5 May 2021
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 March 2021
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure at 31 March 2021.
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
2021
BASEL III PILLAR 3
DISCLOSURE
AS AT 31 MARCH 2021
APS 330: PUBLIC DISCLOSURE
ANZ Basel III Pillar 3 Disclosure | March 2021 |
Important notice
This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure obligations under the Australian P r u d e n t i a l Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.
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ANZ Basel III Pillar 3 DisclosureMarch 2021
Table of Contents1
Chapter 1 | - Introduction .................................................................................................... | 3 | |
Purpose of this document............................................................................................. | 3 | ||
Chapter 2 | - Capital and capital adequacy ............................................................................. | 4 | |
Table | 1 | Capital disclosure template ........................................................................... | 5 |
Table | 2 | Main features of capital instruments ............................................................ | 14 |
Table | 6 | Capital adequacy....................................................................................... | 15 |
Chapter 3 | - Credit risk..................................................................................................... | 17 | |
Table | 7 | Credit risk - General disclosures ................................................................. | 17 |
Table | 8 | Credit risk - Disclosures for portfolios subject to the Standardised approach | |
and supervisory risk weights in the IRB approach .......................................... | 30 | ||
Table | 9 | Credit risk - Disclosures for portfolios subject to Advanced IRB approaches...... | 31 |
Table | 10 | Credit risk mitigation disclosures ................................................................. | 39 |
Table | 11 | General disclosures for derivatives and counterparty credit risk....................... | 42 |
Chapter 4 | - Securitisation ................................................................................................ | 44 | |
Table | 12 | Banking Book - Securitisation disclosures ..................................................... | 44 |
Trading Book - Securitisation disclosures...................................................... | 51 | ||
Chapter 5 | - Market risk ................................................................................................... | 52 | |
Table | 13 | Market risk - Standard approach................................................................. | 52 |
Table | 14 | Market risk - Internal models approach........................................................ | 53 |
Chapter 6 | - Equities ....................................................................................................... | 55 | |
Table | 16 | Equities - Disclosures for banking book positions .......................................... | 56 |
Chapter 7 | - Interest Rate Risk in the Banking Book ............................................................. | 57 | |
Table | 17 | Interest Rate Risk in the Banking Book ........................................................ | 57 |
Chapter 8 | - Leverage and Liquidity Ratio ........................................................................... | 58 | |
Table | 18 | Leverage Ratio .......................................................................................... | 58 |
Table | 19 | Summary comparison of accounting assets vs. leverage ratio exposure | |
measure.................................................................................................. | 59 | ||
Table | 20 | Liquidity Coverage Ratio............................................................................. | 60 |
Table | 21 | NSFR disclosure template ........................................................................... | 61 |
Glossary......................................................................................................................... | 63 |
1 Each table reference adopted in this document aligns to those required by APS 330 to be disclosed at half year.
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ANZ Basel III Pillar 3 Disclosure | March 2021 |
Chapter 1 - Introduction
Purpose of this document
This document has been prepared in accordance with the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.
APS 330 mandates the release to the investment community and general public of information relating to capital adequacy and risk management practices. APS 330 was established to implement Pillar 3 of the Basel Committee on Banking Supervision's framework for bank capital adequacy2. In simple terms, the Basel framework consists of three mutually reinforcing 'Pillars':
Pillar 1 | Pillar 2 | Pillar 3 | |||||
Minimum capital requirement | Supervisory review process | Market discipline | |||||
Minimum capital requirements for | Firm-wide risk oversight, Internal | Regular disclosure to the market of | |||||
Credit Risk, Operational Risk, Market | Capital | Adequacy | Assessment | qualitative | and quantitative | aspects | |
Risk and Interest Rate Risk in the | Process | (ICAAP), consideration of | of | risk | management, | capital | |
Banking Book | additional risks, capital buffers and | adequacy and underlying risk metrics | |||||
targets and risk concentrations, etc. |
APS 330 requires the publication of various levels of information on a quarterly, semi-annual and annual basis. This document is the semi-annual disclosure.
Basel in ANZ
In December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel for credit risk and operational risk, complementing its accreditation for market risk. Effective January 2013, ANZ adopted APRA requirements for Basel III with respect to the measurement and monitoring of regulatory capital.
Verification of disclosures
These Pillar 3 disclosures have been verified in accordance with Board approved policy, including ensuring consistency with information contained in ANZ's Financial Report and in Pillar 1 returns provided to APRA. In addition, ANZ's external auditor has performed an agreed upon procedure review with respect to these disclosures.
Comparison to ANZ's Financial Reporting
These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather than with accounting policies adopted in ANZ's financial reports. As such, there are different areas of focus and measures in some common areas of disclosures. These differences are most pronounced in the credit risk disclosures, for instance:
- The principal method for measuring the amount at risk is Exposure at Default (EAD), which is the estimated amount of exposure likely to be owed on a credit obligation at the time of default. Under the Advanced Internal Ratings Based (AIRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited to provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default.
- Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post default repayments of principal and interest.
- Most credit risk disclosures split ANZ's portfolio into regulatory asset classes, which span different areas of ANZ's internal divisional and business unit organisational structure.
Unless otherwise stated, all amounts are rounded to AUD millions.
2 Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, 2004.
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ANZ - Australia & New Zealand Banking Group Ltd. published this content on 05 May 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 04 May 2021 21:48:08 UTC.