20 February 2020
Market Announcements Office
ASX Limited
Level 420 Bridge Street
SYDNEY NSW 2000

December 2019 Pillar 3 Chart Pack
Australia and New Zealand Banking Group Limited (ANZ) today releases its December
2019 Pillar 3 Chart Pack.
This has been approved for distribution by ANZ’s Continuous Disclosure Committee.
Yours faithfully

Simon Pordage
Company Secretary
Australia and New Zealand Banking Group Limited

Australia and New Zealand Banking Group Limited ABN 11 005 357 522
ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008

DECEMBER 2019 BASEL III PILLAR 3 /1 st QUARTER FY20 CHART PACK—20 FEBRUARY 2020
AUSTRALIA & NEW ZEALAND BANKING GROUP LIMITED
To be read in conjunction with ‘ANZ Basel III Pillar 3 disclosure as at 31 December 2019’
Available on the ANZ shareholder website anz.com/shareholder

OVERVIEWFINANCIAL INFORMATION CURRENT AS AT 31 DECEMBER 2019

•Provision charge and Credit Quality (see slides 3, 4 and 5):o The total provision charge of $116 million for 1Q20 was $40 million lower than for the same quarter FY19 (PCP). The total provisioncharge decreased $77 million compared to the preceding quarter driven by a reduction in collective provision charge including froman improved delinquency profile in the Australian mortgage portfolio in 1Q20.
o The individual provision charge at $165 million was $21 million lower than PCP. The IP Loss Rate of 11bps was 1bps lower than PCP.
o CRWA increased $6.1 billion which included $4.2 billion from lending largely in the Corporate asset class and $1.6 billion frombalance sheet recognition of leases arising from the implementation of IFRS 16.
o Management actions over the past three years to de-risk the portfolio, in particular in Institutional, together with benign market
conditions have contributed to low loss rate outcomes.
o There have been no material credit impacts observed in the first quarter however, ANZ is maintaining a watching brief on the short
to medium term economic impacts arising from unprecedented bushfire activity and more recent flooding together with any
emerging impacts from the COVID-19 virus.

•Capital (see slides 6 and 7):
o 1Q20 includes payment of the Final Dividend (impact 53bps). The Group Common Equity Tier 1 Capital ratio on an APRA Level 2basis was 10.9%. On a pro-forma basis ~11.1%.
o The Group Common Equity Tier 1 Capital ratio on an APRA Level 1 basis was 10.9% at the end of the first quarter FY20.

•Australian Housing (see slides 8 and 9)
o Actions taken in 1H19 to provide greater certainty for customers by improving turnaround times and providing greater clarity to ourbankers, mobile lenders and mortgage brokers about our lending policies, followed by a major marketing campaign saw application
volumes increase in the second half of FY19 and stabilise at levels well above the first half average. Work continues onimprovements to processes and procedures.
o The Australian Home Loan balance sheet has stabilised, however there are higher levels of amortisation arising from the low interest
rate environment and associated increased paydown by those with Principal and Interest loans1.
o 90+ delinquency levels have declined from 4Q19, down 8bps to 1.08%, primarily from improvements in WA and NSW.

1. Principal & Interest loans comprised 85% of the Australian home loan portfolio as at 30 September 20192PORTFOLIO MOVEMENTRISK WEIGHTED ASSETS (RWA)

TOTAL RISK WEIGHTED ASSETS BY CATEGORY
$b409
3918

152417398
3917143391

396391396

37373838

1716141

133

1316139

144

47
12156

TOTAL RISK WEIGHTED ASSETS BY DIVISION1
$b424
47

409
2460

398
2257

391
1556

396
1258

391
1157

396
1060

417
866

424
969

13

168

159

159

166

164

167

181

184

157

160

161

161

159

159

162

162

Sep-16

Mar-17

Sep-17Mar-18

Sep-18Mar-19Sep-19Dec-19158$19b increase
from Sep-18:• FX$2b• SA-CCR $6b2
• Lending $10b
• Other$1bAustralia

Institutional

New Zealand

Other

TOTAL RWA MOVEMENT DRIVERS
$b200

199

204

202

198

201

202

206

Sep-16

Mar-17

Sep-17Mar-18

Sep-18Mar-19Sep-19Dec-19CRWA (ex. Insto)

CRWA (Insto)

Mkt. & IRRBB RWA

6.1

0.2

0.5

0.4

424.2

Credit

Op

IRRBB

Mkt

Dec-19417.0

Sep-19Op-RWA

1. Institutional RWAs are inclusive of Corporate Banking, transferred from Australia Division to Institutional in October 2017 and backdated to September 2016 for the purposes of chart time series
2. Change to Standardised Approach for measuring Counterparty Credit Risk

3PORTFOLIO MOVEMENTCREDIT RISK WEIGHTED ASSETS (CRWA) & EXPOSURE AT DEFAULT (EAD)

Includes $1.6 billion frombalance sheet recognition ofleases arising from theimplementation of IFRS16

CRWA MOVEMENTEXPOSURE AT DEFAULT & CRWA/EAD1$b$b894

899

903

930

944

968

977

1,001

4.2

358.1

0.1

Sep-19FX Impact

2.1

364.2
-0.3

Other
QRR & Other RetailResidential Mortgage
39.4
36.9

38.0
37.3

36.6
35.8

Lending
Mvmt.

Methodology
ReviewSovereign & Banks

CREDIT RWA & EAD MOVEMENT BY ASSET CLASS
Includes ‘Risk’ release of-$0.5b, mainly from improved
delinquency profile

Corporate
0.5
Sep-16 Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Dec-19

4.9

2.5

16.7

Driven byseasonal
impacts2

7.1
0.7
-0.1

Dec-19Residential
Mortgage (Housing)EAD

Dec-1936.4

35.7$b (Dec-19 vs Sep-19) FX Adjusted

CRWA/EAD %Risk

Credit RWA

CorporateSovereign & Bank-2.4

OtherEAD

1. EAD excludes Securitisation and Other assets whereas CRWA is inclusive as per APS 330
2. Increase in short term deposits held with central banks (including from customers with northern hemisphere year end reporting dates) contributed circa $14b of the total

4

CREDIT QUALITY

IP CHARGE BY SEGMENTTOTAL PROVISION CHARGE
Loss Rate*

Loss Rate*

Loss Rate*

IP 15bp

IP 12bp

IP 11bp

Total 14bp

Total 10bp

$m

202

237

206

220

210-18-4

1Q18

2Q18

194

Individual Provision charge

160

183

186-39-24

-30

3Q18

4Q18

1Q19

Collective Provision charge

258

7bp
186

193

156

159

121

Total

209

116

140

165

8120-49

1Q19

1Q20

1Q20

Retail (Adv)Corporate (Adv)Resi. Mortgage (Adv)Other53

43-8-49
3Q193815148165

2Q1916144Q19* First quarter annualised loss rate

GROSS IMPAIRED ASSETS1

Increase primarily from reduction
in denominator (FUM reduction in
Personal lending, Cards, SME)

90+ DAYS PAST DUE LOANS3%

$m
3,000
2,000

2,034

2,013

2,022

2,029

2,052

Mar-18

Sep-18Mar-19Sep-19Dec-19

0.62

0.56

0.61

0.62

0.70

0.79
0.67

0.72

0.73

0.77

1,000
0Australia

1.
2.
3.

New ZealandInstitutionalExcluding unsecured 90+ days past due
Other includes Retail Asia & Pacific and Australia WealthAs a % of Exposure at Default

Other2Mar-18

Sep-18

Total Group Residential Mortgage

Mar-19Sep-19Dec-19Retail (Pillar 3 QRR & Other Retail categories)

5CAPITALAPRA LEVEL 2 CET1 RATIO - CAPITAL MOVEMENT
Basel III APRA Level 2 CET1

Sep-19Dec-19Common Equity Tier 1 Capital (AUD m)

47,35546,359Total Risk Weighted Assets (AUD m)

416,961

424,154

Common Equity Tier 1 Capital Ratio

11.4%

10.9%

Basel III APRA Level 1 Extended licensed CET1

Sep-19Dec-19Common Equity Tier 1 Capital (AUD m)

43,09541,849Total Risk Weighted Assets (AUD m)

379,539

383,575

Common Equity Tier 1 Capital Ratio

11.4%

10.9%%

11.36
0.10

Includes capital deductions increases such as Investments in Associates and Deferred Tax Assets and Non Cash items
Taking into consideration announced divestment benefits (P&I ~20bps)

10.93

-0.53

Sep-19

1.
2.

~11.1

Dividend
Organic Cap(DRPGen & Other1
Neutralised)Dec-19Pro-Forma
Dec-192

6CAPITAL FRAMEWORK
CURRENT REGULATORY PROPOSALS AND RECENT FINALISATION1

2019

1H20RBNZ capital framework

2H20

Standardised approach to credit risk

Finalise
Consultation

Internal Ratings-based Approach toCredit Risk

Consultation

Operational risk
Fundamental Review of the Trading
Book
Interest Rate Risk in the Banking
Book

Capital treatment for investments in
subsidiaries (Level 1)1.
2.

Timeline is based on APRA’s 2020 Policy Agenda (published January 2020)
Only in relation to the 3% of RWA increase in Total Capital requirements announced in July 2019

2022
Finalise

2022

Finalise

2022

Finalise

2021

Consultation

2023

Consultation

Loss Absorbing Capacity (LAC)2

Finalise

2022
2024Transition to 2024

Consultation

Expected
Implementation date
2027

Transition to 2027

Leverage ratio

1H21Finalise

2022

7

AUSTRALIA HOME LOANSPORTFOLIOANZ HOME LOAN APPLICATIONS (FUM)

ANZ TOTAL HOUSING LOAN GROWTH1
3 month annualised (%)

3 month rolling average (Index Dec 2017 = 100)

8.6

7.4
5.5
3.3

100

2.0

90

0.5

-0.2

-3.0

80

-2.7

-2.6

Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19

12 mth avg
to Dec-1970
60

APRA Monthly Authorised Deposittaking Institution Statistics (MADIS)APRA Monthly Banking Statistics (MBS)ANZ TOTAL HOUSING LOAN GROWTH BY TYPE150

3 month annualised (%)
11.3

40

9.2

10.5
6.630

4.2

4.4

2.0

1.820-1.0

100
Dec17

Mar18

Jun18

Sep18

Dec18

Mar19

Jun19

Sep19

Dec19

-3.1

-2.5

1.5

0.3

-4.2

-5.5

2.5

-0.3

-1.3

-3.3
-6.5

-6.8

-7.7

Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19
APRA Monthly Banking Statistics (MBS)

Owner Occupied
1.

-0.8

Investor

APRA Monthly Authorised Deposittaking Institution Statistics (MADIS)

Source: APRA Monthly Banking Statistics (MBS) and Monthly Authorised Deposit-taking Institution Statistics (MADIS)

8AUSTRALIA HOME LOANS
CREDIT QUALITY

HOME LOANS – 90+ DAYS PAST DUE1 (BY VINTAGE)

HOME LOANS – 30+ DAYS & 90+ DAYS PAST DUE2,3,4
30+ DPD %%
2.5

2.5

90+ Investor

90+ Owner Occupied

2.0
1.5
2.0

1.0
0.5
0.0

1.5

Sep
12

Sep
13

Sep
14

Sep
15

Sep
16

Sep
17

Sep
18

Dec
19

HOME LOANS – 90+ DAYS PAST DUE2,3 (BY STATE)
1.0%
3.0
2.5
2.00.51.5
1.0
0.5

0.0

0.0
681012141618202224

Month on book
FY151.
2.
3.
4.

FY16

FY17FY18262830323436

VIC & TASNSW & ACTQLD

WA

Mar-12Mar-14Mar-16

Mar-18Jun-19Mar-13Mar-15Mar-17Mar-19Dec-19SA & NTPortfolio

FY19

Home loans 90+ dpd vintages % ratio of ever delinquent (measured by # accounts) contains at least 6 application months of that fiscal year contributing to each data point.
Includes Non Performing Loans
ANZ delinquencies calculated on a missed payment basis
The current classification of Investor vs Owner Occupier, is based on ANZ’s product category, determined at origination as advised by the customer and the ongoing precision relies primarily on the customer’s obligation to advise
ANZ of any change in circumstances

9MARGIN ENVIRONMENTSWITCHING INTEREST ONLY TO PRINCIPAL & INTEREST1LOW RATE ENVIRONMENT$b

AS AT SEPTEMBER 2019$b~11083432~53

376Low rate deposits <25bps

1Q204798184Contractual conversions

BILLS/OIS SPREAD

AS AT SEPTEMBER 2019 (FULL YEAR AVERAGE, EXCLUDING MARKETS)

bps

%

70

Early conversions

60

22.3%

Australia Retail & Commercial
Institutional (excluding Markets)255.2%

20.8%644362

1H17 2H17 1H18 2H18 1H19 2H19 1H20 2H20 1H21 2H21 1H22 2H22 1H23 2H23+

Capital (excluding intangibles) andother non interest bearing liabilities

BUSINESS MIX – AVERAGE INTEREST EARNING ASSETS

5040

Contractual (still to convert)

Date

90 day avg Bills/OIS

1H19 (average)

48bps

2H19 (average)

27bps

1Q20 (average)

19bps

30

New Zealand

20

Other10

1.7%

0Sep-18Nov-18

Jan-19Spot Bills-OIS Spread (bps)1.
2.

6Total portfolio including new flows
Note: Institutional AIEA excluding Markets are $126.0b. Markets AIEA (Markets/Liquid assets) are $247.9b

Mar-19

May-19Jul-19Sep-19

Nov-19Jan-2090 day rolling average of Bills-OIS (bps)

10

FURTHER INFORMATIONOur Shareholder informationanz.com/shareholder/centre/

Equity Investors

Jill Campbell

Cameron Davis

Retail Investors

Debt Investors

Michelle Weerakoon

Scott Gifford

Group General Manager
Investor Relations+61 3 8654 7749
+61 412 047 448
jill.campbell@anz.com

Manager Shareholder
Services & Events+61 3 8654 7682
+61 411 143 090
michelle.weerakoon@anz.com

Executive Manager
Investor Relations+61 3 8654 7716
+61 421 613 819
cameron.davis@anz.com

Head of Debt Investor
Relations+61 3 8655 5683
+61 434 076 876
scott.gifford@anz.com

Harsh Vardhan

Manager
Investor Relations+61 3 8655 0878
+61 466 848 027
harsh.vardhan@anz.com

Mary Makridis

Associate Director
Debt Investor Relations+61 3 8655 4318
mary.makridis@anz.com

DISCLAIMER & IMPORTANT NOTICE: The material in this presentation is general background information about the Bank’s activities current at the date of the presentation. It is information given insummary form and does not purport to be complete. It is not intended to be relied upon as advice to investors or potential investors and does not take into account the investment objectives, financialsituation or needs of any particular investor. These should be considered, with or without professional advice when deciding if an investment is appropriateThis presentation may contain forward-looking statements including statements regarding our intent, belief or current expectations with respect to ANZ’s business and operations, market conditions,results of operations and financial condition, capital adequacy, specific provisions and risk management practices. When used in this presentation, the words “estimate”, “project”, “intend”, “anticipate”,“believe”, “expect”, “should” and similar expressions, as they relate to ANZ and its management, are intended to identify forward-looking statements. Readers are cautioned not to place undue reliance onthese forward-looking statements, which speak only as of the date hereof. Such statements constitute “forward-looking statements” for the purposes of the United States Private Securities Litigation
Reform Act of 1995. ANZ does not undertake any obligation to publicly release the result of any revisions to these forward-looking statements to reflect events or circumstances after the date hereof toreflect the occurrence of unanticipated events.
11