As at 31 March 2023
Based on Level 2 – Reporting Consolidated Group
Disclosure of Prudential Information: Risk Exposures and Assessment, March 2023
Capital Adequacy
| Risk Weighted Assets | $m |
|
Credit Risk (excluding securitisation) by portfolio Property exposures Residential property Land acquisition, development and construction Commercial property
Non-property exposures Bank Retail Corporate Other |
5208.9 141.7 20.3
1,137.9 159.3 0.8 121.7 |
| Total Credit Risk (excluding securitisation) | 6,790.6 |
|
Credit Risk (securitisation) Operational Risk |
91.1 688.2 |
| Total Risk Weighted Assets | 7,569.9 |
| Capital Base | $m |
|
Common Equity Tier 1 Capital before regulatory adjustments Regulatory adjustments Common Equity Tier 1 Capital Tier 2 Capital |
1,731.9 (106.1) 1,625.8 13.1 |
| Total Capital | 1,638.9 |
|
Capital Ratios: Common Equity Tier 1 Ratio Tier 1 Ratio Total Capital Ratio |
% 21.5% 21.5% 21.7% |
Credit Risk (excluding Securitisation Exposures)
|
Type of Credit Exposure |
Gross Credit Risk Exposure $m |
Average Gross Exposure (1,2) $m |
Non- Performing Facilities $m |
Specific Provisions $m |
Charges for specific provisions $m |
Write-offs $m |
Forward looking provisions against performing exposures (3) $m |
|
Cash and investment securities Loans and advances Other on-balance sheet assets Off-balance sheet commitments |
4,231.1 15492.1 121.7 1,165.6 |
2,862.2 11,974.5 80.9 880.0 |
- 36.2 - - |
- 0.7 - - |
- 0.2 - - |
- - - - |
1.1 11.9 - - |
| 21,010.5 | 15,797.6 | 36.2 | 0.7 | 0.2 | - | 13.0 |
1. Average exposure is calculated by using closing monthly balances during the quarter.
2. For the March 2023 quarter, the average balances represent two months of Newcastle Permanent Building Society Limited (pre-merger) and one month of
Newcastle Greater Mutual Group Ltd (post-merger).
3. Represents provisions held against performing exposures that represent a purely forward-looking amount for future losses that are presently unidentified.
Securitisation Exposures
| Current period securitisation activity | Newcastle Greater Mutual Group Ltd Originated |
Non Newcastle Greater Mutual Group Ltd Originated |
||
|
(a) Investment securities Securities held in Residential Mortgage Backed Securities |
Balance $m 4,070.8 |
Gain/(Loss) on Sale $m - |
Balance $m 457.0 |
Gain/(Loss) on Sale $m - |
|
(b) Securitised Assets - Newcastle Greater Mutual Group Ltd Originated On-balance Sheet - Lending Housing Loans |
Balance $m 4,040.3 |
|
Off-balance Sheet - Lending Funding Facilities Swaps |
Notional Amount $m 920.1 2,062.4 |
Note:
These disclosures represent the first quarter that Newcastle Greater Mutual Group Ltd has applied the new capital requirements outlined in APS 112 Capital
Adequacy: Standardised Approach to Credit Risk (effective 1 January 2023).
Prior quarter reporting has not been disclosed on the basis that the underlying capital calculations, asset exposure categories and reporting definitions were
not comparable.