ANZ Basel II Pillar 3 disclosure

June 2012

2012+BASELIIIIBASELPILLAR33DISCLOSUREDISCLOSUREPILLARQUARTER ENDED 30 JUNE 2012
APS 330: CAPITAL ADEQUACY & RISKMANAGEMENT IN ANZ1

ANZ Basel II Pillar 3 disclosure

June 2012

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) Australian
Prudential Standard (APS) 330 Capital Adequacy: Public Disclosure of Prudential Information.
This disclosure was prepared as at 30 June 2012. ANZ has a continuous disclosure policy, under which
ANZ will immediately notify the market of any material price sensitive information concerning theGroup, in accordance with legislative and regulatory disclosure requirements.

1

ANZ Basel II Pillar 3 disclosure

June 2012

Scope of application
Top corporate entity
The top corporate entity in the reporting group is Australia and New Zealand Banking Group Limited.

Table 16

Capital adequacy - Capital ratios and Risk Weighted Assets 1
Jun 12$M

Mar 12$M

Dec 11$MCorporate

103,738

101,280

102,726

Sovereign

4,503

4,6694,843

Bank

10,57910,195

10,049Residential Mortgage

43,02942,684

41,798

Qualifying Revolving Retail7,396

7,610

7,612

Other Retail20,984

20,087

19,455

190,229

186,525

186,483

27,632

27,90328,545

Corporate

26,261

24,92225,513

Residential Mortgage

1,316

1,445

1,380

Qualifying Revolving Retail

2,007

1,933

1,968

Other Retail1,328

1,124

1,170

30,912

29,42430,031Credit risk weighted assets relating to securitisation exposures

1,229

1,225

1,156

Credit risk weighted assets relating to equity exposures

1,211

1,235

1,259

Other assets

3,671

3,853

3,740

254,884

250,165

251,214

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

Credit risk weighted assets subject to Advanced IRB approach

Credit risk Specialised Lending exposures subject to slotting approach

Subject to Standardised approach

Credit risk weighted assets subject to Standardised approach

Total credit risk weighted assets

Market risk weighted assets

4,458

4,201

2,800

Operational risk weighted assets

20,07220,005

19,415Interest rate risk in the banking book (IRRBB) risk weighted assets

11,276

10,465

9,597

290,690284,836

283,026

Level 2 Total capital ratio

12.3%

12.6%

12.0%

Level 2 Tier 1 capital ratio

11.1%

11.3%

11.0%

Total risk weighted assets
Capital ratios (%)

Credit Risk Weighted Assets (CRWA)
Total CRWA increased $4.7 billion (1.9%) from March 2012 to $254.9 billion. The key impacts on
CRWA were an increase of $2.5 billion (2.4%) in IRB Corporate driven by growth in Institutional
assets and an increase of $1.5 billion (5.1%) in Standardised assets driven by growth in Asia andexchange rate impacts.
IRRBB Risk Weighted Assets (RWA)
Increase in IRRBB RWA over the quarter was primarily due to greater repricing and yield curve risk.

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 II Pillar 3 disclosure

Table 17

June 2012

Credit risk exposures

Table 17(a) part(i): Period end and average Exposure at Default 2 3
Jun 12Risk Weighted
Assets$M

Exposureat Default$M

Average
Exposureat Default forthree months$M

Corporate

103,738

179,286

177,379

157

71

Sovereign

4,503

62,97059,538--Bank

10,57942,45841,851--

Residential Mortgage

43,029248,917

246,555

19

23

Qualifying Revolving Retail

7,396

21,102

21,24470

84

Other Retail

20,98431,36630,9257974

190,229

586,099

577,492

325

252

27,632

31,686

31,53032

32

Corporate

26,26125,73025,021

511

Residential Mortgage

1,316

3,473

3,306

1-

Qualifying Revolving Retail

2,0071,999

1,962

916

Advanced IRB approach

Total Advanced IRB approach

Specialised Lending

Individual
provision
charge forthree months$M

Write-offs forthree months$MStandardised approach

Other Retail
Total Standardised approach

Total

1,328

1,307

1,205(38)530,91232,50931,494(23)32

248,773

650,294

640,516334

316

2Exposure at Default in Table 17(a) includes Advanced IRB, Specialised Lending and Standardised exposures,
however does not include Securitisation, Equities or Other Assets exposures. Exposure at Default in Table 17(a) isnet of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.
3

Average Exposure at Default in Table 17(a) for quarter is calculated as the simple average of the balances at thestart and the end of each three month period.

3

ANZ Basel II Pillar 3 disclosure

June 2012

Mar 12

Risk Weighted
Assets$M

Exposureat Default$M

AverageExposure
at Default forthree months$M

Corporate

101,280

175,471

175,255

135

52

Sovereign

4,669

56,10656,560--Bank

10,19541,24342,044--Residential Mortgage

42,684244,192

240,8772623

Qualifying Revolving Retail

7,610

21,387

21,351

59

72

Other Retail

20,08730,48529,98567

64

186,525

568,884

566,072287

211

27,90331,374

31,41591

51

Corporate

24,922

24,313

24,582

8

3

Residential Mortgage

1,445

3,140

3,042

4

1

Qualifying Revolving Retail

1,933

1,924

1,941

1119

Advanced IRB approach

Total Advanced IRB approach

Specialised Lending

Individual
provision
charge for Write-offs forthree months three months$M$M

Standardised approach

Other Retail
Total Standardised approach

Total

1,124

1,103

1,125(4)829,424

30,48030,6901931243,852

630,738

628,177397

293

Dec 11

Risk Weighted
Assets$M

Exposureat Default$M

Average
Exposureat Default forthree months$M

Corporate

102,726

175,039

174,142

101

126

Sovereign

4,843

57,01454,777--Bank

10,04942,84542,577--

Residential Mortgage

41,798237,562

236,222

18

23

Qualifying Revolving Retail

7,612

21,314

21,267

62

74

Other Retail19,45529,48629,52550

84

186,483

563,260

558,510231

307

28,54531,456

31,18977

35

Corporate

25,51324,85023,847(9)

2

Residential Mortgage

1,380

2,945

2,850

1-Qualifying Revolving Retail

1,968

1,958

2,030

1418

Advanced IRB approach

Total Advanced IRB approach

Specialised Lending

Individualprovision
charge for Write-offs forthree months three months$M$M

Standardised approach

Other Retail
Total Standardised approach

Total

1,170

1,146

1,021(21)730,031

30,89929,748(15)27

245,059

625,615

619,447

293

369

4

ANZ Basel II Pillar 3 disclosure

June 2012

Table 17(a) part(ii): Exposure at Default by portfolio type

Portfolio TypeJun 12$MMar 12$M

Dec 11$M

Average for thequarter ended
Jun 12$M

Acceptances

19,504

19,174

18,412

19,339Cash and liquid assets

24,862

24,60525,967

24,734

Contingents liabilities, commitments, andother off-balance sheet exposures

119,559

120,925

117,865

120,242

Derivatives

27,24325,23025,961

26,236Due from other financial institutions

13,907

9,745

9,672

11,826

Investment securities

17,675

18,584

22,53018,129Loans and advances

401,795

391,137

381,581

396,466

Other assets

1,494

1,210

1,565

1,352

Trading securities

24,25520,128

22,062

22,192

Total exposures

650,294

630,738

625,615

640,5165

ANZ Basel II Pillar 3 disclosure

June 2012

Table 17(b): Impaired asset 4 5, Past due loans 6, Provisions and Write-offs
Jun 12

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

32,411385820157

71

Sovereign--

3---Bank-

80-

49--

Residential Mortgage

-

510

1,021

175

1923

Qualifying Revolving Retail-

197

170

84

Other Retail-

396

207

225

7974

Total Advanced IRB approach

33,398

1,713

1,270

325

252

121

1,440

62

294

32

32

11

Specialised Lending

Portfolios subject to Standardised approach
Corporate-

130

78

62

5

Residential Mortgage

-

21

4151-

Qualifying Revolving Retail-

70

1670

916

Other Retail-43

936(38)

5

Total Standardised approach

-

264

107

183(23)

32

124

5,102

1,882

1,747

334

316

Total

4
Impaired derivatives is net of credit valuation adjustment (CVA) of $57 million, being a market value based
assessment of the credit risk of the relevant counterparties (March 2012: $74 million; December 2011: $47 million).
5

Impaired loans / facilities include restructured items of $351 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 (March 2012: $340 million; December 2011: $884million).
6
Past due loans ≥ 90 days includes $1,664 million well secured loans (March 2012: $1,736 million; December 2011:$1,533 million).

6

ANZ Basel II Pillar 3 disclosure

June 2012

Mar 12

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
Corporate66

2,36033172913552Sovereign------

Bank-

78-

50-

-

Residential Mortgage

-

560

1,041

185

26

23

Qualifying Revolving Retail-

-

93-

5972

Other Retail-

385

202

216

67

64

Total Advanced IRB approach

66

3,383

1,667

1,180

287

211

Specialised Lending

85

1,475

136

299

91

51

3

Portfolios subject to Standardised approach
Corporate-

123

2366

8

Residential Mortgage

-

23

5

164

1

Qualifying Revolving Retail-

77

2275

1119

Other Retail-111

2378(4)8

Total Standardised approach

-

334

73

235

1931

151

5,192

1,876

1,714

397

293

TotalDec 11

Impairedderivatives$M

Impairedloans/facilities$M

Past dueloans ≥90 days
$M

Individual
provisionbalance$M

Individualprovision
charge forthree months$M

Write-offs
for threemonths$M

Portfolios subject to Advanced IRB approach
Corporate

67

2,924

252

553

101

126

Sovereign------

Bank-

80-

51-

-

Residential Mortgage

-

540

1,068

175

1823

Qualifying Revolving Retail-

-

84-

62

74

Other Retail-

304

140

187

5084

Total Advanced IRB approach

67

3,848

1,544

966

231

307

Specialised Lending

11976

61

256

77352Portfolios subject to Standardised approach
Corporate-

387

120178(9)Residential Mortgage-

234151-

Qualifying Revolving Retail-

84

2583

1418

Other Retail-1201485(21)7Total Standardised approach

-614

163

361(15)

27

78

5,438

1,768

1,583

293

369

Total

7

ANZ Basel II Pillar 3 disclosure

June 2012

Table 17(c): Specific Provision Balance and General Reserve for Credit Losses 7
Jun 12
Specific Provision
Balance$M

General Reserve forCredit Losses
$M

Total
$M

Collective Provision

325

2,683

3,008

Individual Provision

1,747-

Total Provision for Credit Impairment

1,747
4,755

Mar 12
Specific Provision
Balance$M

General Reserve for
Credit Losses
$M

Total
$M

Collective Provision

312

2,682

2,994

Individual Provision

1,714-Total Provision for Credit Impairment

1,714
4,708

Dec 11
Specific Provision General Reserve forBalance
Credit Losses
$M
$M
365
2,716

Collective Provision

1,583

Individual Provision
Total Provision for Credit Impairment-Total
$M
3,081
1,583
4,664

7
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) forregulatory 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 II Pillar 3 disclosure

Table 18

June 2012

Securitisation

Table 18(a) part(i): Banking Book - Summary of current period’s activity by underlying
asset type and facility
Jun 12Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
617

ANZ
Sponsored$M-

Recognised gainor loss on sale$M-

Credit cards and other personal loans----

Auto and equipment finance----Commercial loans----

Other----

Total-

617--

Securitisation activity by underlying asset type
Residential mortgage

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities----

Funding facilities----

Underwriting facilities----

Lending facilities----

Credit enhancements

-

-

-

-

Holdings of securities (excluding trading book)

--

-

363

Other----

Total---

363

Mar 12
Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
643

ANZ
Sponsored$M-

Recognised gainor loss on sale$M-

Credit cards and other personal loans

-

-

-

-

Auto and equipment finance-

-

-

-

Commercial loans

-

-

-

-

Other----

Total-

643--

Securitisation activity by underlying asset type
Residential mortgage

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities----

Funding facilities

---

194

Underwriting facilities----

Lending facilities----

Credit enhancements----

Holdings of securities (excluding trading book)----

Other----

Total-

-

-

194

9

ANZ Basel II Pillar 3 disclosure

June 2012

Dec 11
Original value securitised
ANZ
Originated$M-

ANZ Self
Securitised
$M
190

ANZ
Sponsored$M-

Recognised gainor loss on sale$M-

Credit cards and other personal loans----

Auto and equipment finance----

Commercial loans----

Other----

Total-

190--

Securitisation activity by underlying asset type
Residential mortgage

Notional amount$M

Securitisation activity by facility provided
Liquidity facilities

--

-

-

Funding facilities

--

-

1,095

Underwriting facilities----

Lending facilities----

Credit enhancements

--

-

-

Holdings of securities (excluding trading book)

--

-

1,902

Other-

-

-

42

Total

-

-

-

3,039

Table 18(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 II Pillar 3 disclosure

June 2012

Table 18(b) part(i): Banking Book – Exposure at Default by exposure typeJun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities

1,758

1,333

1,205

Funding facilities

3,198

3,202

3,131

Underwriting facilities---

Lending facilities---

Credit enhancements

---

2,873

2,689

2,878

Protection provided---

Other---

Total

7,8297,224

7,214

Securitisation exposure type - Off balance sheet

Jun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities

344704594

Funding facilities---

Underwriting facilities---

Lending facilities---

Credit enhancements---

Holdings of securities (excluding trading book)---Protection provided

-

-

-

Other-

2525

Total

344

729

619

Jun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities

2,102

2,037

1,799

Funding facilities

3,198

3,202

3,131

Underwriting facilities---

Lending facilities---Credit enhancements

---

2,873

2,689

2,878

Securitisation exposure type - On balance sheet

Holdings of securities (excluding trading book)Total Securitisation exposure typeHoldings of securities (excluding trading book)Protection provided---

Other-

25

25

Total

8,173

7,953

7,833

11

ANZ Basel II Pillar 3 disclosure

June 2012

Table 18(b) part(ii): Trading Book - Exposure at Default by exposure typeJun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities---

Funding facilities---

Underwriting facilities---Lending facilities---

Credit enhancements---

Holdings of securities

243784

Protection provided---

Other-

-

-

Total

243784

Jun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities---

Funding facilities---

Underwriting facilities---

Lending facilities---

Credit enhancements---

Holdings of securities---

Protection provided---

Other-

-

-

Total

--

-

Jun 12$M

Mar 12$M

Dec 11$M

Liquidity facilities---

Funding facilities---

Underwriting facilities---

Lending facilities---

Credit enhancements---

Holdings of securities

243784

Protection provided---

Other-

--

Total

24

37

84

Securitisation exposure type - On balance sheet

Securitisation exposure type - Off balance sheet

Total Securitisation exposure type12

ANZ Basel II Pillar 3 disclosure

June 2012

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ANZ Basel II Pillar 3 disclosure

June 201214