2024
BASEL IIIPILLAR 3
DISCLOSURE
AS AT 30 JUNE 2024
APS 330: PUBLIC DISCLOSURE

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

1

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets 1 2 3 4Risk Weighted Assets

Jun 24

Mar 24

Dec 23$M$M$M

Subject to Advanced Internal Rating Based (IRB) approach
Corporate

60,48660,36260,097

Residential Mortgage1

95,387

101,338

99,709Retail SME

10,005

9,538

9,835

Qualifying Revolving Retail

3,314

3,344

3,299

Other Retail

1,675

1,664

1,680

170,867

176,246

174,620

Corporate

35,13035,66534,931

Sovereign

11,041

10,856

10,674

Financial Institutions

29,84330,122

29,823Credit risk weighted assets subject to Foundation IRB approach

76,014

76,64375,428

3,762

3,579

3,370

Corporate

4,955

5,102

4,702

Sovereign

247

171

71

1,941

1,853

2,199

Credit risk weighted assets subject to Advanced IRB approach
Subject to Foundation IRB approach

Credit Risk Specialised Lending exposures subject to slotting approach2
Subject to Standardised approach

Residential Mortgage
Other Retail

93

92

92

Other Assets

3,834

3,790

3,516

11,07011,008

10,580Credit Valuation Adjustment and Qualifying Central Counterparties

5,052

5,304

4,564

Credit risk weighted assets relating to securitisation exposures

2,556

2,481

2,453

66,11873,186

74,105335,439

348,447

345,120

Credit risk weighted assets subject to Standardised approach

Exposures of New Zealand banking subsidiaries3
Total credit risk weighted assets
Market risk weighted assets

9,314

11,863

11,471

Operational risk weighted assets4

43,274

43,274

43,274

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

24,855

26,20027,118RWA adjustment for the IRB capital floor

20,331

2,995

1,865

433,213432,779

428,848

Total Risk Weighted Assets

1

Includes $12.6 billion in overlays: $3.0 billion for the PD model (new for June 2024 quarter) and $9.6 billion for the LGD model.

2

Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from theasset being financed and includes project finance and object finance.
Prior period RWA for Exposures of New Zealand banking subsidiaries included $14.2b (March) and $14.5b (December) due to supervisory
overlays resulting from risk weight floors required by RBNZ.

3

Includes a $6.25 billion operational risk RWA overlay ($500 million capital), subject to APRA’s acceptance of ANZ’s satisfactory
remediation of matters identified through the Self-Assessments into Governance, Culture and Accountability.

42ANZ Basel III Pillar 3 Disclosure

June 2024

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets5
Capital Floor

Jun 24

Mar 24

Dec 23$M$M$M
536,769

Risk weighted assets under the standardised approach
Credit Risk5

544,947

541,800

Market risk weighted assets

9,314

11,863

11,471

Operational risk weighted assets

43,274

43,274

43,274

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

n/a

n/a

n/a

597,535

596,937

591,514345,120

Risk weighted assets prior to application of floor
Credit Risk

335,439

348,447

Market risk weighted assets

9,314

11,863

11,471

Operational risk weighted assets

43,274

43,274

43,274

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

24,855

26,20027,118

Total Risk Weighted Assets

412,882429,784

426,983

Capital floor at 72.5%

433,213432,779

428,848

Capital floor adjustment

20,331

2,995

1,865

Capital ratios (%)

Jun 24

Mar 24

Dec 23

Level 2 Common Equity Tier 1 capital ratio

13.3%

13.5%

13.1%

Level 2 Tier 1 capital ratio

15.2%

15.4%

15.0%

Level 2 Total capital ratio

21.5%

21.9%

20.6%

Basel III APRA level 2 CET1

Jun 24

Mar 24

Dec 23

Common Equity Tier 1 Capital

57,57658,412

55,992

Total Risk Weighted Assets

433,213432,779

428,848

Common Equity Tier 1 capital ratio

13.3%

13.5%

13.1%

Basel III APRA level 1 Extended licensed entity CET1

Jun 24

Mar 24

Dec 23

Common Equity Tier 1 Capital

48,04749,367

46,184

Total Risk Weighted Assets

372,917

370,730

366,762

12.9%

13.3%

12.6%

Common Equity Tier 1 capital ratio

Credit Risk Weighted Assets (CRWA)6:
Credit RWA for 30 June totalled $335.4 billion, a $13.0 billion decrease quarter on quarter. The main drivers of thisreduction include:

Data, models and methodology (-$17.0 billion).
ooImplementation of Probability of Default Models for Australia Mortgages, providing a net CRWA reductionof -$8.9 billion and New Zealand Mortgages, for a net CRWA reduction of -$6.8 billion.
Continued refinement in processes, data and associated methodology treatments (-$0.9 billion).



Foreign exchange and other movements (-$1.4 billion).



Portfolio Risk (+$1.7 billion), with a $1.1 billion increase in Australia Home Loans due to a moderate increase in 90
day + delinquency, in addition to $0.5 billion for Australia Commercial with increased delinquency in Retail SME
portfolios (+$0.4 billion), combined with a small number of Corporate customer downgrades (+$0.1 billion).



Volume growth (+$3.7 billion) with predominant movements including Institutional business (+$2.2 billion),
Australia Retail (+$1.8 billion), and New Zealand (+$0.3 billion), offset by Australia Commercial (-$0.8 billion).

Market Risk and IRRBB RWA:
Traded Market Risk RWA decreased $2.5 billion over the quarter, mainly driven by decrease in Standard VaR, Stressed
VaR and capital multiplier. IRRBB RWA decreased $1.3 billion primarily due to an improvement in Embedded Losses.
Capital Floor adjustment:
The above decreases in Credit, Market and IRRBB RWA contributed to a $17.3 billion increase in the June 2024 quarter
Capital Floor Adjustment. Further detail on the Capital Floor Adjustment increase is provided in the ‘Update on capital
position’ ASX announcement and conference call on 8 August 2024, available on ANZ’s Shareholder Centre atwww.anz.com/shareholder/centre/investor-toolkit/anz-updates.

5

RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach
is $131.3 billion when calculated under the standardised approach.

6

The attribution of CRWA movements requires assumptions and judgement; different assumptions could lead to different attributions.

3

ANZ Basel III Pillar 3 Disclosure

June 2024

Operational Risk:
The Basel III APRA level 1 Extended licensed entity CET1 Total Risk Weighted Assets and CET 1 capital ratio have beenadjusted for prior periods, March 2024 and December 2023 to reflect application of the $500 million Operational Risk
capital overlay to both Level 1 and Level 2 entities.

Table 4 Credit risk exposures
Exposure at Default in Table 4 represents credit exposure net of offsets for credit risk mitigation such as netting andfinancial collateral. It includes Advanced IRB, Foundation IRB, Specialised Lending and Standardised exposures, andexcludes Securitisation and Equities exposures.
Table 4(a) part (i): Period end and average Exposure at Default7
Jun 24
Risk
Weighted
Assets$M$M

Average
Exposure at
Default forthree months$M

Corporate

60,486

133,333

132,452(12)

Residential Mortgage

95,387

351,900

349,133-

6

Retail SME

10,005

17,42817,02815

11

Qualifying Revolving Retail

3,314

12,772

12,788

16

24

Other Retail

1,675

1,564

1,567

11

15

170,867

516,997

512,968

30

60

Subject to Advanced IRB approach

Total Advanced IRB approach

Exposure at
Default

Individual
provision
charge forthree months$M

Write-offs
for threemonths4$M

Subject to Foundation IRB approach
Corporate

35,13093,261

93,578(10)-

Sovereign

11,041

221,470219,703--

Financial Institution

29,843

110,200

109,228--

Total Foundation IRB approach

76,014424,931422,509(10)-

Specialised Lending Exposures
Subject to Supervisory Slotting

3,762

4,676

4,552

-

-

Corporate

4,955

5,547

5,676

(2)

1

Sovereign

247

246

209

-

-

1,941

2,128

2,086

-

2
-

Subject to Standardised approach

Residential Mortgage
Other Retail

93

65

65

-

Other Assets

3,834

8,261

7,215

-

-

11,070

16,247

15,251(2)

3

Credit Valuation Adjustment andQualifying Central Counterparties

5,052

8,810

8,131

-

-

Exposures of New Zealand banking
subsidiaries

66,118194,275

194,9469

9332,883

1,165,936

1,158,357

27

72

Total Standardised approach

Total

Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each threemonth period.

74ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(a) part (i): Period end and average Exposure at Default (continued)
Mar 24
Risk
Weighted
Assets$M$M

Average
Exposure at
Default forthree months$M

Corporate

60,362

131,572

131,628(30)

Residential Mortgage

101,338

346,366

344,757

2

6

Retail SME

9,538

16,62816,70315

16

Qualifying Revolving Retail

3,344

12,804

12,827

11

22

Other Retail

1,664

1,569

1,558

10

12

176,246

508,939

507,472

8

66

Subject to Advanced IRB approach

Total Advanced IRB approach

Exposure at
Default

Individual
provision
charge forthree months$M

Write-offs
for threemonths10$M

Subject to Foundation IRB approach
Corporate

35,66593,895

94,226

11

4

Sovereign

10,856217,936

231,564--

Financial Institution

30,122

108,257

106,621

10-

Total Foundation IRB approach

76,643420,088432,41021

4Specialised Lending Exposures
Subject to Supervisory Slotting

3,579

4,427

4,286

-

-

Corporate

5,102

5,805

5,584

(12)

-

Sovereign

171

171

121

-

-

1,853

2,044

2,222

-

-

92

65

64

(1)

-

Subject to Standardised approach

Residential Mortgage
Other Retail
Other Assets

3,790

6,170

7,890

-

-

11,00814,255

15,881(13)-

Credit Valuation Adjustment andQualifying Central Counterparties

5,304

7,451

7,160

-

-

Exposures of New Zealand banking
subsidiaries

73,186

195,617

196,815(5)8345,966

1,150,777

1,164,024

11

78

Total Standardised approach

Total

5

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(a) part (i): Period end and average Exposure at Default (continued)
Dec 23
Risk
Weighted
Assets$M$M

Average
Exposure at
Default forthree months$M

Corporate

60,097

131,684

135,850

3

Residential Mortgage

99,709343,147

340,313

4

4

Retail SME

9,835

16,778

16,644

12

14

Qualifying Revolving Retail

3,299

12,85012,834

15

21

Other Retail

1,680

1,546

1,552

7

13

174,620

506,005

507,193

41

55

Subject to Advanced IRB approach

Total Advanced IRB approach

Exposure at
Default

Individual
provision
charge forthree months$M

Write-offs
for threemonths3$M

Subject to Foundation IRB approach
Corporate

34,931

94,557

93,953(10)-

Sovereign

10,674245,191

237,327--

Financial Institution

29,823104,984

106,731(10)-Total Foundation IRB approach

75,428444,732

438,011

(20)

-

3,370

4,144

4,082

-

-

Corporate

4,702

5,362

5,895

(2)

2

Sovereign

71

71

118

-

-

2,199

2,400

2,335

-

1
-

Specialised Lending
Subject to Standardised approach

Residential Mortgage
Other Retail

92

64

48

-

Other Assets

3,516

9,610

7,765

-

-

10,58017,507

16,161(2)

3

Credit Valuation Adjustment andQualifying Central Counterparties

4,564

6,868

6,952

-

-

Exposures of New Zealand banking
subsidiaries

74,105

198,014

197,6098

10

342,667

1,177,270

1,170,008

27

68

Total Standardised approach

Total

6

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(a) part (ii): Exposure at Default by portfolio type8

Jun 24

Mar 24

$M

$M

$M

$M

Cash

110,001

109,076

144,994

109,539

Contingents liabilities, commitments, and other offbalance sheet exposures
Derivatives

158,901

161,512

161,566

160,20749,40847,65345,322

48,531

10

5

19

8

Investment Securities

119,680

114,318

104,298

116,999

Net Loans, Advances & Acceptances

697,534

Portfolio Type

Settlement Balances

Dec 23

Average for thequarter ended
Jun 24

702,620

692,447

689,528

Other assets

7,480

9,684

9,772

8,582

Trading Securities

17,836

16,082

21,771

16,959Total exposures

1,165,936

1,150,777

1,177,270

1,158,357

Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each threemonth period.

87

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(b): Non-Performing Facilities, Provisions and Write-offs
Jun 24
Individually provisioned exposures

Non-performing exposures
Exposure

BLANK

Advanced IRB approach$M$M

Specific
provision
chargefor threemonths$M$M$M

Individual
provision
chargefor threemonths$M

Corporate

831

143

17

124

52

(12)

4

3,294

178

9

117

34

-

6

Retail SME

479

130

19

115

77

15

11

Qualifying Revolving Retail

39

29

17

-

-

16

24

Residential Mortgage

Other RetailSpecific
provisionbalance

Exposure

Individual
provisionbalance

Writeoffs forthreemonths
$M

42

43

12

21

21

11

15

4,685

523

74

377

184

30

60

Corporate

76

39

(10)

75

39

(10)

-

Sovereign

-

-

-

-

-

-

-

Total Advanced IRB approach
Foundation IRB approach

Financial Institution

2

1

1

1

-

-

-

Total Foundation IRB approach

78

40

(9)

76

39

(10)

-

Specialised Lending Subject toSupervisory Slotting

-

-

-

-

-

-

-

Standardised approach

-

-

-

-

-

-

-

Corporate

74

30

(3)

26

22

(2)

1

Residential Mortgage

76

8

-

11

5

-

2

Other Retail

5

4

-

5

4

-

-

Total Standardised approach

155

42

(3)

42

31

(2)

3

Exposures of New Zealandbanking subsidiaries

1,320

149

(5)

277

47

9

9

Total

6,238

754

57

772

301

27

72

8

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)
Mar 24
Individually provisioned exposures

Non-performing exposures
Exposure

Specific
provisionbalance

BLANK

Exposure

Individual
provisionbalance

Advanced IRB approach$M$M

Specific
provision
chargefor threemonths$M$M$M

Individual
provision
chargefor threemonths$M

Corporate

593

129

(34)

169

67

(30)

3,023

176

14

118

40

2

6

430

115

15

104

67

15

16
22

Residential Mortgage
Retail SME

Writeoffs forthreemonths

10$M

Qualifying Revolving Retail

35

28

13

-

-

11

Other Retail

45

42

13

22

21

10

12

4,126

490

21

413

195

8

66

Total Advanced IRB approach
Foundation IRB approach
Corporate

223

51

11

221

51

11

4

Sovereign

-

-

-

-

-

-

-

Financial Institution

6

1

10

1

1

10

-

Total Foundation IRB approach

229

52

21

222

52

21

4

Specialised Lending Subject toSupervisory Slotting

-

-

-

-

-

-

-

Corporate

88

37

(15)

34

24

(12)

-

Residential Mortgage

69

11

-

14

8

-

-

Standardised approach

6

(3)

(1)

5

1

(1)

-

Total Standardised approach

163

45

(16)

53

33

(13)

-

Exposures of New Zealandbanking subsidiaries

1,495

161

29

241

45

(5)

8

Total

6,013

748

55

929

325

11

78

Other Retail

9ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)
Dec 23
Non-performing exposures
Exposure

Individually provisioned exposures

Advanced IRB approach$M$M

Specific
provision
chargefor threemonths$M$M$M

Individual
provision
chargefor threemonths$M

Corporate

707

164

11

273

97

3

2,622

166

10

124

43

4

4

400

109

18

94

62

12

14
21

Residential Mortgage
Retail SME

Specific
provisionbalance

BLANK

Exposure

Individual
provisionbalance

Writeoffs forthreemonths3$M

Qualifying Revolving Retail

35

27

15

-

-

15

Other Retail

41

38

7

20

19

7

13

3,805

504

61

511

221

41

55

Corporate

225

45

(10)

225

45

(10)

-

Sovereign

-

-

-

-

-

-

-

Total Advanced IRB approach
Foundation IRB approach

Financial Institution

4

1

(10)

1

1

(10)

-

Total Foundation IRB approach

229

46

(20)

226

46

(20)

-

Specialised Lending Subject toSupervisory Slotting

-

-

-

-

-

-

-

Corporate

118

37

(4)

38

26

(2)

2

Residential Mortgage

73

11

-

12

8

-

1

Standardised approach

Other Retail

5

1

-

5

1

-

-

Total Standardised approach

196

49

(4)

55

35

(2)

3

Exposures of New Zealandbanking subsidiaries

1,311

142

16

326

59

8

10

Total

5,541

741

53

1,118

361

27

68

10

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 4(c): Specific Provision Balance and Provisions held against performing exposures9
Jun 24
Specific Provision
Balance$M
Collectively Assessed Provisions

453

Provisions held
against performing
exposures$M
3,595

Individually Assessed Provisions

301

-

301

Total Provision for Credit Impairment

754

3,595

4,349

Specific Provision
Balance
$M

Total
$M

4,048

Mar 24

Collectively Assessed Provisions

423

Provisions held
against performing
exposures$M
3,623

Individually Assessed Provisions

325

-

325

Total Provision for Credit Impairment

748

3,623

4,371

Specific Provision
Balance
$M

Total
$M

4,046

Dec 23

Collectively Assessed Provisions

380

Provisions held
against performing
exposures$M
3,646

Individually Assessed Provisions

361

-

361

Total Provision for Credit Impairment

741

3,646

4,387

9

Total
$M

4,026

Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective Provision foraccounting purposes and the Specific Provision and Provisions held against performing exposures 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 and Collective Provision, for ease of comparison with other publishedresults.

11

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 5 Securitisation
Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type andfacility 10
Jun 24
Original value securitised
Securitisation activity by underlying
asset type

ANZ Originated$M

ANZ Self
Securitised$M

ANZ Sponsored
$M

(36)

100

-

Recognised
gain or loss on
sale
$M
-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(36)

100

-

-

Residential mortgage

Securitisation activity by facility provided

Notional
amount$M

Liquidity facilities-

Funding facilities-

Underwriting facilities-

Lending facilities

Credit enhancements

255

Holdings of securities (excluding trading book)
Other

4
259

Total

Mar 24
Original value securitised
Securitisation activity by underlying
asset type

ANZ Originated$M

ANZ Self
Securitised$M

ANZ Sponsored
$M

(44)

110

-

Recognised
gain or loss on
sale
$M
-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(44)

110

-

-

Residential mortgage

Securitisation activity by facility provided

Liquidity facilities

Notional
amount$M-

Funding facilities

490

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

(181)

Other

1

Total

309

10

Activity represents net movement in outstanding.

12

ANZ Basel III Pillar 3 Disclosure

June 2024

Dec 23
Original value securitised
Securitisation activity by underlying
asset type

ANZ Originated$M

ANZ Self
Securitised$M

ANZ Sponsored
$M

(45)

(25)

-

Recognised
gain or loss on
sale
$M
-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(45)

(25)

-

-

Residential mortgage

Securitisation activity by facility provided

Notional
amount$M

Liquidity facilities-

Funding facilities

450

Underwriting facilities-

Lending facilities-

Credit enhancements(29)

Holdings of securities (excluding trading book)
Other

14
436

Total

Table 5(a) part (ii): Trading Book - Summary of current period's activity by underlying asset type andfacility
No assets from ANZ's Trading Book were securitised during the reporting period.

13

ANZ Basel III Pillar 3 Disclosure

June 2024

Table 5(b) part (i): Banking Book: Securitisation - Regulatory credit exposures by exposure type

Securitisation exposure type - On balance
sheet
Liquidity facilities
Funding facilities

Jun 24

Mar 24

Dec 23

$M

$M

$M

-

-

-

10,5509,558

10,560Underwriting facilities

-

-

-

Lending facilities

-

-

-

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

-

-

-

2,115

1,859

2,041

-

-

-

Other

105

157

142

Total

12,77011,574

12,743

Jun 24

Mar 24

Dec 23$M$M$M

Securitisation exposure type - Off Balance
Sheet
Liquidity facilities
Funding facilities

8

8

9

3,339

4,095

2,705

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities (excluding trading book)

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

3,347

4,103

2,714

Jun 24

Mar 24

Dec 23$M$M$M

Liquidity facilities

8

8

9

Funding facilities

13,88913,653

13,265

Total Securitisation exposure type

Underwriting facilities

-

-

-

Lending facilities

-

-

-

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

-

-

-

2,115

1,859

2,041

-

-

-

Other

105

157

142

Total

16,117

15,67715,457

Table 5(b) part (ii): Trading Book: Securitisation – Regulatory credit exposures by exposure typeNo assets from ANZ's Trading Book were securitised during the reporting period.

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ANZ Basel III Pillar 3 Disclosure

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Table 18 Leverage ratio
The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS) Basel III capitalframework. It is a simple, non-risk based supplement or backstop to the current risk based capital requirements andis intended to restrict the build-up of excessive leverage in the banking system.
Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure(expressed as a percentage) as defined by APS 110: Capital Adequacy. APRA requires ADIs authorised to use theinternal ratings based approach to credit risk to maintain a minimum leverage ratio of 3.5% from January 2023.
The following information is the short form data disclosure required to be published under paragraph 49 of APS 330.

Capital and total exposures
20

Tier 1 capital

21

Total exposuresJun 24

Mar 24

Dec 23$M$M$M

Sep 23$M

65,846

66,70964,15066,026

1,250,307

1,228,121

1,251,015

1,224,719

5.3%

5.4%

5.1%

5.4%

Leverage ratio
22

Basel III leverage ratio

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ANZ Basel III Pillar 3 Disclosure

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Table 20 Liquidity Coverage Ratio disclosure templateJun 24
Total
Unweighted
Value
$M

Total
WeightedValue$M

Mar 24
Total
Unweighted
Value
$M

Total
Weighted
Value$M

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

2Alternative liquid assets (ALA)

3Reserve Bank of New Zealand (RBNZ) securities

4

Retail deposits and deposits from small businesscustomers

254,418

283,202

-

-

2,578

2,252

Cash outflows
270,343

26,213

267,776

26,304

5of which: stable deposits

120,292

6,015

118,9215,946

6

of which: less stable deposits

150,051

20,198148,855

20,3587274,184

142,869

291,524

157,930

8

Unsecured wholesale fundingof which: operational deposits (all counterparties)
and deposits in networks for cooperative banks

94,51622,857

94,97522,9369of which: non-operational deposits (allcounterparties)

168,401

108,745

181,844

120,28910of which: unsecured debt

11,267

11,267

14,705

14,705

11

Secured wholesale funding

12

Additional requirements

3,558

1,222

190,164

64,793

184,879

64,68413

of which: outflows related to derivatives exposuresand other collateral requirements

39,99939,99941,05841,05814

of which: outflows related to loss of funding on debt
products---

23,62615

150,165

24,794

143,821

16

Other contractual funding obligations

8,144

-

7,801

-

17

Other contingent funding obligations

120,164

8,077

122,236

8,413

18

of which: credit and liquidity facilities

Total cash outflows

245,510258,553

Cash inflows
19

Secured lending (e.g. reverse repos)

34,345883

34,477

1,276

20

Inflows from fully performing exposures

27,783

19,63926,937

19,13621

Other cash inflows

29,47429,47430,53330,53322

Total cash inflows

91,602

49,99691,94723

Total liquid assets

256,996

285,454

24

Total net cash outflows

195,514207,60825

Liquidity Coverage Ratio (%)

131.4%

137.5%

65

64

Number of data points used (simple average)

BLANK

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50,945ANZ Basel III Pillar 3 Disclosure

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Liquidity Risk Overview, Management and Control Responsibilities
Liquidity risk is the risk that the Group is either:
unable to meet its payment obligations (including repaying depositors or maturing wholesale debt) when theyfall due; ordoes not have the appropriate amount, tenor and composition of funding and liquidity to fund increases in its
assets.
Management of liquidity and funding risks are overseen by the Group Asset and Liability Committee (GALCO). The
Group’s liquidity and funding risks are governed by a set of principles approved by the Board Risk Committee (BRC)
and include:









maintaining the ability to meet all payment obligations in the immediate term;
ensuring that the Group has the ability to meet ‘survival horizons’ under a range of ANZ specific, and generalmarket, liquidity stress scenarios, at a country and Group-wide level, to meet cash flow obligations over the
short to medium term;
maintaining strength in the Group’s balance sheet structure to ensure long term resilience in the liquidity andfunding risk profile;
ensuring the liquidity management framework is compatible with local regulatory requirements;
preparing daily liquidity reports and scenario analysis to quantify the Group’s positions;targeting a diversified funding base to avoid undue concentrations by investor type, maturity, market source
and currency;
holding a portfolio of high quality liquid assets to protect against adverse funding conditions and to support dayto-day operations; andestablishing detailed contingency plans to cover different liquidity crisis events.

Key Areas of Measurement for Liquidity Risk
Scenario modelling of funding sourcesGroup’s liquidity risk appetite is defined by a range of regulatory and internal liquidity metrics mandated by the
ANZBGL Board. The metrics cover a range of scenarios of varying duration and level of severity.
The objective of this framework is to:Provide protection against shorter term extreme market dislocation and stress.
Maintain structural strength in the balance sheet by ensuring that an appropriate amount of longer-term assets
are funded with longer-term funding.
Ensure that no undue timing concentrations exist in the Group’s funding profile.

Key components of this framework are the Liquidity Coverage Ratio (LCR), which is a severe short term liquidity
stress scenario and Net Stable Funding Ratio (NSFR) a longer term structural liquidity measure, both of which aremandated by banking regulators including APRA.
Liquid assets
Group holds a portfolio of high quality (unencumbered) liquid assets to protect Group’s liquidity position in a severely
stressed environment and to meet regulatory requirements. High quality liquid assets comprise three categories
consistent with Basel III LCR requirements:Highest-quality liquid assets (HQLA1) - cash and highest credit quality government, central bank or public sector
securities eligible for repurchase with central banks to provide same-day liquidity.
High-quality liquid assets (HQLA2) - high credit quality government, central bank or public sector securities,
high quality corporate debt securities and high quality covered bonds eligible for repurchase with central banks
to provide same-day liquidity.
Alternative liquid assets (ALA) - eligible securities that the RBNZ will accept in its domestic market operations.

Group monitors and manages the size and composition of its liquid assets portfolio on an ongoing basis in line withregulatory requirements and the risk appetite set by the ANZBGL Board.
Liquidity crisis contingency planning
ANZBGL Group maintains APRA-endorsed liquidity crisis contingency plans for analysing and responding to a liquidity
threatening event at a country and ANZBGL Group-wide level. Key liquidity contingency crisis planning requirements
and guidelines include:
Ongoing business management• establish crisis/severity levels• liquidity limits• early warning indicators

Early signs/ mild stress
Severe stress• activate contingency funding plans• monitoring and review• Management actions not• management actions for altering
requiring businessasset and liability behaviour
rationalisation
Assigned responsibility for internal and external communications and the appropriate timing to communicate.

Since the precise nature of any stress event cannot be known in advance, we design the plans to be flexible to thenature and severity of the stress event with multiple variables able to be accommodated in any plan.

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ANZ Basel III Pillar 3 Disclosure

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Group funding
Group monitors the composition and stability of its funding so that it remains within the Group’s funding risk appetite.
This approach ensures that an appropriate proportion of the Group’s assets are funded by stable funding sources,
including customer deposits; longer-dated wholesale funding (with a remaining term exceeding one year); andequity.
Funding plans prepared• 3 year strategic plan prepared annually• annual funding plan as part of the ANZBGL Group’s
planning process• forecasting in light of actual results as a calibration
to theannual plan

Considerations in preparing funding plans• customer balance sheet growth• changes in wholesale funding including: targetedfunding volumes; markets; investors; tenors; andcurrencies for senior, secured, subordinated, hybridtransactions and market conditions

Liquidity Coverage Ratio (LCR)ANZBGL Group’s average LCR for the 3 months to 30 June 2024 was 131.4% (31 March 2024: 137.5%) with totalliquid assets exceeding net cash outflows by an average of $61.5 billion. Through the period the LCR has remained
within the range 127% to 136%. The liquid asset portfolio was made up of on average 45% ($114.8 billion) cash
and central bank reserves and 50% ($127.2 billion) HQLA1 securities, with the remaining mainly consisting of HQLA2
securities.
As per APRA requirements, liquid assets beyond the regulatory minimum are not included in the consolidated Groupposition where they are deemed non-transferable between geographies, in particular this applies to liquid assets
held in New Zealand.
The main contributors to net cash outflows were modelled outflows associated with the bank’s corporate and retaildeposit portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives arematerial, these are effectively offset by derivative cash inflows. Modelled outflows are also included for market
valuation changes of derivatives based on the past 24 months largest 30-day movements in collateral balances.
The Group has a well-diversified deposit and funding base avoiding undue concentrations by investor type, maturity,
market source and currency. ANZBGL Group monitors and manages its liquidity risk on a daily basis including LCR
by geography and currency. The Group’s liquidity risk framework ensures ongoing monitoring of foreign currency
LCR (including derivative flows) and sets limits at the Group level to ensure mismatches are managed effectively.
The Group’s liquidity and funding management includes monitoring of liquidity across the Group, specifically for:• Individual countries, including any local regulatory requirements.
• Consolidated ANZBGL Group Level 1 and 2 LCR• AUD only LCR for Australia as well as Group Level
Other contingent funding obligations include outflows for revocable credit and liquidity facilities, trade finance related
obligations, buybacks of domestic Australian debt securities and other contractual outflows such as interest
payments.

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ANZ Basel III Pillar 3 Disclosure

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Glossary
ADI

Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capitalcharge

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

Collectively Assessed
Provision for Credit
Impairment

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

Credit exposure

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

Credit risk

The risk of financial loss resulting from the failure of ANZ’s customers andcounterparties to honour or perform fully the terms of a loan or contract.

Credit Valuation Adjustment(CVA)

Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value
to take into account the impact of counterparty credit quality. The methodology
calculates the present value of expected losses over the life of the financial
instrument as a function of probability of default, loss given default, expectedcredit 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 thatthe arrears or excess occurs and accruing for each completed calendar day
thereafter.

Exposure at Default (EAD)

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

Impaired assets (IA)Facilities are classified as impaired when there is doubt as to whether thecontractual amounts due, including interest and other payments, will be met in atimely 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 where the customer’s status is defined
as impaired.

Individual provision charge(IPC)

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

Individually Assessed
Provisions for Credit
Impairment

Individually assessed provisions for credit impairment are calculated in accordancewith AASB 9 Financial Instruments (AASB 9). They are assessed on a case-bycase basis for all individually managed impaired assets taking into consideration
factors such as the realisable value of security (or other credit mitigants), the likely
return available upon liquidation or bankruptcy, legal uncertainties, estimatedcosts involved in recovery, the market price of the exposure in secondary markets
and the amount and timing of expected receipts and recoveries.

Market risk

The risk to ANZ’s earnings arising from changes in interest rates, currency
exchange rates and credit spreads, or from fluctuations in bond, commodity or
equity prices. ANZ has grouped market risk into two broad categories to facilitate
the measurement, reporting and control of market risk:
Traded market risk - the risk of loss from changes in the value of financial
instruments due to movements in price factors for physical and derivative trading
positions. Trading positions arise from transactions where ANZ acts as principalwith clients or with the market.

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ANZ Basel III Pillar 3 Disclosure

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Non-traded market risk (or balance sheet risk) - comprises interest rate risk in thebanking book and the risk to the AUD denominated value of ANZ’s capital andearnings due to foreign exchange rate movements.
Operational risk

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

Past due facilities

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

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

Recoveries

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

Restructured items

Restructured items comprise facilities in which the original contractual terms havebeen modified for reasons related to the financial difficulties of the customer.
Restructuring may consist of reduction of interest, principal or other payments
legally due, or an extension in maturity materially beyond those typically offeredto new facilities with similar risk.

Risk Weighted Assets(RWA)

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

Securitisation risk

The risk of credit related losses greater than expected due to a securitisation failingto operate as anticipated, or of the values and risks accepted or transferred, notemerging 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 therealisation 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.

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