Citigroup Pty Limited PILLAR III DISCLOSURES Citigroup Pty Limited Consolidated Group Capital Adequacy and Risk disclosures 31 December 2017 Incorporating the implementation of Basel III and the requirements of Australian Prudential Standard APS 330 ABN 88 004 325 080
Pillar III Disclosure Capital Adequacy In accordance with APRA Prudential Standard APS 330, Table 3, Citigroup Pty Limited s capital adequacy in terms of risk-weighted assets as at 31 December 2017 was: Capital Adequacy Common Equity Tier 1 Capital Adequacy Ratio 30.1% 31.8% Tier 1 Capital Adequacy Ratio 30.1% 31.8% Capital Adequacy Ratio 31.0% 32.8% Risk Weighted Assets (RWA) A$ millions Credit Risk by portfolio Residential Mortgage 2,598.8 2,605.7 Other retail (1) 6,030.2 5,953.4 Corporate 160.8 143.4 Bank 306.6 367.1 Government - - All Other 180.3 165.1 Securitisation 106.0 64.8 Credit risk 9,382.7 9,299.5 Market risk 0.2 5.1 Operational risk 1,396.5 1,330.8 risk weighted assets (RWA) 10,779.4 10,635.5 (1) Consists of credit cards and other personal unsecured lending. 2
Pillar III Disclosure Credit Risk a) Credit risk Balance Dec 2017 Average securities Other Derivatives Commitments (1) Cash Loans securities Other Derivatives Commitments (1) Cash Loans Credit risk exposures Residential Mortgage 6,836.8 130.7 6,967.5 6,824.0 145.2 6,969.1 Other retail 5,891.1 5,891.1 5,855.3 5,855.3 Corporate 165.2 7.1 172.3 160.6 3.6 164.2 Bank 88.4 1,424.1 9.3 1,521.8 82.7 1,567.4 16.9 1,667.0 Government 40.0 1,264.1 1,304.1 35.2 1,082.4 1,117.5 All Other 180.3 180.3 172.7 172.7 128.4 12,893.1 2,688.2 180.3 9.3 137.8 16,037.1 117.8 12,839.8 2,649.8 172.7 16.9 148.8 15,945.7 Sep 2017 Balance Average Cash Loans securities Other Derivatives Commitments (1) Cash Loans securities Other Derivatives Commitments (1) Credit risk exposures Residential Mortgage 6,811.1 159.7 6,970.8 6,864.3 139.9 7,004.2 Other retail 5,819.5 5,819.5 5,862.5 5,862.5 Corporate 155.9-155.9 151.3 0.6 151.9 Bank 76.9 1,710.8 24.5 1,812.2 101.1 1,824.3 25.0 1,950.4 Government 30.3 900.6 930.9 30.6 903.0 933.5 All Other 165.1 165.1 162.3 162.3 107.2 12,786.5 2,611.4 165.1 24.5 159.7 15,854.4 131.7 12,878.1 2,727.2 162.3 25.0 140.5 16,064.7 b) Impairment Impaired facilities (2) Past due facilities (3) Specific provisions (4) Charges for specific provisions & write-off for the quarter Residential Mortgage Dec 2017 Other retail Sep 2017 Residential Mortgage Other retail 5.5 45.0 50.5 4.6 45.4 50.0 117.2 233.2 350.4 117.0 222.6 339.6 3.5 177.8 181.3 3.7 173.3 177.0 0.3 62.1 62.4 0.6 64.7 65.3 c) General reserve for credit losses 98.6 102.9 Notes: 1 These amounts represent the credit equivalent amount. 2 Impaired facilities are those items for which the ultimate collectibility of principal and interest is compromised. 3 Past due facilities are those loans where the contractual interest or principal payments are 90 days past due but CPL believes that conditions for impairment have not been met. 4 The specific provision represents both individually assessed provisions and a portion of collectively assessed provisions. The measure of credit losses is in accordance with Australian Accounting Standards (AASB) and APRA regulatory requirements. 3
Pillar III Disclosure Securitisation Exposures Securitisation Activity Summary of current period s securitisation activity including the total amount of exposures securitised (by exposure type) and recognised gain or loss on sale by exposure type. Underlying asset type Recognized gain or (loss) on sale a) Underlying asset type Residential mortgage exposures 1,631.0 - - - Credit card and other personal loans - - - - Other retail - - - - Recognized gain or (loss) on sale - - - - Securitisation Exposure Aggregate amount of: on-balance sheet securitisation exposures retained or purchased broken down by exposure type off-balance sheet securitisation exposures broken down by exposure type On Balance Sheet Off Balance Sheet b) Securitisation facility type Holding of securities 97.4 104.5 - - Liquidity support facilities 8.8 9.4 - - Other credit enhancements - - - - Other 8.5 5.2 - - 114.7 119.1 - - 4
Liquidity Coverage Ratio Disclosure The Liquidity Coverage Ratio (LCR) requires CPL to hold a sufficient amount of High Quality Liquid Assets (HQLA) to withstand a 30-day period of stress, as defined in APRA s Prudential Standard APS 210 Liquidity. CPL reported a weighted average LCR of 169% in the quarter ended 31-Dec- 2017, above the minimum 100% requirement. Citigroup Pty Limited Consolidated Group Liquidity Coverage Ratio unweighted value (average) (1) 31-Dec-17 weighted value (average) (1) unweighted value (average) (2) weighted value (average) (2) A$m Liquid assets, of which: 1 High-quality liquid assets (HQLA) 1,205 927 2 Alternative liquid assets (ALA) 428 500 3 Reserve bank of New Zealand (RBNZ) securities - - Cash Outflows 4 Retail deposits and deposits from smallbusiness customers, of which: 5,377 1,344 5,566 805 5 stable deposits - 1,373 69 6 less stable deposits 5,377 1,344 4,193 736 7 Unsecured wholesale funding, of which: 949 583 375 210 8 operational deposits (all counterparties) and deposits in networks for cooperative banks - - - - 9 non-operational deposits (all counterparties) 949 583 338 173 10 unsecured debt - - 37 37 11 Secured wholesale funding - - 12 Additional requirements, of which 13 outflows related to derivatives exposures and other collateral requirements - - - - 14 outflows related to loss of funding on debt products - - - - 15 credit and liquidity facilities 1,850 93 1,864 93 16 Other contractual funding obligations 89 89 58 58 17 Other contingent funding obligations 11,541 577 8,819 441 18 cash outflows 2,686 1,607 Cash inflows 19 Secured lending (e.g. reverse repos) 20 Inflows from fully performing exposures 1,569 1,569 2,135 2,135 21 Other cash inflows 268 268 67 55 22 cash inflows 1,837 1,837 2,202 2,190 adjusted value 31-Dec-16 adjusted value 23 liquid assets 1,633 1,427 24 net cash outflows 964 402 25 Liquidity Coverage Ratio (%) 169% 355% Liquid Assets comprise primarily: HQLA: Australian Commonwealth Government securities, Semi-Government securities and Reserve Bank of Australia (RBA) cash deposits; Alternative Liquid Assets (ALA): the amount of undrawn Committed Liquidity Facility (CLF) provided by the RBA. The CLF value in the LCR is the lesser of the value of collateral held under the facility and the value of the approved level of CLF. Cash outflows are primarily retail deposits, small business customer deposits and wholesale funding. Outflows are determined by applying regulatory defined run-off factors. Cash inflows are comprised primarily of placements to other financial institutions. Inflows are determined by applying regulatory defined inflow factors. net cash outflows is calculated as the net of cash outflows and cash inflows, with total expected cash inflows capped at 75% of the total expected cash outflows. 5 (1) The averages presented are calculated as simple averages of daily observations over the previous quarter. (2) Average figures are simple averages of the end period balances for the months of October, November and December 2016.