2023
BASEL IIIPILLAR 3
DISCLOSURE
AS AT 30 JUNE 2023
APS 330: PUBLIC DISCLOSURE

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

1

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets1 2 3 4
Jun 23

Mar 23

Dec 22$M$M$M

Corporate

62,26862,680148,944

Sovereign--

11,289Bank--

11,919Residential Mortgage1

91,431

86,726

120,182

Retail SME

9,922

10,065-

Qualifying Revolving Retail

3,287

3,325

3,236

Risk Weighted Assets
Subject to Advanced Internal Rating Based (IRB) approach

Other Retail

1,686

1,709

16,944

168,594

164,505

312,514

Corporate

35,10338,808-

Sovereign

10,211

11,199-Financial Institutions

31,684

32,832-Credit risk weighted assets subject to Foundation IRB approach

76,99882,839

-

3,257

3,577

42,146

Corporate

4,775

4,911

5,837

Sovereign

150

88

110

1,962

1,809

216

Other Retail

45

32

10

Other Assets

3,637

4,138

-

10,56910,9786,173

Credit Valuation Adjustment and Qualifying Central Counterparties

3,987

3,449

3,033

Credit risk weighted assets relating to securitisation exposures

2,294

2,229

2,498

-

-

4,114

77,256

77,717-

342,955

345,294

370,478

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

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

Residential Mortgage

Credit risk weighted assets subject to Standardised approach

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

13,42911,737

11,406

Operational risk weighted assets4

42,31942,31942,319Interest rate risk in the banking book (IRRBB) risk weighted assets

34,79931,88737,866

-

4,277

-

433,502435,514462,069

RWA adjustment for the IRB capital floor
Total Risk Weighted Assets

While APRA approved ANZ’s Australian Mortgages LGD model for regulatory capital purposes, a $9.6 billion RWA overlay has been
applied pending recalibration of the model. (Pre-existing).

1

2
Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from theasset being financed and includes project finance and object finance.

Includes $20.0 billion credit RWA in supervisory overlays resulting from risk weight floors required by RBNZ. Refer to March 2023 ANZNZ Disclosure Statement for details. (Pre-existing).

3

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

42

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets5
Jun 23

Mar 23

Dec 22$M$M$M

Credit Risk5

537,000

546,653-

Market risk weighted assets

13,42911,737-

Operational risk weighted assets

42,31942,319-

Capital Floor
Risk weighted assets under the standardised approach

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

-

-

-

592,748

600,709-

Credit Risk

342,955

345,294-

Market risk weighted assets

13,42911,737-

Operational risk weighted assets

42,31942,319-Total Risk Weighted Assets
Risk weighted assets prior to application of floor

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

34,79931,887-

Total Risk Weighted Assets

433,502431,238-

Capital floor at 72.5%

429,742435,514

-

-

4,277

-

Capital ratios (%)

Jun 23

Mar 23

Dec 22

Level 2 Common Equity Tier 1 capital ratio

13.5%

13.2%

12.2%

Level 2 Tier 1 capital ratio

15.4%

15.1%

13.9%

Level 2 Total capital ratio

21.1%

20.6%

18.4%

Basel III APRA level 2 CET1

Jun 23

Mar 23

Dec 22

Common Equity Tier 1 Capital

58,57657,38056,383

Total Risk Weighted Assets

433,502435,514462,069

Common Equity Tier 1 capital ratio

13.5%

13.2%

12.2%

Basel III APRA level 1 Extended licensed entity CET1

Jun 23

Mar 23

Dec 22

Common Equity Tier 1 Capital

49,27747,80346,013

Total Risk Weighted Assets

365,486

370,395

397,393

13.5%

12.9%

11.6%

Capital floor adjustment

Common Equity Tier 1 capital ratio
Credit Risk Weighted Assets (CRWA):

Total Credit RWA decreased by $2.3 billion to $343.0 billion at 30 June 2023. This is predominantly driven by data methodology
changes (-$4.9 billion) and foreign exchange movements (-$1.3 billion) offset by an increase in risk (+$2.7 billion) and volume
driven growth (+$0.7 billion).
Market Risk, Operational Risk and IRRBB RWA
IRRBB RWA increased $2.9 billion primarily as a result of higher term yields causing an increase in Embedded Losses.
Traded Market Risk RWA increased $1.7 billion over the quarter, mainly driven by an increase in Stress VaR and Standard VaR.

5
RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach
is $123,409 million when calculated under the standardised approach.

3

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 4 Credit risk exposures
Exposure at Default in Table 4 represents credit exposure net of offsets for credit risk mitigation such as guarantees,credit derivatives, netting and financial collateral. It includes Advanced IRB, Foundation IRB, Specialised Lending andStandardised exposures and excludes Securitisation and Equities exposures.
Table 4(a) part (i): Period end and average Exposure at Default 6
Jun 23
Risk
Weighted
Assets$M$M

Average
Exposure at
Default forthree months$M

Corporate

62,268

134,652

133,894-

Residential Mortgage

91,431

331,543

328,107

6

6

Retail SME

9,922

16,913

16,955

11

27

Qualifying Revolving Retail

3,287

12,93713,017

14

22

Other Retail

1,686

1,589

1,604

6

15

168,594

497,634

493,577

37

74-

Subject to Advanced IRB approach

Total Advanced IRB approach

Exposure at
Default

Individual
provision
charge forthree months$M

Write-offs
for threemonths4$M

Subject to Foundation IRB approach
Corporate

35,103

94,763

97,94916

Sovereign

10,211

240,942

256,548--

Financial Institution

31,684

108,452

108,873(1)-

Total Foundation IRB approach

76,998444,157

463,37015-Specialised Lending Exposures
Subject to Supervisory Slotting

3,257

4,004

4,161

-

-

Corporate

4,775

5,472

5,499

(7)

1

Sovereign

150

150

119

-

-

1,962

2,158

2,085

2

-

45

33

29

2

2

Subject to Standardised approach

Residential Mortgage
Other Retail
Other Assets

3,637

5,894

6,887

-

-

10,56913,707

14,619(3)

3

Credit Valuation Adjustment andQualifying Central Counterparties

3,987

7,379

6,796

-

-

Exposures of New Zealand banking
subsidiaries

77,256

191,698

193,49615

44

340,661

1,158,579

1,176,019

64

121

Total Standardised approach

Total

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

64ANZ Basel III Pillar 3 Disclosure

June 2023

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

Average
Exposure at
Default forthree months$M

Corporate

62,680133,136-

36

Residential Mortgage

86,726324,670-4

7

Retail SME

10,065

16,997-8

19

Qualifying Revolving Retail

3,325

13,097-

11

19

Other Retail

1,709

1,618

-

6

13

164,505

489,518-

65

77

Corporate

38,808101,134-(3)-

Sovereign

11,199272,154---

Financial Institution

32,832

109,294---

Total Foundation IRB approach

82,839482,582-(3)-

Specialised Lending Exposures
Subject to Supervisory Slotting

3,577

4,318

-

-

-

Corporate

4,911

5,526

-

(5)

2

Sovereign

88

88

-

-

-

1,809

2,011

-

-

-

32

24

-

-

-

Subject to Advanced IRB approach

Total Advanced IRB approach

Exposure at
Default

Individual
provision
charge forthree months$M

Write-offs
for threemonths

19$M

Subject to Foundation IRB approach

Subject to Standardised approach

Residential Mortgage
Other Retail
Other Assets

4,138

7,879

-

-

-

10,97815,528-(5)2Credit Valuation Adjustment andQualifying Central Counterparties

3,449

6,212

-

-

-

Exposures of New Zealand banking
subsidiaries

77,712

195,293-14

9343,060

1,193,451

-

71

88

Risk
Weighted
Assets$M

Exposure at
Default$M

148,944

332,596

Individual
provision
charge forthree months
$M
(114)

Write-offs
for threemonths$M

Advanced IRB approach
Corporate

Average
Exposure at
Default forthree months$M329,916

Sovereign

11,289286,758

276,802

-

-

Bank

11,91938,411

39,445--Residential Mortgage

120,182

430,889

422,507(4)

5

Qualifying Revolving Retail

3,236

13,235

13,272

12

22

Other Retail

16,944

27,16327,1263

38

312,5141,129,052

1,109,068

(103)

84

42,14650,752

49,7473-

Corporate

5,837

5,711

5,844

1

12

Sovereign

110

110

128

-

-

Residential Mortgage

216

429

432

-

-

Other Retail

10

10

10

(2)

1

Total Standardised approach

6,173

6,260

6,414

(1)

13

Credit Valuation Adjustment andQualifying Central Counterparties

3,033

7,070

7,493

-

-

363,866

1,193,134

1,172,722

(101)

97

Total Standardised approachTotal

Dec 22

Total Advanced IRB approach
Specialised Lending

19

Standardised approach

Total

5

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 4(a) part (ii): Exposure at Default by portfolio type7

Jun 23

Mar 23

$M

$M

$M

$M

Cash

149,726

176,681

166,463

163,204

Contingents liabilities, commitments, and other offbalance sheet exposures
Derivatives

168,706

172,166

193,033

170,436

47,98044,695

46,122

46,338

58

12

1

35

Investment Securities

83,42089,381

83,64286,401

Net Loans, Advances & Acceptances

676,177

674,528

671,545675,354

Other assets

12,834

13,19912,41913,017

Trading Securities

19,67822,78919,90921,234

Total exposures

1,158,579

1,193,451

1,193,134

1,176,019

Portfolio Type

Settlement Balances

Dec 22Average for thequarter ended
Jun 23

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

76

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 4(b): Non-Performing Facilities, Provisions and Write-offs
Jun 23
Individually provisioned exposures

Non-performing exposures
Exposure

BLANK

Advanced IRB approach$M$M

Specific
provision
chargefor threemonths$M$M$M

Individual
provision
chargefor threemonths$M

Corporate

603

167

(3)

287

109

-

2,250

180

8

122

44

6

6

393

111

9

104

68

11

27
22

Residential Mortgage
Retail SME

Specific
provisionbalance

Exposure

Individual
provisionbalance

Writeoffs forthreemonths

4$M

Qualifying Revolving Retail

35

25

13

-

-

14

Other Retail

46

44

7

27

24

6

15

3,327

527

34

540

245

37

74

Total Advanced IRB approach

BLANK

BLANK

BLANK

Foundation IRB approach
Corporate

127

46

19

72

44

16

-

Sovereign

-

-

-

-

-

-

-

10

2

(2)

3

1

(1)

-

137

48

17

BLANK

75

45

15

-

-

BLANK

-

-

-

1

Financial Institution
Total Foundation IRB approach

BLANK

Specialised Lending Subject toSupervisory Slotting

-

-

BLANK

BLANK

Standardised approach
Corporate

174

54

(13)

63

35

(7)

Residential Mortgage

79

13

2

17

10

2

-

Other Retail

8

2

2

8

1

2

2

261

69

(9)

88

46

(3)

3

59

15

44

395

64

121

Total Standardised approach

BLANK

BLANK

Exposures of New Zealandbanking subsidiaries

860

136

25

142
BLANK

Total

4,585

780

67

7

BLANK

845

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)
Mar 23
Individually provisioned exposures

Non-performing exposures
Exposure

BLANK

Exposure

Individual
provisionbalance

Advanced IRB approach$M$M

Specific
provision
chargefor threemonths$M$M$M

Individual
provision
chargefor threemonths$M

Corporate

663

160

35

BLANK

288

99

36

2,065

181

10

BLANK

129

47

4

7

Retail SME

414

123

6

BLANK

120

77

8

19

Qualifying Revolving Retail

34

27

13

BLANK

-

-

11

19

Other Retail

54

46

9

BLANK

30

27

6

13

3,230

537

73

BLANK

567

250

65

77

Residential Mortgage

Total Advanced IRB approach

Specific
provisionbalance

Writeoffs forthreemonths

19

$M

BLANK

Foundation IRB approach

BLANK

Corporate

29

27

(3)

BLANK

Sovereign

-

-

-

BLANK

Financial Institution

29

11

(1)

BLANK

15

10

-

-

Total Foundation IRB approach

58

38

(4)

BLANK

41

37

(3)

-

-

BLANK

-

-

-

2

26

27

(3)

-

-

-

-

-

BLANK

Specialised Lending Subject toSupervisory Slotting

-

-

BLANK

Standardised approach

BLANK

Corporate

194

66

(6)

BLANK

68

40

(5)

Residential Mortgage

69

8

(1)

BLANK

10

6

-

-

Other Retail

8

1

-

BLANK

8

1

-

-

271

75

(7)

BLANK

86

47

(5)

2

87

14

9

421

71

88

Total Standardised approach

BLANK

Exposures of New Zealandbanking subsidiaries

740

155

24

BLANK

134
BLANK

Total

4,299

805

86

BLANK

828

Dec 22
Impairedderivatives

Advanced IRB approach

Impairedloans/
facilities

Past dueloans ≥ 90
days

Individual
provisionbalance$M

Individual
provision
charge forthreemonths$M

Write-offs
for threemonths$M$M$M

Corporate

4

318

216

148

(114)

$M
19

Sovereign

-

-

-

-

-

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

383

1,783

55

(4)

5
22

Qualifying Revolving Retail

-

31

-

-

12

Other Retail

-

208

220

117

3

38

Total Advanced IRB approach

4

940

2,219

320

(103)

84

Specialised Lending

-

52

13

32

3

-

Corporate

-

181

48

46

1

12

Residential Mortgage

-

30

8

6

-

-

Other Retail

-

7

-

1

(2)

1

Total Standardised approach

-

218

56

53

(1)

13

Qualifying Central Counterparties

-

-

-

-

-

-

Total

4

1,210

2,288

405

(101)

97

Standardised approach

8

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 4(c): Specific Provision Balance and General Reserve for Credit Losses 8
Jun 23Specific Provision
Balance$M

General Reserve for
Credit Losses
$M

Total
$M

Collectively Assessed Provisions for Credit Impairment

385

3,657

4,042

Individually Assessed Provisions

395

-

395

Total Provision for Credit Impairment

780

3,657

4,437

Specific Provision
Balance$M
384

General Reserve for
Credit Losses
$M
3,656

Individually Assessed Provisions

421

-

421

Total Provision for Credit Impairment

805

3,656

4,461

Specific Provision
Balance$M
370

General Reserve for
Credit Losses
$M
3,518

Individually Assessed Provisions

405

-

405

Total Provision for Credit Impairment

775

3,518

4,293

Mar 23

Collectively Assessed Provisions for Credit Impairment

Total
$M
4,040

Dec 22

Collectively Assessed Provisions for Credit Impairment

8

Total
$M
3,888

Due to definitional differences, there is a variation in the split between ANZ’s Individually and Collectively Assessed Provisions for
Credit Impairment for accounting purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory
purposes. This does not impact total provisions, and essentially relates to the classification of collectively assessed provisions on
defaulted accounts. The disclosures in this document are based on Individually and Collectively Assessed Provisions for Credit
Impairment, for ease of comparison with other published results.

9

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 5 Securitisation
Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type andfacility 9
Jun 23
Original value securitised
Securitisation activity by underlying
asset type

ANZ Originated$M

ANZ Self
Securitised$M

ANZ Sponsored
$M

(51)

115

-

Recognised
gain or loss on
sale
$M
-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(51)

115

-

-

Residential mortgage

Securitisation activity by facility provided

Notional
amount$M-

Liquidity facilities
Funding facilities-

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

(376)

Other

1

Total

(375)

Mar 23
Original value securitised
Securitisation activity by underlying
asset type

ANZ Originated$M

ANZ Self
Securitised$M

ANZ Sponsored
$M

(57)

(95)

-

Recognised
gain or loss on
sale
$M
-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(57)

(95)

-

-

Residential mortgage

Securitisation activity by facility provided

Liquidity facilities

Notional
amount$M-

Funding facilities

150

Underwriting facilities-

Lending facilities-

Credit enhancements-

Holdings of securities (excluding trading book)

9

(311)

Other

1

Total

(160)

Activity represents net movement in outstanding.

10

ANZ Basel III Pillar 3 Disclosure

Securitisation activity by underlying
asset type
Residential mortgage

June 2023

ANZ Originated$M(67)

Dec 22
Original value securitised
ANZ Self
ANZ Sponsored
Securitised
$M
$M
139
-

Recognised gainor loss on sale
$M
-

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

(67)

139

-

-

Credit cards and other personal loans

Securitisation activity by facility provided
Liquidity facilities

Notional amount$M-

Funding facilities(76)-

Underwriting facilities-

Lending facilities-

Credit enhancements(343)

Holdings of securities (excluding trading book)
Other

-

Total

(419)

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

11

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 5(b) part (i): Banking Book: Securitisation - Regulatory credit exposures by exposure typeJun 23$M

Mar 23

Dec 22$M$M

Liquidity facilities

-

-

-

Funding facilities

9,306

8,976

9,642

Securitisation exposure type - On balance sheet

Underwriting facilities

-

-

-

Lending facilities

-

-

-

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

-

-

-

2,323

2,698

3,009

-

-

-

Other

60

116

67

Total

11,689

11,79012,718Jun 23

Mar 23

Dec 22

$M

$M

$M

10

11

12

2,843

2,191

2,775

Securitisation exposure type - Off Balance
Sheet
Liquidity facilities
Funding facilities
Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities (excluding trading book)

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

2,853

2,202

2,787

Jun 23$M

Mar 23

Dec 22

Total Securitisation exposure type$M

$M

Liquidity facilities

10

11

12

Funding facilities

12,149

11,167

12,417

Underwriting facilities

-

-

-

Lending facilities

-

-

-

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

-

-

-

2,323

2,698

3,009

-

-

-

Other

60

116

67

Total

14,542

13,992

15,505

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

12

ANZ Basel III Pillar 3 Disclosure

June 2023

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

Jun 23

Mar 23

Dec 22

$M

$M

$M

$M

66,77065,56464,00963,5581,212,920

1,242,882

1,210,057

1,168,311

5.5%

5.3%

5.3%

5.4%

Capital and total exposures
20

Tier 1 capital

21

Total exposuresSep 22

Leverage ratio
22

Basel III leverage ratio

13

ANZ Basel III Pillar 3 Disclosure

June 2023

Table 20 Liquidity Coverage Ratio disclosure template
Total
Unweighted
Value
$M

Jun 23
Total
Weighted
Value
$M

Total
Unweighted
Value
$M

Mar 23
Total
Weighted
Value$M

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

2Alternative liquid assets (ALA)

3Reserve Bank of New Zealand (RBNZ) securities

271,021269,534

-

-

2,615

1,762

Cash outflows
4

Retail deposits and deposits from small businesscustomers

260,584

24,842258,861

24,191

5of which: stable deposits

117,072

5,854

117,008

5,850

6

of which: less stable deposits

143,512

18,988141,853

18,341

7

297,473

159,085

303,760

164,206

8

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

95,42823,001

96,33023,201

9of which: non-operational deposits (allcounterparties)

185,373

119,412

189,026

122,601

10of which: unsecured debt

16,672

16,672

18,404

18,404

11

Secured wholesale funding

12

Additional requirements

1,874

1,144

184,51762,063

193,884

69,86013

of which: outflows related to derivatives exposuresand other collateral requirements

40,70140,701

48,44548,44514of which: outflows related to loss of funding on debt
products---

21,415

15

143,816

21,362

145,439

16

Other contractual funding obligations

8,515

-

8,979

-

17

Other contingent funding obligations

120,339

8,012

114,489

7,932

18

of which: credit and liquidity facilities

Total cash outflows

255,876

267,333

Cash inflows
19

Secured lending (e.g. reverse repos)

25,6791,682

21,848

1,957

20

Inflows from fully performing exposures

26,35017,83528,79819,81921

Other cash inflows

28,57728,57736,25736,25722

Total cash inflows

80,60648,09486,90358,03323

Total liquid assets

273,636

271,296

24

Total net cash outflows

207,782

209,300

25

Liquidity Coverage Ratio (%)

131.7%

Number of data points used (simple average)65

129.6%
064

Liquidity Coverage Ratio (LCR)
ANZ’s average LCR for the 3 months to 30 June 2023 was 131.7% with total liquid assets exceeding net outflows by
an average of $65.9 billion.
The main contributors to net cash outflows were modelled outflows associated with the bank’s corporate and retaildeposit portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives arematerial, these are effectively offset by derivative cash inflows.
ANZ has a well-diversified deposit and funding base avoiding undue concentrations by investor type, maturity,
market source and currency.
ANZ monitors and manages its liquidity risk on a daily basis including LCR by geography and currency, ensuringongoing compliance across the network.

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Glossary
ADI

Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capitalcharge

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

Collectively Assessed
Provision for Credit
Impairment

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

Credit exposure

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

Credit risk

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

Credit Valuation Adjustment(CVA)

Days past due

Exposure at Default (EAD)

Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value
to take into account the impact of counterparty credit quality. The methodology
calculates the present value of expected losses over the life of the financial
instrument as a function of probability of default, loss given default, expectedcredit risk exposure and an asset correlation factor. Impaired derivatives are also
subject to a CVA.
The number of days a credit obligation is overdue, commencing on the date thatthe arrears or excess occurs and accruing for each completed calendar day
thereafter.
Exposure At Default is defined as the expected facility exposure at the date ofdefault.

Impaired assets (IA)Facilities are classified as impaired when there is doubt as to whether thecontractual amounts due, including interest and other payments, will be met in atimely manner. Impaired assets include impaired facilities, and impaired
derivatives. Impaired derivatives have a credit valuation adjustment (CVA), which
is a market assessment of the credit risk of the relevant counterparties.

Impaired loans (IL)Impaired loans comprise of drawn facilities where the customer’s status is defined
as impaired.

Individual provision charge(IPC)

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

Individually Assessed
Provisions for Credit
Impairment

Market risk

Individually assessed provisions for credit impairment are calculated in accordancewith AASB 9 Financial Instruments (AASB 9). They are assessed on a case-bycase basis for all individually managed impaired assets taking into consideration
factors such as the realisable value of security (or other credit mitigants), the likely
return available upon liquidation or bankruptcy, legal uncertainties, estimatedcosts involved in recovery, the market price of the exposure in secondary markets
and the amount and timing of expected receipts and recoveries.
The risk to ANZ’s earnings arising from changes in interest rates, currency
exchange rates and credit spreads, or from fluctuations in bond, commodity or
equity prices. ANZ has grouped market risk into two broad categories to facilitate
the measurement, reporting and control of market risk:
Traded market risk - the risk of loss from changes in the value of financial
instruments due to movements in price factors for physical and derivative trading
positions. Trading positions arise from transactions where ANZ acts as principalwith clients or with the market.

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ANZ Basel III Pillar 3 Disclosure

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

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

Past due facilities

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

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

Recoveries

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

Restructured items

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

Risk Weighted Assets(RWA)

Securitisation risk

Write-Offs

Assets (both on and off-balance sheet) are risk weighted according to each asset’s
inherent potential for default and what the likely losses would be in the case ofdefault. In the case of non asset backed risks (i.e. market and operational risk),
RWA is determined by multiplying the capital requirements for those risks by 12.5.
The risk of credit related losses greater than expected due to a securitisation failingto operate as anticipated, or of the values and risks accepted or transferred, notemerging as expected.
Facilities are written off against the related provision for impairment when they
are assessed as partially or fully uncollectable, and after proceeds from therealisation of any collateral have been received. Where individual provisions
recognised in previous periods have subsequently decreased or are no longer
required, such impairment losses are reversed in the current period income
statement.

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