Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2013

Aug 15, 2013

ANZ Basel III Pillar 3 disclosure

June 2013 2013 BASEL III BASEL II PILLAR 3 DISCLOSURE PILLAR 3 DISCLOSURE

QUARTER ENDED 30 June 2013

APS 330: CAPITAL ADEQUACY & RISK MANAGEMENT IN ANZ

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ANZ Basel III Pillar 3 disclosure

June 2013

Important notice

This 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.

This disclosure was prepared as at 30[th] June 2013. ANZ has a continuous disclosure policy, under which ANZ will immediately notify the market of any material price sensitive information concerning the Group, in accordance with legislative and regulatory disclosure requirements.

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ANZ Basel III Pillar 3 disclosure

June 2013

Scope of application

Top corporate entity

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

Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets[1 ]

Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1	Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1	Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1
Basel III Basel II
Jun 13 Mar 13 Dec 12
Risk weighted assets(RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 123,753 114,700 113,027
Sovereign 4,638 4,382 4,615
Bank 17,584 15,838 11,079
Residential Mortgage 46,249 44,597 43,664
Qualifying Revolving Retail 7,260 7,234 7,028
Other Retail 23,742 23,200 22,511
Credit risk weighted assets subject to Advanced IRB approach 223,226 209,951 201,924
Credit risk Specialised Lending exposures subject to slotting approach 27,436 27,842 27,286
Subject to Standardised approach
Corporate 18,175 17,157 17,339
Residential Mortgage 1,831 1,827 1,863
Qualifying Revolving Retail 1,886 2,068 2,112
Other Retail 1,005 1,248 1,354
Credit risk weighted assets subject to Standardised approach 22,897 22,300 22,668
Credit Valuation Adjustment2and Qualifying Central Counterparties3 9,506 8,949 n/a
Credit risk weighted assets relating to securitisation exposures 2,883 2,549 1,132
Credit risk weighted assets relating to equity exposures n/a n/a 918
Other assets 3,537 3,387 3,729
Total credit risk weighted assets 289,485 274,978 257,657
Market risk weighted assets 5,101 6,850 6,193
Operational risk weighted assets 28,875 28,125 28,124
Interest rate risk in the banking book (IRRBB) risk weighted assets 17,323 12,629 11,634
Total risk weighted assets 340,784 322,582 303,608
Capital ratios(%)
Level 2 Common Equity Tier 1 capital ratio 8.0% 8.2% n/a
Level 2 Tier 1 capital ratio 9.5% 9.8% 10.9%
Level 2 Total capital ratio 11.4% 11.7% 12.1%

Credit Risk Weighted Assets (CRWA)

Total CRWA movement increased $14.5 billion (5.3%) from March 2013 to $289.5 billion at June 2013, including a $10.6 billion increase due to foreign currency movements. Significant Basel Asset Class movements include a $9.0 billion (7.9%) increase in AIRB Corporate driven mainly by growth in the Institutional portfolio and foreign currency impacts, an increase of $1.7 billion (11%) in AIRB Bank driven by growth in Australia and Asia and foreign currency movements, and an increase of $1.7 billion (3.7%) in AIRB Residential Mortgages driven mainly by growth in Australian portfolio and foreign currency movements.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)

The increase in IRRBB RWA was primarily due to greater repricing and yield curve risk primarily due to lengthening of Capital.

Market Risk RWA decreased $1.7 billion during the quarter as portfolio diversification increased from lower levels observed during first half 2013 under the Basel 2.5 Stressed VaR calculation.

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

2 Basel III capital reforms have introduced a Credit Value Adjustment (CVA) capital charge on over the counter (OTC) derivative assets.

3 Basel III capital reforms, exposures to Qualifying Central Counterparties (QCCP’s) arising from over the counter (OTC) derivatives, exchange-traded derivatives and securities financing transactions are subject to refined capital requirements.

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ANZ Basel III Pillar 3 disclosure

June 2013

Table 4 Credit risk exposures

Table 4(a) part (i): Period end and average Exposure at Default[ 4][5][6]

	Jun 13
	Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
Advanced IRB approach
Corporate	123,753 225,561 216,624 52 88
Sovereign	4,638 83,102 80,550 5 -
Bank	17,584 121,287 111,830 - -
Residential Mortgage	46,249 267,421 263,487 14 32
Qualifying Revolving Retail	7,260 21,056 21,004 62 80
Other Retail	23,742 35,987 35,587 87 89
Total Advanced IRB approach	223,226 754,414 729,082 220 289
Specialised Lending	27,436 31,545 31,933 - 30
Standardised approach
Corporate	18,175 17,968 17,479 12 8
Residential Mortgage	1,831 4,923 4,565 1 3
Qualifying Revolving Retail	1,886 1,879 1,971 (4) 2
Other Retail	1,005 999 1,121 9 20
Total Standardised approach	22,897 25,769 25,136 18 33
Credit Valuation Adjustment and
	9,506 4,766 3,141 - -
Qualifying Central Counterparties
Total	283,065 816,494 789,292 238 352

4 Exposure at Default in Table 4 includes Advanced IRB, Specialised Lending and Standardised exposures, however does not include Securitisation, Equities or Other Assets exposures. Exposure at Default in Table 4 is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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

6 December 2012 Exposure at Default has been restated and is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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ANZ Basel III Pillar 3 disclosure

June 2013

	Mar 13
	Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
Advanced IRB approach
Corporate	114,700 207,687 206,120 134 176
Sovereign	4,382 77,998 77,566 (2) -
Bank	15,838 102,372 102,657 - -
Residential Mortgage	44,597 259,553 257,381 24 16
Qualifying Revolving Retail	7,234 20,951 20,893 51 67
Other Retail	23,200 35,187 34,893 81 70
Total Advanced IRB approach	209,951 703,748 699,510 288 329
Specialised Lending	27,842 32,321 31,994 (8) 85
Standardised approach
Corporate	17,157 16,989 17,058 13 17
Residential Mortgage	1,827 4,206 4,146 1 1
Qualifying Revolving Retail	2,068 2,062 2,084 (4) 6
Other Retail	1,248 1,242 1,290 8 13
Total Standardised approach	22,300 24,499 24,578 18 37
Credit Valuation Adjustment and
	8,949 1,516 1,516 - -
Qualifying Central Counterparties
Total	269,042 762,084 757,598 298 451

	Dec 12
	Basel II Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
AdvancedIRBapproach
Corporate	113,027 204,552 203,517 109 127
Sovereign	4,615 77,134 71,862 2 -
Bank	11,079 102,942 100,925 - -
Residential Mortgage	43,664 255,208 253,024 11 15
Qualifying Revolving Retail	7,028 20,835 20,874 61 79
Other Retail	22,511 34,599 33,277 57 80
Total Advanced IRB approach	201,924 695,270 683,479 240 301
Specialised Lending	27,286 31,666 31,641 47 85
Standardised approach
Corporate	17,339 17,126 17,547 9 19
Residential Mortgage	1,863 4,086 3,931 - -
Qualifying Revolving Retail	2,112 2,105 2,063 (5) 2
Other Retail	1,354 1,337 1,242 6 6
Total Standardised approach	22,668 24,654 24,783 10 27
Total	251,878 751,590 739,903 297 413

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ANZ Basel III Pillar 3 disclosure

June 2013

Table 4(a) part (ii): Exposure at Default by portfolio type[7]

					Average for the	Average for the
					quarter ended
		Jun 13	Mar 13	Dec 12	Jun 13
Portfolio Type		$M	$M	$M	$M
Cash and liquid assets		47,762	47,433	43,656	47,598
Contingents liabilities, commitments, and other off-balance sheet exposures		133,304	127,206	125,808	130,255
Derivatives		103,492	80,648	84,243	92,070
Due from other financial institutions		19,975	14,518	15,898	17,247
Investment securities		23,484	20,018	17,905	21,751
Loans, advances and acceptances		457,813	441,299	431,872	449,556
Other assets		4,128	2,788	5,069	3,458
Trading securities		26,536	28,174	27,139	27,355
Total exposures		816,494	762,084	751,590	789,290

7 December 2012 Exposure at Default has been restated and is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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ANZ Basel III Pillar 3 disclosure

June 2013

Table 4(b): Impaired asset[8][9] , Past due loans[10] , Provisions and Write-offs

			Jun	13
					Individual
		Impaired	Past due Individual		provision	Write-offs
	Impaired	loans/	loans ≥	provision	charge for	for three
	derivatives	facilities	90 days	balance	three months	months
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	9	2,227	289	752	52	88
Sovereign	-	1	-	5	5	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	427	989	144	14	32
Qualifying Revolving Retail	-	90	-	-	62	80
Other Retail	-	391	240	211	87	89
Total Advanced IRB approach	9	3,136	1,518	1,112	220	289
Specialised Lending	66	937	103	157	-	30
Portfolios subject to Standardised approach
Corporate	2	281	37	161	12	8
Residential Mortgage	-	17	11	13	1	3
Qualifying Revolving Retail	-	67	-	48	(4)	2
Other Retail	-	51	4	28	9	20
Total Standardised approach	2	416	52	250	18	33
Total	77	4,489	1,673	1,519	238	352

8 Impaired derivatives is net of credit valuation adjustment (CVA) of $110 million, being a market value based assessment of the credit risk of the relevant counterparties (March 2013: $111 million; December 2012: $117 million).

9 Impaired loans / facilities include restructured items of $543 million for customer facilities in which the original contractual 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 materially beyond those typically offered to new facilities with similar risk (March 2013: $524 million; December 2012: $524 million).

10 Not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to impaired loans / facilities from June 2013.

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ANZ Basel III Pillar 3 disclosure

June 2013

				Mar 13	Mar 13
						Individual
			Impaired	Past due	Individual	provision	Write-offs
		Impaired	loans/	loans ≥ 90	provision	charge for	for three
		derivatives	facilities	days	balance	three months	months
		$M	$M	$M	$M	$M	$M
	Portfolios subject to Advanced IRB approach
	Corporate	10	2,418	282	759	134	176
	Sovereign	-	-	-	-	(2)	-
	Bank	-	-	-	-	-	-
	Residential Mortgage	-	463	907	159	24	16
	Qualifying Revolving Retail	-	-	94	-	51	67
	Other Retail	-	323	284	202	81	70
	Total Advanced IRB approach	10	3,204	1,567	1,120	288	329
	Specialised Lending	71	1,055	72	183	(8)	85
	Portfolios subject to Standardised	approach
	Corporate	2	237	39	150	13	17
	Residential Mortgage	-	18	3	14	1	1
	Qualifying Revolving Retail	-	63	1	46	(4)	6
	Other Retail	-	25	14	30	8	13
	Total Standardised approach	2	343	57	240	18	37
	Total	83	4,602	1,696	1,543	298	451

			Dec 12	Dec 12
					Individual
		Impaired	Past due	Individual	provision	Write-offs
	Impaired	loans/	loans ≥	provision	charge for	for three
	derivatives	facilities	90 days	balance	three months	months
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	14	2,521	266	817	109	127
Sovereign	-	-	-	2	2	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	454	883	154	11	15
Qualifying Revolving Retail	-	-	81	-	61	79
Other Retail	-	278	230	178	57	80
Total Advanced IRB approach	14	3,253	1,460	1,151	240	301
Specialised Lending	79	1,194	119	270	47	85
Portfolios subject to Standardised	approach
Corporate	2	235	46	146	9	19
Residential Mortgage	-	26	4	17	-	-
Qualifying Revolving Retail	-	50	1	50	(5)	2
Other Retail	-	26	14	33	6	6
Total Standardised approach	2	337	65	246	10	27
Total	95	4,784	1,644	1,667	297	413

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ANZ Basel III Pillar 3 disclosure

June 2013

Table 4(c): Specific Provision Balance and General Reserve for Credit Losses[11]

		Jun 13
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	368	2,524	2,892
Individual Provision	1,519	-	1,519
Total Provision for Credit Impairment			4,411
		Mar 13
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	341	2,428	2,769
Individual Provision	1,543	-	1,543
Total Provision for Credit Impairment			4,312
		Dec 12
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	330	2,448	2,778
Individual Provision	1,667	-	1,667
Total Provision for Credit Impairment			4,445

11 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 and Collective Provision, for ease of comparison with other published results.

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ANZ Basel III Pillar 3 disclosure

June 2013

Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and facility[12][13]

Jun 13

	Original value securitised	Original value securitised
Securitisation activitybyunderlyingasset type	ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage	- 557 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 557 -	-
Securitisation activitybyfacility provided
		Notional amount
		$M
Liquidity facilities	- - -	-
Funding facilities	- - -	(103)
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	- - -	(30)
Other	- - -	596
Total	- - -	463

Mar 13

	Original value securitised
Securitisation activitybyunderlyingasset type	ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage	- 642 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 642 -	-
Securitisation activitybyfacility provided
		Notional amount
		$M
Liquidity facilities	- - -	-
Funding facilities	- - -	190
Underwriting facilities	- - -	-
Lending facilities	- - -	-
Credit enhancements	- - -	-
Holdings of securities (excluding trading book)	- - -	444
Other	- - -	-
Total	- - -	634

12 Activity represents net movement in outstandings.

13 Table represents ANZ self securitised programs only.

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ANZ Basel III Pillar 3 disclosure

June 2013

Dec 12
Original value securitised
Securitisation activitybyunderlyingasset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage - 566 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 566 -	-
Securitisation activitybyfacility provided
	Notional amount
	$M
Liquidity facilities - - -	-
Funding facilities - - -	450
Underwriting facilities - - -	-
Lending facilities - - -	-
Credit enhancements - - -	-
Holdings of securities (excluding trading book) - - -	201
Other - - -	-
Total - - -	651

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.

Securitisation activities:

ANZ’s key securitisation activities are:

• Securitisation of ANZ originated assets (including self-securitisation) – use of securitisation as a funding, liquidity and capital management tool which may or may not involve the transfer of credit risk i.e. may or may not provide regulatory capital relief.

• Securitisation of third-party originated assets.

• Provision of facilities and services to securitisations or resecuritisations (where the underlying assets may be ANZ or third-party originated) e.g. liquidity, funding derivatives and/or credit support, structuring and arranging services, conduit management and (via ANZ Capel Court Limited) trust management services.

• Investment in securities - ANZ may purchase notes issued by securitisation programmes.

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June 2013

Table 5(b) part (i): Banking Book – Exposure at Default by exposure type

	Jun13 Mar13 Dec12
Securitisation exposure type - On balance sheet	$M $M $M
Liquidity facilities	- - -
Funding facilities	5,124 5,232 5,384
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	2,859 2,889 2,309
Protection provided	- - -
Other	596 - -
Total	8,579 8,121 7,693
	Jun13 Mar13 Dec12
Securitisation exposure type - Off balance sheet	$M $M $M
Liquidity facilities	119 121 234
Funding facilities	- - 6
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	- - -
Protection provided	- - -
Other	- - -
Total	119 121 240
	Jun13 Mar13 Dec12
Total Securitisation exposure type	$M $M $M
Liquidity facilities	119 121 234
Funding facilities	5,124 5,232 5,390
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	2,859 2,889 2,309
Protection provided	- - -
Other	596 - -
Total	8,698 8,242 7,933

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

	Jun13 Mar13 Dec12
Securitisation exposure type - On balance sheet	$M $M $M
Liquidity facilities	- - -
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities	2 17 26
Protection provided	- - -
Other	- - -
Total	2 17 26
	Jun13 Mar13 Dec12
Securitisation exposure type - Off balance sheet	$M $M $M
Liquidity facilities	- - -
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities	- - -
Protection provided	- - -
Other	- - -
Total	- - -
	Jun13 Mar13 Dec12
Total Securitisation exposure type	$M $M $M
Liquidity facilities	- - -
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities	2 17 26
Protection provided	- - -
Other	- - -
Total	2 17 26

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ANZ Basel III Pillar 3 disclosure

June 2013

Glossary

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 a loss 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 (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 and counterparties to honour or perform fully the terms of a loan or contract.

Credit Valuation Adjustment (CVA) 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, 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 for each completed calendar day thereafter.

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

Impaired assets (IA) Facilities are classified as impaired when there is doubt as to whether the contractual amounts due, including interest and other 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 where the customer’s status is defined as impaired.

Individual provision charge (IPC) Impaired 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 those financial 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 (or other credit mitigants), the likely return available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved in recovery, the market price of the exposure in secondary markets and the amount and timing of expected receipts and recoveries.

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Market risk	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 principal with clients or
	with 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 foreign
	exchange 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 the
	customer is outside of 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.
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 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 materially beyond those typically
	offered 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 a
	securitisation failing to operate as anticipated, or of the values
	and risks accepted or transferred, not emerging as expected.
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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