Capital adequacy annual report 2015

Transcription

BASEL Pillar 3
Public Disclosure of Prudential Information under APS 330
As at 31 Dec 2015
Bank of China (Australia) Limited
BASEL Pillar 3
Public Disclosure of Prudential Information Part 1
under APS 330 – Dec 2015
Bank of China (Australia) Limited is using the post 1 January 2018 capital disclosure template because it is fully applying the Basel III
regulatory adjustments as implemented by APRA.
Table 1 Common Equity Tier 1 capital: instruments and reserves
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
26a
26b
26c
26d
26e
26f
26g
26h
26i
26j
27
28
Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities)
capital
Retained earnings
Accumulated other comprehensive income (and other reserves)
Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned
companies)
Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in
group CET1)
Common Equity Tier 1 capital before regulatory adjustments
Common Equity Tier 1 capital : regulatory adjustments
Prudential valuation adjustments
Goodwill (net of related tax liability)
Other intangibles other than mortgage servicing rights (net of related tax liability)
Deferred tax assets that rely on future profitability excluding those arising from temporary
differences (net of related tax liability)
Cash-flow hedge reserve
Shortfall of provisions to expected losses
A$m
Reconciliation
Table Reference
80.0
17.3
0.0
Table 1: E19
Table 1: E21
Table 1: E20
97.4
-
Securitisation gain on sale (as set out in paragraph 562 of Basel II framework)
Gains and losses due to changes in own credit risk on fair valued liabilities
Defined benefit superannuation fund net assets
-
Investments in own shares (if not already netted off paid-in capital on reported balance
sheet)
Reciprocal cross-holdings in common equity
-
Investments in the capital of banking, financial and insurance entities that are outside the
scope of regulatory consolidation, net of eligible short positions, where the ADI does not
own more than 10% of the issued share capital (amount above 10% threshold)
-
Significant investments in the ordinary shares of banking, financial and insurance entities
that are outside the scope of regulatory consolidation, net of eligible short positions
(amount above 10% threshold)
Mortgage service rights (amount above 10% threshold)
Deferred tax assets arising from temporary differences (amount above 10% threshold, net
of related tax liability)
Amount exceeding the 15% threshold
of which: significant investments in the ordinary shares of financial entities
of which: mortgage servicing rights
of which: deferred tax assets arising from temporary differences
National specific regulatory adjustments (sum of rows 26a, 26b, 26c, 26d, 26e, 26f, 26g,
26h, 26i and 26j)
of which: treasury shares
of which: offset to dividends declared under a dividend reinvestment plan (DRP), to
the extent that the dividends are used to purchase new ordinary shares issued by the
ADI
of which: deferred fee income
of which: equity investments in financial institutions not reported in rows 18, 19 and
23
of which: deferred tax assets not reported in rows 10, 21 and 25
of which: capitalised expenses
of which: investments in commercial (non-financial) entities that are deducted under
APRA prudential requirements
of which: covered bonds in excess of asset cover in pools
of which: undercapitalisation of a non-consolidated subsidiary
of which: other national specific regulatory adjustments not reported in rows 26a to
26i
Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier
1 and Tier 2 to cover deductions
Total regulatory adjustments to Common Equity Tier 1
Page 2
(0.8)
(0.8)
Table 1: A8, L15
(2.2)
-
(2.2)
(3.0)
Table 2
BASEL Pillar 3
29
30
31
32
33
34
35
36
37
38
39
40
41
41a
41b
41c
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
56a
56b
56c
57
58
59
60
61
Common Equity Tier 1 Capital (CET1)
Additional Tier 1 Capital: instruments
Directly issued qualifying Additional Tier 1 instruments
of which: classified as equity under applicable accounting standards
of which: classified as liabilities under applicable accounting standards
Directly issued capital instruments subject to phase out from Additional Tier 1
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by
subsidiaries and held by third parties (amount allowed in group AT1)
of which: instruments issued by subsidiaries subject to phase out
Additional Tier 1 Capital before regulatory adjustments
Investments in own Additional Tier 1 instruments
Reciprocal cross-holdings in Additional Tier 1 instruments
Investments in the capital of banking, financial and insurance entities that are outside the
scope of regulatory consolidation, net of eligible short positions, where the ADI does not
own more than 10% of the issued share capital (amount above 10% threshold)
Significant investments in the capital of banking, financial and insurance entities that are
outside the scope of regulatory consolidation (net of eligible short positions)
National specific regulatory adjustments (sum of rows 41a, 41b and 41c)
of which: holdings of capital instruments in group members by other group members on
behalf of third parties
of which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidations not reported in rows 39 and 40
of which: other national specific regulatory adjustments not reported in rows 41a and 41b
Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover
deductions
Total regulatory adjustments to Additional Tier 1 capital
Additional Tier 1 capital (AT1)
Tier 1 Capital (T1=CET1+AT1)
Tier 2 Capital: instruments and provisions
Directly issued qualifying Tier 2 instruments
Directly issued capital instruments subject to phase out from Tier 2
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by
subsidiaries and held by third parties (amount allowed in group T2)
of which: instruments issued by subsidiaries subject to phase out
Provisions
Tier 2 Capital before regulatory adjustments
Tier 2 Capital: regulatory adjustments
Investments in own Tier 2 instruments
Reciprocal cross-holdings in Tier 2 instruments
Investments in the Tier 2 capital of banking, financial and insurance entities that are
outside the scope of regulatory consolidation, net of eligible short positions, where the ADI
does not own more than 10% of the issued share capital (amount above 10% threshold)
Significant investments in the Tier 2 capital of banking, financial and insurance entities that
are outside the scope of regulatory consolidation, net of eligible short positions
National specific regulatory adjustments
(sum of rows 56a, 56b and 56c)
of which: holdings of capital instruments in group members by other group members on
behalf of third parties
of which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidation not reported in rows 54 and 55
of which: other national specific regulatory adjustments not reported in rows 56a and 56b
Total regulatory adjustments to Tier 2 capital
Tier 2 capital (T2)
Total capital (TC=T1+T2)
Total risk-weighted assets based on APRA standards
Capital ratios and buffers
Common Equity Tier 1 (as a percentage of risk-weighted assets)
Page 3
94.4
-
-
94.4
1.7
1.7
-
-
1.7
96.1
634.5
14.9%
Table 3
BASEL Pillar 3
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
Tier 1 (as a percentage of risk-weighted assets)
Total capital (as a percentage of risk-weighted assets)
Buffer requirement (minimum CET1 requirement of 5% plus capital conservation buffer of
2% plus any countercyclical buffer requirements expressed as a percentage of riskweighted assets)
of which: capital conservation buffer requirement
of which: ADI-specific countercyclical buffer requirements
of which: G-SIB buffer requirement (not applicable)
Common Equity Tier 1 available to meet buffers (as a percentage of risk-weighted
assets)
National minima (if different from Basel III)
National Common Equity Tier 1 minimum ratio (if different from Basel III minimum)
National Tier 1 minimum ratio (if different from Basel III minimum)
National total capital minimum ratio (if different from Basel III minimum)
Amount below thresholds for deductions (not risk-weighted)
Non-significant investments in the capital of other financial entities
Significant investments in the ordinary shares of financial entities
Mortgage servicing rights (net of related tax liability)
Deferred tax assets arising from temporary differences (net of related tax liability)
Applicable caps on the inclusion of provisions in Tier 2
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised
approach (prior to application of cap)
Cap on inclusion of provisions in Tier 2 under standardised approach
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratingsbased approach (prior to application of cap)
Cap for inclusion of provisions in Tier 2 under internal ratings-based approach
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)
Current cap on CET1 instruments subject to phase out arrangements
14.9%
15.1%
7.0%
2.0%
0.0%
n/a
14.9%
-
1.7
7.2
n/a
Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities
Current cap on AT1 instruments subject to phase out arrangements
Amount excluded from AT1 instruments due to cap (excess over cap after redemptions and
maturities)
Current cap on T2 instruments subject to phase out arrangements
n/a
n/a
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)
n/a
Page 4
n/a
n/a
BASEL Pillar 3
Reconciliation Table 1. Audited Financial Statement
Ref
Financial Statement
Balance Sheet under
Regulatory Scope of
Consolidation
A$m
A$m
per audited accounts
Assets
Cash and liquid assets
A1
12.8
12.8
Receivables due from financial institutions
A2
198.9
198.9
Financial assets at fair value through income statement
A3
-
-
Derivative assets
A4
0.2
0.2
Available-for-sale financial assets
A5
217.7
217.7
Loans and advances
A6
918.8
918.8
Tax recoverable
A7
-
-
Deferred tax assets
A8
0.8
0.8
Other assets
A9
4.7
4.7
Total assets
A10
1,353.8
1,353.8
Payables due to financial institutions
L11
14.2
14.2
Derivative liabilities
L12
2.2
2.2
Customer deposits
L13
1,227.0
1,227.0
Current tax liabilities
L14
0.6
0.6
Deferred tax liabilities
L15
0.0
0.0
Other liabilities
L16
12.5
12.5
Total liabilities
L17
1,256.6
1,256.6
Liability
Net assets
L18
97.2
97.2
-
Equity
-
Contributed equity
E19
Reserves
E20
0.0
0.0
Retained profits
E21
17.2
17.2
Total contributed equity
E22
97.2
97.2
Reconciliation Table 2. Other assets
80.0
Ref
Consolidated
A$m
11. Other assets
Accrued interest receivable
Prepaid expenses and other receivables
2.7
2.3
Total Other Assets
4.9
Prepaid expenses and other receivables
Exlucde other receivables
Capitalised expenses
2.3
0.1
Reconciliation Table 3. Provision
2.2
Row 26f
Ref
Consolidated
$'000,000
80.0
BASEL Pillar 3
10. Loan and advances
Housing loans
Personal loans
Corporate loans
Overdrafts
855.9
23.4
41.2
0.9
Total
921.3
Provision for impairment:
Collective provision
Individually assessed provisions
Total
(2.5)
(0.1)
(2.6)
-
Total Loan and advances
918.8
Provision
Collective provision
Adjusted for tax effect
Provisions
2.5
(0.7)
Raw 50
1.7
BASEL Pillar 3
Bank of China (Australia) Limited is using the post 1 January 2018 capital disclosure template because it is fully applying the Basel
III regulatory adjustments as implemented by APRA.
Table 2. Disclosure template for main features of Regulatory Capital instruments
Ordinary Shares
1
Issuer
Bank of China (Austrlia) Limited
2
N/A
Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)
3
Governing law(s) of the instrument
Australia
Regulatory treatment
4
Transitional Basel III rules
Common Equity Tier 1
5
Post-transitional Basel III rules
Common Equity Tier 1
6
Eligible at solo/group/group & solo
Solo
Instrument type (ordinary shares/preference shares/subordinated
7
Ordinary Shares
notes/other)
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
Amount recognised in Regulatory Capital (Currency in mil, as of most recent
reporting date)
Par value of instrument
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior supervisory approval
Optional call date, contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupons/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger (s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down feature
If write-down, write-down trigger(s)
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism
35
Position in subordination hierarchy in liquidation (specify instrument type
immediately senior to instrument)
36
37
Non-compliant transitioned features
If yes, specify non-compliant features
AUD 80M
N/A
Shareholder's Equity
22/09/2005
Perpetual
No Maturity
No
N/A
N/A
N/A
N/A
No
Fully discretionary
No
Noncumulative
Nonconvertible
N/A
N/A
N/A
N/A
N/A
N/A
No
N/A
N/A
N/A
N/A
Ordinary shareholders rank after all other
shareholders and creditors and are fully
entitled to any residual proceeds of
liquidation
No
N/A
BASEL Pillar 3
under APS 330 – DEC 2015
Table 3: Capital Adequacy
(a) Capital requirements (in terms of risk-weighted assets) for:
• Credit Risk
Residential mortgage
Other retail
Corporate
Bank
Government
Other risk assets
Perfomance-related Contingencies
Loan commitment
Market related derivatives
• Securitisation
2015 Dec
Quarter
(A$m)
2015 Sep
Quarter
(A$m)
572.4
299.3
44.0
43.1
86.6
0.9
27.1
70.3
1.0
-
567.1
277.9
46.5
34.6
102.5
0.8
27.2
75.0
2.5
-
(b)
Capital requirements (in terms of risk-weighted assets) for equity
exposures in the IRB approach (simple risk-weighted method).
-
-
(c)
Capital requirements (in terms of risk-weighted assets) for market
risk.
0.8
1.0
(d)
Capital requirements (in terms of risk-weighted assets) for
operational risk.
61.2
55.0
-
-
14.9%
14.9%
15.1%
14.9%
14.9%
15.2%
Capital requirements (in terms of risk-weighted assets) for interest
(e) rate risk in the banking book (IRRBB) (IRB/AMA approved Asutralianowned ADIs only).
Common Equity Tier 1, Tier 1 and Total Capital ratio for the
(f)
consolidated banking group.
• Common Equity Tier 1 Ratio
• Tier 1 Ratio
• Total Capital Ratio
BASEL Pillar 3
Table 4: Credit Risk
(a)
Total gross credit exposures, plus average gross
exposure over the period, broken down by:
Total gross credit risk exposures, broken down by
Debt securities and Due from ADIs
Loans
Loan commitments
Performance-related contingencies
Market related derivatives
All other
Total gross credit risk exposures, broken down by portfolio
Claims secured by residential mortgage
Other retail
Corporate
Banks and other ADIs
Government
All other
(b) Amount of impaired facilities, provision and write-offs, by portfolio
Amount of impaired facilities, by portfolio
Other retail
Corporate
Government
All other
2015 Dec
Quarter
2015 Sep
Quarter
( Credit Risk
Exposure in
A$m)
( Credit Risk
Exposure in
A$m)
Average Balance
for the Quarter
( Credit Risk
Exposure in
A$m)
318.5
923.3
153.2
27.1
1.9
111.6
393.2
856.3
152.9
27.2
4.9
29.8
355.8
889.8
153.0
27.1
3.4
70.7
989.4
44.0
43.1
318.5
140.6
928.1
46.5
34.6
393.2
61.8
958.7
45.3
38.9
355.8
4.3
-
4.6
-
101.2
4.4
-
BASEL Pillar 3
Table 4: Credit Risk (Continued)
(c)
Amount of past due items, by portfolio*
Other retail
Corporate
Government
All other
Amount of specific provision, by portfolio
Other retail
Corporate
Government
All other
Charges for specific provisions and write-offs during the period
Other retail
Corporate
Government
All other
General reserves for credit losses
*Amount of past due but not impaired items
2015 Dec
Quarter
2015 Sep
Quarter
( Credit Risk
Exposure in
A$m)
( Credit Risk
Exposure in
A$m)
Average Balance
for the Quarter
( Credit Risk
Exposure in
A$m)
-
-
-
0.1
-
0.3
-
0.2
-
2.5
2.3
2.4
BASEL Pillar 3
Table 5: Securitisation exposures
The Bank had successfully completed a self securitisation for China Dragon Trust Series
2013-1R on 3 October 2013. The transaction is a securitisation of a portfolio of Australian
prime loans backed by residential mortgage originated by the Bank. Total amount of
mortgage transferred amounted to AUD 121.9 million. The Bank holds notes issued by
this Trust. This Trust is a special purpose entity consolidated by the Bank.
Moody's Investors Service has assigned the following definitive long-term rating to notes
issued by Perpetual Corporate Trust Limited in its capacity as trustee of the China Dragon
Trust Series 2013-1R (Trust).
The complete rating action is as follows:
— AUD 112 million of Class A Notes, rated Aaa
The AUD 13 million Class B Notes are not rated.
The self securitisation transaction is entered by the Bank for the purpose of generating
extra contingency funding channel during liquidity crisis.
(a)
Securitisation activity of current period
(AUD million)
Residential Mortgage
Total exposure securitized during the period
(b)
Exposure securitized Recognized gain(or loss) on
sale
2015 Q4
-
2015 Q3
-
2015 Q4
-
2015 Q3
-
-
-
-
-
2015 Q4
2015 Q3
On balance sheet securitisation exposure
Securities held in the banking book
Total on balance sheet exposure
58.23
58.23
62.80
62.80
Funding facilities
Credit enhancements
Derivatives - Basis swaps
Total off balance sheet exposures
10.00
13.00
56.7
79.7
10.00
13.00
63.59
86.6
BASEL Pillar 3
Liquidity Risk
Liquidity Coverage Ratio Disclosure
The Bank manages its LCR position on a daily basis, ensuring a buffer is maintained over
the minimum regulatory requirement and the Board’s risk tolerance. Any methodologies
used to determine LCR treatment are reviewed regularly.
The Bank holds a simple mix of High Quality Liquid Assets, consisting of cash and
deposits with central banks, together with securities eligible for repo with the Reserve
Bank of Australia under the Committed Liquidity Facility (CLF). In addition to the
approved CLF amount of AUD 85 Million, the Band holds extra repo eligible securities
as liquid assets to support regulatory and internal requirements. The composition of the
liquid asset portfolio has remained relatively stable and commensurate with its business
size, characteristics and complexity of the Bank over 2015.
The Bank follows a simple retail-based business model, with the major funding sourced
from retail deposits, together with short term funding support from Bank of China
Sydney Branch. In terms of currency mismatch, majority of the Bank’s funding is AUD
denominated, together with a small portion of USD and CNY, to support its AUD based
mortgage lending and repo eligible securities.
The Bank follows the principle of prudence in its liquidity management strategy, and
manages its funding maturity profile, deposit product diversification and customer
relationships to minimize Net Cash Outflows. The relatively strong deposit growth
compared to mortgage lending is main driver of the LCR results throughout 2015.
Despite of the strong deposit growth, the cash outflows associated with the Bank's retail
funding base were relatively stable, which has provided the Bank sufficient liquidity to
support the mortgage growth.
APS 330 Table 20 - LCR disclosure template 2015Q4
Liquid assets, of which:
1
High-quality liquid assets (HQLA)
2
Alternative liquid assets (ALA)
Reserve Bank of New Zealand (RBNZ)
3
securities
Cash outflows
Retail deposits and deposits from small
4
business customers, of which:
5
6
7
8
9
10
11
12
13
Stable deposits
Less stable deposits
Unsecured wholesale funding, of which:
Operational deposits (all counterparties) and
deposits in networks for cooperative banks
Non-operational deposits (all counterparties)
Unsecured debt
Secured wholesale funding
Additional requirements, of which:
Outflows related to derivatives exposures and
other collateral requirements
Outflows related to loss of funding on debt
products
15
Credit and liquidity facilities
16
Other contractual funding obligations
17
Other contingent funding obligations
18
Total cash outflows
Cash inflows
19
Secured lending
20
Inflows from fully performing exposures
21
Other cash inflows
22
Total cash inflows
23
Total liquid assets
24
Total net cash outflows
25
Liquidity Coverage Ratio (%)
Number of data points used (Business Days)
14
2015-12-31
2015-12-31
Total
unweighted
value
(average)
Total
weighted
value
(average)
$M
$M
93
85
-
1,170
174
570
601
16
28
145
16
0
0
16
334
16
75
61
61
-
-
273
2
1,523
14
2
267
83
84
166
83
84
166
178
105
176
92
1
2
3
securities
Cash outflows
4
5
6
7
8
9
10
11
12
13
Stable deposits
Unsecured debt
products
15
16
17
18
Total cash outflows
Cash inflows
19
Secured lending
20
21
Other cash inflows
22
Total cash inflows
23
Total liquid assets
24
25
14
2015-09-30
2015-09-30
Total
unweighted
value
(average)
Total
weighted
value
(average)
$M
$M
121
85
-
1,151
171
559
592
17
28
143
17
0
0
17
358
17
107
94
94
-
-
264
1
1,526
13
1
296
104
115
218
104
115
218
206
93
231
92
1
2
3
securities
Cash outflows
4
5
6
7
8
9
10
11
12
13
Stable deposits
Unsecured debt
products
15
16
17
18
Total cash outflows
Cash inflows
19
Secured lending
20
21
Other cash inflows
22
Total cash inflows
23
Total liquid assets
24
25
14
2015-06-30
2015-06-30
Total
unweighted
value
(average)
Total
weighted
value
(average)
$M
$M
128
85
-
1,072
161
507
565
15
25
136
14
0
0
14
355
14
101
88
88
-
-
267
1
1,443
13
1
278
100
106
206
100
106
206
213
96
236
91
1
2
3
securities
Cash outflows
4
5
6
7
8
9
10
11
12
13
Stable deposits
Unsecured debt
products
15
16
17
18
Total cash outflows
Cash inflows
19
Secured lending
20
21
Other cash inflows
22
Total cash inflows
23
Total liquid assets
24
25
14
2015-03-31
2015-03-31
Total
unweighted
value
(average)
Total
weighted
value
(average)
$M
$M
67
84
-
1,005
144
518
487
13
26
118
13
0
0
13
325
13
77
64
64
-
-
261
1,344
13
234
129
72
201
129
72
201
152
61
250
90

Capital adequacy annual report 2015

Transcription

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