2021

BASEL III PILLAR 3DISCLOSURE

AS AT 31 MARCH 2021
APS 330: PUBLIC DISCLOSURE

ANZ Basel III Pillar 3 Disclosure

March 2021

Important noticeThis 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.

1

ANZ Basel III Pillar 3 Disclosure

March 2021

Table of Contents1
Chapter 1 – Introduction .................................................................................................... 3
Purpose of this document ............................................................................................. 3
Chapter 2 – Capital and capital adequacy ............................................................................. 4
Table 1

Capital disclosure template ........................................................................... 5

Table 2Main features of capital instruments ............................................................ 14

Table 6

Capital adequacy ....................................................................................... 15

Chapter 3 – Credit risk ..................................................................................................... 17
Table 7
Table 8Credit risk – General disclosures ................................................................. 17
Credit risk – Disclosures for portfolios subject to the Standardised approachand supervisory risk weights in the IRB approach .......................................... 30

Table 9Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 31

Table 10Credit risk mitigation disclosures ................................................................. 39

Table 11

General disclosures for derivatives and counterparty credit risk ....................... 42

Chapter 4 – Securitisation ................................................................................................ 44
Table 12Banking Book - Securitisation disclosures ..................................................... 44
Trading Book - Securitisation disclosures ...................................................... 51

Chapter 5 – Market risk ................................................................................................... 52
Table 13

Market risk – Standard approach ................................................................. 52

Table 14

Market risk – Internal models approach........................................................ 53

Chapter 6 – Equities ....................................................................................................... 55
Table 16

Equities – Disclosures for banking book positions .......................................... 56

Chapter 7 – Interest Rate Risk in the Banking Book ............................................................. 57
Table 17

Interest Rate Risk in the Banking Book ........................................................ 57

Chapter 8 – Leverage and Liquidity Ratio ........................................................................... 58
Table 18

Leverage Ratio .......................................................................................... 58

Table 19

Summary comparison of accounting assets vs. leverage ratio exposure

Table 20

Liquidity Coverage Ratio ............................................................................. 60

Table 21

NSFR disclosure template ........................................................................... 61

measure .................................................................................................. 59

Glossary ......................................................................................................................... 63

1

Each table reference adopted in this document aligns to those required by APS 330 to be disclosed at half year.

2

ANZ Basel III Pillar 3 Disclosure

March 2021

Chapter 1 - Introduction
Purpose of this document
This document has been prepared in accordance with the Australian Prudential Regulation Authority (APRA) ADI
Prudential Standard (APS) 330: Public Disclosure.
APS 330 mandates the release to the investment community and general public of information relating to capital
adequacy and risk management practices. APS 330 was established to implement Pillar 3 of the Basel Committee on
Banking Supervision’s framework for bank capital adequacy2. In simple terms, the Basel framework consists of threemutually reinforcing ‘Pillars’:
Pillar 1

Pillar 2

Pillar 3

Minimum capital requirement

Supervisory review process

Market discipline

Minimum capital requirements for
Credit Risk, Operational Risk, Market
Risk and Interest Rate Risk in the
Banking Book

Firm-wide risk oversight, Internal
CapitalAdequacy
Assessment
Process (ICAAP), consideration of
additional risks, capital buffers andtargets and risk concentrations, etc.

Regular disclosure to the market of
qualitative and quantitative aspectsofrisk
management,
capitaladequacy and underlying risk metrics

APS 330 requires the publication of various levels of information on a quarterly, semi-annual and annual basis. This
document is the semi-annual disclosure.
Basel in ANZIn December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel for credit risk
and operational risk, complementing its accreditation for market risk. Effective January 2013, ANZ adopted APRA
requirements for Basel III with respect to the measurement and monitoring of regulatory capital.
Verification of disclosures
These Pillar 3 disclosures have been verified in accordance with Board approved policy, including ensuring consistency
with information contained in ANZ’s Financial Report and in Pillar 1 returns provided to APRA. In addition, ANZ’s external
auditor has performed an agreed upon procedure review with respect to these disclosures.
Comparison to ANZ’s Financial Reporting
These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather thanwith accounting policies adopted in ANZ’s financial reports. As such, there are different areas of focus and measures insome common areas of disclosures. These differences are most pronounced in the credit risk disclosures, for instance:The principal method for measuring the amount at risk is Exposure at Default (EAD), which is the estimated amountof exposure likely to be owed on a credit obligation at the time of default. Under the Advanced Internal Ratings Based(AIRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited
to provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current
balance as well as the likelihood of additional drawings prior to default.



Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentiallycalculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post
default repayments of principal and interest.



Most credit risk disclosures split ANZ’s portfolio into regulatory asset classes, which span different areas of ANZ’sinternal divisional and business unit organisational structure.

Unless otherwise stated, all amounts are rounded to AUD millions.

2

Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised
Framework, 2004.

3

ANZ Basel III Pillar 3 Disclosure

March 2021

Chapter 2 – Capital and Capital Adequacy
Table 1

Capital Disclosure template

The head of the Level 2 Group to which this prudential standard applies is Australia and New Zealand Banking Group
Limited.
Table 1 of this chapter consists of a Common Disclosure template that assists users in understanding the differences
between the application of the Basel III reforms in Australia and those rules as detailed in the document Basel III: A
global regulatory framework for more resilient banks and banking systems, issued by the Bank for International
Settlements. The capital disclosure template in this chapter is the post January 2018 version as ANZ is fully applying
the Basel III regulatory adjustments, as implemented by APRA. Note that the capital conservation and countercyclicalbuffers referred to in rows 64 to 67 have been effective since 1 January 2016 and the phase out period for capital
instruments began on 1 January 2013.
The information in the lines of the template has been mapped to ANZ’s Level 2 balance sheet, which adjusts for nonconsolidated subsidiaries as required under APS 001: Definitions. Where this information cannot be mapped on a one to
one basis, it is provided in an explanatory table. ANZ’s material non-consolidated subsidiaries are also listed in thischapter.
Restrictions on Transfers of Capital within ANZANZ operates branches and locally incorporated subsidiaries in many countries. These operations are capitalised at an
appropriate level to cover the risks in the business and to meet local prudential requirements. This level of capitalisation
may be enhanced to meet local taxation and operational requirements. Any repatriation of capital from subsidiaries orbranches is subject to meeting the requirements of the local prudential regulator and/or the local central bank. Apartfrom ANZ’s operations in New Zealand, local country capital requirements do not impose any material call on ANZ’scapital base.
ANZ undertakes banking activities in New Zealand principally through its wholly owned subsidiary, ANZ Bank New
Zealand Limited (ANZ New Zealand), which is subject to minimum capital requirements as set by the Reserve Bank of
New Zealand (RBNZ). ANZ New Zealand maintains a buffer above the minimum capital base required by the RBNZ. This
capital buffer has been calculated via the ICAAP undertaken for ANZ New Zealand, to ensure ANZ New Zealand isappropriately capitalised under stressed economic scenarios.
RBNZ announcement on actions to support the banking system
In March 2021, The RBNZ announced that the restrictions on dividends and redemption of non-CET1 capital instruments
put in place since April 2020 will be eased. The updated restrictions will allow ANZ Bank New Zealand Limited (“ANZ
New Zealand”), a New Zealand subsidiary of ANZBGL to pay up to 50% of their earnings as dividends to shareholders.
This restriction will remain in place until 1 July 2022, at which point the RBNZ intends to normalise the dividend settingby removing the restrictions completely, subject to prevailing economic conditions.
Further, in the March 2021 update, the RBNZ announced that it will remove the restrictions on redemption of non-CET1
capital instruments. However, as ANZ New Zealand was not permitted to redeem its NZ$500 million Capital Notes in
May 2020, and ANZ New Zealand did not exercise its option to convert in May 2020, the terms of the Capital Notes
provide for their conversion into a variable number of ANZBGL shares in May 2022 subject to certain conditions.
Conversion would result in an increase in the Group’s CET1 capital (approximately 10 basis points) at Level 2.

4

ANZ Basel III Pillar 3 Disclosure
Table 1March 2021

Capital disclosure templateMar-21$M

Reconciliation
Table
Reference
Table A

Common Equity Tier 1 Capital: instruments and reserves
1

Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital

26,3122

Retained earnings

35,112

3

Accumulated other comprehensive income (and other reserves)910

4

Directly issued capital subject to phase out from Common Equity Tier 1 (CET1) (onlyapplicable to mutually-owned companies)
Ordinary share capital issued by subsidiaries and held by third parties (amount allowed ingroup CET1)
Common Equity Tier 1 capital before regulatory adjustments

n/a

5
6

2

Table B

Table C62,336

Common Equity Tier 1 capital : regulatory adjustments
7

Prudential valuation adjustments

8

Goodwill (net of related tax liability)

2,989

9

Other intangibles other than mortgage servicing rights (net of related tax liability)

1,034

Table D

10-

Table H

11

Deferred tax assets that rely on future profitability excluding those arising from temporary
differences (net of related tax liability)
Cash-flow hedge reserve

643

12

Shortfall of provisions to expected losses

42

13

Securitisation gain on sale

14

Gains and losses due to changes in own credit risk on fair valued liabilities

(19)

15

Defined benefit superannuation fund net assets

166

16

Investments in own shares (if not already netted off paid-in capital on reported balance sheet)

17

Reciprocal cross-holdings in common equity-

18

Investments in the capital of banking, financial and insurance entities that are outside thescope of regulatory consolidation, net of eligible short positions, where the ADI does not own
more than 10% of the issued share capital (amount above 10% threshold)
Significant investments in the ordinary shares of banking, financial and insurance entities thatare outside the scope of regulatory consolidation, net of eligible short positions (amount above
10% threshold)
Mortgage service rights (amount above 10% threshold)-Deferred tax assets arising from temporary differences (amount above 10% threshold, net of
related tax liability)
Amount exceeding the 15% threshold

-

19
20
21
22

-

23

of which: significant investments in the ordinary shares of financial entities

24

of which: mortgage servicing rights

25
26

Table E-of which: deferred tax assets arising from temporary differences
National specific regulatory adjustments (sum of rows 26a - 26j)

Table F--

Table G

-

6,695

26a

of which: treasury shares

-

26b

-

26c

of which: offset to dividends declared under a dividend reinvestment plan (DRP), to theextent to that the dividends are used to purchase new ordinary shares issued by the ADI
of which: deferred fee income

(351)

26d

of which: equity investment in financial institutions not reported in rows 18, 19 and 23

3,449

Table G26eof which: deferred tax assets not reported in rows 10, 21 and 25

2,109

Table H26f

of which: capitalised expenses

1,431

Table I

26g

41

Table J26h

of which: investments in commercial (non-financial) entities that are deducted under APRA
rules
of which: covered bonds in excess of asset cover in pools

26iof which: undercapitalisation of a non-consolidated subsidiary26j
27of which: other national specific regulatory adjustments not reported in rows 26a to 26i

16

28Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 tocover deductions
Total regulatory adjustments to CET1

11,55029

Common Equity Tier 1 capital (CET1)

50,786

5-

ANZ Basel III Pillar 3 Disclosure
Table 1March 2021

Capital disclosure templateMar-21$M

Reconciliation
Table
Reference

7,569

Table K

Additional Tier 1 Capital: instruments
30
31

Directly issued qualifying Additional Tier 1 instrumentsof which: classified as equity under applicable accounting standards

32of which: classified as liabilities under applicable accounting standards

33

Directly issued capital instruments subject to phase out from Additional Tier 1

34
35

Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued bysubsidiaries and held by third parties (amount allowed in group AT1)of which: instruments issued by subsidiaries subject to phase out

36

Additional Tier 1 capital before regulatory adjustments

7,569

Table K

255

Table Kn/a
7,824

Table K

Additional Tier 1 Capital: regulatory adjustments
37

Investments in own Additional Tier 1 instruments

38

Reciprocal cross-holdings in Additional Tier 1 instruments-

39

Investments in the capital of banking, financial and insurance entities that are outside thescope of regulatory consolidation, net of eligible short positions, where the ADI does not own
more than 10% of the issued share capital (amount above 10% threshold)
Significant investments in the capital of banking, financial and insurance entities that areoutside the scope of regulatory consolidation, (net of eligible short positions)
National specific regulatory adjustments (sum of rows 41a - 41c)

-

40
41
41a

-

155

Table K

24

24

Table K

41cof which: holdings of capital instruments in group members by other group members onbehalf of third partiesof which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidations not reported in rows 39 and 40
of which: other national specific regulatory adjustments not reported in rows 41a and 41b-

Table K

42

Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 cover deductions-

43

Total regulatory adjustments to Additional Tier 1 capital

44

Additional Tier 1 capital (AT1)

7,645

45

Tier 1 Capital (T1=CET1+AT1)

58,43141b-

179
Table K

Tier 2 Capital: instruments and provisions
46

Directly issued qualifying Tier 2 instruments

47

Directly issued capital instruments subject to phase out from Tier 2

395

Table L48

53

Table L49

Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued bysubsidiaries and held by third parties (amount allowed in group T2)of which: instruments issued by subsidiaries subject to phase out-

Table L

50

Provisions

51

14,799

1,417

Tier 2 capital before regulatory adjustments

16,664

Table L

50

Table L

Tier 2 Capital: regulatory adjustments
52

Investments in own Tier 2 instruments

53

Reciprocal cross-holdings in Tier 2 instruments-

54

Investments in the Tier 2 capital of banking, financial and insurance entities that are outside
the scope of regulatory consolidation, net of eligible short positions, where the ADI does not
own more than 10% of the issued share capital (amount above 10%
Significant investments in the Tier 2 capital of banking, financial and insurance entities thatare outside the scope of regulatory consolidation, net of eligible short positions
National specific regulatory adjustments (sums of rows 56a - 56c)

-

55
56
56a
56b
56c
57

of which: holdings of capital instruments in group members by other group members onbehalf of third partiesof which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidation not reported in rows 54 and 55
of which: other national specific regulatory adjustments not reported in rows 56a and 56b
Total regulatory adjustment to Tier 2 capital

85

Table L

65
65

Table L

200

58

Tier 2 capital (T2)

16,46459

Total capital (TC=T1+T2)

74,89560

Total risk-weighted assets based on APRA standards

408,166

6

Table LANZ Basel III Pillar 3 Disclosure
Table 1March 2021

Capital disclosure template3
Reconciliation
Table
Reference

Capital ratios and buffers
61

Common Equity Tier 1 ( as a percentage of risk-weighted assets)

62

Tier 1 (as a percentage of risk-weighted assets)

14.3%

63

Total capital (as a percentage of risk-weighted assets)

18.3%

64

Institution specific buffer requirement (minimum CET1 requirement plus capital conservationbuffer plus countercyclical buffer requirements plus G-SIBs buffer requirement, expressed as apercentage of risk-weighted assets)of which: capital conservation buffer requirement3

8.013%

65
66
67
68

12.4%

of which: ADI-specific countercyclical buffer requirements

3.5%
0.013%of which: G-SIB buffer requirement (not applicable)n/aCommon Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets)

7.9%

National minima (if different from Basel III)69

National Common Equity Tier 1 minimum ratio (if different from Basel III minimum)

n/a

70

National Tier 1 minimum ratio (if different from Basel III minimum)n/aNational total capital minimum ratio (if different from Basel III minimum)

n/a

71

Amount below thresholds for deductions (not risk-weighted)
72

Non-significant investments in the capital of other financial entities

283

73

Significant investments in the ordinary shares of financial entities

3,254

74

Mortgage servicing rights (net of related tax liability)

75

Table G

n/aDeferred tax assets arising from temporary differences (net of related tax liability)

2,109

Table H173

Table E

Applicable caps on the inclusion of provisions in Tier 2
76
77
78

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised
approach (prior to application of cap)
Cap on inclusion of provisions in Tier 2 under standardised approach

216

79

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratingsbased approach (prior to application of cap)
Cap for inclusion of provisions in Tier 2 under internal ratings-based approach80

Capital instruments subject to phase-out arrangements (only application between
1 January 2018 to 1 January 2022)
Current cap on CET1 instruments subject to phase out arrangements

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

n/a

82

Current cap on AT1 instruments subject to phase out arrangements

n/a

83
84

Amount excluded from AT1 instruments due to cap (excess over cap after redemptions andmaturities)
Current cap on T2 instruments subject to phase out arrangements

85

Amount excluded from T2 due to cap (excess over cap after redemption and maturities)

1,244
1,948

n/a

n/a
-

Counter Cyclical Capital Buffer
Geographic breakdown of Private Sector Credit
Exposures
RWA for all private sector credit exposures

3

Hong Kong$M$3,725

Luxembourg$M$199

Norway
$M
$209

Other
$M
$314,985

Total$M$319,118

Jurisdictional buffer set by national authorities

1.00%

0.50%

1.00%

-

-

Countercyclical buffer requirement

0.012%

0.00003%0.00065%-

0.013%

Includes 1.0% buffer applied by APRA to ADIs deemed as domestic systemically important.

7

ANZ Basel III Pillar 3 Disclosure

March 2021

The following table shows ANZ's consolidated balance sheet and the adjustments required to derive the Level 2 Balance
Sheet. The adjustments remove the external assets and liabilities of the entities deconsolidated for prudential purposes
and reinstate any intragroup assets and liabilities, treating them as external to the Level 2 Group.
Balance
Sheet as inpublishedfinancialstatements$M

Adjustments$M

Balancesheet underscope ofregulatory
consolidation$M

124,460(31)

124,429

Settlement Balances owed to ANZ

9,778

-

9,778

Collateral Paid

12,059-12,059Trading securities

46,331-

46,331

Derivative financial instruments

104,666-

104,666

Investment Securities

91,990(575)

91,415

AssetsCash and Cash Equivalentsof which: Financial Institutions capital instruments85

of which: significant investment in financial institutions equity
instrumentsof which: non-significant investment in financial institutions
equity instrumentsof which: Other entities equity investmentsof which: collectively assessed provision
Net loans and advances

614,359(1,587)of which: deferred fee income

Template andReconciliation
Table
Reference

Table L

1,019

Table G

195

Table G

30

Table J

(18)

Table E612,772351

Row 26c(3,472)

Table Eof which: individual provisions(778)

Table Eof which: capitalised brokerage & loan/lease origination fees

1,377

Table I16

Row 26jof which: collectively assessed provisionof which: CET1 margin lending adjustmentof which: AT1 margin lending adjustment-

Regulatory deposits
Due from controlled entitiesof which: Significant investments in the Tier 2 "capital of banking,financial and insurance entities" that are outside the scope of
regulatory consolidation
Shares in controlled entitiesof which: Investment in deconsolidated financial subsidiaries
of which: AT1 significant investment in banking, financial andinsurance entities that are outside the scope of regulatory
consolidation
Investments in associates

859

-

859

-

1,653

1,653
85

-

1,854

617

-

of which: Financial Institutionsof which: Other Entities
Current tax assets

170

Deferred tax assets
Goodwill and other intangible assets

617
462

Table G

155

Table K

1,854
1,843

Table G

11

Table J

-

170

2,105

(1)

2,104

4,024

(70)

3,954

of which: Goodwill

Table L

Table H

2,989

of which: Software

961

Premises and equipment

2,792

-

2,792

Other assets

2,892

(180)

2,712

1,018,339(174)

1,018,165of which: Defined benefit superannuation fund net assets

220

Total Assets

8

Table D

Table F

ANZ Basel III Pillar 3 Disclosure

Liabilities
Settlement Balances owed by ANZMarch 2021
Balance
Sheet as inpublishedfinancialstatements$M
19,188Collateral Received

Adjustments$M-

Balancesheet underscope ofregulatory
consolidation$M
19,188

Template andReconciliation
Table
Reference

7,552

-

7,552

Deposits and other borrowings

706,62343

706,666

Derivative financial instruments

102,926-

102,926

-

2,269

2,269

Current tax liabilities

203

(32)

171

Deferred tax liabilities

73

-

73

Table H

1

Table D

Due to controlled entitiesof which: related to intangible assetsof which: related to capitalised expenses

4

Table Iof which: related to defined benefit super assets

54

Table F

Payables and other liabilities
Employee entitlements
Provisions

8,558

(577)

600

-

7,981
600

2,417

(76)

2,341

of which: individually assessed provision

795

Table Eof which: collectively assessed provision

31

Table E

Debt Issuances

107,623(1,620)of which: Directly issued qualifying Additional Tier 1 instruments

106,003
7,585

Table Kof which: Additional Tier 1 Instruments

459

Table Kof which: Directly issued capital instruments subject to phase out
from Tier 2of which: Directly issued qualifying Tier 2 instruments

395

Table L

14,819

Table L

Total Liabilities
Net Assets

955,7637

955,770

62,576(181)

62,395

Shareholders' equity

Balance
Sheet as inpublishedfinancialstatements$M

Ordinary Share Capital

26,615Adjustments$M(77)

of which: Share reserve
Reserves741(6)

of which: Cash flow hedging reserves

Balancesheet underscope ofregulatory
consolidation$M
26,538

Table A

226

Tables A & B

735

Table B643

Row 11Row 2

Retained earnings

35,210(98)

35,112

Share capital and reserves attributable to shareholdersof the company
Non-controlling interests

62,566(181)

62,385

Total Shareholders' Equity

62,576(181)

62,395109Template andReconciliation
Table
Reference

10

Table CANZ Basel III Pillar 3 Disclosure

March 2021

The following reconciliation tables provide additional information on the difference between Table 1 Capital Disclosure
Template and the Level 2 Balance Sheet.
Table A
Issued capitalLess

Mar 21

Table 1

$M

Reference

26,538

Reclassification to Reserves
Regulatory Directly Issued qualifying ordinary shares

Table B

(226)

Table B

26,312

Row 1

Mar 21

Table 1

$M

Reference

Reserves

735

Add

Reclassification from Issued Capital

226

Less

Non qualifying reserves(51)

Reserves for Regulatory capital purposes (amount allowed in group CET1)

910

Table C
Less

Table 1

$M

Reference

10

Surplus capital attributable to minority shareholders(8)

Table D
SoftwareRow 3

Mar 21
Non-controlling interests
Ordinary share capital issued by subsidiaries and held by third parties

Table A2

Row 5

Mar 21

Table 1

$M

Reference

961

Add

Other intangible assets

Less

Associated deferred tax liabilities

(1)

4

Add

Regulatory reclassification from significant investments in the ordinary shares of banking,financial and insurance entities outside the scope of regulatory consolidation
Other intangibles other than mortgage servicing rights (net of related tax liability)

70

Table G

1,034

Row 9

Table EMar 21

Table 1

$M

Reference

Qualifying collective provisionCollectively assessed provision on Loans and advances(3,472)

Collectively assessed provision on Investment Securities(18)

Collectively assessed provision on Undrawn commitments

(795)

Less

Non-qualifying collectively assessed provision

LessStandardised collectively assessed provisionLess

Non-defaulted expected loss

432
173

Row 76

2,436

Non-Defaulted: Expected Loss - Eligible Provision Shortfall-

Qualifying individual provision
Individually assessed provision on Loans and advances
Add

(778)

Individually assessed provision on Undrawn and contingent facilities(31)

Additional individually assessed provision for partial write offs

(213)

Less

Standardised individually assessed provision

Add

Collectively assessed provision on advanced defaulted(405)

Defaulted expected loss

1,425

Less

44

Defaulted: Expected Loss - Eligible Provision Shortfall

42

Gross deduction42

10

Row 12

ANZ Basel III Pillar 3 Disclosure

March 2021

Table FLess

Mar 21

Table 1

$M

Reference

Defined benefit superannuation fund net assets

220

Associated deferred tax liabilities(54)

Defined benefit superannuation fund net assets

166

Table GMar 21

Table 1

$M

Reference

Investment in deconsolidated financial subsidiaries

462

Less

Regulatory reclassification to Retained Earnings and Other Intangible Assets

(70)

Add

Investment in financial associates

Add

Investment in financial institutions Investment Securities

Less

Amount below 10% threshold of CET1

Add

Significant investments in the ordinary shares of banking, financial and insurance entities thatare outside the scope of regulatory consolidation, net of eligible short positions (amount above
10% threshold)
Deduction amount below the 10% threshold of CET 1

Add

Row 73-

Row 193,254

Row 73

3,449

Deduction for equity holdings in financial institutions - APRA regulations

3,449

195

Row 26d

Mar 21

Table 1

$M

Reference

2,104

Deferred tax liabilities(73)

Deferred tax asset less deferred tax liabilities

2,031

Less

Deferred tax assets that rely on future profitability

AddDeferred tax liabilities on intangible assets, capitalised expenses and defined benefit superassets
Impact of calculating the deduction on a jurisdictional basis-

Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure
Template

Table I
Capitalised brokerage & loan/lease origination fees
Less

1,019
(3,254)

Investments in the capital of banking, financial and insurance entities that are outside thescope of regulatory consolidation, net of eligible short positions, where the ADI does not own
more than 10% of the issued share capital - Investment Securities
Equity investment in financial institutions not reported in rows 18, 19 and 23

Deferred tax assets

Add

Table D

1,843

Table HAdd

Row 15

Row 10

59
19
2,109

Row 26eMar 21

Table 1

$M

Reference

1,377

Capitalised debt and capital issuance expenses

58

Associated deferred tax liabilities(4)

Capitalised expenses

1,431

Table JMar 21

Table 1

$M

Reference

Investments in non financial Investment Securities equities

30

Investments in non financial associates

11

Non financial equity exposures (loans)

Row 26f-

Equity exposures to non financial entities

41

11

Row 26g

ANZ Basel III Pillar 3 Disclosure

March 2021

Mar 21$M

Table K
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities
Add

Issue costs

Add

Fair value adjustment

21

Additional Tier 1 instruments issued by subsidiaries held by third parties
Add

Issue costs

Less

Surplus capital attributable to third party holders

Add

AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group
AT1)
Additional Tier 1 capital before regulatory adjustments

Less

Significant investments in the capital of banking, financial and insurance entities that areoutside the scope of regulatory consolidation
Investments in the capital of financial institutions that are outside the scope of regulatory
consolidations not reported in rows 39 and 40
Other national specific regulatory adjustments not reported
Additional Tier 1 capital

Less

7,585
(37)

Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities

Less

7,569
-

Directly issued capital instruments subject to phase out from Tier 2

255

Row 34

7,824

Row 36(155)

Row 40(24)

Row 41b-Row 41c

7,645

Row 44

Mar 21

Table 1

$M

Reference

395

Less

Amortisation of Tier 2 Capital Instruments subject to Phase out

-

Less

Fair value adjustment-

Directly issued capital instruments subject to phase out from Tier 2

395

Row 47

Surplus capital attributable to third party holders

53

Row 48Add

Directly issued qualifying Tier 2 instruments

Add

Issue costs

Add

Fair value adjustment

Add

Row 30459(204)

Table L

Add

Table 1
Reference

14,81926(46)

Provisions

1,417

Tier 2 capital before regulatory adjustments

16,664

Row 51Less

Investments in own Tier 2 instruments (trading limit)(50)

Row 52Less

Significant investments in the Tier 2 capital of banking, financial and insurance entities that areoutside the scope of regulatory consolidation, net of eligible short positions
Investments in the capital of financial institutions that are outside the scope of regulatory
consolidation not reported in rows 54 and 55
Tier 2 capital(85)

Row 55(65)

Row 56b

16,464

Row 58Less

12

ANZ Basel III Pillar 3 Disclosure

March 2021

The following table provides details of entities included within the accounting scope of consolidation but excluded from
regulatory consolidation.
Total Assets

Total Liabilities$M$M

Holding Company--

ANZ ILP Pty Ltd

Incorporated Legal Practice2-

ANZ Investment Services (New Zealand) Limited

Funds Management

35

8

ANZ Lenders Mortgage Insurance Pty. Limited

Mortgage insurance

1,002

508

ANZ Pensions (UK) Limited

Trustee/Nominee

ANZ New Zealand Investments Limited

Funds Management

EntityActivity

ACN 008 647 185 Pty Ltd

-

-

166

44

ANZ New Zealand Investments Nominees Limited

Nominee--

ANZ Wealth Australia Limited

Holding Company / Corporate--

ANZ Wealth New Zealand Limited

Holding Company

119-

ANZcover Insurance Private Ltd

Captive-Insurance

208

96

Kingfisher Trust 2016-1

Securitisation Trust

681

681

Kingfisher Trust 2019-1

Securitisation Trust

945

945

Shout for Good Pty. Ltd.

Corporate

-

-

13

ANZ Basel III Pillar 3 Disclosure
Table 2

March 2021

Main features of capital instruments

As the main features of ANZ’s capital instruments are updated on an ongoing basis, ANZ has provided this information
separately in the Regulatory Disclosures section of its website.

Table 3 Capital adequacy, Table 4 Credit risk, Table 5 Securitisation
The above tables are produced at the quarters ending 30 June and 31 December.

14

ANZ Basel III Pillar 3 Disclosure

March 2021

Chapter 3 – Credit Risk
Table 6

Capital adequacy - Capital Ratio and Risk Weighted Assets 4 5

The following table provides the composition of capital used for regulatory purposes and capital adequacy ratios.
Mar 21

Sep 20Mar 20$M$M$M

Corporate

135,713

139,415150,290

Sovereign

7,750

7,545

6,915

Bank

10,092

12,734

18,615Residential Mortgage

107,351

Risk weighted assets
Subject to Advanced Internal Rating Based (IRB) approach

110,206

110,353

Qualifying Revolving Retail

3,678

4,337

4,956

Other Retail

20,693

21,79425,080288,132

296,178

313,20736,47639,001

41,072

Corporate

6,388

10,185

14,626

Sovereign

76

220

-

Residential Mortgage

203

210

228

Credit risk weighted assets subject to Advanced IRB approach
Credit risk Specialised Lending exposures subject to slotting approach4
Subject to Standardised approach

Other Retail

23

33

46

Credit risk weighted assets subject to Standardised approach

6,690

10,64814,900Credit Valuation Adjustment and Qualifying Central Counterparties

4,281

7,710

9,679

Credit risk weighted assets relating to securitisation exposures

2,220

2,125

2,142

Other assets

4,063

4,375

4,997

341,862

360,037

385,997

Total credit risk weighted assets
Market risk weighted assets

8,955

8,237

7,102

Operational risk weighted assets

47,19947,56347,902

Interest rate risk in the banking book (IRRBB) risk weighted assets
Total risk weighted assets

10,15013,547

8,011

408,166

429,384

449,012

Capital ratios (%)5
Level 2 Common Equity Tier 1 capital ratio

12.4%

11.3%

10.8%

Level 2 Tier 1 capital ratio

14.3%

13.2%

12.5%

Level 2 Total capital ratio

18.3%

16.4%

15.5%

Level 1: Extended licensed Common Equity Tier 1 capital ratio

12.2%

11.2%

10.6%

Level 1: Extended licensed entity Tier 1 capital ratio

14.2%

13.2%

12.6%

Level 1: Extended licensed entity Total capital ratio

18.6%

16.7%

15.8%

ANZ Bank New Zealand Limited – Common Equity Tier 1 capital ratio

13.1%

11.7%

11.1%

ANZ Bank New Zealand Limited - Tier 1 capital ratio

15.9%

14.4%

13.9%

ANZ Bank New Zealand Limited - Total capital ratio

15.9%

14.4%

13.9%

Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:

Specialised Lending exposures subject to slotting approach are those where the main servicing and repayment is from the asset being
financed, and includes specified commercial property development/investment lending, project finance and object finance.

45

ANZ Bank New Zealand Limited’s capital ratios have been calculated in accordance with Reserve Bank of New Zealand prudential
standards.

15

ANZ Basel III Pillar 3 Disclosure

March 2021

Credit Risk Weighted Assets (CRWA)
Total Credit RWA decreased $18.1 billion (-5%) from September 2020 to $341.9 billion at March 2021 mainly driven
by reduction in exposures in the Institutional Division, combined with the impact of foreign exchange movements.
Exposures subject to the Standardised approach reduced upon APRA approval for the implementation of Advanced
Internal Ratings Based treatment for Non-Bank Financial Institutions customers in Asia.
Market Risk, Operational Risk and IRRBB RWA
IRRBB RWA decreased $3.4 billion due to an improvement in Embedded Gains combined with a reduction in Repricing
and Yield Curve Risk.
Traded Market Risk RWA increased $0.7 billion over the half due to increase in 10d VaR, mainly driven by an increasein positioning across Credit Trading.

16

ANZ Basel III Pillar 3 Disclosure

March 2021

Chapter 3 – Credit risk
Table 7

Credit risk – General disclosures

Exposure at Default in Table 7 represents credit exposure net of offsets for credit risk mitigation such as guarantees,credit derivatives, netting and financial collateral. It includes Advanced IRB, Specialised Lending and Standardised
exposures, and excludes Securitisation, Equities or Other Assets exposures.

Table 7(b) part (i): Period end and average Exposure at Default 6
Mar 21
Advanced IRB approach

Risk
Weighted
Assets$M

Exposureat Default$M

Corporate

135,713

270,749

Average
Exposureat Default
for half year$M272,582

Sovereign

7,750

227,824

207,215-

Bank

10,09235,401

38,786--

Residential Mortgage

110,206

405,552

398,93146

71

Qualifying Revolving Retail

3,678

14,125

14,48633

61

Other Retail

20,69330,88831,41059

126

288,132

984,539

963,410187

326

36,47643,502

44,966-1

Corporate

6,388

6,445

8,894

(2)

11

Sovereign

76

69

141

-

-

Residential Mortgage

203

422

429

-

2

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge forhalf year$M
49

Write-offs
for half year
$M

-

68

Standardised approach

Other Retail

23

22

28

2

-

Total Standardised approach

6,690

6,958

9,492

-

13

Credit Valuation Adjustment andQualifying Central Counterparties

4,281

10,192

9,938

-

-

335,579

1,045,191

1,027,806

187

340

Total

6

Average Exposure at Default for half year is calculated as the simple average of the balances at the start and the end of each six month
period.

17

ANZ Basel III Pillar 3 Disclosure

March 2021

Table 7(b) part (i): Period end and average Exposure at Default (continued)
Sep 20
Advanced IRB approach

Risk
Weighted
Assets$M

Corporate

139,415

274,414

Average
Exposureat Default
for half year$M291,198

Sovereign

7,545

186,605

191,941-

Bank

12,73442,171

52,910--Residential Mortgage

110,353

392,312386,197

39

32

Qualifying Revolving Retail

4,337

14,846

15,487

79

107

Other Retail

21,79431,931

33,474133

131

296,178

942,279

971,207

377

610

39,001

46,43047,4333

2

Corporate

10,185

11,344

13,657

12

18

Sovereign

220

212

106

-

-

Residential Mortgage

210

435

453

2

2

Total Advanced IRB approach
Specialised Lending

Exposureat Default$M

Individual
provision
charge forhalf year$M
126

Write-offs
for half year
$M

-

340

Standardised approach

Other Retail
Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

33

33

40

1

8

10,64812,024

14,256

15

28

7,710

9,684

9,845

-

-

353,537

1,010,417

1,042,741

395

640

Risk
Weighted
Assets$M

Exposureat Default$M

Individual
provision
charge forhalf year$M
356

Write-offs
for half year$M-

Mar 20
Advanced IRB approach

Corporate

150,290

307,981

Average
Exposureat Default
for half year$M292,290

Sovereign

6,915

197,277

175,109-Bank

18,61563,64959,397--

Residential Mortgage

107,351

380,082376,729

30

47

Qualifying Revolving Retail

4,956

16,12816,388

81

113

Other Retail25,08035,01735,670155

196

313,2071,000,134

955,583622

443

41,072

48,43645,892

9---

Total Advanced IRB approach
Specialised LendingStandardised approach
Corporate
Sovereign
Residential Mortgage
Other Retail
Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

14,626

15,971

87--

14,484

(5)

24

-

-

-

-

-

228

471

458

-

1

46

46

48

-

1

14,900

16,48814,990

(5)

26

9,679

10,005

9,677

-

-

378,858

1,075,063

1,026,142

626

469

18

ANZ Basel III Pillar 3 Disclosure

March 2021

Table 7(b) part (ii): Exposure at Default by portfolio type7
Mar 21

Portfolio TypeMar 20

Averageforhalf year
Mar 21
$M

$M

$M

$M

Cash

107,42271,92696,86589,674

Contingents liabilities, commitments, and other off-balance sheet
exposures
Derivatives

170,731

171,397

170,345

171,064

46,61450,963

61,962

48,789

61

133

225

97

Investment Securities

88,20689,977

84,11289,092

Net Loans, Advances & Acceptances

597,151

Settlement Balances7

Sep 20600,397593,904

630,971

Other assets

7,846

8,728

4,939

8,287

Trading Securities

23,914

23,38925,64423,652

Total exposures

1,045,191

1,010,417

1,075,063

1,027,806

Average for half year is calculated as the simple average of the balances at the start and the end of each six month period.

19

ANZ Basel III Pillar 3 Disclosure

March 2021

Table 7(c): Geographic distribution of Exposure at Default
Mar 21

Portfolio Type

Australia

New Zealand$M$M

Asia Pacific,
Europe andAmericas
$M

Total
$M

Corporate

150,050

40,34086,804

277,194

Sovereign

111,651

23,482

92,760227,893Bank

13,367

2,781

19,25335,401

Residential Mortgage

312,231

93,322421

405,974

Qualifying Revolving Retail

14,125--

14,125

Other Retail22,1118,777

2230,910Qualifying Central Counterparties

3,394

1,526

5,272

10,192

Specialised Lending

31,26912,111

122

43,502

Total exposures

658,198

182,339

204,654

1,045,191

Australia

New Zealand$M$M

Asia Pacific,
Europe andAmericas
$M

Total
$M

Sep 20

Portfolio Type
Corporate

154,805

41,41389,540285,758

Sovereign

79,134

24,465

83,218186,817Bank

18,131

2,883

21,15742,171

Residential Mortgage

303,867

88,445435

392,747

Qualifying Revolving Retail

14,846--

14,846

Other Retail

22,7479,184

33

31,964

Qualifying Central Counterparties

4,053

2,175

3,456

9,684

Specialised Lending

33,46012,698272

46,430Total exposures

631,043

181,263

198,1111,010,417

Australia

New Zealand$M$M

Asia Pacific,
Europe andAmericas
$M

Total
$M

Mar 20

Portfolio Type
Corporate

160,963

50,455112,534

323,952

Sovereign

62,481

18,308116,488

197,277

Bank

25,443

4,948

33,25863,649Residential Mortgage

289,578

90,504471

380,553

Qualifying Revolving Retail

16,128--16,128Other Retail23,14011,87746

35,063

Qualifying Central Counterparties

4,088

2,123

3,794

10,005Specialised Lending

35,087

13,210139

48,436

Total exposures

616,908

191,425

266,730

1,075,063

20

ANZ Basel III Pillar 3 Disclosure

March 2021

Table 7(d): Industry distribution of Exposure at Default8 9
Mar 21
Portfolio Type

Corporate
SovereignBank
Residential Mortgage
Qualifying Revolving
RetailOther Retail
Qualifying Central
Counterparties
Specialised Lending
Total exposures% of Total

Government
and Official
Institutions$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

RetailTrade$M

Transport&
Storage
$M

Other
$M

Total
$M

14,5262-

Financial,
Investment&
Insurance$M
57,138137,971
35,351-

36
85,974-

37,632
1,256
3
-

421
405,974
14,12523,8981,518
4-20,48422
2-

12,582
7-

17,773125-

21,36720
5-277,194
227,893
35,401
405,974
14,125

1,834
-

545
10,192

12
-

1,394
-

8,629
-

966
-

1,043
-

3,194
-

1,030
-

4,490
-

30,91010,192Entertainment,
Leisure &Tourism
$M

5,377
14
-

Electricity,
Gas &
Water
Supply$M
12,152
539
23
-

3,188
-

77
-

Agriculture,
Forestry,
Fishing &Mining$M
43,390454-

Business
Services$M

Construction$M

10,418
4
-

2,148
-

2,360
-

1,476

8

346

1,816

306

1

-

-

-

38,161

24

-

917

447

43,502

47,468

12,7908,925

14,607

16,668241,198

86,02240,285429,149

64,547

21,575

15,783

19,84526,3291,045,191

4.5%

1.2%

0.9%

1.4%

1.6%

23.1%

8.2%

3.9%

41.1%

6.2%

2.1%

1.5%

1.9%

2.5%

100.0%

Property Services includes Commercial property operators, Residential property operators, Retirement village operators/developers, Real estate agents, Non-financial asset investors and Machinery and equipment
hiring and leasing.

8

9

Other industry includes Health & Community Services, Education, Communication Services and Personal & Other Services.

21

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(d): Industry distribution of Exposure at Default (continued)
Sep 20
Portfolio Type

Corporate
SovereignBank
Residential Mortgage
Qualifying Revolving
RetailOther Retail
Qualifying Central
Counterparties
Specialised Lending
Total exposures% of Total

Government
and Official
Institutions$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

RetailTrade$M

Transport&
Storage
$M

Other
$M

Total
$M

15,041
2-

Financial,
Investment&
Insurance$M
52,381
99,40742,096-42
83,099-43,594
1,461
2
-

448
1
392,747
14,84624,4881,581
5-22,22827
9-13,884-

18,58072
28-

22,11316
2-285,758
186,817
42,171
392,747
14,846

1,956
-

557
9,684

10
-

1,386
-

9,168
-

1,005
-

1,035
-

3,315
-

1,041
-

4,513
-

31,964
9,684Entertainment,
Leisure &Tourism
$M

5,414
15
1
-

Electricity,
Gas &
Water
Supply$M
11,511
608
24
-

3,234
-

76
-

Agriculture,
Forestry,
Fishing &Mining$M
45,440531-

Business
Services$M

Construction$M

10,594
1
-

2,267
-

2,401
-

1,964

10

362

2,016

423

1

-

2

-

40,004

26

-

1,166

456

46,43050,202

13,006

9,026

14,235

17,422

204,126

83,15146,445417,21067,08323,325

17,19920,887

27,1001,010,417

5.0%

1.3%

0.9%

1.4%

1.7%

20.2%

8.2%

4.6%

41.3%

6.6%

2.3%

1.7%

2.1%

2.7%

100.0%

Agriculture,
Forestry,
Fishing &Mining$M
48,913821-

Business
Services$M

Construction$M

Entertainment,
Leisure &Tourism$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

RetailTrade$M

Transport&
Storage
$M

Other
$M

Total
$M

5,921
16
-

14,45310
1-Financial,
Investment&
Insurance$M62,027
120,719
63,596-

Government
and Official
Institutions$M

11,537
1-

Electricity,
Gas &
Water
Supply$M
12,257
667
4
-

4,211
71,117-51,565
1,925
2
-

630
380,553
16,12823,9861,652
1-29,2904
9-

14,635
3-

20,836179
32-

23,691
167-

323,952
197,277
63,649380,553
16,128

2,644
-

2,538
-

3,617
-

90
-

1,927
-

561
10,005

14
-

1,488
-

11,632
-

1,044
-

1,091
-

3,419
-

1,191
-

3,807
-

35,063
10,005

Mar 20
Portfolio Type

Corporate
SovereignBank
Residential Mortgage
Qualifying Revolving
RetailOther Retail
Qualifying Central
Counterparties
Specialised Lending
Total exposures% of Total

1,660

6

387

1,839

440

1

-

2

-

42,466

22

-

1,209

404

48,43654,03814,082

9,941

14,857

16,831

256,90975,342

54,982408,943

69,14930,416

18,05723,44728,069

1,075,063

5.0%

1.3%

0.9%

1.4%

1.6%

23.9%

7.0%

5.1%

38.1%

6.4%

2.8%

1.7%

2.2%

2.6%

100.0%

22

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(e): Residual contractual maturity of Exposure at Default10
Mar 21
Portfolio Type< 12 mths$M

1 - 5 years$M

Corporate

121,998

140,590

Sovereign

140,41355,048Bank

23,367229

Residential Mortgage
Qualifying Revolving Retail> 5 years$M
14,522No Maturity
Specified
$M
84

Total
$M
277,194

32,432-

227,893

11,705329-

35,401

974

380,081

24,690405,974---

14,125

14,125

Other Retail

11,406

4,371

15,131

2

30,910Qualifying Central Counterparties

7,345

1,374

938

535

10,192

Specialised Lending

18,81622,8851,777

24

43,502

Total exposures

323,574

236,947445,210

39,4601,045,191

Portfolio Type< 12 mths$M

1 - 5 years$M> 5 years
$M

Total
$M

Corporate

123,849

145,885

15,925No Maturity
Specified$M
99285,758

Sovereign

102,470

58,241

26,106-

186,817Bank

26,165

15,596410-

42,171272

925

366,032

25,518392,747

Sep 20Residential Mortgage
Qualifying Revolving Retail

-

-

-

14,846

14,846

Other Retail

11,8304,586

15,548-31,964

Qualifying Central Counterparties

7,025

1,199

906

554

9,684

Specialised Lending

19,56824,8242,008

30

46,430Total exposures

291,179

251,256

426,935

41,0471,010,417

Portfolio Type< 12 mths$M

1 - 5 years$M> 5 years
$M

Total
$M

Corporate148,359

155,699

19,772No Maturity
Specified$M
122

323,952

Sovereign131,162

47,317

18,798-

197,277

Bank

45,90917,175565-

63,649292

978352,414

26,869380,553

Mar 20Residential Mortgage
Qualifying Revolving Retail

-

-

-

16,12816,128Other Retail

13,206

5,483

16,374-35,063

Qualifying Central Counterparties

7,004

1,774

638

589

10,005Specialised Lending

17,57327,9862,839

38

48,436

Total exposures

363,505

256,412411,400

43,746

1,075,063

10

No Maturity Specified predominately includes credit cards and residential mortgage equity manager accounts.

23

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(f) part (i): Impaired assets11 12, Past due loans13, Provisions and Write-offs by Industry sector
Mar 21
Industry Sector

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Agriculture, Forestry, Fishing &MiningBusiness Services

-

366

96

73

Individual
provision
charge forhalf year
$M
(13)

-

102

54

55

(3)

8

Construction

-

84

75

44

13

10

Write-offs
for half
year
$M
37

Electricity, gas and water supply

-

9

1

9

-

-

Entertainment Leisure & Tourism

-

100

71

52

2

19

Financial, Investment & Insurance

-

57

51

26

2

1

Government & Official Institutions

-

-

-

-

-

-

Manufacturing

-

96

46

41

25

20
192

Personal

-

604

2,463

203

77

Property Services

-

117

82

29

2

5

Retail Trade

2

262

92

91

7

23

Transport & Storage

1

359

31

51

3

6

Wholesale Trade

-

320

32

87

60

9

Other

-

62

128

48

12

10

Total

3

2,538

3,222

809

187

340

11

Impaired derivatives are net of credit valuation adjustment (CVA) of $1 million, being a market value based assessment of the credit
risk of the relevant counterparties (September 2020: $2 million; March 2020: $3 million).

12
Impaired loans / facilities include restructured items of $300 million for customer facilities in which the original contractual terms havebeen modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest, principal
or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with similar risk
(September 2020: $254 million; March 2020: $226 million).
13

For regulatory reporting, not well secured portfolio managed retail exposures have been reclassified from past due loans ≥ 90 days to
impaired loans / facilities.

24

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(f) part (i): Impaired assets, Past due loans, Provisions and Write-offs by Industry sector(continued)
Sep 20Industry Sector

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Agriculture, Forestry, Fishing &MiningBusiness Services

-

601

101

104

-

104

50

57

27

25

Construction

-

91

63

44

23

10

Electricity, gas and water supply

-

10

1

9

11

11

Entertainment Leisure & Tourism

-

118

59

63

21

8

Financial, Investment & Insurance

-

62

35

27

5

4

Individual
provision
charge forhalf year$M
30

Write-offs
for half
year
$M
30

Government & Official Institutions

-

-

-

-

-

-

Manufacturing

-

77

28

35

11

13

Personal

-

777

3,107

312

189

232

Property Services

-

142

49

35

4

3

Retail Trade

-

304

80

90

16

24

Transport & Storage

1

113

26

46

18

6

Wholesale Trade

-

68

38

20

19

256

Other

-

75

123

49

21

18

Total

1

2,542

3,760

891

395

640

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Write-offs
for halfyear$M

Agriculture, Forestry, Fishing &MiningBusiness Services

-

519

116

104

Individual
provision
charge forhalf year
$M
(14)

-

81

46

49

13

20

Construction

-

90

67

43

9

25

Electricity, gas and water supply

-

11

1

10

-

1

Entertainment Leisure & Tourism

-

120

64

55

30

17

Financial, Investment & Insurance

-

69

18

26

11

29

Government & Official Institutions

-

-

-

-

-

-

Manufacturing

-

74

38

42

20

28

Personal

-

786

2,822

254

183

273

Property Services

-

143

52

52

12

3

Retail Trade

-

292

88

115

76

23

Transport & Storage

1

116

25

39

17

7

Wholesale Trade

-

348

38

259

248

22

Mar 20Industry Sector

8

Other

-

81

114

45

21

13

Total

1

2,730

3,489

1,093

626

469

25

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(f) part (ii): Impaired asset, Past due loans, Provisions and Write-offs
Mar 21
Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥
90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Writeoffs
for half
year$M

Corporate

2

1,498

227

412

49

68

Sovereign

-

-

-

-

-

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

434

2,446

113

46

71

Qualifying Revolving Retail

-

38

-

-

33

61

Other Retail

-

363

418

215

59

126

Total Advanced IRB approach

2

2,333

3,091

740

187

326

Specialised Lending

-

75

39

18

-

1

Portfolios subject to Standardised
approachCorporate

1

112

63

43

(2)

11

Residential Mortgage

-

8

29

5

-

2

Other Retail

-

10

-

3

2

-

Total Standardised approach

1

130

92

51

-

13

Qualifying Central Counterparties

-

-

-

-

-

-

Total

3

2,538

3,222

809

187

340

Portfolios subject to Advanced IRB approach

26

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(f) part (ii): Impaired asset, Past due loans, Provisions and Write-offs (continued)14
Sep 20
Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥
90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Writeoffs
for half
year$M

Corporate

-

1,298

212

435

126

340

Sovereign

-

-

-

-

-

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

549

3,004

136

39

32

Qualifying Revolving Retail

-

47

-

-

79

107

Other Retail

-

416

469

248

133

131

Total Advanced IRB approach

-

2,310

3,685

819

377

610

Specialised Lending

-

79

31

14

3

2

Portfolios subject to Standardised
approachCorporate

1

135

28

56

12

18

Residential Mortgage

-

9

16

2

2

2

Other Retail

-

9

-

-

1

8

Total Standardised approach

1

153

44

58

15

28

Qualifying Central Counterparties

-

-

-

-

-

-

Total

1

2,542

3,760

891

395

640

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥
90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Writeoffs
for half
year$M

Corporate

-

1,500

218

645

356

87

Sovereign

-

-

-

-

-

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

504

2,791

128

30

47

Qualifying Revolving Retail

-

78

-

-

81

113

Other Retail

-

417

425

225

155

196

Total Advanced IRB approach

-

2,499

3,434

998

622

443

Specialised Lending

-

71

27

14

9

-

Portfolios subject to Standardised
approachCorporate

1

139

14

74

(5)

24

Residential Mortgage

-

10

9

7

-

1

Other Retail

-

11

5

-

-

1

Total Standardised approach

1

160

28

81

(5)

26

Qualifying Central Counterparties

-

-

-

-

-

-

Total

1

2,730

3,489

1,093

626

469

Portfolios subject to Advanced IRB approachMar 20

Portfolios subject to Advanced IRB approach

14
For Individual Provision Balance, the corporate asset class split between advanced and standardised has been updated for September
2020 comparative to reflect the Basel treatment of the underlying assets.

27

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(g): Impaired assets15 16, Past due loans17 and Provisions18 by Geography
Mar 21
Geographic region

2

Impairedloans/
facilities
$M
1,948

New Zealand

-

334

345

88

Asia Pacific, Europe and America

1

256

92

89

569

Total

3

2,538

3,222

809

4,285

Impairedderivatives$M

Past dueloans≥ 90 days$M
3,245

Individual
provisionbalance$M
688

Collective
provisionbalance
$M
3,727
671

Australia

Impairedderivatives$M

Past dueloans≥ 90 days$M
2,785

Individual
provisionbalance$M
632

Collective
provisionbalance
$M
3,106
610

Sep 20Geographic region

Australia-

Impairedloans/
facilities
$M
1,973

New Zealand

-

392

467

119

Asia Pacific, Europe and America

1

177

48

84

610

Total

1

2,542

3,760

891

5,008

Impairedderivatives$M

Past dueloans≥ 90 days$M
3,106

Individual
provisionbalance$M
670

Collective
provisionbalance
$M
3,222
657

Mar 20Geographic region

Australia-

Impairedloans/
facilities
$M
1,961

New Zealand

-

312

356

96

Asia Pacific, Europe and America

1

457

27

327

622

Total

1

2,730

3,489

1,093

4,501

Impaired derivatives are net of credit valuation adjustment (CVA) of $1 million, being a market value based assessment of the credit
risk of the relevant counterparties (September 2020: $2 million; March 2020: $3 million).

15

Impaired loans / facilities include restructured items of $300 million for customer facilities in which the original contractual terms havebeen modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest, principal
or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with similar risk
(September 2020: $254 million; March 2020: $226 million).

16

17

For regulatory reporting, not well secured portfolio managed retail exposures have been reclassified from past due loans ≥ 90 days to
impaired loans / facilities.
Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective Provision for accounting
purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory purposes. This does not impact total
provisions, and essentially relates to the classification of collectively assessed provisions on defaulted accounts. The disclosures in thisdocument are based on Individual Provision and Collective Provision, for ease of comparison with other published results.

18

28

ANZ Basel III Pillar 3 disclosure

March 2021

Table 7(h): Provision for Credit Impairment

Collectively Assessed Provision

Half year
Mar 21$M

Half year
Sep 20$M

Half year
Mar 20$M

Balance at start of period

5,008

4,501

3,376

Charge/(Release) to Income Statement

(678)

669

1,048

Adjustment for exchange rate fluctuations and transfers

(45)

(114)

77

-

(48)

-

4,285

5,008

4,501

Balance at start of period

891

1,093

814

New and increased provisions

455

675

900
(170)

UDC Divestment
Total Collectively Assessed Provision

Individually Assessed Provision

Write-backs

(180)

(165)

Adjustment for exchange rate fluctuations and transfers

(6)

(38)

28

Discount unwind

(11)

(12)

(10)

Bad debts written off

(340)

(640)

(469)

-

(22)

-

Total Individually Assessed Provision

809

891

1,093

Total Provisions for Credit Impairment

5,094

5,899

5,594

General Reserve for
Credit Losses
$M
3,853

Total
$M

Collectively Assessed Provision

Specific Provision
Balance$M
432

Individually Assessed Provision

809

-

809

1,241

3,853

5,094

General Reserve for
Credit Losses
$M
4,524

Total
$M

Collectively Assessed Provision

Specific Provision
Balance$M
484

Individually Assessed Provision

891

-

891

1,375

4,524

5,899

General Reserve for
Credit Losses
$M
4,028

Total
$M

Collectively Assessed Provision

Specific Provision
Balance
$M
473

4,501

Individually Assessed Provision

1,093

-

1,093

Total Provision for Credit Impairment

1,566

4,028

5,594

UDC Divestment

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses19
S

Mar 21

Total Provision for Credit Impairment

4,285

Sep 20Total Provision for Credit Impairment

5,008

Mar 20Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective Provision for accounting
purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory purposes. This does not impact total
provisions, and essentially relates to the classification of collectively assessed provisions on defaulted accounts. The disclosures in thisdocument are based on Individual Provision and Collective Provision, for ease of comparison with other published results.

19

29

ANZ Basel III Pillar 3 disclosure
Table 8March 2021

Credit risk – Disclosures for portfolios subject to the Standardised approach and supervisoryrisk weights in the IRB approach

Table 8(b): Exposure at Default by risk bucket20
Mar 21

Sep 20Mar 20

$M

$M

$M

0%

-

-

4

20%

19

241

369

35%

189

195

210

50%

516

2,429

2,826

Standardised approach exposures

75%

-

-

-

100%

5,974

8,830

12,790

150%

259

329

277

>150%

1

-

12

Capital deductions

-

-

-

6,958

12,024

16,488

Total
Other Asset exposures
0%

-

-

-

20%

745

708

649

35%

-

-

-

50%

-

-

-

75%

-

-

-

100%

3,860

4,234

4,867

150%

-

-

-

>150%

22

-

-

-

-

-

4,627

4,942

5,516

Capital deductions
Total
Specialised Lending exposures
0%

151

158

165

70%

21,756

20,78723,87890%

18,21922,235

20,864

115%

2,660

2,731

2,401

250%

716

519

1,128

Total

43,502

46,43048,43620

Table 8(b) shows exposure at default after credit risk mitigation in each risk category.

30

ANZ Basel III Pillar 3 disclosure
Table 9March 2021

Credit risk – Disclosures for portfolios subject to Advanced IRB
approaches

Portfolios subject to the Advanced IRB (AIRB) approach
The following table summarises the types of borrowers and the rating approach adopted within each of ANZ’s AIRB
portfolios:
IRB Asset Class

Borrower Type

Rating Approach

Corporate

Corporations, partnerships or proprietorships that do not fit
into any other asset class

AIRB

Sovereign

Central governments
Central banks
Certain multilateral development banks

AIRB

Bank

Banks21
In Australia only, other authorised deposit taking institutions(ADI) incorporated in Australia

AIRB

Residential Mortgages

Exposures secured by residential property

AIRB

Qualifying Revolving
RetailConsumer credit cards <$100,000 limit

AIRB

Other Retail

Small business lending
Other lending to consumers

AIRB

Specialised Lending

Income Producing Real Estate22
Project financeObject finance

AIRB – Supervisory
Slotting23

Other Assets

All other assets not falling into the above classes e.g. margin
lending, fixed assets

AIRB – fixed risk
weights

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail and local corporates
in Pacific, and local corporates in Asia) where currently available data does not enable development of advanced internal
models for PD, LGD and EAD estimates. Under the Standardised approach, exposures are mapped to several regulatory
risk weights, mainly based on the type of counterparty and its external rating. For these counterparties, external ratings
by Standard & Poor’s and Moody’s Investors Service are used as inputs into the RWA calculation. As described in thesection on the ANZ rating system, ANZ has mapped its master scale to the grading of these two External Credit
Assessment Institutions (ECAIs).
ANZ applies its full normal risk measurement and management framework to these segments for internal management
purposes, such as for economic capital. Standardised segments will be migrated to AIRB if they reach a volume thatgenerates sufficient data for development of advanced internal models.
ANZ has not applied the Foundation IRB approach to any portfolios.
The ANZ rating system
As an AIRB bank, ANZ’s internal models generate the inputs into regulatory capital adequacy to determine the risk
weighted exposure calculations for both on and off-balance sheet exposures, including undrawn portions of credit
facilities, committed and contingent exposures and EL calculations. ANZ’s internal models are used to generate the three
key risk components that serve as inputs to the IRB approach to credit risk:PD is an estimate of the level of the risk of borrower default. Borrower ratings are derived by way of rating models
used both at loan origination and for ongoing monitoring.



EAD is defined as the expected facility exposure at the date of default.



LGD is an estimate of the potential economic loss on a credit exposure, incurred as a consequence of obligor default
and expressed as a percentage of the facility’s EAD. ANZ’s LGD also includes recognition of the different legal andinsolvency regimes in different countries, where this has been shown to influence recovery outcomes.

21

The IRB asset classification of investment banks is Corporate, rather than Bank.

22

Since 2009, APRA has agreed that some large, well-diversified commercial property exposures may be treated as corporate exposures,in line with the original Basel Committee’s definition of Specialised Lending.
23

ANZ uses an internal assessment which is mapped to the appropriate Supervisory Slot.

31

ANZ Basel III Pillar 3 disclosure

March 2021

Effective maturity is also calculated as an input to the risk weighted exposure calculation for bank, sovereign andcorporate IRB asset classes.
ANZ’s rating system has two separate and distinct dimensions that:

Measure the PD, which is expressed by the Customer Credit Rating (CCR), reflecting the ability to service and repay
debt.



Measure the LGD as expressed by the Security Indicator (SI) ranging from A to G. The SI is calculated by reference
to the percentage of a loan covered by security which can be realised in the event of default. This calculation uses
standard ratios to adjust the current market value of collateral items to allow for historical realisation outcomes. The
security-related SIs are supplemented with a range of other SIs which cover such factors as cash cover, mezzanine
finance, intra-group guarantees and sovereign backing as ANZ’s LGD research indicates that these transaction
characteristics have different recovery outcomes. ANZ’s LGD also includes recognition of the different legal andinsolvency regimes in different countries, where this has been shown to influence recovery outcomes.

ANZ’s corporate PD master scale is APRA approved, and is made up of 27 rating grades. Each level/grade is separately
defined and has a range of default probabilities attached to it. The PD master scale enables ANZ’s rating system to bemapped to the grading’s of external rating agencies, using the PD as a common element after ensuring that default
definitions and other key attributes are aligned.
The following table demonstrates this alignment (for one year PDs):
ANZ CCR

Moody’sStandard & Poor’s

PD Range

0+ to 1-

Aaa to Aa3

AAA to AA-

0.0000 - 0.0346%

2+ to 3+

A1 to Baa1

A+ to BBB+

0.0347 - 0.1636%

3= to 4+

Baa2 to > Baa3

BBB to > BB+

0.1637 - 0.4004%

4= to 6=

Ba1 to B1

BB+ to B+

0.4005 – 2.7550%

6- to 7=

B2 to B3

B to B-

2.7551 – 9.7980%

7- to 8+Caa

CCC

9.7981 – 27.1109%

8=

Ca, C

CC, C

27.1110 – 99.9999%

8-, 9 and 10

Default

Default

100%

In the retail asset classes, most facilities utilise credit rating scores. The scores are calibrated to PDs, and used to allocate
exposures to homogenous pools, along with LGD and EAD.

32

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB)
approach24 25 26
Mar 21
AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

Default
$M

Total
$M

Exposure at Default
Corporate

25,61985,11089,31053,03013,358

1,968

2,354

270,749

Sovereign

195,497

25,578

3,017

1,823

1,901

4

4

227,824

Bank

7,973

22,926

3,675

775

43

9

-

35,401

Total

229,089

133,61496,002

55,62815,302

1,981

2,358

533,974

42.9%

25.0%

18.0%

10.4%

2.9%

0.4%

0.4%

100.0%% of Total

Undrawn commitments (included in above)
Corporate

7,668

30,92529,367

9,255

1,589

189

192

79,185

Sovereign

1,272

207

256

72

10

-

-

1,817

Bank

-

410

6

-

1

-

-

417

Total

8,940

31,542

29,629

9,327

1,600

189

192

81,419Average Exposure at Default
Corporate

14.665

7.900

2.094

0.825

0.303

0.460

0.903

1.589

Sovereign228.920171.665

31.42813.20823.465

0.490

0.701

171.167

4.571

4.752

3.544

5.653

0.937

0.415

-

4.532
47.4%

Bank

Exposure-weighted average Loss Given Default (%)
Corporate

59.1%

56.7%

45.4%

34.9%

31.5%

35.8%

40.6%

Sovereign

5.9%

11.9%

27.3%

27.6%

55.7%

60.7%

18.7%

7.4%

Bank

57.3%

57.4%

64.5%

68.3%

67.8%

66.2%

-

58.3%
47.4%

Exposure-weighted average risk weight (%)
Corporate

18.9%

33.2%

51.2%

60.3%

80.6%

172.9%

143.8%

Sovereign

1.1%

3.3%

27.0%

53.8%

151.8%

321.8%

-

3.4%

Bank

15.0%

23.7%

65.3%

120.8%

207.0%

401.8%

-

28.5%

24

In accordance with APS 330, EAD in Table 9(d) includes Advanced IRB exposures and excludes Specialised Lending, Standardised,
Securitisation, Equities or Other Assets exposures. Specialised Lending is excluded from Table 9(d) as it follows the Supervisory Slotting
treatment, and a breakdown of risk weightings is provided in Table 8(b).

25

Average EAD is calculated as total EAD post risk mitigants divided by the total number of credit risk generating exposures.

26

Exposure-weighted average risk weight (%) is calculated as CRWA divided by EAD.

33

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach(continued)
Sep 20
AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

Default
$M

Total
$M

Exposure at Default
Corporate

24,60382,12891,67956,616

14,593

2,239

2,556

274,414

Sovereign

155,797

23,676

3,109

2,253

1,737

13

20

186,605

Bank

8,054

28,841

4,099

1,129

43

5

-

42,171

Total

188,454

134,645

98,88759,99816,373

2,257

2,576

503,190

37.5%

26.7%

19.7%

11.9%

3.3%

0.4%

0.5%

100.0%% of Total

Undrawn commitments (included in above)
Corporate

8,736

33,47529,496

9,381

1,658

263

180

83,189Sovereign

1,680

86

113

181

23

-

-

2,083

Bank

1

555

26

-

1

-

-

583

Total

10,417

34,116

29,635

9,562

1,682

263

180

85,855

Average Exposure at Default
Corporate

15.011

10.685

2.206

0.856

0.300

0.473

0.830

1.582

Sovereign

168.430215.233

37.45818.77548.251

1.636

2.479

144.655

6.820

7.889

5.654

7.953

1.190

0.235

-

7.321
47.6%

Bank

Exposure-weighted average Loss Given Default (%)
Corporate

58.4%

56.1%

46.7%

36.5%

31.6%

43.3%

40.8%

Sovereign

6.3%

12.0%

35.6%

22.6%

54.8%

63.0%

11.6%

8.2%

Bank

57.4%

59.1%

64.3%

67.9%

69.7%

66.9%

-

59.5%
49.5%

Exposure-weighted average risk weight (%)
Corporate

19.0%

32.3%

53.1%

63.4%

79.6%

225.7%

135.4%

Sovereign

1.4%

3.3%

33.6%

43.1%

148.7%

280.7%

-

4.0%

Bank

15.5%

25.4%

65.5%

120.4%

220.5%

422.3%

-

30.2%

AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

Default
$M

Total
$M

Mar 20

Exposure at Default
Corporate

34,797

97,236

96,962

58,955

15,175

2,436

2,420

307,981

Sovereign

160,894

31,038

2,212

1,037

2,082

14

-

197,277

Bank

20,51036,251

5,767

1,087

27

7

-

63,649

Total

216,201

164,525

104,941

61,07917,284

2,457

2,420

568,907

38.0%

28.9%

18.4%

10.7%

3.0%

0.4%

0.4%

100.0%% of Total

Undrawn commitments (included in above)
Corporate

9,265

36,31522,743

8,587

1,743

311

67

79,031

Sovereign

1,515

19

1

20

24

-

-

1,579

Bank

-

519

33

3

1

-

-

556

Total

10,78036,853

22,777

8,610

1,768

311

67

81,166

Average Exposure at Default
Corporate

15.79510.623

1.988

0.730

0.136

0.239

0.669

1.160

Sovereign

192.458

408.39438.13812.20026.3522.293-

172.596

3.743

4.551

4.372

5.275

0.671

0.314

-

4.264
48.7%

Bank

Exposure-weighted average Loss Given Default (%)
Corporate

56.1%

56.8%

47.7%

37.0%

33.1%

40.5%

41.3%

Sovereign

5.1%

13.2%

39.0%

42.7%

51.8%

54.5%

-

7.4%

Bank

63.4%

61.9%

65.4%

68.6%

72.0%

67.9%

-

62.8%
48.8%

Exposure-weighted average risk weight (%)
Corporate

17.2%

32.9%

53.5%

62.9%

84.9%

200.1%

127.0%

Sovereign

0.8%

3.4%

37.5%

75.6%

139.6%

282.1%

-

3.5%

Bank

19.9%

26.1%

66.3%

121.2%

224.4%

416.2%

-

29.3%

34

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(d): Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach by risk
grade
Mar 21
0.00%<0.11%$M

0.11%<0.30%$M

0.30%<0.51%$M

0.51%<3.49%$M

3.49%<10.09%$M

10.09%<100.00%$M

Default
$M

Total
$M

Residential Mortgage

90,79690,181

66,931

144,061

8,339

2,332

2,912

405,552

Qualifying Revolving Retail

5,274

3,443

1,137

2,962

852

424

33

14,125

798

3,928

1,810

15,305

6,118

1,900

1,029

30,888

Total

96,86897,552

69,878

162,328

15,309

4,656

3,974

450,565% of Total

21.5%

21.7%

15.5%

36.0%

3.4%

1.0%

0.9%

100.0%

Exposure at Default

Other Retail

Undrawn commitments (included in above)
Residential Mortgage

22,634

5,669

1,589

8,780

29

16

-

38,717

Qualifying Revolving Retail

3,786

2,537

738

1,161

207

38

2

8,469

729

3,120

922

3,753

980

169

44

9,717

27,14911,326

3,249

13,694

1,216

223

46

56,903

Other Retail
Total
Average Exposure at
Default
Residential Mortgage

0.260

0.220

0.290

0.320

0.320

0.340

0.310

0.273

Qualifying Revolving Retail

0.010

0.010

0.010

0.010

0.010

0.010

0.010

0.009

Other Retail

0.010

0.010

0.010

0.020

0.020

0.010

0.030

0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage

19.8%

17.6%

19.9%

20.8%

20.2%

20.0%

19.5%

19.7%

Qualifying Revolving Retail

72.4%

75.9%

74.6%

78.6%

82.0%

80.2%

75.7%

75.6%

Other Retail

59.0%

62.8%

43.4%

40.9%

42.1%

53.3%

44.0%

45.4%

Exposure-weighted average risk weight (%)
Residential Mortgage

4.4%

10.6%

19.5%

40.1%

96.7%

145.1%

181.5%

24.9%

Qualifying Revolving Retail

3.4%

7.8%

15.6%

43.0%

102.0%

203.1%

152.6%

26.0%

Other Retail

35.3%

44.0%

33.4%

54.0%

78.4%

139.9%

207.0%

66.3%

35

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(d): Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach by risk
grade
Sep 200.00%<0.11%$M

0.11%<0.30%$M

0.30%<0.51%$M

0.51%<3.49%$M

3.49%<10.09%$M

10.09%<100.00%$M

Default
$M

Total
$M

Residential Mortgage

87,86385,491

61,628141,183

9,430

3,117

3,600

392,312

Qualifying Revolving Retail

5,305

3,405

1,176

3,371

983

565

41

14,846

732

4,075

1,784

15,508

6,538

2,138

1,156

31,931

Total

93,90092,97164,588160,062

16,951

5,820

4,797

439,089% of Total

21.4%

21.2%

14.7%

36.5%

3.8%

1.3%

1.1%

100.0%

Exposure at Default

Other Retail

Undrawn commitments (included in above)
Residential Mortgage

21,988

5,682

1,656

6,792

32

29

1

36,180Qualifying Revolving Retail

3,999

2,641

800

1,506

298

58

2

9,304

672

3,297

900

3,088

869

180

29

9,035

26,659

11,6203,356

11,386

1,199

267

32

54,519Other Retail
Total
Average Exposure at
Default
Residential Mortgage

0.260

0.220

0.270

0.280

0.310

0.310

0.280

0.259

Qualifying Revolving Retail

0.010

0.010

0.010

0.010

0.010

0.010

0.010

0.009

Other Retail

0.010

0.010

0.010

0.020

0.020

0.010

0.030

0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage

19.7%

17.7%

19.6%

20.8%

20.2%

20.0%

19.7%

19.7%

Qualifying Revolving Retail

72.6%

76.0%

74.7%

78.8%

82.1%

81.1%

75.7%

75.9%

Other Retail

57.7%

64.3%

44.3%

41.1%

42.3%

53.5%

42.1%

45.7%

Exposure-weighted average risk weight (%)
Residential Mortgage

4.4%

10.8%

19.3%

40.8%

96.8%

144.7%

170.1%

26.1%

Qualifying Revolving Retail

3.4%

7.8%

15.6%

43.4%

102.1%

211.1%

117.5%

29.2%

Other Retail

37.6%

44.0%

34.4%

54.6%

79.2%

141.8%

190.1%

67.5%

0.00%
<0.11%$M

0.11%<0.30%$M

0.30%<0.51%$M

0.51%<3.49%$M

3.49%<10.09%$M

10.09%<100.00%$M

Default
$M

Total
$M

Residential Mortgage

72,10398,98963,456132,126

6,725

3,336

3,347

380,082

Qualifying Revolving Retail

5,464

3,607

1,242

3,872

1,245

624

74

16,128Other Retail

1,132

5,585

1,943

19,367

4,056

1,959

975

35,017

Total

78,699108,181

66,641

155,365

12,026

5,919

4,396

431,227% of Total

18.3%

25.1%

15.5%

35.9%

2.8%

1.4%

1.0%

100.0%

Mar 20

Exposure at Default

Undrawn commitments (included in above)
Residential Mortgage

15,431

7,705

3,061

7,497

33

29

-

33,756

Qualifying Revolving Retail

4,013

2,694

758

1,414

304

68

2

9,253

871

3,652

1,262

2,919

487

80

10

9,281

20,315

14,051

5,081

11,830

824

177

12

52,290

Other Retail
Total
Average Exposure at
Default
Residential Mortgage

0.258

0.230

0.265

0.271

0.349

0.330

0.270

0.257

Qualifying Revolving Retail

0.009

0.008

0.008

0.010

0.010

0.007

0.009

0.009

Other Retail

0.008

0.017

0.011

0.024

0.008

0.012

0.025

0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage

19.7%

18.0%

19.3%

20.8%

20.3%

20.0%

19.8%

19.6%

Qualifying Revolving Retail

72.9%

76.8%

75.0%

78.9%

82.2%

81.3%

75.7%

76.4%

Other Retail

55.0%

54.7%

71.7%

46.6%

68.2%

54.0%

46.0%

52.5%

Exposure-weighted average risk weight (%)
Residential Mortgage

5.8%

11.1%

19.0%

39.7%

93.9%

127.3%

178.0%

25.3%

Qualifying Revolving Retail

3.4%

7.8%

15.7%

44.2%

102.1%

203.6%

54.9%

30.7%

Other Retail

29.6%

37.0%

53.8%

59.4%

118.2%

166.3%

212.1%

71.6%

36

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(e): Actual Losses by portfolio type
Half year Mar 21
Basel Asset Class
Corporate

Individual provision charge$M
49

Write-offs$M
68

Sovereign

-

-

Bank

-

-

Residential Mortgage

46

71

Qualifying Revolving Retail33

61

Other Retail

59

126

187

326

Total Advanced IRB
Specialised Lending-

1Standardised approach

-

13

187

340

Total

Half year Sep 20
Basel Asset Class
Corporate

Individual provision charge$M
126

Write-offs$M
340

Sovereign

-

-

Bank

-

-

39

32

Qualifying Revolving Retail

79

107

Other Retail

133

131

Total Advanced IRB

377

610

Residential Mortgage

Specialised Lending

3

2Standardised approach

15

28

395

640

Total

Half year Mar 20
Basel Asset Class
Corporate

Individual provision charge$M
356

Write-offs$M
87

Sovereign

-

-

Bank

-

-

30

47

Qualifying Revolving Retail

81

113

Other Retail

155

196

Total Advanced IRB

622

443

Residential Mortgage

Specialised Lending

9-Standardised approach

(5)

26

Total

626

469

Factors impacting the loss experience
The individually assessed credit impairment charge decreased by $208 million since September 2020 with underlying
portfolio impairment charges subdued due to the impact of Government and Bank COVID 19 support packages on Retailand Small Business portfolios.
Write-offs decreased $300 million over the half predominantly driven by the write off of a large single named exposure
in AIRB Corporate in the September 2020 half.

37

ANZ Basel III Pillar 3 disclosure

March 2021

Table 9(f): Average estimated vs. actual PD, EAD and LGD – Advanced IRB
Mar 21
Portfolio Type

Average
Estimated
PD%

Average
Actual PD%

Averageestimated toactual EAD
ratio

Average
Estimated
LGD%

Average
Actual LGD%

Corporate

2.01

1.74

1.19

41.59

36.31

Sovereign

0.42

0.00

n/a

n/a

n/a

Bank

0.60

0.06

1.02

46.00

58.30

Specialised Lending

n/a

1.88

1.05

n/a

28.27

Residential Mortgage

0.77

0.81

1.01

20.3

1.6

Qualifying Revolving Retail

2.04

1.64

1.11

79.5

65.7

Other Retail

4.00

2.94

1.05

53.1

41.5

APS 330 Table 9(f) compares internal credit risk estimates used in calculating regulatory capital with realised outcomesby portfolio types. It covers the PD, EAD and LGD estimates for the IRB portfolios.
Estimated PD and LGD for Specialised Lending exposures have not been provided, since APRA requires the use of
supervisory slotting for Regulatory EL calculations. Actual PD, EAD ratio, Estimated LGD and Actual LGD for Sovereign
exposures have not been provided, since there were no Sovereign defaults observed in ANZ Sovereign exposures forthe observation period.
Wholesale Portfolios
The estimated PD is based on the average of the internally estimated long-run PD’s for obligors that are not in default
at the beginning of each financial year over the period of observation being 2009 to 2021. The actual PD is based on thenumber of defaulted obligors up to February 2021 compared to the total number of obligors measured.
The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the 12 yearsof observation being 2009 to February 2021. A ratio greater than 1.0 signifies that on average, the actual defaulted
exposures are lower than the estimated exposures at the time of default.
The estimated LGD is the downturn LGD for accounts that defaulted at the beginning of each year during the observation
period being 2009 to March 2019. The actual LGD is based on the average realised losses over the period for the accounts
observed at the beginning and defaulted during the observation period. For non-retail portfolios, the estimated andactual LGDs are based on accounts that defaulted up to March 2019. Defaults occurring after March 2019 have been
excluded from the analysis to allow sufficient time for workout period. Actual LGD for defaults where workouts were not
finalised have been estimated to approximate the final actual loss. Defaults where no loss data has been captured are
excluded from the LGD calculation.
A review of historical LGD data is currently being undertaken and may result in changes to Average Actual LGD numbers
detailed above.
Retail Portfolios
The estimated PD is based on the average of the internally estimated long-run PDs for obligors that are not in default at
the beginning of each financial year over the period of observation being 2015 to 2019. The actual PD is based on thenumber of defaulted obligors up to September 2020 compared to the total number of obligors measured.
The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the periodof observation being 2015 to 2019. A ratio greater than 1.0 signifies that on average, the actual defaulted exposures
are lower than the estimated exposures at the time of default.
The estimated LGD is the downturn LGD for accounts that defaulted at the beginning of each year during the observation
period being 2014 to 2018. The actual LGD is based on the average realised losses over the period for the accounts
observed at the beginning and defaulted during the observation period. Defaults occurring after September 2019 havebeen excluded from the analysis to allow sufficient time for workout period.

38

ANZ Basel III Pillar 3 disclosure

Table 10

March 2021

Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral 27 28
Mar 21
Exposure$M

Eligible Financial
Collateral$M

Corporate

6,445

2,523

-

28.1%

Sovereign

69

403

-

85.4%

Residential Mortgage

422

-

-

-

Other Retail

22

-

-

-

6,958

2,926

-

26.6%

Exposure$M

Eligible Financial
Collateral$M

Other Eligible
Collateral$M% Coverage

Other Eligible
Collateral$M% Coverage

Standardised approachTotal

Sep 20Standardised approach
Corporate

11,344

6,436

-

36.1%

Sovereign

212

1,532

-

87.8%

Residential Mortgage

435

-

-

-

Other Retail

33

-

-

-

12,024

7,968

-

39.9%

Exposure$M

Eligible Financial
Collateral$M

Other Eligible
Collateral$M% Coverage

Corporate

15,971

5,269

-

24.8%

Sovereign

-

-

-

-

Residential Mortgage

471

-

-

-

Other Retail

46

-

-

-

16,488

5,269

-

24.2%

Total

Mar 20Standardised approach

Total

27
Eligible Collateral could include cash collateral (cash, certificates deposits and bank bills issued by the lending ADI), gold bullion andhighly rated debt securities.

Exposure at Default represents credit exposure net of offsets for credit risk mitigation such as guarantees, credit derivatives, netting
and financial collateral.

28

39

ANZ Basel III Pillar 3 disclosure

March 2021

Table 10(c): Credit risk mitigation – guarantees and credit derivatives29
Mar 21
Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
Credit Derivatives$M% Coverage

Advanced IRB
Corporate (incl. Specialised Lending)

314,251

1,563

841

0.8%

Sovereign

227,824

4,440

-

1.9%

Bank

35,401-

18-

Residential Mortgage

405,552---

Qualifying Revolving Retail

14,125---

Other Retail30,888---1,028,041

6,003

859

0.7%

Corporate

6,445

23

10

0.5%

Sovereign

69

-

-

-

Residential Mortgage

422

-

-

-

Other Retail

22

-

-

-

6,958

23

10

0.5%

10,192--0.0%

Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
Credit Derivatives$M% Coverage

TotalStandardised approach

Total
Qualifying Central Counterparties

Sep 20

Advanced IRB
Corporate (incl. Specialised Lending)

320,844

1,746

1,070

0.9%

Sovereign

186,605

4,907

-

2.6%

Bank

42,171-

19-

Residential Mortgage

392,312---

Qualifying Revolving Retail

14,846---

Other Retail

31,931---

988,709

6,653

1,089

0.8%

Corporate

11,344

29

11

0.4%

Sovereign

212

-

-

Residential Mortgage

435

-

-

-

Other Retail

33

-

-

-

12,024

29

11

0.3%

9,684

-

-

-

Total
Standardised approach

Total
Qualifying Central Counterparties

Exposure at Default represents credit exposure net of offsets for credit risk mitigation such as guarantees, credit derivatives, netting
and financial collateral.

29

40

ANZ Basel III Pillar 3 disclosure

March 2021

Table 10(c): Credit risk mitigation – guarantees and credit derivatives (continued)
Mar 20
Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
Credit Derivatives$M% Coverage

Advanced IRB
Corporate (incl. Specialised Lending)

356,417

3,810

1,197

1.4%

Sovereign197,277

5,652

-

2.9%

Bank

63,649---Residential Mortgage

380,082---

Qualifying Revolving Retail

16,128---Other Retail35,017---

1,048,570

9,462

1,197

1.0%

Corporate

15,971

39

-

0.2%

Sovereign

-

-

-

-

Residential Mortgage

471

-

-

-

Other Retail

46

-

-

-

Total

16,488

39

-

0.2%

Qualifying Central Counterparties

10,005

-

-

-

Total
Standardised approach

41

ANZ Basel III Pillar 3 disclosure
Table 11

March 2021

General disclosures for derivatives and counterparty credit risk

Table 11(b): Counterparty credit risk – net derivative credit exposure30
Mar 21

Sep 20$M$M

Mar 20$M

Gross positive fair value of contracts

104,666

135,331

173,677

Netting benefits(144,910)(88,484)(118,097)

Netted current credit exposure

16,182

17,23428,767

Collateral held

(6,286)(6,287)(13,732)

Net derivatives credit exposure

9,896

10,947

15,035

Mar 21

Sep 20Mar 20$M$M$M

18,812

20,22227,804

Counterparty credit risk exposure - by portfolio type
Portfolio Type
Corporate
Sovereign

3,430

5,212

3,826

Bank

13,313

14,645

18,60010,005

Qualifying Central Counterparties

9,996

9,223

Specialised Lending

1,063

1,661

1,727

Total exposures

46,61450,963

61,962

Mar 21

Sep 20Mar 20$M$M$M

Credit Default Swaps

-

343

351

Interest Rate Swaps

-

-

-

Currency Swaps

-

-

-

Other

-

-

-

Total exposures

-

343

351

Notional Value of Credit Derivative Hedges
Product Type30

Prior period comparatives have been restated due to revision of netting benefits for March 2020.

42

ANZ Basel III Pillar 3 disclosure

March 2021

Table 11(c): Counterparty credit risk exposure – credit derivative transactions
Mar 21
Protection
Bought$M

Protection
Sold
$M

Total
$M

Credit derivative products used for own credit portfolio
Credit default swaps

4,564

414

4,978

Total notional value

4,564

414

4,978

Credit derivative products used for intermediation
Credit default swaps

-

-

-

Total return swaps

-

-

-

Total notional value
Total credit derivative notional value

-

-

-

4,564

414

4,978

Protection
Bought$M

Protection
Sold$M

Sep 20Total$M

Credit derivative products used for own credit portfolio
Credit default swaps

4,157

636

4,793

Total notional value

4,157

636

4,793

343

343

686

-

-

-

343

343

686

4,500

979

5,479

Protection
Bought$M

Protection
Sold$M

Credit derivative products used for intermediation
Credit default swaps
Total return swaps
Total notional value
Total credit derivative notional value

Mar 20Total$M

Credit derivative products used for own credit portfolio
Credit default swaps

5,073

2,321

7,394

Total notional value

5,073

2,321

7,394

351

355

706

-

-

-

351

355

706

5,424

2,676

8,100

Credit derivative products used for intermediation
Credit default swaps
Total return swaps
Total notional value
Total credit derivative notional value

43

ANZ Basel III Pillar 3 disclosure

March 2021

Chapter 4 – Securitisation
Table 12Securitisation disclosures

Banking Book
Table 12(g): Banking Book: Traditional and synthetic securitisation exposures
Mar 21
Traditional securitisations
Underlying asset
Residential mortgage

ANZ Originated
$M
1,587

ANZ Self Securitised$M
72,153

ANZ Sponsored$M-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

1,587

72,153-

ANZ Originated$M-

ANZ Self Securitised$M-

ANZ Sponsored$M-

Synthetic securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

ANZ Originated
$M
1,587

ANZ Self Securitised$M
72,153

ANZ Sponsored$M-

Aggregate of traditional and synthetic
securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

1,587

72,153-44

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(g): Banking Book: Traditional and synthetic securitisation exposures (continued)
Sep 20

Traditional securitisations
Underlying asset
Residential mortgage

ANZ Originated
$M
1,793

ANZ Self Securitised$M
85,239ANZ Sponsored$M-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

1,793

85,239-ANZ Originated$M-

ANZ Self Securitised$M-

ANZ Sponsored$M-

Synthetic securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

ANZ Originated
$M
1,793

ANZ Self Securitised$M
85,239ANZ Sponsored$M-

Aggregate of traditional and synthetic
securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

1,793

85,239-Mar 20
Traditional securitisations
Underlying asset
Residential mortgage

ANZ Originated
$M
2,108

ANZ Self Securitised$M
133,650

ANZ Sponsored$M-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

2,108

133,650-ANZ Originated$M-

ANZ Self Securitised$M-

ANZ Sponsored$M-

Synthetic securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

ANZ Originated
$M
2,108

ANZ Self Securitised$M
133,650

ANZ Sponsored$M-

Aggregate of traditional and synthetic
securitisations
Underlying asset
Residential mortgage
Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

2,108

133,650-45

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(h): Banking Book: Impaired and Past due loans relating to ANZ originated securitisations

Mar 21
Underlying asset

Residential mortgage

ANZ
originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

57

Lossesrecognised
for the six
month ended
$M
-

1,587

72,153-Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

-

Total

1,587

72,153

-

57

-

ANZ
originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

214

Lossesrecognised
for the six
month ended$M-

Sep 20Underlying asset

Residential mortgage

1,793

85,239-Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

-

Total

1,793

85,239

-

214

-

ANZ
originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

65

Lossesrecognised
for the six
month ended$M-

Mar 20Underlying asset

Residential mortgage

2,108

133,650-

Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

-

Total

2,108

133,650-65-

Table 12(i): Banking Book: Total amount of outstanding exposures intended to be securitised
No assets from ANZ's Banking Book were intended to be securitised as at the reporting date.

46

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset typeand facility 31
Mar 21

Securitisation activity by underlying asset
type

ANZ Originated$M

Original value
securitised
ANZ Self
Securitised
$M

(206)

(13,086)-

Recognised
gain
or loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(206)

(13,086)--

Residential mortgage

ANZ Sponsored$M

Securitisation activity by facility provided

Liquidity facilities

Notional
amount$M-

Funding facilities

500

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

140

Other

17

Total

657
Sep 20

Securitisation activity by underlying asset
type

(315)

(48,411)-

Recognised
gain
or loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(315)

(48,411)--

Residential mortgage

ANZ Originated$M

Original value
securitised
ANZ Self
Securitised$M

Securitisation activity by facility provided

ANZ Sponsored$M

Liquidity facilities

Notional
amount$M-

Funding facilities

701

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

(117)

Other

23

Total

607

31

Activity represents net movement in outstandings.

47

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset typeand facility (continued)
Mar 20

Securitisation activity by underlying asset
type

ANZ Originated$M

Original value
securitised
ANZ Self
Securitised
$M

(261)

62,787-

Recognised
gain
or loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(261)

62,787--

Residential mortgage

Securitisation activity by facility provided

ANZ Sponsored$M

Liquidity facilities

Notional
amount$M-

Funding facilities

1,210

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

474

Other

268

Total

1,952

48

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(k): Banking Book: Securitisation - Regulatory credit exposures by exposure typeMar 21

Sep 20Mar 20$M$M$M

Liquidity facilities

-

-

-

Funding facilities

9,028

8,480

8,799

Securitisation exposure type - On balance sheet

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements
Holdings of securities (excluding trading book)Protection provided

-

-

-

2,420

2,280

2,397

-

-

-

Other

245

330

432

Total

11,693

11,09011,628Mar 21

Sep 20Mar 20

Securitisation exposure type - Off Balance Sheet

$M

$M

$M

Liquidity facilities

17

19

22

Funding facilities

2,000

2,112

1,818

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities (excluding trading book)

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

2,017

2,131

1,840

Mar 21

Sep 20Mar 20Total Securitisation exposure type

$M

$M

$M

Liquidity facilities

17

19

22

Funding facilities

11,028

10,592

10,617

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements
Holdings of securities (excluding trading book)Protection provided

-

-

-

2,420

2,280

2,397

-

-

-

Other

245

330

432

Total

13,71013,221

13,46849

ANZ Basel III Pillar 3 disclosure

March 2021

Table 12(l) part (i): Banking Book: Securitisation - Regulatory credit exposures by risk weight band
Mar 21
Securitisation risk
weights≤ 25%

Regulatory
creditexposure$M
13,710

Sep 20Risk
weighted
assets$M
2,220

Regulatory
creditexposure$M
13,221Mar 20Risk
weighted
assets$M
2,125

Regulatory
creditexposure$M
13,468Riskweighted
assets$M
2,142>25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

-

-

-

-

-

-

>75 ≤ 100%

-

-

-

-

-

-

>100 ≤ 650%

-

-

-

-

-

-

1250% (Deduction)

-

-

-

-

-

-

13,7102,220

13,221

2,125

13,4682,142

Risk
weighted
assets$M-

Regulatory
creditexposure$M-

Riskweighted
assets$M-

Regulatory
creditexposure
$M
-

Total

Mar 21
Resecuritisation risk
weights≤ 25%

Regulatory
creditexposure$M-

Sep 20Mar 20Risk
weighted
assets$M->25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

-

-

-

-

-

-

>75 ≤ 100%

-

-

-

-

-

-

>100 ≤ 650%

-

-

-

-

-

-

1250% (Deduction)

-

-

-

-

-

-

Total

-

-

-

-

-

-

Risk
weighted
assets$M
2,220

Regulatory
creditexposure$M
13,221Risk
weighted
assets$M
2,125

Regulatory
creditexposure$M
13,468Mar 21
Total Securitisation risk
weights≤ 25%

Regulatory
creditexposure$M
13,710

Sep 20Mar 20Risk
weighted
assets$M
2,142>25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

-

-

-

-

-

-

>75 ≤ 100%

-

-

-

-

-

-

>100 ≤ 650%

-

-

-

-

-

-

1250% (Deduction)

-

-

-

-

-

-

13,7102,220

13,221

2,125

13,468

2,142

Total

Table 12(l) part (ii): Banking Book: Securitisation - Aggregate securitisation exposures deducted from
CapitalNo longer required under Basel III; defaulted exposures are given a risk weight of 1250% and no longer deductedfrom Capital.

Table 12(m): Banking Book: Securitisations subject to early amortisation treatment
ANZ does not have any Securitisations subject to early amortisation treatment or using Standardised approach.

Table 12(n): Banking Book: Resecuritisation - Aggregate amount of resecuritisation exposures retained orpurchased
ANZ does not have any retained or purchased Resecuritisation exposures.

50

ANZ Basel III Pillar 3 disclosure

March 2021

Trading Book
Table 12(o): Trading Book: Traditional and synthetic securitisation exposures
No assets from ANZ's Trading Book were securitised during the reporting period.

Table 12(p): Trading Book: Total amount of outstanding exposures intended to be securitised
No assets from ANZ's Trading Book were intended to be securitised as at the reporting date.

Table 12(q): Trading Book: Securitisation - Summary of current year's activity by underlying asset typeand facility
No assets from ANZ's Trading Book were securitised during the reporting period.

Table 12(r): Trading Book: Traditional and synthetic securitisation exposures
No assets from ANZ's Trading Book were securitised during the reporting period.

Table 12(s): Trading Book: Securitisation – Regulatory credit exposures by exposure type
ANZ does not have any Regulatory credit exposures by exposure type.

Table 12(t)(i) & Table 12(u)(i): Trading Book: Aggregate securitisation exposures subject to Internal
Models Approach (IMA) and the associated Capital requirements
ANZ does not have any Securitisation exposures subject to Internal Models Approach.

Table 12(t)(ii) & Table 12(u)(ii): Trading Book: Aggregate securitisation exposures subject to APS 120
and the associated Capital requirements
ANZ does not have any aggregate Securitisation exposures subject to APS120 and the associated Capital requirements.

Table 12(u)(iii): Trading Book: Securitisation - Aggregate securitisation exposures deducted from Capital
ANZ does not have any Securitisation exposures deducted from Capital.

Table 12(v): Trading Book: Securitisations subject to early amortisation treatment
ANZ does not have any Securitisation exposures subject to early amortisation or using Standardised approach.

Table 12(w): Trading Book: Resecuritisation - Aggregate amount of resecuritisation exposures retained orpurchased
ANZ does not have any retained or purchased Resecuritisation exposures.

51

ANZ Basel III Pillar 3 disclosure

March 2021

Chapter 5 – Market risk
Table 13

Market risk – Standard approach

ANZ uses the standard model approach to measure market risk capital for specific risk32 (APRA does not currently permit
Australian banks to use an internal model approach for this).
Table 13(b): Market risk – Standard approach 33
Mar 21

Sep 20

$M

$M

$M

134

138

186

Interest rate risk

Mar 20Equity position risk

-

-

-

Foreign exchange risk

-

-

-

Commodity risk

-

-

-

134

138

186

1,675

1,725

2,325

Total
Risk Weighted Assets equivalent

32

Specific risk is the risk that the value of a security will change due to issuer-specific factors. It applies to interest rate and equity
positions related to a specific issuer.

33

RWA equivalent is the capital requirement multiplied by 12.5 in accordance with APS 110.

52

ANZ Basel III Pillar 3 disclosure
Table 14

March 2021

Market risk – Internal models approach

Table 14(f): Value at Risk (VaR) and stressed VaR over the reporting period 34
Six months ended Mar 21
99% 1 Day Value at Risk (VaR)

Mean
$M
4.6

Foreign Exchange

Maximum$M
10.0

Minimum$M
2.0

Period end$M
3.2

Interest Rate

10.0

19.5

4.4

6.4

Credit

14.4

22.2

9.3

14.8

Commodity

2.4

3.4

1.3

2.6

-

-

-

-

Minimum$M
2.0

Period end$M
2.0

EquitySix months ended Sep 20
99% 1 Day Value at Risk (VaR)

Mean
$M
3.5

Foreign Exchange

Maximum$M
5.2

Interest Rate

9.3

14.0

4.5

9.6

Credit

13.1

17.1

3.6

13.9

Commodity

2.9

4.7

1.3

3.0

-

-

-

-

Minimum$M
1.2

Period end$M
2.7

EquitySix months ended Mar 20
99% 1 Day Value at Risk (VaR)

Mean
$M
2.8

Foreign Exchange

Maximum$M
6.1

Interest Rate

5.2

8.9

3.3

4.9

Credit

4.2

5.5

1.8

3.1

Commodity

2.2

3.4

1.3

1.4

-

-

-

-

Minimum$M
12.5

Period end$M
16.5

EquitySix months ended Mar 21
99% 10 Day Stressed VaR

Mean
$M
39.8

Foreign Exchange

Maximum$M
116.0

Interest Rate

52.8

99.2

23.2

26.5

Credit

49.1

64.5

34.1

47.1

Commodity

29.1

36.8

16.1

29.8

-

-

-

-

Minimum$M
11.4

Period end$M
32.7

EquitySix months ended Sep 20
99% 10 Day Stressed VaR

Mean
$M
29.6

Maximum$M
54.9Interest Rate

65.7

111.3

37.7

59.1

Credit

48.8

77.0

32.5

41.3

Commodity

11.8

18.5

5.0

16.3

-

-

-

-

Minimum$M
15.6

Period end$M
33.8

Foreign Exchange

EquitySix months ended Mar 20
99% 10 Day Stressed VaR

Mean
$M
48.6

Maximum$M
146.8

Interest Rate

63.9

181.4

33.8

87.1

Credit

41.5

59.0

24.8

32.9

Commodity

11.5

16.3

6.7

6.7

-

-

-

-

Foreign Exchange

Equity34

The Foreign exchange VaR excludes foreign exchange translation exposures outside of the trading book.

53

ANZ Basel III Pillar 3 disclosure

March 2021

Comparison of VaR estimates with actual gains/losses experienced
Total traded market risks back testing exceptions were within the APS 116 green zone for the period.

54

ANZ Basel III Pillar 3 disclosure

March 2021

Chapter 6 – Equities
Table 16

Equities – Disclosures for banking book positions

Definition and categorisation of equity investments held in the banking book
Equity risk is the risk of financial loss arising from the unexpected reduction in value of equity investments not held in
the trading book including those of the Group’s joint ventures associates. ANZ’s equity exposures in the banking bookare primarily categorised as follows:

Equity investments that are taken for strategic reasons - These transactions represent strategic business initiatives
and include ANZ’s investments in partnership arrangements with financial institutions in Asia. These investments areundertaken after extensive analysis and due diligence by Group Strategy, internal specialists and external advisors,
where appropriate. Board approval is required prior to committing to any investments over delegated authorities, andall regulatory notification requirements are met. Performance of these investments is monitored by both the owningbusiness unit and Group Strategy to ensure that it is within expectations.
Equity investments made as the result of a work out of a problem exposure - From time to time, ANZ will take anequity stake in a customer as part of a work out arrangement for problem exposures. These investments are madeonly where there is no other viable option available and form an immaterial part of ANZ’s equity exposures.

Valuation of and accounting for equity investments in the banking bookIn line with Group Accounting Policy the accounting treatment of equity investments depends on whether ANZ has
significant influence over the investee.
Investments in associates
Where significant influence exists, the investment is classified as an Investment in Associate in the financial statements.
ANZ adopts the equity method of accounting for associates. ANZ’s share of the profit or loss of associates is included in
the consolidated income statement. The associate investments are recognised at cost plus ANZ’s share of postacquisition net assets less accumulated impairment. Interests in associates are reviewed semi-annually for impairment,using either market value, or a discounted cash flow methodology to assess value in-use (VIU). As at 31 March 2021
the carrying value of these investments were supported by VIU assessments. The Group recorded an impairment chargeof $815 million ($595 million for AMMB Holdings Berhard (AmBank) and $220 million for PT Bank Pan Indonesia (PTPanin)) as at 31 March 2020 as neither the market values of the investments (based on share price) nor VIU calculation
supported the carrying value of either investment at that date.
Where ANZ does not have significant influence over the investee, the instrument is categorised as an investment security
and classified as fair value through profit and loss, with changes in fair value recognised in the income statement, unlessdesignated irrevocably on acquisition as fair value through other comprehensive income (FVOCI). If this election is
made, gains or losses are not reclassified from other comprehensive income to profit or loss on disposal of theinvestment. However, gains or losses may be reclassified within equity.

55

ANZ Basel III Pillar 3 disclosure

March 2021

Table 16(b) and 16(c): Equities – Types and nature of Banking Book investments
Mar 21Equity investments$M
Balance sheet value

Fair value

Value of listed (publicly traded) equities

2,870

3,430

Value of unlisted (privately held) equities

230

230

3,100

3,660

Total

Sep 20Equity investments$M
Balance sheet value

Fair value

Value of listed (publicly traded) equities

3,075

2,314

Value of unlisted (privately held) equities

201

199

3,276

2,513

Total

Mar 20Equity investments$M
Balance sheet value

Fair value

Value of listed (publicly traded) equities

3,344

2,498

Value of unlisted (privately held) equities

137

137

3,481

2,635

Half Year

Half Year

Half Year

Mar-21

Sep 20Mar 20

$M

$M

$M

-

(2)

-

-

-

(815)

-

(2)

(815)

Half Year

Half Year

Half Year

Mar 21

Sep 20Mar 20

Unrealised gains (losses) on equity investments

$M

$M

$M

Total unrealised gains (losses)

73

(112)

(40)

-

-

-

73

(112)

(40)

Total

Table 16(d) and 16(e): Equities – gains (losses)35

Realised gains (losses) on equity investments
Cumulative realised gains (losses) from disposals
and liquidations in the reporting period
Cumulative realised losses from impairment and writedowns in
the reporting period

Reversal of prior period unrealised gains (losses) from disposals
and liquidations in the reporting period
Total unrealised gains (losses) included in Common
Equity Tier 1, Tier 1 and/or Tier 2 capital

Table 16(f): Equities Risk Weighted Assets
From 1 January 2013 all banking book equity exposures are deducted from Common Equity Tier 1 capital.

35

Table 16(d) and Table 16 (e) are reported on an after-tax basis

56

ANZ Basel III Pillar 3 disclosure

March 2021

Chapter 7 – Interest Rate Risk in the Banking Book
Table 17(b): Interest Rate Risk in the Banking Book
Change in Economic Value
Standard Shock Scenario Stress Testing:Mar 21

Sep 20Mar 20$M$M$M

200 basis point parallel increase

(479)

(229)

(267)

200 basis point parallel decrease

489

227

262

200 basis point parallel increase

(224)

(121)

(133)

200 basis point parallel decrease

209

101

116

200 basis point parallel increase

59

(45)

(84)

200 basis point parallel decrease

(50)

52

93

Interest rate shock applied
AUD

NZD

USD

GBP
200 basis point parallel increase

6

38

13

200 basis point parallel decrease

(6)

(38)

(13)

200 basis point parallel increase

(125)

(122)

(74)

200 basis point parallel decrease

135

132

82

Other

IRRBB regulatory capital
IRRBB regulatory RWA

812

1,084

641

10,15013,547

8,011

IRRBB stress testing methodology
Stress tests within ANZ include standard extraordinary forward looking and repricing term assumptions tests. These tests
are used to highlight potential risk which may not be captured by VaR, and how the portfolio might behave under
extraordinary circumstances. Standard stress tests include statistically derived scenarios based on historical yield curve
movements. These combine parallel shocks with twists and bends in the curve to produce a wide range of hypotheticalscenarios at high statistical confidence levels, with the single worst scenario identified and reported. Other stress tests
include interest rate moves from historical periods of stress possible future stress test as well as stresses to assumptions
made about the repricing term of exposures. The extraordinary rate move scenarios include rate changes over the
stressed periods in financial market history. Forward looking stress tests include interest rate moves from plausible
future severe scenarios. Stresses of the repricing term assumptions investigate scenarios where actual repricing terms
are significantly different to those modelled.

57

ANZ Basel III Pillar 3 disclosure

March 2021

Chapter 8 – Leverage and Liquidity Coverage Ratio
Leverage Ratio
The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS) Basel III capitalframework. It is a simple, non-risk based supplement or backstop to the current risk based capital requirements and isintended to restrict the build-up of excessive leverage in the banking system.
Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure (expressed
as a percentage) as defined by APS 110: Capital Adequacy. APRA has not finalised a minimum Leverage Ratio
requirement for Australian ADIs, although they have proposed a minimum of 3.5% for ADIs authorised to use the internalratings based approach to credit risk.
At 31 March 2021, the Group’s Leverage Ratio of 5.5% was above the 3% minimum currently required by the BCBS.
Table 18 below shows the Group’s Leverage Ratio calculation as at 31 March 2021 and Table 19 summarises thereconciliation of accounting assets and leverage ratio exposure measure at 31 March 2021.
Table 18

Leverage Ratio
Mar 21

Sep 20Mar 20$M$M$M

On-balance sheet exposures1

On-balance sheet items (excluding derivatives and SFTs, but including collateral)889,625

853,357

911,5652(Asset amounts deducted in determining Basel III Tier 1 capital)(11,438)(11,527)(12,154)3

Total on-balance sheet exposures (excluding derivatives and SFTs)

878,187

841,830

899,411

Replacement cost associated with all derivatives transactions (ie net of eligible cash
variation margin)
Add-on amounts for PFE associated with all derivatives transactions

10,965

11,287

16,27730,55530,36036,100

671

777

887

(8,271)(10,499)(10,850)

8Gross-up for derivatives collateral provided where deducted from the balance sheet
assets pursuant to the operative accounting framework(Deductions of receivables assets for cash variation margin provided in derivatives
transactions)(Exempted CCP leg of client-cleared trade exposures)

9

Adjusted effective notional amount of written credit derivatives

10(Adjusted effective notional offsets and add-on deductions for written credit
derivatives)
Total derivative exposures

Derivative exposures
4
5
6
7

11

-

-

-

313

979

2,001

(300)

(608)

(1,547)33,93332,29642,86823,87553,38464,405

Securities financing transaction exposures
12
13

Gross SFT assets (with no recognition of netting), after adjusting for saleaccounting transactions(Netted amounts of cash payables and cash receivables of gross SFT assets)(2,012)(1,206)(1,143)14

CCR exposure for SFT assets

5,084

6,238

4,181

15

Agent transaction exposures

-

-

-

16

Total securities financing transaction exposures

26,94758,41667,443

Other off-balance sheet exposures
17

Off-balance sheet exposure at gross notional amount

253,217

267,614

269,41718(Adjustments for conversion to credit equivalent amounts)(139,092)(153,486)(154,740)

Off-balance sheet items

114,125

114,128

114,677

19

Capital and Total Exposures
20

Tier 1 capital

21

Total exposures

22

Basel III leverage ratio

58,431

56,481

56,295

1,053,192

1,046,670

1,124,399

5.5%

5.4%

5.0%

Leverage ratio

58

ANZ Basel III Pillar 3 disclosure
Table 19

March 2021

Summary comparison of accounting assets vs. leverage ratio exposure measure1

Total consolidated assets as per published financial statements

2

4

Adjustment for investments in banking, financial, insurance or commercial
entities that are consolidated for accounting purposes but outside the scope of
regulatory consolidation.
Adjustment for assets held on the balance sheet in a fiduciary capacity pursuant
to the Australian Accounting Standards but excluded from the leverage ratio
exposure measure
Adjustments for derivative financial instruments.

5

Adjustment for SFTs (i.e. repos and similar secured lending)

6

Adjustment for off-balance sheet exposures (i.e. conversion to credit equivalentamounts of off-balance sheet exposures)
Other adjustments

3

7

Leverage ratio exposure59

Mar 21

Sep 20$M$M

Mar 20$M

1,018,339

1,042,286

1,149,955

(174)

(214)

(308)

-

-

-

(70,733)(103,034)(130,809)

3,073

5,032

3,038

114,125

114,128

114,677(11,438)(11,528)(12,154)

1,053,192

1,046,670

1,124,399

ANZ Basel III Pillar 3 disclosure
Table 20

March 2021

Liquidity Coverage Ratio disclosure template
Mar 21
Total
Unweighted
Value
$M

Total
WeightedValue$M

Dec 20
Total
Unweighted
Value
$M

Total
Weighted
Value$M

Liquid assets, of which:1High-quality liquid assets (HQLA)

199,086

194,069

2

Alternative liquid assets (ALA)

12,542

39,9493

Reserve Bank of New Zealand (RBNZ) securities

19

282

Cash outflows
4
5
6
7
8

9
10

Retail deposits and deposits from small businesscustomersof which: stable depositsof which: less stable deposits
Unsecured wholesale fundingof which: operational deposits (allcounterparties) and deposits in networks forcooperative banksof which: non-operational deposits (allcounterparties)of which: unsecured debt

11

Secured wholesale funding

12

Additional requirements

13
14
15

250,037

25,255244,337

110,284

5,514

107,326

5,366

139,753

19,741137,011

19,624

241,043

125,679

241,502

127,456

91,43322,034

89,147

21,465

135,158

89,193

142,213

95,84914,452

14,452

10,142

10,142390of which: outflows related to derivatives
exposures and other collateral requirementsof which: outflows related to loss of funding on
debt productsof which: credit and liquidity facilities

24,990368

150,268

44,595

151,584

45,31327,80727,80728,481

28,481---

16,832

122,461

16,788123,103

16

Other contractual funding obligations

7,604

-

7,997

-

17

Other contingent funding obligations

94,246

5,552

97,6906,710

18

Total cash outflows

201,471

204,837

Cash inflows
19

Secured lending (e.g. reverse repos)

18,8091,503

26,8791,536

20

Inflows from fully performing exposures

23,60516,001

23,42815,431

21

Other cash inflows

25,69325,693

22,372

22,37222

Total cash inflows

68,10743,197

72,67923

Total liquid assets

211,647

234,300

24

Total net cash outflows

158,274

165,49825

Liquidity Coverage Ratio (%)

133.7%

141.6%

63

66

Number of data points used (simple average)

39,339Liquidity Coverage Ratio (LCR)
ANZ’s average LCR for the 3 months to 31 March 2021 was 133.7% with total liquid assets exceeding net outflows by
an average of $53.4b.
The main contributors to net cash outflows were modelled outflows associated with the bank’s corporate and retaildeposit portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives are material,
these are effectively offset by derivative cash inflows.
The composition of the liquid asset portfolio has remained relatively stable through the quarter, with HQLA securities
and cash making up on average 94% of total liquid assets.
ANZ has a well-diversified deposit and funding base avoiding undue concentrations by investor type, maturity, market
source and currency.
ANZ monitors and manages its liquidity risk on a daily basis including LCR by geography and currency, ensuring ongoingcompliance across the network.

60

ANZ Basel III Pillar 3 disclosure
Table 21

March 2021

NSFR disclosure template
Mar 21
Unweighted value by
residual maturity
No<66
maturity
monthsmonths
to <
1yr
$M
$M
$M

Available Stable Funding (ASF) Item
1

Capital2of which: regulatory capital3of which: other capital instruments

4

62,686

Retail deposits and deposits from small business customers

-

BLANK
≥ 1yr

Weighted
value

$M

$M

-

22,33685,02285,022

62,686--22,336

-

-

-

-

-

233,076

68,099--275,730

5of which: stable deposits

106,918

13,212--

114,123

6of which: less stable deposits

126,158

54,887--

161,607
186,7207

147,089

249,01433,574

67,2238Wholesale fundingof which: operational deposits

93,246---

46,6239of which: other wholesale funding

53,843249,01433,574

67,223140,09710

Liabilities with matching interdependent assets

11

Other liabilities

12

NSFR derivative liabilities

13

All other liabilities and equity not included in the above categories

14

Total ASF

-

-

-

-

-

22,596

6,537

-

177

177

-

6,537

-

-

-

22,596

-

-

177

177
547,649

Required Stable Funding (RSF) Item
15a

Total NSFR (HQLA)

8,119

15b

ALA

3,080

15c

RBNZ securities

16

Deposits held at other financial institutions for operational
purposes
Performing loans and securities

17
18

925
-

-

-

-

-

13,654

94,20940,300457,118

404,306-

19,367

9

-

1,941

385

19,0305,571

18,95724,982

11,89447,35927,223

107,846

138,964

-

227

3

527

458

-

7,743

7,189

326,764

233,723

-

6,832

6,322

280,119

193,186

710

308

3,551

4,696

22

of which: Performing loans to financial institutions secured by
Level 1 HQLA
of which: Performing loans to financial institutions secured by
non-Level 1 HQLA and unsecured performing loans to financial
institutionsof which: Performing loans to non- financial corporate clients,
loans to retail and small business customers, and loans tosovereigns, central banks and public sector entities (PSEs)
of which: With a risk weight of less than or equal to 35%
under APS 112
of which: Performing residential mortgages

23of which: With a risk weight equal to 35% under APS 112

24

1,375

25

of which: Securities that are not in default and do not qualify as
HQLA, including exchange-traded equities
Assets with matching interdependent liabilities

-

-

-

-

-

26

Other assets:

25,59728,855

1,314

3,506

30,382

2,473

-

-

2,102

10,965

-

-

4,428

14,806

-

-

2,961

612

1,314

3,506

18,847--

183,549

19

20

21

27

of which: Physical traded commodities, including gold28

of which: Assets posted as initial margin for derivative contracts andcontributions to default funds of central counterparties (CCPs)
of which: NSFR derivative assets

29
30
31

2,404

of which: NSFR derivative liabilities before deduction ofvariation margin postedof which: All other assets not included in the above categories

23,193

2,044

32

Off-balance sheet items

33

Total RSF

454,178

7,366

34

Net Stable Funding Ratio (%)

120.58%

ANZ's NSFR as at 31 March 2021 was 120.6%, down 3.7% in the quarter since December 2020.
The main sources of Available Stable Funding (ASF) at 31 March 2021 were deposits from Retail and SME customers,
at 50%, with other wholesale funding (including Term Funding Facilities) at 26% and capital at 16% of the total ASF.
The majority of ANZ's Required Stable Funding (RSF) at 31 March 2021 was driven by mortgages at 51% and otherlending to non-FI customers at 31% of the total RSF.

61

ANZ Basel III Pillar 3 disclosure

Table 21

March 2021

NSFR disclosure template (continued)
Dec 20
Unweighted value by
residual maturity
No<66
maturity
monthsmonths
to <
1yr
$M
$M
$M

Available Stable Funding (ASF) Item
1

Capital2of which: regulatory capital3of which: other capital instruments

4

61,575Retail deposits and deposits from small business customers

-

BLANK
≥ 1yr

Weighted
value

$M

$M

-

21,62583,20083,20061,575--

21,625

-

-

-

-

-

228,556

65,987

5,635

2,933

279,097
114,925

5of which: stable deposits

106,153

14,821--

6of which: less stable deposits

122,403

51,166

5,635

2,933

164,172

140,430

267,176

26,01275,849190,924

7

Wholesale funding

8of which: operational deposits

90,273---45,1369of which: other wholesale funding

50,157

267,176

26,01275,849145,788

10

Liabilities with matching interdependent assets

11

Other liabilities

12

NSFR derivative liabilities

13

All other liabilities and equity not included in the above
categories
Total ASF

14

-

-

-

-

-

15,428

9,759

-

1,194

1,194

-

9,759

-

-

15,428

-

-

1,194

1,194
554,415

Required Stable Funding (RSF) Item15(a)Total NSFR (HQLA)

8,353

15(b)

ALA

5,716

15(c)

RBNZ securities

16

Deposits held at other financial institutions for operational
purposes
Performing loans and securities

17
18

953

22

of which: Performing loans to financial institutions secured by
Level 1 HQLA
of which: Performing loans to financial institutions secured by
non-Level 1 HQLA and unsecured performing loans tofinancial institutionsof which: Performing loans to non- financial corporate clients,
loans to retail and small business customers, and loans tosovereigns, central banks and public sector entities (PSEs)
of which: With a risk weight of less than or equal to 35%
under APS 112
of which: Performing residential mortgages

23of which: With a risk weight equal to 35% under APS 112

24

of which: Securities that are not in default and do not qualify
as HQLA, including exchange-traded equities

19

20

21

25

Assets with matching interdependent liabilities

26

Other assets:

-

-

-

-

-

13,276

111,83144,577432,161

390,874-

38,864

-

-

3,886

336

19,537

5,890

17,634

23,846

11,80344,55530,776110,394

141,025

10

1,718

225

2,532

2,624

-

7,864

7,424

300,649

217,440

-

6,922

6,518

256,541

179,025

1,137

1,011

487

3,484

4,677

-

-

-

-

-

18,79841,025632

3,493

32,832

2,526

-

-

2,147

12,790

-

-

3,031

23,965

-

-

4,793

1,744

632

3,493

20,676--

186,24527

of which: Physical traded commodities, including gold28

of which: Assets posted as initial margin for derivative contracts andcontributions to default funds of central counterparties (CCPs)
of which: NSFR derivative assets

29
30
31

2,570

of which: NSFR derivative liabilities before deduction ofvariation margin postedof which: All other assets not included in the above categories

16,2282,184

32

Off-balance sheet items

33

Total RSF

446,19334

Net Stable Funding Ratio (%)

124.25%62

7,466

ANZ Basel III Pillar 3 disclosure

March 2021

Glossary
ADI

Authorised Deposit-taking Institution.

Basel III Credit Valuation
adjustment (CVA) capitalcharge

CVA charge is an additional capital requirement under Basel III for bilateralderivative exposures. Derivatives not cleared through a central
exchange/counterparty are subject to this additional capital charge andalso receive normal CRWA treatment under Basel II principles.

Collectively Assessed
Provision for Credit
Impairment

Collectively assessed provisions for credit impairment represent the
Expected Credit Loss (ECL) calculated in accordance with AASB 9 Financial
Instruments (AASB 9). These incorporate forward looking information anddo not require an actual loss event to have occurred for an impairment
provision to be recognised.

Credit exposure

The aggregate of all claims, commitments and contingent liabilities arisingfrom on- and off-balance sheet transactions (in the banking book andtrading book) with the counterparty or group of related counterparties.

Credit risk

The risk of financial loss resulting from a counterparty failing to fulfil its
obligations, or from a decrease in credit quality of a counterparty resulting
in a loss in value.

Credit Valuation Adjustment(CVA)

Over the life of a derivative instrument, ANZ uses a CVA model to adjust
fair value to take into account the impact of counterparty credit quality.
The methodology calculates the present value of expected losses over thelife of the financial instrument as a function of probability of default, loss
given default, expected credit risk exposure and an asset correlation factor.
Impaired derivatives are also subject to a CVA.

Days past due

The number of days a credit obligation is overdue, commencing on the datethat the arrears or excess occurs and accruing for each completed calendar
day thereafter.

Exposure at Default (EAD)

Exposure At Default is defined as the expected facility exposure at the dateof default.

Impaired assets (IA)Facilities are classified as impaired when there is doubt as to whether thecontractual amounts due, including interest and other payments, will be
met in a timely manner. Impaired assets include impaired facilities, andimpaired derivatives. Impaired derivatives have a credit valuation
adjustment (CVA), which is a market assessment of the credit risk of therelevant counterparties.

Impaired loans (IL)Impaired loans comprise of drawn facilities where the customer’s status isdefined as impaired.

Individual provision charge(IPC)

Individual provision charge is the amount of expected credit losses on
financial instruments assessed for impairment on an individual basis (asopposed to on a collective basis). It takes into account expected cash flows
over the lives of those financial instruments.

Individually Assessed
Provisions for Credit
Impairment

Individually assessed provisions for credit impairment are calculated inaccordance with AASB 9 Financial Instruments (AASB 9). They areassessed on a case-by-case basis for all individually managed impaired
assets taking into consideration factors such as the realisable value of
security (or other credit mitigants), the likely return available uponliquidation or bankruptcy, legal uncertainties, estimated costs involved inrecovery, the market price of the exposure in secondary markets and theamount and timing of expected receipts and recoveries.

63

ANZ Basel III Pillar 3 disclosure

March 2021

Internationally Comparable
Basel III Capital Ratio

The Internationally Comparable Basel III CET1 ratios are ANZ’sinterpretation of the regulations documented in the Basel Committee
publications; “Basel 3: A global regulatory framework for more resilientbanks and banking systems” (June 2011) and “International Convergenceof Capital Measurement and Capital Standards” (June 2006). They also
include differences identified in APRA’s information paper entitledInternational Capital Comparison Study (13 July 2015).

Market risk

The risk to ANZ’s earnings arising from changes in interest rates, foreignexchange rates, credit spreads, volatility, correlations or from fluctuations
in bond, commodity or equity prices. ANZ has grouped market risk into two
broad categories to facilitate the measurement, reporting and control ofmarket risk:
Traded market risk - the risk of loss from changes in the value of financial
instruments due to movements in price factors for both physical andderivative trading positions. Trading positions arise from transactions
where ANZ acts as principal with customers, financial exchanges or interbank counterparties.
Non-traded market risk (or balance sheet risk) - comprises interest raterisk in the banking book and the risk to the AUD denominated value of
ANZ’s capital and earnings due to foreign exchange rate movements.

Operational risk

The risk of loss resulting from inadequate or failed internal processes,
people and systems, or from external events including legal risk but
excluding reputation risk.

Past due facilities

Facilities where a contractual payment has not been met or the customer
is outside of contractual arrangements are deemed past due. Past due
facilities include those operating in excess of approved arrangements or
where scheduled repayments are outstanding but do not include impaired
assets.

Qualifying Central
Counterparties (QCCP)QCCP is a central counterparty which is an entity that interposes itself
between counterparties to derivative contracts. Trades with QCCP attracta more favorable risk weight calculation.

Recoveries

Payments received and taken to profit for the current period for theamounts written off in prior financial periods.

Restructured items

Restructured items comprise facilities in which the original contractual
terms have been modified for reasons related to the financial difficulties of
the customer. Restructuring may 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.

Risk Weighted Assets (RWA)

Assets (both on and off-balance sheet) are risk weighted according to each
asset’s inherent potential for default and what the likely losses would be in
the case of default. In the case of non-asset backed risks (i.e. market andoperational risk), RWA is determined by multiplying the capitalrequirements for those risks by 12.5.

Securitisation risk

The risk of credit related losses greater than expected due to asecuritisation failing to operate as anticipated, or of the values and risks
accepted or transferred, not emerging as expected.

Write-Offs

Facilities are written off against the related provision for impairment when
they are assessed as partially or fully uncollectable, and after proceedsfrom the realisation of any collateral have been received. Where individual
provisions recognised in previous periods have subsequently decreased or
are no longer required, such impairment losses are reversed in the current
period income statement.

64

ANZ Basel III Pillar 3 disclosure

March 2021

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