ANZ expanded credit model in Q1

Risk density of overall loan book declined quarter on quarter

After gaining approval from the Australian regulator to use its internal models to set capital requirements for a portfolio of Asian loans in Q1, credit risk-weighted assets (RWAs) at ANZ under the standardised approach (SA) dropped by over one-third to A$6.7 billion ($5.2 billion).

Exposures-at-default (EAD) capitalised under the SA amounted to A$7 billion at end-March, down from A$11.8 billion three months prior. The risk density of this portfolio – RWAs divided by EAD – was 96%, meaning

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here