18 February 2021
Market Announcements Office ASX Limited
Level 4
20 Bridge Street SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 December 2020
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 31 December 2020.
This has been approved for distribution by ANZ's Continuous Disclosure Committee.
Yours faithfully
Simon Pordage Company Secretary
Australia and New Zealand Banking Group Limited
Australia and New Zealand Banking Group Limited ABN 11 005 357 522 ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008
2020
BASEL III PILLAR 3
DISCLOSURE
AS AT 31 DECEMBER 2020
APS 330: PUBLIC DISCLOSURE
Important notice
This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public
Disclosure.
1
ANZ Basel III Pillar 3 Disclosure December 2020
Table 3
Capital adequacy - Capital Ratios and Risk Weighted Assets1
Dec 20 | Sep 20 | Jun 20 | |
Risk Weighted Assets (RWA) | $M | $M | $M |
Subject to Advanced Internal Rating Based (IRB) approach | |||
Corporate | 132,872 | 139,415 | 146,850 |
Sovereign | 7,856 | 7,545 | 6,656 |
Bank | 10,893 | 12,734 | 14,794 |
Residential Mortgage | 111,842 | 110,353 | 109,500 |
Qualifying Revolving Retail | 4,008 | 4,337 | 4,705 |
Other Retail | 21,391 | 21,794 | 24,279 |
Credit risk weighted assets subject to Advanced IRB approach | 288,862 | 296,178 | 306,784 |
Credit Risk Specialised Lending exposures subject to slotting approach1 | 38,637 | 39,001 | 38,784 |
Subject to Standardised approach | |||
Corporate | 10,072 | 10,185 | 12,331 |
Sovereign | 156 | 220 | - |
Residential Mortgage | 203 | 210 | 214 |
Other Retail | 27 | 33 | 38 |
Credit risk weighted assets subject to Standardised approach | 10,458 | 10,648 | 12,583 |
Credit Valuation Adjustment and Qualifying Central Counterparties | 5,724 | 7,710 | 7,786 |
Credit risk weighted assets relating to securitisation exposures | 2,190 | 2,125 | 2,096 |
Other assets | 4,351 | 4,375 | 4,208 |
Total credit risk weighted assets | 350,222 | 360,037 | 372,241 |
Market risk weighted assets | 10,215 | 8,237 | 7,609 |
Operational risk weighted assets | 47,372 | 47,563 | 46,961 |
Interest rate risk in the banking book (IRRBB) risk weighted assets | 14,202 | 13,547 | 9,874 |
Total Risk Weighted Assets | 422,011 | 429,384 | 436,685 |
Capital ratios (%) | Dec 20 | Sep 20 | Jun 20 |
Level 2 Common Equity Tier 1 capital ratio | 11.7% | 11.3% | 11.1% |
Level 2 Tier 1 capital ratio | 13.5% | 13.2% | 12.9% |
Level 2 Total capital ratio | 17.3% | 16.4% | 15.8% |
Basel III APRA level 2 CET1 | Dec 20 | Sep 20 | Jun 20 |
Common Equity Tier 1 Capital | 49,334 | 48,702 | 48,609 |
Total Risk Weighted Assets | 422,011 | 429,384 | 436,685 |
Common Equity Tier 1 capital ratio | 11.7% | 11.3% | 11.1% |
Basel III APRA level 1 Extended licensed entity CET1 | Dec 20 | Sep 20 | Jun 20 |
Common Equity Tier 1 Capital | 44,353 | 43,904 | 43,711 |
Total Risk Weighted Assets | 384,857 | 391,939 | 396,235 |
Common Equity Tier 1 capital ratio | 11.5% | 11.2% | 11.0% |
Credit Risk Weighted Assets (CRWA) |
Total CRWA decreased $9.8 billion (-2.7%) from September 2020 to $350.2 billion at December 2020. The decrease was driven by the Institutional business across Corporate and Bank asset classes from a reduction in exposures combined with the impact of foreign exchange movements. CVA and QCCP RWA reduction driven by additional CVA hedging actions during the quarter.
Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA increased $1.98 billion (24.0%) over the quarter due to increases in 10d VaR and Stressed VaR. IRRBB RWA increased due to greater Repricing and Yield Curve risk.
1 Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from the asset being financed, and includes specified commercial property development/investment lending and project finance.
2
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ANZ - Australia & New Zealand Banking Group Ltd. published this content on 18 February 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 17 February 2021 21:31:05 UTC.