Growth prospects on corporate lending slowly returning ...€¦ · capital for Stressed Value at...

Growth prospects on corporate lending slowly returningComparison of APS 330 disclosures

pwc.com.au

August 2011

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Australian system credit growth remains subdued following the GFC at only 3.6% pa. Continued dips in retail consumer confidence are becoming increasingly concerning with the impacts of the succession of rate hikes in late 2010 and house price instability taking hold. Flowing from this we have seen home lending growth slowing further, reaching its lowest level in 30 years. Prospects appear weak for a prolonged period to come.

On the flipside, indications are that corporates have largely managed to deleverage, with future credit growth expected in tandem with anticipated economic growth. For the quarter to 31 March however, credit growth was largely flat.

These local economic trends can be seen flowing through the regulatory capital reporting of the major banks for the quarter to 31 March 2011. This publication includes a detailed analysis of lending exposures from the major bank APS330 disclosures. The following are the key trends highlighted from the analysis:

• Total credit risk increased slightly due to modest increases in lower risk weight residential mortgage lending

• This was offset slightly by relatively flat corporate lending growth assisted by stabilising levels of impaired corporate assets

• Broadly there were some sizeable decreases in risk weighted assets for Interest Rate Risk in the Banking Book, with the exception of ANZ

• There remains a reasonable gap in Tier 1 capital ratios with ANZ having the greatest capital capacity at 10.5% as compared to NAB with the lowest at 9.19%

• CBA and Westpac remain significantly more exposed to retail lending, with an outlook of heightened risk in the deterioration of these portfolios as the 2010 rate hikes and disappearance of economic stimulus continue to bite

• NAB and ANZ maintain their position as the wholesale focussed banks, with a slight movement in portfolio split by NAB toward retail buoyed by the ‘Break up’ campaign

• An increase in exposure to sovereign assets by ANZ does not appear to be impacted by ongoing European instability.

The regulatory outlook is one of intense change under Basel III, with much work still to be done globally and locally to fine-tune the rules. The majority of the changes, including a more conservative view of the definition of capital, are not yet written by APRA. However, enough is known from the G20 proposals and Basel Committee pronouncements to understand most of the key changes and impacts. The major banks have performed initial impact assessments on the quantum of capital which will be required to be held, and feel they are fairly well placed at this point. The ability to pass on increased costs to customers and potential impacts on volumes are still being assessed with sustained impacts on business profitability and return on equity still under question.

There will be a phased transition period to full implementation of all capital and liquidity changes out to 1 January 2019, although there is the possibility that APRA may bring this hard deadline earlier given the relative position of the Australian banks compared to global institutions. A significant program of work is needed to prepare for and implement the suite of changes over the coming 5 to 10 years. Most banks are keen to avoid the Basel II implementation experience which was often reactive, compliance focussed and costly, leaving unsustainable business processes which in some cases are still under expensive remediation programs. A recent PwC survey of bank chief risk officers highlighted that the Australian majors are shifting away from centralised compliance focussed projects toward more business-centred projects with executive business sponsorship.

In advance of Basel III, there are a number of prudential changes which will come in from 1 January 2012 relating to market risk and securitisation. These include the introduction of regulatory capital for Stressed Value at Risk (‘Stress VaR’) and higher risk weights for re-securitisation exposures. Impact assessments suggest that capital for market risk will roughly double, mainly as a result of Stress VaR.

Introduction

Growth prospects on corporate lending slowly returning 3

Our previous report was based on the Pillar 3 reports as at 31 December 2010. In this report, we will focus on movements over the three months to 31 March 2011 and any emerging trends.

Key observationsOverall, risks have slightly decreased across the major banks over the last three months, except for ANZ.

This is mainly attributed to credit risk and interest rate risk in the banking book.

• Total credit risk was driven over the quarter by a general increase in exposure in lower risk weight assets (continued growth of the residential mortgages portfolio) offset by risk improvements in the corporate portfolio. This resulted in a marginal reduction in credit risk for NAB and Westpac, while credit risk remained stable for ANZ and CBA.

• Interest rate risk in the banking book has contributed to a decrease in total risk weighted assets for all the banks except ANZ.

Key changes in regulatory capital for major banksthree months to 31 March 2011

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Figure 1: Total risk weighted assets

4 Growth prospects on corporate lending slowly returning

Interest rate risk in the banking book has contributed to a decrease in total risk weighted assets for all the banks except ANZ.

The key indicator of a bank’s capital adequacy is its capital ratio. In recent times greater importance has been placed on tier 1 capital ratios as opposed to total capital ratios. Table 1 indicates that tier 1 capital ratios range from 9.19% for NAB to 10.50% for ANZ as at March 2011. The tier 1 capital ratio for all the major banks increased over the quarter.

This increase in tier 1 capital ratio is mainly driven by increasing retained profits and decreasing risks.

This report focuses on the risk weighted assets (RWA). Figure 2 illustrates that credit risk is the largest component (84%) of total RWA.

Our focus is on the advanced Basel II asset classes as this forms the majority of each bank’s credit RWA (72%). Advanced credit risk is presented in detail within each of the banks’ APS 330 disclosures, whilst by contrast information on standardised credit RWA is only at a very high level, thereby limiting the value of detailed analysis.

Similarly, the other RWA components, namely securitisation, equity risk, market risk, interest rate risk in the banking book (IRRBB), operational risk and other assets are analysed at a high level within this report due to their relatively low individual contributions to total RWA.

This report considers comparatives across the entire portfolio for each of the major banks.

Further comparatives across each of the Basel II asset classes1 are discussed in the appendix to this report.

In particular, the comparatives focus on understanding movements in the following key measures:

1. Size: Total exposure at default (EAD).

2. Credit risk: Absolute Risk: An absolute measure is calculated as total credit risk (RWA plus expected loss (EL2) ).

Relative Risk: A relative measure is calculated as total credit risk as a proportion of EAD. The relative measure ensures comparability across the major banks.

3. Quality: Total impaired and defaulted assets as a proportion of EAD, an increase in this ratio indicates that the bank’s portfolio performance is deteriorating.

Another measure calculated is write-offs as a proportion of EAD.

4. Composition: EAD of the advanced Basel II asset class divided by total EAD, this measure provides an understanding of composition of the bank’s portfolio.

1 Basel II asset class – Retail (residential mortgages, credit cards, other retail) and Non Retail (corporate, specialised lending, bank, sovereign)2 EL – Expected loss for the purposes of comparability with the RWA is multiplied by 12.5 throughout this report

There are several key elements affecting the major banks’ capital requirements

There are four key measures by which we analyse credit exposure: size, credit risk, quality and composition

Total AIRB72%

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Figure 2: Risk compositionTable 1: Tier 1 capital ratio

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ANZ 10.50% 10.30% 0.20%

CBA 9.90% 9.71% 0.19%

NAB 9.19% 8.96% 0.23%

Westpac 9.50% 9.20% 0.30%


• ANZ’s total exposure has increased slightly over the past three months. This is predominantly driven by an increase in residential mortgage and non-retail exposure, particularly corporate and banks portfolios. Sovereign assets’ growth is offset by the strong appreciation of the Australian dollar against the US and the New Zealand dollars.

• CBA experienced a notable increase in exposure as a result of increasing facilities in banks and specialised lending.

• NAB experienced a reduction in exposure to bank assets. This is partially offset by an increase in exposure to residential mortgages.

• Westpac experienced growth in its overall portfolio over the past three months to March 2010. This is mainly attributed to its residential mortgages portfolio. Westpac’s exposure to non-retail remained stable with an increase in exposure to sovereign assets partially offset by a reduction in exposure to corporate lending.

• The details underlying the changes in total exposure across each of the Basel II asset classes are shown in the appendix to this report.

The total exposure* for all major banks except for NAB has slightly increased over the past 3 months

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Figure 3: Portfolio size

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Figure 4: Portfolio size

* Includes AIRB and standardised exposure** The significant standardised exposures for CBA is due to Bankwest and for NAB due to its UK assets.Westpac has a very small proportion of standardised exposures since St George was accredited into Westpac’s AIRB status.


Figure 5 and Figure 6 separate the RWA (rose/burgundy) and the EL (orange) components of total credit risk. The EL figures are only disclosed at the half-year and year-end for ANZ, CBA and NAB.

• With the exception of NAB, the risk levels have generally remained stable over the quarter, while exposure has increased.

• As such, relative risk has fallen across all major banks. This is mainly driven by the corporate portfolio, for which banks observed lower defaults due to improved economics and decrease in large single name defaults that emerged during the GFC.

NAB’s decrease in absolute risk is driven by both a reduction in exposure and risk improvements. We note that NAB still experienced higher relative risk (Figure 6) as compared to its peers due to their higher proportions of non-retail lending (as shown in Figure 9).

Analysing the RWA and EL provides an indication of the level of capital required at a particular point in time. In addition, changes to a bank’s risk profile will also impact a bank’s retained earnings and consequently its capital adequacy. As the purpose of this analysis is to focus on regulatory risk, we have not analysed retained earnings or other factors that could impact a bank’s capital adequacy.

The absolute level of RWA has remained stable across all major banks, except for NAB which has decreased

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* ANZ/CBA/NAB only disclose EL in half-year and year-end disclosures ** EL by Basel II asset class was unavailabe for ANZ at 30/09/09 EL*12.5 RWA

Figure 5: Portfolio absolute risk

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Figure 6: Portfolio relative risk

* The increase in March 2009 of risk levels for Westpac and CBA is due to their acquisitions of Bankwest and St George respectively, with their total RWA remaining flat post March 2009.


The recent economic downturn has resulted in a considerable deterioration in the quality of banks’ assets up to March 2010.

Over the last year, signs of improving asset quality emerged.

While remaining at a relatively high level of stress compared to long term average, the portfolio deterioration in the corporate asset class appear to have stabilised (Figure 7 and Figure A4).

• The proportion of impaired assets for corporate assets has decreased over the past 9 months for ANZ and CBA, while it has remained stable for NAB and Westpac.

• Over the same period, the proportion of defaulted and impaired assets has slightly increased for residential mortgage portfolios, in line with growing exposure (Figure E4).

• ANZ’s drop in its proportion of impaired assets is attributed to a material increase in restructured loans.

Defaulted and impaired loans have a much greater impact on a bank’s capital requirement as compared to performing assets, consuming around 3 to 6 times more capital than performing assets. Therefore, monitoring the movements in the proportion of defaulted assets assists in providing an explanation for the movements in a bank’s capital requirements.

Impaired and defaulted assets have stabilised/fallen for all major banks, except Westpac

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Figure 7: Portfolio quality

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Figure 8: Portfolio write-offs


Overall, although retail assets represent around half of a bank’s assets, they contribute a significantly lower proportion of risk.1

This is because a large proportion of the retail assets relate to residential mortgages which are secured lending and therefore have lower risk.

The portfolio composition by bank has not changed over the last quarter, with the exception of NAB for which the proportion of non-retail portfolio has slightly decreased. NAB remains however the bank with the highest proportion of corporate exposures.

Other observations (based on the details provided in the appendix to this report) over the period are that:

• Retail exposure has increased, mainly due to growing residential mortgage portfolios for both NAB and Westpac.

• Non-retail exposure remained relatively stable, with slight growth in the corporate asset class. Major banks, with the exception of ANZ, experienced growth in specialised lending and sovereign exposure.

The proportion of retail assets is a key factor in a bank’s relative risk

The ongoing growth in residential mortgages combined with the slowdown in corporate lending has resulted in a slight reduction in total relative risk

Total Retail – March 2011

ANZ CBA NAB Westpac

Prop of exposure 52% 62% 44% 63%

Prop of risk 33% 38% 25% 33%

Relative risk 24% 20% 23% 18%

Residential mortgages – March 2011

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Prop of risk 20% 31% 22% 25%


Australian credit cards – March 2011

ANZ CBA NAB Westpac


Prop of risk 4% 4% 2% 2%


Other retail – March 2011

ANZ CBA NAB Westpac




Total Non-Retail – March 2011

ANZ CBA NAB Westpac


Prop of risk 67% 62% 75% 67%


Corporate – March 2011

ANZ CBA NAB Westpac


Prop of risk 49% 37% 54% 44%


Specialised lending – March 2011

ANZ CBA NAB Westpac


Prop of risk 13% 19% 18% 20%


Sovereign – March 2011

ANZ CBA NAB Westpac




Bank – March 2011

ANZ CBA NAB Westpac




Figure 9: Portfolio composition1

* Expected loss figures have been excluded for ANZ. These were not disclosed by Basel II asset class in Sept-09. Risk is defined as RWA. EL figures are excluded since ANZ and CBA regulatory expected loss by asset class are not disclosed.

1 Risk is defined as RWA. EL figures are excluded since ANZ and CBA regulatory expected loss by asset class are not disclosed at a sufficiently granular level.


• Operational risk (Figure 10) remained stable across the past twelve months for all the banks, with the exception of ANZ which experienced a small increase.

• IRRBB (Figure 11) has also decreased for all the major banks except ANZ in the last quarter after an increasing trend in the 9 months prior. ANZ’s continued increase in IRRBB is attributed to asset / liability mismatch in the bank’s overall portfolio. At the other end, CBA increased its hedging activities.

• For both ANZ and CBA, market risk (Figure 12) has reduced over the past 3 months due to a progressive reduction of volatility used in the calculation.

Interest rate risk in the banking book and market risk have been volatile over the period.

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Figure 11: Interest rate risk in the banking book

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Figure 12: Market riskMarket risk and interest rate risk in the banking book are significant contributors to overall changes in RWA


AppendicesAIRB asset classes


Appendix ACorporate: exposure remains stable while the portfolio quality is varied across banks

Corporate exposure has remained stable over the last six months across all four major banks.

Overall RWAs have reduced for all major banks, with the risk for CBA remaining steady (Figure A2). As exposures have been stable, this has been driven by a fall in relative risk (Figure A3). This can be attributed to an overall improved risk quality of the portfolio (higher proportion of the portfolio in lower risk buckets).

The proportion of defaulted and not impaired assets remain relatively stable for NAB and Westpac, while ANZ and CBA have experienced stronger movements (Figure A4).

No clear trend can be observed on write-offs.

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Figure A1: Size

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Figure A2: Absolute risk

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Relative Risk − EL Relative Risk − RWA

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

* ANZ/CBA/NAB only disclose EL in half-year and year-end disclosures ** EL by Basel II asset class was unavailabe for ANZ at 30/09/09

Figure A3: Relative risk

Sep-

08

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Portfolio Quality − Defaulted but not impaired / EAD Portfolio Quality − Impaired / EAD

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

Def

ault

ed /

EA

D

Figure A4: Quality

Sep-

08

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08

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09

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0.00%

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0.30%

0.40%

0.50%

0.60%

Act

ual l

oss

es (i

n th

e q

uart

er) /

EA

D

Figure A5: Write-offs

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-11

15%

17%

19%

21%

23%

25%

27%

29%

31%

Und

raw

n E

AD

/ T

ota

l EA

D

Figure A6: Undrawn exposure


Appendix BSpecialised lending: exposure has generally increased across all major banks, with the exception of ANZ

When compared to the corporate asset class (Figure A3), specialised lending has on average a higher relative risk (92% compared to 63% for corporate assets on average).

Exposure has increased for all major banks, with the exception of ANZ which has decreased slightly over the last 3 months (Figure B1).

As at March 2011, NAB and Westpac continue to have the highest proportion of their portfolio in specialised lending (though this has fallen slightly over the past 12 months to ~7%, as shown in Figure B4), while CBA’s proportion of their portfolio in specialised lending over the past 9 months has steadily increased.

The relative risk (Figure B3) has remained stable or marginally decreased across the major banks. However, Westpac’s relative risk is still higher compared to its peers.

Sep-

08

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09

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10

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10

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-11

Exp

osu

re a

t d

efau

lt

$0bn

$10bn

$20bn

$30bn

$40bn

$50bn

$60bn

Figure B1: Size

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$0bn

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$40bn

$50bn

$60bn

$70bn

$80bn

$90bn

RW

A a

nd E

L*12

.5

Figure B2: Absolute risk

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Relative Risk − EL Relative Risk − RWA * ANZ/CBA/NAB only disclose EL in half-year and year-end disclosures ** EL by Basel II asset class was unavailabe for ANZ at 30/09/09

0%

20%

40%

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100%

120%

140%

160%

180%

200%

Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

Figure B3: Relative risk

Sep-

08

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-11

0%

1%

2%

3%

4%

5%

6%

7%

8%

Pro

po

rtio

n o

f to

tal e

xpo

sure

Figure B4: Proportion of EAD


Appendix CBank: the differences in profiles are a consequence of the lumpy nature of the exposures within each of the bank’s portfolios

Over the past 12 months, ANZ and CBA have increased their exposure to bank assets (increase of 17%-28% from the exposure level held in June 2010) while NAB has decreased its exposure (decrease 11% from the exposure level held in June 2010) . Out of the four major banks, NAB remains however the bank with the highest proportion of exposure to bank assets.

The relative risk of bank assets has fallen slightly for CBA and Westpac over the last 3 months, but increased for ANZ and NAB over the same period. Note, NAB’s level of bank relative risk is significantly lower than the other three major banks (around 12% for NAB compared to around 21% for the other majors, as shown in Figure C3).

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-11

Exp

osu

re a

t d

efau

lt

$0bn

$20bn

$40bn

$60bn

$80bn

$100bn

$120bn

Figure C1: Size

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$0bn

$2bn

$4bn

$6bn

$8bn

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$12bn

$14bn

$16bn

RW

A a

nd E

L*12

.5

Figure C2: Absolute risk

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25%

30%

35%

Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

Figure C3: Relative risk


Appendix DSovereign: exposure has generally increased across all major banks, with the exception of ANZ

All four major banks increased their exposure to sovereign lending over the past 3 months, with the exception of ANZ which has fallen slightly. The reduction for ANZ was mainly attributed to the strong appreciation of the Australian dollar.

Westpac continues to have a significantly smaller sovereign portfolio than the other major banks.

Absolute risk for all major banks has increased over the last quarter, more significantly for ANZ and CBA over the period where the absolute and relative quality of the sovereign portfolio has deteriorated.

NAB received accreditation for its Sovereign model in September 2009 and therefore had no exposure to this advanced asset class prior to that date.

Sep-

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Exp

osu

re a

t d

efau

lt

$0bn

$5bn

$10bn

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$25bn

$30bn

$35bn

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$45bn

$50bn

Figure D1: Size

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RW

A a

nd E

L*12

.5

$0bn

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$2bn

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$3bn

$3bn

$4bn

Figure D2: Absolute risk

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Relative Risk - EL Relative Risk - RWA * ANZ/CBA/NAB only disclose EL in half-year and year-end disclosures ** EL by Basel II asset class was unavailabe for ANZ at 30/09/09

Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

0%

5%

10%

15%

20%

25%

Figure D3: Relative risk


Appendix EResidential Mortgages: all major banks are experiencing continued growth in exposure

The growth in exposure to residential mortgages continues for the four major banks, consistent with the trend observed in the past 12 months. As a result, overall RWAs have continued to increase in absolute terms, except for CBA.

Relative risk remains relatively stable across all four major banks, (Figure E3). We also note that updates to Westpac’s Probability of

Default (PD) models for Australian residential mortgages has led to significant shifts across PD bands.

The proportion of defaulted and impaired assets has increased across all the major banks over the period (Figure E4).

Figure E5 illustrates the proportion of write-offs has fallen for ANZ and Westpac, while CBA and NAB have been stable.

* Standardised impaired loans and write-offs are included for CBA

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t d

efau

lt

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Figure E1: Size

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.5

$0bn

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Figure E2: Absolute risk

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Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

Figure E3: Relative risk

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Portfolio Quality - Defaulted but not impaired / EAD Portfolio Quality - Impaired / EAD

0.0%

0.5%

1.0%

1.5%

Def

ault

ed /

EA

D

Figure E4: Quality

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0.00%

0.01%

0.01%

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0.03%

0.03%

0.04%

0.04%

Act

ual l

oss

es (i

n th

e q

uart

er) /

EA

D

Figure E5: Write-offs*


Appendix FQualifying revolving: different modelling and definitional approaches make comparing credit cards difficult

The information available in the Pillar 3 suggests that there is considerable variation between the modeling approaches taken between the four major banks, this impacts the ability to make direct comparisons for this asset class. As a result the drawn balance (before application of any credit conversion factor (CCF)) is used as a measure of exposure.

Exposure to the qualifying revolving portfolio has increased for all banks over the past six months, apart from Westpac which has decreased slightly.

ANZ, CBA and Westpac have similar levels of drawn balances (around $8.0bn), while NAB have the lowest drawn balances at around $5.0bn and Westpac the highest (after inclusion of St George)

Different definitions of impaired and defaulted assets are also used, as illustrated through the quality measure (Figure F4). All of Westpac’s book is considered impaired, while the majority of ANZ, CBA and NAB is not.

* CBA’s impaired assets and write-offs included other retail prior to June 2009 and are not shown.

** Standardised impaired loans and write-offs are included for CBA

Sep-

08

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$0bn

$2bn

$4bn

$6bn

$8bn

$10bn

$12bn

Exp

osu

re a

t d

efau

lt

Figure F1: Size

Sep-

08

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A a

nd E

L*12

.5

$0bn

$2bn

$4bn

$6bn

$8bn

$10bn

$12bn

$14bn

$16bn

Figure F2: Absolute risk

Sep-

08

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-11

Portfolio Quality - Impaired / EAD Portfolio Quality - Impaired / EAD

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Def

ault

ed /

EA

D

Figure F4: Quality

Sep-

08

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08

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0%

20%

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80%

100%

120%

140%

160%

180%

Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD


Figure F3: Relative risk

Sep-

08

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-11

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

Act

ual l

oss

es (i

n th

e q

uart

er) /

EA

D

Figure F5: Write-offs*


Appendix GOther retail: the inconsistency in what is included in other retail makes comparisons across the industry difficult

There is some inconsistency in the industry as to what is included in the other retail asset class. ANZ appear to have included SME retail in their other retail asset class whereas CBA and NAB appear not to have. For the purpose of this analysis we have included Westpac’s SME retail portfolio in other retail. Personal loans has been included in this asset class for all of the major banks.

Exposure appears to be generally stable over the period for the major banks (Figure G1).

Relative risk has also remained stable for the same period (Figure G3).

The proportion of defaulted and impaired assets has increased across all the banks over the past three months (Figure G4). Notably, CBA’s portfolio deterioration has been primarily driven by the fall in write-offs over the last quarter (Figure G5).

a There appears to be a re-classification of impaired and defaulted but not impaired assets between corporate and other retail exposures for ANZ disclosed in September 2009 when compared to the December 2009 disclosures.

b There appears to be a reclassification of the New Zealand credit card exposures for NAB from Qualifying Revolving to Other Retail as at September 09

c CBA’s impaired assets and write-offs included other retail prior to June 2009.

* Standardised impaired loans and write-offs are included for CBA

Sep-

08

Dec-

08

Mar

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09

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09

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09

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-10

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10

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-11

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08

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09

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09

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09

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10

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08

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09

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09

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10

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10

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-11

$0bn

$5bn

$10bn

$15bn

$20bn

$25bn

$30bn

$35bn

Exp

osu

re a

t d

efau

lt

Figure G1: Size

Sep-

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$0bn

$5bn

$10bn

$15bn

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RW

A a

nd E

L*12

.5

Figure G2: Absolute risk

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0%

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Rel

ativ

e ri

sk =

(RW

A +

EL*

12.5

)/ E

AD

Figure G3: Relative risk

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Portfolio Quality − Defaulted but not impaired / EAD Portfolio Quality − Impaired / EAD

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Def

ault

ed /

EA

D

Figure G4: Qualitya b

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0.00%

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3.00%

Act

ual l

oss

es (i

n th

e q

uart

er) /

EA

D

Figure G5: Write-offsc


Appendix HOther risks: changes have varied across the major banks

The RWA for other assets has been stable for ANZ since June 2010 while the other banks have had volatile experience (Figure H1).

NAB continues to have the highest RWA relating to securitisation exposures, although this has decreased over the last 12 months (Figure H2).

Equity risk (Figure H3) has been steady for ANZ and Westpac, with CBA continuing to decrease since March 2010 and NAB increasing over the last 3 quarters.

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$10bn

Ris

k W

eig

hted

Ass

ets

Figure H1: Other assets

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ets

Figure H2: Securitisation

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$0bn

$1bn

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$3bn

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k W

eig

hted

Ass

ets

Figure H3: Equity risk


pwc.com.au

© 2011 PricewaterhouseCoopers. All rights reserved. In this document, “PwC” refers to PricewaterhouseCoopers a partnership formed in Australia, which is a member firm of PricewaterhouseCoopers International Limited, each member firm of which is a separate legal entity.

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