7th May 2024
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 March 2024
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure as at 31 March 2024.
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
2024 BASEL III PILLAR 3 DISCLOSURE
AS AT 31 MARCH 2024
APS 330: PUBLIC DISCLOSURE
ANZ Basel III Pillar 3 Disclosure | March 2024 |
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 Disclosure | March 2024 | |
Table of Contents1 | ||
Chapter 1 - Introduction | 3 | |
Purpose of this document | 3 | |
Chapter 2 - Capital and capital adequacy | 5 | |
Table 1 | Capital disclosure template | 6 |
Table 2 | Main features of capital instruments | 15 |
Table 6 | Capital adequacy | 16 |
Chapter 3 - Credit risk | 18 | |
Table 7 | Credit risk - General disclosures | 18 |
Table 8 | Credit risk - Disclosures for portfolios subject to the Standardised approach and | |
supervisory risk weights in the IRB approach | 33 | |
Table 9 | Credit risk - Disclosures for portfolios subject to Advanced IRB approaches | 34 |
Table 10 | Credit risk mitigation disclosures | 44 |
Table 11 | General disclosures for derivative and counterparty credit risk | 49 |
Chapter 4 - Securitisation | 51 | |
Table 12 | Banking Book - Securitisation disclosures | 51 |
Trading Book - Securitisation disclosures | 58 | |
Chapter 5 - Market risk | 59 | |
Table 13 Market risk - Standard approach | 59 | |
Table 14 | Market risk - Internal models approach | 60 |
Chapter 6 - Equities | 62 | |
Table 16 | Equities - Disclosures for banking book positions | 62 |
Chapter 7 - Interest Rate Risk in the Banking Book | 63 | |
Table 17 | Interest Rate Risk in the Banking Book | 63 |
Chapter 8 - Leverage and Liquidity Coverage Ratio | 64 | |
Table 18 | Leverage Ratio | 64 |
Table 19 | Summary comparison of accounting assets vs. leverage ratio exposure measure | 65 |
Table 20 | Liquidity Coverage Ratio disclosure template | 66 |
Table 21 | NSFR disclosure template | 69 |
Glossary | 71 |
1 Each table reference adopted in this document aligns to those required by APS 330 to be disclosed at full year.
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ANZ Basel III Pillar 3 Disclosure | March 2024 |
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 Public Disclosure Prudential Standard requires locally-incorporated authorised deposit-taking institutions (ADIs) to meet minimum requirements for the public disclosure of key information on their capital, risk exposures, remuneration practices and, where applicable, leverage ratio, liquidity coverage ratio, net stable funding ratio and indicators for the identification of potential global systemically important banks, so as to contribute to the transparency of financial markets and to enhance market discipline.
This document is prepared for ANZ BH Pty Ltd (ANZ Bank HoldCo) in accordance with Board policy and the APS 330 reporting standard requirements. It presents information on the Group's Capital Adequacy and Risk Weighted Assets calculations for credit risk, securitisation, traded market risk, interest rate risk in the banking book and operational risk.
Group organisational structure
ANZ Group Holdings Limited (ANZGHL) is the listed parent company of the ANZ Group. Banking and certain non-banking businesses are separated into two groups, the ANZ Bank Group and ANZ Non-Bank Group. The ANZ Bank Group comprises Australia and New Zealand Banking Group Limited (ANZBGL), international regulated bank operations and insurance businesses. The ANZ Non-Bank Group comprises banking-adjacent businesses developed or acquired by the ANZ Group, to focus on bringing new technology and banking-adjacent services to the ANZ Group's customers, and a separate service company.
The APS 330 disclosure has been prepared on the level 2 basis with ANZ Bank HoldCo being the head of ANZ's Level 2 banking group (formerly Australia and New Zealand Banking Group Limited prior to the establishment of the scheme of arrangement of a non-operating holding company on 3 January 2023).
Basel in ANZ
APRA released new bank capital adequacy requirements applying to Australian incorporated registered banks, which are set out in APRA's Banking Prudential Standard documents. ANZ has implemented these new requirements from 1 January 2023. The new capital adequacy key requirements include changes to APS 110 Capital Adequacy (APS 110), APS 112 Capital Adequacy: Standardised Approach to Credit Risk (APS 112) and APS 113 Capital Adequacy: Internal Ratings- based Approach to Credit Risk (APS 113) with key features of the reforms including:
- improving the flexibility of the capital framework, through larger capital buffers that can be used by banks to support lending during periods of stress;
- changes to risk weighted assets (RWA) through more risk-sensitive risk weights increasing capital requirements for higher risk lending and decreasing it for lower risks;
- changes to loss given default rates (LGD) including approved use of an internal ratings-based (IRB) approved LGD model for mortgage portfolios;
- an increase in the IRB scaling factor (from 1.06x to 1.1x);
- requirement that IRB ADIs calculate and disclose RWA under the standardised approach and the introduction of a capital floor at 72.5% of standardised RWA; and
- use of prescribed New Zealand authority's equivalent prudential rules for the purpose of calculating the Level 2 regulatory capital requirement.
In addition, operational RWA is now calculated under APS 115 Capital Adequacy: Standardised Measurement Approach to Operational Risk (APS 115) which replaced the previous advanced methodology from December 2022.
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ANZ Basel III Pillar 3 Disclosure | March 2024 |
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 engagement 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 these 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 exposure owed on a credit obligation at the time of default. Under the Internal Ratings Based (IRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited to provide their own estimates of EAD or use supervisory estimates for all exposures (drawn, commitments or contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default. Note APS 113 no longer permits the use of own estimates (internally modelled credit conversion factors (CCFs)) for committed non-retail exposures and non-revolving retail, therefore ANZ apply supervisory CCFs as detailed in APS 112.
- Loss Given Default (LGD) is an estimate of the loss 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.
Suncorp Bank Acquisition
On 18 July 2022, the Group announced an agreement to purchase 100% of the shares in SBGH Limited, the immediate non-operating holding company of Suncorp Bank. On 20 February 2024, the Australian Competition Tribunal announced it had authorised the proposed acquisition following the decision in August 2023 by the Australian Competition and Consumer Commission to not authorise the acquisition. The acquisition remains subject to satisfaction of certain conditions, including Federal Treasurer approval and certain amendments to the State Financial Institutions and Metway Merger Act 1996 (QLD). Australia and New Zealand Banking Group Limited (ANZBGL) will also have a termination right under the Suncorp Bank Sale Agreement if APRA issues a written communication to ANZBGL under or in connection with APS 222 Associations with Related Entities to the effect that ANZBGL must not proceed with completion of the acquisition. Assuming these conditions are satisfied, it is expected to occur in mid-calendar year 2024.
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ANZ Basel III Pillar 3 Disclosure | March 2024 |
Chapter 2 - Capital and Capital Adequacy
Table 1 Capital Disclosure template
The head of the Level 2 Group to which this prudential standard applies is ANZ BH Pty Ltd (ANZ Bank HoldCo).
Table 1 of this chapter consists of a Common Disclosure template that assists users in understanding the differences between the application of the Basel III reforms in Australia and those rules as detailed in the document, Finalised Basel III post-crisis reforms issued by the Bank for International Settlements. The capital disclosure template in this chapter is the post January 2018 version as ANZ is fully applying the Basel III regulatory adjustments, as implemented by APRA.
The information in the lines of the template has been mapped to ANZ's Level 2 balance sheet, which adjusts for non- consolidated subsidiaries as required under APS 001: Definitions. Where this information cannot be mapped on a one- to-one basis, it is provided in an explanatory table. ANZ's material non-consolidated subsidiaries are also listed in this chapter.
Restrictions on Transfers of Capital within ANZ
ANZ operates branches and locally incorporated subsidiaries in many countries. These operations are capitalised at an appropriate level to cover the risks in the business and to meet local prudential requirements. This level of capitalisation may be enhanced to meet local taxation and operational requirements. Any repatriation of capital from subsidiaries or branches is subject to meeting the requirements of the local prudential regulator and/or the local central bank. Apart from ANZ's operations in New Zealand, local country capital requirements do not impose any material call on ANZ's capital base.
ANZ undertakes banking activities in New Zealand principally through its wholly owned subsidiary, ANZ Bank New Zealand Limited (ANZ New Zealand), which is subject to minimum capital requirements as set by the Reserve Bank of New Zealand (RBNZ). ANZ New Zealand maintains a buffer above the minimum capital base required by the RBNZ. This capital buffer has been calculated via the Internal Capital Adequacy Assessment Process undertaken for ANZ New Zealand, to ensure ANZ New Zealand is appropriately capitalised under stressed economic scenarios.
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ANZ Basel III Pillar 3 Disclosure | March 2024 | |||||
Table 1 | Capital disclosure template | |||||
Mar-24 | Reconciliation | |||||
Table | ||||||
$M | Reference | |||||
Common Equity Tier 1 Capital: instruments and reserves | ||||||
1 | Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital | 28,730 | Table A | |||
2 | Retained earnings | 41,761 | ||||
3 | Accumulated other comprehensive income (and other reserves) | (1,348) | Table B | |||
4 | Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned | - | ||||
companies) | ||||||
5 | Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in | 2 | Table C | |||
group CET1) | ||||||
6 | Common Equity Tier 1 capital before regulatory adjustments | 69,145 | ||||
Common Equity Tier 1 capital: regulatory adjustments | ||||||
7 | Prudential valuation adjustments | - | ||||
8 | Goodwill (net of related tax liability) | 2,936 | ||||
9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | 971 | Table D | |||
10 | Deferred tax assets that rely on future profitability excluding those arising from temporary | - | Table H | |||
differences (net of related tax liability) | ||||||
11 | Cash-flow hedge reserve | (1,120) | ||||
12 | Shortfall of provisions to expected losses | 282 | Table E | |||
13 | Securitisation gain on sale | - | ||||
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 130 | ||||
15 | Defined benefit superannuation fund net assets | 141 | Table F | |||
16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | - | ||||
17 | Reciprocal cross-holdings in common equity | - | ||||
18 | Investments in the capital of banking, financial and insurance entities that are outside the | - | ||||
scope of regulatory consolidation, net of eligible short positions, where the ADI does not own | ||||||
more than 10% of the issued share capital (amount above 10% threshold) | ||||||
19 | Significant investments in the ordinary shares of banking, financial and insurance entities that | - | Table G | |||
are outside the scope of regulatory consolidation, net of eligible short positions (amount above | ||||||
10% threshold) | ||||||
20 | Mortgage service rights (amount above 10% threshold) | n/a | ||||
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of | - | ||||
related tax liability) | ||||||
22 | Amount exceeding the 15% threshold | - | ||||
23 | of which: significant investments in the ordinary shares of financial entities | - | ||||
24 | of which: mortgage servicing rights | n/a | ||||
25 | of which: deferred tax assets arising from temporary differences | - | ||||
26 | National specific regulatory adjustments (sum of rows 26a - 26j) | 7,393 | ||||
26a | of which: treasury shares | - | ||||
26b | of which: offset to dividends declared under a dividend reinvestment plan (DRP), to the | - | ||||
extent to that the dividends are used to purchase new ordinary shares issued by the ADI | ||||||
26c | of which: deferred fee income | (409) | ||||
26d | of which: equity investment in financial institutions not reported in rows 18, 19 and 23 | 2,826 | Table G | |||
26e | of which: deferred tax assets not reported in rows 10, 21 and 25 | 2,716 | Table H | |||
26f | of which: capitalised expenses | 2,240 | Table I | |||
26g | of which: investments in commercial (non-financial) entities that are deducted under APRA | |||||
rules | 17 | |||||
26h | of which: covered bonds in excess of asset cover in pools | - | ||||
26i | of which: undercapitalisation of a non-consolidated subsidiary | - | ||||
26j | of which: other national specific regulatory adjustments not reported in rows 26a to 26i | 3 | ||||
27 | Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 to | - | ||||
cover deductions | ||||||
28 | Total regulatory adjustments to CET1 | 10,733 | ||||
29 | Common Equity Tier 1 capital (CET1) | 58,412 | ||||
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ANZ Basel III Pillar 3 Disclosure | March 2024 | ||||||
Table 1 | Capital disclosure template | Mar-24 | Reconciliation | ||||
Table | |||||||
$M | Reference | ||||||
Additional Tier 1 Capital: instruments | |||||||
30 | Directly issued qualifying Additional Tier 1 instruments | 8,478 | Table J | ||||
31 | of which: classified as equity under applicable accounting standards | - | |||||
32 | of which: classified as liabilities under applicable accounting standards | 8,478 | Table J | ||||
33 | Directly issued capital instruments subject to phase out from Additional Tier 1 | - | Table J | ||||
34 | Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by | - | Table J | ||||
subsidiaries and held by third parties (amount allowed in group AT1) | |||||||
35 | of which: instruments issued by subsidiaries subject to phase out | n/a | |||||
36 | Additional Tier 1 capital before regulatory adjustments | 8,478 | |||||
Additional Tier 1 Capital: regulatory adjustments | |||||||
37 | Investments in own Additional Tier 1 instruments | - | |||||
38 | Reciprocal cross-holdings in Additional Tier 1 instruments | - | |||||
39 | Investments in the capital of banking, financial and insurance entities that are outside the | - | |||||
scope of regulatory consolidation, net of eligible short positions, where the ADI does not own | |||||||
more than 10% of the issued share capital (amount above 10% threshold) | |||||||
40 | Significant investments in the capital of banking, financial and insurance entities that are | 155 | Table J | ||||
outside the scope of regulatory consolidation, (net of eligible short positions) | |||||||
41 | National specific regulatory adjustments (sum of rows 41a - 41c) | 26 | |||||
41a | of which: holdings of capital instruments in group members by other group members on | - | |||||
behalf of third parties | |||||||
41b | of which: investments in the capital of financial institutions that are outside the scope of | 26 | Table J | ||||
regulatory consolidations not reported in rows 39 and 40 | |||||||
41c | of which: other national specific regulatory adjustments not reported in rows 41a and 41b | - | Table J | ||||
42 | Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 cover deductions | - | |||||
43 | Total regulatory adjustments to Additional Tier 1 capital | 181 | |||||
44 | Additional Tier 1 capital (AT1) | 8,297 | Table J | ||||
45 | Tier 1 Capital (T1=CET1+AT1) | 66,709 | |||||
Tier 2 Capital: instruments and provisions | |||||||
46 | Directly issued qualifying Tier 2 instruments | 27,057 | |||||
47 | Directly issued capital instruments subject to phase out from Tier 2 | - | Table K | ||||
48 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by | - | |||||
subsidiaries and held by third parties (amount allowed in group T2) | |||||||
49 | of which: instruments issued by subsidiaries subject to phase out | - | Table K | ||||
50 | Provisions | 1,609 | Table K | ||||
51 | Tier 2 capital before regulatory adjustments | 28,666 | |||||
Tier 2 Capital: regulatory adjustments | |||||||
52 | Investments in own Tier 2 instruments | 100 | Table K | ||||
53 | Reciprocal cross-holdings in Tier 2 instruments | - | |||||
54 | Investments in the Tier 2 capital of banking, financial and insurance entities that are outside | - | |||||
the scope of regulatory consolidation, net of eligible short positions, where the ADI does not | |||||||
own more than 10% of the issued share capital (amount above 10% | |||||||
55 | Significant investments in the Tier 2 capital of banking, financial and insurance entities that | 86 | Table K | ||||
are outside the scope of regulatory consolidation, net of eligible short positions | |||||||
56 | National specific regulatory adjustments (sums of rows 56a - 56c) | 257 | Table K | ||||
56a | of which: holdings of capital instruments in group members by other group members on | - | |||||
behalf of third parties | |||||||
56b | of which: investments in the capital of financial institutions that are outside the scope of | 180 | Table K | ||||
regulatory consolidation not reported in rows 54 and 55 | |||||||
56c | of which: other national specific regulatory adjustments not reported in rows 56a and 56b | 77 | |||||
57 | Total regulatory adjustment to Tier 2 capital | 443 | |||||
58 | Tier 2 capital (T2) | 28,223 | |||||
59 | Total capital (TC=T1+T2) | 94,932 | |||||
60 | Total risk-weighted assets based on APRA standards | 432,779 | |||||
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ANZ Basel III Pillar 3 Disclosure | March 2024 |
Table 1 Capital disclosure template2
Reconciliation
Table
Reference
Capital ratios and buffers | ||||||||||
61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 13.5% | ||||||||
62 | Tier 1 (as a percentage of risk-weighted assets) | 15.4% | ||||||||
63 | Total capital (as a percentage of risk-weighted assets) | 21.9% | ||||||||
64 | Institution specific buffer requirement (minimum CET1 requirement plus capital conservation | 9.9277% | ||||||||
buffer plus countercyclical buffer requirements plus G-SIBs buffer requirement, expressed as a | ||||||||||
percentage of risk-weighted assets)2 | ||||||||||
65 | of which: capital conservation buffer requirement | 4.75% | ||||||||
66 | of which: ADI-specific countercyclical buffer requirements | 0.6777% | ||||||||
67 | of which: G-SIB buffer requirement (not applicable) | n/a | ||||||||
68 | Common Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets) | 9.0% | ||||||||
National minima (if different from Basel III) | ||||||||||
69 | National Common Equity Tier 1 minimum ratio (if different from Basel III minimum) | n/a | ||||||||
70 | National Tier 1 minimum ratio (if different from Basel III minimum) | n/a | ||||||||
71 | National total capital minimum ratio (if different from Basel III minimum) | n/a | ||||||||
Amount below thresholds for deductions (not risk-weighted) | - | |||||||||
72 | Non-significant investments in the capital of other financial entities | 276 | ||||||||
73 | Significant investments in the ordinary shares of financial entities | 2,755 | Table G | |||||||
74 | Mortgage servicing rights (net of related tax liability) | n/a | ||||||||
75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 2,716 | Table H | |||||||
Applicable caps on the inclusion of provisions in Tier 2 | ||||||||||
76 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised | 137 | Table E | |||||||
approach (prior to application of cap) | ||||||||||
77 | Cap on inclusion of provisions in Tier 2 under standardised approach | 207 | ||||||||
78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings- | 1,472 | ||||||||
based approach (prior to application of cap) | ||||||||||
79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach | 1,976 | ||||||||
Capital instruments subject to phase-out arrangements (only application between 1 January | ||||||||||
2018 to 1 January 2022) | ||||||||||
80 | Current cap on CET1 instruments subject to phase out arrangements | n/a | ||||||||
81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | ||||||||
82 | Current cap on AT1 instruments subject to phase out arrangements | n/a | ||||||||
83 | Amount excluded from AT1 instruments due to cap (excess over cap after redemptions and | n/a | ||||||||
maturities) | ||||||||||
84 | Current cap on T2 instruments subject to phase out arrangements | n/a | ||||||||
85 | Amount excluded from T2 due to cap (excess over cap after redemption and maturities) | n/a | ||||||||
Counter Cyclical Capital Buffer | ||||||||||
RWA for all private | Jurisdictional Buffer | Countercyclical buffer | ||||||||
sector exposures | requirement | |||||||||
Country | $M | % | % | |||||||
Hong Kong | 4,229 | 1.000 | 0.0132 | |||||||
Luxembourg | 757 | 0.500 | 0.0012 | |||||||
Norway | 276 | 2.500 | 0.0022 | |||||||
Sweden | 224 | 2.000 | 0.0014 | |||||||
United Kingdom | 4,819 | 2.000 | 0.0301 | |||||||
Australia | 197,099 | 1.000 | 0.6159 | |||||||
Germany | 1,945 | 0.750 | 0.0046 | |||||||
France | 1,658 | 1.000 | 0.0052 | |||||||
Netherlands | 808 | 1.000 | 0.0025 | |||||||
Denmark | 185 | 2.500 | 0.0014 | |||||||
Other | 108,019 | n/a | n/a | |||||||
Total | 320,019 | 0.6777 |
2 Includes 1.0% buffer applied by APRA to ADIs deemed as domestic systemically important.
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ANZ - Australia & New Zealand Banking Group Ltd. published this content on 06 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 07 May 2024 00:02:10 UTC.