APS 330: Capital Adequacy and Risk Management Disclosure – June 2009

BASEL II PILLAR 3 DISCLOSURES(In accordance with APS 330)

Quarterly report
30 June 2009

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APS 330: Capital Adequacy and Risk Management Disclosure – June 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 quarterly disclosure was prepared as at 30 June 2009. ANZ has a continuous disclosure policy, under which
ANZ will immediately notify the market of any material price sensitive information concerning the Group, inaccordance with legislative and regulatory disclosure requirements.

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Table 16: Capital adequacy 1
Risk Weighted Assets
June 2009$M

March 2009
$M

Corporate

125,942

136,559

Sovereign

1,892

1,402

Bank

6,615

10,374

Residential Mortgage

36,64835,932

Qualifying revolving retail

7,812

8,900

Other retail

17,06814,905

195,977

208,072

22,47625,362

Corporate

14,605

15,875

Sovereign

00Bank2021

Subject to Advanced Internal ratings Based (IRB) approach

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

Residential Mortgage

432

467

15,057

16,363Credit risk weighted assets relating to securitisation exposures

3,408

3,364

Credit risk weighted assets relating to equity exposures

1,685

1,707

Other assets

2,742

2,902

Market risk weighted assets

3,059

5,632

Operational risk weighted assets17,418

17,480Credit risk weighted assets subject to standardised approach

Interest rate risk in the banking book weighted assets

608

0262,430

280,882

Level 2 Total capital ratio

12.4%

11.0%

Level 2 Tier 1 capital ratio

9.7%

8.2%

TOTAL RISK WEIGHTED ASSETS
Capital ratios (%)

Total risk weighted assets decreased by $18.5 billion (6.6%) in the June 2009 quarter. This was due to declining asset
volumes, changes in exchange rates and a continuing focus on optimising risk weighted assets, partially offset by somedeterioration in credit quality.
Corporate risk weighted assets decreased mainly due to a reduction in volume (particularly in derivatives and other offbalance sheet exposures) arising from subdued demand for credit as well as customers repairing balance sheets and theimpact of higher AUD exchange rate. These factors were partly offset by some deterioration in credit quality.
Sovereign risk weighted assets increased due to a change in mix of exposures, particularly in the offshore deposit and bondmarket.
Bank risk weighted assets declined due to a reduction in derivatives and short term exposures.
Residential Mortgage risk weighted assets increased in line with growth in the portfolio, mainly in Australia .
Qualifying revolving retail risk weighted assets decreased due mainly to the reclassification of some exposures into the
Other retail asset class.
Risk weighted assets for specialised lending exposures subject to Slotting criteria decreased predominantly due to thereduction of exposures in the portfolio, which was only partly offset by deterioration in asset quality.
Market risk weighted assets decreased mainly due to a reduction in foreign exchange translation exposure associated withstructured credit.
Interest rate risk in the banking book weighted assets increased due to a reduction in embedded gains over the quarter.
This reduction was due to both realisation of prior gains and an increase in global term yields.
The increase in capital ratios reflects the combined effect of lower risk weighted assets and the raising of $2.5 billion Tier-1
capital via an Institutional ordinary equity share placement, partly offset by the redemption of $0.7 billion lower Tier-2
capital. (The recent retail Share Purchase Plan raising closed subsequent to 30 June 2009)1

Specialised Lending subject to slotting approach exposure is where the main servicing and repayment is from the asset
being financed (eg: specified commercial property development/investment lending, project finance and object finance).

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APS 330: Capital Adequacy and Risk Management Disclosure – June 2009

Table 17: Credit risk exposures 2
Table 17(a) (i): Regulatory credit exposures by measurement approach 3

June 2009$M

March 2009
$M

Average for thequarter ended
30 June 2009
$M

Corporate

197,933

217,873

207,903Sovereign

21,721

21,553

21,637

Bank

40,09048,84744,468Residential Mortgage

198,356

195,432

196,894

Qualifying Revolving Retail

19,667

23,604

21,636

Other Retail29,72927,07328,401

507,496534,382

520,939

June 2009$M

March 2009
$M

Average for thequarter ended
30 June 2009
$M

Corporate

15,83817,001

16,419Sovereign

000

Bank

27

29

28

1,212

1,325

1,269

0
17,0770
18,3550
17,716

524,573552,737

538,655

June 2009$M
16,157

March 2009$M
19,039Average for thequarter ended
30 June 2009$M
17,598

Trading Securities

11,941

10,736

11,338Investment Securities

15,633

14,127

14,880Due from other financial Institutions

8,972

3,776

6,374

Loans & advances

328,521334,500

331,510

Acceptances

18,326

19,161

18,743

Derivatives

14,93829,65322,295

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

108,398

119,835

114,117

Creditors & Other Liabilities

287

130

209

Total deposits & other borrowings

200

199

200

1,200

1,581

1,391

524,573552,737

538,655

Advanced IRB

Total Advanced IRB

Standardised

Residential Mortgage
Other RetailTotal Standardised
Total Exposure

Table 17(a) (ii): Regulatory credit exposures by major type of credit exposure

Facility type
Cash and liquid assets

Other assets
Total Exposures

2Regulatory Credit Exposure is also known as Exposure At Default (EAD), and is the estimated amount of exposure likely
to be owed on a credit obligation at the time of default. Under the Advanced Internal Ratings Based (IRB) approach, banks
provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current balance aswell as the likelihood of additional drawings prior to default. These estimates are based on internal data over time, and are
required to reflect all drivers of EAD - including conservative allowances for the economic cycle where appropriate. (Inaccordance with APS 330, Regulatory Credit Exposure in Table 17 does not include equities or securitisation exposures.)3

Specialised Lending subject to Slotting criteria is included in the Advanced IRB Corporate asset class.

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APS 330: Capital Adequacy and Risk Management Disclosure – June 2009

Table 17(b): Impaired assets 4 5, Past due loans 6 , Provisions7 and Write-offs

Impairedderivatives$M

Individual
provisionbalance$M

90 dayspast due loans$M

Impairedloans / facilities$M

Charges forindividual
provision$M

Write-offs$M

Portfolios subject to IRB approach

June
2009

March
2009

June
2009

March
2009

June
2009

March
2009

June
2009

March
2009

3 months
endingJune
2009

6 months
endingMarch
2009

3 months
endingJune
2009

6 months
endingMarch
2009

Corporate

113

254

3,318

3,164

445

410

759

931

330

1,030

545

451

Sovereign000000000000Bank0080

700424394030

Residential Mortgage

00358

279893879

13391

61

48

1514

Qualifying Revolving Retail000080

77

0064

108

73124

Other Retail

00361

348

189

181

240

269

123

226

101

148

113

254

4,117

3,798

1,607

1,547

1,174

1,295

617

1,416

734

767

Corporate

00214

101

61

3959

45

28

33

916

Sovereign

00

0

0

0

0

0

0

0

000Bank

0

0

0

0

00

000000Residential Mortgage

00

7

5001

10000

Total Standardised approach00

221106

61

3960

46

28

33

916113254

4,338

3,904

1,668

1,586

1,234

1,341

645

1,449

743

783

Total IRB approach

Portfolios subject to Standardised
approach

Total

Table 17(c): General reserve for credit losses 8

General reserve for credit losses balance

June
2009
$M

March
2009
$M

2,797

2,742

4
Impaired loans / facilities include restructured items for customer facilities which for reason of financial difficulty havebeen re-negotiated on terms which ANZ considers as uncommercial, but necessary in the circumstances, and are notconsidered non-performing. Includes both on and off balance sheet exposures.
5

Impaired derivatives include a credit valuation adjustment of $51 million, being a market assessment of the credit risk of
the relevant counterparties ($70 million in March 2009) considered non-performing. Impaired derivatives include both on
and off balance sheet exposures.
6

Past due loans ≥ 90 days includes $1,513 million well secured loans (March 2009 2008: $1,440 million).

7

The individual provision charge relates only to loans and advances, and does not include impairment on Available-For-Saleassets (June 2009: Nil; March 2009: $20 million).

8General Reserve for Credit Losses is equivalent to Collective Provision.

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