ANZ 2022 Full Year Debt Investor Presentation
ANZ 2022 Full Year Debt Investor Presentation
INTERNATIONALLY COMPARABLE¹ REGULATORY CAPITAL POSITION
Level 2 capital ratio (APRA vs internationally comparable)², %
26.3
5.4
18.4
2.5
4.1
2.0
18.3
12.3
APRA
Sep 21
Int. Comparable
27.3
24.9
5.8
4.6
18.2
2.3
16.6
2.3
4.2
3.4
1.7
1.7
18.0
19.2
11.5
APRA
Int. Comparable
Mar 22
Common Equity Tier 1
Additional Tier 1
Tier 2
12.3
APRA
Int. Comparable
Sep 22
APRA Level 2 CET1 Ratio - 30 September 2022
Corporate undrawn EAD and
unsecured LGD adjustments
Equity Investments & DTA
12.3%
Australian ADI unsecured corporate lending LGDs and undrawn CCFs exceed those applied in many jurisdictions
+2.0%
APRA requires 100% deduction from CET1 vs. Basel framework which allows concessional threshold prior to deduction
+0.9%
Mortgages
Specialised Lending
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
APRA requires supervisory slotting approach which results in more conservative risk weights than under Basel framework
+1.5%
+0.9%
IRRBB RWA
Other
APRA includes in Pillar 1 RWA. This is not required under the Basel framework
+1.2%
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 Ratio - 30 September 2022
19.2%
1.
2.
Internationally Comparable methodology aligns with APRA's information paper "International Capital Comparison Study (13 July 2015)". Basel III Internationally Comparable ratios do not include an estimate of the Basel I capital floor
Sum of individual capital ratios may not be equal to Total Capital ratio due to rounding
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