ANZ BANK NEW ZEALAND LIMITEDREGISTERED BANK DISCLOSURE STATEMENTFOR THE SIX MONTHS ENDED 31 MARCH 2021
NUMBER 95 | ISSUED MAY 2021

CONTENTS
Glossary of terms

2

DISCLOSURE STATEMENTInterim Financial Statements
Condensed consolidated interim financial statements
Notes to the interim financial statements
Registered Bank Disclosures
Directors’ Statement
Independent Auditor’s Review Report

3
4
8
24
44
45

GLOSSARY OF TERMS
In this Registered Bank Disclosure Statement (Disclosure Statement) unless the context otherwise requires:
Bank means ANZ Bank New Zealand Limited.
Banking Group, We or Our means the Bank and all its controlled entities.
Immediate Parent Company means ANZ Holdings (New Zealand) Limited.
Ultimate Parent Bank means Australia and New Zealand Banking Group Limited.
Overseas Banking Group means the worldwide operations of Australia and New Zealand Banking Group Limited including its controlled
entities.
New Zealand business means all business, operations, or undertakings conducted in or from New Zealand identified and treated as if itwere conducted by a company formed and registered in New Zealand.
NZ Branch means the New Zealand business of the Ultimate Parent Bank.
ANZ New Zealand means the New Zealand business of the Overseas Banking Group.
Registered Office is Ground Floor, ANZ Centre, 23-29 Albert Street, Auckland, New Zealand, which is also the Banking Group’s address forservice.
RBNZ means the Reserve Bank of New Zealand.
APRA means the Australian Prudential Regulation Authority.
the Order means the Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014.
Any term or expression which is defined in, or in the manner prescribed by, the Order shall have the meaning given in or prescribed by
the Order.
2

INTERIM FINANCIAL
STATEMENTS
Condensed consolidated interim financial statements
Income statement

4Statement of comprehensive income

4

Balance sheet

5

Cash flow statement

6

Statement of changes in equity

7

Notes to the condensed consolidated interim financial statements
Basis of preparation
1. About our interim financial statements

8

Financial performance
2. Other operating income

9

3. Operating expenses

9

4. Segment reporting

10

Financial and non-financial assets
5. Net loans and advances

11

6. Allowance for expected credit losses

12

7. Goodwill and other intangible assets

16

Financial and non-financial liabilities
8. Deposits and other borrowings

18

9. Other provisions

18

10. Debt issuances

18

Financial instrument disclosures
11. Credit risk

19

12. Fair value of financial assets and financial liabilities

21

Other disclosures
13. Commitments and contingent liabilities

22

14. Subsequent events

22

3

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDINTERIM FINANCIAL STATEMENTS
INCOME STATEMENT
For the six months ended 31 March

Note

Interest income
Interest expense
Net interest income
Other operating income

2

Operating income
Operating expenses

3

Profit before credit impairment and income tax
Credit impairment release / (charge)

6

2021
NZ$m

2020
NZ$m

2,334
(661)

2,998
(1,332)

1,673

1,666

338

483

2,011

2,149

(772)

(836)

1,239

1,313

70

(233)

Profit before income tax

1,309

1,080

Income tax expense

(362)

(296)

Profit for the period

947

784

2021
NZ$m

2020
NZ$m

947

784

43

(17)

Unrealised losses recognised directly in equity

(3)

(65)

Realised losses transferred to the income statement

4

14

Income tax attributable to the above items

(11)

19

Other comprehensive income after tax

33

(49)

Total comprehensive income for the period

980

735

STATEMENT OF COMPREHENSIVE INCOME
For the six months ended 31 MarchProfit for the period
Other comprehensive income
Items that will not be reclassified subsequently to profit or loss
Items that may be reclassified subsequently to profit or loss
Reserve movements:

The notes appearing on pages 8 to 22 form an integral part of these interim financial statements

4

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDBALANCE SHEET
As at

Note

AssetsCash and cash equivalents
Settlement balances receivable

31 Mar 21
NZ$m

30 Sep 20
NZ$m

5,579

8,248

447

378

1,380

1,394

Trading securities

9,700

12,797

Derivative financial instruments

12,2599,702

Investment securities

12,046

9,893

137,488

132,698

368

327

Collateral paid

Net loans and advances

5

Deferred tax assets

3,088

3,092

Premises and equipment

549

590

Other assets

639

625

183,543

179,744

Settlement balances payable

2,874

2,950

Collateral received

1,202

1,275

128,860

125,061

11,111

8,252

Goodwill and other intangible assets

7

Total assets
Liabilities

Deposits and other borrowings

8

Derivative financial instruments
Current tax liabilities
Payables and other liabilities
Employee entitlements

83

251

1,331

1,115

137

143

Other provisions

9

348

389

Debt issuances

10

20,752

24,439Total liabilities

166,698

163,875

Net assets

16,845

15,86911,888

11,888EquityShare capital

119

118

Retained earnings

4,838

3,863

Total equity

16,845

15,869Reserves

The notes appearing on pages 8 to 22 form an integral part of these interim financial statements

5

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDINTERIM FINANCIAL STATEMENTS
CASH FLOW STATEMENT
For the six months ended 31 MarchProfit after income tax

2021
NZ$m

2020
NZ$m

947

784

63

69

Adjustments to reconcile to net cash flows from operating activities:
Depreciation and amortisation
Loss on sale and impairment of premises and equipment1-

Net derivatives/foreign exchange adjustment

(776)

1,260

Other non-cash movements

115

117

14

(203)

Trading securities

3,097(2,737)Net loans and advances(4,790)(2,830)

(124)

(399)

Deposits and other borrowings

3,799

7,613

Settlement balances payable

(76)

658

Collateral received

(73)

299

Net (increase)/decrease in operating assets:
Collateral paid

Other assets
Net increase/(decrease) in operating liabilities:

Other liabilities

22

(278)

Total adjustments

1,272

3,569

Net cash flows from operating activities1

2,219

4,353

Purchases(4,046)(1,050)

Proceeds from sale or maturity

1,509

768

Cash flows from investing activities
Investment securities:

(17)

(21)

(2,554)(303)

Issue proceeds

-

2,327

Redemptions(2,307)(966)

Repayment of lease liabilities

(23)

(24)

Dividends paid

(4)

(4)

Net cash flows from financing activities(2,334)

1,333

Net change in cash and cash equivalents(2,669)5,383

Cash and cash equivalents at beginning of period

8,248

2,363

Cash and cash equivalents at end of period

5,579

7,746

Other assets
Net cash flows from investing activities
Cash flows from financing activities
Debt issuances2

1
2

Net cash provided by operating activities includes income taxes paid of NZ$582 million (2020: NZ$485 million).
Movement in debt issuances (Note 10 debt issuances) also includes an NZ$1,089 million decrease (2020: NZ$901 million increase) from the effect of foreign exchange rates, a NZ$336
million decrease (2020: NZ$320 million increase) from changes in fair value hedging instruments and a NZ$45 million increase (2020: NZ$94 million increase) of other changes.

The notes appearing on pages 8 to 22 form an integral part of these interim financial statements

6

ANZ BANK NEW ZEALAND LIMITED

STATEMENT OF CHANGES IN EQUITYUNAUDITED

Investment
securities
Share revaluation
capitalreserve
NZ$m
NZ$m

Cash flow
hedging
reserve
NZ$m

Retainedearnings
NZ$m

Total
equity
NZ$m

As at 1 October 2019
Impact on transition to NZ IFRS 16 Leases

11,888

(6)

27

2,521

14,430

-

-

-

(17)

(17)

As at 1 October 2019 (adjusted)

11,888

(6)

27

2,504

14,413

Profit or loss

-

-

-

784

784

Unrealised losses recognised directly in equity

-

(38)

(27)

-

(65)

Realised losses transferred to the income statement

-

-

14

-

14

Actuarial loss on defined benefit schemes

-

-

-

(17)

(17)

Income tax credit on items recognised directly in equity

-

11

4

4

19

Total comprehensive income for the period

-

(27)

(9)

771

735

Preference dividends paid

-

-

-

(4)

(4)

Transactions with Immediate Parent Company in its capacity as owner

-

-

-

(4)

(4)

As at 31 March 2020

11,888

(33)

18

3,271

15,144As at 1 October 2020

11,888

8

110

3,863

15,869Transactions with Immediate Parent Company in its capacity as owner:

Profit or loss

-

-

-

947

947

Unrealised gains / (losses) recognised directly in equity

-

49

(52)

-

(3)

Realised losses / (gains) transferred to the income statement

-

(2)

6

-

4

Actuarial gain on defined benefit schemes

-

-

-

43

43

Income tax credit / (expense) on items recognised directly in equity

-

(13)

13

(11)

(11)

Total comprehensive income for the period

-

34

(33)

979

980

Preference dividends paid

-

-

-

(4)

(4)

Transactions with Immediate Parent Company in its capacity as owner

-

-

-

(4)

(4)

11,888

42

77

4,838

16,845

Transactions with Immediate Parent Company in its capacity as owner:

As at 31 March 2021

The notes appearing on pages 8 to 22 form an integral part of these interim financial statements

7

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
1.

ABOUT OUR INTERIM FINANCIAL STATEMENTS

BASIS OF PREPARATION
These are the condensed consolidated interim financial statements (financial statements) for ANZ Bank New Zealand Limited (the Bank) and its
controlled entities (together, the ‘Banking Group’) and should be read in conjunction with the Banking Group’s financial statements for the year ended
30 September 2020.
On 7 May 2021, the Directors resolved to authorise the issue of these financial statements.
These financial statements comply with:• New Zealand Generally Accepted Accounting Practice (NZ GAAP), as defined in the Financial Reporting Act 2013;• NZ IAS 34 Interim Financial Reporting and other applicable Financial Reporting Standards, as appropriate for publicly accountable for-profit
entities; and• IAS 34 Interim Financial Reporting.
The financial statements consolidate the financial statements of the Bank and its subsidiaries.
We present the financial statements in New Zealand dollars and have rounded values to the nearest million dollars (NZ$m), unless otherwise stated.
The accounting policies adopted by the Banking Group are consistent with those adopted and disclosed in the previous full year financial statements.

BASIS OF MEASUREMENT
These financial statements have been prepared on a going concern basis in accordance with historical cost concepts except that the following assets
and liabilities are stated at their fair value:• derivative financial instruments;• financial instruments measured at fair value through other comprehensive income; and• financial instruments designated at fair value through profit and loss.

KEY JUDGEMENTS AND ESTIMATES
The preparation of these financial statements requires the use of management judgement, estimates and assumptions that affect reported
amounts and the application of accounting policies. Discussion of the critical accounting estimates and judgements, which include complex
or subjective decisions or assessments, are provided in the previous full year financial statements. Such estimates and judgements arereviewed on an ongoing basis.
A brief explanation of the key estimates, assumptions and judgements that have changed during the six months ended 31 March 2021 follows:Coronavirus (COVID-19) pandemic
The COVID-19 pandemic and its effect on the global economy have impacted our customers, operations and the Banking Group‘s
performance. The outbreak necessitated governments to respond at unprecedented levels to protect the health of the population, local
economies and livelihoods. It has affected different regions at different times and at varying degrees and there remains a risk ofsubsequent waves of infection. Thus the pandemic has significantly increased the estimation uncertainty in the preparation of thesefinancial statements including:• the extent and duration of the disruption to business arising from the actions of governments, businesses and consumers to containthe spread of the virus;• the impact, extent and duration of the expected economic downturn (and forecasts for key economic factors including GDP,
employment and house prices). This includes disruption to capital markets, and the impacts on credit quality, liquidity,
unemployment, consumer spending, as well as specific sector impacts and other restructuring activities; and• the efficacy, extent and pace of roll-out of vaccines, as well as the effectiveness of government and central bank measures that havebeen and will be put in place to support businesses and consumers through this disruption.
The Banking Group has made various accounting estimates in these financial statements based on forecasts of economic conditions whichreflect expectations and assumptions as at 31 March 2021 about future events that the Directors believe are reasonable in the circumstances.
There is a considerable degree of judgement involved in preparing these estimates. The underlying assumptions are also subject touncertainties which are often outside the control of the Banking Group. Accordingly, actual economic conditions are likely to be different fromthose forecast since anticipated events frequently do not occur as expected, and the effect of those differences may significantly impact
accounting estimates included in these financial statements.
The significant accounting estimates impacted by these forecasts and associated uncertainties are predominantly related to expected credit
losses, carrying values of goodwill, fair value measurement, and recoverable amounts of non-financial assets.
The impact of the COVID-19 pandemic on each of these estimates is discussed further in the relevant note in these financial statements and/orin the relevant note in the previous full year financial statements. Readers should consider these disclosures in light of the inherent uncertainty
described above.

8

ANZ BANK NEW ZEALAND LIMITED2.

OTHER OPERATING INCOME

For the six months ended 31 March(i) Fee and commission income
Lending fees
Non-lending fees
Commissions
Funds management income
Fee and commission income
Fee and commission expense
Net fee and commission income(ii) Other income
Net trading gains
Fair value gain / (loss) on hedging activities and financial liabilities designated at fair value
Net foreign exchange earnings and other financial instruments income
Other
Other income
Other operating income

3.

UNAUDITED

2021
NZ$m

2020
NZ$m

16
341
18
131
506
(230)
276

17
374
21
133
545
(260)
285

66
(26)
40
22
62
338

68
119
187
11
198
483

2021
NZ$m

2020
NZ$m

421
14
9
444

454
15
24
493

9
40
20
69

12
45
20
77

23
62
18
103

24
60
22
106

17
31
21
53
34
156
772

24
31
21
41
43
160
836

OPERATING EXPENSES

For the six months ended 31 March
Personnel
Salaries and related costs
Superannuation costs
Other
Personnel
PremisesRent
Depreciation
Other
Premises
Technology
Depreciation and amortisation
Subscription licences and outsourced services
Other
Technology (excluding personnel)
Other
Advertising and public relations
Professional fees
Freight, stationery, postage and communication
Charges from Ultimate Parent Bank
Other
Other
Operating expenses

9ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
4. SEGMENT REPORTING
The Banking Group is organised into three major business segments for segment reporting purposes - Retail, Commercial and Institutional. Centralised
back office and corporate functions support these segments. These segments are consistent with internal reporting provided to the chief operating
decision maker, being the Bank’s Chief Executive Officer.
There were no material changes to the Banking Group’s reportable segments during the six months ended 31 March 2021.
RetailRetail provides a full range of banking and wealth management services to consumer, private banking and small business banking customers. We
deliver our services via our internet and app-based digital solutions and network of branches, mortgage specialists, relationship managers and contact
centres.
Commercial
Commercial provides a full range of banking services including traditional relationship banking and sophisticated financial solutions throughdedicated managers focusing on privately owned medium to large enterprises, the agricultural business segment, government and government
related entities.
Institutional
The Institutional division services governments, global institutional and corporate customers across three product sets: Transaction Banking, Corporate
Finance and Markets.
• Transaction Banking provides working capital and liquidity solutions including documentary trade, supply chain financing as well as cash
management solutions, deposits, payments and clearing.
• Corporate Finance provides loan products, loan syndication, specialised loan structuring and execution, project and export finance, debt
structuring and acquisition finance and corporate advisory.
• Markets provide risk management services on foreign exchange, interest rates, credit, commodities and debt capital markets in addition to
managing the Banking Group’s interest rate exposure and liquidity position.
Other
Other includes treasury and back office support functions, none of which constitutes a separately reportable segment.
RetailFor the six months
ended 31 March
Net interest income

Commercial

Institutional

2021

2020

2021

2020

2021

2020

2021

Other
2020

2021

Total
2020

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

983

921

503

549

168

177

19

19

1,673

1,666

7

8

-

-

9

9

-

-

16

17

308

343

5

5

28

26

-

-

341

374

Net fee and commission income- Lending fees
- Non-lending fees
- Commissions

17

21

-

-

1

-

-

-

18

21

- Funds management income

131

133

-

-

-

-

-

-

131

133

- Fee and commission expense

(230)

(260)

-

-

-

-

-

-

(230)

(260)

Net fee and commission income

233

245

5

5

38

35

-

-

276

285

Other income

15

8

-

1

75

46

(28)

143

62

198

Other operating income

248

253

5

6

113

81

(28)

143

338

483

Operating income

1,231

1,174

508

555

281

258

(9)

162

2,011

2,149

Operating expenses

(547)

(574)

(118)

(147)

(94)

(96)

(13)

(19)

(772)

(836)

Profit before credit impairment
and income tax

684

600

390

408

187

162

(22)

143

1,239

1,313

Credit impairment release /(charge)

32

(83)

31

(106)

7

(44)

-

-

70

(233)

Profit / (loss) before income tax

716

517

421

302

194

118

(22)

143

1,309

1,080

Income tax expense

(197)

(145)

(118)

(85)

(54)

(33)

7

(33)

(362)

(296)

Profit / (loss) after income tax

519

372

303

217

140

85

(15)

110

947

784

10

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

RetailCommercial

Institutional

Other

Total

31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20
As at

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

NZ$m

Financial position
Goodwill

1,011

1,011

926

926

1,069

1,069

-

-

3,006

3,006

Net loans and advances

92,11286,362

38,83239,333

6,533

6,993

11

10

137,488

132,698

Customer deposits

81,35879,867

20,172

18,437

21,25622,559--122,786

120,863

2021
NZ$m
1
8
(24)
(15)

2020
NZ$m
3
11
96
110

31 Mar 21
NZ$m
660
1,287
95,08140,732
137,760(23)
368
138,105(617)
137,488

30 Sep 20
NZ$m
659
1,300
89,25841,882133,099(26)
319
133,392(694)
132,698

Other segment
The Other segment profit/(loss) after tax comprises:
For the six months ended 31 MarchCentral functions
Group Centre
Economic hedges
Total

5.

NET LOANS AND ADVANCES

Note
Overdrafts
Credit cards
Term loans - housing
Term loans - non-housing
Subtotal
Unearned income
Capitalised brokerage and other origination costs
Gross loans and advances
Allowance for expected credit losses
Net loans and advances

6

The Bank has sold residential mortgages to the NZ Branch with a net carrying value of NZ$306 million as at 31 March 2021 (30 September 2020:
NZ$287 million). These assets qualify for derecognition as the Bank does not retain a continuing involvement in the transferred assets.

11

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
6. ALLOWANCE FOR EXPECTED CREDIT LOSSES
This note should be read in conjunction with the estimates, assumptions and judgements relating to COVID-19 included in Note 1.

ALLOWANCE FOR EXPECTED CREDIT LOSSES – BALANCE SHEETNet loans and advances - at amortised cost
Allowance for Expected Credit Losses (ECL) is included in net loans and advances.

As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Write-backs
Bad debts written-off (excluding recoveries)
Discount unwind
As at 31 March 2021

Stage 1
NZ$m
162
21
(33)
150

Stage 3
Collectively IndividuallyStage 2
assessedassessed
NZ$m
NZ$m
NZ$m
347
79
106
(20)
(2)
1
1
(15)
38
(36)
(28)
(4)
328
62
77

Total
NZ$m
694
(9)
(36)
(28)
(4)
617

Off-balance sheet credit related commitments - undrawn and contingent facilities
Allowance for ECL is included in other provisions.
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
As at 31 March 2021

79
3
(11)
71

55
(3)
(1)
51

3
3

22
(3)
19

159
(15)
144

2021
NZ$m

2020
NZ$m

(60)
36
(36)
(10)
(70)

189
73
(15)
(14)
233

CREDIT IMPAIRMENT CHARGE – INCOME STATEMENT
For the six months ended 31 March
New and increased provisions- Collectively assessed- Individually assessed
Write-backs
Recoveries of amounts previously written-off
Total credit impairment charge / (release)

LOAN DEFERRAL AND RELIEF PACKAGES
From March 2020, the Banking Group offered various forms of assistance to customers to counteract the impact of COVID-19 on the ability ofcustomers to meet their loan obligations. The assistance provided included arrangements such as temporary deferral of principal and interest
repayments, replacing principal and interest with interest only repayments, and extension of loan maturity dates. The loan deferral and relief packages
are considered to be a loan modification under NZ IFRS 9. This either results in the loan being derecognised and replaced with a new loan (substantial
modification) or the existing loan continuing to be recognised (non-substantial modification).
These relief packages were phased out during the six months ended 31 March 2021. In the case of loan deferral packages, 86% of all customers who
took advantage of a deferral package have reverted back to loan repayments, with the remainder having been either restructured or, for less than 2%of customers, transferred to hardship. For those customers who took up loan deferral packages, it is considered that the packages, as well as
government support measures, may have obscured repayment delinquencies that might otherwise have occurred over the loan deferral period andthose that may still occur in the future. Thus the Banking Group has provided a component of ECL for expected delinquencies and increases inSignificant Increase in Credit Risk (SICR) for this population of loans.
Facilities which transitioned to interest-only or took up term extensions offered as a result of COVID-19, are now subsumed within the normal loan
population and are managed accordingly.

12

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDKEY JUDGEMENTS AND ESTIMATES
In estimating individually assessed ECL for Stage 3 exposures, the Banking Group makes judgements and assumptions in relation to expected
repayments, the realisable value of collateral, business prospects for the customer, competing claims and the likely cost and duration of thework-out process. Judgements and assumptions in respect of these matters have been updated to reflect the ongoing and potential impact of
COVID-19.
In estimating collectively assessed ECL, the Banking Group makes judgements and assumptions in relation to:• the selection of an estimation technique or modelling methodology, noting that the modelling of the Banking Group’s ECL estimates arecomplex; and• the selection of inputs for those models, and the interdependencies between those inputs.
The following table summarises the key judgements and assumptions in relation to the model inputs and the interdependencies between
those inputs, and highlights significant changes during the current period.
The judgements and associated assumptions have been made in the context of the impact of COVID-19, and reflect historical experience andother factors that are considered to be relevant, including expectations of future events that are believed to be reasonable under thecircumstances. The Banking Group’s ECL estimates are inherently uncertain and, as a result, actual results may differ from these estimates.
Judgement /assumption
Determining
when a SICR
has occurred

Description
In the measurement of ECL, judgement is involved insetting the rules and trigger points to determine
whether there has been a SICR since initial recognitionof a loan, which would result in the financial asset
moving from Stage 1 to Stage 2. This is a key area ofjudgement since transition from Stage 1 to Stage 2
increases the ECL from an allowance based on theprobability of default in the next 12 months, to anallowance for lifetime expected credit losses.
Subsequent decreases in credit risk resulting intransition from Stage 2 to Stage 1 may similarly result insignificant changes in the ECL allowance.

Considerations for the six months ended
31 March 2021
The relief packages offered to customers in
response to COVID-19 in 2020 are no longer being
offered, and the majority of customers who took up
the relief have reverted back to their normal loan
repayments.
The relief packages, as well as government support
measures, may have obscured repayment
delinquencies that might otherwise have occurred
and those that may still occur in the future. Thus the
Banking Group has provided a component of ECL
for expected delinquencies and increases in SICR.

The setting of precise trigger points requires judgement
which may have a material impact upon the size of the
ECL allowance. The Banking Group monitors theeffectiveness of SICR criteria on an ongoing basis.
Measuringboth 12-monthand lifetime
credit losses

The probability of default (PD), loss given default (LGD)
and exposure at default (EAD) credit risk parameters
used in determining ECL are point-in-time measuresreflecting the relevant forward looking information
determined by management. Judgement is involved indetermining which forward-looking information
variables are relevant for particular lending portfolios
and for determining each portfolio’s point-in-time
sensitivity.

The PD, EAD and LGD models are subject to the
Banking Group’s model risk policy that stipulates
periodic model monitoring, periodic re-validationand defines approval procedures and authorities
according to model materiality.

In addition, judgement is required where behaviouralcharacteristics are applied in estimating the lifetime of a
facility to be used in measuring ECL.

There were no material changes to the policies
during the six months ended 31 March 2021.

During the six months ended 31 March 2021 an
adjustment was made to the modelled outcome toaccount for continuing model uncertainties as aresult of COVID-19.

13

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS

KEY JUDGEMENTS AND ESTIMATES
Judgement /assumption

Description

Considerations for the six months ended
31 March 2021

Base caseeconomic
forecast

The Banking Group derives a forward looking “basecase” economic scenario which reflects our view of
future macro-economic conditions.

There have been no changes to the types of forward
looking variables (key economic drivers) used asmodel inputs in the current period.
As at 31 March 2021, the base case assumptions havebeen updated to reflect the current phase of COVID19, including containment in key geographies,
government stimulus measures and roll-out ofvaccines. In determining the expected path andtiming out of the current economic downturn,assessments of the impact of central bank policies,
governments’ actions, the response of business, andinstitution specific responses (such as payment
deferrals) were considered.

Probability
weighting ofeach scenario(base case,upside,downside andseveredownsidescenarios)1,2

Probability weighting of each economic scenario is
determined by management considering the risks anduncertainties surrounding the base case scenario at
each measurement date.

The expected outcomes of key economic drivers forthe base case scenario as at 31 March 2021 aredescribed below under the heading “Base caseeconomic forecast assumptions”.
The key consideration for probability weightings in
the current period is the extent and timing ofrecovery from the economic downturn caused by
COVID-19.
The Banking Group considers these weightings toprovide the best estimate of the possible loss
outcomes and has analysed inter-relationships andcorrelations (over both the short and long term)
within the Banking Group’s credit portfolios indetermining them.
In addition to the base case forecast which reflects asignificant improvement as we emerge from an
economic environment heavily influenced by COVID19, greater weighting continues to be applied to thedownside scenario given the Banking Group’s
assessment of downside risks.

Management
temporaryadjustments

Management temporary adjustments to the ECL
allowance are used in circumstances where it is judgedthat our existing inputs, assumptions and modeltechniques do not capture all the risk factors relevant toour lending portfolios. Emerging local or global
macroeconomic, microeconomic or political events,
and natural disasters that are not incorporated into ourcurrent parameters, risk ratings, or forward-looking
information are examples of such circumstances. The
use of management temporary adjustments may
impact the amount of ECL recognised.

The assigned probability weightings are subject to ahigh degree of inherent uncertainty and therefore
the actual outcomes may be significantly different tothose projected.
Management have applied a number of adjustments
to the modelled ECL primarily due to the uncertainty
associated with continuing COVID-19 impacts.
Management overlays (including COVID-19 overlays)
which add to the modelled ECL provision have been
made for risks particular to retail, commercial and agri
banking.

The uncertainty associated with the COVID-19
pandemic, including the roll-out of vaccines, and theextent to which the actions of governments, businesses
and consumers mitigate against potentially adverse
credit outcomes are not fully incorporated into existing
ECL models which are based on historical underlying
data. Accordingly, management overlays have been
applied to ensure credit provisions are appropriate.
1.
2.

14

The upside and downside scenarios are fixed by reference to average economic cycle conditions (that is, they are not based on the economic conditions prevailing at balance date) and are
based on a combination of more optimistic (in the case of the upside) and pessimistic (in the case of the downside) economic conditions.
The severe downside scenario is fixed by reference to average economic cycle conditions and accounts for the potentially severe downside impact of less likely extremely adverse economic
conditions.

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDKEY JUDGEMENTS AND ESTIMATES
Base case economic forecast assumptions
The uncertain evolution of the COVID-19 pandemic increases the risk to the economic forecast resulting in an understatement oroverstatement of the ECL balance due to uncertainties around:• the extent and duration of measures, including the roll-out of vaccines, to contain the spread of COVID-19;• the extent and duration of the economic downturn, along with the time required for economies to recover; and• the effectiveness of government stimulus measures, in particular their impact on the magnitude of the economic downturn and theextent and duration of the recovery.
The economic drivers of the base case economic forecasts at 31 March 2021 are set out below. These reflect our view of future macroeconomic conditions at 31 March 2021. For years beyond the near term forecasts below, the ECL models project future year economic
conditions including an assumption to eventual reversion to mid-cycle economic conditions.
Actual calendar year

Forecast calendar year

New Zealand

2020

2021

2022

Gross domestic product (GDP)
Unemployment
Residential property prices
Consumer price index (CPI)

-3.0%
4.6%
15.6%
1.7

3.6%
5.4%
17.4%
1.9

3.7%
4.6%
4.1%
1.6

The base case economic forecasts as at 31 March 2021 indicate a significant improvement in current and expected economic conditions fromthe forecasts as at 30 September 2020 reflecting the ongoing progress and actions in responding to the COVID-19 pandemic.
Probability weightings
Probability weighting of each scenario is determined by management considering the risks and uncertainties surrounding the base casescenario. The key consideration for probability weightings in the current period is the effectiveness of actions taken in response to COVID-19
and the ability of vaccines to limit the impact of the virus.
The base case scenario represents a significant improvement in the forecasts since September 2020. Given the uncertainties associated with apotential recovery in the economy, greater weighting continues to be applied to the downside and severe downside scenarios given the
Banking Group’s assessment of downside risks.
The assigned probability weightings are subject to a high degree of inherent uncertainty and therefore the actual outcomes may besignificantly different to those projected. The Banking Group considers these weightings to provide the best estimate of the possible loss
outcomes and has analysed inter-relationships and correlations (over both the short and long term) within the Banking Group’s credit
portfolios in determining them. The average weightings applied are set out below:

Base
UpsideDownside
Severe downside

31 Mar 21

30 Sep 20

50%
8%
32%
10%

50%
8%
32%
10%

ECL - sensitivity analysis
Given current economic uncertainties and the judgement applied to factors used in determining the expected default of borrowers in future
periods, ECL reported by the Banking Group should be considered as a best estimate within a range of possible estimates.
The table below illustrates the sensitivity of collectively assessed ECL to key factors used in determining it as at 31 March 2021:
Total
NZ$m

Impact
NZ$m

If 1% of Stage 1 facilities were included in Stage 2
If 1% of Stage 2 facilities were included in Stage 1

669
664

4
(1)

100% upside scenario
100% base scenario
100% downside scenario
100% severe downside scenario

457
544
802
998

(208)
(121)
137
333

15

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
7.

GOODWILL AND OTHER INTANGIBLE ASSETS
31 Mar 21 30 Sep 20
NZ$m
NZ$m
3,006
3,006
76
76
6
10
3,092
3,088

Goodwill
Funds management rights (indefinite life)
Software
Goodwill and other intangible assets

GOODWILL AND OTHER INTANGIBLE ASSETS ALLOCATED TO CASH-GENERATING UNITS (CGUs)
Goodwill arose on the acquisition of the NBNZ Holdings Limited group on 1 December 2003, and the carrying amount reflects amortisation
recognised before the application of NZ IFRS from 1 October 2004 and subsequent business disposals. Funds management rights, assessed as having
indefinite useful lives, arose on the acquisition of the ING Holdings (NZ) Limited (now ANZ Wealth New Zealand Limited) group on 30 November 2009.
Goodwill and funds management rights are allocated to CGUs as follows:
GoodwillManagement rights
31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20
NZ$m
NZ$m
NZ$m
NZ$m
893
893
118
118
76
76
1,011
1,011
76
76
926
926
1,069
1,069
3,006
76
3,006
76

Cash generating unit
Retail and business banking
WealthRetail segment
Commercial
Institutional
Total
Annual goodwill impairment test

The annual impairment test is performed as at the end of February each year. Goodwill is considered to be impaired if the carrying amount of therelevant CGU exceeds its recoverable amount. The recoverable amount of a CGU is the higher of its fair value less costs of disposal (FVLCOD) and its
value-in use (VIU). We use a value-in-use approach to estimate the recoverable amount of the CGU to which each goodwill component is allocated.
Based on this assessment no impairment was identified for any CGU, and therefore a FVLCOD calculation was not required.
VALUE-IN-USE
These calculations use cash flow projections based on a number of financial budgets within each CGU covering an initial forecast period. These
projections also incorporate economic assumptions including GDP, inflation, unemployment, residential and commercial property prices, the impactof the restriction imposed by the RBNZ on the payment of ordinary dividends by all New Zealand incorporated registered banks, and theimplementation of the RBNZ’s increased capital requirements. Cash flows beyond the forecast period are extrapolated using the terminal growth rate.
These cash flow projections are discounted using a discount rate derived using a capital asset pricing model.
Future changes in the assumptions upon which the calculation is based may materially impact this assessment, resulting in the potential impairmentof part or all of the goodwill balances.
Input / assumption

Values applied in 28 February 2021 impairment test

Forecast period and projections

To 30 September 2028 - an extended forecast period was used to cover the implementation period of the
RBNZ’s increased capital requirements over the period 1 July 2021 to 1 July 2028.

Revenue growth over forecast
periodComprises impacts of net interest margin and volume growth, arising from planned responses to known
regulatory and economic forecasts. Average annual forecast revenue growth rates are shown below.

Credit impairment over forecast
periodVaries by CGU, based on ECL modelling for 2021 to 2023, before returning to long run experience levels for2024 to 2028. Long run experience levels are based on the Banking Group’s bad debts written off, net ofrecoveries, since 2004 of 0.15% of gross loans and advances. Credit impairment for each CGU as apercentage of forecast gross loans and advances for 2024 to 2028 is shown below.

Terminal growth rate

2.0% - based on 2023 forecast inflation from the RBNZ’s February 2021 Monetary Policy Statement.

Discount rate

Post tax: 9.4% (February 2020: 9.3%).
The main variables in the calculation of the discount rate used are the risk free rate, beta and the market risk
premium. The risk free rate was the traded 10 year New Zealand government bond yield as at 28 February
2021 of 1.9%. The market risk premium was estimated using a range of methods incorporating historicaland forward looking market data. Beta was consistent with observable measures applied in the regionalbanking sector.

16

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDThe values of the average revenue growth, credit impairment as a percentage of forecast gross loans and advances, and pre-tax discount rates
assumptions by CGU are shown in the table below. The implied pre-tax discount rates are significantly higher than the post-tax discount rate above
because regulatory capital retention over the forecast period is not tax effected.
Cash generating unit
Retail and business banking
WealthCommercial
Institutional

Revenue growthCredit impairment
Pre-tax discount rate
31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20
6.1%
5.8%
0.13%
0.13%
17.5%
16.7%
3.4%
2.7%
0.10%
0.01%
16.4%
16.0%
4.8%
0.22%
17.1%
4.2%
0.21%
17.8%
0.6%
0.12%
17.0%
4.5%
0.21%
17.3%

We performed stress tests for key sensitivities in each CGU. A change, considered to be reasonably possible by management, in key assumptions
would not cause the recoverable amounts of the Retail & business banking and Wealth CGUs to exceed their carrying amounts, but would do so for
the Commercial and Institutional CGUs.
A summary of the amounts by which key assumptions for Commercial and Institutional must change in order for their recoverable amounts to equal
their carrying amounts is shown below.

Amount by which recoverable amount exceeds carrying amount (NZ$m)
Value of assumption and change (in basis points) required to reduce recoverable amount to nil:
Average annual revenue growth over forecast period
Average annual credit impairment FY24-FY28
Discount rate
Terminal growth rate

Commercial
Forecast
ChangeValue required
513
n/a
4.2%
0.21%
9.4%
2.0%

-87 bp+17 bp+63 bp-106 bp

Institutional
Forecast
ChangeValue required
386
n/a
4.5%
0.21%
9.4%
2.0%

-113 bp+73 bp+80 bp-140 bp

KEY JUDGEMENTS AND ESTIMATESManagement judgement is used to assess the recoverable value of goodwill and other intangible assets, and the useful economic life ofan asset, or if an asset has an indefinite life. We reassess the recoverability of the carrying value at each reporting date.
Goodwill
A number of key judgements are required in the determination of whether or not a goodwill balance is impaired:• the level at which goodwill is allocated – consistent with prior periods the CGUs to which goodwill is allocated are the Banking
Group’s four revenue generating segments that benefit from relevant historical business combinations generating goodwill.
• determination of the carrying amount of each CGU which includes an allocation, on a reasonable and consistent basis of corporate
assets and liabilities that are not directly attributable to the CGUs to which goodwill is allocated.
• assessment of the recoverable amount of each CGU used to determine whether the carrying amount of goodwill is supported isbased on judgements including the selection of the model and key assumptions used to calculate the recoverable amount.
The assessment of the recoverable amount of each CGU has been made within the context of the ongoing impact of COVID-19, andreflects expectations of future events that are believed to be reasonable under the circumstances. The rapidly evolving consequences of
COVID-19 and government, business and consumer responses create heightened uncertainty in these estimates and any variations could
have a positive or adverse impact on the determination of recoverable amounts.

17

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
8.

DEPOSITS AND OTHER BORROWINGS

Term deposits
On demand and short term deposits
Deposits not bearing interest
Total customer deposits
Certificates of deposit
Commercial paper
Securities sold under repurchase agreements
Deposits from Immediate Parent Company and NZ Branch
Deposits and other borrowings

31 Mar 21
NZ$m
43,264
59,24020,282
122,786
1,407
3,543
1,113
11
128,860

30 Sep 20
NZ$m
50,06953,91016,884
120,863
1,782
1,748
646
22
125,061

31 Mar 21
NZ$m
144
121
31
23
29
348

30 Sep 20
NZ$m
159
141
36
23
30
389

9. OTHER PROVISIONSECL allowance on undrawn facilities
Customer remediation
Restructuring costs
Leasehold make good
Other1
Total other provisions

Note
6

1 Other provisions comprise various other provisions including losses arising from other legal action, operational issues, and warranties and indemnities provided in connection with various
disposals of businesses and assets.

10. DEBT ISSUANCESThe Banking Group uses a variety of funding programmes to issue unsubordinated debt (including senior debt and covered bonds) and subordinateddebt. The difference between unsubordinated debt and subordinated debt is that holders of unsubordinated debt take priority over holders ofsubordinated debt owed by the relevant issuer and subordinated debt will be repaid by the relevant issuer only after the repayment of claims ofdepositors, other creditors and the senior debt holders.
31 Mar 21
30 Sep 20
NZ$m
NZ$m
Senior debt
14,066
17,476
Covered bonds
4,245
4,522
Total unsubordinated debt
18,311
21,998Subordinated debt (additional tier 1 capital)
2,441
2,441
24,439Total debt issued
20,752
Covered bonds are guaranteed by ANZNZ Covered Bond Trust Limited (the Covered Bond Guarantor), solely in its capacity as trustee of ANZNZ
Covered Bond Trust (the Covered Bond Trust). The Covered Bond Trust is a member of the Banking Group, whereas the Covered Bond Guarantor is nota member of the Banking Group.
Substantially all of the assets of the Covered Bond Trust are made up of certain housing loans and related securities originated by the Bank which are
security for the guarantee by the Covered Bond Guarantor as trustee of the Covered Bond Trust of issuances of covered bonds by the Bank, or its
wholly owned subsidiary ANZ New Zealand (Int’l) Limited, from time to time. The assets of the Covered Bond Trust are not available to creditors of theBank, although the Bank (or its liquidator or statutory manager) may have a claim against the residual assets of the Covered Bond Trust (if any) after all
prior ranking creditors of the Covered Bond Trust have been satisfied.

18

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

11. CREDIT RISKThis note should be read in conjunction with the estimates, assumptions and judgements relating to COVID-19 in Note 1 and ECL in Note 6.
Maximum exposure to credit risk
For financial assets recognised on the balance sheet, the maximum exposure to credit risk is the carrying amount. In certain circumstances there may
be differences between the carrying amounts reported on the balance sheet and the amounts reported in the tables below. Principally, thesedifferences arise in respect of financial assets that are subject to risks other than credit risk, such as equity instruments which are primarily subject tomarket risk, or bank notes and coins.
For undrawn facilities, this maximum exposure to credit risk is the full amount of the committed facilities. For contingent exposures, the maximum
exposure to credit risk is the maximum amount the Banking Group would have to pay if the instrument is called upon.
The table below shows our maximum exposure to credit risk of on-balance sheet and off-balance sheet positions before taking account of any
collateral held or other credit enhancements.
ReportedOn-balance sheet positions
Net loans and advances
Other financial assets:
Cash and cash equivalents
Settlement balances receivable
Collateral paid
Trading securities
Derivative financial instruments
Investment securities
Other financial assets2
Total other financial assets
Subtotal
Off-balance sheet commitments
Undrawn and contingent facilities3
Total
1
2
3

Maximum exposure tocredit risk

Excluded1

31 Mar 21
NZ$m

30 Sep 20
NZ$m

31 Mar 21
NZ$m

30 Sep 20
NZ$m

31 Mar 21
NZ$m

30 Sep 20
NZ$m137,488

132,698--

137,488

132,698

5,579
447
1,380
9,700
12,25912,046551
41,962
179,450

8,248
378
1,394
12,797
9,702
9,893
547
42,959175,657

211
211
211

187
187
187

5,368
447
1,380
9,700
12,25912,046551
41,751
179,239

8,061
378
1,394
12,797
9,702
9,893
547
42,772
175,470

30,448209,898

30,857
206,514211

187

30,448
209,687

30,857
206,327

Bank notes and coins and cash at bank within cash and cash equivalents.
Other financial assets mainly comprise accrued interest and acceptances.
Undrawn facilities and contingent facilities include guarantees, letters of credit and performance related contingencies, net of collectively assessed and individually assessed allowance for
expected credit losses.

Credit quality
We use the Banking Group’s internal customer credit rating (CCR) to manage the credit quality of financial assets. To enable wider comparisons, theBanking Group’s CCRs are mapped to external rating agency scales as follows:
Credit quality
description

Internal CCR

The Banking Group customer requirements

Moody’s
RatingS&P Global
Ratings

Strong

CCR 0+ to 4-

Demonstrated superior stability in their operating and financial
performance over the long-term, and whose earnings capacity is
not significantly vulnerable to foreseeable events.

Aaa – Baa3

AAA – BBB-

Satisfactory

CCR 5+ to 6-

Demonstrated sound operational and financial stability over the
medium to long-term even though some may be susceptible tocyclical trends or variability in earnings.

Ba1 – B1

BB+ – B+Weak

CCR 7+ to 8=

Demonstrated some operational and financial instability, withvariability and uncertainty in profitability and liquidity projected tocontinue over the short and possibly medium term.

B2 – Caa

B - CCC

Defaulted

CCR 8- to 10

When doubt arises as to the collectability of a credit facility, thefinancial instrument (or ‘the facility’) is classified as defaulted.

n/a

n/a

19

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
Net loans and advances

Stage 1
NZ$m
106,586
21,964522
129,072(150)
128,9220.12%

Stage 3
Collectively IndividuallyStage 2
assessedassessed
NZ$m
NZ$m
NZ$m
2,087
3,918
1,685
683
315
7,690
683
315
(328)
(62)
(77)
7,362
621
238
4.27%
9.08%
24.44%

98,25921,446405
120,110(162)
119,948
0.13%

5,508
4,578
1,734
11,820(347)
11,4732.94%

As at 31 March 2021
StrongSatisfactory
Weak
Defaulted
Gross undrawn and contingent facilities
Allowance for ECL included in other provisions (refer to Note 9)
Net undrawn and contingent facilities
Coverage ratio

Stage 1
NZ$m
25,1653,848
19
29,032(71)
28,961
0.24%

Stage 3
Collectively IndividuallyStage 2
assessedassessed
NZ$m
NZ$m
NZ$m
194
1,160
140
31
35
1,494
31
35
(51)
(3)
(19)
1,443
28
16
3.41%
9.68%
54.29%

As at 30 September 2020
StrongSatisfactory
Weak
Defaulted
Gross undrawn and contingent facilities
Allowance for ECL included in other provisions (refer to Note 9)
Net undrawn and contingent facilities
Coverage ratio

25,5253,949
27
29,501(79)
29,4220.27%

As at 31 March 2021
StrongSatisfactory
Weak
Defaulted
Subtotal
Allowance for ECL
Net loans and advances at amortised cost
Coverage ratio
Unearned income
Capitalised brokerage and other origination costs
Net carrying amountAs at 30 September 2020
StrongSatisfactory
Weak
Defaulted
Subtotal
Allowance for ECL
Net loans and advances at amortised cost
Coverage ratio
Unearned income
Capitalised brokerage and other origination costs
Net carrying amount

808
808
(79)
729
9.78%

361
361
(106)
255
29.36%

Total
NZ$m
108,673
25,882
2,207
998
137,760(617)
137,143
0.45%
(23)
368
137,488

103,767
26,0242,139
1,169
133,099(694)
132,405
0.52%
(26)
319
132,698

Off-balance sheet commitments - undrawn and contingent facilities

20

302
974
179
1,455
(55)
1,400
3.78%

19
19
(3)
16
15.79%

41
41
(22)
19
53.66%

Total
NZ$m
25,3595,008
159
66
30,592(144)
30,4480.47%

25,8274,923
206
60
31,016(159)
30,857
0.51%

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED12. FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIESFinancial assets and financial liabilities carried at fair value on the balance sheet
The Banking Group categorises financial assets and financial liabilities carried at fair value into a fair value hierarchy as required by NZ IFRS 13 Fair Value
Measurement based on the observability of inputs used to measure the fair value:• Level 1 – valuations based on quoted prices (unadjusted) in active markets for identical assets or liabilities;• Level 2 – valuations using inputs other than quoted prices included within Level 1 that are observable for a similar asset or liability, either directly
or indirectly; and• Level 3 – valuations where significant unobservable inputs are used to measure the fair value of the asset or liability.
The table below summarises the attribution of financial instruments carried at fair value to the fair value hierarchy:
Fair value measurements
Quoted market price Using observable inputs
Using unobservable(Level 1)(Level 2)
inputs (Level 3)
31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20 31 Mar 21 30 Sep 20
NZ$m
NZ$m
NZ$m
NZ$m
NZ$m
NZ$m
AssetsTrading securities
Derivative financial instruments
Investment securities
Total
Liabilities
Deposits and other borrowings
Derivative financial instruments
Other financial liabilities
Total

Total
31 Mar 21
NZ$m

30 Sep 20
NZ$m

8,854
10
12,04520,909

8,848
8
9,892
18,748846
12,247
13,093

3,949
9,691
13,640

2
1
3

3
1
4

9,700
12,25912,04634,005

12,797
9,702
9,893
32,392

19
598
617

4
158
162

3,543
11,092
14,635

1,748
8,248
9,996

-

-

3,543
11,111
598
15,252

1,748
8,252
158
10,158Financial assets and financial liabilities not measured at fair value
Below is a comparison of the carrying amounts as reported on the balance sheet and fair values of financial asset and financial liability categories otherthan those categories where the carrying amount is at fair value or considered a reasonable approximation of fair value.
The fair values below have been calculated using discounted cash flow techniques where contractual future cash flows of the instrument are
discounted using discount rates incorporating wholesale market rates or market borrowing rates of debt with similar maturities or a yield curve
appropriate for the remaining term to maturity.
Carrying amountFinancial assets
Net loans and advances1
Total
Financial liabilities
Deposits and other borrowings2
Debt issuances1
Total
1
2

Fair value

31 Mar 21
NZ$m

30 Sep 20
NZ$m

31 Mar 21
NZ$m

30 Sep 20
NZ$m137,488
137,488

132,698
132,698

137,903137,903

133,305
133,305

125,317
20,752
146,069

123,313
24,439147,752

125,439
21,165
146,604

123,486
24,748148,234

Fair value hedging is applied to certain financial instruments within these categories. The resulting fair value adjustments mean that the carrying value differs from the amortised cost.
Excludes commercial paper (Note 8 deposits and other borrowings) designated at fair value through profit or loss.

21

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDNOTES TO THE INTERIM FINANCIAL STATEMENTS
13. COMMITMENTS AND CONTINGENT LIABILITIESCredit related commitments and contingencies
Contract amount of:
Undrawn facilities
Guarantees and letters of credit
Performance related contingencies
Total

31 Mar 21
NZ$m

30 Sep 20
NZ$m27,7091,298
1,585
30,592

28,2731,309
1,434
31,016The Banking Group guarantees the performance of customers by issuing standby letters of credit and guarantees to third parties, including its
Ultimate Parent Bank. The risk involved is essentially the same as the credit risk involved in extending loan facilities to customers, therefore thesetransactions are subjected to the same credit origination, portfolio management and collateral requirements for customers applying for loans. As thefacilities may expire without being drawn upon, the notional amounts do not necessarily reflect future cash requirements.
Other contingent liabilities
There are outstanding court proceedings, claims and possible claims for and against the Banking Group. Where relevant, expert legal advice has beenobtained and, in the light of such advice, provisions (refer to Note 9 other provisions) and/or disclosures as deemed appropriate have been made. In
some instances we have not disclosed the estimated financial impact of the individual items either because it is not practicable to do so or becausesuch disclosure may prejudice seriously the interests of the Banking Group.
Regulatory and customer exposures
In recent years there has been an increase in the number of matters on which the Banking Group engages with its regulators. There have also beensignificant increases in the nature and scale of regulatory investigations and reviews, civil and criminal enforcement actions (whether by court action
or otherwise), formal and informal inquiries, regulatory supervisory activities and the quantum of fines issued by regulators, particularly against
financial institutions both in New Zealand and globally. The Banking Group has received various notices and requests for information from its
regulators as part of both industry-wide and Banking Group-specific reviews, and has also made disclosures to its regulators at its own instigation. The
nature of these interactions can be wide ranging and, for example, may include a range of matters including responsible lending practices, regulated
lending financial transactions, product suitability and distribution, interest and fees and the entitlement to charge them, customer remediation, wealthadvice, insurance distribution, pricing, competition, conduct in financial markets and financial transactions, capital market transactions, anti-money
laundering and counter-terrorism financing obligations, reporting and disclosure obligations and product disclosure documentation. There may be
exposures to customers which are additional to any regulatory exposures. These could include class actions, individual claims or customer
remediation or compensation activities. The outcomes and total costs associated with such reviews and possible exposures remain uncertain.
Reviews under section 95 of the Reserve Bank of New Zealand Act 1989 (RBNZ Act)
On 5 July 2019, the RBNZ issued a notice under section 95 of the RBNZ Act requiring the Bank to obtain two external reviews: the first on the Bank’s
compliance with certain aspects of the RBNZ Banking Supervision Handbook document Capital Adequacy Framework (Internal Models Based Approach)(BS2B) (Capital Adequacy Review); and the second on the effectiveness of the Bank’s directors’ attestation and assurance framework (Attestation Review).
The Attestation Review and the Capital Adequacy Review were completed in December 2019 and April 2020, respectively. The Bank is committed to
implementing the recommendations and addressing the issues raised by these reviews.
Due to the impacts of the COVID-19 pandemic, the RBNZ extended the time period for addressing the Attestation Review recommendations, subject
to the Bank obtaining external interim reviews of the remediation activities being undertaken in respect of the Attestation Review and the Capital
Adequacy Review, assessed as at March 2021, with final reviews being assessed as at September 2021 for the Attestation review and December 2021
for the Capital Models review. The interim review of the Attestation Review is in the process of being finalised. The interim review of the Capital
Adequacy Review has been completed. The external reviewer has reported that the Bank has made significant progress to address non-complianceissues and improvement areas identified by the Capital Adequacy Review, and the programme of work is expected to be completed by December
2021.
The Attestation Review and the Capital Adequacy Review have highlighted the need for a broader programme of improving the Bank's processes
covered by those reviews, and this programme is now in its implementation phase.
Warranties and indemnities
The Banking Group has provided warranties, indemnities and other commitments in favour of the purchaser in connection with various disposals of
businesses and assets and other transactions, covering a range of matters and risks. It is exposed to potential claims under those warranties,
indemnities and commitments.

14. SUBSEQUENT EVENTSOn 31 March 2021, the RBNZ announced that it was easing the restrictions preventing banks from paying any dividends on ordinary shares andredeeming non-common equity tier 1 capital instruments that were put in place in April 2020. The changes to the dividend restrictions allow the Bank
to pay up to a maximum of 50% of its earnings as dividends. The 50% dividend restriction will remain in place until 1 July 2022 at which point the
RBNZ intends to remove the restrictions entirely, subject to no significant worsening in economic conditions. The Bank’s conditions of registration
were amended on 29 April 2021 to bring the 50% dividend restriction into effect.

22This page has been left blank intentionally

23

REGISTERED BANKDISCLOSURESThis section contains the additional disclosures required by theRegistered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014.

24

Section

Order reference

Page

B1.

General disclosures

Schedule 3

25

B2.

Additional financial disclosures

Schedule 5

27

B3.

Asset quality

Schedule 7

32

B4.

Capital adequacy under the internal models based approach,and regulatory liquidity ratios

Schedule 11

36

B5.

Concentration of credit exposures to individual counterparties

Schedule 13

43

B6.

Insurance business

Schedule 16

43

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
B1. GENERAL DISCLOSURES
Guarantees
The Bank has guaranteed the payment of interest and principal of covered bonds issued by its subsidiary ANZ New Zealand (Int’l) Limited. Thisobligation is guaranteed by ANZNZ Covered Bond Trust Limited (the Covered Bond Guarantor), solely in its capacity as trustee of ANZNZ Covered
Bond Trust. The Covered Bond Guarantor’s address for service is Level 9, 34 Shortland Street, Auckland, New Zealand. The Covered Bond Guarantor is
not a member of the Banking Group and has no credit ratings applicable to its long term senior unsecured obligations. The covered bonds have been
assigned a long term rating of Aaa and AAA by Moody’s Investors Service and Fitch Ratings respectively. Refer to page 18 for further details, and topage 27 for the amount of assets of the ANZ Covered Bond Trust pledged as security for covered bonds.
No other material obligations of the Bank are guaranteed as at 7 May 2021.
Changes in the Bank’s Board of Directors
Michelle Jablko resigned as a Non-Executive Director on 1 February 2021. As at 7 May 2021, there have been no other changes to the Directors of the
Bank since 30 September 2020, the balance date of the last full year disclosure statement.
Auditors
KPMG, 18 Viaduct Harbour Avenue, Auckland, New Zealand.
Conditions of registration
Changes to the Bank’s conditions of registration
Effective 1 March 2021, the Bank’s conditions of registration have been amended to include restrictions on high loan-to-valuation residential
mortgage lending to owner-occupiers and investors.
Since 31 March 2021, the Bank’s conditions of registration have been amended to:• ease restrictions on dividends on ordinary shares to 50% of the Bank’s earnings (effective 29 April 2021);• include further restrictions on high loan-to-valuation residential mortgage lending to investors (effective 1 May 2021); and• refer to updated versions of BS13 Liquidity Policy and BS13A Liquidity Policy Annex: Liquid Assets (effective 1 May 2021).
Material non-compliance with conditions of registration
A review of the Bank’s compliance with the RBNZ’s capital adequacy requirements was undertaken under section 95 of the RBNZ Act and wascompleted in April 2020. The Bank has accepted the improvements identified in the review, and is working to rectify its processes. The RBNZ has
stated that it is confident the Bank will resolve this matter without issue, and has emphasised that the Banking Group remains sound and wellcapitalised.
As first reported in the disclosure statement for the year ended 30 September 2019, the Bank has not complied with condition of registration 1B in
relation to the implementation of changes to rating models and processes that were not approved by the RBNZ.
Applying the last RBNZ approved methodologies to the affected exposures as at 30 September 2019 would have decreased Risk Weighted Assets(RWA) by NZ$47 million (0.05%) in aggregate, which was not sufficient to affect the reported capital ratios.
Affected models and the initial dates of non-compliance are:• Commercial Property Model Suite (Single Investment, Multi Investment, Hotel Investment, Special Purpose Asset Investment, Single Residential
Development, Commercial Development, Englobo Land Pre Development) - 2011
• Non-Bank Financial Institutions Model Suite (Life Insurance, Non-life Insurance, Insurance Holding Company, Finance Companies, Financial
Services Companies, Real Money Funds) - 2009
• Project and Structured Finance - 2009
• Bank, Country & Sovereigns - 2008
The Bank’s model compendium required under section 1.3B of BS2B was found to be non-compliant as it included unapproved model changes.
The first tranche of remediated models was submitted to the RBNZ for approval in August 2020, a second tranche was submitted in November 2020,
with a third submission completed in April 2021. As at 30 April 2021, fourteen remediated models had been submitted to the RBNZ for approval, withthe three remaining models expected to be submitted before the end of 2021.
Other matters relevant to the conditions of registration
There are other matters currently under review where there may be more than one valid interpretation of the respective policy wording or
requirement. Where there may be some uncertainty about the interpretation the Bank has applied, where appropriate it has sought guidance from,and will be liaising with, the RBNZ on these matters.
Pending proceedings or arbitration
A description of any pending legal proceedings or arbitration concerning any member of the Banking Group that may have a material adverse effecton the Bank or the Banking Group is included in Note 13 commitments and contingent liabilities.

25

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Credit rating
As at 7 May 2021, the Bank has three credit ratings, which are applicable to its long-term senior unsecured obligations which are payable in New
Zealand in New Zealand dollars.
The Bank’s credit ratings are:Rating agency
S&P Global Ratings
Fitch Ratings
Moody’s Investors Service

Credit rating
AAA+
A1

Qualification
Outlook Negative
Outlook Stable
Outlook Stable

Other material matters
RBNZ review of capital requirements
Between May 2017 and December 2019, the RBNZ conducted a comprehensive review of the capital adequacy framework applying to New Zealand
locally incorporated registered banks. The RBNZ's final decisions on the capital review as they relate to the Bank are set out below. In response to the
COVID-19 pandemic, the RBNZ delayed the start date for the increased capital requirements to support credit availability. The new regime is expected
to be implemented in stages from 1 July 2021.
• The Banking Group’s total capital requirement will increase to 18% of RWA, including tier 1 capital of at least 16% of RWA. Up to 2.5% of the tier 1
capital requirement can be made up of additional tier 1 (AT1) capital, with the remainder of the tier 1 requirement made up of common equity
tier 1 (CET1) capital. The increased capital ratios requirement will be implemented progressively from 1 July 2022 to 1 July 2028. AT1 capital must
consist of perpetual preference shares, which may be redeemable. The total capital requirement can also include tier 2 capital of up to 2% of
RWA. Tier 2 capital must consist of long-term subordinated debt.
• The tier 1 capital requirement will include a CET1 prudential capital buffer of 9% of RWA. This will include: a 2% domestic, systemically importantbank capital buffer; a 1.5% 'early-set' counter-cyclical capital buffer, which can be temporarily reduced to 0% following a financial crisis, or
temporarily increased to prevent asset price bubbles from developing; and a 5.5% capital conservation buffer.
• Contingent capital instruments will no longer be treated as eligible regulatory capital. As at 31 March 2021, the Bank had approximately
NZ$2,741 million of AT1 instruments that will progressively lose eligible regulatory capital treatment over a seven year transition period from 1
July 2021 to 1 July 2028.
• As an internal ratings based approach accredited bank, the Banking Group’s RWA outcomes will be increased to approximately 90% of what
would be calculated under the standardised approach. This will be achieved by applying an 85% output floor from 1 January 2022, andincreasing the credit RWA scalar from 1.06 to 1.20 from 1 October 2022.
• The Banking Group will be required to report RWA, and resulting capital ratios, using both the internal models and the standardised approaches
from 1 January 2022.
The RBNZ’s reforms will result in a material increase in the level of capital that the Banking Group is required to hold, although the amount of theincrease is currently uncertain. The reforms could have a material impact on the Banking Group and its business, including on its capital allocation andbusiness planning.
Since 30 September 2018, CET1 capital has increased by NZ$3.8 billion to NZ$12.9 billion at 31 March 2021 and total capital has increased by NZ$3.8
billion to NZ$15.7 billion, in preparation for these changes and due to the RBNZ’s COVID-19 related dividend restrictions.

26

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

B2. ADDITIONAL FINANCIAL DISCLOSURES
Additional information on the balance sheet
As at 31 March 2021
Total interest earning and discount bearing assets
Total interest and discount bearing liabilities
Total amounts due from related entities
Total amounts due to related entities

NZ$m
166,477
133,037
4,417
6,514

Assets charged as security for liabilities
These amounts exclude the amounts disclosed as collateral paid on the balance sheet that relate to derivative liabilities. The terms and conditions of
the collateral agreements are included in the standard Credit Support Annex that forms part of the International Swaps and Derivatives Association
Master Agreement.
Assets charged as security for liabilities include the following types of instruments:• Securities provided as collateral for repurchase transactions. These transactions are governed by standard industry agreements.
• Specified residential mortgages provided as security for notes and bonds issued to investors as part of the Bank’s covered bond programme.
The carrying amounts of assets pledged as security are as follows:
As at 31 March 2021
Securities sold under agreements to repurchase
Residential mortgages pledged as security for covered bonds

NZ$m
1,113
11,696

Additional information on the income statement
The amounts of net trading gains or losses and other fair value adjustments are included in Note 2 other operating income. The Banking Group does
not have any loans and advances designated at fair value through profit or loss. Other operating income for the purposes of the Order comprises net
fee and commission income, and all other items of other income (all in Note 2 other operating income).

27

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Additional information on concentrations of credit risk
Analysis of financial assets by industry is based on Australian and New Zealand Standard Industrial Classification (ANZSIC) codes. The significant
categories shown are the level one New Zealand Standard Industry Output Categories (NZSIOC), except that Agriculture is shown separately as
required by the Order.
Composition of financial instruments that give rise to credit risk by industry group are presented below:

As at 31 March 2021
New Zealand residents
Agriculture
Forestry and fishing, agriculture services
Manufacturing
Electricity, gas, water and waste services
Construction
Wholesale trade
Retail trade and accommodation
Transport, postal and warehousing
Finance and insurance services
Public administration and safety1
Rental, hiring & real estate services
Professional, scientific, technical, administrative and support services
Households
All other New Zealand residents2

Loans andadvances
NZ$m

Off-balance
Othersheet credit
financialrelatedassets commitments
NZ$m
NZ$m

Total
NZ$m

16,743
652
2,437
1,066
1,168
1,207
2,380
816
901
315
37,195872
68,042
1,985

57
6
167
486
16
86
22
131
8,705
14,506
1,360
8
165
112

1,107
145
2,138
1,838
864
1,790
865
712
1,831
836
2,324
458
13,6801,898

17,907
803
4,742
3,390
2,048
3,083
3,267
1,659
11,437
15,65740,8791,338
81,887
3,995

Subtotal
Overseas
Finance and insurance services
Households
All other non-NZ residents

135,779

25,82730,486

192,092

123
1,185
673

15,9073
14

106-16,136
1,188
687

Subtotal
Gross subtotal
Allowance for ECL
Subtotal
Unearned income
Capitalised brokerage and other origination costs
Maximum exposure to credit risk

1,981
137,760(617)
137,143(23)
368
137,488

15,92441,751
41,751
41,751

106
30,592(144)
30,44830,44818,011
210,103(761)
209,342(23)
368
209,6871
2

28

Public administration and safety includes exposures to local government administration and central government administration, defence and public safety.
Other includes exposures to mining, information media and telecommunications, education and training, health care and social assistance and arts, recreation and other services.

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Additional information on concentrations of funding
Analysis of funding liabilities by industry is based on ANZSIC codes. The significant categories shown are the level one NZSIOC.
As at 31 March 2021

Note

NZ$m

8

122,786

Funding composition
Customer deposits
Wholesale funding
Debt issuances

20,752

Certificates of deposit and commercial paper

4,950

Other borrowings

1,124

Total wholesale funding

26,826

Total funding

149,612

Customer deposits by industry - New Zealand residents
Agriculture, forestry and fishing

4,264

Manufacturing

2,764

Construction

2,951

Wholesale trade

2,487

Retail trade and accommodation

2,287

Financial and insurance services

12,958

Rental, hiring and real estate services

4,365

Professional, scientific, technical, administrative and support services

6,331

Public administration and safety

1,916

Arts, recreation and other services

2,179Households

65,697All other New Zealand residents1

5,072
113,271

Customer deposits by industry - overseas
Households
All other non-NZ residents

8,803
712
9,515

Total customer deposits

122,786

Wholesale funding (financial and insurance services industry)
New Zealand

6,294Overseas

20,532

Total wholesale funding

26,826

Total funding

149,612

Concentrations of funding by geography
New Zealand

119,565

Australia

1,171

United States

11,836

Europe10,216

Other countries

6,824

Total funding

149,612

1

Other includes mining; electricity, gas, water and waste services; transport, postal and warehousing; information media and telecommunications; education and training; health care andsocial assistance.

29

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Additional information on interest rate sensitivity
The following table represents the interest rate sensitivity of the Banking Group's assets, liabilities and off-balance sheet instruments by showing theperiods in which these instruments may reprice, that is, when interest rates applicable to each asset or liability can be changed.

As at 31 March 2021
AssetsCash and cash equivalents
Settlement balances receivable
Collateral paid
Trading securities
Derivative financial instruments
Investment securities
Net loans and advances
Other financial assets
Total financial assets
Liabilities
Settlement balances payable
Collateral received
Deposits and other borrowings
Derivative financial instruments
Debt issuances
Lease liabilities
Other financial liabilities
Total financial liabilities
Hedging instruments
Interest sensitivity gap
1

Total
NZ$m

Up to
3 months
NZ$m

Over 3 to
6 months
NZ$m

Over 6 to
12 months
NZ$m

Over 1 to
2 years
NZ$m

Over Not bearing
2 years
interest1
NZ$m
NZ$m

5,579
447
1,380
9,700
12,25912,046
137,488551
179,450

5,327
1,380
1,331
439
64,81873,295

133
19,632
19,765175
486
33,651
34,312782
595
15,31016,687

7,279
10,525
4,614
22,418252
447
12,2591(537)
551
12,973

2,874
1,202
128,860
11,111
20,752277
869
165,945
13,505

1,630
1,202
83,9963,568
12598
91,006
63,67545,964

13,8722,277
12
16,161(65,857)(62,253)

7,247
3,102
23
10,372
2,054
25,994

2,397
1,350
86
3,833
(3,210)
9,644

1,066
10,455
144
11,665
3,338
14,091

1,244
20,282
11,111271
32,908(19,935)

Excludes non-coupon bearing discount financial assets and financial liabilities which are shown as repricing on their maturity date.

Additional information on liquidity risk
Maturity analysis of financial liabilities
The table below provides residual contractual maturity analysis of financial liabilities at 31 March 2021 within relevant maturity groupings. All
outstanding debt issuances are profiled on the earliest date on which the Banking Group may be required to pay. The amounts represent principal
and interest cash flows – so they may differ from equivalent amounts reported on the balance sheet.

As at 31 March 2021

Less than
3 months
NZ$m

3 to 12months
NZ$m

1 to 5
years
NZ$m

After
5 years
NZ$m

Total
NZ$m

2,510

365

-

-

-

2,875

-

1,202

-

-

-

1,202

On demand
NZ$m

Settlement balances payable
Collateral received

79,522

24,304

21,9783,659-

129,463

Derivative financial liabilities (trading)

-

8,971

-

-

-

8,971

Debt issuances

-

1,025

5,431

10,481

4,577

21,514

Lease liabilities

-

13

39

169

81

302

Other financial liabilities

-

42

7

226

486

761

Deposits and other borrowings
1

Derivative financial instruments(balance sheet management)- gross inflows

-

1,367

2,900

3,981

300

8,548

- gross outflows-(1,388)(2,924)(4,106)(266)(8,684)1

Any callable wholesale debt instruments have been included at their next call date.

At 31 March 2021, NZ$10 million of the Banking Group’s NZ$14 million of non-credit related commitments and all NZ$30,592 million of its credit
related commitments and contingent liabilities mature in less than 1 year, based on the earliest date on which the Banking Group may be required to
pay.

30

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Liquidity portfolio
The Banking Group holds a diversified portfolio of cash and high quality liquid securities to support liquidity risk management. The size of the Banking
Group’s liquidity portfolio is based on the amount required to meet its internal and regulatory liquidity scenario metrics.
As at 31 March 2021
Cash and balances with central banks
Certificates of deposit
Central and local government bonds
Government treasury bills
Other bonds
Total liquidity portfolio

NZ$m
4,939
380
11,997329
7,853
25,498Assets held in the Banking Group’s liquidity portfolio include short term cash held with the RBNZ, New Zealand Government securities, securities
issued by supranational agencies, securities issued by highly rated banks and securities issued by State Owned Enterprises, Local Authorities andhighly rated New Zealand domestic corporates. These assets would be accepted as collateral by the RBNZ in repurchase transactions. At 31 March
2021, the Banking Group would be eligible to enter into repurchase transactions with a value of NZ$20,559 million. The Bank also held unencumberedinternal residential mortgage backed securities (RMBS) which would entitle the Banking Group to enter into repurchase transactions with a value of
NZ$8,629 million at 31 March 2021.
Reconciliation of mortgage related amounts
As at 31 March 2021
Term loans - housing1
Less: fair value hedging adjustment
Less: housing loans made to corporate customers
Add: unsettled re-purchases of mortgages from the NZ BranchOn-balance sheet residential mortgage exposures subject to the IRB approach (per asset quality and LVR analysis)
Add: off-balance sheet residential mortgage exposures subject to the IRB approach (per asset quality and LVR analysis)
Total residential mortgage exposures subject to the IRB approach (per LVR analysis)
1

Note
5

B3, B4B3, B4B4

NZ$m
95,081(3)(1,682)
3
93,3998,925
102,324

Term loans – housing includes loans secured over residential property for owner-occupier, residential property investment and business purposes.

31

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
B3. ASSET QUALITY
This section should be read in conjunction with the estimates, assumptions and judgements relating to COVID-19 and ECL included in Note 1, Note 6
and Note 11 to the financial statements.
Movements in components of loss allowance – total
Stage 3
Collectively IndividuallyStage 2
assessedassessed
NZ$m
NZ$m
NZ$m
347
79
106
(20)
(2)
1
1
(15)
38
(36)
(10)
(19)
(17)
(7)
(28)
10
(4)
328
62
77

Net loans and advances - total
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Write-backs
Recoveries of amounts previously written off
Credit impairment charge
Bad debts written-off (excluding recoveries)
Add back recoveries of amounts previously written off
Discount unwind
As at 31 March 2021

Stage 1
NZ$m
162
21
(33)
(12)
150

Total
NZ$m
694
(9)
(36)
(10)
(55)
(28)
10
(4)
617

Off-balance sheet credit related commitments - total
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Credit impairment charge
As at 31 March 2021

79
3
(11)
(8)
71

55
(3)
(1)
(4)
51

3
3

22
(3)
(3)
19

159
(15)
(15)
144

Gross loans and advances - total
As at 1 October 2020
Net transfers in to each stage
Amounts drawn from new or existing facilities
Additions
Net transfers out of each stage
Amounts repaid
Deletions
Amounts written off
As at 31 March 2021
Loss allowance as at 31 March 2021

120,1103,150
22,62325,773(189)(16,622)(16,811)129,072
150

11,820147
535
682(3,096)(1,716)(4,812)
7,690
328

808
35
61
96
(55)
(166)
(221)
683
62

361
8
62
70
(88)
(88)
(28)
315
77

133,099
3,340
23,281
26,621(3,340)(18,592)(21,932)(28)
137,760
617

Off-balance sheet credit related commitments - total
As at 1 October 2020
Net transfers in to each stage
New and increased facilities and drawn amounts repaid
Additions
Net transfers out of each stage
Reduced facilities and amounts drawn
Deletions
As at 31 March 2021
Loss allowance as at 31 March 2021

29,501
15
4,648
4,663
(129)
(5,003)(5,132)
29,032
71

1,455
121
173
294
(15)
(240)
(255)
1,494
51

19
7
9
16
(4)
(4)
31
3

41
1
3
4
(10)
(10)
35
19

31,016
144
4,833
4,977
(144)
(5,257)(5,401)30,592144

Impacts of changes in gross financial assets on loss allowances - total

Explanation of how changes in the gross carrying amounts of gross loans and advances contributed to changes in loss allowance
Overall, loss allowances are 0.45% of gross balances as at 31 March 2021, down from 0.52% as at 30 September 2020. The NZ$92 million (10.8%)
decrease in loss allowances was driven by a decrease in the proportion of gross balances in Stage 2 and Stage 3, and changes in the forward looking
economic scenarios as described in Note 6 to the financial statements.

32

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Movements in components of loss allowance – residential mortgages

Net loans and advances - residential mortgages
As at 1 October 2020 1
Transfer between stages
New and increased provisions (net of collective provision releases)
Write-backs
Recoveries of amounts previously written off
Credit impairment charge
Bad debts written-off (excluding recoveries)
Add back recoveries of amounts previously written off
Discount unwind
As at 31 March 2021
Off-balance sheet credit related commitments - residential mortgages
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Credit impairment charge
As at 31 March 2021

Stage 3
Collectively Individuallyassessedassessed
NZ$m
NZ$m
29
8
(1)
(15)
3
(3)
(16)
13
8

Stage 1
NZ$m
20
13
(14)
(1)
19

Stage 2
NZ$m
63
(12)
(4)
(16)
47

Total
NZ$m
120
(30)
(3)
(33)
87

-

-

-

-

-

Impacts of changes in gross financial assets on loss allowances - residential mortgages
Gross loans and advances - residential mortgages
As at 1 October 2020
Net transfers in to each stage
Amounts drawn from new or existing facilities
Additions
Net transfers out of each stage
Amounts repaid
Deletions
Amounts written off
As at 31 March 2021
Loss allowance as at 31 March 2021

81,0573,150
17,147
20,297(10,633)(10,633)
90,721
19

5,859
254
254
(3,096)(742)(3,838)
2,275
47

512
5
5
(55)
(77)
(132)
385
13

24
1
8
9
(15)
(15)
18
8

87,452
3,151
17,414
20,565(3,151)(11,467)(14,618)
93,39987

Off-balance sheet credit related commitments - residential mortgages
As at 1 October 2020
Net transfers in to each stage
New and increased facilities and drawn amounts repaid
Additions
Net transfers out of each stage
Reduced facilities and amounts drawn
Deletions
Amounts written off
As at 31 March 2021
Loss allowance as at 31 March 2021

8,793
15
1,348
1,363
(1,285)(1,285)
8,871
-

73
6
6
(15)
(11)
(26)
53
-

1
1
1
-

-

8,866
15
1,355
1,370
(15)
(1,296)(1,311)8,925-

1Amounts have been updated to reclassify a total net NZ$17 million relating to residential mortgages previously included in corporate.

Explanation of how changes in the gross carrying amounts of residential mortgages contributed to changes in loss allowance
While gross balances have increased, there has been a decrease in the proportion of gross balances in Stage 2 and Stage 3. The NZ$33 million (27.3%)
decrease in loss allowances on residential mortgage exposures is primarily driven by changes in the forward looking economic scenarios as describedin Note 6 to the financial statements. Overall loss allowances and individually impaired exposures remain low, reflecting that approximately 93% of onbalance sheet residential mortgage exposures have loan to valuation ratios not exceeding 80% (refer to page 40).

33

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Movements in components of loss allowance – other retail exposures

Net loans and advances - other retail exposures
As at 1 October 2020 1
Transfer between stages
New and increased provisions (net of collective provision releases)
Write-backs
Recoveries of amounts previously written off
Credit impairment charge / (release)
Bad debts written-off (excluding recoveries)
Add back recoveries of amounts previously written off
Discount unwind
As at 31 March 2021
Off-balance sheet credit related commitments - other retail exposures
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Credit impairment charge
As at 31 March 2021

Stage 3
Collectively Individuallyassessedassessed
NZ$m
NZ$m
26
8
(7)
20
(3)
(9)
(7)
8
(18)
9
19
7

Stage 1
NZ$m
11
5
(6)
(1)
10

Stage 2
NZ$m
60
(5)
(1)
(6)
54

Total
NZ$m
105
6
(3)
(9)
(6)
(18)
9
90

19
3
(8)
(5)
14

13
(3)
1
(2)
11

3
(1)
(1)
2

-

35
(8)
(8)
27

Impacts of changes in gross financial assets on loss allowances - other retail exposures
Gross loans and advances - other retail exposures
As at 1 October 2020 2
Net transfers in to each stage
Amounts drawn from new or existing facilities
Additions
Net transfers out of each stage
Amounts repaid
Deletions
Amounts written off
As at 31 March 2021
Loss allowance as at 31 March 2021

2,570
331
331
(30)
(407)
(437)
2,464
10

165
20
11
31
(32)
(32)
164
54

49
9
2
11
(20)
(20)
40
19

11
1
20
21
(3)
(3)
(18)
11
7

2,795
30
364
394
(30)
(462)
(492)
(18)
2,679
90

Off-balance sheet credit related commitments - other retail exposures
As at 1 October 2020 2
Net transfers in to each stage
New and increased facilities and drawn amounts repaid
Additions
Net transfers out of each stage
Reduced facilities and amounts drawn
Deletions
As at 31 March 2021
Loss allowance as at 31 March 2021

5,183
139
139
(15)
(268)
(283)
5,039
14

47
13
4
17
(9)
(9)
55
11

15
2
2
4
(4)
(4)
15
2

-

5,245
15
145
160
(15)
(281)
(296)
5,109
27

1
2

Amounts have been updated to reclassify a total net NZ$31 million relating to other retail exposures previously included in corporate.
For consistency with capital adequacy classifications, amounts have been updated to reclassify NZ$1,179 million of gross loans and advances previously included in corporate and NZ$635
million of off balance sheet credit related commitments to corporate.

Explanation of how changes in the gross carrying amounts of other retail exposures contributed to changes in loss allowance
The NZ$23 million (16.4%) decrease in loss allowances is primarily driven by changes in the forward looking economic scenarios as described in Note 6
to the financial statements.

34

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Movements in components of loss allowance – corporate exposures1

Net loans and advances - corporate exposures
As at 1 October 2020 2
Transfer between stages
New and increased provisions (net of collective provision releases)
Write-backs
Recoveries of amounts previously written off
Credit impairment charge
Bad debts written-off (excluding recoveries)
Add back recoveries of amounts previously written off
Discount unwind
As at 31 March 2021
Off-balance sheet credit related commitments - corporate exposures
As at 1 October 2020
Transfer between stages
New and increased provisions (net of collective provision releases)
Credit impairment charge
As at 31 March 2021

Stage 1
NZ$m
131
3
(13)
(10)
121

60
(3)
(3)
57

Stage 3
Collectively IndividuallyStage 2
assessedassessed
NZ$m
NZ$m
NZ$m
224
24
90
(3)
(1)
1
6
7
15
(30)
(1)
3
6
(15)
(10)
1
(4)
227
30
62

Total
NZ$m
469
15
(30)
(1)
(16)
(10)
1
(4)
440

42
(2)
(2)
40

1
1
1

22
(3)
(3)
19

124
(7)
(7)
117

Impacts of changes in gross financial assets on loss allowances - corporate exposures
Gross loans and advances - corporate exposures
As at 1 October 2020 3
Net transfers in to each stage
Amounts drawn from new or existing facilities
Additions
Net transfers out of each stage
Amounts repaid
Deletions
Amounts written off
As at 31 March 2021
Loss allowance as at 31 March 2021

36,483
5,145
5,145
(159)
(5,582)(5,741)35,887
121

5,796
127
270
397
(942)
(942)
5,251
227

247
26
54
80
(69)
(69)
258
30

326
6
34
40
(70)
(70)
(10)
286
62

42,852
159
5,503
5,662
(159)
(6,663)(6,822)(10)
41,682
440

Off-balance sheet credit related commitments - corporate exposures
As at 1 October 2020 3
Net transfers in to each stage
New and increased facilities and drawn amounts repaid
Additions
Net transfers out of each stage
Reduced facilities and amounts drawn
Deletions
As at 31 March 2021
Loss allowance as at 31 March 2021

15,525
3,161
3,161
(114)
(3,450)(3,564)
15,122
57

1,335
108
163
271
(220)
(220)
1,386
40

4
5
6
11
15
1

41
1
3
4
(10)
(10)
35
19

16,905
114
3,333
3,447
(114)
(3,680)(3,794)
16,558117

1
2
3

Also includes all other non-retail exposure classes in net loans and advances and off balance sheet credit related commitments to reconcile to the respective totals for the Banking Group.
Amounts have been updated to reclassify aggregate amounts of NZ$17 million to residential mortgages and NZ$31 million to other retail.
For consistency with capital adequacy classifications of other retail exposures, amounts have been updated to reclassify NZ$1,179 million of gross loans and advances to other retail
exposures and NZ$635 million of off balance sheet credit related commitments from other retail exposures.

Explanation of how changes in the gross carrying amounts of corporate exposures contributed to changes in loss allowance
The NZ$36 million (6.1%) decrease in loss allowances is primarily driven by small decrease in the proportion of gross balances in Stage 2 and changes
in the forward looking economic scenarios as described in Note 6 to the financial statements.

35

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Past due assets and other asset quality information
As at 31 March 2021
Past due assets
Less than 30 days past due
At least 30 days but less than 60 days past due
At least 60 days but less than 90 days past due
At least 90 days past due
Total past due but not individually impaired
Other asset quality information
Undrawn facilities with impaired customers
Other assets under administration

Residential
mortgages
NZ$m

Other retail
exposures
NZ$m

Corporate
exposures
NZ$m

Total
NZ$m

449
139
67
347
1,002

91
16
8
26
141

259
200
36
15
510

799
355
111
388
1,653

3

1

35
-

35
4

The Banking Group does not have any loans and advances designated at fair value.

B4. CAPITAL ADEQUACY UNDER THE INTERNAL MODELS BASED APPROACH, AND REGULATORYLIQUIDITY RATIOSRBNZ Basel III capital ratios
As at 31 March
Common equity tier 1 capital
Tier 1 capital
Total capital
Buffer ratio

Banking Group
RBNZ minimum
2021
4.5%
13.1%
6.0%
15.9%
8.0%
15.9%
2.5%
7.9%

2020
11.1%
13.9%
13.9%
5.9%

Bank
(Solo Consolidated)
2021
2020
12.7%
10.7%
15.5%
13.5%
15.5%
13.5%
n/a
n/a

Capital of the Banking GroupAs at 31 March 2021
Tier 1 capital
Common equity tier 1 (CET1) capital
Paid up ordinary shares issued by the Bank
Retained earnings (net of appropriations)
Accumulated other comprehensive income and other disclosed reserves
Less deductions from common equity tier 1 capital
Goodwill and intangible assets, net of associated deferred tax liabilities
Deferred tax assets less deferred tax liabilities relating to temporary differences
Cash flow hedge reserve
Expected losses to the extent greater than total eligible allowances for impairment
Common equity tier 1 capital
Additional tier 1 capitalPreference shares1
NZD 500m ANZ New Zealand Capital Notes (ANZ NZ CN)2
NZD 1,003m ANZ New Zealand Internal Capital Notes (ANZ NZ ICN)2NZD 938m ANZ New Zealand Internal Capital Notes (ANZ NZ ICN2)2
Retained earnings of the Bonus Bonds Scheme3Less deductions from additional tier 1 capital
Surplus retained earnings of the Bonus Bonds Scheme3
Additional tier 1 capital
Total tier 1 capital
Tier 2 capital
Total capital
1
2
3

36

NZ$m

11,5884,838
119(3,088)
(396)
(77)
(73)
12,911
300
500
1,003
938
102
(91)
2,752
15,663
15,663

Classified as equity on the balance sheet under NZ GAAP.
Classified as a liability on the balance sheet under NZ GAAP.
Bonus Bonds Scheme is not consolidated on the balance sheet under NZ GAAP but retained earnings are classified as AT1 capital for capital adequacy purposes as set out in BS2B.

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Capital requirements of the Banking GroupAs at 31 March 2021
Total credit risk
Operational risk
Market risk
Supervisory adjustment
Total
1

Total
exposures
after credit
risk mitigation
NZ$m
204,516
n/a
n/a
n/a
n/a

Risk weighted
exposure or
implied risk
weighted Total capital
exposure1 requirement
NZ$m
NZ$m
67,1895,375
10,234
819
5,671
454
15,387
1,231
98,481
7,879

The calculation of risk weighted credit exposures includes a scalar of 1.06 in accordance with the Bank's Conditions of Registration.

Capital structure
Ordinary shares– common equity tier 1 capital
All ordinary shares share equally in dividends and any proceeds available to ordinary shareholders on winding up of the Bank. On a show of hands
every member who is present at a meeting in person or by proxy or by representative is entitled to one vote, and upon a poll every member shallhave one vote for each share held.
Preference shares– additional tier 1 capital
All preference shares were issued by the Bank to the Immediate Parent Company and do not carry any voting rights. The preference shares are whollyclassified as equity instruments as there is no contractual obligation for the Bank to either deliver cash or another financial instrument or to exchange
financial instruments on a potentially unfavourable basis. The key terms of the preference shares are as follows:
Dividends are payable at the discretion of the directors of the Bank and are non-cumulative. The Bank must not resolve to pay any dividend or makeany other distribution on its ordinary shares until the next preference dividend payment date if the dividend on the preference shares is not paid.
Should the Bank elect to pay a dividend, the dividend is based on a floating rate equal to the aggregate of the New Zealand 6 month bank bill rateplus a 325 basis point margin, multiplied by one minus the New Zealand company tax rate, with dividend payments due on 1 March and 1 September
each year.
The preference shares are redeemable, subject to prior written approval of the RBNZ, by the Bank providing notice in writing to holders of thepreference shares:• on any date on or after a change to laws or regulations that adversely affects the regulatory capital or tax treatment of the preference shares; or• on any dividend payment date; or• on any date if the Bank has ceased to be a wholly owned subsidiary of the Ultimate Parent Bank.
The preference shares may be redeemed for nil consideration should a non-viability trigger event occur.
The preference shares qualify as AT1 capital for RBNZ’s capital adequacy purposes.
In the event of liquidation, holders of preference shares are entitled to available subscribed capital per share, pari passu with all holders of existing
preference shares and ANZ capital notes but in priority to all holders of ordinary shares. They have no entitlement to participate in further distributionof profits or assets.
Additional tier 1 (AT1) capital notes
AT1 capital notes are fully paid convertible non-cumulative perpetual subordinated notes. The AT1 capital notes rank equally with each other and with
the Bank’s preference shares. Holders of AT1 capital notes do not have any right to vote in general meetings of the Bank.
As at 31 March 2021, ANZ NZ CN carried a BBB- credit rating from S&P Global Ratings.
AT1 capital notes are classified as debt given there are circumstances beyond the Bank’s control where the principal is converted into a variable
number of ordinary shares of the Bank (ANZ NZ ICN and ANZ NZ ICN2) or the Ultimate Parent Bank (ANZ NZ CN).
Interest payments on the AT1 capital notes are non-cumulative and subject to the issuer’s absolute discretion and certain payment conditions(including regulatory requirements).
Where specified, AT1 capital notes provide the Bank with an early redemption or conversion option on a specified date and in certain othercircumstances (such as a tax or regulatory event). Early redemption is subject to RBNZ’s, and in the case of ANZ NZ CN, APRA’s prior written approval.

37

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Each of the AT1 capital notes will immediately convert into a variable number of ordinary shares of the:• Bank based on the net assets per share in the Bank’s most recently published Disclosure Statement (ANZ NZ ICN and ANZ NZ ICN2); or• Ultimate Parent Bank based on the average market price of the Ultimate Parent Bank’s ordinary shares immediately prior to conversion less a 1%
discount, subject to a maximum conversion number (ANZ NZ CN)
if:• the Banking Group’s, or in the case of the ANZ NZ CN the Overseas Banking Group’s Level 2, common equity tier 1 capital ratio is equal to or lessthan 5.125% - known as a Common Equity Capital Trigger Event; or• RBNZ directs the Bank to convert or write-off the notes or a statutory manager is appointed to the Bank and decides that the Bank must convert
or write-off the notes or, in the case of the ANZ NZ CN, APRA notifies the Ultimate Parent Bank that, without the conversion or write-off of certain
securities or a public injection of capital (or equivalent support), it considers that the Ultimate Parent Bank would become non-viable – known
as a Non-Viability Trigger Event.
Where specified, AT1 capital notes mandatorily convert into a variable number of ordinary shares of the Bank (ANZ NZ ICN and ANZ NZ ICN2) (basedon the net assets per share in the Bank’s recently published Disclosure Statement) or the Ultimate Parent Bank (ANZ NZ CN) (based on the average
market value of the shares immediately prior to conversion less a 1% discount):• on a specified mandatory conversion date; or• on an earlier date under certain circumstances as set out in the terms.
However, the mandatory conversion is deferred for a specified period if certain conversion tests are not met.
The table below show the key details of the AT1 capital notes on issue at 31 March 2021:
IssuerIssue dateIssue amount
Face value
Interest frequency
Interest rate

ANZ NZ CN
The Bank
31 March 2015
NZ$500 million
NZ$1
Quarterly in arrears

ANZ NZ ICN
The Bank
5 March 2015
NZ$1,003 million
NZ$100Semi-annually in arrears

ANZ NZ ICN2The Bank
15 June 2016
NZ$938 million
NZ$100Semi-annually in arrears

Floating rate: (New Zealand 3 Floating rate: (New Zealand 6 Floating rate: (New Zealand 6
month Bank bill rate + 3.5%) month Bank Bill rate + 3.8%) month Bank Bill rate + 6.29%)

Issuer's early redemption or conversion option
Mandatory conversion dateCommon equity capital trigger event
Non-viability trigger eventn/a

24 March 2023

25 May 2022
Yes
Yes

24 March 2025
Yes
Yes

15 June 2026 and each 5th
anniversary
n/a
Yes
Yes

Reserves – common equity tier 1 capital
Accumulated other comprehensive income and other disclosed reserves includes the cash flow hedging reserve of NZ$77 million and the investment
securities revaluation reserve of NZ$42 million as at 31 March 2021.
Retained earnings of the Bonus Bonds Scheme – additional tier 1 capital
The Bonus Bonds Scheme is consolidated for capital adequacy purposes, and its retained earnings are included in additional tier 1 capital less 8.5% of
the consolidated risk-weighted assets that relate to the Bonus Bonds Scheme.

38

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Credit risk subject to the Internal Ratings Based (IRB) approach
IRB credit exposures by exposure class and customer credit rating

As at 31 March 2021
Corporate
0-2
3-4
5
6
7-8
Default
Total corporate exposures1
Sovereign0
1-8
Total sovereign exposures
Bank
0
1
2-4
5-8
Total bank exposures
Residential mortgages
0-3
4
5
6
7-8
Default
Total residential mortgages exposures
Other retail
0-2
3-4
5
6
7-8
Default
Total other retail exposures
Total credit risk exposures subject
to the IRB approach1

Probabilityof default%

Exposure at
Total valuedefault
NZ$m
NZ$m

Exposureweighted
LGD used
for thecapitalcalculation%

Exposureweighted
risk weight%

Risk
Minimum
weighted
capitalassets requirement
NZ$m
NZ$m

0.05
0.31
1.00
2.26
17.49
100.002.55

68,81843,05913,923
4,099
1,820
642
132,361

6,071
22,38011,367
3,678
1,521
630
45,647

62
37
33
32
40
39
39

36
41
58
75
177
165
53

2,301
9,648
7,022
2,906
2,852
1,103
25,832

184
772
562
232
228
89
2,067

0.01
0.47
0.01

27,28792
27,37916,67087
16,757

5
5
5

1
6
1

230
5
235

18
1
19

0.03
0.03
0.05
10.85
0.05

1
43,773
2,266,361
2
2,310,137

1
3,518
6,145
2
9,666

65
37
65
65
55

51
27
27
223
27

1,006
1,767
4
2,777

80
141
1
222

0.20
0.45
0.90
1.95
4.68
100.000.91

34,587
42,63021,038
3,426
235
408
102,324

34,972
42,772
21,124
3,430
235
407
102,940

12
20
24
26
26
16
19

5
16
32
60
91
6
17

2,023
7,341
7,262
2,197
228
25
19,076

162
587
581
176
18
2
1,526

0.10
0.26
1.10
2.70
8.62
100.00
2.14

543
4,551
1,146
685
810
53
7,788

546
4,633
1,157
717
836
52
7,941

77
78
78
83
87
81
79

49
55
83
108
137
44
72

286
2,701
1,020
823
1,212
25
6,067

23
216
82
66
97
1
485

1.25

2,579,989

182,95127

28

53,9874,319

During the six months ended 31 March 2021, two immaterial issues impacting the calculation of RWA for corporate exposures were identified. They related to the tenor treatment for
performance guarantee products (estimated impact +NZ$106m RWA) and the measurement of security coverage for corporate customers with residential mortgages (estimated impact+NZ$143m RWA). There is no impact on reported capital ratios and remediation is in progress.

39

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURESIRB credit exposures include the following undrawn commitments and other off-balance sheet amounts:

As at 31 March 2021
Undrawn commitments and other off-balance sheet amounts excluding market related contracts
Corporate
SovereignBank
Residential mortgages
Other retailMarket related contracts
Corporate
SovereignBank
Residential mortgages
Other retail

Total value
NZ$m

Exposure atdefault
NZ$m

13,059
91
1,315
8,925
5,109

12,321
86
1,154
9,368
5,199

87,21010,5672,304,020
-

1,705
106
4,039
-

Additional mortgage information
As required by RBNZ, LVRs are calculated as the current exposure secured by a residential mortgage divided by the Banking Group's valuation of the
security property at origination of the exposure. Off-balance sheet exposures include undrawn and partially drawn residential mortgage loans as wellas commitments to lend. Commitments to lend are formal offers for housing lending which have been accepted by the customer.
On-balance Off-balance
sheet
sheet
NZ$m
NZ$m

As at 31 March 2021
LVR range
Does not exceed 60%
Exceeds 60% and not 70%
Exceeds 70% and not 80%
Does not exceed 80%
Exceeds 80% and not 90%
Exceeds 90%
Total

45,957
19,631
21,84187,4294,299
1,671
93,399

6,261
1,218
1,063
8,542
148
235
8,925

Total
NZ$m
52,21820,84922,904
95,971
4,447
1,906
102,324

Specialised lending subject to the slotting approach

As at 31 March 2021
On-balance sheet exposures
StrongGood
Satisfactory
Weak
Default

As at 31 March 2021
Off-balance sheet exposures
Undrawn commitments and other off-balance sheet exposures

Total
exposures
after
credit risk
mitigation
NZ$m

Risk weight
%

5,924
5,175
408
80
13

70
90
115
250
-

Exposure atdefault
NZ$m

Averagerisk weight
%

1,397

86

Minimum
Risk
Pillar 1
weighted
capitalassets requirement
NZ$m
NZ$m
4,396
4,937
497
211
-

352
395
40
16
-

Minimum
Risk
Pillar 1
weighted
capitalassets requirement
NZ$m
NZ$m
1,277

102

The supervisory categories of specialised lending above are associated with specific risk-weights. These categories broadly correspond to thefollowing external credit assessments using S&P Global Ratings' rating scale, Strong: BBB- or better, Good: BB+ or BB, Satisfactory: BB- or B+ and Weak:
B to C-.

40

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

Credit risk exposures subject to the standardised approach

Total
exposure
after credit
risk Average risk
mitigation
weight
NZ$m%

As at 31 March 2021
On-balance sheet exposures
Cash and gold bullion
Sovereign and central banks
Multilateral development banks and other international organisations
Public sector entities
Banks
Corporate
Residential mortgages
Past due assets
Other assets

As at 31 March 2021
Off-balance sheet exposures
Undrawn commitments and other off-balance sheet
exposuresMarket related contracts
Foreign exchange contracts
Interest rate contracts
Other - OTC etc

211
4,696
1,215
1,152

7
100

Minimum
Risk
Pillar 1
weighted
capitalexposure requirement
NZ$m
NZ$m
94
1,221

8
98

Total
exposure or
principal
amount
NZ$m

Averagecreditconversion
factor
%

631

72

452

99

473

38

1,469,287
-

n/a
n/a
n/a

841
-

10
-

91
-

7
-

Creditequivalent Average risk
amountweightNZ$m%

Minimum
Risk
Pillar 1
weighted
capitalexposure requirement
NZ$m
NZ$m

Equity exposures

As at 31 March 2021
Equity holdings (not deducted from capital) that are publicly traded
All other equity holdings (not deducted from capital)

Exposure atdefault
NZ$m
1

Risk weight
%
300
400

Minimum
Risk
Pillar 1
weighted
capitalexposure requirement
NZ$m
NZ$m
5
-

Credit risk mitigation
Information on the total value of exposures covered by financial guarantees and eligible financial collateral is not disclosed, as the effect of theseguarantees and collateral on the underlying credit risk exposures is not considered to be material.

As at 31 March 2021
Exposure class
Sovereign
Bank
Corporate (including specialised lending)Residential mortgage
Other
1

For portfolios subject tothe standardised approach:total value of exposurescovered by eligible financial
collateral (after haircut)
NZ$m

For all portfolios:
total value of exposurescovered by guarantees
or credit derivatives1
NZ$m

-

833
-

Covered by guarantees where the presence of the guarantees was judged to reduce the underlying credit risk of the exposures.

41

ANZ BANK NEW ZEALAND LIMITEDUNAUDITEDREGISTERED BANK DISCLOSURES
Operational risk
As required by its conditions of registration, the Banking Group uses the standardised approach to the calculation of its operational risk capitalrequirement. As at 31 March 2021, the Banking Group had an implied risk weighted exposure of NZ$10,234 million for operational risk and an
operational risk capital requirement of NZ$819 million.
Market risk
The aggregate market risk exposures below have been calculated in accordance with BS2B. The peak end-of-day market risk exposures are for the six
months ended 31 March 2021.
Implied risk weighted
exposure
Aggregate capital charge
Period end
Peak Period end
Peak
As at 31 March 2021
NZ$m
NZ$m
NZ$m
NZ$m
Interest rate risk
5,598
11,377448
910
Foreign currency risk
72
112
6
9
Equity risk
1
1Capital for other material risks
The Banking Group has an Internal Capital Adequacy Assessment Process (ICAAP) which complies with the requirements of the Bank's Conditions ofRegistration. Under the Banking Group's ICAAP it identifies and measures all "other material risks", which are those material risks that are not explicitly
captured in the calculation of the Banking Group's tier 1 and total capital ratios. The other material risks identified by the Banking Group include
pension risk, strategic equity risk, fixed asset risk, deferred acquisition cost risk and software risk. As at 31 March 2021, the Banking Group's internal
capital allocation for these other material risks is NZ$274 million (March 2020: NZ$343 million).
Information about Ultimate Parent Bank and Overseas Banking Group
APRA Basel III capital ratios
As at 31 March
Common equity tier 1 capital
Tier 1 capital
Total capital

Ultimate Parent Bank
Overseas Banking Group (Extended Licensed Entity)
2021
2020
2021
2020
10.8%
10.6%
12.4%
12.2%
12.5%
12.6%
14.3%
14.2%
18.3%
15.5%
18.6%
15.8%

The Ultimate Parent Bank and the Overseas Banking Group are required to hold minimum capital as determined by APRA, which is at least equal tothat specified under the Basel III capital framework.
APRA has authorised the Ultimate Parent Bank and the Overseas Banking Group to use:
• the Advanced Internal Ratings Based (AIRB) methodology for calculation of credit risk weighted assets. There are however small portfolios(mainly retail and local corporates in Pacific, and local corporates in Asia) where the Overseas Banking Group applies the standardised approach.
• the Advanced Measurement Approach (AMA) for the operational risk weighted asset equivalent.
The Overseas Banking Group exceeded the minimum capital requirements set by APRA as at 31 March 2021 and for the comparative prior periods.
The Overseas Banking Group is required to publicly disclose Pillar 3 financial information as at 31 March 2021. The Overseas Banking Group’s Pillar 3
disclosure document for the quarter ended 31 March 2021, in accordance with APS 330: Public Disclosure of Prudential Information, discloses capital
adequacy ratios and other prudential information. This document can be accessed at the website anz.com.
Regulatory liquidity ratios
RBNZ requires banks to hold minimum amounts of liquid assets to help ensure that they are effectively managing their liquidity risks. The mismatch
ratio is a measure of a bank’s liquid assets, adjusted for expected cash inflows and outflows during a 1-month or 1-week period of stress. It is expressed
as a ratio over the bank’s total funding. The Banking Group must maintain its 1-month and 1-week mismatch ratios above zero on a daily basis. The 1month and 1-week mismatch ratios are averaged over the quarter.
RBNZ requires banks to get a minimum amount of funding from stable sources called core funding. From 2 April 2020, the minimum amount of corefunding was lowered from 75% to 50% of a bank’s total loans. The Banking Group must maintain its core funding ratio above the regulatory minimum
on a daily basis. This measure of the core funding ratio is averaged over the quarter.
For the three months ended
Quarterly average 1-week mismatch ratio
Quarterly average 1-month mismatch ratio
Quarterly average core funding ratio

42

31 Mar 21
6.5%
6.2%
90.8%

31 Dec 20
9.2%
9.1%
92.3%

ANZ BANK NEW ZEALAND LIMITEDUNAUDITED

B5. CONCENTRATION OF CREDIT EXPOSURES TO INDIVIDUAL COUNTERPARTIESThe Banking Group measures its concentration of credit exposures to individual counterparties at the reporting date on the basis of actual exposures.
Peak end-of-day aggregate credit exposures are measured on the basis of internal limits that were not materially exceeded between the reporting
date for the previous disclosure statement and the reporting date for the Disclosure Statement.
The exposure information in the table below excludes exposures to:• connected persons (i.e. other members of the Overseas Banking Group and Directors of the Bank);• the central government or central bank of any country with a long-term credit rating of A- or A3 or above, or its equivalent; and• any supranational or quasi-sovereign agency with a long-term credit rating of A- or A3 or above, or its equivalent.

Exposures to banks
Total number of exposures to banks that are greater than 10% of CET1 capitalwith a long-term credit rating of A- or A3 or above, or its equivalent- 10% to less than 15% of CET1 capitalwith a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent
Exposures to non-banks
Total number of exposures to non-banks that are greater than 10% of CET1 capitalwith a long-term credit rating of A- or A3 or above, or its equivalent- 10% to less than 15% of CET1 capital- 30% to less than 35% of CET1 capitalwith a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent

As at
31 Mar 21

Peak end of
day over 6
months to
31 Mar 21

1
1
1
-

1
1
1
-

2
2
1
1
-

2
2
1
1
-

B6. INSURANCE BUSINESSAs at 31 March 2021, the Banking Group does not conduct any insurance business.

43

ANZ BANK NEW ZEALAND LIMITED

DIRECTORS' STATEMENT
As at the date on which this Disclosure Statement is signed, after due enquiry, each Director believes that:•

The Disclosure Statement contains all the information that is required by the Registered Bank Disclosure Statements (New Zealand Incorporated
Registered Banks) Order 2014; and•The Disclosure Statement is not false or misleading.

Over the six months ended 31 March 2021, after due enquiry, each Director believes that:•

ANZ Bank New Zealand Limited has complied in all material respects with each condition of registration that applied during that period except
as noted on page 251;•

Credit exposures to connected persons were not contrary to the interests of the Banking Group; and•ANZ Bank New Zealand Limited had systems in place to monitor and control adequately the Banking Group’s material risks, including credit risk,
concentration of credit risk, interest rate risk, currency risk, equity risk, liquidity risk, operational risk and other business risks, and that thosesystems were being properly applied.

1.

In accordance with the Order, ANZ Bank New Zealand Limited has complied in all material respects with each of its conditions of registration that applied during the period if the RBNZ has
not published any information about a breach on its website, and has not notified ANZ Bank New Zealand Limited of any material breach.

This Disclosure Statement is dated, and has been signed by all Directors of the Bank on, 7 May 2021.

Antony Carter

Shayne Elliott

Alison GerryRt Hon Sir John Key, GNZM ACMark Verbiest

Antonia Watson

Joan Withers

44

ANZ BANK NEW ZEALAND LIMITEDINDEPENDENT AUDITOR’S REVIEW REPORTTO THE SHAREHOLDER OF ANZ BANK NEW ZEALAND LIMITEDREPORT ON THE HALF YEAR DISCLOSURE STATEMENTREPORT ON THE INTERIM FINANCIAL STATEMENTS AND REGISTERED BANK DISCLOSURES IN SECTIONS B2, B3, B5
AND B6

CONCLUSION
Based on our review of the interim financial statements and the registered bank disclosures (together referred to as ‘the half year disclosurestatement’) of ANZ Bank New Zealand Limited and its subsidiaries (the Banking Group) on pages 4 to 43, nothing has come to our attention thatcauses us to believe that:••the interim financial statements on pages 4 to 22 do not present fairly in accordance with NZ IAS 34 Interim Financial Reporting and IAS 34
Interim Financial Reporting, in all material respects, the Banking Group’s financial position as at 31 March 2021 and its financial performanceand cash flows for the six month period ended on that date; andthe registered bank disclosures in sections B2, B3, B5 and B6 disclosed in accordance with Schedules 5, 7, 13, 16 and 18 of the Registered
Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014 (as amended) (the Order) respectively, do not fairly
state, in all material respects, the matters to which they relate in accordance with those schedules.

We have completed a review of the accompanying half year disclosure statement which comprises:••

the interim financial statements formed of:• the consolidated balance sheet as at 31 March 2021;• the consolidated income statement, statements of comprehensive income, changes in equity and cash flows for the six month period
then ended; and• notes, including a summary of significant accounting policies and other explanatory information.
the registered bank disclosures prescribed in Schedules 5, 7, 13, 16 and 18 of the Order.

BASIS FOR CONCLUSION
A review of the half year disclosure statement in accordance with NZ SRE 2410 Review of Financial Statements Performed by the Independent Auditor of
the Entity (NZ SRE 2410) is a limited assurance engagement. The auditor performs procedures, consisting of making enquiries, primarily of persons
responsible for financial and accounting matters, and applying analytical and other review procedures.
As the auditor of the Banking Group, NZ SRE 2410 requires that we comply with the ethical requirements relevant to the audit of the annual financial
statements.
Our firm has also provided other services to the Banking Group in relation to review of regulatory returns, internal controls reports, prospectus
assurance, agreed upon procedures and other assurance engagements. Subject to certain restrictions, partners and employees of our firm may also
deal with the Banking Group on normal terms within the ordinary course of trading activities of the business of the Banking Group. These mattershave not impaired our independence as reviewer of the Banking Group. The firm has no other relationship with, or interest in, the Banking Group.
EMPHASIS OF MATTER – NON-COMPLIANCE WITH CERTAIN CONDITIONS OF REGISTRATION
We draw attention to section B1 of the half year disclosure statement, in which the Banking Group discloses that it has identified non-compliance withaspects of its Conditions of Registration relating to Capital adequacy.
Further details of the matters relating to capital adequacy are described below in our qualified review conclusion on the registered bank disclosures in
section B4 relating to capital adequacy and regulatory liquidity ratios.
Our conclusion on the interim financial statements and registered bank disclosures in sections B2, B3, B5 and B6 is not modified in respect of thesematters.
RESPONSIBILITIES OF THE DIRECTORS FOR THE INTERIM FINANCIAL STATEMENTS AND REGISTERED BANKDISCLOSURES IN SECTIONS B1, B2, B3, B5 AND B6The Directors, on behalf of the Banking Group, are responsible for:• the preparation and fair presentation of the interim financial statements and registered bank disclosures in accordance with IAS 34, NZ IAS 34
and Schedules 3, 5, 7, 13, 16 and 18 of the Order;• implementing necessary internal controls to enable the preparation of interim financial statements that are fairly presented and free frommaterial misstatement, whether due to fraud or error; and• assessing the ability to continue as a going concern. This includes disclosing, as applicable, matters related to going concern and using thegoing concern basis of accounting unless they either intend to liquidate or to cease operations, or have no realistic alternative but to do so.
45

ANZ BANK NEW ZEALAND LIMITEDINDEPENDENT AUDITOR’S REVIEW REPORT
AUDITOR’S RESPONSIBILITIES FOR THE REVIEW OF THE INTERIM FINANCIAL STATEMENTS AND REGISTEREDBANK DISCLOSURES IN SECTIONS B2, B3, B5 AND B6
Our responsibility is to express a conclusion on the interim financial statements and registered bank disclosure statements in sections B2, B3, B5 andB6 based on our review. We conducted our review in accordance with NZ SRE 2410. NZ SRE 2410 requires us to conclude whether anything has cometo attention that causes us to believe that:• the interim financial statements do not present fairly, in all material respects, the Banking Group’s financial position as at 31 March 2021 and its
financial performance and cash flows for the six month period ended on that date;• the interim financial statements do not, in all material respects, comply with IAS 34 and NZ IAS 34; and• the registered bank disclosures in sections B2, B3, B5 and B6 does not, fairly state, in all material respects, the matters to which it relates inaccordance with Schedules 5, 7, 13, 16 and 18 of the Order.
The procedures performed in a review are substantially less than those performed in an audit conducted in accordance with International Standards
on Auditing (New Zealand). Accordingly we do not express an audit opinion on the interim financial statements and the registered bank disclosures in
sections B2, B3, B5 and B6. This description forms part of our independent review report.
REPORT ON THE REGISTERED BANK DISCLOSURES IN SECTION B4 RELATING TO CAPITAL ADEQUACY ANDREGULATORY LIQUIDITY RATIOS (SECTION B4)QUALIFIED REVIEW CONCLUSION
We have reviewed the registered bank disclosures, as disclosed in section B4 of the half year disclosure statement for the six month period ended
31 March 2021, which are required to be disclosed in accordance with Schedule 11 of the Order.
Based on our review, with the exception of the matter described below, nothing has come to our attention that causes us to believe that the
information relating to Capital Adequacy and Regulatory Liquidity Ratios, disclosed in section B4 of the half year disclosure statement, is not, in allmaterial respects disclosed in accordance with Schedule 11 of the Order.

BASIS FOR QUALIFIED CONCLUSION ON THE REGISTERED BANK DISCLOSURES IN SECTION B4
A review of the registered bank disclosures in section B4 in accordance with NZ SRE 2410 is a limited assurance engagement. The auditor performs
procedures, primarily consisting of making enquiries, primarily of persons responsible for financial and accounting matters, and applying analyticaland other review procedures. Our responsibilities under that standard are further described in the ‘Auditor’s Responsibilities for the review of theregistered bank disclosures in section B4’ section of our report.
As the auditor of the Banking Group, NZ SRE 2410 requires that we comply with the ethical requirements relevant to the audit of the annual financial
statements.
As described in section B1, the Banking Group has identified that it was not compliant with Condition of Registration 1B in relation to the operation ofversions of the following rating models and processes, which were not approved by the Reserve Bank of New Zealand (in some cases since 2008):••••

Commercial Property Model Suite (Single Investment, Multi Investment, Hotel Investment, Special Purpose Asset Investment, Single Residential
Development, Commercial Development, Englobo Land Pre Development);
Non-Bank Financial Institutions Model Suite (Life Insurance, Non-life Insurance, Insurance Holding Company, Finance Companies, Financial
Services Companies, Real Money Funds);
Project and Structured Finance; andBank, Country and Sovereigns.

In this respect, the Capital Adequacy Ratios disclosed in section B4 of the half year disclosure statement have not been disclosed in accordance with
Schedule 11 of the Order, with section B1 disclosing the Banking Group’s calculation of the corresponding impact on risk weighted assets. The
Banking Group is remediating these models and has submitted fourteen of the seventeen affected models to the Reserve Bank of New Zealand forapproval.
The above matters do not affect the Regulatory Liquidity information, which is also disclosed in section B4.
RESPONSIBILITIES OF THE DIRECTORS FOR THE REGISTERED BANK DISCLOSURES IN SECTION B4
The Directors, on behalf of the Banking Group, are responsible for the preparation and fair presentation of the registered bank disclosures in section B4of the half year disclosure statement in accordance with Schedule 11 of the Order.
AUDITOR’S RESPONSIBILITIES FOR THE REVIEW OF THE REGISTERED BANK DISCLOSURES IN SECTION B4
Our responsibility is to express a conclusion on the registered bank disclosures in section B4 based on our review. We conducted our review inaccordance with NZ SRE 2410. NZ SRE 2410 requires us to conclude whether anything has come to our attention that causes us to believe that theregistered bank disclosures in section B4 is not, in all material respects, disclosed in accordance with Schedule 11 of the Order.
The procedures performed in a review are substantially less than those performed in an audit conducted in accordance with International Standards
on Auditing (New Zealand). Accordingly we do not express an audit opinion on the registered bank disclosures in section B4. This description forms
part of our independent review report.
46

ANZ BANK NEW ZEALAND LIMITEDUSE OF THIS INDEPENDENT REVIEW REPORTThis independent review report is made solely to the shareholder of the Banking Group. Our review work has been undertaken so that we might state
to the shareholder those matters we are required to state to them in the independent review report and for no other purpose. To the fullest extent
permitted by law, we do not accept or assume responsibility to anyone other than the shareholder as a body for our review work, this independent
review report, or any of the opinions we have formed.

KPMG
Auckland7 May 2021

47

48