ANZ Basel II Pillar 3 disclosure

December 200909

BASEL IIPILLAR 3

IN ACCORDANCE WITH APS 330
QUARTER ENDED 31 DECEMBER 20091

ANZ Basel II Pillar 3 disclosure

December 2009

Important NoticeThis document has been prepared by Australia & New Zealand Banking Group Ltd (ANZ, or the Group)
to meet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) APS
330 Capital Adequacy: Public Disclosure of Prudential Information.
This disclosure was prepared as at 31 December 2009. ANZ has a continuous disclosure policy, underwhich ANZ will immediately notify the market of any material price sensitive information concerning
the Group, in accordance with legislative and regulatory disclosure requirements.

2ANZ Basel II Pillar 3 disclosure

Table 16

December 2009

Capital adequacy: Risk Weighted Assets and Capital ratios

Risk Weighted Assets
December
2009$M

September
2009
$M

March
2009
$M

Corporate

112,301

116,153

136,559

Sovereign

2,142

1,408

1,402

Bank

5,722

5,592

10,374

Residential Mortgage

36,78936,72535,932

Qualifying Revolving Retail6,894

6,852

8,900

Other Retail

17,462

17,10814,905Credit risk weighted assets subject to Advanced IRB approach

181,310

183,838

208,072

Credit risk weighted assets for Specialised Lending subject to slotting

25,22524,27225,362

Corporate

14,113

13,531

15,594

Sovereign---

13

1321

Subject to Advanced Internal Ratings-Based (Advanced IRB) approach

Subject to Standardised approachBank
Residential Mortgage
Credit risk weighted assets subject to Standardised approach

431

411

467

14,557

13,95516,082
3,364

Credit risk weighted assets relating to Securitisation exposures

3,507

2,658

Credit risk weighted assets relating to Equity exposures

1,694

1,914

1,707

Other assets

3,410

3,174

3,183

229,703229,811257,770

Total credit risk weighted assets
Market risk weighted assets

3,712

3,553

5,632

Operational risk weighted assets

16,166

16,24017,480Interest rate risk in the banking book weighted assets

4,379

2,465

-

253,960

252,069

280,882

Level 2 Total capital ratio

13.4%

13.7%

11.0%

Level 2 Tier 1 capital ratio

10.5%

10.6%

8.2%

TOTAL RISK WEIGHTED ASSETS

Capital ratios (%)

Risk Weighted Assets (RWA)
Total RWA increased by $1.9 billion (0.8%) in the December quarter, mainly due to an increase inInterest Rate Risk in the Banking Book (IRRBB) of $1.9 billion - as described below.

Credit Risk Weighted Assets
Credit RWA remained relatively flat over the December quarter, decreasing by $0.1 billion. There wassome changes in volume mix which was largely offset by a small amount of credit deterioration overthe period.
Corporate RWA decreased by $3.9 billion (3.3%) due to declining exposures (3.3%), exchange rate
impacts and reclassification of certain exposures into Specialised Lending. Specialised Lending RWA
increased by $1.0 billion (3.9%) due to reclassification of certain exposures from the Corporate asset
class. Securitisation RWA increased by $0.9 billion due to the re-rating of some exposures by externalrating agencies.

Market Risk, Operating Risk and IRRBB Risk Weighted Assets
Market Risk and Operating Risk RWA remained relatively stable over the quarter. The increase of $1.9billion in IRRBB was due to a reduction in embedded gains over the quarter following realisation ofprior gains and an increase in global term yields.

3ANZ Basel II Pillar 3 disclosure

Table 17

December 2009

Credit risk exposures 1 2 3 4 5

Table 17(a) part (i): Period end and average regulatory credit exposure by measurement
approach

December 2009$M

September 2009$M

March 2009
$M

Average for thequarter ended
31 December 2009
$M

Corporate

159,381

162,875

192,464

161,128

Sovereign

36,75528,61821,55332,687

Bank

29,22329,444

48,84729,334

Residential Mortgage

204,767

201,581

195,432

203,174

Qualifying Revolving Retail20,04019,82023,604

19,930

Other Retail

28,51528,651

27,07328,583

Total Advanced IRB

478,681

470,989

508,973474,835

Specialised Lending (subject to slotting criteria)

26,951

25,192

25,40926,072

Corporate

14,113

13,531

15,594

13,822

Sovereign----

16

15

29

16

Advanced IRB

Standardised

Bank
Residential Mortgage

1,185

1,150

1,325

1,168

Total Standardised

15,314

14,696

16,94815,005

520,946

510,877

551,330

515,912

Total Exposure

Table 17(a) part (ii): Period end and average regulatory credit exposure by facility type

December 2009$M

September 2009$M

March 2009
$MAverage for thequarter ended
31 December 2009
$M

Acceptances

17,274

17,85019,161

17,562

Cash and liquid assets

16,92918,402

19,03917,666

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

104,640

103,557

119,835

104,099

Credit Exposure by Facility Type

Creditors & Other Liabilities
Derivatives

42378

130

210

13,843

13,912

29,653

13,878Due from other financial Institutions

7,508

3,207

3,776

5,358

Investment Securities

17,434

14,75814,127

16,096Loans & Advances

327,391

326,272333,093

326,832

Other assets

627432

1,581

530

Total deposits & other borrowings

240

240

199

240

Trading Securities

15,018

11,86910,736

13,444

Total Exposure

520,946

510,877

551,330

515,9121

In accordance with APS 330, regulatory credit exposure in Table 17(a) does not include Equities, Other Assets orSecuritisation exposures.

2

Table 17(a) part (i) has been reformatted to split out the Specialised Lending previously disclosed within Corporate.

3

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

4Standardised exposures to all private sector counterparties other than Banks and Residential Mortgages have beenclassified in the Corporate category as they do not meet the requirement for other Advanced IRB asset classes. The
main types of Standardised exposures are business lending and other personal lending.
5

The period averages are calculated as the simple average of the last two quarters closing balances.

4

ANZ Basel II Pillar 3 disclosure

December 2009

Table 17(b): Impaired assets, Past due loans, Provisions and Write-offs by Industry sector 6 7 8 9Impaired
Derivatives$M

Past dueloans ≥ 90days
$M

ImpairedLoans / Facilities$M

Individual
provisionbalance$M

Charges forindividual
provision$M

Write-offs$M

December
2009

September
2009

March
2009

December
2009

September
2009

March
2009

December
2009

September
2009

March
2009

December
2009

September
2009

March
2009

3 months
endingDec-096 months
endingSep-096 months
endingMar-093 months
endingDec-096 months
endingSep-096 months
endingMar-09Corporate69127

2544,664

4,499

3,238

480

511

432

975

1,018

987

295

731

1,035

334

671

429

Sovereign-----------------

-

Bank-

-

-

47

98

7-

-

-

29

44

4(6)

41

4

8(3)

30

Residential Mortgage

-

-

-

469

425

279

770

805

879

204

169

86

53

114

48

16

32

14

Qualifying Revolving Retail-

--

-

-

-

71

70

77-

2

156

120

108

67

138

124

Portfolios subject to IRB approach

--

-

313

316

294

154

159

159

219

229

226

93

238

221

108

245

170

69

127

254

5,493

5,338

3,818

1,475

1,545

1,547

1,427

1,462

1,304

491

1,244

1,416

533

1,083

767

Corporate

--

-

86

110

81

57

43

39

58

57

36

20

53

33

1222

16

Sovereign------------------

Bank------------------

Residential Mortgage

-

-

-

23

20

5

129-

9

7

124-

-

1

-

Total Standardised approach

-

-

-

109

130

86

69

52

39

67

64

37

22

57

33

12

23

16

69

127

254

5,602

5,468

3,904

1,544

1,597

1,586

1,494

1,526

1,341

5131,301

1,449545

1,106783

Other retail
Total IRB approach

Portfolios subject to Standardised
approach

Total

6
Impaired derivatives include a credit valuation adjustment (CVA) of $62 million, being a market assessment of the credit risk of the relevant counterparties (September 2009: $64 million; March
2009: $70 million).
7
Impaired loans / facilities include restructured items of $662 million for customer facilities in which the original terms have been modified to provide for concessions of interest, or principal, orother payments due, or for an extension in maturity for a non-commercial period for reasons related to the financial difficulties of a customer (September 2009: $673 million; March 2009: $17million).
8

Past due loans ≥ 90 days includes $1,414 million well secured loans (September 2009: $1,462 million; March 2009: $1,440 million).

9

September and March 2009 comparatives restated to reflect reclassification of certain exposures between asset classes.

5ANZ Basel II Pillar 3 disclosure

Table 17(c): General Reserve for Credit Losses 10

December 2009$M

SpecificProvision
BalanceGeneralReserve forCredit
LossesCollective Provision

195

2,846

Individual Provision

1,494

-

Total Provision for Credit Impairment

September 2009
$M

SpecificProvision
BalanceGeneral
Reserve forCredit
Losses

3,041

186

2,814

1,494

1,526

-

Total

4,535

10

Total
3,000
1,526
4,526

There is a difference in the split between ANZ’s Individual Provision and Collective Provision for accounting
purposes and Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory purposes, due todefinitional differences. This difference does not impact total provisions, and essentially relates to the classificationof collectively assessed provisions on defaulted accounts. The disclosures in Table 17(b) are based on Individual
Provision and Collective Provision, for ease of comparison with other published results.

6

ANZ Basel II Pillar 3 disclosure

December 20097