2016

BASEL IIIPILL AR 3
DISCLOSURE

AS AT 31 MARCH 2016
APS 330: PUBLIC DISCLOSURE

ANZ Basel III Pillar 3 disclosure
March 2016

Important noticeThis document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) tomeet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADI
Prudential Standard (APS) 330: Public Disclosure.

ANZ Basel III Pillar 3 disclosure

March 2016

TABLE OF CONTENTS1
Chapter 1 – Highlights ....................................................................................................... 2
Chapter 2 – Introduction .................................................................................................... 4
Purpose of this document ............................................................................................. 4
Chapter 3 – Capital and capital adequacy ............................................................................. 5
Table 1

Common disclosure template ........................................................................ 6

Table 2Main features of capital instruments............................................................. 16

Table 6

Capital adequacy ....................................................................................... 17

Chapter 4 – Credit risk ..................................................................................................... 19
Table 7

Credit risk – General disclosures.................................................................. 19

Table 8Credit risk – Disclosures for portfolios subject to the Standardised approach andsupervisory risk weights in the IRB approach ............................................... 33

Table 9Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 34

Table 10Credit risk mitigation disclosures ................................................................. 42

Table 11

Counterparty Credit Risk ............................................................................ 45

Chapter 5 – Securitisation ................................................................................................ 46
Table 12Banking Book - Securitisation disclosures ..................................................... 46
Trading Book - Securitisation disclosures ...................................................... 55

Chapter 6 – Market risk .................................................................................................... 59
Table 13

Market risk – Standard approach ................................................................. 59

Table 14

Market risk – Internal models approach ........................................................ 60

Chapter 7 – Equities ....................................................................................................... 61
Table 16

Equities – Disclosures for banking book positions........................................... 61

Chapter 8 – Interest Rate Risk in the Banking Book ............................................................. 62
Table 17

Interest Rate Risk in the Banking Book ......................................................... 62

Chapter 9 – Leverage and Liquidity Ratio ........................................................................... 63
Table 18

Leverage Ratio .......................................................................................... 63

Table 19

Summary comparison of accounting assets vs. leverage ratio exposure
measure .................................................................................................. 64

Table 20

Liquidity Coverage Ratio ............................................................................. 65

Glossary.......... ............................................................................................................... 66

1

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

1

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 1 – Highlights
Common Equity Tier 1 (CET1) Ratios*

Higher CET1 ratio at 1H16

* Internationally Comparable methodology aligns with APRA’s information
paper entitled International Capital Comparison Study (13 July 2015). Basel
III Internationally Comparable ratios do not include an estimate of the BaselI capital floor requirement.

• Capital ratios have increased in thehalf to March 2016. The increase wasmainly driven by higher net organic
capital generation of 76bps (contributedby earnings and lower capital usage
from RWA reduction in Institutional, netofincreased
usage
incapitaldeductions), less payment of theSeptember 2015 Final Dividend (net of
dividend reinvestment plan).

Post CRM Exposure at Default ($bn)*
903

877

889

EAD down $14bn to $889bn for
1H16• Growth in Residential Mortgages
offset by significant decreases in
Corporate, Qualifying Revolving Retail,
Other Retail and Standardised Lending.
Mar 15

Sep 15

Standardised
QRR & Other Retail
Corporate

QCCP
Residential Mortgage

Mar-16
Specialised Lending
Bank & Sovereign* Exposure at Default does not include Securitisation, Equities or Other
Assets.

Impaired Assets ($m)

Impaired Assets up 7% HoH• Impaired assets increased by 7%
HoH due to a small number ofAustralianandmulti-nationalcustomer exposures due to continued
weakness in the commodity sector.

2

ANZ Baseel III Pillaar 3 disclos
sureMarch 2016
2

Pro
ovision Rattios (Provis
sions / Cred
dit RWA)

Provisionsoundscoverage

rem
mains

• The Totall Provision ratio increa
ased
0.08%
0
to 1
1.23%, driv
ven byreduction inn Credit Ris
sk Weighted
AssetsA
com
mbined with an increas
se inindividual pprovisions. Collective
Provision ra
atio remain
ned stable ata0.86%,
0andd continues
s to provideeadequatea
ccoverage.

Movvement in Credit
C
Risk Weighted
W
A
Assets ($bnn)

Creditt Risk We
eighted Assets
A
(CRWA
A)
decreasedby$15.5 bn HoH• Decrrease in CR
RWA is driv
ven bydecreaases in Corporate andStandaardised Ba
asel Asset Class
partial ly offset by Resid
dentialages
andSpeciialised
MortgaLendinng.
mdriv
ven by• FX i mpact is mainlyAagainst US
apprecciation of AUD
and NZ
Z currencies.

Aveerage Risk Weights (CCredit RWA
A / EAD*)Mar 15

S
Sep
15

Mar-1
16

89
9%

61%

58%

13%
%

Corporate

87%

Bank &
Sovereign

2
23%

17%
%

Residential
Mortgage

QRR & Othher
RetailSpecialissed
Lendingg* Exposure aat Default repre
esents net crediit exposure withh offsets for cre
editrisk mitigatioon such as guarantees, credit derivatives, nettting and financ
cialcollateral.

3

Othe
er

Standarrdised

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 2 - 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 three mutually 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 Capital Adequacy
Assessment Process (ICAAP),
consideration of additional risks,
capital buffers and targets andrisk concentrations, etc.

Regular disclosure to themarket of qualitative andquantitative aspects of risk
management, capital adequacy
and underlying risk metrics

APS 330 requires the publication of various levels of information on a quarterly, semi-annual andannual 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 andmonitoring 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 agreed procedures with respect tothese disclosures.
Comparison to ANZ’s Financial Reporting
These disclosures have been produced in accordance with regulatory capital adequacy concepts andrules, rather than in accordance with accounting policies adopted in ANZ’s financial reports. As such,there are different areas of focus and measures in some 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 theestimated amount of 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 essentially calculated as the amount at risk (EAD) less expected net recoveries fromrealisation 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 areas of
ANZ’s internal 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.

4

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 3 – Capital and Capital Adequacy

Table 1

Common 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 thedifferences 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 common 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. The capital conservation and countercyclical buffers referred to in rows 64 to 67 commenced on 1
January 2016 and the phase out period for capital instruments began on 1 January 2013.
The information in the lines of the template have been mapped to ANZ’s Level 2 balance sheet, which
adjusts for non-consolidated 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 nonconsolidated subsidiaries are also listed in this chapter.
Restrictions on Transfers of Capital within ANZANZ operates branches and locally incorporated subsidiaries in many countries. These operations arecapitalised 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 or branches is subject to meeting therequirements of the local prudential regulator and/or the local central bank. Apart from ANZ’s operations
in New Zealand, local country capital requirements do not impose any material call on ANZ’s capital base.
ANZ undertakes banking activities in New Zealand principally through its wholly owned subsidiary, ANZBank New Zealand Limited, which is subject to minimum capital requirements as set by the Reserve Bankof New Zealand (RBNZ). The RBNZ adopted the Basel II framework, effective from 1 January 2008 andBasel III reforms from 1 January 2013 and ANZ Bank New Zealand Limited has been accredited to use
the advanced approach for the calculation of credit risk and operational risk. ANZ Bank New Zealand
Limited maintains a buffer above the minimum capital base required by the RBNZ. This capital buffer has
been calculated via the ICAAP undertaken for ANZ Bank New Zealand Limited, to ensure ANZ Bank New
Zealand Limited is appropriately capitalised under stressed economic scenarios.

5ANZ Basel III Pillar 3 disclosure

Table 1March 2016

Common disclosure template$M

Reconciliation
Table
Reference

Common Equity Tier 1 Capital: instruments and reserves
1
Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital

28,689

Table A

2

Retained earnings

26,426

Table B

3

Accumulated other comprehensive income (and other reserves)
Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned
companies)
Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group
CET1)

418

Table CMar 164
5
6Common Equity Tier 1 capital before regulatory adjustments

Common Equity Tier 1 capital : regulatory adjustments
7
Prudential valuation adjustments

n/a58

Table D55,591-

8

Goodwill (net of related tax liability)

3,760

Table E

9

4,287

Table F

5

Table J

11

Other intangibles other than mortgage servicing rights (net of related tax liability)
Deferred tax assets that rely on future profitability excluding those arising from temporary
differences (net of related tax liability)
Cash-flow hedge reserve

12

Shortfall of provisions to expected losses

13

Securitisation gain on sale

14

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

15

Defined benefit superannuation fund net assets

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 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% threshold)-

19

Significant investments in the ordinary shares of banking, financial and insurance entities that areoutside the scope of regulatory consolidation, net of eligible short positions (amount above 10%threshold)

2,117

10

20
21
22

600

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% threshold24

of which: mortgage servicing rights

26a

8
126

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

26

Table G

-

23
25

239

Table H

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

6,347

26c

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

(290)

26d

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

4,699

Table I26eof which: deferred tax assets not reported in rows 10, 21 and 25

788

Table J

26f

1,077

Table K

30

Table L26h

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

26iof which: undercapitalisation of a non-consolidated subsidiary

26b

26g

26j
27

of which: other national specific regulatory adjustments not reported in rows 26a to 26i
Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 to coverdeductions

-

43
-

28

Total regulatory adjustments to CET1

17,48929

Common Equity Tier 1 Capital (CET1)

38,102

6

ANZ Basel III Pillar 3 disclosure

March 2016

Additional Tier 1 Capital: instruments
30 Directly issued qualifying Additional Tier 1 instruments
31
32

of which: classified as equity under applicable accounting standards

Reconciliation
Table
Reference

3,700

Table M

3,700

Table M

3,309

Table M

357

Table M

35

Directly issued capital instruments subject to phase out from Additional Tier 1
Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries
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

7,366

33
34

of which: classified as liabilities under applicable accounting standards

Mar 16$Mn/aAdditional Tier 1 Capital: regulatory adjustments
37 Investments in own Additional Tier 1 instruments

-

38

-

39
40

Reciprocal cross-holdings in Additional Tier 1 instruments
Investments in the 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% threshold)
Significant investments in the capital of banking, financial and insurance entities that are outside thescope of regulatory consolidation (net of eligible short positions)

41

405

National specific regulatory adjustments (sum of rows 41a - 41c)of which: holdings of capital instruments in group members by other group members on behalf of
41athird partiesof which: investments in the capital of financial institutions that are outside the scope of
41b
regulatory consolidations not reported in rows 39 and 40
41cof which: other national specific regulatory adjustments not reported in rows 41a and 41b

1

42Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions-

43

Total regulatory adjustments to Additional Tier 1 capital

44

Additional Tier 1 capital (AT1)

6,960

45

Tier 1 Capital (T1=CET1+AT1)

45,062

1

Table M

406

Tier 2 Capital: instruments and provisions
46 Directly issued qualifying Tier 2 instruments

3,917

47

3,369

49

Directly issued capital instruments subject to phase out from Tier 2Tier 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

50

Provisions

51

Tier 2 Capital before regulatory adjustments

48

Table M

Table N

687
687

Table N

255

Table G

8,228

Tier 2 Capital: regulatory adjustments
52 Investments in own Tier 2 instruments

1053

Reciprocal cross-holdings in Tier 2 instruments
Investments in the Tier 2 capital of banking, financial and insurance entities that are outside the54 scope of regulatory consolidation, net of eligible short positions, where the ADI does not own morethan 10% of the issued share capital (amount above 10% threshold)
Significant investments in the Tier 2 capital of banking, financial and insurance entities that are
55
outside the scope of regulatory consolidation, net of eligible short positions
56 National specific regulatory adjustments (sums of rows 56a - 56c)of which: holdings of capital instruments in group members by other group members on behalf of
56athird partiesof which: investments in the capital of financial institutions that are outside the scope of
56b
regulatory consolidation not reported in rows 54 and 55
56c
of which: other national specific regulatory adjustments not reported in rows 56a and 56b

85

Table N

57
57
-

57

Total regulatory adjustments to Tier 2 capital

152

58

Tier 2 capital (T2)

8,076

59

Total capital (TC=T1+T2)

53,13860

Total risk-weighted assets based on APRA standards

388,335

7

Table N-

Table NANZ Basel III Pillar 3 disclosure

March 2016

Mar 16$M
Capital ratios and buffers
61 Common Equity Tier 1 (as a percentage of risk-weighted assets)

9.8%

62

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

11.6%

63

Total capital (as a percentage of risk-weighted assets)
Buffer requirement (minimum CET1 requirement of 4.5% plus capital conservation buffer of 2.5%
plus any countercyclical buffer requirements expressed as a percentage of risk-weighted assets)of which: capital conservation buffer requirement

8.017%

64
65
66

of which: ADI-specific countercyclical buffer requirements

67

of which: G-SIB buffer requirement (not applicable)

68

13.7%

3.5%3
0.017%
n/aCommon Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets)

5.3%

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/a

71

National total capital minimum ratio (if different from Basel III minimum)

n/aAmount below thresholds for deductions (not risk-weighted)
72 Non-significant investments in the capital of other financial entities

98

73

Significant investments in the ordinary shares of financial entities

74

Mortgage servicing rights (net of related tax liability)

n/a

75

Deferred tax assets arising from temporary differences (net of related tax liability)

788

Table I

4,657

Applicable caps on the inclusion of provisions in Tier 2
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach76(prior to application of cap)
77 Cap on inclusion of provisions in Tier 2 under standardised approach
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based78
approach (prior to application of cap)
79 Cap for inclusion of provisions in Tier 2 under internal ratings-based approach

1,781

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

n/aTable J

255
468
-

81

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

82

3,589

84

Current cap on AT1 instruments subject to phase out arrangements
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 redemptions and maturities)

1,649

83

Reconciliation
Table
Reference

n/a

4,122

Counter Cyclical Capital Buffer
Geographic breakdown of Private Sector Credit
ExposuresHong Kong$M

RWA for all private sector credit exposures

Sweden
$M

Other
$M

Total
$M
306,230

7,490

587

298,153

Jurisdictional buffer set by national authorities

0.625%

1.000%

0.000%

n/aCountercyclical buffer requirement

0.015%

0.002%

0.000%

0.017%

From 1 January 2016, ADIs are required to hold capital buffers determined by the national authority ofjurisdictions where they have private sector credit exposures based on credit conditions in thosemarkets. The countercyclical capital buffer is designed to ensure that ADIs build up capital buffers when
excess aggregate credit growth is judged to be associated with a build-up of system-wide risk. Thisadditional buffer can then be released during periods of stress, to reduce the risk of the supply of credit
being impacted by regulatory capital requirements. The countercyclical capital buffer is to be applied byextending the range of the capital conservation buffer, which also came into effect from 1 January 2016.
The ADI specific buffer is the weighted average of the jurisdictional buffers advised by the relevant
national authorities.

3

Includes 1.0% buffer applied by APRA to ADI’s deemed as domestic systemically important.

8

ANZ Basel III Pillar 3 disclosure

March 2016

The following table shows ANZ's consolidated balance sheet and the adjustments required to derive theLevel 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 themas external to the Level 2 group.

Balance
Sheet as inpublishedfinancialstatements($m)

Adjustments($m)

Balancesheet underscope ofregulatory
consolidation
($m)

Cash

49,144(3)

49,141

Settlement balances owed to ANZ

26,048-26,048Collateral Paid

12,783-

12,783

Trading securities

50,073-50,073

Derivative financial instruments

88,747-88,747Available-for-sale assets

50,377(1,320)49,057

Assetsof which: Financial Institutions capital instruments

67

Template andReconciliation
Table
Reference

Table Nof which: Financial institutions equity instruments

931

Table Iof which: Other entities equity investments

20

Table LNet loans and advances

561,768(143)

561,625of which: deferred fee income(290)

Row 26cof which: collective provision(2,862)

Table Gof which: individual provisions(1,238)

Table Gof which: capitalised brokerage

1,013

Table Kof which: Financial Institutions equity exposures

1

Table Iof which: Other equity exposures

3

Table Lof which: CET1 margin lending adjustment

43

Row 26jof which: AT1 margin lending adjustment

1

Table M

Regulatory deposits
Due from controlled entitiesof which: Significant investments in the Tier 2 capital ofbanking, 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
and insurance entities that are outside the scope of
regulatory consolidation
Shares in associates

2,135

-

2,135

-

269

269
85

-

4,213

4,760

(3)

of which: Financial Institutionsof which: Other Entities

Table N

4,760
4,355

Table I

405

Table M

4,210
4,204

Table I

7

Table L

Current tax assets

289

-

289

Deferred tax assetsof which: Deferred tax assets that rely on future
profitability
Goodwill and other intangible assets

578

112

690

Table J

5

Table J

7,585

(1,949)5,636

of which: Goodwill

3,380

of which: Software

2,249

Table F

7

Table Fof which: other intangible assets
Investments backing policy liabilities

34,541(34,541)-

Premises and equipment

2,188

(2)

2,186

Other assets

4,809(1,416)

3,393

895,278(34,236)

861,042of which: Defined benefit superannuation fund net assets

157

Total Assets

9

Table EANZ Basel III Pillar 3 disclosure

March 2016
Balance
Sheet as inpublishedfinancialstatements
($m)

($m)

Balancesheet underscope ofregulatory
consolidation($m)

13,626-

13,626

6,615

-

6,615

Deposits and other borrowings

578,0715,589

583,660

Derivative financial instruments

91,706(1)

91,705

-

810

810

Current tax liabilities

129

(114)

15

Deferred tax liabilities

286

(246)

40

Table J

60

Table F

Liabilities
Settlement balances owed by ANZ
Collateral Received

Due to controlled entities

Adjustmentsof which: related to intangible assets

Template andReconciliation
Table
Referenceof which: related to capitalised expenses

4

Table Kof which: related to defined benefit super assets

31

Table H

Policy liabilities

35,159(35,159)-

External unit holder liabilities

3,265(3,265)-

Payables and other liabilities

9,251(1,286)

7,965

Provisions

1,202

(37)

1,165

Debt Issuances

81,947

12

81,959Subordinated Debt

17,557

19

17,576of which: Directly issued qualifying Additional Tier 1
instruments

3,674

Table Mof which: Directly issued capital instruments subject tophase out from Additional Tier 1

3,307

Table Mof which: Additional Tier 1 Instruments issued bysubsidiaries held by third partiesof which: Directly issued capital instruments subject tophase out from Tier 2

446

Table M

5,479

Table Nof which: Directly issued qualifying Tier 2 instruments

3,917

Table Nof which: instruments issued by subsidiaries subject tophase out

753

Table N

Total Liabilities
Net Assets

Shareholders’ equity
Ordinary Share Capital

838,814(33,678)805,136

56,464(558)

55,906

Balance
Sheet as inpublishedfinancialstatements($m)

Adjustments

Balancesheet underscope ofregulatory
consolidation($m)

28,625255($m)

of which: Share reserve
Reserves

377

(94)

of which: Cash flow hedging reserves

Table A & C

283

Table C

239

Row 11
Table B

27,361(716)

26,645

Share capital and reserves attributable to shareholdersof the Company

56,363(555)

55,808

Total shareholders’ equity

10

Table A

28,880191

Retained earnings

Non-controlling interest

Template andReconciliation
Table
Reference

101

(3)

98

56,464(558)

55,906

Table DANZ Basel III Pillar 3 disclosure

March 2016

The following reconciliation tables provide additional information on the difference between Table 1
Common Disclosure template and the Level 2 balance sheet.

Mar 16$M

Table A
Issued capitalless

28,880Reclassification to reserves
Regulatory Directly Issued qualifying ordinary shares

Table B
less

Table 1
Reference(191)

Table C

28,689Row 1

Mar 16$M

Table 1
Reference

Retained earnings
Regulatory reclassification from significant investments in the ordinary shares of banking, financial
and insurance entities outside the scope of regulatory consolidation

26,645(219)

Table I

Retained earnings

26,426

Row 2

Mar 16$M

Table 1
Reference

Table C
Reserves

283

add

Reclassification from Issued Capital

191

less

Non qualifying reserves(56)

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

418

Row 3

Mar 16$M

Table 1
Reference

Table D
Non-controlling interests
less

98

Surplus capital attributable to minority shareholders(40)

Ordinary share capital issued by subsidiaries and held by third parties

Table E
Goodwill
add

Table A58

Row 5

Mar 16$M

Table 1
Reference

3,380

Goodwill component of investments in financial associates
Goodwill (net of related tax liability)

Table F
Software380

Table I

3,760

Row 8

Mar 16$M

Table 1
Reference

2,249

Other intangible assets

7

less

Associated deferred tax liabilities

(60)

add

Regulatory reclassification from significant investments in the ordinary shares of banking, financial
and insurance entities outside the scope of regulatory consolidation

2,091

Table I

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

4,287

Row 9

11

ANZ Basel III Pillar 3 disclosure

March 2016
Mar 16$M

Table G

Table 1
Reference

Qualifying collective provisionCollective provisionless

Non-qualifying collective provision

lessStandardised collective provisionless

Non-defaulted expected loss

(2,862)313
255

Row 502,894

Non-Defaulted: Expected Loss - Eligible Provision Shortfall

600

Qualifying individual provision
Individual provision(1,238)add

Additional individual provisions for partial write offs

lessStandardised individual provision

(528)

add

Collective provision on advanced defaulted

(265)

less

Defaulted expected loss

1,846

171

Defaulted: Expected Loss - Eligible Provision Shortfall
Gross deduction

Table H

157

Defined benefit superannuation fund net assets

126

Row 15

Mar 16$M

Table 1
Reference

4,355

Regulatory reclassification to Retained Earnings and Other Intangible Assets

add

Investment in financial associates

less

Investment in financial institutions Available for Sale

less

Goodwill component of investments in financial associates

less

Amount below 10% threshold of CET 1
Significant investments in the ordinary shares of banking, financial and insurance entities
that are outside the scope of regulatory consolidation, net of eligible short positions(amount above 10% threshold)Amount below the 10% threshold of CET 1
Investments in the 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 – trading security exposures

add
add

Tables B & F

904

Investments in the 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 - Available for Sale exposures(380)

Table E

(4,657)

Row 73

2,117

Row 194,657

Row 73

-

27

1

14

Equity investment in financial institutions not reported in rows 18, 19 and 23

4,699

Deduction for equity holdings in financial institutions - APRA regulations

6,816

Mar 16$M

Table Jless

(2,309)4,204

Investments in the 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 - Loan exposures
Investments in the 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 - Undrawn

add

Table 1
Reference(31)

Investment in deconsolidated financial subsidiaries

add

Mar 16$M

Associated deferred tax liabilities

less

add

Row 12

Defined benefit superannuation fund net assets

Table I

add

600

Deferred tax assets

690

Deferred tax liabilities(40)

Deferred tax asset less deferred tax liabilities

650

Deferred tax assets that rely on future profitability
Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit superannuation
assets
Impact of calculating the deduction on a jurisdictional basis(5)

Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure
Template12

Row 26dTable 1
ReferenceRow 10

95
48
788

Row 26eANZ Basel III Pillar 3 disclosure

March 2016

Mar 16$M

Table K
Capitalised brokerage costs
less

1,013

Capitalised debt and capital issuance expenses

68

Associated deferred tax liabilities(4)

Capitalised expenses

Table L

Table 1
Reference

73

Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities
Issue costs30

Row 26g

Mar 16$M

Table 1
Reference

3,674
26

Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities

3,700

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

3,307

add

Issue costs

lessTransitional adjustment-

Additional Tier 1 instruments issued by subsidiaries held by third parties
Issue costs

3,309

Row 33446
5Surplus capital attributable to third party holders(94)

AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group AT1)

357

Row34

Additional Tier 1 capital before regulatory adjustments

7,366

Row 36Significant investments in the capital of banking, financial and insurance entities that are outside thescope of regulatory consolidation(405)

Row 40

Other national specific regulatory adjustments not reported
Additional Tier 1 capital

Table N
Directly issued capital instruments subject to phase out from Tier 2(1)

Row 406,960

Row 44

Mar 16$M

Table 1
Reference

5,479

add

Issue costs

add

Amortisation of Tier 2 Capital Instruments subject to Phase out

lessFair value adjustment

(255)

less

Transition adjustment(1,649)16

Directly issued capital instruments subject to phase out from Tier 2
less

Row 302

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

less

Mar 16$M
20

Table Madd

Row 26f

Investments in non financial associates
Equity exposures to non financial entities

add

1,077

Investments in non-financial Available for Sale equities
Non financial equity exposures (loans)

add

Table 1
Reference

(222)

3,369

Instruments issued by subsidiaries subject to phase out from Tier 2

753

Surplus capital attributable to third party holders(66)

Instruments issued by subsidiaries subject to phase out from Tier 2
add

Directly issued qualifying Tier 2 instruments

add

Provisions
Tier 2 capital before regulatory adjustments

687

Row 47

Row 493,917

Row 46

255

Table G

8,228

Row 51

less

Investments in own Tier 2 instruments (trading limit)(10)

Row 52

less

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(85)

Row 55less

Investments in the capital of financial institutions that are outside the scope of regulatory
consolidation not reported in rows 54 and 55(57)

Row 56b

8,076

Row 58Tier 2 capital

13

ANZ Basel III Pillar 3 disclosure

March 2016

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

Total Assets($M)-

Total Liabilities($M)-

ACN 008 647 185 Pty Ltd

Holding Company / Corporate

Advice for Life Pty Ltd

Advice-ANZ ILP Pty Ltd

Incorporated Legal Practice1-

ANZ Insurance Broker Co Ltd

Insurance Broker

27

2

ANZ Investment Services (New Zealand) Limited

Funds Manager

ANZ Lenders Mortgage Insurance Pty Limited

Mortgage insurance

ANZ Life Assurance Company Pty Limited

Insurance

ANZ New Zealand Investments Limited

Funds Manager

39

27

1,196

731

3

-

123

27

ANZ New Zealand Investments Nominees Limited

Trustee/Nominee--

ANZ Private Equity Management Limited

Investment--

ANZ Self Managed Super Limited

Investment--

ANZ Specialist Asset Management Limited

Trustee/Nominee

14

7

ANZ Wealth Alternative Investments Management Pty Ltd

Investment

1,721

1,722

ANZ Wealth Australia Limited

Holding Company / Corporate

2,677

-

ANZ Wealth New Zealand Limited

Holding Company

463-

ANZcover Insurance Private Ltd

Captive-Insurance

171

110

AUT Administration Pty Ltd

Corporate

1-

Capricorn Financial Advisers Pty Ltd

Advice-2

Elders Financial Planning Pty Ltd

Advice82Financial Investment Network Group Pty Ltd

Advice69

1Financial Lifestyle Solutions Pty Limited

Advice4

5

Financial Planning Hotline Pty Ltd

Advice--Financial Services Partners Holdings Pty Limited

Holding Company / Advice

20-

Financial Services Partners Incentive Co Pty Limited

Advice-Financial Services Partners Management Pty Limited

Advice--Financial Services Partners Pty Ltd

Advice3

2

FSP Funds Management Limited

Advice1-

FSP Group Pty Limited

Holding Company / Advice

17

1

FSP Portfolio Administration Limited

Advice1-

FSP Super Pty Limited

Advice6-Integrated Networks Pty Limited

Holding Company / Advice

44-

Mercantile Mutual Financial Services Pty Ltd

Investment

1-

Millennium 3 Financial Services Group Pty Ltd

Advice47

12Millennium 3 Financial Services Pty Ltd

Advice20

12Millennium 3 Mortgage Platform Services Pty Limited

Advice--Millennium 3 Professional Services Pty Ltd

Advice1-

OASIS Asset Management Limited

Investment

15

6

OASIS Fund Management Limited

Superannuation

6

4

OneAnswer Nominees Limited

Trustee/Nominee--

OnePath Administration Pty Ltd

Corporate

69

29

OnePath Custodians Pty Ltd

Superannuation

43

3

OnePath Financial Planning Pty Ltd

Advice1-

OnePath Funds Management Ltd

Investment

73

27

OnePath General Insurance Pty Ltd

Insurance

254

186

OnePath Investment Holdings Pty Ltd

Holding company

OnePath Life (NZ) Limited

Insurance

7

-

850

279

OnePath Life Australia Holdings Pty Ltd

Holding Company / Corporate

3,000

-

OnePath Life Limited

Insurance

38,80536,228Polaris Financial Solutions Pty Limited

Advice-1

RI Advice Group Pty Ltd

Advice19

3

RI Central Coast Pty Ltd

Advice1-

14

ANZ Basel III Pillar 3 disclosure
EntityMarch 2016
Activity

Total Assets($M)
1

Total Liabilities($M)-

RI Gold Coast Pty Ltd

AdviceRI Maroochydore Pty Ltd

Advice--RI Newcastle Pty Ltd

Advice2-

RI Parramatta Pty Ltd

Advice1-

RI Rockhampton & Gladstone Pty Ltd

Advice2-

RI Townsville Pty Ltd

Advice--Rieas Pty Ltd

Advice--

Shout for Good Pty Ltd

Fundraising--

Tandem Financial Advice Limited

Advice--15

ANZ Basel III Pillar 3 disclosure

Table 2

March 2016

Main features of capital instruments

As the main feature of ANZ’s capital instruments are updated on an ongoing basis, ANZ has provided thisinformation 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.

16

ANZ Basel III Pillar 3 disclosure

Table 6

March 2016

Capital adequacy - Capital Ratio and Risk Weighted Assets

The following table provides the composition of capital used for regulatory purposes and capital adequacy
ratios.
Mar 16$M

Sep 15$M

Mar 15$M

Corporate

139,643

150,165

140,451

Sovereign

6,185

6,664

5,385

Bank

15,061

17,44522,078Residential Mortgage

57,21854,99653,501

Qualifying Revolving Retail

7,744

7,546

7,775

Other Retail

30,681

32,99031,664

256,532

269,806

260,854

35,06632,24031,442

Corporate

22,941

26,21727,033

Residential Mortgage

2,616

2,882

2,603

Other Retail

3,550

3,625

3,271

29,10732,72432,907

Credit Valuation Adjustment and Qualifying Central Counterparties

8,355

10,1709,630

Credit risk weighted assets relating to securitisation exposures

1,194

1,156

1,067

Other assets

4,054

3,655

3,797

334,308

349,751

339,697

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

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

Credit risk weighted assets subject to Standardised approach

Total credit risk weighted assets
Market risk weighted assets

6,059

6,868

6,042

Operational risk weighted assets

37,68837,88533,434

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

10,280

7,433

7,690

388,335

401,937

386,863

Capital ratios (%)5
8.5%9.8% 8.2%9.6%n/a 8.7%

Level 2 Common Equity Tier 1 capital ratio
Level 2 Tier 1 capital ratio

11.6%

11.3%

10.6%

Level 2 Total capital ratio

13.7%

13.3%

12.6%

Level 1: Extended licensed Common Equity Tier 1 capital ratio

10.2%

9.6%

8.8%

Level 1: Extended licensed entity Tier 1 capital ratio

12.2%

11.6%

10.9%

Level 1: Extended licensed entity Total capital ratio

14.4%

13.7%

13.1%

Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited –Common Equity Tier 1 capital ratio

10.0%

10.5%

10.1%

ANZ Bank New Zealand Limited - Tier 1 capital ratio

12.2%

12.7%

12.4%

ANZ Bank New Zealand Limited - Total capital ratio

12.8%

13.6%

13.3%

4

Specialised Lending exposures subject to slotting approach are those where the main servicing and repayment is fromthe asset being financed, and includes specified commercial property development/investment lending, project financeand object finance.
5
ANZ Bank New Zealand Limited’s capital ratios have been calculated in accordance with Reserve Bank of New Zealandprudential standards

17

ANZ Basel III Pillar 3 disclosure

March 2016

Credit Risk Weighted Assets (CRWA)
Total CRWA decreased $15.4 billion (4%) from September 2015 to $334.3 billion at March 2016,
including an $8.1 billion decrease due to foreign currency movements. Portfolio contraction in our
Institutional business contributed further to the decrease mainly seen in AIRB Corporate, AIRB Bank andStandardised Corporate asset classes. The decrease was partially offset by portfolio growth in Australia
and New Zealand business which contributed to the increase in IRB Residential Mortgage and Specialised
Lending asset classes. The reduction in IRB Other Retail was mainly driven by the sale of our Esanda
business.
Market Risk, Operational Risk and IRRBB RWA
Traded Market Risk RWA has decreased from $6.9 billion to $6.1 billion during first half as both Internal
Model RWA and Standard Model RWA decreased, reflecting changes in portfolio diversification and areduction in credit instrument exposure respectively.
Increase in IRRBB RWA was due to an increase in repricing and yield curve risk combined with adecrease in embedded gains.
The Operational Risk RWA remained relatively unchanged since September 2015 reflecting minimalchange in the ANZ operational risk profile.

18

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 4 –Credit risk
Table 7 Credit risk – General disclosures
Exposure at default
Exposure at Default is defined as the expected facility exposure at the date of default. Unless otherwise
stated, throughout this disclosure EAD represents gross credit exposure without offsets for credit risk
mitigation such as guarantees, credit derivatives, netting and financial collateral.
Table Exposure at Default
Mar 16
Exposure at
Default Pre
Credit Risk
Mitigation$M

Credit Risk
Mitigation$M

Exposure at
Default Post
Credit Risk
Mitigation$M

Corporate

264,721

23,701

241,020

Sovereign

129,618

11,399118,219

Bank

112,470

63,34349,127

Residential Mortgage

337,314-337,314

Qualifying Revolving Retail

22,417-22,417

Other Retail

40,943-40,943

907,483

98,443809,040

39,45851

39,407

Corporate

27,012

4,462

22,550Residential Mortgage

7,183

-

7,183

Other Retail

3,570

13

3,557

Total Standardised approach

37,765

4,475

33,290Credit Valuation Adjustment andQualifying Central Counterparties

43,00335,3107,693

1,027,709

138,279

889,430

Advanced IRB approach

Total Advanced IRB approach
Specialised LendingStandardised approach

Total

19

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(b) part (i): Period end and average Exposure at Default 6 7

Mar 16

Risk Weighted
Assets$M

Exposureat Default$M

Average
Exposureat Default
for half year
$M

Corporate

139,643

264,721

270,618

438

144

Sovereign

6,185

129,618

128,484

2

-

Bank

15,061

112,470

114,184--

Residential Mortgage

57,218337,314330,24410

16

Qualifying Revolving Retail

7,744

22,41722,252

96

130

Other Retail

30,68140,94343,647258

250

256,532

907,483

909,429804

540

35,06639,45838,606

6

6

Corporate

22,94127,012

28,6892

2

Residential Mortgage

2,616

7,183

7,506

(2)

4

Other Retail

3,550

3,570

3,603

82

104

29,10737,76539,798

82

110

8,355

43,00338,129--329,060

1,027,709

1,025,962

892

656

Advanced IRB approach

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge forhalf year$M

Write-offs forhalf year$M

Standardised approach

Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

6

Exposure at Default in Table 7 includes Advanced IRB, Specialised Lending and Standardised exposures, however does
not include Securitisation, Equities or Other Assets exposures. Exposure at Default in Table 7 is gross of credit risk
mitigation such as guarantees, credit derivatives, netting and financial collateral.

7
Average Exposure at Default for half year is calculated as the simple average of the balances at the start and the endof each six month period.

20

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 15

Risk Weighted
Assets$M

Exposureat Default$M

Average
Exposureat Default
for half year
$M

Corporate

150,165

276,516

274,042

204

197

Sovereign

6,664

127,349

120,166

(2)

-

Bank

17,445

115,898

119,246--

Residential Mortgage

54,996323,174

316,986917

Qualifying Revolving Retail

7,546

22,08822,011

102

145

Other Retail32,99046,351

46,236279

272

269,806

911,376

898,687592

631

32,24037,754

37,639(15)

61

Corporate

26,21730,36530,283

10

34

Residential Mortgage

2,882

7,829

7,559

-

4

Other Retail

3,625

3,636

3,460

68

85

Total Standardised approach

32,724

41,83041,30278

123

Credit Valuation Adjustment andQualifying Central Counterparties

10,17033,25529,771--

344,940

1,024,215

1,007,399

655

815

Advanced IRB approach

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge forhalf year$M

Write-offs forhalf year$M

Standardised approach

Total

Mar 15

Risk Weighted
Assets$M

Exposureat Default$M

Average
Exposureat Default
for half year
$M

Corporate

140,451

271,567

260,156

144

142

Sovereign

5,385

112,983

100,165

1

-

Bank

22,078

122,594

120,741--

Residential Mortgage

53,501

310,799

302,602

4

21

Qualifying Revolving Retail

7,775

21,93421,70389

129

Other Retail

31,664

46,12042,783190

206

260,854885,997

848,150428

498

31,442

37,52536,237

16

21

Corporate

27,03330,201

27,838

4

16

Residential Mortgage

2,603

7,289

6,924

-

4

Other Retail

3,271

3,283

3,148

7

70

32,907

40,77337,910

11

90

9,630

26,28718,366--334,833

990,582

940,663455

609

Advanced IRB approach

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge for Write-offs forhalf year
half year$M$M

Standardised approach

Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

21

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(b) part(ii): Exposure at Default by portfolio type8

Portfolio TypeMar 16$M

Sep 15$M

Mar 15$M

Average for halfyear Mar 16
$M

Cash

47,30629,17633,04538,241

Contingents liabilities, commitments, andother off-balance sheet exposures

160,920

162,535

158,355

161,728

Derivatives

143,371

141,641

133,552

142,505

Settlement Balances

20,026

39,21635,35829,621

Investment Securities

43,57837,811

32,411

40,695

Net Loans, Advances & Acceptances

562,670

565,448551,854564,059

Other assets

19,231

12,114

9,717

15,673

Trading Securities

30,60736,27436,29033,441

Total exposures

1,027,709

1,024,215

990,582

1,025,963

8
Average for half year is calculated as the simple average of the balances at the start and the end of each six month
period.

22

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(c): Geographic distribution of Exposure at Default
Mar 16

Portfolio Type

Australia$M

New Zealand$M

Asia Pacific,
Europe andAmericas$M

Corporate

151,168

47,384

93,181

291,733

Sovereign

45,334

11,91072,374

129,618

Bank

72,377

6,866

33,227

112,470

Residential Mortgage

270,025

67,2897,183

344,497

Qualifying Revolving Retail

22,417--22,417

Other Retail

29,187

11,784

3,542

44,513

Qualifying Central Counterparties

26,95011,324

4,729

43,003Specialised Lending

29,324

9,712

422

39,458

Total exposures

646,782

166,269

214,658

1,027,709

Total
$M

Total
$M

Sep 15

Portfolio Type

Australia$M

New Zealand$M

Asia Pacific,
Europe andAmericas$M

Corporate148,299

47,904

110,678

306,881

Sovereign

40,524

11,26575,560127,349

Bank

74,7596,699

34,440115,898

Residential Mortgage

257,901

65,2737,829

331,003

Qualifying Revolving Retail

22,088--22,088Other Retail34,561

11,822

3,604

49,987

Qualifying Central Counterparties

20,559

9,425

3,271

33,255Specialised Lending

28,0759,242

437

37,754

Total exposures

626,766

161,630

235,819

1,024,215

Total
$M

Mar 15

Portfolio Type

Australia$M

New Zealand$M

Asia Pacific,
Europe andAmericas$M

Corporate148,289

49,766

103,713

301,768

Sovereign

36,638

11,41364,932112,983

Bank

78,955

7,326

36,313

122,594

Residential Mortgage

244,269

66,5307,289

318,088

Qualifying Revolving Retail

21,934--

21,934

Other Retail33,50012,6493,254

49,403

Qualifying Central Counterparties

17,043

5,803

3,441

26,287

Specialised Lending

27,661

9,325

539

37,525

Total exposures608,289

162,812219,481990,58223

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(d): Industry distribution of Exposure at Default9 10

Mar 16
Agriculture,
Forestry, Fishing& Mining$M

Business
Services$M

Construction$M

Electricity,
Gas & Water
Supply$M

43,525

10,816

6,964

10,07912,903

1,192

8

58

671

8

Bank

1

-

1

-

Residential Mortgage

-

-

-

Qualifying Revolving Retail--

Other Retail
Qualifying Central
Counterparties
Specialised Lending

3,365
1,065

7

162

1,634

191

7

-

4

-

34,541

7

6

1,140

Total exposures

49,14813,384

10,91012,486

15,296

290,738

45,34250,453

387,526

56,87830,26820,511

20,574

4.8%

1.3%

1.1%

1.2%

1.5%

28.3%

4.4%

4.9%

37.7%

5.5%

2.9%

2.0%

2.0%

Portfolio Type
Corporate
Sovereign% of Total

Entertainment,
Financial,
Leisure & Investment &Tourism
Insurance$M$M

Government
and Official
Institutions$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

Retail Trade$M

Transport &Storage
$M

Other
$M

Total
$M

51,4703,173

47,643

2,292

20,60329,072

16,327

17,763

19,103291,733

83,27042,160

1,208

-

514

33

-

221

275

129,618-

112,347

-

101

-

-

-

-

20

-

112,470

-

-

-

-

-

344,497

-

-

-

-

-

344,497

-

-

-

-

-

-

22,417

-

-

-

-

-

22,417

2,553

3,725

102

2,194

641

9

1,497

18,320

1,220

1,156

4,178

1,430

4,123

44,513----43,003

-

-

-

-

-

-

-

-

43,003694

39,458924,195 1,027,709
2.4%

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

10

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

24

100.0%

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 15

Portfolio Type
Corporate
SovereignBank
Residential Mortgage
Qualifying Revolving
RetailOther Retail
Qualifying Central
Counterparties

Agriculture,
Forestry, Fishing& Mining$M

Business
Services$M

46,3791,268
1‐

11,396
9‐‐

Electricity, Gas& Water
Construction
Supply
$M
$M

7,481
59
‐
‐

11,135677‐‐

Entertainment,
Financial,
Leisure & Investment &Tourism
Insurance$M$M

12,583
4‐‐

Government
and Official
Institutions$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

Retail Trade$M

Transport &Storage
$M

Other
$M

Total
$M

3,389
37,810‐‐54,556
1,443
111
‐

2,088
‐
‐
331,003

20,874260
2‐32,84044‐‐

16,348‐‐‐

17,113249
23‐

19,038323‐‐

306,881
127,349
115,898
331,003

51,661
85,203
115,761
‐

‐

‐

‐

‐

‐

‐

‐

‐

22,088

‐

‐

‐

‐

‐

22,088

3,506

2,831

4,040

117

2,156

658

11

1,537

23,096

1,172

1,169

4,221

1,468

4,005

49,98733,255

‐

‐

‐

‐

‐

33,255

‐

‐

‐

‐

‐

‐

‐

‐

Specialised Lending

1,040

8

166

1,497

239

3

39

6

‐

32,470

9

7

1,260

1,010

37,754

Total exposures

52,194

14,244

11,746

13,426

14,982

286,541

41,24957,653

378,275

54,77834,062

20,576

20,11324,376

1,024,215

5.1%

1.4%

1.1%

1.3%

1.5%

28.0%

4.0%

5.6%

36.9%

5.3%

3.3%

2.0%

2.0%

2.4%

100.0%

Entertainment,
Financial,
Leisure & Investment &Tourism
Insurance$M$M

Government
and Official
Institutions$M

Manufacturing$M

Personal$M

Property
Services$M

Wholesale
Trade$M

Retail Trade$M

Transport &Storage
$M

Other
$M

Total
$M

3,242
35,228‐‐53,783
969
98
‐

1,872
1
‐
318,088

21,446
255‐‐

33,53446‐‐

16,347‐‐‐

16,201
195
21‐

16,764
97‐‐

301,768
112,983
122,594
318,088% of Total[Typ

Mar 15

Portfolio Type
Corporate
SovereignBank
Residential Mortgage
Qualifying Revolving
RetailOther Retail
Qualifying Central
Counterparties

Agriculture,
Forestry, Fishing& Mining$M

Business
Services$M

Construction$M

Electricity,
Gas & Water
Supply$M46,292
1,485‐‐

10,802
‐
‐
‐

7,954
54
‐
‐

11,623776‐‐

11,913
5‐‐

49,99573,872
122,475
‐

‐

‐

‐

‐

‐

‐

‐

‐

21,934

‐

‐

‐

‐

‐

21,934

3,546

2,751

3,910

113

2,006

645

13

1,530

23,001

1,138

1,133

4,096

1,447

4,074

49,403

‐

‐

‐

‐

‐

26,287

‐

‐

‐

‐

‐

‐

‐

‐

26,287

Specialised Lending

1,017

8

268

1,513

74

3

35

5

‐

32,538

23

5

1,266

770

37,525

Total exposures

52,34013,561

12,186

14,025

13,998273,277

38,51856,385364,896

55,377

34,736

20,448

19,13021,705990,582

5.3%

1.4%

1.2%

1.4%

1.4%

27.6%

3.9%

5.7%

36.8%

5.6%

3.5%

2.1%

1.9%

2.2%

100.0%% of Total

25

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(e): Residual contractual maturity of Exposure at Default11

Mar 16< 12 mths$M

1 - 5 years$M> 5 years$M

No Maturity
Specified
$M

Total
$M

Corporate

123,802148,465

19,256

210

291,733

Sovereign

77,37225,85026,396-

129,618

Bank

69,705

41,153

1,612-

112,470

404

7,045

305,256

31,792

344,497---

22,41722,417

Other Retail

17,355

7,554

19,604-44,513

Qualifying Central Counterparties

5,025

21,262

16,716-43,003Specialised Lending

13,28324,186

1,941

48

39,458

Total exposures

306,946

275,515

390,781

54,467

1,027,709

Portfolio Type

Residential Mortgage
Qualifying Revolving RetailSep 15< 12 mths$M

1 - 5 years$M> 5 years$M

No Maturity
Specified
$M

Total
$M

Corporate

133,312

153,214

20,185170

306,881

Sovereign

78,70625,94322,700-127,349

Bank

69,32744,765

1,806-

115,898

412

7,751

291,437

31,403331,003---

22,08822,088Other Retail

17,326

13,82918,79735

49,987

Qualifying Central Counterparties

4,448

16,50912,298-33,255Specialised Lending

11,59724,0432,065

49

37,754

Total exposures

315,128

286,054369,288

53,745

1,024,215

Portfolio Type

Residential Mortgage
Qualifying Revolving RetailMar 15< 12 mths$M

1 - 5 years$M> 5 years$M

No Maturity
Specified
$M

Total
$M

Corporate

135,762

144,147

21,681

178

301,768

Sovereign

70,59222,753

19,638-112,983

Bank

66,29854,385

1,911-

122,594

272

7,165

279,051

31,600318,088---

21,934

21,934

Other Retail

17,546

13,72618,131-49,403

Qualifying Central Counterparties

3,132

11,611

11,544-

26,287

Specialised Lending

11,181

24,0202,256

6837,525

Total exposures

304,783

277,807354,21253,780990,582

Portfolio Type

Residential Mortgage
Qualifying Revolving Retail11

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

26

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(f) part (i): Impaired assets12 13, Past due loans14, Provisions and Write-offs by
Industry sector

Mar 16

Industry Sector
Agriculture, Forestry, Fishing &MiningBusiness Services

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥
90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Write-offs
for half
year
$M

5

892

131

284

133

59

-

121

39

65

27

16

Construction

-

150

82

67

46

21

Electricity, gas and water supply

-

3

1

3

1

1

Entertainment Leisure & Tourism

-

123

52

54

31

15

Financial, Investment & Insurance

1

40

10

23

2

5

Government & Official Institutions

-

-

2

2

2

-

Manufacturing

7

319

43

198

113

46

Personal

-

853

1,710

233

342

415

Property Services

-

96

71

57

17

11

Retail Trade

-

121

112

66

42

23

Transport & Storage

1

137

23

49

36

8

Wholesale Trade

5

175

31

117

72

14

Other

-

33

68

20

28

22

Total

19

3,063

2,375

1,238

892

656

12
Impaired derivatives are net of credit value adjustment (CVA) of $63 million, being a market value based
assessment of the credit risk of the relevant counterparties (September 2015: $69 million; March 2015: $64 million).
13
Impaired loans / facilities include restructured items of $226 million for customer facilities in which the originalcontractual 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 (September 2015: $184 million; March 2015: $146
million).
14

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

27

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 15
Individual
provision
charge for
Write-offs
half year for half year
$M
$M

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥90days
$M

Individual
provisionbalance
$M

5

799

136

221

112

76

-

88

31

55

12

17

Construction

-

95

183

42

20

31

Electricity, gas and water supply

-

3

-

3

(1)

1

Entertainment Leisure & Tourism
Financial, Investment &Insurance
Government & Official Institutions

-

131

38

43

33

18

-

52

20

26

19

14

-

-

-

-

-

-

Manufacturing

4

258

42

145

33

50

Personal

-

869

1,434

290

337

441

Property Services

-

110

100

50

(3)

53

Retail Trade

-

139

88

60

42

28

28

164

26

29

(13)

35

Wholesale Trade

-

126

27

76

39

24

Other

-

28

74

21

25

27

Total

37

2,862

2,199

1,061

655

815

Industry Sector
Agriculture, Forestry, Fishing &MiningBusiness Services

Transport & Storage

Mar 15

Industry Sector
Agriculture, Forestry, Fishing &MiningBusiness Services

Individual
provision
charge for
Write-offs
half year for half year
$M
$M

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥90days
$M

Individual
provisionbalance
$M

-

606

221

184

41

50

-

86

50

60

(12)

22

Construction

-

107

70

54

23

16

Electricity, gas and water supply

-

3

5

4

2

-

Entertainment Leisure & Tourism
Financial, Investment &Insurance
Government & Official Institutions

-

103

45

26

6

9

-

42

26

17

6

3

-

-

-

-

-

-

Manufacturing

-

221

52

153

63

19

Personal

-

914

1,216

316

251

402

Property Services

3

379

171

89

15

13

Retail Trade

-

67

74

41

13

12

24

186

38

79

9

17

Wholesale Trade

-

109

30

60

27

21

Other

-

37

71

31

11

25

Total

27

2,860

2,069

1,114

455

609

Transport & Storage

28

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(f) part (ii): Impaired asset, Past due loans, Provisions and Write-offs
Mar 16

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥
90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Write-offs
for half
year$M

Corporate

19

1,903

226

822

438

144

Sovereign

-

2

2

6

2

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

212

1,815

77

10

16

Qualifying Revolving Retail

-

95

-

-

96

130

Other Retail

-

490

270

265

258

250

19

2,702

2,313

1,170

804

540

-

73

24

38

6

6

Corporate

-

43

25

25

2

2

Residential Mortgage

-

32

5

11

(2)

4

Other Retail

-

213

8

(6)

82

104

Total Standardised approach

-

288

38

30

82

110

Qualifying Central Counterparties

-

-

-

-

-

-

19

3,063

2,375

1,238

892

656

Portfolios subject to Advanced IRB approach

Total Advanced IRB approach
Specialised Lending
Portfolios subject to Standardised approach

Total

29

ANZ Basel III Pillar 3 disclosure

March 2016
Sep 15

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans≥90 days$M

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Write-offs
for half
year$M

Portfolios subject to Advanced IRB approach
Corporate

9

1,487

202

575

204

197

Sovereign

-

2

-

4

(2)

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

240

1,570

86

9

17

Qualifying Revolving Retail

-

88

-

-

102

145

Other Retail

-

599

306

317

279

272

Total Advanced IRB approach

9

2,416

2,078

982

592

631

28

159

62

40

(15)

61

Corporate

-

73

40

23

10

34

Residential Mortgage

-

37

12

14

-

4

Other Retail

-

177

7

2

68

85

Total Standardised approach

-

287

59

39

78

123

Qualifying Central Counterparties

-

-

-

-

-

-

37

2,862

2,199

1,061

655

815

Individual
provisionbalance$M

Individual
provision
charge forhalf year$M

Write-offs
for halfyear$MSpecialised Lending
Portfolios subject to Standardised approach

Total

Mar 15

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans≥90 days$M

Portfolios subject to Advanced IRB approach
Corporate

-

1,265

288

570

144

142

Sovereign

-

1

1

4

1

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

284

1,376

99

4

21

Qualifying Revolving Retail

-

88

-

-

89

129

Other Retail

-

494

314

285

190

206

Total Advanced IRB approach

-

2,132

1,979

958

428

498

27

436

42

96

16

21

Corporate

-

96

33

45

4

16

Residential Mortgage

-

42

10

14

-

4

Other Retail

-

154

5

1

7

70

Total Standardised approach

-

292

48

60

11

90

Qualifying Central Counterparties

-

-

-

-

-

-

27

2,860

2,069

1,114

455

609

Specialised Lending
Portfolios subject to Standardised approach

Total

30

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(g): Impaired assets15 16, Past due loans17and Provisions18 by Geography
Mar 16
Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans≥ 90 days$M

Individual
provisionbalance$M

Collective
provisionbalance$M

Australia

7

1,771

2,145

762

1,844

New Zealand

-

330

178

123

421

Asia Pacific, Europe and America

12

962

52

353

597

Total

19

3,063

2,375

1,238

2,862

4fii
RA

0

0

0

0

0

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans≥ 90 days$M

Individual
provisionbalance$M

Collective
provisionbalance$M

Geographic region

Sep 15

Geographic region
Australia

33

1,621

1,949

698

1,895

New Zealand

-

400

182

147

425

Asia Pacific, Europe and America

4

841

68

216

636

Total

37

2,862

2,199

1,061

2,956

4fii
RA

0

0

0

0

0

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans≥ 90 days$M

Individual
provisionbalance$M

Collective
provisionbalance$M

Australia

27

1,684

1,798

698

1,882

New Zealand

-

537

204

197

450

Asia Pacific, Europe and America

-

639

67

219

582

Total

27

2,860

2,069

1,114

2,914

Mar 15

Geographic region

15
Impaired derivatives are net of credit value adjustment (CVA) of $63 million, being a market value based
assessment of the credit risk of the relevant counterparties (September 2015: $69 million; March 2015: $64 million).
16
Impaired loans / facilities include restructured items of $226 million for customer facilities in which the originalcontractual 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 (September 2015: $184 million; March 2015: $146
million).
17
For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past dueloans > 90 days to impaired loans / facilities.
18

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 this document are based on Individual Provision andCollective Provision, for ease of comparison with other published results.

31

ANZ Basel III Pillar 3 disclosure

March 2016

Table 7(h): Provision for Credit Impairment

Collective Provision
Balance at start of period
Charge to income statement
Adjustments for exchange rate fluctuations
Esanda Sale

Half year
Mar 16$M

Half year
Sep 15$M

Half year
Mar 15
$M

2,956

2,914

2,757

26

40

55

(47)

2

102

(73)

-

-

2,862

2,956

2,914

Balance at start of period

1,061

1,114

1,176

New and increased provisions

1,137

951

806

Write-backs

(160)

(174)

(260)

Adjustment for exchange rate fluctuations

(26)

7

33

Discount unwind

(26)

(22)

(32)

Bad debts written off

(656)

(815)

(609)

Esanda Sale

(92)

-

-

Total Individual Provision

1,238

1,061

1,114

Total Provisions for Credit Impairment

4,100

4,017

4,028

Total Collective Provision

Individual Provision

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

Mar 16
Specific Provision
Balance$M

General Reserve
for Credit Losses
$M

Total
$M

Collective Provision

313

2,549

2,862

Individual Provision

1,238

-

1,238

Total Provision for Credit Impairment

1,551

2,549

4,100

Specific Provision
Balance$M

General Reserve
for Credit Losses
$M

Total
$M

Collective Provision

334

2,622

2,956

Individual Provision

1,061

-

1,061

Total Provision for Credit Impairment

1,395

2,622

4,017

Specific Provision
Balance$M

General Reserve
for Credit Losses
$M

Total
$M

Collective Provision

304

2,610

2,914

Individual Provision

1,114

-

1,114

Total Provision for Credit Impairment

1,418

2,610

4,028

Sep 15

Mar 1519
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 this document are based on Individual Provision andCollective Provision, for ease of comparison with other published results.

32

ANZ Basel III Pillar 3 disclosure
Table 8March 2016

Credit risk – Disclosures for portfolios subject to theStandardised approach and supervisory risk weights in the
IRB approach

Table 8(b): Exposure at Default by risk bucket20
Risk weightMar 16$M

Standardised approach exposures

Sep 15$M

Mar 15
$M

0%

-

-

-

20%

255

855

710

35%

6,820

7,386

7,145

50%

1,417

1,406

237

75%

2

4

3

100%

24,05627,09828,384

150%

740

852

755

>150%

-

1

29

Capital deductions

-

-

-

33,29037,60237,263

Total
Other Asset exposures
0%

-

-

-

20%

1,172

1,191

1,030

35%

-

-

-

50%

-

-

-

75%

-

-

-

100%

3,820

3,417

3,591

150%

-

-

-

>150%

-

-

-

Capital deductions

-

-

-

4,992

4,608

4,621

Total
Specialised Lending exposures
0%

318

473

933

70%

12,156

14,005

13,52590%

21,40019,53919,350

115%

4,841

3,245

3,413

250%

692

448

254

Total

39,40737,71037,47520

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

33

ANZ Basel III Pillar 3 disclosure
Table 9March 2016

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

Consumer 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 –
weights

Qualifying
retailrevolving

fixed

risk

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail andlocal corporates in Asia Pacific) where currently available data does not enable development ofadvanced 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.
ANZ applies its full normal risk measurement and management framework to these segments forinternal management purposes, such as for economic capital. Standardised segments will be migrated
to AIRB if they reach a volume that generates 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 todetermine 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 wayof 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 aconsequence of obligor default and expressed as a percentage of the facility’s EAD. Whenmeasuring economic loss, all relevant factors are taken into account, including material effects ofthe timing of cash flows and material direct and indirect costs associated with collecting on the
exposure, including realisation of collateral.

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 ascorporate 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.

34

ANZ Basel III Pillar 3 disclosure

March 2016

Effective maturity is also calculated as an input to the risk weighted exposure calculation for bank,sovereign and corporate 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 toservice and repay debt.

Measure the LGD as expressed by the Security Indicator (SI) ranging from A to G. The SI iscalculated by reference to the percentage of loan covered by security which can be realised in theevent of default. This calculation uses standard ratios to adjust the current market value ofcollateral items to allow for historical realisation outcomes. The security-related SIs aresupplemented 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 thatthese transaction characteristics have different recovery outcomes. ANZ’s LGD also includes
recognition of the different legal and insolvency regimes in different countries, where this has
been shown to influence recovery outcomes.

ANZ’s corporate PD master scale 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 be mapped to the gradings of external rating agencies, using the PD as a common
element after ensuring that default definitions and other key attributes are aligned. The following tabledemonstrates this alignment (for one year PDs):
ANZ CCR

Moody’sStandard & Poor’s

PD Range

0+ to 1-

Aaa to < A1

AAA to < A+

0.0000 - 0.0346%

2+ to 3+

A1 to < Baa2

A+ to < BBB

0.0347 - 0.1636%

3= to 4=

Baa2 to < Ba1

BBB to < BB+

0.1637 - 0.5108%

4- to 6-

Ba1 to < B1

BB+ to < B+

0.5109 - 3.4872%

7+ to 8+

B1 to <Caa

B+ to < CCC

3.4873 – 17.8799%

8=

Caa

CCC

17.8800 - 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. ANZ also uses
specialised PD master scale/mappings for the sovereign asset class, based predominantly on thecorporate master scale.

35

ANZ Basel III Pillar 3 disclosure

March 2016

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based(IRB) approach24 25 26

Mar 16
AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

Exposure at Default
Corporate
SovereignBank21,363
105,52136,94075,906
19,12868,347

85,264
1,871
4,793

74,964
3,045
2,388

2,374
37
1

2,508
16
1

2,342 264,721- 129,618- 112,470

Total

163,824

163,381

91,92880,397

2,412

2,525

2,342 506,809

32.3%

32.2%

18.1%

15.9%

0.5%

0.5%

0.5%

100.0%

Undrawn commitments (included in above)
Corporate
5,963
25,009Sovereign
655
325
Bank
322

25,5389196

12,299
71
8

265
-

274
-

56
-

69,404
1,060
526

Total

% of Total

Default
$M

Total
$M

6,618

25,65625,743

12,378

265

274

56

70,990

Average Exposure at Default
Corporate
6.089
Sovereign125.502
Bank
13.5403.565
103.340
3.351

1.466
27.831
2.779

0.405
17.402
3.008

0.487
5.222
0.376

0.259
1.698
0.052

0.902
-

0.873
99.151
4.353

Exposure-weighted average Loss Given Default (%)
Corporate
55.4%
57.4%
49.5%
Sovereign
6.0%
9.8%
42.3%
Bank
62.4%
62.2%
61.4%

39.6%
50.6%
68.6%

39.4%
67.5%
75.0%

46.9%
59.0%
70.0%

43.9%
-

48.7%
8.4%
62.5%

Exposure-weighted average risk weight (%)
Corporate
18.6%
36.2%
Sovereign
1.2%
3.0%
Bank
22.2%
25.8%

75.0%
114.9%
119.8%

126.7%
254.5%
282.4%

218.4%
323.1%
369.8%

144.3%
-

57.9%
5.2%
30.7%

57.6%
46.9%
64.5%

24
In accordance with APS 330, EAD in Table 9(d) includes Advanced IRB exposures; however does not include
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 isprovided 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.

36

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 15
AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

Exposure at Default
Corporate
SovereignBank

23,432
107,082
33,75079,305
14,666
73,101

91,943
2,448
6,314

74,780
3,047
2,723

2,824
85
-

2,222
21
10

2,010 276,516- 127,349- 115,898

Total

164,264

167,072 100,705

Default
$M

Total
$M

80,550

2,909

2,253

2,010 519,763

32.1%

19.4%

15.5%

0.6%

0.4%

0.4%

100.0%

Undrawn commitments (included in above)
Corporate
6,237
25,820
Sovereign
566
497
Bank
-

26,4835
139

11,705
66
11

301
-

223
-

80
-

70,849
1,134
150

Total

80

72,133% of Total

31.6%

6,803

26,317

26,627

11,782

301

223

Average Exposure at Default
Corporate
7.658
Sovereign160.363
Bank
18.615

4.136
94.5884.396

1.540
38.692
4.107

0.406
23.2384.760

0.535
14.210
0.026

0.270
1.949
0.282

0.846
0.935
- 121.510
5.815

Exposure-weighted average Loss Given Default (%)
Corporate
57.0%
58.7%
51.0%
Sovereign
5.8%
16.3%
43.3%
Bank
62.3%
62.9%
63.9%

40.8%
51.5%
68.8%

44.7%
54.2%
74.5%

46.0%
59.2%
74.4%

38.8%
-

50.3%
9.0%
63.1%

Exposure-weighted average risk weight (%)
Corporate
19.4%
36.7%
Sovereign
1.1%
5.1%
Bank
21.3%
24.9%

59.1%
47.8%
67.8%

78.3%
115.1%
123.0%

148.3%
172.1%
276.0%

228.7%
316.7%
358.6%

141.3%
-

58.8%
5.6%
32.1%

Default
$M

Total
$M

Mar 15

Exposure at Default
Corporate
Sovereign
Bank
Total

AAA
< A+
$M

A+
< BBB
$M

BBB
< BB+
$M

BB+
< B+
$M

B+
< CCC
$M

CCC
$M

22,23791,926
37,60573,537
16,104
74,157

93,3761,508
6,883

76,150
3,254
3,914

2,410
158
30

1,680
33
5

2,177 271,567- 112,983- 122,594

163,798 101,767

83,318

2,598

1,718

2,177 507,144

32.3%

20.1%

16.4%

0.5%

0.3%

0.4%

100.0%

Undrawn commitments (included in above)
Corporate
5,879
22,127
Sovereign
267
339
Bank
124
155

25,87910
178

12,448
7
10

295
-

168
-

52
-

66,848
623
467

Total

52

67,938% of Total

151,768
29.9%

6,270

22,621

26,067

12,465295

168

Average Exposure at Default
Corporate
7.043
Sovereign
122.513Bank
24.8643.996
236.323
5.514

1.554
25.6495.293

0.415
20.334
5.303

0.541
6.859
7.403

0.231
2.570
0.268

0.695
0.924
- 104.356
7.252

Exposure-weighted average Loss Given Default (%)
Corporate
56.9%
58.9%
50.0%
Sovereign
2.4%
2.6%
46.0%
Bank
63.0%
63.3%
69.4%

41.2%
49.9%
69.9%

38.2%
75.9%
75.0%

44.1%
25.7%
71.3%

39.8%
-

49.8%
4.6%
64.2%

Exposure-weighted average risk weight (%)
Corporate
19.0%
35.4%
Sovereign
0.4%
0.9%
Bank
21.7%
25.6%

73.8%
112.5%
127.0%

127.9%
249.3%
226.0%

207.0%
136.8%
328.2%

138.7%
-

56.3%
5.1%
35.6%

56.7%
52.8%
77.1%

37

ANZ Basel III Pillar 3 disclosure

March 2016

Table 9(d): Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB)
approach by risk grade
Mar 160.00%<0.11%$M

0.11%<0.30%$M

0.30%<0.51%
$M

0.51%
3.49%
10.09%<3.49% <10.09% <100.0%
$M
$M
$M

Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail70,457
11,546
1,131

146,431516
5,254

28,9592,072
2,192

73,2155,020
22,733

10,541
2,188
6,650

5,620
905
2,144

2,091 337,314
170
22,417839
40,943

Total

83,134

152,201

33,223 100,968

19,3798,669

3,100 400,674% of Total

20.7%

38.0%

8.3%

25.2%

4.8%

2.2%

0.8%

100.0%

Undrawn commitments (included in above)
Residential Mortgage
6,466
17,366
Qualifying Revolving Retail
9,035
515
Other Retail
600
2,130

960
1,372
1,270

7,416
2,330
3,317

188
889
548

180
115
79

1
30
6

32,577
14,286
7,950

Total

Default
$M

Total
$M

16,101

20,011

3,602

13,063

1,625

374

37

54,813

0.239
0.011
0.008

0.216
0.006
0.016

0.197
0.010
0.011

0.241
0.010
0.023

0.278
0.009
0.010

0.274
0.008
0.011

0.233
0.009
0.019

0.226
0.010
0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage
19.8%
19.2%
19.1%
Qualifying Revolving Retail
73.2%
73.2%
73.2%
Other Retail
53.6%
46.8%
73.9%

22.1%
73.2%
46.5%

20.4%
73.2%
64.0%

20.0%
73.2%
60.0%

20.4%
73.2%
53.1%

20.0%
73.2%
51.9%

Exposure-weighted average risk weight (%)
Residential Mortgage
5.2%
6.6%
Qualifying Revolving Retail
4.9%
11.5%
Other Retail
31.0%
36.7%

29.2%
38.8%
61.2%

75.2%
111.5%
112.3%

107.9%
206.5%
177.9%

223.4%
337.8%
236.8%

17.0%
34.5%
74.9%

Average Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail

13.6%
14.2%
55.1%

38

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 150.00%<0.11%$M

0.11%<0.30%$M

0.30%<0.51%
$M

0.51%
3.49%
10.09%<3.49% <10.09% <100.0%
$M
$M
$M

Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail

69,637
11,4091,393

139,008
435
5,433

27,253
2,007
2,157

70,065
5,110
25,773

10,126
2,103
8,843

5,085
863
1,809

2,000 323,174
161
22,088943
46,351

Total

82,439144,876

31,417 100,948

21,072

7,757

3,104 391,613% of Total

21.1%

37.0%

8.0%

25.8%

5.4%

2.0%

0.8%

100.0%

Undrawn commitments (included in above)
Residential Mortgage
6,249
16,935
Qualifying Revolving Retail
8,915
434
Other Retail
681
2,014

968
1,328
1,252

7,577
2,305
3,340

182
781
464

176
113
68

2
28
6

32,08913,904
7,825

Total

Default
$M

Total
$M

15,845

19,383

3,548

13,222

1,427

357

36

53,818

0.234
0.011
0.010

0.210
0.006
0.017

0.192
0.010
0.011

0.237
0.009
0.022

0.276
0.009
0.011

0.268
0.008
0.010

0.218
0.009
0.019

0.221
0.010
0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage
19.8%
19.2%
19.1%
Qualifying Revolving Retail
73.2%
73.2%
73.2%
Other Retail
44.9%
44.3%
73.1%

22.3%
73.2%
45.5%

20.5%
73.2%
59.3%

20.0%
73.2%
60.1%

20.8%
73.2%
49.9%

20.1%
73.2%
50.0%

Exposure-weighted average risk weight (%)
Residential Mortgage
5.3%
6.7%
Qualifying Revolving Retail
4.9%
11.6%
Other Retail
26.4%
34.8%

29.5%
39.2%
60.0%

75.1%
110.5%
100.8%

108.4%
207.5%
182.2%

224.7%
327.8%
201.2%

17.0%
34.4%
71.2%

Default
$M

Total
$M

Average Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail

13.7%
13.8%
54.2%

Mar 150.00%<0.11%$M

0.11%<0.30%$M

0.30%<0.51%
$M

0.51%
3.49%
10.09%<3.49% <10.09% <100.0%
$M
$M
$M

Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail

70,542
11,255
1,346

130,842377
5,726

26,118
1,944
4,126

67,347
4,910
24,632

9,142
2,317
7,709

4,927
968
1,751

1,881 310,799
163
21,934830
46,120

Total

83,143

136,945

32,18896,88919,1687,646

2,874 378,853% of Total

21.9%

36.1%

8.5%

25.6%

5.1%

2.0%

0.8%

100.0%

Undrawn commitments (included in above)
Residential Mortgage
8,584
16,724
Qualifying Revolving Retail
8,781
376
Other Retail
616
2,161

962
1,267
1,757

4,958
2,212
3,155

158
756
274

172
121
58

2
26
10

31,56013,539
8,031

Total

17,981

19,261

3,986

10,325

1,188

351

38

53,130

0.235
0.011
0.018

0.205
0.006
0.017

0.189
0.010
0.017

0.227
0.009
0.019

0.258
0.009
0.010

0.264
0.008
0.010

0.210
0.009
0.015

0.216
0.010
0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage
19.8%
19.2%
18.9%
Qualifying Revolving Retail
73.2%
73.2%
73.2%
Other Retail
41.5%
44.8%
55.7%

22.6%
73.2%
47.4%

20.7%
73.2%
57.0%

20.0%
73.2%
60.6%

21.3%
73.2%
50.9%

20.1%
73.2%
50.0%

Exposure-weighted average risk weight (%)
Residential Mortgage
5.8%
6.7%
Qualifying Revolving Retail
4.8%
11.2%
Other Retail
27.4%
34.6%

30.5%
38.4%
62.8%

76.6%
107.7%
93.9%

108.4%
206.0%
175.9%

225.8%
338.2%
212.3%

17.2%
35.7%
68.7%

Average Exposure at Default
Residential Mortgage
Qualifying Revolving Retail
Other Retail

13.5%
13.9%
42.4%

39

ANZ Basel III Pillar 3 disclosure

March 2016

Table 9(e): Actual Losses by portfolio type
Half year Mar 16
Individual provision charge$M

Write-offs$M

Corporate

438

144

Sovereign

2

-

Bank

-

-

10

16

Qualifying Revolving Retail

96

130

Other Retail

258

250

Total Advanced IRB

804

540

Basel Asset Class

Residential Mortgage

Specialised Lending

6

6Standardised approach

82

110

892

656

Total

Half year Sep 15
Individual provision charge$M

Write-offs$M

Corporate

204

197

Sovereign(2)-

Basel Asset Class

Bank

-

-

Residential Mortgage

917

Qualifying Revolving Retail

102

145

Other Retail

279

272

Total Advanced IRB

592

631

Specialised Lending

(15)

61

Standardised approach
Total

78

123

655

815

Half year Mar 15
Individual provision charge$M

Write-offs$M

Corporate

144

142

Sovereign

1

-

Bank

-

-

Residential Mortgage

4

21

Qualifying Revolving Retail

89

129

Other Retail

190

206

Total Advanced IRB

428

498

Specialised Lending

16

21

Standardised approach

11

90

455

609

Basel Asset Class

Total

40

ANZ Basel III Pillar 3 disclosure

March 2016

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

Average
Estimated PD%

Average
Actual PD%

Mar 16
Averageestimated toactual EAD
ratio

Corporate

1.56

0.97

1.11

41.01

Sovereign

0.37

nil

n/a

n/a

n/a

Bank

0.58

0.05

0.93

46.00

58.30

Specialised Lending

n/a

1.98

1.11

n/a

23.04

Residential Mortgage

0.74

0.78

1.01

21.00

2.90

Qualifying Revolving Retail

2.70

2.01

1.05

73.20

72.60

Other Retail

3.78

3.73

1.05

50.10

41.70

Portfolio Type

Average
Estimated
LGD%

Average
Actual LGD%
30.97

APS 330 Table 9f compares internal credit risk estimates used in calculating regulatory capital withrealised outcomes by 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 was no Sovereign defaults observed in ANZ Sovereign exposures for the observation
period.
The estimated PD is based on the average of the internally estimated long-run PD’s for obligors thatare not in default at the beginning of each financial year over the period of observation being 2009 to
2016. The actual PD is based on the number of defaulted obligors up to February 2016 compared tothe total number of obligors measured.
The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted
obligors over the 6.5 years of observation being 2009 to February 2016. 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 2014. The actual LGD is based on the averagerealised losses over the period for the accounts observed at the beginning and defaulted during theobservation period. For non-retail portfolios, the estimated and actual LGDs are based on accounts
that defaulted up to March 2014. Defaults occurring after March 2014 have been excluded from theanalysis 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.
For retail portfolios, the estimated and actual LGDs are based on accounts that defaulted in 2011 to2015 financial years. For the retail portfolios, defaults with non-finalised workout have been excluded
from the analysis.
In assessing the accuracy of the credit risk estimates, it should be noted that the period of analysis
does not cover a full economic cycle.

41

ANZ Basel III Pillar 3 disclosure

Table 10

March 2016

Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral 27

Exposure$M

Mar 16
Eligible Financial Other Eligible
CollateralCollateral$M$M% Coverage

Standardised approach
Corporate

27,012

826

-

3.1%

Residential Mortgage

7,183

29

-

0.4%

Other Retail

3,570

-

-

0.0%

37,765

855

-

2.3%

Sep 15
Eligible Financial Other Eligible
CollateralCollateral$M$M% Coverage

Total

Exposure$M
Standardised approach
Corporate

30,365

496

-

1.6%

Residential Mortgage

7,829

36

-

0.5%

Other Retail

3,636

-

-

0.0%

41,830

532

-

1.3%

Mar 15
Eligible Financial Other Eligible
CollateralCollateral$M$M% Coverage

Total

Exposure$M
Standardised approach
Corporate

30,201

461

-

1.5%

Residential Mortgage

7,289

41

-

0.6%

Other Retail

3,283

-

-

0.0%

40,773

502

-

1.2%

Total

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

42

ANZ Basel III Pillar 3 disclosure

March 2016

Table 10(c): Credit risk mitigation – guarantees and credit derivatives
Mar 16

Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
CreditDerivatives$M% Coverage

Corporate (incl. Specialised Lending)

304,179

13,998480

4.8%

Sovereign

129,618

337

-

0.3%

Bank

112,470

11,220-

10.0%

Residential Mortgage

337,314

-

-

0.0%

Qualifying Revolving Retail

22,417--0.0%

Other Retail

40,943--0.0%

946,941

25,555480

2.7%

Corporate

27,012--0.0%

Residential Mortgage

7,183

-

-

0.0%

Other Retail

3,570

-

-

0.0%

Total

37,765--0.0%

Qualifying Central Counterparties

43,003--0.0%

Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
CreditDerivatives$M% Coverage

Corporate (incl. Specialised Lending)

314,270

13,851345

4.5%

Sovereign

127,349

337

-

0.3%

Bank

115,898

13,260-11.4%

Residential Mortgage

323,174

-

-

0.0%

Qualifying Revolving Retail

22,088--0.0%

Other Retail46,351--

0.0%

949,130

27,448345

2.9%Corporate

30,365--0.0%

Residential Mortgage

7,829

-

-

0.0%

Other Retail

3,636

-

-

0.0%

Total

41,830--0.0%

Qualifying Central Counterparties

33,255--0.0%

Advanced IRB

Total
Standardised approach

Sep 15

Advanced IRB

Total
Standardised approach

43

ANZ Basel III Pillar 3 disclosure

March 2016

Mar 15

Exposure$M

Exposurescovered by
Guarantees$M

Exposurescovered by
CreditDerivatives$M% Coverage

Corporate (incl. Specialised Lending)309,092

15,211235

5.0%

Sovereign

112,983

470

-

0.4%

Bank

122,594

9,680

-

7.9%

Residential Mortgage

310,799

-

-

0.0%

Qualifying Revolving Retail

21,934--

0.0%

Other Retail46,120--0.0%

923,523

25,361235

2.8%

Corporate

30,201--

0.0%

Residential Mortgage

7,289

-

-

0.0%

Other Retail

3,283

-

-

0.0%

Total

40,773--0.0%

Qualifying Central Counterparties

26,287--0.0%

Advanced IRB

Total
Standardised approach

44

ANZ Basel III Pillar 3 disclosure

March 2016

Table 11(b): Counterparty credit risk – net derivative credit exposure
Net derivative credit exposure
Mar 16$M
Gross positive fair value of contracts
Netting benefits

Sep 15$M

88,74785,625(70,991)(62,782)

Netted current credit exposure

17,756

22,843Collateral held

(5,473)(7,165)Net derivatives credit exposure

12,283

15,678Mar 16$M
32,172

Sep 15$M
35,221Counterparty credit risk exposure – by portfolio type
Portfolio Type
Corporate
Sovereign

4,436

5,433

Bank

64,18067,406

Qualifying Central Counterparties

41,761

32,733Specialised Lending

822

848

143,371

141,641

Product Type
Credit Default Swaps

Mar 16$M724

Sep 15$M
728

Interest Rate Swaps--

Currency Swaps

-

-

Other

-

-

724

728

Total exposures

Notional Value of Credit Derivative Hedges

Total exposures

Table 11(c): Counterparty credit risk exposure – credit derivative transactions
Mar 16
Protection
Bought$M

Protection
Sold
$M

Total
$M

Credit default swaps

19,921

19,36539,286

Total notional value

19,921

19,36539,286

724

724

1,448

-

-

-

724

724

1,448

20,64520,08940,734Credit derivative products used for own credit portfolio

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

Sep 15
Protection
Bought$M

Protection
Sold
$M

Total
$M

Credit default swaps

22,284

21,47443,758

Total notional value

22,284

21,47443,758

728

728

1,456

-

-

-

728

728

1,456

23,012

22,20245,214Credit derivative products used for own credit portfolio

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

45

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 5 – Securitisation
Banking Book
Table 12(g): Banking Book: Traditional and synthetic securitisation exposures

Mar 16
Traditional securitisations
ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage-

79,806-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

79,806-ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage

-

-

-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

Aggregate of traditional and synthetic securitisations
ANZ Originated$M
Underlying asset

ANZ Self Securitised$M

ANZ Sponsored$M

Underlying asset

Synthetic securitisations
Underlying asset

Residential mortgage-

79,806-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

79,806-46

ANZ Basel III Pillar 3 disclosure

March 2016

Sep 15
Traditional securitisations
ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage-

79,355-Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

79,355-ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage

-

-

-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

Aggregate of traditional and synthetic securitisations
ANZ Originated$M
Underlying asset

ANZ Self Securitised$M

ANZ Sponsored$M

Underlying asset

Synthetic securitisations
Underlying asset

Residential mortgage-

79,355-Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

79,355-

Mar 15
Traditional securitisations
ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage-

74,060-Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

74,060-ANZ Originated$M

ANZ Self Securitised$M

ANZ Sponsored$M

Residential mortgage

-

-

-

Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

-

-

Underlying asset

Synthetic securitisations
Underlying asset

Underlying asset

Aggregate of traditional and synthetic securitisations
ANZ Originated ANZ Self Securitised
ANZ Sponsored
$M
$M
$M

Residential mortgage-

74,060-Credit cards and other personal loans

-

-

-

Auto and equipment finance

-

-

-

Commercial loans

-

-

-

Other

-

-

-

Total

-

74,060-47

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(h): Banking Book: Impaired and Past due loans relating to ANZ originatedsecuritisations
Mar 16ANZ Originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

Losses recognised
for the six month
ended
$M

Residential mortgage-

79,806-

51-

Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

-

Other

-

-

-

-

-

Total

-

79,806-

51-

Underlying asset

Sep 15ANZ Originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

Losses recognised
for the six month
ended
$M

Residential mortgage-

79,355-36

1Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

-

Other

-

-

-

-

-

Total

-

79,355-36

1

Underlying asset

Mar 15ANZ Originated$M

ANZ Self
Securitised$M

Impaired$M

Past due$M

Losses recognised
for the six month
ended
$M

Residential mortgage-

74,060131-

Credit cards and other personal loans

-

-

-

-

-

Auto and equipment finance

-

-

-

-

-

Commercial loans

-

-

-

-

-

Other

-

-

-

-

-

Total

-

74,0601

31-

Underlying asset

48

ANZ Basel III Pillar 3 disclosure

March 2016

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.
Table 12(j): Banking Book: Securitisation - Summary of current period’s activity byunderlying asset type and facility28
Mar 16
Original value securitised
Recognised gainor loss
on sale$M

Residential mortgage-

ANZ Self
Securitised$M
451

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

451

-

-

Securitisation activity by underlying asset type

ANZ
Originated$M

ANZ Sponsored$M--

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities-

Funding facilities-

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

(186)

Other

49

Total

(137)

Sep 15
Original value securitised
ANZ
Originated$M

ANZ Self
Securitised$M

ANZ Sponsored$M

Recognised gainor loss
on sale$M

Residential mortgage

-

5,295

-

-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

5,295

-

-

Securitisation activity by underlying asset type

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities-

Funding facilities

329

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

240

Other

4

Total

573

28

Activity represents net movement in outstandings.

49

ANZ Basel III Pillar 3 disclosure

March 2016
Mar 15
Original value securitised
ANZ
Originated$M

ANZ Self
Securitised$M

ANZ Sponsored$M

Recognised gainor loss
on sale$M

Residential mortgage

-

692

-

-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

692

-

-

Securitisation activity by underlying asset type

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities-

Funding facilities

12

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

875

Other

30

Total

917

50

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(k): Banking Book: Securitisation - Regulatory credit exposures by exposure typeMar 16$M

Securitisation exposure type - On balance sheet

Sep 15$M

Mar 15$M

Liquidity facilities

5

5

6

Funding facilities

6,100

5,593

4,789

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

4,890

5,076

4,836

Holdings of securities (excluding trading book)Protection provided

-

-

-

Other

170

168

315

Total

11,165

10,842

9,946

Securitisation exposure type - Off balance sheet

Mar 16$M

Sep 15$M

Mar 15$M

Liquidity facilities

62

66

76

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities (excluding trading book)

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

62

66

76

Mar 16$M

Sep 15$M

Mar 15$M

Total Securitisation exposure type
Liquidity facilities

67

71

82

Funding facilities

6,100

5,593

4,789

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

4,890

5,076

4,836

Holdings of securities (excluding trading book)Protection provided

-

-

-

Other

170

168

315

Total

11,227

10,90810,02251

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(l) part (i): Banking Book: Securitisation - Regulatory credit exposures by risk
weight band

Securitisation
risk weights≤ 25%

Mar 15
Mar 16
Sep 15
Regulatory credit
Risk weighted Regulatory credit
Risk weighted Regulatory credit
Risk weighted
exposure
assetsexposure
assetsexposure
assets
$M
$M
$M
$M
$M
$M
11,1201,106

10,799

1,065

9,891

952

>25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

45

26

43

24

48

27

>75 ≤ 100%

62

62

66

66

76

77

>100 ≤ 650%

-

-

-

1

7

11

1250% (Deduction)

-

-

-

-

-

-

11,227

1,194

10,9081,156

10,022

1,067

Total

Resecuritisation
risk weights≤ 25%

Mar 15
Mar 16
Sep 15
Regulatory credit
Risk weighted Regulatory credit
Risk weighted Regulatory credit
Risk weighted
exposure
assetsexposure
assetsexposure
assets
$M
$M
$M
$M
$M
$M
-

>25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

-

-

-

-

-

-

>75 ≤ 100%

-

-

-

-

-

-

>100 ≤ 650%

-

-

-

-

-

-

1250% (Deduction)

-

-

-

-

-

-

Total

-

-

-

-

-

-

Total Securitisation
risk weights≤ 25%

Mar 15
Mar 16
Sep 15
Regulatory credit
Risk weighted Regulatory credit
Risk weighted Regulatory credit
Risk weighted
exposure
assetsexposure
assetsexposure
assets
$M
$M
$M
$M
$M
$M
11,1201,106

10,799

1,065

9,891

952

>25 ≤ 35%

-

-

-

-

-

-

>35 ≤ 50%

-

-

-

-

-

-

>50 ≤ 75%

45

26

43

24

48

27

>75 ≤ 100%

62

62

66

66

76

77

>100 ≤ 650%

-

-

-

1

7

11

1250% (Deduction)

-

-

-

-

-

-

11,227

1,194

10,9081,156

10,022

1,067

Total

52

ANZ Basel III Pillar 3 disclosure

March 2016

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

53

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(n): Banking Book: Resecuritisation - Aggregate amount of resecuritisation
exposures retained or purchased

Exposuressubject to CRM$M

Resecuritisation exposures retained or purchased

Mar 16
Exposures not
subject to CRM
$M

Total
$M

Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other

-

-

-

Total

-

-

-

Total
$M
-

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

Exposures to
Guarantors$M-

Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other

-

Sep 15
Exposures not
subject to CRM
$M
-

Total

-

-

Exposuressubject to CRM$M

Resecuritisation exposures retained or purchased

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

Exposures to
Guarantors$M-

Resecuritisation exposures retained or purchased
Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other
Total

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

Exposuressubject to CRM$M-

Mar 15
Exposures not
subject to CRM
$M
-

Total
$M
-

-

-

-

Exposures to
Guarantors
$M
-

54

ANZ Basel III Pillar 3 disclosure

March 2016

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 byunderlying asset type and 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.

55

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(s): Trading Book: Securitisation – Regulatory credit exposures by exposure typeMar 16$M

Sep 15$M

Mar 15$M

Liquidity facilities

-

-

-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

-

-

-

Mar 16$M

Sep 15$M

Mar 15$M

Liquidity facilities

-

-

-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

-

-

-

Mar 16$M

Sep 15$M

Mar 15$M

Liquidity facilities

-

-

-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

-

-

-

Securitisation exposure type - On balance sheet

Securitisation exposure type - Off balance sheet

Total Securitisation exposure type56

ANZ Basel III Pillar 3 disclosure

March 2016

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 APS120 and the associated Capital requirements
ANZ does not have any aggregate Securitisation exposures subject to APS120 and the associatedCapital requirements.
Table 12(u)(iii): Trading Book:
deducted from Capital

Securitisation - Aggregate securitisation exposures

ANZ has approximately AUD34,000 of securitisation exposures deducted from capital as a result of ongoing due diligence being discontinued in respect of these very small holdings, i.e. AUD540,000
original notional / AUD34,000 paid down notional.
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.

57

ANZ Basel III Pillar 3 disclosure

March 2016

Table 12(w):Trading Book: Resecuritisation - Aggregate amount of resecuritisation
exposures retained or purchased

Exposuressubject to CRM$M

Mar 16
Exposures not
subject to CRM
$M

Total
$M

Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other

-

-

-

Total

-

-

-

Exposuressubject to CRM$M

Sep 15
Exposures not
subject to CRM
$M

Total
$M

-

-

-

Resecuritisation exposures retained or purchased

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

Exposures to
Guarantors$M-

Resecuritisation exposures retained or purchased
Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other
Total

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

Resecuritisation exposures retained or purchased
Residential mortgage
Credit cards and other personal loans
Auto and equipment financeCommercial loans
Other
Total

Resecuritisation exposures by credit worthiness of guarantors
Credit Rating Level 1
Credit Rating Level 2
Credit Rating Level 3
Credit Rating Level 4
Credit Rating Level 5 or below
No Guarantor
Total

58

Exposures to
Guarantors$M-

Exposuressubject to CRM$M

Mar 15
Exposures not
subject to CRM
$M

Total
$M

-

-

-

Exposures to
Guarantors$M-

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 6 – Market risk
Table 13

Market risk – Standard approach

Table 13(b): Market risk – Standard approach 29

Mar 16$M

Sep 15$M

Mar 15$M

Interest rate risk

93

118

132

Equity position risk

1

1

-

Foreign exchange risk

-

-

-

Commodity risk

1

2

1

95

121

133

1,188

1,513

1,663

Total
Risk Weighted Assets equivalent

29

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

59

ANZ Basel III Pillar 3 disclosure
Table 14

March 2016

Market risk – Internal models approach

Table 14(e): Value at Risk (VaR) and stressed VaR over the reporting period30

Six months ended 31 Mar 16
Mean$M

Maximum$M

Minimum$M

Period end$MForeign Exchange

5.6

11.4

2.6

5.9

Interest Rate

11.3

20.1

6.9

9.0

Credit

3.0

4.6

2.4

2.7

Commodity

1.7

2.5

1.0

1.2

Equity

0.2

2.0

0.1

0.1

99% 1 Day Value at Risk (VaR)

Six months ended 30 Sep 15
Mean$M

Maximum$M

Minimum$M

Foreign Exchange

6.7

14.2

2.8

5.0

Interest Rate

8.3

12.9

5.5

10.1

Credit

3.8

5.4

2.9

3.5

Commodity

2.4

3.6

1.5

1.6

Equity

0.9

4.5

0.1

2.5

99% 1 Day Value at Risk (VaR)

Period end$M

Six months ended 31 Mar 15
Mean$M

Maximum$M

Minimum$M

Period end$MForeign Exchange

9.0

18.2

3.3

4.6

Interest Rate

10.3

20.2

4.8

6.5

Credit

3.9

4.9

2.9

3.3

Commodity

2.3

3.5

1.3

2.2

Equity

1.3

6.3

0.4

0.6

Six months ended 31 Mar 16
Maximum
Minimum$M$M

Period end$M

99% 1 Day Value at Risk (VaR)

Mean
$M

99% 10 Day Stressed VaR
Foreign Exchange

29.5

59.5

11.0

33.3

Interest Rate

55.1

79.1

26.1

36.3

Credit

21.4

34.5

14.0

20.3

Commodity

11.4

20.6

5.8

6.7

Equity

1.5

3.1

0.6

1.6

Six months ended 30 Sep 15
Maximum
Minimum$M$M

Period end
$M

Mean
$M

99% 10 Day Stressed VaR
Foreign Exchange

36.1

71.6

13.3

25.5

Interest Rate

67.3

161.7

38.5

45.2

Credit

26.5

40.4

19.2

23.6

Commodity

10.7

19.6

5.3

11.6

Equity

1.3

5.0

0.5

2.9

Six months ended 31 Mar 15
Maximum
Minimum$M$M

Period end
$M

Mean
$M

99% 10 Day Stressed VaR
Foreign Exchange

67.7

138.7

30.9

53.7

Interest Rate

62.9

170.3

18.5

63.5

Credit

26.0

39.9

18.8

23.6

Commodity

14.3

22.2

9.7

9.8

Equity

1.2

7.3

0.3

0.7

30

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

60

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 7 – Equities
Table 16

Equities – Disclosures for banking book positions

Table 16(b) and 16(c): Equities – Types and nature of Banking Book investments
Mar 16$M

Equity investments
Balance sheet value

Fair value

Value of listed (publicly traded) equities

3,081

2,646

Value of unlisted (privately held) equities

2,080

2,080

Total

5,161

4,726
Sep 15$M

Equity investments
Balance sheet value

Fair value

Value of listed (publicly traded) equities

2,328

1,853

Value of unlisted (privately held) equities

3,157

3,157

Total

5,485

5,010

Mar 15$M

Equity investments
Balance sheet value

Fair value

Value of listed (publicly traded) equities

2,415

2,941

Value of unlisted (privately held) equities

2,940

2,940

Total

5,355

5,881

Half Year
Mar 16$M

Half Year
Sep 15$M

Half Year
Mar 15$M

Cumulative realised gains (losses) from disposals
and liquidations in the reporting period

-

-

-

Cumulative realised losses from impairment andwritedowns in the reporting period

(260)

-

-

Total

(260)

-

-

Half Year
Mar 16

Half Year
Sep 15

Half Year
Mar 15

Unrealised gains (losses) on equity investments

$M

$M

$M

Total unrealised gains (losses)
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

6

-

2

-

-

-

6

-

2

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

Realised gains (losses) on equity investments

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

61ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 8 – Interest Rate Risk in the Banking Book
Table 17

Interest Rate Risk in the Banking Book

Table 17(b): Interest Rate Risk in the Banking Book
Change in Economic Value
Mar 16

Sep 15

Mar 15$M$M$M

200 basis point parallel increase

(200)

(17)

(393)

200 basis point parallel decrease

215

34

455

Standard Shock Scenario Stress Testing:Interest rate shock applied
AUD

NZD
200 basis point parallel increase

(82)

17

(15)

200 basis point parallel decrease

76

(23)

11

200 basis point parallel increase

(81)

(112)

(53)

200 basis point parallel decrease

92

123

57

200 basis point parallel increase

16

-

6

200 basis point parallel decrease

(16)

-

(6)

200 basis point parallel increase

(80)

(74)

(43)

200 basis point parallel decrease

87

80

50

USD

GBP

Other

IRRBB regulatory capital
IRRBB regulatory RWA

822

595

615

10,280

7,433

7,690

IRRBB stress testing methodology
Stress tests within ANZ include standard and extraordinary tests. These tests are used to highlightpotential 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 hypothetical scenarios at high statistical confidence levels, with the single
worst scenario identified and reported. Extraordinary stress tests include interest rate moves from
historical periods of stress as well as stresses to assumptions made about the repricing term of
exposures. The rate move scenarios include daily changes over the stressed periods and the worst
theoretical losses over the selected periods are each reported. Stresses of the repricing term
assumptions investigate scenarios where actual repricing terms are vastly different to those modelled.

62

ANZ Basel III Pillar 3 disclosure

March 2016

Chapter 9 – Leverage and Liquidity Coverage Ratio
Leverage Ratio
The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS)
Basel III capital framework. It is a simple, non-risk based supplement or backstop to the current risk
based capital requirements and is intended to restrict the build-up of excessive leverage in thebanking 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. APRA has not finalised a minimum
Leverage Ratio requirement for Australian ADIs, although the current BCBS proposal is for a minimumof 3%. Currently the Leverage Ratio is only a disclosure requirement. APRA intends to consult on theappropriate application of the Leverage Ratio as a minimum requirement for Australian ADIs once
BCBS finalises its calibration for implementation as a Pillar 1 requirement by January 2018
At 31 March 2016, the Group’s Leverage Ratio of 5.1% was above the 3% minimum currently
proposed by the BCBS. Table 18 below shows the Group’s Leverage Ratio calculation as at 31 March
2016 and Table 19 summarises the reconciliation of accounting assets and leverage ratio exposure
measure at 31 March 2016.

Table 18

Leverage Ratio
Mar 16$M

Sep 15$M

On-balance sheet exposures1

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

751,367

751,843

2(Asset amounts deducted in determining Basel III Tier 1 capital)(17,432)(18,087)3

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

733,935

733,756

Derivative exposures
4

Replacement cost associated with all derivatives transactions (i.e. net of eligible cash
variation margin)

12,19916,0785Add-on amounts for PFE associated with all derivatives transactions

26,57827,960--(9,821)(8,121)

6
7

Gross-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)

8(Exempted CCP leg of client-cleared trade exposures)

9

Adjusted effective notional amount of written credit derivatives--

20,01922,11510(Adjusted effective notional offsets and add-on deductions for written credit derivatives)(18,433)(19,917)

11

Total derivative exposures

30,542

38,11520,92817,319Securities financing transaction exposures
12

Gross SFT assets (with no recognition of netting), after adjusting for sale accounting
transactions

13(Netted amounts of cash payables and cash receivables of gross SFT assets)

(387)

(763)

14

CCR exposure for SFT assets

879

741

15

Agent transaction exposures

-

-

16

Total securities financing transaction exposures

21,42017,297

257,836

271,129

Other off-balance sheet exposures
17

Off-balance sheet exposure at gross notional amount

18(Adjustments for conversion to credit equivalent amounts)(154,883)(163,312)

19

Off-balance sheet items

102,953

107,81745,06245,484

888,850

896,985

5.1%

5.1%

Capital and Total Exposures
20

Tier 1 capital

21

Total exposures

Leverage ratio
22

Basel III leverage ratio

63

ANZ Basel III Pillar 3 disclosure

March 2016

Leverage ratio
ANZ’s leverage ratio remained stable in the March 2016 half. Increase in the ratio arising from capital
generation from cash earnings were offset by impact from payment of the 2015 Final Dividend (net of
DRP) and increased holdings of High Quality Liquid Assets (HQLA) which contributed to growth in the
exposure measure.

Table 19
Summary comparison of accounting assets vs. leverage ratio
exposure measure

1
2
3

Total consolidated assets as per published financial statements
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
measureMar-16$M

Sep-15$M

895,278

889,900(34,236)(35,113)--(58,205)(47,510)

492

(22)

4

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)

102,953

107,817

7

Other adjustments(17,432)(18,087)

8

Leverage ratio exposure

888,850

896,98564

ANZ Basel III Pillar 3 disclosure
Table 20

March 2016

Liquidity Coverage Ratio disclosure template
Mar 16
Total
Total
Unweighted
Weighted
Value
Value
$M
$M

Dec 15
Total
Total
Unweighted
Weighted
Value
Value
$M
$M

Sep 15
Total
Total
Unweighted
Weighted
Value
Value
$M
$M

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

125,727-

115,182-

107,769

Alternative liquid assets (ALA)
Reserve Bank of New Zealand (RBNZ)
3
securities
Cash outflows-

45,300-49,000-54,000

-

9,987

-

6,097

-

11,627

207,897

23,715

205,344

23,965

197,388

23,012

2

4
5
6
7
8
9
10

Retail deposits and deposits from small
business customersof which: stable depositsof which: less stable deposits
Unsecured wholesale fundingof which: operational deposits (allcounterparties) and deposits in
networks for cooperative banksof which: non-operational deposits(all counterparties)of which: unsecured debt

74,413

3,721

73,016

3,651

70,393

3,520

133,484

19,994132,328

20,314

126,995

19,492

190,478

113,890

186,041

111,551

182,225

108,264

48,97912,156

48,72312,08448,026

11,918125,679

85,914

122,970

85,119120,049

82,196

15,82015,82014,34814,34814,15014,150

266

-

5,993

1,213

11

Secured wholesale funding

12

149,890

41,456

146,560

36,105140,876

35,94027,664

27,66422,421

22,421

23,04923,049

-

-

-

-

-

-

122,226

13,792

124,139

13,684

117,827

12,89116

Additional requirementsof which: outflows related toderivatives exposures and othercollateral requirementsof which: outflows related to loss offunding on debt productsof which: credit and liquidity
facilities
Other contractual funding obligations

11,606-

14,117-

13,597-

17

Other contingent funding obligations

111,944

4,867

110,001

4,881

115,501

5,785

18

Total cash outflows

13
14
15

185,141

176,768

178,994

Cash inflows
19

15,166

1,379

10,820

-

9,270

15

36,79725,191

40,274

26,15740,293

26,696

21

Secured lending (e.g. reverse repos)
Inflows from fully performing
exposures
Other cash inflows

15,865

15,865

15,607

15,607

16,155

16,15522

Total cash inflows

67,82842,43566,701

41,76465,71842,86623

Total liquid assets-

181,014-170,279-

173,396

24

Total net cash outflows-

142,706-

135,004-

136,128

25

Liquidity Coverage Ratio (%)

20

Number of data points used (simple
average)126.8%

126.1%

127.4%

64

66

66

Liquidity Coverage Ratio (LCR)
ANZ’s average LCR for the 6 months to 31 March 2016 was 126% with total liquid assets exceeding
net outflows by an average of $36.8bn.
The main contributors to net outflows were modelled outflows associated with the bank’s corporate
and retail deposit portfolios, offset by inflows from maturing loans. While cash outflows associatedwith derivatives are material, these are effectively offset by derivative cash inflows.
The composition of the liquid asset portfolio has remained relatively stable through the half, withHQLA securities and cash making up on average 69% of total liquid assets.
Through the period the Liquidity Coverage Ratio has remained within a range of 117% to 137%. 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 ongoing compliance across the network.

65

ANZ Basel III Pillar 3 disclosure

March 2016

Glossary
ADI

Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capital charge

CVA charge is an additional capital requirement under Basel III
for bilateral derivative exposures.
Derivatives not cleared
through a central exchange/counterparty are subject to thisadditional capital charge and also receive normal CRWA
treatment under Basel II principles.

Collective provision (CP)Collective provision is the provision for credit losses that are
inherent in the portfolio but not able to be individually
identified. A collective provision may only be recognised when aloss event has already occurred. Losses expected as a result of
future events, no matter how likely, are not recognised.

Credit exposure

The aggregate of all claims, commitments and contingent
liabilities arising from on- and off-balance sheet transactions (inthe banking book and trading book) with the counterparty orgroup of related counterparties.

Credit risk

The risk of financial loss resulting from the failure of ANZ’scustomers and counterparties to honour or perform fully theterms of a loan or contract.

Credit Valuation Adjustment (CVA)

Over the life of a derivative instrument, ANZ uses a CVA modelto adjust fair value to take into account the impact ofcounterparty credit quality. The methodology calculates thepresent value of expected losses over the life of the 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 date that the arrears or excess occurs and accruing foreach completed calendar day thereafter.

Exposure at Default (EAD)

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

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

Impaired loans (IL)Impaired loans comprise of drawn facilities
customer’s status is defined as impaired.

Individual provision charge (IPC)

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

Individual provisions (IP)Individual provisions are assessed on a case-by-case basis for
all individually managed impaired assets taking into
consideration factors such as the realisable value of security (orother credit mitigants), the likely return available uponliquidation or bankruptcy, legal uncertainties, estimated costs
involved in recovery, the market price of the exposure insecondary markets and the amount and timing of expected
receipts and recoveries.

Internationally Comparable Basel
III Capital

The Internationally Comparable Basel 3 CET1 ratio incorporates
differences between APRA and both the Basel Committee BaselIII framework (including differences identified in the March2014 Basel Committee Regulatory Consistency Assessment
Programme (RCAP) on Basel III implementation in Australia)
and its application in major offshore jurisdictions.
66

where

the

ANZ Basel III Pillar 3 disclosure

March 2016

Market risk

The risk to ANZ’s earnings arising from changes in interest
rates, currency exchange rates and credit spreads, or fromfluctuations in bond, commodity or equity prices. ANZ has
grouped market risk into two broad categories to facilitate themeasurement, reporting and control of market risk:
Traded market risk - the risk of loss from changes in the valueof financial instruments due to movements in price factors forphysical and derivative trading positions. Trading positions arise
from transactions where ANZ acts as principal with clients orwith the market.
Non-traded market risk (or balance sheet risk) - comprises
interest rate risk in the banking book and the risk to the AUD
denominated value of ANZ’s capital and earnings due to foreignexchange rate movements.

Operational risk

The risk of loss resulting from inadequate or failed internal
controls or from external events, including legal risk but
excluding reputation risk.

Past due facilities

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

Qualifying Central Counterparties(QCCP)QCCP is a central counterparty which is an entity thatinterposes itself between counterparties to derivative contracts.
Trades with QCCP attract a more favorable risk weightcalculation.

Recoveries

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

Restructured items

Restructured items comprise facilities in which the originalcontractual terms have been modified for reasons related to thefinancial difficulties of the customer. Restructuring may consistof reduction of interest, principal or other payments legally due,or an extension in maturity materially beyond those typicallyoffered 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 andwhat the likely losses would be in the case of default. In thecase of non asset backed risks (i.e. market and operationalrisk), 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 proceeds from 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.

67

ANZ Basel III Pillar 3 disclosureThis page has been intentionally left blankMarch 2016

ANZ Basel III Pillar 3 disclosure

Average Risk Weights (Credit RWA / EAD*)

March 2016