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AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED

(ANZ)
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Australia and New Zealand Banking : APS 330 Pillar 3 Disclosure at 30 June 2021

08/17/2021 | 05:54pm EDT

18th August 2021

Market Announcements Office

ASX Limited

Level 4

20 Bridge Street

SYDNEY NSW 2000

APS 330 Pillar 3 Disclosure at 30 June 2021

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure at 30 June 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 30 JUNE 2021

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

June 2021

Table 3

Capital adequacy - Capital Ratios and Risk Weighted Assets1

Jun 21

Mar 21

Dec 20

Risk Weighted Assets (RWA)

$M

$M

$M

Subject to Advanced Internal Rating Based (IRB) approach

Corporate

137,358

135,713

132,872

Sovereign

8,657

7,750

7,856

Bank

9,231

10,092

10,893

Residential Mortgage

110,505

110,206

111,842

Qualifying Revolving Retail

3,618

3,678

4,008

Other Retail

20,464

20,693

21,391

Credit risk weighted assets subject to Advanced IRB approach

289,833

288,132

288,862

Credit Risk Specialised Lending exposures subject to slotting approach1

36,423

36,476

38,637

Subject to Standardised approach

Corporate

5,791

6,388

10,072

Sovereign

35

76

156

Residential Mortgage

199

203

203

Other Retail

19

23

27

Credit risk weighted assets subject to Standardised approach

6,044

6,690

10,458

Credit Valuation Adjustment and Qualifying Central Counterparties

3,636

4,281

5,724

Credit risk weighted assets relating to securitisation exposures

2,131

2,220

2,190

Other assets

4,146

4,063

4,351

Total credit risk weighted assets

342,213

341,862

350,222

Market risk weighted assets

7,666

8,955

10,215

Operational risk weighted assets

47,383

47,199

47,372

Interest rate risk in the banking book (IRRBB) risk weighted assets

14,948

10,150

14,202

Total Risk Weighted Assets

412,210

408,166

422,011

Capital ratios (%)

Jun 21

Mar 21

Dec 20

Level 2 Common Equity Tier 1 capital ratio

12.2%

12.4%

11.7%

Level 2 Tier 1 capital ratio

14.1%

14.3%

13.5%

Level 2 Total capital ratio

18.1%

18.3%

17.3%

Basel III APRA level 2 CET1

Jun 21

Mar 21

Dec 20

Common Equity Tier 1 Capital

50,245

50,786

49,334

Total Risk Weighted Assets

412,210

408,166

422,011

Common Equity Tier 1 capital ratio

12.2%

12.4%

11.7%

Basel III APRA level 1 Extended licensed entity CET1

Jun 21

Mar 21

Dec 20

Common Equity Tier 1 Capital

45,424

45,854

44,353

Total Risk Weighted Assets

377,876

374,939

384,857

Common Equity Tier 1 capital ratio

12.0%

12.2%

11.5%

Credit Risk Weighted Assets (CRWA)

Total Credit RWA marginally increased by $0.4 billion (0.1%) from March 2021 to $342.2 billion at June 2021. The increase from lending growth in the Institutional division and foreign exchange movements were offset by a reduction in derivative exposure reducing CVA RWA and Credit RWA.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)

Traded Market Risk RWA decreased $1.3 billion over the quarter due to reduction in 10d VaR.

IRRBB RWA increased $4.8 billion due to a deterioration in Embedded Gains combined with an increase in 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

ANZ Basel III Pillar 3 Disclosure

June 2021

Table 4 Credit risk exposures

Exposure at Default in Table 4 represents credit exposure net of offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral. It includes Advanced IRB, Specialised Lending and Standardised exposures, however does not include Securitisation, Equities or Other Assets exposures.

Table 4(a) part (i): Period end and average Exposure at Default 2

Jun 21

Risk

Exposure at

Average

Individual

Write-offs

Weighted

Default

Exposure at

provision

for three

Assets

Default for

charge for

months

Advanced IRB approach

$M

$M

three months

three months

$M

$M

$M

Corporate

137,358

277,824

274,286

(30)

37

Sovereign

8,657

261,545

244,684

-

-

Bank

9,231

32,360

33,881

-

-

Residential Mortgage

110,505

408,441

406,996

7

10

Qualifying Revolving Retail

3,618

13,997

14,061

14

27

Other Retail

20,464

30,431

30,660

28

53

Total Advanced IRB approach

289,833

1,024,598

1,004,568

19

127

Specialised Lending

36,423

44,313

43,908

-

-

Standardised approach

Corporate

5,791

5,808

6,127

2

2

Sovereign

35

35

52

-

-

Residential Mortgage

199

421

422

-

-

Other Retail

19

19

21

-

-

Total Standardised approach

6,044

6,283

6,622

2

2

Credit Valuation Adjustment and

Qualifying Central Counterparties

3,636

9,672

9,932

-

-

Total

335,936

1,084,866

1,065,030

21

129

2 Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three month period.

3

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

ANZ - Australia & New Zealand Banking Group Ltd. published this content on 18 August 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 17 August 2021 21:53:05 UTC.


© Publicnow 2021
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