ANZ Basel II Pillar 3 disclosure

June 2010

2010

BASEL IIPILLAR 3 DISCLOSURE

IN ACCORDANCE WITH APS 330
QUARTER ENDED 30 JUNE 20101

ANZ Basel II Pillar 3 disclosure

June 2010

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 2010. ANZ has a continuous disclosure policy,under which 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

June 2010

Capital adequacy: Risk Weighted Assets and capital ratios 1 2June 2010$M

March 2010
$M

December 2009
$M

Corporate

102,971

100,945

112,301

Sovereign

2,961

2,470

2,142

Bank

5,396

5,108

5,722

Residential Mortgage

38,79237,42336,789Subject to Advanced Internal Ratings Based Approach

Qualifying Revolving Retail

7,266

7,238

6,894Other Retail

18,115

17,942

17,462

175,501

171,126

181,310

25,40424,96525,225

Corporate

21,31816,486

13,707

Sovereign---Bank-113431Credit risk weighted assets subject to Advanced IRB approach
Credit risk Specialised Lending exposures subject to slotting criteria
Subject to Standardised approach

Residential Mortgage

604

400

Qualifying Revolving Retail

2,062

-

-

Other Retail

1,227

406

406

25,211

17,293

14,557

Credit risk weighted assets subject to Standardised approach
Credit risk weighted assets relating to securitisation exposures

2,355

1,975

3,507Credit risk weighted assets relating to equity exposures

1,647

1,639

1,694

Other assets
Total credit risk weighted assets

3,906

3,377

3,410

234,024

220,375

229,703

Market risk weighted assets

4,620

3,969

3,712

Operational risk weighted assets

16,80816,481

16,166

Interest rate risk in the banking book weighted assets

6,802

8,136

4,379

262,254248,961

253,960

Level 2 Total capital ratio

12.6%

13.0%

13.4%

Level 2 Tier 1 capital ratio

10.3%

10.7%

10.5%

Total Risk Weighted Assets

Capital ratios (%)

Risk Weighted Assets (RWA)
Total RWA increased by $13.3 billion (5.3%) in the June 2010 quarter, mainly due to an increase in
Credit RWA of $13.6 billion (6.2%).

Credit Risk Weighted Assets
The key drivers of the increase in Credit RWA were (i) an increase in Standardised RWA of $7.9 billion(45.8%) due to the acquisition of certain Royal Bank of Scotland (RBS) assets in Asia as well as
growth in our existing Asian businesses, (ii) an increase in AIRB Corporate RWA of $2.0 billion (2.0%)
due to increasing exposures and exchange rate impacts and (iii) an increase in AIRB Residential
Mortgages RWA of $1.4 billion (3.7%) due to increased exposures, predominately in Australia.

Market Risk, Operating Risk and IRRBB Risk Weighted Assets
Market Risk and Operational Risk RWA remained relatively stable over the quarter. The reduction of$1.3 billion (-16.4%) in IRRBB was due to a reduction in repricing and yield curve risk. This was a
result of decreased exposure to the volatility between swap rates and government yields.

1

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.

2December 2009 and March 2010 comparatives throughout this disclosure restated to reflect some reclassification ofexposures between asset classes.

3

ANZ Basel II Pillar 3 disclosure

Table 17

June 2010

Credit risk exposures 3 4

Table 17(a) (i): Period end and average credit exposure by Basel Asset Class

June 2010$M

March 2010
$M

December 2009
$M

Average for thequarter ended
30 June 2010
$M

Corporate159,455

155,116

159,381

157,285

Sovereign

44,02834,78636,75539,407

Bank

27,25527,952

29,22327,604

Residential Mortgage

216,917

208,508

204,767

212,712

Qualifying Revolving Retail20,53820,396

20,04020,467

Other Retail

28,65328,25028,51528,452496,846

475,008

478,681

485,927

27,554

26,862

26,951

27,208

Corporate

21,31816,486

13,707

18,902

Sovereign

----

Bank-

3

16

2

Residential Mortgage

1,569

1,135

1,185

1,352

Qualifying Revolving Retail2,062

--

1,031

Other Retail1,227

406

406

816

26,17618,030

15,314

22,103

550,576

519,900

520,946535,238

Advanced Internal Rating Based

Total Advanced IRB
Specialised Lending (subject to slotting criteria)
Standardised

Total Standardised
Total Exposure

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

June 2010$M

March 2010
$M

December 2009
$M

Average for thequarter ended
30 June 2010
$M

Acceptance

11,612

12,51011,772

12,061

Cash and liquid assets

16,00013,521

16,92914,761

Contingents, commitments, other off balance sheet

110,758

103,868

104,640

107,313Creditors & Other LiabilitiesDerivatives

72

41

42

56

16,557

14,151

13,843

15,354Due from other financial Institutions

5,358

6,353

7,508

5,856

Investment Securities

19,964

16,381

17,434

18,173Loans & Advances

346,742

330,963

327,391

338,852

1,732

582

627

1,157

1

234

240

117

Trading Securities

21,78021,296

20,52021,538

Total Exposures

550,576

519,900

520,946535,238

Other assets
Total deposits & other borrowings

3

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

4The period averages are calculated as the simple average of the last two quarters closing balances.

4ANZ Basel II Pillar 3 disclosure

June 2010

Table 17(b): Impaired assets, Past due loans, Provisions and Write-offs 5 6 7 8 9Impaired
Derivatives$M
Portfolios subject to IRB
approach

Past dueloans ≥ 90days
$M

ImpairedLoans / Facilities$M

Individual
provisionbalance$M

Individual
provision
charge$M

Write-offs$M

Three months Three months Three months Three months
endedended
endedended
June 2010
March 2010
June 2010
March 2010June2010

March2010

December2009

June2010

March2010

December2009

June2010

March2010

December2009

June2010

March2010

December
2009

Corporate

102

67

69

5,288

5,321

4,625

380

378

491

1,102

1,027

981

182

316

103

228

Sovereign---------

--

-

-

-

-

-

Bank-

-

-

113

123

47-

-

-

30

33

29(3)

5-

-

Residential Mortgage

-

-

-

555

504

479

887

848

779

229

216

210

20

39

1222

Qualifying revolving retail

-

-

--

--

81

78

72-

-

-

56

50

69

61

Other retail

-

--

367

353

342

143

140

133219

210

207

89

90

88

94

102

67

69

6,323

6,301

5,493

1,491

1,444

1,475

1,580

1,486

1,427

344

500

272

405

Corporate-

--

279

146

79

87

56

2914176

35(1)

1-

2

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

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

Residential Mortgage

-

-

-

18

17

17

2

4

9

7

5

4

2

1-

-

Qualifying Revolving Retail-

--

132

-

-

23-

-

132-

-

4-

-

-

Total IRB approach

Portfolios subject toStandardised approach

Other Retail---31301335

193126

26

28

12

1113

12

Total Standardised approach---

460

193

109

147

79

69

306

107

67

17

13

13

14

102

67

69

6,783

6,494

5,602

1,638

1,523

1,544

1,886

1,593

1,494

361

513

285

419

Total

5
The increase in impaired assets, past due loans and provisions in portfolios subject to Standardised approach was mainly due to assets acquired from RBS during the period. The provisions
associated with the RBS acquisitions are under review as part of the post acquisition assessment of fair valuation adjustments.
6

Impaired derivatives include a credit valuation adjustment (CVA) of $81 million, being a market assessment of the credit risk of the relevant counterparties (March 2010: $61 million; December
2009: $62 million).

7Impaired loans / facilities include restructured items of $389 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. Includes both on and off balance sheet exposures(March 2010: $560 million; December 2009: $662 million).
8Past due loans ≥ 90 days includes $1,499 million well secured loans (March 2010: $1,370 million; December 2009: $1,414 million).

9The Individual Provision charge relates to loans and advances, and does not include impairment on Available-For-Sale assets (June 2010: Nil; March 2010: $20 million).

5

ANZ Basel II Pillar 3 disclosure

June 2010

Table 17(c): General Reserve for Credit Losses 10 11June 2010$M
SpecificProvision
BalanceGeneralReserve forCredit
LossesCollective Provision

255

3,160

Individual Provision

1,886

-

Total Provision for Credit Impairment

March 2010
$M
SpecificProvision
Balance

GeneralReserve for
CreditLosses

3,415

260

2,777

1,886

1,593

-

Total

5,301

December 2009
$M
SpecificProvision
Balance

GeneralReserve for
CreditLosses

3,037

195

2,846

1,593

1,494

-

Total

4,630

10

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 IndividualProvision and Collective Provision, for ease of comparison with ANZ’s other published results.

11

The increase in the accounting Collective Provision and the regulatory GRCL during the period was mainly due toRBS assets acquired during the period. The provisions associated with the RBS acquisitions are under review as partof the post acquisition assessment of fair valuation adjustments.

6

Total
3,041
1,494
4,535

ANZ Basel II Pillar 3 disclosure

June 2010

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ANZ Basel II Pillar 3 disclosure

December 20098