhancing internal risk management practices Advanced accreditation in all major risk categories recognises the Group’s level of sophistication in identifying and managing risk and capital adequacy The 2008 Risk & Capital Report is the first disclosure under APRA’s Pillar 3 market discipline APS 330 requirements and provides an enhanced degree of transparency Basel II risk information continues to drive improvement in NAB’s capital ratio through portfolio optimisation initiatives
3
Disclosures in the Risk & Capital Report
Same information as previously disclosed Legal structure, capital structure, and market risk e.g. Capital structure pages 11-13
Similar information but on a different basis Impaired assets and provisions for impaired assets which have been disclosed by industry and by Basel II segment e.g. Credit Provisions and Losses pages 30,31
New information Tables that provide new data, such as the detail provided on probability of default, loss given default, and exposure at default e.g. Portfolios subject to IRB Approach pages 37,38
4
NAB’s RWA composition
Basel II provides a more dynamic capital adequacy measure Better reflecting risk in the calculation of regulatory capital Better alignment to internal risk management practices More transparent risk categories
Percentage comparison of RWAs by risk type
NAB 30 Sep 08 Credit Risk Weighted Assets Market Risk Operational Risk IRRBB Risk Total Risk Weighted Assets 90.3% 1.5% 6.9% 1.3% 100.0%
Credit risk is the key driver
5
Calculation of the NAB’s credit RWAs
Advanced Australia region, Bank of New Zealand & nabCapital
The majority of the portfolio is subject to the Advanced IRB approach being 82% of Credit EaD
82%
Advanced Internal Ratings Based (AIRB) approach for non retail exposures Advanced Internal Ratings Based (AIRB) approach for retail exposures
Standardised
Australia region, Bank of New Zealand & nabCapital
The remaining 18% is subject to the Standardised approach, of which 15% is the UK portfolio
18%
Standardised approach to sovereign exposures and portfolios agreed with APRA as immaterial UK Clydesdale Bank PLC Standardised approach has been applied to all portfolios/ exposures (opportunity exists to reduce RWAs with UK advanced accreditation)
6
Credit Portfolio composition*
EaD $bn
% of Total EaD
21% 14% 13% 0% 3% 29% 2% 0% 0% 18% 100%
RWA $bn
RWA / EaD %
70% 12% 59% 0% 86% 23% 39% 101% 0% 57% 44% Retail housing 43% RWA / EaD Corporate and Corporate SME 87% RWA / EaD
Corporate Bank SME corporate Retail SME Specialised lending Residential mortgage Qualifying revolving retail Other retail Sovereign Standardised Total
140 97 88 0 17 198 12 3 0 120 675
98 11 52 0 15 45 5 3 0 68 297
Areas of focus Residential Mortgages Retail SME Standardised Specialised Lending
* Composition excludes non lending assets, equities and securitisation
7
Credit Portfolio composition*
NAB’s exposures diversified by industry and geography reflect business strategy: The Personal sector is dominated by residential mortgages Reflects the long standing strength in small and middle market business Finance and insurance, primarily driven by liquidity and banks clearing activities Exposures predominantly in core markets of Australia, UK and NZ
Exposures by industry classification
A$m 250,000
3.1%
33.2% 24.6%
24.6% 33.2%
Business services Residential mortgages
3.5%
200,000
10.1% Commercial property
16.7%
16 . 7 %
150,000
100,000
50,000 0 Personal Finance & Insurance Cafes, Property & Agriculture, Manufacturing Retail & Construction Transport Forestry, & Storage Pubs, Wholesale Business Fishing & Accommodation Trade Services Mining & Restaurants
Geographic distribution of exposures (EaD)
Other 3% United Kingdom 22%
New Zealand 9%
* Composition excludes non lending assets, equities and securitisation
Australia 66%
8
Tuesday 25 Nov 2008
Group Corporate Affairs 500 Bourke Street Melbourne Victoria 3000 AUSTRALIA www.nabgroup.com ABN 12 004 044 937
ASX Announcement
Tuesday, 25 November 2008
National Australia Bank releases Basel II Risk and Capital Report
National Australia Bank Limited (the Group) today released its first Risk and Capital Report under the Basel Capital Accord (Basel II). The 2008 Risk and Capital Report addresses the requirements of APRA’s Pillar 3 public disclosure standard APS 330, and provides enhanced information about the Group’s capital adequacy, risk management practices and risk exposures. The report is available at http://www.nabgroup.com/0,,96819,00.html
For further information contact: Investor Relations Nehemiah Richardson Lyndal Kennedy Wendy Carter M: +61 (0) 427 513 233 M: +61 (0) 400 983 038 M: +61 (0) 488 318 952
2008 Risk & Capital Report
Basel II Pillar 3 Disclosures Investor Presentation
25 November 2008
Mark Joiner, Group Chief Financial Officer Rob Giles, Deputy Group Chief Risk Officer
National Australia Bank Limited ABN 12 004 044 937
Contents
Introduction Disclosures in the Risk & Capital Report NAB’s RWA composition Credit risk disclosures Expected Loss vs Eligible Provision Pro-cyclicality impacts Capital adequacy Additional information
2
Introduction
NAB has made significant investment to achieve Basel II advanced accreditation, which has the benefit of enhancing internal risk management practices Advanced accreditation in all major risk categories recognises the Group’s level of sophistication in identifying and managing risk and capital adequacy The 2008 Risk & Capital Report is the first disclosure under APRA’s Pillar 3 market discipline APS 330 requirements and provides an enhanced degree of transparency Basel II risk information continues to drive improvement in NAB’s capital ratio through portfolio optimisation initiatives
3
Disclosures in the Risk & Capital Report
Same information as previously disclosed Legal structure, capital structure, and market risk e.g. Capital structure pages 11-13
Similar information but on a different basis Impaired assets and provisions for impaired assets which have been disclosed by industry and by Basel II segment e.g. Credit Provisions and Losses pages 30,31
New information Tables that provide new data, such as the detail provided on probability of default, loss given default, and exposure at default e.g. Portfolios subject to IRB Approach pages 37,38
4
NAB’s RWA composition
Basel II provides a more dynamic capital adequacy measure Better reflecting risk in the calculation of regulatory capital Better alignment to internal risk management practices More transparent risk categories
Percentage comparison of RWAs by risk type
NAB 30 Sep 08 Credit Risk Weighted Assets Market Risk Operational Risk IRRBB Risk Total Risk Weighted Assets 90.3% 1.5% 6.9% 1.3% 100.0%
Credit risk is the key driver
5
Calculation of the NAB’s credit RWAs
Advanced Australia region, Bank of New Zealand & nabCapital
The majority of the portfolio is subject to the Advanced IRB approach being 82% of Credit EaD
82%
Advanced Internal Ratings Based (AIRB) approach for non retail exposures Advanced Internal Ratings Based (AIRB) approach for retail exposures
Standardised
Australia region, Bank of New Zealand & nabCapital
The remaining 18% is subject to the Standardised approach, of which 15% is the UK portfolio
18%
Standardised approach to sovereign exposures and portfolios agreed with APRA as immaterial UK Clydesdale Bank PLC Standardised approach has been applied to all portfolios/ exposures (opportunity exists to reduce RWAs with UK advanced accreditation)
6
Credit Portfolio composition*
EaD $bn
% of Total EaD
21% 14% 13% 0% 3% 29% 2% 0% 0% 18% 100%
RWA $bn
RWA / EaD %
70% 12% 59% 0% 86% 23% 39% 101% 0% 57% 44% Retail housing 43% RWA / EaD Corporate and Corporate SME 87% RWA / EaD
Corporate Bank SME corporate Retail SME Specialised lending Residential mortgage Qualifying revolving retail Other retail Sovereign Standardised Total
140 97 88 0 17 198 12 3 0 120 675
98 11 52 0 15 45 5 3 0 68 297
Areas of focus Residential Mortgages Retail SME Standardised Specialised Lending
* Composition excludes non lending assets, equities and securitisation
7
Credit Portfolio composition*
NAB’s exposures diversified by industry and geography reflect business strategy: The Personal sector is dominated by residential mortgages Reflects the long standing strength in small and middle market business Finance and insurance, primarily driven by liquidity and banks clearing activities Exposures predominantly in core markets of Australia, UK and NZ
Exposures by industry classification
A$m 250,000
3.1%
33.2% 24.6%
24.6% 33.2%
Business services Residential mortgages
3.5%
200,000
10.1% Commercial property
16.7%
16 . 7 %
150,000
100,000
50,000 0 Personal Finance & Insurance Cafes, Property & Agriculture, Manufacturing Retail & Construction Transport Forestry, & Storage Pubs, Wholesale Business Fishing & Accommodation Trade Services Mining & Restaurants
Geographic distribution of exposures (EaD)
Other 3% United Kingdom 22%
New Zealand 9%
* Composition excludes non lending assets, equities and securitisation
Australia 66%
8
