Financial Stability Review – September 2014 List of tables

  • Table 2.1: Australian-owned Banks' International Exposures
  • Table 2.2: Australian Banks' Risk-weighted Assets
  • Table 2.3: Financial Sector Composition by Entity Type(a)
  • Table 2.4: Assets of Domestic Funds Management Institutions

Boxes

  • Table A1: Recent Examples of Basel III Compliant Contingent Convertible Bond Issuance
  • Table A2: European AT1 Investors(a)
  • Table C1: Investor Housing Leverage and Debt Serviceability
Table 2.1: Australian-owned Banks' International Exposures
Ultimate risk basis, as at March
Level Share of international exposures Share of global consolidated assets
2014 2014 2014 2009
$ billion Per cent Per cent Per cent
New Zealand 323 40.1 9.4 9.6
United Kingdom 135 16.8 3.9 5.2
United States 101 12.6 2.9 2.0
Asia(a) 147 18.2 4.3 1.2
– China 39 4.9 1.1 0.1
Europe 54 6.6 1.6 2.6
Other 46 5.7 1.3 1.1
Total 807 100.0 23.4 21.8

(a) Includes offshore centres Hong Kong and Singapore

Sources: APRA; RBA

Table 2.2: Australian Banks' Risk-weighted Assets
As at June 2014
Level Share of total Six-month-ended annualised change
$ billion Per cent Per cent
Credit risk 1,416 86 2.8
Operational risk 152 9 1.9
Market risk 76 5 –15.7
Total risk-weighted assets 1,644 100 1.7
Source: APRA
Table 2.3: Financial Sector Composition by Entity Type(a)
Share of financial system assets, as at December
2007
Per cent
2013
Per cent
Banks, credit unions and building societies 52 55
Superannuation funds(b) 24 27
Insurers 3 3
Total prudentially regulated 79 85
Structured finance vehicles 6 6
Other investment funds 9 5
Finance companies 3 2
Money market corporations 2 1
Cash management trusts 1 0
Total non-prudentially regulated 21 15
Less:
– Self-securitisation 0 4
– Real estate investment funds 4 3
– Equity funds 4 2
– Prudentially consolidated assets(c) 3 1
Shadow banking sector estimate 10 5

(a) Excludes central bank
(b) Includes self-managed superannuation funds which are regulated by the Australian Taxation Office
(c) Assets that are consolidated as part of the prudentially consolidated banking group

Sources: ABS; APRA; RBA

Table 2.4: Assets of Domestic Funds Management Institutions
As at June 2014
Level Share of total Six-month-ended annualised change
Dec 2013 Jun 2014
$ billion Per cent Per cent Per cent
Superannuation funds 1,745 74 19.2 6.0
Life insurers(a) 281 12 14.9 5.4
Public unit trusts 294 12 2.9 1.7
Other managed funds(b) 36 2 −12.8 −2.7
Total (unconsolidated) 2,356 100 15.8 5.2
of which:
Cross investments 461 19.9 −5.5
Total (consolidated) 1,895 14.8 8.1

(a) Includes superannuation funds held in the statutory funds of life insurers
(b) Cash management trusts, common funds and friendly societies

Sources: ABS; RBA

Table A1: Recent Examples of Basel III Compliant Contingent Convertible Bond Issuance
Issuing Bank Issue Date Coupon Per cent Amount Billions Country Ranking(b) CET1(c) trigger Loss-absorption Mechanism
Banco Popular
Español
Oct 13 11.5 EUR 0.5 Spain AT1 5.125% Principal write-down
Barclays Nov 13 8.25 USD 2.0 UK AT1 7% Equity conversion
Crédit Agricole Apr 14 6.5 EUR 1.0 France AT1 5.125% and 7%(d) Temp write-down/ write-up
Deutsche Bank May 14 7.125 GBP 0.65 Germany AT1 5.125% Temp write-down/ write-up
UBS May 14 5.125 USD 2.5 Switzerland T2 5% Principal write-down (full)
Shengjing Bank May 14 6.18 CNY 2.2 China T2 No (PoNV) Principal write-down (full)

(a) Sample selected to emphasise the variety of unique features across and within regions
(b) AT1 or T2 capital ranking as identified by the issuer
(c) CET1 ratio to risk-weighted assets trigger specified where applicable; discretionary point of non-viability (PoNV) trigger identified where CET1 triggers are not required
(d) CET1 trigger tied to both the parent (7 per cent) and the issuing bank level (5.125 per cent) CET1 ratio

Sources: Bloomberg; Dealogic; RBA

Table A2: European AT1 Investors(a)
Share of issuance, per cent
Investor Type 2013 2014
Asset managers 63 59
Hedge funds 12 21
Insurance/pension funds 6 9
Banks/private banks 16 10
Other 3 1

(a) From a sample of 11 AT1 European contingent convertible instruments with data available on investor distribution

Sources: Dealogic; RBA

Table C1: Investor Housing Leverage and Debt Serviceability
Households with investor housing debt, by disposable income quintile, 2010
Income quintile Share of investor housing debt(a) Share of total housing debt(b) Median total housing debt repayments to disposable income ratio Ahead of schedule on owner-occupied housing debt repayments
Per cent Per cent Per cent Per cent of households in each income quintile
1 (lowest) 2 1 127 19
2 7 2 49 17
3 12 5 42 49
4 20 10 33 47
5 (highest) 60 28 28 54

(a) Sum does not total 100 due to rounding
(b) Total housing debt includes debt on investment properties and any owner-occupier housing debt

Source: HILDA Release 12.0