Wholesale Banking Performance Analysis
77
78
Structured Asset Management
Credit Wrapped ABS - $0.5bn
Current NAB Exposure
Average Portfolio Rating
(excludes Portfolio Policy, includes Bond Level Policies)
Portfolio Guarantor
% of Underlying Asset with Wrap
Asset Breakdown
Residential Mortgage Backed Security*
Commercial Mortgage Backed Security
Insurance
Student Loan
Collateralised Debt Obligation
Transportation & Other ABS
Portfolio 1
$305m
(US$318m)
B3/B
MBIA (B3/B)
43.4%
Portfolio 2
$209m
(US$217m)
Caa1/ CCC+
AMBAC (NR/NR) - Policy
terminated Oct 2011
30.7%
34.1%
47.8%
0.0%
5.2%
15.6%
3.5%
7.1%
32.1%
27.4%
0.0%
15.9%
11.4%
* Note that this includes Subprime, Prime, Alternative A, 2nd Lien and HELOC RMBS
▸ NAB owns a pro-rata share of two RMBS/ABS portfolios with concentrations to US residential
mortgage-backed securities
▸ At issue, all bonds in the portfolios were rated AAA/Aaa by S&P and Moody's either directly or as the result
of an insurance policy
▸ In addition to the bond-level policies covering a portion of each portfolio, there is a portfolio-wide policy from MBIA
on Portfolio 1 that serves as insurance against loss. The AMBAC portfolio-wide policy was terminated by mutual
agreement in October 2011
▸ The provision held against the portfolios has not materially changed
▸ Following a change in treatment, the RWA for the Credit Wrapped ABS has been reduced by $3.2bn, with a
corresponding increase in capital deductions of $229m
Portfolio Composition as at 31 March 2012
Total
Total Provisions
Commitments (specific &
(A$bn) collective)
Average
Contractual RWAS Number
Tenor (A$bn) of Clients
(years)
Close Review
Commitments
(A$bn)
(A$m)
Leveraged
Finance UK
0.8
94
2.9
1.5
28
0.2
Corporate UK¹
1.5
116
1.6
2.3
33
33
0.9
Structured Asset
1.3
15
Finance UK
15
14.7
0.9
110
Private Portfolio
0.6
7
8.5
0.6
USA
90
16
0.0
Structured
Asset
Management
47%
23
0.0
Total Loans
4.2
232
n/a
5.3
100
1.1
& Advances
117
Structured Asset
Management²
3.7
91
=
Total
(1) Of which:
Property UK
(2) Hold To Maturity Assets
11.0
2.7
7.9
323
8.8
8.0
00
0.4
68
808
27
22
0.5
55
127
1.6
0.8
0.9
15
0.3
National Australia Bank
Private
Portfolio USA
8%
Leveraged
Finance UK
10%
Corporate UK
19%
Structured Asset
Finance UK
16%
National Australia BankView entire presentation