Australian Housing Dynamics and Affordability
ANZ'S INTERNATIONALLY COMPARABLE¹ REGULATORY CAPITAL POSITION
APRA Level 2 CET1
Corporate undrawn EAD and
unsecured LGD adjustments
1
30 September 2019
11.4%
Australian ADI unsecured corporate lending LGDs and undrawn CCFs exceed those applied in many jurisdictions
1.6%
Equity Investments & DTA
APRA requires 100% deduction from CET1 vs. Basel framework which allows concessional threshold prior to
deduction
0.9%
Mortgages
APRA requires use of 20% mortgage LGD floor vs. 10% under Basel framework. Additionally, APRA also requires a
higher correlation factor vs. 15% under Basel framework.
1.2%
Specialised Lending
APRA requires supervisory slotting approach which results in more conservative risk weights than under Basel
framework
0.7%
IRRBB RWA
Other
APRA includes in Pillar 1 RWA. This is not required under the Basel framework
0.2%
Includes impact of deductions from CET1 for capitalised expenses and deferred fee income required by APRA,
currency conversion threshold and other retail standardised exposures
0.4%
Basel III Internationally Comparable CET1
Basel III Internationally Comparable Tier 1 Ratio
Basel III Internationally Comparable Total Capital Ratio
16.4%
18.8%
21.4%
1. Internationally Comparable methodology aligns with APRA's information paper entitled International Capital Comparison Study (13 July 2015). Basel III Internationally Comparable ratios
do not include an estimate of the Basel I capital floor
ANZ
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