9 November 2020
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 30 September 2020
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure at 30 September 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 30 SEPTEMBER 2020
APS 330: PUBLIC DISCLOSURE
ANZ Basel III Pillar 3 Disclosure | September 2020 |
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 | September 2020 | |
Table of Contents1 | ||
Chapter 1 - Introduction ............................................................................................................................... | 3 | |
Purpose of this document.................................................................................................................. | 3 | |
Chapter 2 - Risk appetite and governance ...................................................................................................... | 4 | |
Risk types | ...................................................................................................................................... | 4 |
Risk appetite framework ................................................................................................................... | 5 | |
Risk management governance ........................................................................................................... | 5 | |
Chapter 3 - Capital reporting and measurement .............................................................................................. | 8 | |
Chapter 4 - Capital and capital adequacy ........................................................................................................ | 9 | |
Table 1 | Capital disclosure template ................................................................................................ | 9 |
Table 2 | Main features of capital instruments .................................................................................. | 19 |
Table 6 | Capital adequacy............................................................................................................. | 19 |
Chapter 5 - Credit risk ................................................................................................................................. | 23 | |
Table 7 | Credit risk - General disclosures ....................................................................................... | 23 |
Table 8 | Credit risk - Disclosures for portfolios subject to the Standardised approach and | |
supervisory risk weights in the IRB approach ...................................................................... | 39 | |
Table 9 | Credit risk - Disclosures for portfolios subject to Advanced IRB approaches............................ | 40 |
Table 10 | Credit risk mitigation disclosures ....................................................................................... | 50 |
Table 11 | General disclosures for derivative and counterparty credit risk ............................................. | 55 |
Chapter 6 - Securitisation ........................................................................................................................... | 59 | |
Table 12 | Banking Book - Securitisation disclosures ........................................................................... | 62 |
Trading Book - Securitisation disclosures............................................................................ | 69 | |
Chapter 7 - Market risk................................................................................................................................ | 70 | |
Table 13 | Market risk - Standard approach....................................................................................... | 70 |
Table 14 | Market risk - Internal models approach.............................................................................. | 71 |
Chapter 8 - Operational risk.......................................................................................................................... | 75 | |
Table 15 | Operational risk .............................................................................................................. | 75 |
Chapter 9 - Equities ................................................................................................................................... | 79 | |
Table 16 | Equities - Disclosures for banking book positions ................................................................ | 79 |
Chapter 10 - Interest Rate Risk in the Banking Book ....................................................................................... | 81 | |
Table 17 | Interest Rate Risk in the Banking Book .............................................................................. | 81 |
Chapter 11 - Leverage and Liquidity Coverage Ratio........................................................................................ | 84 | |
Table 18 | Leverage Ratio ................................................................................................................ | 84 |
Table 19 | Summary comparison of accounting assets vs. leverage ratio exposure measure .................... | 85 |
Table 20 | Liquidity Coverage Ratio disclosure template ...................................................................... | 86 |
Table 21 | NSFR disclosure template ................................................................................................. | 87 |
Glossary..................................................................................................................................................... | 89 |
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 - Australia & New Zealand Banking Group Ltd. published this content on 09 November 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 09 November 2020 02:55:04 UTC