2015 BASEL III PILLAR 3 DISCLOSURE
2015BASEL IIIPILL AR 3DISCLOSUREAS AT 30 JUNE 2015APS 330: PUBLIC DISCLOSURE
Important noticeThis document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) tomeet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADIPrudential Standard (APS) 330: Public Disclosure.This disclosure was prepared as at 30 June 2015. ANZ has a continuous disclosure policy, under whichANZ will immediately notify the market of any material price sensitive information concerning theGroup, in accordance with legislative and regulatory disclosure requirements.1
ANZ Basel III Pillar 3 disclosureTable 3June 2015Capital adequacy - Capital ratios and Risk Weighted AssetsJun-15 MMar-15 MDec-14 5,216Bank18,83122,07821,893Residential sk weighted assets (RWA)Subject to Advanced Internal Rating Based (IRB) approachQualifying Revolving RetailOther RetailCredit risk weighted assets subject to Advanced IRB approachCredit risk Specialised Lending exposures subject to slotting approach1Subject to Standardised approachCorporate25,20627,03326,154Residential Mortgage2,6452,6032,463Qualifying Revolving Retail2,1102,0801,998Other Retail1,2351,1911,13031,19632,90731,745Credit Valuation Adjustment and Qualifying Central Counterparties8,8549,6308,686Credit risk weighted assets relating to securitisation exposures1,0721,0671,011Other assets3,7613,7973,711337,180339,697330,303Credit risk weighted assets subject to Standardised approachTotal credit risk weighted assetsMarket risk weighted assetsOperational risk weighted assetsInterest rate risk in the banking book (IRRBB) risk weighted assetsTotal risk weighted assetsCapital ratios (%)Level 2 Common Equity Tier 1 capital 521383,958386,863378,9038.4%8.6%8.7%Level 2 Tier 1 capital ratio10.5%10.6%9.9%Level 2 Total capital ratio12.5%12.6%11.8%Credit Risk Weighted Assets (CRWA)Total CRWA decreased 2.5 billion (1%) from March 15 to 337.2 billion at June 2015, including a 6.1 billion decreasedue to foreign currency translation movements, mainly the weakening NZD. The foreign currency impact was partiallyoffset by portfolio growth in the AIRB Corporate and IRB Residential Mortgages Asset Classes mainly in our Australiaand New Zealand businesses, and updates to loss estimates impacting the AIRB Sovereign asset class.The CRWA decrease in AIRB Bank was mainly driven by contraction in the Institutional business and the Standardiseddecrease includes exposures moving to AIRB Corporate treatment.Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)Traded Market Risk RWA increased 14% over the quarter due to short term peaks in risk held. This is in line withincreases in risk for the same quarter in the previous financial years.IRRBB RWA decreased 0.7 billion (9%) primarily due to a reduction in repricing and yield curve risk.The 0.5 billion (2%) decrease in Operational Risk RWA was mainly due to foreign currency movements.1Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing andrepayment is from the asset being financed, and includes specified commercial property development/investmentlending and project finance.2
ANZ Basel III Pillar 3 disclosureTable 4June 2015Credit risk exposuresTable 4(a) part (i): Period end and average Exposure at Default 2Advanced IRB approachCorporateSovereign3Risk WeightedAssets M142,900Exposureat Default M269,847Jun 15AverageExposureat Default forthree months M270,707Individualprovisioncharge forthree months M56Write-offs forthree months Residential Mortgage53,474312,154311,47779Qualifying Revolving RetailOther RetailTotal Advanced IRB approachSpecialised 28Standardised approachCorporate25,20628,94729,5745Residential Mortgage2,6457,4027,346-2Qualifying Revolving Retail2,1102,0992,085913Other RetailTotal Standardised approachCredit Valuation Adjustment andQualifying Central 2943592Exposure at Default in Table 4 includes Advanced IRB, Specialised Lending and Standardised exposures, howeverdoes not include Securitisation, Equities or Other Assets exposures. Exposure at Default in Table 4 is gross of creditrisk mitigation such as guarantees, credit derivatives, netting and financial collateral.3Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the endof each three month period.3
ANZ Basel III Pillar 3 disclosureAdvanced IRB approachCorporateSovereignJune 2015Risk WeightedAssets M140,451Exposureat Default M271,567Mar 15AverageExposure atDefault forthree months M267,014Individualprovisioncharge forthree months M86Write-offs forthree months Residential Mortgage53,501310,799305,762-1163Qualifying Revolving RetailOther RetailTotal Advanced IRB approachSpecialised tandardised approachCorporate27,03330,20128,6533Residential Mortgage2,6037,2897,089-4Qualifying Revolving Retail2,0802,0712,030(25)13Other RetailTotal Standardised approachCredit Valuation Adjustment andQualifying Central 4229322Risk WeightedAssets MExposure atDefault MDec 14AverageExposure atDefault forthree months k21,893128,466123,678--Residential Mortgage50,952300,724297,565410Advanced IRB approachCorporateSovereignQualifying Revolving RetailOther RetailTotal Advanced IRB approachSpecialised LendingIndividualprovisioncharge forthree months MWrite-offs forthree months rdised approachCorporate26,15427,10426,2911Residential Mortgage2,4636,8896,724--Qualifying Revolving Retail1,9981,9901,945712Other RetailTotal Standardised approachCredit Valuation Adjustment andQualifying Central 2262874
ANZ Basel III Pillar 3 disclosureJune 2015Table 4(a) part (ii): Exposure at Default by portfolio typeJun-15 MPortfolio TypeCashContingents liabilities, commitments, andother off-balance sheet exposuresDerivativesMar-15 MAverage for thequarter endedJun-15 M26,81633,515Dec-14 3,552119,465123,889Settlement Balances34,61535,35837,39434,987Investment 4,800551,22713,728Net Loans, Advances & AcceptancesOther assets17,7399,71717,899Trading Securities35,38136,29039,50835,836Total exposures981,627990,582970,841986,1065
ANZ Basel III Pillar 3 disclosureTable 4(b): Impaired asset45 6June 2015, Past due loans7 8, Provisions and Write-offsJun 15Impairedderivatives MPortfolios subject to Advanced IRB approachCorporateSovereignImpairedloans/facilities MPast dueloans 90days MIndividualprovisionbalance MIndividualprovisioncharge forthree months MWrite-offsfor threemonths M1,36325454356622-4--Bank------Residential Mortgage-2631,5779179Qualifying Revolving Retail-96--5374Other Retail-597327323137134Total Advanced IRB 704921528Residential Mortgage-371413-2Qualifying Revolving Retail-70--913Specialised LendingPortfolios subject to Standardised approachOther Retail-94722327Total Standardised approach-27170363770Qualifying Central mpaired derivatives is net of credit valuation adjustment (CVA) of 64 million, being a market value basedassessment of the credit risk of the relevant counterparties (March 2015: 64 million; Dec 2014: 63 million).5Impaired loans / facilities include restructured items of 270 million for customer facilities in which the originalcontractual terms have been modified for reasons related to the financial difficulties of the customer. Restructuringmay consist of reduction of interest, principal or other payments legally due, or an extension in maturity materiallybeyond those typically offered to new facilities with similar risk (March 2015: 146 million; December 2014: 73million).6 100m of impaired loans / facilities were reclassified from Advanced IRB Corporate to Advanced IRB Other Retailbased on revised segmentation pooling.7Includes a change to the management and reporting of the 90 days past due mortgages book in Australia effective from September 2014. Once payments have recommenced, the performance period for consecutiverepayments has increased from 3 to 6 months before the loan can be reclassified as productive. This has the effectof increasing the period the customer remains within the 90 days past due category. In the June quarter thisaccounted for 36% of the increase in the Australia Mortgages 90 day past due.8Not well secured portfolio managed retail exposures have been reclassified from past due loans 90 days toimpaired loans / facilities.6
ANZ Basel III Pillar 3 disclosureJune 2015Mar 15Impairedderivatives MImpairedloans/facilities MPast dueloans 90days MIndividualprovisionbalance MIndividualprovisioncharge forthree months MWrite-offsfor threemonths MPortfolios subject to Advanced IRB nk------Residential Mortgage-2841,37699-11Qualifying Revolving Retail-88--4563Other Retail-49431428510583Total Advanced IRB 963345315Residential Mortgage-421014-4Qualifying Revolving Retail-71--(25)13Other Retail-8351925Total Standardised approach-2924860(13)57Qualifying Central ised LendingPortfolios subject to Standardised approachTotalDec 14ImpairedDerivatives MImpairedloans/facilities MPast dueloans 90days MIndividualprovisionbalance MIndividualprovisioncharge forthree months MWrite-offsfor threemonths MPortfolios subject to Advanced IRB nk------Residential Mortgage-3171,194112410Qualifying Revolving Retail-77--4466Other Retail-42230825785123Total Advanced IRB 98415511Residential Mortgage-481017--Qualifying Revolving Retail-68-34712Specialised LendingPortfolios subject to Standardised approachOther Retail-715151620Total Standardised approach-285561212433292,8741,9381,164226287Total7
ANZ Basel III Pillar 3 disclosureJune 2015Table 4(c): Specific Provision Balance and General Reserve for Credit Losses9Jun 15Collective ProvisionSpecific ProvisionBalance M331General Reservefor Credit Losses M2,606Individual Provision1,083Total Provision for Credit Impairment1,4142,606Specific ProvisionBalance MGeneral Reservefor Credit Losses MTotal MCollective Provision3042,6102,914Individual Provision1,114Total Provision for Credit Impairment1,4182,610Specific ProvisionBalance MGeneral Reservefor Credit Losses MTotal MCollective Provision2862,5352,821Individual Provision1,164Total Provision for Credit Impairment1,450-Total M2,9371,0834,020Mar 15-1,1144,028Dec 142,5351,1643,9859Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and CollectiveProvision for accounting purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) forregulatory purposes. This does not impact total provisions, and essentially relates to the classification of collectivelyassessed provisions on defaulted accounts. The disclosures in this document are based on Individual Provision andCollective Provision, for ease of comparison with other published results.8
ANZ Basel III Pillar 3 disclosureTable 5June 2015SecuritisationTable 5(a) part (i): Banking Book - Summary of current period’s activity by underlying assettype and facility 10Jun-15Original value securitisedANZOriginated M-ANZ SelfSecuritised M(274)ANZSponsored M-Recognized gainor loss on sale M-Credit cards and other personal loans----Auto and equipment finance----Commercial loans----Other----Total-(274)--Securitisation activity by underlying asset typeResidential mortgageSecuritisation activity by facility providedLiquidity facilities---Notionalamount M-Funding facilities---47Underwriting facilities----Lending facilities----Credit enhancements----Holdings of securities (excluding trading book)---9Other-----56Total--Mar-15Original value securitisedANZOriginated M-ANZ SelfSecuritised M835ANZSponsored M-Recognised gainor loss on sale M-Credit cards and other personal loans----Auto and equipment finance----Commercial loans----Other----Total-835--Securitisation activity by underlying asset typeResidential mortgageLiquidity facilities---Notionalamount M-Funding facilities---12Underwriting facilities----Lending facilities----Credit enhancements----Holdings of securities (excluding trading book)---875Securitisation activity by facility providedOther---30Total---91710Activity represents net movement in outstandings.9
ANZ Basel III Pillar 3 disclosureJune 2015Dec-14Original value securitisedANZOriginated M-ANZ SelfSecuritised M(69)ANZSponsored M-Recognised gainor loss on sale MCredit cards and other personal loans----Auto and equipment finance----Commercial loans----Other----Total-(69)--Securitisation activity by underlying asset typeResidential mortgage-Notionalamount MSecuritisation activity by facility providedLiquidity facilities----Funding facilities---(30)Underwriting facilities----Lending facilities----Credit enhancements----Holdings of securities (excluding trading book)---621Other---9Total---600Table 5(a) part (ii): Trading Book - Summary of current period's activity by underlyingasset type and facilityNo assets from ANZ's Trading Book were securitised during the reporting period.Securitisation activities:ANZ’s key securitisation activities are: Securitisation of ANZ originated assets (including self-securitisation) – use of securitisation as afunding, liquidity and capital management tool which may or may not involve the transfer of creditrisk i.e. may or may not provide regulatory capital relief. Securitisation of third-party originated assets. Provision of facilities and services to securitisations or resecuritisations (where the underlying assetsmay be ANZ or third-party originated) e.g. liquidity, funding derivatives and/or credit support,structuring and arranging services, conduit management and (via ANZ Capel Court Limited) trustmanagement services. Investment in securities - ANZ may purchase notes issued by securitisation programmes.10
ANZ Basel III Pillar 3 disclosureJune 2015Table 5(b) part (i): Banking Book – Exposure at Default by exposure typeSecuritisation exposure type - On balance sheetLiquidity facilitiesFunding facilitiesJun-15 M5Mar-15 M6Dec14 M-4,9914,7894,398Underwriting facilities---Lending facilities---Credit enhancements---4,8464,8364,583Holdings of securities (excluding trading book)Protection ritisation exposure type - Off Balance SheetLiquidity facilitiesJun-15 M70Mar-15 M76Dec14 M81Funding facilities---Underwriting facilities---Lending facilities---Credit enhancements---Holdings of securities (excluding trading book)---Protection provided---Other---Total707681Jun-15 M75Mar-15 M82Dec14 M81Total Securitisation exposure typeLiquidity facilitiesFunding facilities4,9914,7894,398Underwriting facilities---Lending facilities---Credit enhancements---4,8464,8364,583Holdings of securities (excluding trading book)Protection provided---Other264315323Total10,17610,0229,38511
ANZ Basel III Pillar 3 disclosureJune 2015Table 5(b) part (ii): Trading Book - Exposure at Default by exposure typeJun-15 M-Mar-15 M-Dec-14 M-Funding facilities---Underwriting facilities---Lending facilities---Credit enhancements---Holdings of securities--39Protection provided---Other---Total--39Jun-15 M-Sep 14 M-Jun14 M-Funding facilities---Underwriting facilities---Lending facilities---Credit enhancements---Holdings of securities---Protection provided---Other---Total---Jun-15 M-Sep 14 M-Jun14 M-Funding facilities---Underwriting facilities---Lending facilities---Credit enhancements---Holdings of securities--39Protection provided---Other---Total--39Securitisation exposure type - On balance sheetLiquidity facilitiesSecuritisation exposure type - Off Balance SheetLiquidity facilitiesTotal Securitisation exposure typeLiquidity facilities12
ANZ Basel III Pillar 3 disclosureJune 2015GlossaryBasel III Credit ValuationAdjustment (CVA) capital chargeCVA charge is an additional capital requirement under Basel IIIfor bilateral derivative exposures.Derivatives not clearedthrough a central exchange/counterparty are subject to thisadditional capital charge and also receive normal CRWAtreatment under Basel II principles.Collective provision (CP)Collective provision is the provision for credit losses that areinherent in the portfolio but not able to be individuallyidentified. A collective provision may only be recognised when aloss event has already occurred. Losses expected as a result offuture events, no matter how likely, are not recognised.Credit exposureThe aggregate of all claims, commitments and contingentliabilities arising from on- and off-balance sheet transactions (inthe banking book and trading book) with the counterparty orgroup of related counterparties.Credit riskThe risk of financial loss resulting from the failure of ANZ’scustomers and counterparties to honour or perform fully theterms of a loan or contract.Credit Valuation Adjustment (CVA)Over the life of a derivative instrument, ANZ uses a CVA modelto adjust fair value to take into account the impact ofcounterparty credit quality. The methodology calculates thepresent value of expected losses over the life of the financialinstrument as a function of probability of default, loss givendefault, expected credit risk exposure and an asset correlationfactor. Impaired derivatives are also subject to a CVA.Days past dueThe number of days a credit obligation is overdue, commencingon the date that the arrears or excess occurs and accruing foreach completed calendar day thereafter.Exposure at Default (EAD)Exposure At Default is defined as the expected facility exposureat the date of default.Impaired assets (IA)Facilities are classified as impaired when there is doubt as towhether the contractual amounts due, including interest andother payments, will be met in a timely manner. Impairedassets include impaired facilities, and impaired derivatives.Impaired derivatives have a credit valuation adjustment (CVA),which is a market assessment of the credit risk of the relevantcounterparties.Impaired loans (IL)Impaired loans comprise of drawn facilitiescustomer’s status is defined as impaired.Individual provision charge (IPC)Impaired provision charge is the amount of expected creditlosses on financial instruments assessed for impairment on anindividual basis (as opposed to on a collective basis). It takesinto account expected cash flows over the lives of thosefinancial instruments.Individual provisions (IP)Individual provisions are assessed on a case-by-case basis forall individually managed impaired assets taking intoconsideration factors such as the realisable value of security (orother credit mitigants), the likely return available uponliquidation or bankruptcy, legal uncertainties, estimated costsinvolved in recovery, the market price of the exposure insecondary markets and the amount and timing of expectedreceipts and recoveries.13wherethe
ANZ Basel III Pillar 3 disclosur
APS 330: PUBLIC DISCLOSURE. 1 . ANZ Basel III Pillar 3 disclosure June 2015 2 . lending and project finance. ANZ Basel III Pillar 3 disclosure June 2015 3 Table 4 Credit risk exposures Table 4(a) part (i): Period end and average Exposure at Default 2 3 Jun 15
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