2015

BASEL IIIPILL AR 3
DISCLOSURE

AS AT 31 DECEMBER 2015
APS 330: PUBLIC DISCLOSURE

Important noticeThis document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) tomeet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADI
Prudential Standard (APS) 330: Public Disclosure.
This disclosure was prepared as at 31 December 2015. ANZ has a continuous disclosure policy, underwhich ANZ will immediately notify the market of any material price sensitive information concerning
the Group, in accordance with legislative and regulatory disclosure requirements.

1

ANZ Basel III Pillar 3 disclosure

Table 3

December 2015

Capital adequacy - Capital ratios and Risk Weighted Assets
Dec-15$M

Sep-15$M

Jun-15$M

Corporate

148,017150,165

142,900

Sovereign

6,363

6,664

6,453

Bank

16,42817,445

18,831

Residential Mortgage

56,47954,99653,474

Qualifying Revolving Retail

7,469

7,546

7,846

Other Retail30,15632,99031,429264,912269,806

260,933

Credit risk Specialised Lending exposures subject to slotting approach1

35,17332,24031,364

Subject to Standardised approach
Corporate

23,92926,21725,206

Residential Mortgage

2,765

2,882

2,645

Other Retail

3,638

3,625

3,345

30,33232,724

31,196

Credit Valuation Adjustment and Qualifying Central Counterparties

8,723

10,1708,854

Credit risk weighted assets relating to securitisation exposures

1,215

1,156

1,072

Other assets

3,735

3,655

3,761

344,090349,751

337,180

Risk weighted assets (RWA)
Subject to Advanced Internal Rating Based (IRB) approach

Credit risk weighted assets subject to Advanced IRB approach

Credit risk weighted assets subject to Standardised approach

Total credit risk weighted assets
Market risk weighted assets

5,903

6,868

6,874

Operational risk weighted assets

37,84937,88532,894

Interest rate risk in the banking book (IRRBB) risk weighted assets
Total risk weighted assets
Capital ratios (%)
Level 2 Common Equity Tier 1 capital ratio

9,457

7,433

7,010

397,299

401,937

383,958

9.4%

9.6%

8.6%

Level 2 Tier 1 capital ratio

11.2%

11.3%

10.5%

Level 2 Total capital ratio

13.3%

13.3%

12.5%

Credit Risk Weighted Assets (CRWA)
Total CRWA at December 2015 was $344.1 billion, a decrease of $5.7 billion (1.6%) from September
2015. This included a $2.3 billion decrease due to foreign currency movements, a reduction in IRB
Other Retail, mainly driven by the sale of Esanda business assets, and a reduction in exposure for theInstitutional business. These were partially offset by portfolio growth in Australia and New Zealandbusiness in the IRB Residential Mortgage and Specialised Lending asset classes, together with a revised
risk treatment being applied in the Specialised Lending asset class which increased the Specialised
Lending RWA.
Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
The 14% decrease in Traded Market Risk RWA was primarily the result of increased diversification in the
trading book and a reduction in general market risk held over the quarter.
The Operational Risk RWA remained relatively unchanged since September 2015 reflecting minimalchange in the ANZ operational risk profile.
IRRBB RWA increased $2.02b mainly due to realisation of prior embedded gains.

1
Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing andrepayment is from the asset being financed, and includes specified commercial property development/investment
lending and project finance.

2

ANZ Basel III Pillar 3 disclosure

Table 4

December 2015

Credit risk exposures

Exposure at Default in Table 4 represents gross credit exposure without offsets for credit risk
mitigation such as guarantees, credit derivatives, netting and financial collateral. It includes Advanced
IRB, Specialised Lending and Standardised exposures, however does not include Securitisation,
Equities or Other Assets exposures.
Table 4(a) part (i): Period end and average Exposure at Default 2

Risk Weighted
Assets$M
148,017

Exposureat Default$M
274,768

Dec 15
Average
Exposureat Default forthree months$M
275,642

Sovereign

6,363

141,718

134,534

2

Bank

16,428111,932

113,915--

Residential Mortgage

56,479334,380

328,777

4

9

Qualifying Revolving Retail

7,469

22,18822,138

51

69

Other Retail30,15640,866

43,608129133

264,912925,852

918,614278

290

35,17339,577

38,665-2

Corporate

23,92927,69529,030-1

Residential Mortgage

2,765

7,536

7,683

-

1

Other Retail

3,638

3,645

3,641

41

48

30,33238,87640,354

41

50

8,723

29,611

31,433--

339,140

1,033,916

1,029,066

319

342

Advanced IRB approach
Corporate

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge forthree months$M
92

Write-offs forthree months$M
79-Standardised approach

Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

2

Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the endof each three month period.

3

ANZ Basel III Pillar 3 disclosure

December 2015

Risk Weighted
Assets$M
150,165

Exposureat Default$M
276,516

Sep 15
Average
Exposure at
Default forthree months$M273,182

Sovereign

6,664

127,349

124,471(2)

Bank

17,445

115,898

112,356--

Residential Mortgage

54,996323,174

317,6642

8

Qualifying Revolving Retail

7,546

22,08822,151

49

71

Other Retail32,99046,35145,929142138

269,806

911,376895,753339

352

32,24037,75437,496(19)

51

Corporate

26,21730,36529,656

5

6

Residential Mortgage

2,882

7,829

7,616

-

2

Other Retail

3,625

3,636

3,497

36

45

Total Standardised approach

32,724

41,83040,76941

53

Credit Valuation Adjustment andQualifying Central Counterparties

10,17033,25528,903--344,940

1,024,215

1,002,921

361

456

Risk Weighted
Assets$M

Exposure at
Default$M

Jun 15
Average
Exposure at
Default forthree months$M

Individual
provision
charge forthree months$M

Write-offs forthree months$M

Advanced IRB approach
Corporate

Total Advanced IRB approach
Specialised Lending

Individual
provision
charge forthree months$M
148

Write-offs forthree months
$M
135
-

Standardised approach

Total

Advanced IRB approach
Corporate

142,900

269,847

270,707

56

62

Sovereign

6,453

121,593

117,288

-

-

Bank

18,831

108,814

115,704--

Residential Mortgage

53,474

312,154

311,477

7

9

Qualifying Revolving Retail

7,846

22,21422,07453

74

Other Retail31,42945,50845,814137

134

260,933

880,130

883,064253

279

31,36437,23937,382

4

10

Corporate

25,20628,94729,574

5

28

Residential Mortgage

2,645
3,345

7,402
3,357

7,346
3,320

32

2
40

31,19639,70640,240

37

70

8,854

24,552

25,420--332,347

981,627

986,106294

359

Total Advanced IRB approach
Specialised LendingStandardised approach

Other Retail
Total Standardised approach
Credit Valuation Adjustment andQualifying Central Counterparties
Total

4

ANZ Basel III Pillar 3 disclosure

December 2015

Table 4(a) part (ii): Exposure at Default by portfolio type3

41,64429,17633,985

Average for thequarter ended
Dec-15$M
35,410166,935

162,535

160,641

164,735

Dec-15$M

Portfolio Type
Cash
Contingents liabilities, commitments, andother off-balance sheet exposures
Derivatives

Sep-15$M

Jun-15$M

124,458

141,641

114,225

133,050

Settlement Balances

41,56839,216

34,61540,392

Investment Securities

42,07237,811

34,44039,941

Net Loans, Advances & Acceptances

570,538

565,448

550,601

567,993

Other assets

15,743

12,114

17,73913,929Trading Securities

30,95836,27435,381

33,616

Total exposures

1,033,916

1,024,215

981,627

1,029,066

4

3

Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the endof each three month period.

4

Includes loans reclassified as held for sale for accounting purposes.

5ANZ Basel III Pillar 3 disclosure

December 2015

Table 4(b): Impaired asset5 6, Past due loans7 8, Provisions and Write-offs
Dec 15

Impairedderivatives$M
Portfolios subject to Advanced IRB approach
12
Corporate

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Individual
provision
charge forthree months$M

Write-offs
for threemonths
$M

1,397

208

585

100

79

Sovereign

-

1

-

6

2

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

218

1,592

81

3

9

Qualifying Revolving Retail

-

81

-

-

51

69

Other Retail9

-

447

288

242

129

134

Total Advanced IRB approach

12

2,144

2,088

914

285

291

Specialised Lending

35

146

24

35

(7)

2

Corporate

-

59

42

21

-

1

Residential Mortgage

-

38

9

13

-

1

Other Retail

-

198

5

3

41

48

Total Standardised approach

-

295

56

37

41

50

Qualifying Central Counterparties

-

-

-

-

-

-

47

2,585

2,168

986

319

343

Portfolios subject to Standardised approach

Total

5
Impaired derivatives are net of credit value adjustment (CVA) of $64 million, being a market value based
assessment of the credit risk of the relevant counterparties (September 2015: $69 million; June 2015: $64 million).
6
Impaired loans / facilities include restructured items of $211 million for customer facilities in which the originalcontractual terms have been 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 materiallybeyond those typically offered to new facilities with similar risk (September 2015: $184 million; June 2015: $270
million).
7
For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past dueloans > 90 days to impaired loans / facilities
8
Quarter on quarter residential mortgage delinquency rate has decreased with past due loans ≥ 90 days as
percentage of Exposure at Default of: December 2015 0.47%, September 2015 0.48% and June 2015 0.50%.
9Quarter on quarter decreases in Other Retail impairments and individual provisions is partly due to the sale of
Esanda assets.

6

ANZ Basel III Pillar 3 disclosure

December 2015

Sep 15

Impairedderivatives$M

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Individual
provision
charge forthree months$M

Write-offs
for threemonths$M

Portfolios subject to Advanced IRB approach
Corporate

9

1,487

202

575

148

135

Sovereign

-

2

-

4

(2)

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

240

1,570

86

2

8

Qualifying Revolving Retail

-

88

-

-

49

71

Other Retail

-

599

306

317

142

138

Total Advanced IRB approach

9

2,416

2,078

982

339

352

28

159

62

40

(19)

51

Corporate

-

73

40

23

5

6

Residential Mortgage

-

37

12

14

-

2

Other Retail

-

177

7

2

36

45

Total Standardised approach

-

287

59

39

41

53

Qualifying Central Counterparties

-

-

-

-

-

-

37

2,862

2,199

1,061

361

456

Specialised Lending
Portfolios subject to Standardised approach

Total

Jun 15

Impaired
Derivatives$M

Impairedloans/
facilities$M

Past dueloans ≥ 90
days
$M

Individual
provisionbalance$M

Individual
provision
charge forthree months$M

Write-offs
for threemonths$M

Portfolios subject to Advanced IRB approach
Corporate

-

1,363

254

543

56

62

Sovereign

-

2

-

4

-

-

Bank

-

-

-

-

-

-

Residential Mortgage

-

263

1,577

91

7

9

Qualifying Revolving Retail

-

96

-

-

53

74

Other Retail

-

597

327

323

137

134

Total Advanced IRB approach

-

2,321

2,158

961

253

279

23

378

47

86

4

10

Corporate

-

70

49

21

5

28

Residential Mortgage

-

37

14

13

-

2

Other Retail

-

164

7

2

32

40

Total Standardised approach

-

271

70

36

37

70

Qualifying Central Counterparties

-

-

-

-

-

-

23

2,970

2,275

1,083

294

359

Specialised Lending
Portfolios subject to Standardised approach

Total

7

ANZ Basel III Pillar 3 disclosure

December 2015

Table 4(c): Specific Provision Balance and General Reserve for Credit Losses 10
Dec 15

Collective Provision

Specific Provision
Balance$M
308

Individual Provision

General Reserve
for Credit Losses
$M
2,611

Total
$M
2,919

986

-

986

1,294

2,611

3,905

Specific Provision
Balance$M

General Reserve
for Credit Losses
$M

Total
$M

Collective Provision

334

2,622

2,956

Individual Provision

1,061

-

1,061

Total Provision for Credit Impairment

1,395

2,622

4,017

Specific Provision
Balance$M

General Reserve
for Credit Losses
$M

Total
$M

Collective Provision

331

2,606

2,937

Individual Provision

1,083

-

1,083

Total Provision for Credit Impairment

1,414

2,606

4,020

Total Provision for Credit Impairment

Sep 15

Jun 1510

Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective
Provision 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 Individual Provision andCollective Provision, for ease of comparison with other published results.

8

ANZ Basel III Pillar 3 disclosure

Table 5

December 2015

Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset
type and facility 11
Dec-15
Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
(36)

ANZ
Sponsored$M-

Recognized gainor loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

(36)

-

-

Securitisation activity by underlying asset type
Residential mortgage

Securitisation activity by facility provided
Liquidity facilities

-

-

-

Notional
amount$M-

Funding facilities

-

-

-

-

Underwriting facilities

-

-

-

-

Lending facilities

-

-

-

-

Credit enhancements

-

-

-

-

Holdings of securities (excluding trading book)

-

-

-

142

Other

-

-

-

11

-

154

Total

-

-

Sep-15
Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
5,778

ANZ
Sponsored$M-

Recognised gainor loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

5,778

-

-

Securitisation activity by underlying asset type
Residential mortgage

Liquidity facilities

-

-

-

Notional
amount$M-

Funding facilities

-

-

-

329

Underwriting facilities

-

-

-

-

Lending facilities

-

-

-

-

Credit enhancements

-

-

-

-

Holdings of securities (excluding trading book)

-

-

-

240

Securitisation activity by facility provided

Other

-

-

-

4

Total

-

-

-

573

11

Activity represents net movement in outstandings.

9

ANZ Basel III Pillar 3 disclosure

December 2015

Jun-15
Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
(494)

ANZ
Sponsored$M-

Recognised gainor loss on sale$M

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance

-

-

-

-

Commercial loans

-

-

-

-

Other

-

-

-

-

Total

-

(494)

-

-

Securitisation activity by underlying asset type
Residential mortgage-

Liquidity facilities

-

-

-

Notional
amount$M-

Funding facilities

-

-

-

47

Underwriting facilities

-

-

-

-

Lending facilities

-

-

-

-

Credit enhancements

-

-

-

-

Holdings of securities (excluding trading book)

-

-

-

9

Securitisation activity by facility provided

Other

-

-

-

-

Total

-

-

-

56

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

10

ANZ Basel III Pillar 3 disclosure

December 2015

Table 5(b) part (i): Banking Book – Exposure at Default by exposure type
Securitisation exposure type - On balance sheet
Liquidity facilities
Funding facilities

Dec-15
$M
5

Sep15
$M
5

Jun-15
$M
5

5,841

5,593

4,991

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

5,219

5,076

4,846

Holdings of securities (excluding trading book)Protection provided

-

-

-

Other

161

168

264

Total

11,226

10,842

10,106

Securitisation exposure type - Off Balance Sheet
Liquidity facilities

Dec-15
$M
72

Sep15
$M
66

Jun-15$M
70

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities (excluding trading book)

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

72

66

70

Dec-15
$M
77

Sep15
$M
71

Jun-15$M
75

Total Securitisation exposure type
Liquidity facilities
Funding facilities

5,841

5,593

4,991

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

5,219

5,076

4,846

Holdings of securities (excluding trading book)Protection provided

-

-

-

Other

161

168

264

Total

11,298

10,908

10,17611

ANZ Basel III Pillar 3 disclosure

December 2015

Table 5(b) part (ii): Trading Book - Exposure at Default by exposure type
Dec15
$M
-

Sep-15$M-

Jun-15$M-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

16

-

-

Protection provided

-

-

-

Other

-

-

-

Total

-

-

-

Dec15
$M
-

Sep-15$M-

Jun-15$M-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

-

-

-

Protection provided

-

-

-

Other

-

-

-

Total

-

-

-

Dec15
$M
-

Sep-15$M-

Jun-15$M-

Funding facilities

-

-

-

Underwriting facilities

-

-

-

Lending facilities

-

-

-

Credit enhancements

-

-

-

Holdings of securities

16

-

-

Protection provided

-

-

-

Other

-

-

-

Total

16

-

-

Securitisation exposure type - On balance sheet
Liquidity facilities

Securitisation exposure type - Off Balance Sheet
Liquidity facilities

Total Securitisation exposure type
Liquidity facilities

12

ANZ Basel III Pillar 3 disclosure

December 2015

Leverage Ratio
The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS)
Basel III capital framework. It is a simple, non-risk based supplement or backstop to the current risk
based capital requirements and is intended to restrict the build-up of excessive leverage in thebanking 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. APRA has not finalised a minimum
Leverage Ratio requirement for Australian ADIs, although the current BCBS proposal is for a minimumof 3%. Currently the Leverage Ratio is only a disclosure requirement. APRA intends to consult on theappropriate application of the Leverage Ratio as a minimum requirement for Australian ADIs once
BCBS finalises its calibration for implementation as a Pillar 1 requirement by January 2018.

Capital and total exposures
20
Tier 1 capitalDec-15$M
44,364

Sep-15$M
45,484

21

908,186

896,985

4.9%

5.1%

Total exposures

Leverage ratio
22

Basel III leverage ratio

The leverage ratio at 31 December 2015 was 4.9%, down 19 basis points over the quarter. This
movement is largely due to the payment of the 2015 final dividend (-28bps) and balance sheet growth,partially offset by retained earnings.

13

ANZ Basel III Pillar 3 disclosure

December 2015

Glossary
Basel III Credit Valuation
Adjustment (CVA) capital charge

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

Collective provision (CP)Collective provision is the provision for credit losses that are
inherent in the portfolio but not able to be individually
identified. A collective provision may only be recognised when aloss event has already occurred. Losses expected as a result of
future events, no matter how likely, are not recognised.

Credit exposure

The aggregate of all claims, commitments and contingent
liabilities arising from on- and off-balance sheet transactions (inthe banking book and trading book) with the counterparty orgroup of related counterparties.

Credit risk

The risk of financial loss resulting from the failure of ANZ’scustomers and counterparties to honour or perform fully theterms of a loan or contract.

Credit Valuation Adjustment (CVA)

Over the life of a derivative instrument, ANZ uses a CVA modelto adjust fair value to take into account the impact ofcounterparty credit quality. The methodology calculates thepresent value of expected losses over the life of the financial
instrument as a function of probability of default, loss given
default, expected credit risk exposure and an asset correlation
factor. Impaired derivatives are also subject to a CVA.

Days past due

The number of days a credit obligation is overdue, commencing
on the date that the arrears or excess occurs and accruing foreach completed calendar day thereafter.

Exposure at Default (EAD)

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

Expected loss (EL)

Expected loss is determined based on the expected averageannual loss of principal over the economic cycle for the current
risk profile of the lending portfolio.

Impaired assets (IA)Facilities are classified as impaired when there is doubt as towhether the contractual amounts due, including interest andother payments, will be met in a timely 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
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 a collective basis). It takes
into account expected cash flows over the lives of thosefinancial instruments.

Individual provisions (IP)Individual provisions are assessed on a case-by-case basis for
all individually managed impaired assets taking into
consideration factors such as the realisable value of security (orother credit mitigants), the likely return available uponliquidation or bankruptcy, legal uncertainties, estimated costs
involved in recovery, the market price of the exposure insecondary markets and the amount and timing of expected
receipts and recoveries.

14

where

the

ANZ Basel III Pillar 3 disclosure

December 2015

Loss Given Default (LGD)

Loss Given Default is an estimate of the potential economic loss
on a credit exposure, incurred as a consequence of obligor
default and expressed as a percentage of the facility’s EAD.

Market risk

The risk to ANZ’s earnings arising from changes in interest
rates, currency exchange rates and credit spreads, or fromfluctuations in bond, commodity or equity prices. ANZ has
grouped market risk into two broad categories to facilitate themeasurement, reporting and control of market risk:
Traded market risk - the risk of loss from changes in the valueof financial instruments due to movements in price factors forphysical and derivative trading positions. Trading positions arise
from transactions where ANZ acts as principal with clients orwith the market.
Non-traded market risk (or balance sheet risk) - comprises
interest rate risk in the banking book and the risk to the AUD
denominated value of ANZ’s capital and earnings due to foreignexchange rate movements.

Operational risk

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

Past due facilities

Facilities where a contractual payment has not been met or thecustomer is outside of contractual arrangements are deemed
past due. Past due facilities include those operating in excess ofapproved arrangements or where scheduled repayments areoutstanding but do not include impaired assets.

Probability of Default (PD)Probability of Default is an estimate of the level of the risk ofborrower default.

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

Recoveries

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

Regulatory Expected Loss

Regulatory Expected Loss is a measure of expected credit
losses at the start of the year.

Restructured items

Restructured items comprise facilities in which the originalcontractual terms have been modified for reasons related to thefinancial difficulties of the customer. Restructuring may consistof reduction of interest, principal or other payments legally due,or an extension in maturity materially beyond those typicallyoffered to new facilities with similar risk.

Risk Weighted Assets (RWA)

Assets which are weighted for credit risk according to a set
formula (APS 112/113).

Securitisation risk

The risk of credit related losses greater than expected due to asecuritisation failing to operate as anticipated, or of the values
and risks accepted or transferred, not emerging as expected.

Slotting

Exposures where repayment is dependent on funds generated
by the asset financed and with little/no recourse to any
alternative source.

Write-Offs

Facilities are written off against the related provision for
impairment when they are assessed as partially or fully
uncollectable, and after proceeds from the realisation 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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December 2015

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