Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2014

May 13, 2014

2014

PILLAR 3 DISCLOSURE

HALF YEAR ENDED 31 MARCH 2014 APS 330: PUBLIC DISCLOSURE

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 31 March 2014. 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.

1

TABLE OF CONTENTS[1]

Chapter 1 – Highlights ....................................................................................................... 3
Chapter 2 – Introduction .................................................................................................... 5
Purpose of this document ............................................................................................. 5
Chapter 3 – Capital and capital adequacy ............................................................................. 6
Table 1 Common disclosure template ........................................................................ 6
Table 2 Main features of capital instruments............................................................. 17
Table 6 Capital adequacy ....................................................................................... 18
Chapter 4 – Credit risk ..................................................................................................... 20
Table 7 Credit risk – General disclosures .................................................................. 20
Table 8 Credit risk – Disclosures for portfolios subject to the Standardised approach and
supervisory risk weights in the IRB approach ............................................... 33
Table 9 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 34
Table 10 Credit risk mitigation disclosures ................................................................. 42
Chapter 5 – Securitisation ................................................................................................ 45
Table 12 Banking Book - Securitisation disclosures ..................................................... 45
Trading Book - Securitisation disclosures ...................................................... 54
Chapter 6 – Market risk .................................................................................................... 58
Table 13 Market risk – Standard approach ................................................................. 58
Table 14 Market risk – Internal models approach ........................................................ 59
Chapter 7 – Equities ....................................................................................................... 60
Table 16 Equities – Disclosures for banking book positions........................................... 60
Chapter 8 – Interest Rate Risk in the Banking Book ............................................................. 61
Table 17 Interest Rate Risk in the Banking Book ......................................................... 61
Appendix 1 – ANZ Bank (Europe) Limited ........................................................................... 62
Glossary.......... ............................................................................................................... 63

1Each table reference adopted in this document aligns to those required by APS 330 to be disclosed at year end.

2

Chapter 1 – Highlights

Capital Ratios

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10.8%
10.3% 10.5%
2.5% Capital
Conservation
Buffer
8.2% 8.5% 8.3%
4.5% CET1
. Minimum
Mar 13 Sep 13 Mar 14
Internationally Harmonised Basel III APRA Basel III
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ANZ is well capitalised

• Capital levels will grow organically in the lead up to the introduction of the higher loss absorbing capital requirement for D-SIB's in 2016.

Exposure at Default* ($bn)

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840.1
762.1 798.3
Mar 13 Sep 13 Mar 14
Standardised QCCP Specialised Lending
QRR & Other Retail Residential Mortgage Bank & Sovereign
Corporate
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Growth in EAD of 5% HoH to $840.1bn in 1H14

• Growth driven predominately by increases in the Corporate +$16bn and Residential Mortgages +$13bn asset classes.

* Exposure at Default does not include Securitisation, Equities or Other Assets. It is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

Impaired Assets ($m)

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4,602
4,348
3,732
83 67 58
Mar 13 Sep 13 Mar 14
Impaired derivatives Impaired Loans/Facilities
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Impaired Assets continue to trend downward

• Impaired Loans/Facilities decreased by 14% HoH and 19% YoY.

3

Provision Ratios (Provision / Credit RWA)

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1.57% 1.51%
1.41%
1.01% 1.00% 0.93%
Mar-13 Sep 13 Mar 14
Total Provision Balance / CRWA Collective Provision Balance / CRWA
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Provision coverage remains appropriate

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• The total provision ratio at 1.41% and collective provision ratio at 0.93%continues to provide conservative coverage given ongoing improvement in credit quality.

Movement in Credit Risk Weighted Assets ($bn)

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3.4 305.3
3.4
12.2 1.4
287.7
Sep 13 Growth Data FX Risk Mar 14
Review Impact
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s
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Credit Risk Weighted Assets (CRWA) up by $17.6bnHoH

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• Growth in CRWA has been driven by increases in the Corporate,Bank and Residential Mortgages Basel Asset Classes.

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• FX impact driven by the depreciation of the AUD against most of the major currencies.

Average Risk Weights (Credit RWA / EAD*)

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Mar-13
Sep-13 84% 83%
Mar-14
54% 56%
17%
14%
Mortgage
Residential
Corporate Bank & Sovereign QRR & Other Retail Specialised Lending Standardised
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* Exposure at Default is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

4

Chapter 2 - Introduction

Purpose of this document

This document has been prepared in accordance with the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

APS 330 mandates the release to the investment community and general public of information relating to capital adequacy and risk management practices. APS 330 was established to implement Pillar 3 of the Basel Committee on Banking Supervision‟s framework for bank capital adequacy[2] . In simple terms, the Basel framework consists of three mutually reinforcing „Pillars‟:

Pillar 1 Minimum capital requirement	Pillar 2 Supervisory review process	Pillar 3 Market discipline
Minimum capital requirements for Credit Risk, Operational Risk, Market Risk and Interest Rate Risk in the Banking Book	Firm-wide risk oversight, Internal Capital Adequacy Assessment Process (ICAAP), consideration of additional risks, capital buffers and targets and risk concentrations, etc	Regular disclosure to the market of qualitative and quantitative aspects of risk management, capital adequacy and underlying risk metrics

APS 330 requires the publication of various levels of information on a quarterly, semi-annual and annual basis. This document is the annual disclosure, which has the most comprehensive requirements.

Basel in ANZ

In December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel for credit risk and operational risk, complementing its accreditation for market risk. Effective January 2013, ANZ adopted APRA requirements for Basel III with respect to the measurement and monitoring of regulatory capital.

Verification of disclosures

These Pillar 3 disclosures have been verified in accordance with Board approved policy, including ensuring consistency with information contained in ANZ‟s Annual Report and in Pillar 1 returns provided to APRA. This Pillar 3 disclosure is not audited by ANZ‟s external auditor.

Comparison to ANZ’s Annual Report

These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather than in accordance with accounting policies adopted in ANZ‟s Annual Report. As such, there are different areas of focus and measures in some common areas of disclosures. These differences are most pronounced in the credit risk disclosures, for instance:

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• The principal method for measuring the amount at risk is Exposure at Default (EAD), which is the estimated amount of exposure likely to be owed on a credit obligation at the time of default. Under the Advanced Internal Ratings Based (AIRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited to provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default.

• Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post default repayments of principal and interest.

• Most credit risk disclosures split ANZ‟s portfolio into regulatory asset classes, which span areas of ANZ‟s internal divisional and business unit organisational structure.

Unless otherwise stated, all amounts are rounded to AUD millions.

2Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, 2004.

5

Chapter 3 – Capital and Capital Adequacy

Table 1 Common Disclosure template

The head of the Level 2 Group to which this prudential standard applies is Australia and New Zealand Banking Group Limited.

Table 1 consists of a Common Disclosure template that assists users in understanding the differences between the application of the Basel III reforms in Australia and those rules as detailed in the document Basel III: A global regulatory framework for more resilient banks and banking systems , issued by the Bank for International Settlements. The common disclosure template is the post January 2018 version as ANZ is fully applying the Basel III regulatory adjustments, as implemented by APRA. Note that the capital conservation and countercyclical buffers referred to in rows 64 to 67 plus the additional buffer of 1% for domestic systemically important banks do not apply until 1 January 2016 and the phase out period for capital instruments began on 1 January 2013.

The information in the lines of the template have been mapped to ANZ‟s Level 2 balance sheet, which adjusts for non-consolidated subsidiaries as required under APS 001: Definitions. Where this information cannot be mapped on a one to one basis, it is provided in an explanatory table. ANZ‟s material nonconsolidated subsidiaries are also listed in this disclosure.

Restrictions on Transfers of Capital within ANZ

ANZ operates branches and locally incorporated subsidiaries in many countries. These operations are capitalised at an appropriate level to cover the risks in the business and to meet local prudential requirements. This level of capitalisation may be enhanced to meet local taxation and operational requirements. Any repatriation of capital from subsidiaries or branches is subject to meeting the requirements of the local prudential regulator and/or the local central bank. Apart from ANZ‟s operations in New Zealand, local country capital requirements do not impose any material call on ANZ‟s capital base. ANZ undertakes banking activities in New Zealand principally through its wholly owned subsidiary, ANZ Bank New Zealand Limited, which is subject to minimum capital requirements as set by the Reserve Bank of New Zealand (RBNZ). The RBNZ adopted the Basel II framework, effective from 1 January 2008 and Basel III reforms from 1 January 2013 and ANZ Bank New Zealand Limited has been accredited to use the advanced approach for the calculation of credit risk and operational risk. ANZ Bank New Zealand Limited maintains a buffer above the minimum capital base required by the RBNZ. This capital buffer has been calculated via the ICAAP undertaken for ANZ Bank New Zealand Limited, to ensure ANZ Bank New Zealand Limited is appropriately capitalised under stressed economic scenarios.

6

Table 1 Common disclosure template Mar 14 Reconciliation Table Reference $M Common Equity Tier 1 Capital: instruments and reserves 1 Directlyissuedqualifyingordinaryshares(and equivalent for mutually-owned entities)capital 23,636 Table A 2 Retained earnings 22,178 Table B 3 Accumulated other comprehensive income(and other reserves) (275) Table C 4 Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned companies) n/a 5 Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) 38 Table D 6 Common Equity Tier 1 capital before regulatory adjustments 45,577 Common Equity Tier 1 capital : regulatory adjustments 7 Prudential valuation adjustments 0 8 Goodwill (net of related tax liability) 4,100 Table E 9 Other intangibles other than mortgage servicing rights (net of related tax liability) 4,385 Table F 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) 30 Table I 11 Cash-flow hedge reserve 62 12 Shortfall ofprovisions to expected losses 129 Table G 13 Securitisationgain on sale(as set out inparagraph 562 of Basel II framework) 0 14 Gains and losses due to changes in own credit risk on fair valued liabilities (11) 15 Defined benefit superannuation fund net assets 0 16 Investments in own shares(if not alreadynetted offpaid-in capital on reported balance sheet) 0 17 Reciprocal cross-holdings in common equity 0 18 Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% of the issued share capital(amount above 10% threshold) 0 19 Significant investments in the ordinary shares of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) 1,380 Table H 20 Mortgage service rights (amount above 10% threshold) n/a 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) 0 22 Amount exceeding the 15% threshold 0 23 f which: significant investments in the ordinary shares of financial entities 0 24 f which: mortgage servicing rights n/a 25 f which: deferred tax assets arising from temporary differences 0 26 National specific regulatory adjustments (sum of rows 26a, 26b, 26c, 26d, 26e, 26f, 26g, 26h, 26i and 26j) 5,466 26a f which: treasuryshares 0 26b f which: offset to dividends declared under a dividend reinvestment plan (DRP), to the extent that he dividends are used to purchase new ordinary shares issued by the ADI 0 26c f which: deferred fee income (391) 26d f which: equityinvestments in financial institutions not reported in rows 18,19 and 23 3,769 Table H 26e f which: deferred tax assets not reported in rows 10,21 and 25 904 Table I 26f f which: capitalised expenses 1,059 Table J 26g f which: investments in commercial (non-financial) entities that are deducted under APRA rudential requirements 83 Table K 26h f which: covered bonds in excess of asset cover inpools 0 26i f which: undercapitalisation of a non-consolidated subsidiary 0 26j f which: other national specific regulatoryadjustments not reported in rows 26a to 26i 42 27 Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions 0 28 Total regulatoryadjustments to Common EquityTier 1 15,541 29 Common EquityTier 1 Capital(CET1) 30,036	Table 1 Common disclosure template Mar 14 Reconciliation Table Reference $M Common Equity Tier 1 Capital: instruments and reserves 1 Directlyissuedqualifyingordinaryshares(and equivalent for mutually-owned entities)capital 23,636 Table A 2 Retained earnings 22,178 Table B 3 Accumulated other comprehensive income(and other reserves) (275) Table C 4 Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned companies) n/a 5 Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) 38 Table D 6 Common Equity Tier 1 capital before regulatory adjustments 45,577 Common Equity Tier 1 capital : regulatory adjustments 7 Prudential valuation adjustments 0 8 Goodwill (net of related tax liability) 4,100 Table E 9 Other intangibles other than mortgage servicing rights (net of related tax liability) 4,385 Table F 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) 30 Table I 11 Cash-flow hedge reserve 62 12 Shortfall ofprovisions to expected losses 129 Table G 13 Securitisationgain on sale(as set out inparagraph 562 of Basel II framework) 0 14 Gains and losses due to changes in own credit risk on fair valued liabilities (11) 15 Defined benefit superannuation fund net assets 0 16 Investments in own shares(if not alreadynetted offpaid-in capital on reported balance sheet) 0 17 Reciprocal cross-holdings in common equity 0 18 Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% of the issued share capital(amount above 10% threshold) 0 19 Significant investments in the ordinary shares of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) 1,380 Table H 20 Mortgage service rights (amount above 10% threshold) n/a 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) 0 22 Amount exceeding the 15% threshold 0 23 f which: significant investments in the ordinary shares of financial entities 0 24 f which: mortgage servicing rights n/a 25 f which: deferred tax assets arising from temporary differences 0 26 National specific regulatory adjustments (sum of rows 26a, 26b, 26c, 26d, 26e, 26f, 26g, 26h, 26i and 26j) 5,466 26a f which: treasuryshares 0 26b f which: offset to dividends declared under a dividend reinvestment plan (DRP), to the extent that he dividends are used to purchase new ordinary shares issued by the ADI 0 26c f which: deferred fee income (391) 26d f which: equityinvestments in financial institutions not reported in rows 18,19 and 23 3,769 Table H 26e f which: deferred tax assets not reported in rows 10,21 and 25 904 Table I 26f f which: capitalised expenses 1,059 Table J 26g f which: investments in commercial (non-financial) entities that are deducted under APRA rudential requirements 83 Table K 26h f which: covered bonds in excess of asset cover inpools 0 26i f which: undercapitalisation of a non-consolidated subsidiary 0 26j f which: other national specific regulatoryadjustments not reported in rows 26a to 26i 42 27 Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions 0 28 Total regulatoryadjustments to Common EquityTier 1 15,541 29 Common EquityTier 1 Capital(CET1) 30,036	Table 1 Common disclosure template Mar 14 Reconciliation Table Reference $M Common Equity Tier 1 Capital: instruments and reserves 1 Directlyissuedqualifyingordinaryshares(and equivalent for mutually-owned entities)capital 23,636 Table A 2 Retained earnings 22,178 Table B 3 Accumulated other comprehensive income(and other reserves) (275) Table C 4 Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned companies) n/a 5 Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) 38 Table D 6 Common Equity Tier 1 capital before regulatory adjustments 45,577 Common Equity Tier 1 capital : regulatory adjustments 7 Prudential valuation adjustments 0 8 Goodwill (net of related tax liability) 4,100 Table E 9 Other intangibles other than mortgage servicing rights (net of related tax liability) 4,385 Table F 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) 30 Table I 11 Cash-flow hedge reserve 62 12 Shortfall ofprovisions to expected losses 129 Table G 13 Securitisationgain on sale(as set out inparagraph 562 of Basel II framework) 0 14 Gains and losses due to changes in own credit risk on fair valued liabilities (11) 15 Defined benefit superannuation fund net assets 0 16 Investments in own shares(if not alreadynetted offpaid-in capital on reported balance sheet) 0 17 Reciprocal cross-holdings in common equity 0 18 Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% of the issued share capital(amount above 10% threshold) 0 19 Significant investments in the ordinary shares of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) 1,380 Table H 20 Mortgage service rights (amount above 10% threshold) n/a 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) 0 22 Amount exceeding the 15% threshold 0 23 f which: significant investments in the ordinary shares of financial entities 0 24 f which: mortgage servicing rights n/a 25 f which: deferred tax assets arising from temporary differences 0 26 National specific regulatory adjustments (sum of rows 26a, 26b, 26c, 26d, 26e, 26f, 26g, 26h, 26i and 26j) 5,466 26a f which: treasuryshares 0 26b f which: offset to dividends declared under a dividend reinvestment plan (DRP), to the extent that he dividends are used to purchase new ordinary shares issued by the ADI 0 26c f which: deferred fee income (391) 26d f which: equityinvestments in financial institutions not reported in rows 18,19 and 23 3,769 Table H 26e f which: deferred tax assets not reported in rows 10,21 and 25 904 Table I 26f f which: capitalised expenses 1,059 Table J 26g f which: investments in commercial (non-financial) entities that are deducted under APRA rudential requirements 83 Table K 26h f which: covered bonds in excess of asset cover inpools 0 26i f which: undercapitalisation of a non-consolidated subsidiary 0 26j f which: other national specific regulatoryadjustments not reported in rows 26a to 26i 42 27 Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions 0 28 Total regulatoryadjustments to Common EquityTier 1 15,541 29 Common EquityTier 1 Capital(CET1) 30,036
Common Equity Tier 1 capital : regulatory adjustments
7	Prudential valuation adjustments 0
8	Goodwill (net of related tax liability) 4,100	Table E
9	Other intangibles other than mortgage servicing rights (net of related tax liability) 4,385	Table F
10
11	Cash-flow hedge reserve 62
12	Shortfall ofprovisions to expected losses 129	Table G
13	Securitisationgain on sale(as set out inparagraph 562 of Basel II framework) 0
14	Gains and losses due to changes in own credit risk on fair valued liabilities (11)
15	Defined benefit superannuation fund net assets 0
16	Investments in own shares(if not alreadynetted offpaid-in capital on reported balance sheet) 0
17	Reciprocal cross-holdings in common equity 0
18	regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% 0
19	outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% 1,380
20	Mortgage service rights (amount above 10% threshold) n/a
21
22	Amount exceeding the 15% threshold 0
23	f which: significant investments in the ordinary shares of financial entities 0
24	f which: mortgage servicing rights n/a
25	f which: deferred tax assets arising from temporary differences 0
26
26a	f which: treasuryshares 0
26b
26c	f which: deferred fee income (391)
26d	f which: equityinvestments in financial institutions not reported in rows 18,19 and 23 3,769	Table H
26e	f which: deferred tax assets not reported in rows 10,21 and 25 904	Table I
26f	f which: capitalised expenses 1,059	Table J
26g
26h	f which: covered bonds in excess of asset cover inpools 0
26i	f which: undercapitalisation of a non-consolidated subsidiary 0
26j	f which: other national specific regulatoryadjustments not reported in rows 26a to 26i 42
27
28	Total regulatoryadjustments to Common EquityTier 1 15,541
29	Common EquityTier 1 Capital(CET1) 30,036

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7

34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held bythirdparties(amount allowed ingroupAT1) n/a 35 f which: instruments issued bysubsidiaries subject tophase out n/a 36 Additional Tier 1 Capital before regulatoryadjustments 7,364	34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held bythirdparties(amount allowed ingroupAT1) n/a 35 f which: instruments issued bysubsidiaries subject tophase out n/a 36 Additional Tier 1 Capital before regulatoryadjustments 7,364
Additional Tier 1 Capital: regulatory adjustments
37	Investments in own Additional Tier 1 instruments 0
38	Reciprocal cross-holdings in Additional Tier 1 instruments 0
39	regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% 0
40
41	National specific regulatoryadjustments(sum of rows 41a,41b and 41c) 0
41a
41b
41c	f which: other national specific regulatory adjustments not reported in rows 41a and 41b 0
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions 0
43	Total regulatory adjustments to Additional Tier 1 capital 85
44	Additional Tier 1 capital(AT1) 7,279	Table L
45	Tier 1 Capital(T1=CET1+AT1) 37,315
Tier	2 Capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments 867	Table M
47	Directly issued capital instruments subject to phase out from Tier 2 4,713	Table M
48
49	f which: instruments issued by subsidiaries subject to phase out 691	Table M
50	Provisions 212	Table G
51	Tier 2 Capital before regulatory adjustments 6,483
Tier	2 Capital: regulatory adjustments
52	Investments in own Tier 2 instruments 10	Table M
53	Reciprocal cross-holdings in Tier 2 instruments 0
54	scope of regulatory consolidation, net of eligible short positions, where the ADI does not own more 0
55
56	National specific regulatoryadjustments(sum of rows 56a,56b and 56c) 53
56a
56b
56c	f which: other national specific regulatory adjustments not reported in rows 56a and 56b 0
57	Total regulatory adjustments to Tier 2 capital 148
58	Tier 2 capital(T2) 6,335
59	Total capital(TC=T1+T2) 43,650
60	Total risk-weighted assets based on APRA standards 360,740

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8

				Mar 14	Reconciliation Table
				$M	Reference
Capital ratios and buffers
61	Common EquityTier 1(as apercentage of risk-weighted assets)			8.3%
62	Tier 1(as apercentage of risk-weighted assets)			10.3%
63	Total capital(as apercentage of risk-weighted assets)			12.1%
64	Buffer requirement (minimum CET1 requirement of 4.5% plus capital conservation buffer of 2.5% plus any countercyclical buffer requirements expressed as a percentage of risk-weighted assets)			7.0%
65		f which: capital conservation buffer requirement1		2.5%
66		f which: ADI-specific countercyclical buffer requirements1		n/a
67		f which: G-SIB buffer requirement(not applicable)		n/a
68	Common EquityTier 1 available to meet buffers(as apercentage of risk-weighted assets)			3.8%
National minima (if different from Basel III)
69	National Common EquityTier 1 minimum ratio(if different from Basel III minimum)			n/a
70	National Tier 1 minimum ratio(if different from Basel III minimum)			n/a
71	National total capital minimum ratio(if different from Basel III minimum)			n/a
Amount below thresholds for deductions(not risk-weighted)
72	Non-significant investments in the capital of other financial entities			134
73	Significant investments in the ordinary shares of financial entities			3,688	Table H
74	Mortgage servicing rights (net of related tax liability)			n/a
75	Deferred tax assets arising from temporary differences (net of related tax liability)			904
Applicable caps on the inclusion of provisions in Tier 2
76	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach (prior to application of cap)			212
77	Cap on inclusion of provisions in Tier 2 under standardised approach			489
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach(prior to application of cap)			0
79	Cap for inclusion of provisions in Tier 2 under internal ratings-based approach			1,597
Capital			instruments subject to phase-out arrangements (only application between 1 January
2018 to			1 January 2022)
80	Current capon CET1 instruments subject tophase out arrangements			n/a
81	Amount excluded from CET1 due to cap (excess over capafter redemptions and maturities?			n/a
82	Current capon AT1 instruments subject tophase out arrangements			4,786
83	Amount excluded from AT1 instruments due to cap (excess over cap after redemptions and maturities)			0
84	Current cap on T2 instruments subject to phase out arrangements			5,496
85	Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)			299

9

The following table shows ANZ's consolidated balance sheet and the adjustments required to derive the Level 2 balance sheet. The adjustments remove the external assets and liabilities of the entities deconsolidated for prudential purposes and reinstate any intragroup assets and liabilities, treating them as external to the Level 2 group.

	Balance	Adjustments	Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
	statements		consolidation
Assets	($m)	($m)	($m)
Cash	33,651	(319)	33,332
Settlement balances owed to ANZ	16,209	0	16,209
Collateral Paid	6,219	0	6,219
Trading securities	46,170	(2)	46,168
of which: Financial Institutions capital instruments			10	Table M
of which: Financial Institutions equity investments			52	Table H
Derivative financial instruments	43,829	(1)	43,828
of which: Other entities equity investments			5	Table K
Available-for-sale assets	27,330	(753)	26,577
of which: Financial institutions equity instruments			17	Table H
of which: Other entities equity investments			41	Table K
Net loans and advances	509,250	0	509,250
of which: deferred fee income			(391)	Row 26c
of which: collective provision			(2,843)	Table G
of which: individual provisions			(1,470)	Table G
of which: capitalised brokerage			1,000	Table J
of which: Financial Institutions equity exposures			12	Table H
of which: Other equity exposures			31	Table K
of which: margin lending adjustment			42	Row 26j
Regulatory deposits	2,205	0	2,205
Due from controlled entities	0	172	172
of which: Significant investments in the Tier 2 capital of			85	Table M
banking, financial and insurance entities that are outside
the scope of regulatory consolidation
Shares in controlled entities	0	3,823	3,823
of which: Investment in deconsolidated financial			3,738	Table H
subsidiaries
of which: AT1 significant investment in banking, financial			85	Table L
and insurance entities that are outside the scope of
regulatory consolidation
Investment in associates	4,323	(5)	4,318
of which: Financial Institutions			4,312	Table H
of which: Other Entities			6	Table K
Current tax assets	64	(6)	58
Deferred tax assets	446	23	469	Table I
of which: Deferred tax assets that rely on future			30	Table I
profitability
Goodwill and other intangible assets	7,969	(2,233)	5,736
of which: Goodwill			3,443	Table E
of which: Software			2,262	Table F
of which: other intangible assets			31	Table F
Investments backing policy liabilities	33,197	(33,197)	0
Other assets	4,803	(1,149)	3,654
Premises and equipment	2,150	(6)	2,144
Total Assets	737,815	(33,653)	704,162

10

	Balance	Adjustments	Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
	statements		consolidation
Liabilities	($m)	($m)	($m)
Settlement balances owed by ANZ	8,133	2	8,135
Collateral Received	3,880	0	3,880
Deposits and other borrowings	498,318	4,893	503,211
Derivative financial instruments	45,876	4	45,880
Due to controlled entities	0	860	860
Current tax liabilities	285	(74)	211
Deferred tax liabilities	41	(367)	(326)	Table I
of which: related to intangible assets			15	Table F
of which: related to capitalised expenses			5	Table J
Policy liabilities	33,402	(33,402)	0
External unit holder liabilities (life insurance funds)	3,334	(3,334)	0
Payables and other liabilities	9,615	(1,085)	8,530
Provisions	1,115	(84)	1,031
Bonds and notes	73,552	(753)	72,799
Loan Capital	13,226	8	13,234
of which: Directly issued qualifying Additional Tier 1 instruments			2,700	Table L
of which: Directly issued capital instruments subject to phase out from Additional Tier 1			3,750	Table L
of which: Directly issued capital instruments subject to phase out from Tier 2			5,134	Table M
of which: Directly issued qualifying Tier 2 instruments			867	Table M
of which: instruments issued by subsidiaries subject to phase out			783	Table M
Total Liabilities	690,777	(33,332)	657,445
Net Assets	47,038	(321)	46,717
	Balance	Adjustments	Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
	statements		consolidation
Shareholders’ equity	($m)	($m)	($m)
Ordinary Share Capital	23,529	277	23,806	Table A
of which: Share reserve			170	Table A & C
Preference share capital	871	0	871
of which: Directly issued capital instruments subject to phase out from Additional Tier 1			871	Table L
Reserves	(334)	(84)	(418)	Table C
of which: Cash flow hedging reserves			62	Row 11
Retained earnings	22,905	(509)	22,396	Table B
Share capital and reserves attributable to shareholders of the Company	46,971	(316)	46,655
Non-controlling interest	67	(5)	62	Table D
Total shareholders’ equity	47,038	(321)	46,717

11

The following reconciliation tables provide additional information on the difference between Table 1 Common Disclosure template and the Level 2 balance sheet.

The following reconciliation tables provide additional information on the difference between Table 1 Common Disclosure template and the Level 2 balance sheet.	The following reconciliation tables provide additional information on the difference between Table 1 Common Disclosure template and the Level 2 balance sheet.
Mar 14		Table 1
Table A $M		Reference
Issued capital 23,806
less Reclassification to reserves (170)		Table C
Regulatory Directly Issuedqualifying ordinary shares 23,636		Row 1
Mar 14		Table 1
Table B $M		Reference
Retained earnings 22,396
less Regulatory reclassification from significant investments in the ordinary shares of banking, financial and insurance entities outside the scope of regulatoryconsolidation (218) Table H
Retained earnings 22,178		Row 2
Mar 14		Table 1
Table C $M		Reference
Reserves (418)
add Reclassification from Issued Capital 170		Table A
less Non qualifying reserves (27)
Reserves for Regulatory capitalpurposes(amount allowed ingroup CET1) (275)		Row 3
Mar 14		Table 1
Table D $M		Reference
Non-controlling interests 62
less Surplus capital attributable to minority shareholders (24)
Ordinary share capital issued by subsidiaries and held by third parties 38		Row 5
Mar 14		Table 1
Table E $M		Reference
Goodwill 3,443
add Goodwill component of investments in financial associates 657		Table H
Goodwill (net of related tax liability) 4,100		Row 8
Mar 14		Table 1
Table F $M		Reference
	Software 2,262
	Other intangible assets 31
less	Associated deferred tax liabilities (15)
	Regulatory reclassification from significant investments in the ordinary shares of banking, financial and insurance entities outside the scope of regulatoryconsolidation 2,107 Table H
add
	Other intangibles other than mortgage servicing rights (net of related tax liability) 4,385	Row 9
	Mar 14	Table 1
Table G $M		Reference
Collective Provision 2,843
Individual Provision 1,470
add Partial write-offs 797
less Standardised component of collectiveprovision allowed as Tier 2 capital (212)		Row 50
less Standardised component of individualprovision (153)
less Excluded component of collectiveprovision (25)
Eligible Provisions for regulatory purposes 4,720
less Regulatory expected loss (4,849)
Expected loss in excess of eligible provisions (129)		Row 12

12

Mar 14	Mar 14	Mar 14
Table H $M
	Investment in deconsolidated financial subsidiaries 3,738
less	Regulatory reclassification to Retained Earnings and Other Intangible Assets (2,325)
add	Investment in financial associates 4,312
less	Goodwill component of investments in financial associates (657)
less	Amount below 10% threshold (3,688)
	that are outside the scope of regulatory consolidation, net of eligible short positions 1,380
add	Amount below the 10% threshold 3,688
add	regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% 52
add	regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% 17
	regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10% 12
	Equity investment in financial institutions not reported in rows 18, 19 and 23 3,769	Row 26d
	Deduction for equity holdings in financial institutions - APRA regulations 5,150

Mar 14	Table 1
Table I $M	Reference
Deferred tax assets 469
Deferred tax liabilities (326)
Deferred tax asset less deferred tax liabilities 795
less Deferred tax assets that rely on future profitability (30)	Row 10
add Deferred tax liabilities on intangible assets and capitalised expenses 21
add Impact of calculating the deduction on a jurisdictional basis 118

		Mar 14	Table 1
Table	J	$M	Reference
	Capitalised brokerage costs	1,000
	Capitalised debt raisingexpenses	64
less	Associated deferred tax liabilities	(5)
	Capitalised expenses	1,059	Row 26f
		Mar 14	Table 1
Table	K	$M	Reference
	Investments in non-financial Available for Saleequities	41
	Investments in non financial associates	6
	Non financial equity exposures (loans)	31
	Derivative non financial equity exposures	5
	Equity exposures to non financial entities	83	Row 26g

13

Additional Tier 1 capital before regulatory adjustments 7,364 less Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatoryconsolidation, (net of eligible shortpositions) (85)	Additional Tier 1 capital before regulatory adjustments 7,364 less Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatoryconsolidation, (net of eligible shortpositions) (85)	Row 33 Row 40
Additional Tier 1 capital 7,279		Row 44
Mar 14		Table 1
Table M $M		Reference
	Directly issued capital instruments subject to phase out from Tier 2 5,134
add	Issue costs 21
less	Fair value adjustment (143)
less	Transition adjustment (299)
	Directly issued capital instruments subject to phase out from Tier 2 4,713	Row 47
	Instruments issued bysubsidiaries subject tophase out from Tier 2 783
less	Surplus capital attributable to thirdpartyholders (92)
	Instruments issued bysubsidiaries subject tophase out from Tier 2 691	Row 49
add	Directly issued qualifying Tier 2 instruments 867	Row 46
add	Provisions 212	Table G
	Tier 2 capital before regulatory adjustments 6,483
less	Investments in own Tier 2 instruments(tradinglimit) (10)	Row 52
less
less
	Tier 2 capital 6,335

14

The following table providesdetails of entities included within the accounting scope of consolidation but excluded from regulatory consolidation.

Entity	Activity	Total Assets	Total Liabilities
		($M)	($M)
ACN 008 647 185 Pty Ltd	Corporate	0	0
Advice for Life Pty Ltd	Advice	0	0
ANZ Insurance Broker Co Ltd	Insurance Broker	28	1
ANZ Investment Services (New Zealand) Limited	Funds Manager	52	40
ANZ Lenders Mortgage Insurance Pty Limited	Mortgage insurance	921	512
ANZ Life Assurance Company Pty Ltd	Insurance	0	0
ANZ New Zealand Investments Limited	Funds Manager	84	26
ANZ New Zealand Investments Nominees Limited	Trustee/Nominee	0	0
ANZ Private Equity Management Limited	Investment	1	0
ANZ Self Managed Super Ltd	Investment	0	0
ANZ Specialist Asset Management Limited	Trustee/Nominee	6	0
ANZ Trustees Limited	Trustee/Nominee	52	33
ANZ Wealth Alternative Investments Management Pty Ltd	Investment	2,745	2,741
ANZ Wealth Australia Limited	Holding Company	2,797	788
ANZ Wealth New Zealand Limited	Holding Company	470	0
ANZcover Insurance Private Ltd	Captive-Insurance	59	16
ANZcover Insurance Pty Ltd	Captive-Insurance	166	20
AUT Administration Pty Ltd	Corporate	1	0
AUT Investments Limited	Investment	6	0
Capricorn Financial Advisers Pty Ltd	Advice	1	2
Elders Financial Planning Pty Ltd	Advice	13	3
Financial Investment Network Group Pty Ltd	Advice	73	4
Financial Lifestyle Solutions Pty Limited	Advice	4	4
Financial Planning Hotline Pty Ltd	Investment	0	0
Financial Services Partners Holdings Pty Limited	Advice	5	0
Financial Services Partners Incentive Co Pty Limited	Advice	0	0
Financial Services Partners Management Pty Limited	Advice	0	0
Financial Services Partners Pty Ltd	Advice	1	0
FSP Funds Management Limited	Advice	1	0
FSP Group Pty Limited	Advice	29	2
FSP Portfolio Administration Limited	Advice	1	0
FSP Super Pty Limited	Advice	6	0
Integrated Networks Pty Limited	Holding Company	44	0
Medical Properties Holding Company No.1 Limited	Non-operating	2	0
Mercantile Mutual Financial Services Pty Ltd	Investment	1	0
Millennium 3 Financial Services Group Pty Ltd	Advice	67	11
Millennium 3 Professional Services Pty Ltd	Advice	18	9
Millennium3 Financial Services Pty Ltd	Advice	0	0
Millennium3 Mortgage Platform Services Pty Limited	Advice	0	0
OASIS Asset Management Limited	Investment	37	7
OASIS Fund Management Limited	Investment	7	2
OneAnswer Nominees Limited	Trustee/Nominee	0	0
OnePath Administration Pty Ltd	Corporate	196	145
OnePath Custodians Pty Ltd	Investment	39	7
OnePath Financial Planning Pty Ltd	Advice	1	0
OnePath Funds Management Ltd	Investment	108	37
OnePath General Insurance Pty Ltd	Insurance	299	200
OnePath Insurance Holdings (NZ) Limited	Holding Company	342	0
OnePath Insurance Services (NZ) Limited	Insurance	134	52
OnePath Investment Holdings Pty Ltd	Investment	71	0
OnePath Life (NZ) Limited	Insurance	648	161
OnePath Life Australia Holdings Pty Ltd	Holding Company	2,529	0
OnePath Life Limited	Insurance	36,546	34,371
Polaris Financial Solutions Pty Limited	Advice	1	1
RI Advice Group Pty Ltd	Advice	19	6
RI Central Coast Pty Ltd	Advice	2	0

15

Entity	Activity	Total Assets	Total Liabilities
		($M)	($M)
RI Gold Coast Pty Ltd	Advice	1	0
RI Maroochydore Pty Ltd	Advice	1	0
RI Newcastle Pty Ltd	Advice	2	0
RI Parramatta Pty Ltd	Advice	6	0
RI Rockhampton& Gladstone Pty Ltd	Advice	2	0
RI Townsville Pty Ltd	Advice	0	0
RIEAS Pty Ltd	Advice	0	0

16

Table 2 Main features of capital instruments

As the main feature of ANZ‟s capital instruments are updated on an ongoing basis, ANZ has provided this information separately in the Regulatory Disclosures section of its website.

Table 3 Capital adequacy, Table 4 Credit risk, Table 5 Securitisation

The above tables are produced at the quarters ending 30 June and 31 December.

17

Table 6 Capital adequacy - Capital Ratio and Risk Weighted Assets

The following table provides the composition of capital used for regulatory purposes and capital adequacy ratios.

	Basel III	Basel III	Basel III
	Mar 14	Sep 13 Mar 13
Risk weighted assets (RWA)	$M	$M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	123,743	121,586 114,700
Sovereign	4,545	4,360 4,382
Bank	20,269	16,270 15,838
Residential Mortgage	50,426	47,559 44,597
Qualifying Revolving Retail	7,260	7,219 7,234
Other Retail	26,416	24,328 23,200
Credit risk weighted assets subject to Advanced IRB approach	232,659	221,322 209,951
Credit risk Specialised Lending exposures subject to slotting approach3	28,522	27,640 27,842
Subject to Standardised approach
Corporate	26,255	19,285 17,157
Residential Mortgage	1,966	1,922 1,827
Qualifying Revolving Retail	1,796	1,728 2,068
Other Retail	1,073	985 1,248
Credit risk weighted assets subject to Standardised approach	31,090	23,920 22,300
Credit Valuation AdjustmentandQualifying Central Counterparties	8,065	8,501 8,949
Credit risk weighted assets relating to securitisation exposures	1,253	2,724 2,549
Other assets	3,739	3,544 3,387
Total credit risk weighted assets	305,328	287,651 274,978
Market risk weighted assets	7,104	4,303 6,850
Operational risk weighted assets	31,949	29,024 28,125
Interest rate risk in the banking book (IRRBB) risk weighted assets	16,359	18,287 12,629
Total risk weighted assets	360,740	339,265 322,582
Capital ratios(%)4
Level 2 Common Equity Tier 1 capital ratio	8.5% 3	8.2% n/a 5 8.2%
Level 2 Tier 1 capital ratio	10.3%	10.4% 9.8%
Level 2 Total capital ratio	12.1%	12.2% 11.7%
Level 1: Extended licensed Common Equity Tier 1 capital ratio	8.3%	8.5% 8.4%
Level 1: Extended licensed entity Tier 1 capital ratio	10.6%	10.6% 10.3%
Level 1: Extended licensed entity Total capital ratio	12.5%	12.5% 12.2%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited –Common Equity Tier 1 capital ratio 10.7%		10.4% 10.2%
ANZ Bank New Zealand Limited - Tier 1 capital ratio 11.1%		10.8% 10.2%
ANZ Bank New Zealand Limited - Total capital ratio 12.4%		12.4% 11.8%

3Specialised Lending exposures subject to slotting approach are those where the main servicing and repayment is from the asset being financed, and includes specified commercial property development/investment lending, project finance and object finance.

4ANZ Bank New Zealand Limited‟s capital ratios have been calculated in accordance with Reserve Bank of New Zealand prudential standards

18

Credit Risk Weighted Assets (CRWA)

Total CRWA increased $17.7 billion (6.2%) from September 2013 to $305.3 billion at March 2014, including a $3.4 billion increase due to foreign currency movements. Portfolio growth contributed a further $12.2 billion, with growth in the Institutional portfolio contributing to the increase in AIRB and Standardised Corporate, AIRB Bank together with increases in the Australian mortgages portfolio.

Market RWA has increased from $4.3 billion to $7.1 billion over the half reflecting higher levels of Traded Market Risk and relatively lower diversification compared with FY13. The increases are distributed across a variety of instruments and portfolios.

The increase in Operational RWA reflected the business growth and recognised global and local industry trends.

The reduction in IRRBB RWA was primarily due to lower repricing and yield curve risk.

19

Chapter 4 –Credit risk

Table 7 Credit risk – General disclosures

Table 7(b) part (i): Period end and average Exposure at Default[56]

Mar 14 Advanced IRB approach Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for halfyear $M Individual provision charge for half year $M Write-offs for half year $M Corporate 123,743 230,437 227,262 224 234 Sovereign 4,545 74,641 74,244 - - Bank 20,269 106,275 104,456 - - Residential Mortgage 50,426 287,414 281,084 13 18 QualifyingRevolvingRetail 7,260 21,124 21,149 97 134 Other Retail 26,416 38,540 37,787 178 186 Total Advanced IRB approach 232,659 758,431 745,982 512 572 Specialised Lending 28,522 33,969 33,021 37 37 Standardised approach Corporate 26,255 29,128 24,442 14 - Residential Mortgage 1,966 5,450 5,321 2 11 QualifyingRevolvingRetail 1,796 1,789 1,755 11 33 Other Retail 1,073 1,065 1,023 26 35 Total Standardised approach 31,090 37,432 32,541 53 79 Credit Valuation Adjustment and Qualifying Central Counterparties 8,065 10,293 7,681 - - Total 300,336 840,125 819,225 602 688	Mar 14 Advanced IRB approach Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for halfyear $M Individual provision charge for half year $M Write-offs for half year $M Corporate 123,743 230,437 227,262 224 234 Sovereign 4,545 74,641 74,244 - - Bank 20,269 106,275 104,456 - - Residential Mortgage 50,426 287,414 281,084 13 18 QualifyingRevolvingRetail 7,260 21,124 21,149 97 134 Other Retail 26,416 38,540 37,787 178 186 Total Advanced IRB approach 232,659 758,431 745,982 512 572 Specialised Lending 28,522 33,969 33,021 37 37 Standardised approach Corporate 26,255 29,128 24,442 14 - Residential Mortgage 1,966 5,450 5,321 2 11 QualifyingRevolvingRetail 1,796 1,789 1,755 11 33 Other Retail 1,073 1,065 1,023 26 35 Total Standardised approach 31,090 37,432 32,541 53 79 Credit Valuation Adjustment and Qualifying Central Counterparties 8,065 10,293 7,681 - - Total 300,336 840,125 819,225 602 688
Total 300,336	840,125 819,225 602 688

5Exposure at Default in Table 7 includes Advanced IRB, Specialised Lending and Standardised exposures, however does not include Securitisation, Equities or Other Assets exposures. Exposure at Default in Table 7 is gross of credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

6Average Exposure at Default for half year is calculated as the simple average of the balances at the start and the end of each six month period.

20

Sep 13 Advanced IRB approach Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for halfyear $M Individual provision charge for half year $M Write-offs for half year $M Corporate 121,586 224,087 215,887 225 240 Sovereign 4,360 73,846 75,922 - - Bank 16,270 102,636 102,504 - - Residential Mortgage 47,559 274,755 267,154 23 51 QualifyingRevolvingRetail 7,219 21,174 21,063 115 152 Other Retail 24,328 37,034 36,111 166 188 Total Advanced IRB approach 221,322 733,532 718,641 529 631 Specialised Lending 27,640 32,072 32,197 6 51 Standardised approach Corporate 19,285 19,756 18,373 20 71 Residential Mortgage 1,922 5,191 4,699 4 5 Qualifying Revolving Retail 1,728 1,721 1,892 (7) 3 Other Retail 985 980 1,111 20 32 Total Standardised approach 23,920 27,648 26,075 37 111 Credit Valuation Adjustment and Qualifying Central Counterparties 8,501 5,069 3,293 - - Total 281,383 798,321 780,206 572 793	Sep 13 Advanced IRB approach Basel III Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for halfyear $M Individual provision charge for half year $M Write-offs for half year $M Corporate 121,586 224,087 215,887 225 240 Sovereign 4,360 73,846 75,922 - - Bank 16,270 102,636 102,504 - - Residential Mortgage 47,559 274,755 267,154 23 51 QualifyingRevolvingRetail 7,219 21,174 21,063 115 152 Other Retail 24,328 37,034 36,111 166 188 Total Advanced IRB approach 221,322 733,532 718,641 529 631 Specialised Lending 27,640 32,072 32,197 6 51 Standardised approach Corporate 19,285 19,756 18,373 20 71 Residential Mortgage 1,922 5,191 4,699 4 5 Qualifying Revolving Retail 1,728 1,721 1,892 (7) 3 Other Retail 985 980 1,111 20 32 Total Standardised approach 23,920 27,648 26,075 37 111 Credit Valuation Adjustment and Qualifying Central Counterparties 8,501 5,069 3,293 - - Total 281,383 798,321 780,206 572 793
Total 281,383	798,321 780,206 572 793

Basel III Risk Weighted Assets	Exposure provision
	Exposure at Default charge for Write-offs for
	at Default for half year half year half year
Advanced IRB approach $M	$M $M $M $M
Corporate 114,700	207,687 205,084 243 303
Sovereign 4,382	77,998 72,294 - -
Bank 15,838	102,372 100,640 - -
Residential Mortgage 44,597	259,553 255,196 35 31
QualifyingRevolvingRetail 7,234	20,951 20,932 112 146
Other Retail 23,200	35,187 33,570 138 150
Total Advanced IRB approach 209,951	703,748 687,716 528 630
Specialised Lending 27,842	32,321 31,969 39 170
Standardised approach
Corporate 17,157	16,989 17,478 22 36
Residential Mortgage 1,827	4,206 3,991 1 1
QualifyingRevolvingRetail 2,068	2,062 2,041 (9) 8
Other Retail 1,248	1,242 1,194 14 19
Total Standardised approach 22,300	24,499 24,704 28 64

21

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

	Average for half
Mar 14	Sep 13 Mar 13 year Mar 14
Portfolio Type $M	$M $M $M
Cash 16,264	12,571 17,263 14,418
Contingents liabilities, commitments, and other off-balance sheet exposures 144,397 133,668 127,206 139,033
Derivatives 95,155	90,016 80,559 92,586
Settlement Balances 24,749	31,447 37,146 28,098
Investment Securities 23,323	24,207 20,018 23,765
Net Loans,Advances & Acceptances 498,544	474,740 448,840 486,642
Other assets 5,926	3,308 2,877 4,617
TradingSecurities 31,767	28,364 28,175 30,066
Total exposures 840,125	798,321 762,084 819,225

7The classification of the balance sheet has changed to more consistently reflect the nature of the financial assets. Prior to this classification, the balance sheet was classified according to both nature of the asset and counterparty. Average for half year is calculated as the simple average of the balances at the start and the end of each six month period.

22

Table 7(c): Geographic distribution of Exposure at Default

	Mar 14	Mar 14	Mar 14
			Asia Pacific, Europe and
	Australia	New Zealand Americas Total
Portfolio Type	$M	$M $M $M
Corporate	131,400	45,257 82,908 259,565
Sovereign	23,328	9,787 41,526 74,641
Bank	62,819	9,706 33,750 106,275
Residential Mortgage	226,355	61,059 5,450 292,864
QualifyingRevolvingRetail	21,124	- 1,789 22,913
Other Retail	29,106	9,474 1,025 39,605
QualifyingCentral Counterparties	7,830	1,510 953 10,293
Specialised Lending	25,746	7,771 452 33,969
Total exposures	527,708	144,564 167,853 840,125

Sep 13	Sep 13	Sep 13
		Asia Pacific, Europe and
Australia	New Zealand Americas Total
Portfolio Type $M	$M $M $M
Corporate 126,645	42,061 75,137 243,843
Sovereign 21,742	9,155 42,949 73,846
Bank 59,667	10,994 31,975 102,636
Residential Mortgage 218,861	55,894 5,191 279,946
QualifyingRevolvingRetail 21,174	- 1,721 22,895
Other Retail 28,476	8,602 936 38,014
QualifyingCentral Counterparties 3,522	819 728 5,069
Specialised Lending 24,111	7,047 914 32,072
Total exposures 504,198	134,572 159,551 798,321

Mar 13	Mar 13	Mar 13
		Asia Pacific, Europe and
Australia	New Zealand Americas Total
Portfolio Type $M	$M $M $M
Corporate 122,352	38,389 63,935 224,676
Sovereign 19,923	8,547 49,528 77,998
Bank 62,994	9,913 29,465 102,372
Residential Mortgage 210,841	48,712 4,206 263,759
QualifyingRevolvingRetail 20,951	- 2,062 23,013
Other Retail 27,671	7,564 1,194 36,429
QualifyingCentral Counterparties 1,292	68 156 1,516
Specialised Lending 23,814	6,585 1,922 32,321
Total exposures 489,838	119,778 152,468 762,084

23

Table 7(d): Industry distribution of Exposure at Default[89 ]

	Mar 14
	Agriculture,	Business Electricity, Gas & Water Entertainment, Leisure & Financial, Investment & Government and Official Property Wholesale Transport &
	Forestry, Fishing
	& Mining	Services Construction Supply Tourism Insurance Institutions Manufacturing Personal Services Trade Retail Trade Storage Other Total
**Portfolio Type **	$M	$M $M $M $M $M $M $M $M $M $M $M $M $M $M
Corporate	43,076	9,682 6,613 10,488 10,812 36,510 2,660 44,043 2,255 19,338 28,352 14,727 14,445 16,564 259,565
Sovereign	1,201	- 124 661 8 43,964 26,625 868 1 613 175 1 335 65 74,641
Bank	-	- - - - 106,183 - 76 - - - - 16 - 106,275
Residential Mortgage	-	- - - - - - - 292,864 - - - - - 292,864
Qualifying Revolving Retail	-	- - - - - - - 22,913 - - - - - 22,913
Other Retail	3,107	2,150 3,070 90 1,286 408 10 1,143 19,557 909 829 2,772 1,188 3,086 39,605
Qualifying Central	-	- - - - 10,293 - - - - - - - - 10,293
Counterparties
Specialised Lending	601	24 188 1,831 125 66 - 7 - 28,978 - 11 1,436 702 33,969
Total exposures	47,985	11,856 9,995 13,070 12,231 197,424 29,295 46,137 337,590 49,838 29,356 17,511 17,420 20,417 840,125
% of Total	5.7%	1.4% 1.2% 1.6% 1.5% 23.5% 3.5% 5.5% 40.2% 5.9% 3.5% 2.1% 2.1% 2.4% 100.0%

8Property Services includes Commercial property operators, Residential property operators, Retirement village operators/developers, Real estate agents, Non-financial asset investors and Machinery and equipment hiring and leasing.

9Other industry includes Health &Community Services, Education, Communication Services and Personal & Other Services.

								Sep 13
	Agriculture,		Electricity, Gas		Entertainment,	Financial,	Government
	Forestry, Fishing	Business		& Water	Leisure &	Investment &	and Official			Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Retail Trade	Storage	Other	Total
**Portfolio Type **	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	38,673	9,726	6,526	10,083	10,376	33,559	2,554	41,223	2,446	18,723	26,608	15,126	12,255	15,965	243,843
Sovereign	1,045	-	67	633	8	43,456	26,608	731	1	622	49	-	527	99	73,846
Bank	-	-	-	-	-	102,441	-	75	-	-	25	-	95	-	102,636
Residential Mortgage	-	-	-	-	-	-	-	-	279,946	-	-	-	-	-	279,946
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	22,895	-	-	-	-	-	22,895
Other Retail	3,149	2,065	3,001	88	1,193	392	9	1,121	18,565	1,029	815	2,631	1,179	2,777	38,014
Qualifying Central Counterparties	-	-	-	-	-	2,966	-	-	-	-	-	-	-	2,103	5,069
Specialised Lending	411	26	142	2,029	130	3	173	15	-	26,945	-	34	1,602	562	32,072
Total exposures	43,278	11,817	9,736	12,833	11,707	182,817	29,344	43,165	323,853	47,319	27,497	17,791	15,658	21,506	798,321
% of Total	5.4%	1.5%	1.2%	1.6%	1.5%	22.9%	3.7%	5.4%	40.6%	5.9%	3.4%	2.2%	2.0%	2.7%	100.0%

								Mar 13
	Agriculture,			Electricity,	Entertainment,	Financial,	Government
	Forestry, Fishing	Business		Gas & Water	Leisure &	Investment &	and Official			Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Retail Trade	Storage	Other	Total
**Portfolio Type **	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	35,439	8,475	6,083	9,035	10,054	28,291	2,345	39,567	1,943	17,607	25,612	14,450	11,137	14,638	224,676
Sovereign	1,154	-	91	790	8	49,052	25,045	585	2	598	122	-	370	181	77,998
Bank	-	-	-	-	-	102,372	-	-	-	-	-	-	-	-	102,372
Residential Mortgage	-	-	-	-	-	-	-	-	263,759	-	-	-	-	-	263,759
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	23,013	-	-	-	-	-	23,013
Other Retail	3,129	2,024	2,934	85	1,098	373	7	1,131	17,764	1,031	806	2,508	1,131	2,408	36,429
Qualifying Central Counterparties	-	-	-	-	-	660	-	-	-	-	-	-	-	856	1,516
Specialised Lending	730	26	9	2,318	168	-	173	124	-	26,373	-	22	1,827	551	32,321
Total exposures	40,452	10,525	9,117	12,228	11,328	180,748	27,570	41,407	306,481	45,609	26,540	16,980	14,465	18,634	762,084
% of Total	5.3%	1.4%	1.2%	1.6%	1.5%	23.7%	3.6%	5.4%	40.2%	6.0%	3.5%	2.2%	1.9%	2.4%	100.0%

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ANZ Basel III Pillar 3 disclosure March 2014

Table 7(e): Residual contractual maturity of Exposure at Default[10]

	Mar 14	Mar 14
			No Maturity
	< 12 mths	1 - 5 years > 5 years Specified Total
**Portfolio Type **	$M	$M $M $M $M
Corporate	116,648	122,415 20,273 229 259,565
Sovereign	43,028	19,165 12,448 - 74,641
Bank	54,129	50,474 1,672 - 106,275
Residential Mortgage	984	5,224 256,095 30,561 292,864
Qualifying Revolving Retail	-	- - 22,913 22,913
Other Retail	13,306	13,990 12,309 - 39,605
Qualified Central Counterparties 1,761		6,124 2,408 - 10,293
Specialised Lending 11,494		20,778 1,697 - 33,969
Total exposures 241,350		238,170 306,902 53,703 840,125
Sep 13
			No Maturity
< 12 mths		1 - 5 years > 5 years Specified Total
Portfolio Type $M		$M $M $M $M
Corporate 108,760		114,807 20,106 170 243,843
Sovereign 44,171		17,771 11,904 - 73,846
Bank 47,573		53,269 1,794 - 102,636
Residential Mortgage 689		4,969 244,357 29,931 279,946
QualifyingRevolvingRetail -		- - 22,895 22,895
Other Retail 12,419		14,133 11,462 - 38,014
Qualified Central Counterparties 1,303		2,464 1,302 - 5,069
Specialised Lending 11,410		18,925 1,676 61 32,072
Total exposures 226,325		226,338 292,601 53,057 798,321
Mar 13
			No Maturity
< 12 mths		1 - 5 years > 5 years Specified Total
Portfolio Type $M		$M $M $M $M
Corporate 100,881		104,989 18,677 129 224,676
Sovereign 49,351		19,598 9,049 - 77,998
Bank 49,495		50,540 2,337 - 102,372
Residential Mortgage 1,646		4,403 228,585 29,125 263,759
Qualifying Revolving Retail -		- - 23,013 23,013
Other Retail 12,312		15,932 8,185 - 36,429
Qualified Central Counterparties 847		370 299 - 1,516
Specialised Lending 12,254		17,251 2,754 62 32,321
Total exposures 226,786		213,083 269,886 52,329 762,084

10No Maturity Specified predominately includes credit cards and residential mortgage equity manager accounts.

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ANZ Basel III Pillar 3 disclosure March 2014

Table 7(f) part (i): Impaired assets[1112] , Past due loans[13] , Provisions and Write-offs by Industry sector

	Mar 14	Mar 14
	Impaired Past due Individual Individual provision
	Impaired	loans/ loans ≥90 provision charge for Write-offs
	derivatives	facilities days balance half year for half year
Industry Sector	$M	$M $M $M $M $M
Agriculture, Forestry, Fishing &
	-	968 161 280 (7) 61
Mining
Business Services	-	232 49 165 160 54
Construction	-	81 61 34 2 18
Electricity, gas and water supply	-	3 4 2 - -
Entertainment Leisure & Tourism	-	84 50 30 6 12
Financial, Investment &
	-	32 23 16 18 25
Insurance
Government & Official Institutions -		- - - - -
Manufacturing -		245 86 122 (6) 30
Personal -		966 1,112 394 289 370
PropertyServices 1		527 135 143 34 31
Retail Trade -		84 107 51 26 49
Transport & Storage 57		236 20 69 3 4
Wholesale Trade -		189 26 123 31 18
Other -		85 57 41 46 16
Total 58		3,732 1,891 1,470 602 688

11Impaired derivatives are net of credit value adjustment (CVA) of $80 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2013: $93 million; March 2013: $111 million).

12Impaired loans / facilities include restructured items of $60 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 (September 2013: $341 million; March 2013: $524 million).

13Not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days toimpaired loans / facilities from June 2013.

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ANZ Basel III Pillar 3 disclosure March 2014

Sep 13	Sep 13
Impaired derivatives Impaired loans/ facilities Past due loans ≥90 days Individual provision balance Individual provision charge for half year Write-offs for half year
	loans/ loans ≥90 provision charge for Write-offs
	facilities days balance half year for half year
Industry Sector $M	$M $M $M $M $M
Agriculture, Forestry, Fishing & Mining - 1,143 161 337 78 65
Business Services -	96 44 63 11 23
Construction -	105 94 47 14 22
Electricity, gas and water supply -	285 5 2 (5) (1)
Entertainment Leisure & Tourism -	122 56 35 6 8
Financial, Investment & Insurance - 160 21 21 - 12
Government & Official Institutions -	- - - - -
Manufacturing -	319 31 141 27 60
Personal -	955 955 395 309 400
PropertyServices 6	479 145 134 - 55
Retail Trade -	119 91 77 53 25
Transport & Storage 61	238 23 70 7 19
Wholesale Trade -	186 25 109 43 68
Other -	141 47 36 29 37
Total 67	4,348 1,698 1,467 572 793

Mar 13	Mar 13
Impaired Past due Individual Individual provision
Impaired derivatives	loans/ loans ≥90 provision charge for Write-offs
	facilities days balance half year for half year
Industry Sector $M	$M $M $M $M $M
Agriculture, Forestry, Fishing & Mining - 1,158 178 327 49 33
Business Services -	131 61 64 27 35
Construction 2	113 58 50 11 25
Electricity, gas and water supply 2	271 3 6 - 1
Entertainment Leisure & Tourism 1	110 59 34 12 13
Financial, Investment & Insurance - 171 22 31 (2) 5
Government & Official Institutions -	- - - - -
Manufacturing 6	373 30 132 30 147
Personal -	810 1,009 403 269 334
PropertyServices 7	727 122 191 65 68
Retail Trade -	90 68 55 30 37
Transport & Storage 65	253 22 74 73 144
Wholesale Trade -	240 19 133 13 8
Other -	155 45 43 18 14
Total 83	4,602 1,696 1,543 595 864

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ANZ Basel III Pillar 3 disclosure March 2014

Table 7(f) part (ii): Impaired asset, Past due loans, Provisions and Write-offs

	Mar 14
	Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥90 days $M Individual provision balance $M Individual provision charge for half year $M Write-offs for half year $M
Portfolios subject to Advanced IRB	approach
Corporate	1 1,871 300 792 224 234
Sovereign	- - - - - -
Bank	- - - - - -
Residential Mortgage	- 388 1,214 126 13 18
QualifyingRevolvingRetail	- 86 - - 97 134
Other Retail	- 424 225 242 178 186
Total Advanced IRB approach	1 2,769 1,739 1,160 512 572
Specialised Lending	57 635 100 138 37 37
Portfolios subject to Standardised approach
Corporate - 146 39 97 14 -
Residential Mortgage - 52 10 14 2 11
Qualifying Revolving Retail - 72 - 39 11 33
Other Retail - 58 3 22 26 35
Total Standardised approach - 328 52 172 53 79
Qualifying Central Counterparties - - - - - -
Total 58 3,732 1,891 1,470 602 688

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ANZ Basel III Pillar 3 disclosure March 2014

		Sep 13	Sep 13
	Impaired derivatives $M Impaired loans/ facilities $M	Past due loans ≥90 days $M Individual provision balance $M Individual provision charge for half year $M Write-offs for half year $M
Portfolios subject to Advanced IRB	approach
Corporate	2 2,286	308 790 225 240
Sovereign	- -	- - - -
Bank	- -	- - - -
Residential Mortgage	- 398	1,026 134 23 51
QualifyingRevolvingRetail	- 78	- - 115 152
Other Retail	- 390	233 213 166 188
Total Advanced IRB approach	2 3,152	1,567 1,137 529 631
Specialised Lending	65 857	97 145 6 51
Portfolios subject to Standardised approach
Corporate	- 172	21 100 20 71
Residential Mortgage	- 44	9 14 4 5
QualifyingRevolvingRetail	- 65	- 45 (7) 3
Other Retail	- 58	4 26 20 32
Total Standardised approach	- 339	34 185 37 111
Qualifying Central Counterparties	- -	- - - -
Total	67 4,348	1,698 1,467 572 793
		Mar 13
	Impaired derivatives $M Impaired loans/ facilities $M		Individual provision charge for half year $M Write-offs for half year $M
		Past due loans ≥90 days $M Individual provision balance $M
Portfolios subject to Advanced IRB	approach
Corporate	10 2,418	282 759 243 303
Sovereign	- -	- - - -
Bank	- -	- - - -
Residential Mortgage	- 463	907 159 35 31
Qualifying Revolving Retail	- -	94 - 112 146
Other Retail	- 323	284 202 138 150
Total Advanced IRB approach	10 3,204	1,567 1,120 528 630
Specialised Lending	71 1,055	72 183 39 170
Portfolios subject to Standardised approach
Corporate	2 237	39 150 22 36
Residential Mortgage	- 18	3 14 1 1
QualifyingRevolvingRetail	- 63	1 46 (9) 8
Other Retail	- 25	14 30 14 19
Total Standardised approach	2 343	57 240 28 64
Qualifying Central Counterparties	- -	- - - -
Total	83 4,602	1,696 1,543 595 864

30

ANZ Basel III Pillar 3 disclosure March 2014

Table 7(g): Impaired assets[1415] , Past due loans[16] and Provisions by Geography

Mar 14	Mar 14
Impaired Past due Individual Collective
Impaired derivatives	loans/ loans provision provision
	facilities ≥90 days balance balance
Geographic region $M	$M $M $M $M
Australia 58	2,272 1,640 941 1,887
New Zealand -	815 197 233 464
Asia Pacific, Europe and America -	645 54 296 492
Total 58	3,732 1,891 1,470 2,843

			Sep 13
		Impaired	Past due	Individual	Collective
	Impaired	loans/	loans	provision	provision
	derivatives	facilities	≥90 days	balance	balance
Geographic region	$M	$M	$M	$M	$M
Australia	67	2,806	1,486	944	1,862
New Zealand	-	873	178	261	495
Asia Pacific,Europe and America	-	669	34	262	530
Total	67	4,348	1,698	1,467	2,887

			Mar 13
		Impaired	Past due	Individual	Collective
	Impaired	loans/	loans	provision	provision
	derivatives	facilities	≥90 days	balance	balance
Geographic region	$M	$M	$M	$M	$M
Australia	79	2,973	1,455	955	1,808
New Zealand	-	1,021	184	313	470
Asia Pacific, Europe and America	4	608	57	275	491
Total	83	4,602	1,696	1,543	2,769

14Impaired derivatives are net of credit value adjustment (CVA) of $80 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2013: $93 million; March 2013: $111 million).

15Impaired loans / facilities include restructured items of $60 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 (September 2013: $341 million; March 2013: $524 million).

16Not 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 March 2014

Table 7(h): Provision for Credit Impairment

	Half year	Half year Half year
	Mar 14	Sep 13 Mar 13
Collective Provision	$M	$M $M
Balance at start of period	2,887	2,769 2,765
Charge to income statement	(74)	26 4
Disposal	-	- -
Adjustments for exchange rate fluctuations	30	92 -
Total Collective Provision	2,843	2,887 2,769
Individual Provision
Balance at start of period	1,467	1,543 1,773
New and increased provisions	966	957 932
Write-backs	(257)	(247) (240)
Adjustment for exchange rate fluctuations	12	54 (3)
Discount unwind	(30)	(47) (55)
Bad debts written off	(688)	(793) (864)
Total Individual Provision	1,470	1,467 1,543
Total Provisions for Credit Impairment	4,313	4,354 4,312

Specific Provision Balance and General Reserve for Credit Losses[17]

S
	Mar 14
	Specific Provision	General Reserve for
	Balance	Credit Losses Total
	$M	$M $M
Collective Provision	300 2,543 2,843
Individual Provision	1,470 - 1,470
Total Provision for Credit Impairment	4,313
	Sep 13
	Specific Provision	General Reserve for
	Balance	Credit Losses Total
	$M	$M $M
Collective Provision	346 2,541 2,887
Individual Provision	1,467 - 1,467
Total Provision for Credit Impairment	4,354
	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

17Due 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 March 2014

Table 8 Credit risk – Disclosures for portfolios subject to the Standardised approach and supervisory risk weights in the IRB approach

Table 8(b): Exposure at Default by risk bucket[18]

Table 8(b): Exposure at Default by risk bucket18	Table 8(b): Exposure at Default by risk bucket18	Table 8(b): Exposure at Default by risk bucket18
Risk weight
Mar 14	Sep 13 Mar 13
Standardised approach exposures $M	$M $M
0% -	- -
20% 486	364 -
35% 5,285	4,771 3,156
50% 555	821 387
75% 3	- 711
100% 28,429	21,478 19,660
150% 205	184 539
>150% 1	2 -
Capital deductions -	- -
Total 34,964	27,620 24,453
Other Asset exposures
0% -	- -
20% 1,092	1,023 1,081
35% -	- -
50% -	- -
75% -	- -
100% 3,521	3,339 3,171
150% -	- -
>150% -	- -
Capital deductions -	- -
Total 4,613	4,362 4,252
Specialised Lending exposures
0% 1,226	1,020 1,231
70% 12,807	11,938 11,339
90% 15,779	14,972 15,519
115% 3,380	3,308 3,231
250% 588	802 889
Total 33,780	32,040 32,209

18Table 8(b) shows exposure at default after credit risk mitigation in each risk category.

33

ANZ Basel III Pillar 3 disclosure March 2014

Table 9 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches

Portfolios subject to the Advanced IRB (AIRB) approach

The following table summarises the types of borrowers and the rating approach adopted within each of ANZ‟s AIRB portfolios:

IRB Asset Class	Borrower Type	Rating Approach
Corporate	Corporations, partnerships or proprietorships that do not fit into any other asset class	AIRB
Sovereign	Central governments Central banks Certain multilateral development banks	AIRB
Bank	Banks19 In Australia only, other authorised deposit taking institutions (ADI) incorporated in Australia	AIRB
Residential mortgages	Exposures secured by residential property	AIRB
Qualifying revolving retail	Consumer credit cards <$100,000 limit	AIRB
Other retail	Small business lending Other lending to consumers	AIRB
Specialised Lending	Income Producing Real Estate20 Project finance Object finance	AIRB – Supervisory Slotting21
Other assets	All other assets not falling into the above classes e.g. margin lending, fixed assets	AIRB – fixed risk weights

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail and local corporates in Asia Pacific) where currently available data does not enable development of advanced internal models for PD, LGD and EAD estimates. Under the Standardised approach, exposures are mapped to several regulatory risk weights, mainly based on the type of counterparty and its external rating.

ANZ applies its full normal risk measurement and management framework to these segments for internal management purposes, such as for economic capital. Standardised segments will be migrated to AIRB if they reach a volume that generates sufficient data for development of advanced internal models.

ANZ has not applied the Foundation IRB approach to any portfolios.

The ANZ rating system

As an AIRB bank, ANZ‟s internal models generate the inputs into regulatory capital adequacy to determine the risk weighted exposure calculations for both on and off-balance sheet exposures, including undrawn portions of credit facilities, committed and contingent exposures and EL calculations. ANZ‟s internal models are used to generate the three key risk components that serve as inputs to the IRB approach to credit risk:

==> picture [9 x 10] intentionally omitted <==

==> picture [9 x 11] intentionally omitted <==

==> picture [9 x 11] intentionally omitted <==

• PD is an estimate of the level of the risk of borrower default. Borrower ratings are derived by way of rating models used both at loan origination and for ongoing monitoring.

• EAD is defined as the expected facility exposure at the date of default.

• LGD 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. When measuring economic loss, all relevant factors are taken into account, including material effects of the timing of cash flows and material direct and indirect costs associated with collecting on the exposure, including realisation of collateral.

19The IRB asset classification of investment banks is Corporate, rather than Bank.

• 20Since 2009, APRA has agreed that some large, well-diversified commercial property exposures may be treated as corporate exposures, in line with the original Basel Committee‟s definition of Specialised Lending.

21ANZ uses an internal assessment which is mapped to the appropriate Supervisory Slot.

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ANZ Basel III Pillar 3 disclosure March 2014

Effective maturity is also calculated as an input to the risk weighted exposure calculation for bank, sovereign and corporate IRB asset classes.

ANZ‟s rating system has two separate and distinct dimensions that:

==> picture [9 x 10] intentionally omitted <==

==> picture [9 x 11] intentionally omitted <==

• Measure the PD, which is expressed by the Customer Credit Rating (CCR), reflecting the ability to service and repay debt.

• Measure the LGD as expressed by the Security Indicator (SI) ranging from A to G. The SI is calculated by reference to the percentage of loan covered by security which can be realised in the event of default. This calculation uses standard ratios to adjust the current market value of collateral items to allow for historical realisation outcomes. The security-related SIs are supplemented with a range of other SIs which cover such factors as cash cover, mezzanine finance, intra-group guarantees and sovereign backing as ANZ‟s LGD research indicates that these transaction characteristics have different recovery outcomes. ANZ‟s LGD also includes recognition of the different legal and insolvency regimes in different countries, where this has been shown to influence recovery outcomes.

ANZ‟s corporate PD master scale is made up of 27 rating grades. Each level/grade is separately defined and has a range of default probabilities attached to it. The PD master scale enables ANZ‟s rating system to be mapped to the gradings of external rating agencies, using the PD as a common element after ensuring that default definitions and other key attributes are aligned. The following table demonstrates this alignment (for one year PDs):

ANZ CCR	Moody’s	Standard & Poor’s	PD Range
0+ to 1-	Aaa to < A1	AAA to < A+	0.0000 - 0.0346%
2+ to 3+	A1 to < Baa2	A+ to < BBB	0.0347 - 0.1636%
3= to 4=	Baa2 to < Ba1	BBB to < BB+	0.1637 - 0.5108%
4- to 6-	Ba1 to < B1	BB+ to < B+	0.5109 - 3.4872%
7+ to 8+	B1 to <Caa	B+ to < CCC	3.4873 - 10.0928%
8=	Caa	CCC	10.0929 - 99.9999%
8-,9 and 10	Default	Default	100%

In the retail asset classes, most facilities utilise credit rating scores. The scores are calibrated to PD, so the PD master scale gives ANZ a common language to understand and manage credit risk. For retail asset class exposures, the LGD dimension is recognised through the process of pooling retail exposures into homogenous groups.

ANZ also uses specialised PD master scale/mappings for the sovereign and bank asset classes, based predominantly on the corporate master scale.

35

ANZ Basel III Pillar 3 disclosure March 2014

Table 9(d): Non Retail Exposure at Default subject to Internal Ratings Based (IRB) approach[222324 ]

	Mar 14	Mar 14
	AAA	A+ BBB BB+ B+
	< A+	< BBB < BB+ < B+ < CCC CCC Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Corporate	13,931	55,782 84,336 68,921 3,285 1,231 2,951 230,437
Sovereign	68,175	1,662 1,921 2,728 124 31 - 74,641
Bank	35,639	60,622 6,719 3,285 7 3 - 106,275
Total	117,745	118,066 92,976 74,934 3,416 1,265 2,951 411,353
% of Total	28.6%	28.7% 22.6% 18.2% 0.8% 0.3% 0.7% 100.0%
Undrawn commitments(included in above)
Corporate 5,222		19,124 24,263 12,632 451 105 155 61,952
Sovereign 596		288 295 12 - - - 1,191
Bank 57		207 509 17 - - - 790
Total 5,875		19,619 25,067 12,661 451 105 155 63,933
Average Exposure at Default
Corporate 4.709		3.116 1.361 0.391 0.569 0.227 0.760 0.791
Sovereign 71.675		26.915 24.120 17.944 12.353 2.209 - 58.449
Bank 19.295		4.025 3.872 2.468 0.506 0.167 - 5.419
Exposure-weighted average Loss Given Default(%)
Corporate 57.5%		59.2% 48.9% 40.0% 40.0% 39.7% 40.5% 48.5%
Sovereign 2.5%		5.5% 41.7% 49.7% 74.1% 25.6% - 5.5%
Bank 62.3%		63.5% 70.5% 69.2% 67.2% 67.4% - 64.1%
Exposure-weighted average risk weight(%)
Corporate 21.1%		35.4% 54.6% 73.1% 120.6% 176.0% 140.0% 57.3%
Sovereign 0.5%		2.5% 47.3% 112.3% 221.5% 119.5% - 6.5%
Bank 22.3%		25.9% 76.5% 127.4% 251.1% 252.9% - 36.0%

22In accordance with APS 330, EAD in Table 9(d) includes Advanced IRB exposures; however does not include Specialised Lending, Standardised, Securitisation, Equities or Other Assets exposures. Specialised Lending is excluded from Table 9(d) as it follows the Supervisory Slotting treatment, and a breakdown of risk weightings is provided in Table 8(b).

23Average EAD is calculated as total EAD post risk mitigants divided by the total number of credit risk generating exposures.

24Exposure-weighted average risk weight (%) is calculated as CRWA divided by EAD.

36

ANZ Basel III Pillar 3 disclosure March 2014

	Sep 13	Sep 13
	AAA	A+ BBB BB+ B+
	< A+	< BBB < BB+ < B+ < CCC CCC Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Corporate	12,338	56,758 77,638 68,754 3,792 1,706 3,101 224,087
Sovereign	67,730	1,933 1,239 2,873 50 21 - 73,846
Bank	85,766	8,769 6,914 1,180 1 6 - 102,636
Total	165,834	67,460 85,791 72,807 3,843 1,733 3,101 400,569
% of Total	41.4%	16.8% 21.4% 18.2% 1.0% 0.4% 0.8% 100.0%
Undrawn commitments(included in above)
Corporate 4,238		18,957 21,365 10,822 509 207 117 56,215
Sovereign 711		411 19 9 - - - 1,150
Bank 282		107 220 13 - - - 622
Total 5,231		19,475 21,604 10,844 509 207 117 57,987
Average Exposure at Default
Corporate 3.861		3.057 1.258 0.388 0.635 0.319 0.748 0.783
Sovereign 71.914		38.134 20.392 16.607 5.571 1.775 - 58.910
Bank 7.613		2.755 3.517 1.198 0.083 0.198 - 5.313
Exposure-weighted average Loss Given Default(%)
Corporate 58.2%		60.0% 48.3% 39.7% 40.4% 43.0% 39.4% 48.4%
Sovereign 2.4%		4.2% 49.8% 49.8% 70.7% 34.6% - 5.2%
Bank 63.7%		64.6% 70.9% 72.0% 54.5% 65.7% - 64.3%
Exposure-weighted average risk weight(%)
Corporate	20.8%	37.0% 54.0% 74.1% 125.2% 187.9% 136.5% 58.7%
Sovereign	0.5%	1.8% 52.9% 110.9% 222.9% 212.3% - 6.1%
Bank	20.0%	29.8% 81.6% 134.2% 167.1% 329.7% - 31.1%
	Mar 13
	AAA	A+ BBB BB+ B+
	< A+	< BBB < BB+ < B+ < CCC CCC Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Corporate	10,663	50,805 74,387 62,974 1,812 3,765 3,281 207,687
Sovereign	72,199	1,576 1,018 3,115 22 68 - 77,998
Bank	81,682	13,350 5,960 1,375 4 1 - 102,372
Total	164,544	65,731 81,365 67,464 1,838 3,834 3,281 388,057
% of Total	42.4%	16.9% 21.0% 17.4% 0.5% 1.0% 0.8% 100.0%
Undrawn commitments(included in above)
Corporate 3,865		17,933 20,947 10,396 508 136 118 53,903
Sovereign 789		411 41 4 - - - 1,245
Bank 102		99 62 16 - - - 279
Total 4,756		18,443 21,050 10,416 508 136 118 55,427
Average Exposure at Default
Corporate 0.199		2.730 1.161 0.356 0.589 0.197 0.798 0.611
Sovereign 67.595		24.178 19.346 15.185 4.557 1.463 - 54.644
Bank 4.437		2.486 3.420 1.679 0.070 0.256 - 3.820
Exposure-weighted average Loss Given Default(%)
Corporate 57.0%		60.2% 48.1% 39.1% 40.3% 41.4% 40.0% 48.2%
Sovereign 2.4%		4.4% 44.0% 52.6% 59.1% 40.6% - 5.1%
Bank 64.8%		66.4% 73.0% 73.3% 75.0% 68.5% - 65.8%
Exposure-weighted average risk weight(%)
Corporate	20.0%	37.0% 53.0% 74.0% 126.0% 192.0% 132.0% 59.0%
Sovereign	0.4%	2.0% 46.8% 109.7% 195.1% 222.5% - 5.8%
Bank	19.8%	31.4% 90.1% 135.9% 245.3% 334.0% - 32.2%

37

ANZ Basel III Pillar 3 disclosure March 2014

Table 9(d): Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach by risk grade

	Mar 14	Mar 14
	0.00%	0.11% 0.30% 0.51% 3.49% 10.09%
	<0.11%	<0.30% <0.51% <3.49% <10.09% <100.0% Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Residential Mortgage	2,560	184,167 22,221 63,451 8,245 4,932 1,838 287,414
QualifyingRevolvingRetail	11,255	257 1,814 4,774 1,933 929 162 21,124
Other Retail	1,023	4,208 2,403 21,683 7,117 1,412 694 38,540
Total	14,838	188,632 26,438 89,908 17,295 7,273 2,694 347,078
% of Total	4.3%	54.3% 7.6% 25.9% 5.0% 2.1% 0.8% 100.0%
Undrawn commitments(included in above)
Residential Mortgage 971		20,531 875 4,075 146 141 3 26,742
QualifyingRevolvingRetail 8,749		256 1,154 2,099 573 114 23 12,968
Other Retail 482		1,810 1,170 2,907 289 47 8 6,713
Total 10,202		22,597 3,199 9,081 1,008 302 34 46,423
Average Exposure at Default
Residential Mortgage 0.048		0.214 0.166 0.206 0.240 0.255 0.201 0.202
QualifyingRevolvingRetail 0.011		0.006 0.010 0.010 0.009 0.008 0.009 0.010
Other Retail 0.015		0.013 0.012 0.017 0.010 0.008 0.012 0.014
Exposure-weighted average Loss Given Default(%)
Residential Mortgage 15.5%		19.5% 18.9% 23.1% 20.9% 20.0% 21.9% 20.3%
QualifyingRevolvingRetail 73.2%		73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2%
Other Retail 49.9%		53.0% 62.3% 49.7% 54.9% 65.5% 53.8% 52.4%
Exposure-weighted average risk weight(%)
Residential Mortgage	3.9%	6.4% 13.5% 31.4% 74.9% 107.8% 225.5% 17.5%
QualifyingRevolvingRetail	4.9%	11.4% 14.2% 39.4% 107.6% 206.6% 337.0% 34.4%
Other Retail	33.5%	40.5% 48.2% 62.6% 85.6% 149.2% 209.2% 68.5%

38

ANZ Basel III Pillar 3 disclosure March 2014

	Sep 13	Sep 13
	0.00%	0.11% 0.30% 0.51% 3.49% 10.09%
	<0.11%	<0.30% <0.51% <3.49% <10.09% <100.0% Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Residential Mortgage	2,749	178,322 21,116 58,390 8,455 4,053 1,670 274,755
QualifyingRevolvingRetail	11,246	219 1,904 4,797 1,962 889 157 21,174
Other Retail	950	3,866 3,039 20,226 6,991 1,279 683 37,034
Total	14,945	182,407 26,059 83,413 17,408 6,221 2,510 332,963
% of Total	4.5%	54.8% 7.8% 25.0% 5.2% 1.9% 0.8% 100.0%
Undrawn commitments(included in above)
Residential Mortgage 1,077		19,487 1,077 3,468 222 66 2 25,399
QualifyingRevolvingRetail 8,758		218 1,223 2,085 586 106 22 12,998
Other Retail 446		1,633 1,495 2,305 273 44 7 6,203
Total 10,281		21,338 3,795 7,858 1,081 216 31 44,600
Average Exposure at Default
Residential Mortgage 0.026		0.224 0.160 0.195 0.233 0.255 0.192 0.197
QualifyingRevolvingRetail 0.011		0.006 0.010 0.009 0.009 0.008 0.009 0.010
Other Retail 0.013		0.012 0.013 0.017 0.010 0.008 0.014 0.014
Exposure-weighted average Loss Given Default(%)
Residential Mortgage 16.3%		19.5% 19.0% 23.4% 20.9% 20.0% 22.5% 20.3%
QualifyingRevolvingRetail 73.2%		73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2%
Other Retail 51.3%		51.5% 59.5% 46.1% 53.3% 62.0% 52.3% 49.8%
Exposure-weighted average risk weight(%)
Residential Mortgage	4.1%	6.3% 13.7% 32.1% 76.1% 108.6% 221.7% 17.3%
QualifyingRevolvingRetail	4.9%	11.5% 14.2% 39.2% 108.4% 207.3% 364.6% 34.1%
Other Retail	13.2%	22.5% 43.0% 59.9% 83.8% 145.2% 206.7% 65.7%
	Mar 13
	0.00%	0.11% 0.30% 0.51% 3.49% 10.09%
	<0.11%	<0.30% <0.51% <3.49% <10.09% <100.0% Default Total
	$M	$M $M $M $M $M $M $M
Exposure at Default
Residential Mortgage	2,541	171,246 18,914 53,456 7,985 3,812 1,599 259,553
QualifyingRevolvingRetail	11,148	167 1,859 4,697 1,940 974 166 20,951
Other Retail	870	3,462 2,812 19,288 6,780 1,304 671 35,187
Total	14,559	174,875 23,585 77,441 16,705 6,090 2,436 315,691
% of Total	4.6%	55.4% 7.5% 24.5% 5.3% 1.9% 0.8% 100.0%
Undrawn commitments(included in above)
Residential Mortgage 943		18,524 991 3,199 179 69 3 23,908
QualifyingRevolvingRetail 8,702		166 1,189 2,058 577 113 20 12,825
Other Retail 409		1,482 1,416 2,097 250 45 7 5,706
Total 10,054		20,172 3,596 7,354 1,006 227 30 42,439
Average Exposure at Default
Residential Mortgage 0.025		0.219 0.145 0.180 0.226 0.250 0.177 0.189
QualifyingRevolvingRetail 0.011		0.006 0.010 0.009 0.009 0.008 0.008 0.010
Other Retail 0.009		0.008 0.011 0.017 0.010 0.007 0.012 0.013
Exposure-weighted average Loss Given Default(%)
Residential Mortgage 16.6%		19.6% 18.7% 23.1% 20.9% 20.0% 23.4% 20.3%
QualifyingRevolvingRetail 73.2%		73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2%
Other Retail 50.3%		51.1% 60.0% 45.1% 52.9% 63.0% 53.7% 49.2%
Exposure-weighted average risk weight(%)
Residential Mortgage 4.2%		6.4% 13.5% 32.1% 76.3% 108.8% 225.9% 16.2%
QualifyingRevolvingRetail 4.8%		11.3% 14.0% 38.5% 107.1% 206.8% 339.7% 32.8%
Other Retail 12.9%		22.4% 43.5% 58.7% 83.0% 146.8% 228.5% 61.9%

39

ANZ Basel III Pillar 3 disclosure March 2014

Table 9(e): Actual Losses by portfolio type

Table 9(e): Actual Losses by portfolio type
	Halfyear Mar 14
	Individual provision charge	Write-offs
Basel Asset Class	$M	$M
Corporate	224	234
Sovereign	-	-
Bank	-	-
Residential Mortgage	13	18
Qualifying Revolving Retail	97	134
Other Retail	178	186
Total Advanced IRB	512	572
Specialised Lending	37	37
Standardised approach	53	79
Total	602	688

	Halfyear Sep 13	Halfyear Sep 13
	Individual provision charge		Write-offs
Basel Asset Class	$M		$M
Corporate	225		240
Sovereign	-		-
Bank	-		-
Residential Mortgage	23		51
QualifyingRevolvingRetail	115		152
Other Retail	166		188
Total Advanced IRB	529		631
Specialised Lending	6		51
Standardised approach	37		111
Total	572		793

	Halfyear Mar 13	Halfyear Mar 13
	Individual provision charge		Write-offs
Basel Asset Class	$M		$M
Corporate	243		303
Sovereign	-		-
Bank	-		-
Residential Mortgage	35		31
Qualifying Revolving Retail	112		146
Other Retail	138		150
Total Advanced IRB	528		630
Specialised Lending	39		170
Standardised approach	28		64
Total	595		864

40

ANZ Basel III Pillar 3 disclosure March 2014

Table 9(f): Average estimated vs. actual PD, EAD and LGD – Advanced IRB

	Mar14	Mar14	Mar14	Mar14	Mar14
	Average Estimated PD % Average Actual PD % Average estimated to actual EAD ratio Average Estimated LGD % Average Actual LGD %
**Portfolio Type **
Corporate	1.50	1.01	1.12	41.5 30.0 n/a nil 46.0 58.3 n/a 25.8 20.7 3.9 73.2 71.7
Sovereign	0.47	nil	n/a
Bank	0.47	0.08	-
Specialised Lending	n/a	2.35	1.14
Residential Mortgage	0.82	0.81	1.00
QualifyingRevolvingRetail	2.75	2.12	1.04
Other Retail	3.40	3.69	1.05	48.1	44.6

APS 330 Table 9f compares internal credit risk estimates used in calculating regulatory capital withrealised outcomes by portfolio types. It covers the PD, EAD and LGD estimates for the IRB portfolios.

Estimated PD and LGD for Specialised Lending exposures have not been provided, since APRA requiresthe use of supervisory slotting for Regulatory EL calculations.

Actual PD, EAD ratio, Estimated LGD and Actual LGD for Sovereign exposures have not been provided,since there was no Sovereign defaults observed in ANZ Sovereign exposures for the observation period.

The estimated PD is based on the average of the internally estimated long-run PD‟s for obligors that are not in default at the beginning of each financial year over the period of observation being 2009 to March 2014. The actual PD is based on the number of defaulted obligors compared to the total number of obligors measured at the beginning of each financial year over the period of observation being 2009 to March 2014

The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaultedobligors over the four years of observation being 2009 to 2013 financial years. A ratio greater than1.0 signifies that on average, the actual defaulted exposures are lower than the estimated exposuresat the time of default.

The estimated LGD is the internal estimates of downturn LGD for accounts that defaulted at thebeginning of each year during the observation period being 2009 to 2012 financial years. The actualLGD is based on the average realised losses over the period for the accounts observed at beginningand defaulted during the observation period. For non-retail portfolios, the estimated and actual LGDsare based on accounts that defaulted in 2009 to 2011 financial years. For retail portfolios, theestimated and actual LGDs are based on accounts that defaulted in 2009 to 2012 financial years. Fornon-retail portfolios, defaults occurring in the 2012 and 2013 have been excluded from the analysis,to allow sufficient time for workout period. For retail portfolios, defaults occurring in 2013 have been excluded. For non-retail portfolios, actual LGD for defaults where workouts were notfinalisedhave been estimated to approximate the final actual loss. For the retail portfolios, defaults with non-finalised workout have been excluded from the analysis.

In assessing the accuracy of the credit risk estimates, it should be noted that the period of analysisdoes not cover a full economic cycle.

41

ANZ Basel III Pillar 3 disclosure March 2014

Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[25]

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral	Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral
Mar 14
Exposure Eligible Financial Collateral Other Eligible Collateral
Exposure
$M	$M $M % Coverage
Standardised approach
Corporate 29,128	177 - 0.6%
Residential Mortgage 5,450	43 - 0.8%
QualifyingRevolvingRetail 1,789	- - 0.0%
Other Retail 1,065	- - 0.0%
Total 37,432	220 - 0.6%

		Sep 13	Sep 13
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	19,756	267	-	1.4%
Residential Mortgage	5,191	3	-	0.1%
Qualifying Revolving Retail	1,721	-	-	0.0%
Other Retail	980	-	-	0.0%
Total	27,648	270	-	1.0%

		Mar 13	Mar 13
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	16,989	370	-	2.2%
Residential Mortgage	4,206	1	-	0.0%
Qualifying Revolving Retail	2,062	-	-	0.0%
Other Retail	1,242	-	-	0.0%
Total	24,499	371	-	1.5%

25Eligible Collateral could include cash collateral (cash, certificates deposits and bank bills issued by the lending ADI), gold bullion and highly rated debt securities.

42

ANZ Basel III Pillar 3 disclosure March 2014

Table 10(c): Credit risk mitigation – guarantees and credit derivatives

		Mar 14
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate(incl. Specialised Lending)	264,406	19,969	292	7.7%
Sovereign	74,641	212	-	0.3%
Bank	106,275	7,987	-	7.5%
Residential Mortgage	287,414	-	-	0.0%
QualifyingRevolvingRetail	21,124	-	-	0.0%
Other Retail	38,540	-	-	0.0%
Total	792,400	28,168	292	3.6%
Standardised approach
Corporate	29,128	-	-	0.0%
Residential Mortgage	5,450	-	-	0.0%
Qualifying Revolving Retail	1,789	-	-	0.0%
Other Retail	1,065	-	-	0.0%
Total	37,432	-	-	0.0%
Qualifying Central Counterparties	10,293	-	-	0.0%

		Sep 13
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	256,159	18,093	250	7.2%
Sovereign	73,846	247	-	0.3%
Bank	102,636	8,131	-	7.9%
Residential Mortgage	274,755	-	-	0.0%
Qualifying Revolving Retail	21,174	-	-	0.0%
Other Retail	37,034	-	-	0.0%
Total	765,604	26,471	250	3.5%
Standardised approach
Corporate	19,756	-	-	0.0%
Residential Mortgage	5,191	-	-	0.0%
QualifyingRevolvingRetail	1,721	-	-	0.0%
Other Retail	980	-	-	0.0%
Total	27,648	-	-	0.0%
Qualifying Central Counterparties	5,069	-	-	0.0%

43

ANZ Basel III Pillar 3 disclosure March 2014

Mar 13
Exposure $M Exposures covered by Guarantees $M Exposures covered by Credit Derivatives $M % Coverage
	$M $M % Coverage
Advanced IRB
Corporate(incl. Specialised Lending) 240,008	16,406 142 6.9%
Sovereign 77,998	241 - 0.3%
Bank 102,372	6,717 - 6.6%
Residential Mortgage 259,553	- - 0.0%
QualifyingRevolvingRetail 20,951	- - 0.0%
Other Retail 35,187	- - 0.0%
Total 736,069	23,364 142 3.2%
Standardised approach
Corporate 16,989	- - 0.0%
Residential Mortgage 4,206	- - 0.0%
Qualifying Revolving Retail 2,062	- - 0.0%
Other Retail 1,242	- - 0.0%
Total 26,015	- - 0.0%
Qualifying Central Counterparties 1,516	- - 0.0%

44

ANZ Basel III Pillar 3 disclosure March 2014

Chapter 5 – Securitisation

Banking Book

Table 12(g): Banking Book:Traditional and synthetic securitisation exposures

	Mar 14	Mar 14
Traditional securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	49,266 -
Credit cards and otherpersonal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	49,266 -
Synthetic securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	- -
Credit cards and other personal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	- -
Aggregate of traditional and synthetic securitisations
ANZ Originated		ANZ Self Securitised ANZ Sponsored
Underlyingasset $M		$M $M
Residential mortgage -		49,266 -
Credit cards and otherpersonal loans -		- -
Auto and equipment finance -		- -
Commercial loans -		- -
Other -		- -
Total -		49,266 -

45

ANZ Basel III Pillar 3 disclosure March 2014

	Sep 13	Sep 13
Traditional securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	46,597 -
Credit cards and other personal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	46,597 -
Synthetic securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	- -
Credit cards and otherpersonal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	- -
Aggregate of traditional and synthetic securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	46,597 -
Credit cards and other personal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	46,597 -
	Mar 13
Traditional securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	46,141 -
Credit cards and other personal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	46,141 -
Synthetic securitisations
	ANZ Originated	ANZ Self Securitised ANZ Sponsored
Underlyingasset	$M	$M $M
Residential mortgage	-	- -
Credit cards and otherpersonal loans	-	- -
Auto and equipment finance	-	- -
Commercial loans	-	- -
Other	-	- -
Total	-	- -
Aggregate of traditional and synthetic securitisations
ANZ Originated		ANZ Self Securitised ANZ Sponsored
Underlyingasset $M		$M $M
Residential mortgage -		46,141 -
Credit cards and other personal loans -		- -
Auto and equipment finance -		- -
Commercial loans -		- -
Other -		- -
Total -		46,141 -

46

ANZ Basel III Pillar 3 disclosure March 2014

Table 12(h): Banking Book: Impaired and Past due loans relating to ANZ originated securitisations

		Mar 14	Mar 14
		ANZ Self Losses recognised for the six month
	ANZ Originated	Securitised Impaired Past due ended
Underlyingasset	$M	$M $M $M $M
Residential mortgage	-	49,266 1 146 0
Credit cards and otherpersonal loans	-	- - - -
Auto and equipment finance	-	- - - -
Commercial loans	-	- - - -
Other	-	- - - -
Total	-	49,266 1 146 0
	Sep 13
	ANZ Self		Losses recognised for the six month
	ANZ Originated	Securitised Impaired Past due ended
Underlyingasset	$M	$M $M $M $M
Residential mortgage	-	46,597 1 103 0
Credit cards and other personal loans	-	- - - -
Auto and equipment finance	-	- - - -
Commercial loans	-	- - - -
Other	-	- - - -
Total	-	46,597 1 103 0
	Mar 13
	ANZ Self Losses recognised for the six month
	ANZ Originated	Securitised Impaired Past due ended
Underlyingasset	$M	$M $M $M $M
Residential mortgage	-	46,141 - 66 -
Credit cards and other personal loans	-	- - - -
Auto and equipment finance	-	- - - -
Commercial loans	-	- - - -
Other	-	- - - -
Total	-	46,141 - 66 -

47

ANZ Basel III Pillar 3 disclosure March 2014

Table 12(i): Banking Book: Total amount of outstanding exposures intended to be securitised

No assets from ANZ's Banking Book were intended to be securitised as at the reporting date.

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type and facility[26 ]

	Mar 14 Original value securitised ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M 2,670 - - - - - - - - - - - - - - 2,670 - - Notional amount $M - 433 - - - (390) 44 87	Mar 14 Original value securitised ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M 2,670 - - - - - - - - - - - - - - 2,670 - - Notional amount $M - 433 - - - (390) 44 87	Mar 14 Original value securitised ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M 2,670 - - - - - - - - - - - - - - 2,670 - - Notional amount $M - 433 - - - (390) 44 87
	ANZ Self		Recognised gain or loss on sale $M
Securitisation activity by underlying asset type ANZ Originated $M
	Securitised ANZ Sponsored
	$M $M
Residential mortgage -	2,670 -		-
Credit cards and other personal loans -	- -		-
Auto and equipment finance -	- -		-
Commercial loans -	- -		-
Other -	- -		-
Total -	2,670 -		-
			Notional amount
Securitisation activity by facility provided			$M
Liquidityfacilities			-
Fundingfacilities			433
Underwritingfacilities			-
Lendingfacilities			-
Credit enhancements			-
Holdings of securities(excludingtradingbook)			(390)
Other			44
Total			87

	Sep 13 Original value securitised ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M 456 - - - - - - - - - - - - - - 456 - - Notional amount $M - 661 - - - 150 589 1,400	Sep 13 Original value securitised ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M 456 - - - - - - - - - - - - - - 456 - - Notional amount $M - 661 - - - 150 589 1,400
	ANZ Self	Recognised gain or loss on sale $M
Securitisation activity by underlying asset type ANZ Originated $M
	Securitised ANZ Sponsored
	$M $M
Residential mortgage -	456 -	-
Credit cards and other personal loans -	- -	-
Auto and equipment finance -	- -	-
Commercial loans -	- -	-
Other -	- -	-
Total -	456 -	-
		Notional amount
Securitisation activity by facility provided		$M
Liquidityfacilities		-
Fundingfacilities		661
Underwritingfacilities		-
Lendingfacilities		-
Credit enhancements		-
Holdings of securities(excludingtradingbook)		150
Other		589
Total		1,400

26Activity represents net movement in outstandings.

48

ANZ Basel III Pillar 3 disclosure March 2014

Mar 13 Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M Residential mortgage - 642 - - Credit cards and otherpersonal loans - - - - Auto and equipment finance - - - - Commercial loans - - - - Other - - - - Total - 642 - - Securitisation activity by facility 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	Mar 13 Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M Recognised gain or loss on sale $M Residential mortgage - 642 - - Credit cards and otherpersonal loans - - - - Auto and equipment finance - - - - Commercial loans - - - - Other - - - - Total - 642 - - Securitisation activity by facility 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
Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage - 642 -	-
Credit cards and otherpersonal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 642 -	-
	Notional amount
Securitisation activity by facility provided	$M
Liquidity facilities - - -	-
Funding facilities - - -	190
Underwriting facilities - - -	-
Lending facilities - - -	-
Credit enhancements - - -	-
Holdings of securities (excluding trading book) - - -	444
Other - - -	-
Total - - -	634

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(k): Banking Book: Securitisation - Regulatory credit exposures by exposure type

	Mar 14	Sep 13 Mar 13
Securitisation exposure type - On balance sheet	$M	$M $M
Liquidity facilities	-	- -
Funding facilities	6,511	5,806 5,232
Underwriting facilities	-	- -
Lending facilities	-	- -
Credit enhancements	-	- -
Holdings of securities (excluding trading book)	2,650	3,040 2,889
Protection provided	-	- -
Other	460	589 -
Total	9,621	9,435 8,121
	Mar 14	Sep 13 Mar 13
Securitisation exposure type - Off balance sheet	$M	$M $M
Liquidity facilities	118	113 121
Funding facilities	-	- -
Underwriting facilities	-	- -
Lending facilities	-	- -
Credit enhancements	-	- -
Holdings of securities (excluding trading book)	-	- -
Protection provided	-	-
Other	-	- -
Total	118	113 121
	Mar 14	Sep 13 Mar 13
**Total Securitisation exposure type **	$M	$M $M
Liquidity facilities	118	113 121
Funding facilities	6,511	5,806 5,232
Underwriting facilities	-	- -
Lending facilities	-	- -
Credit enhancements	-	- -
Holdings of securities (excluding trading book)	2,650	3,040 2,889
Protection provided	-	- -
Other	460	589 -
Total	9,739	9,548 8,242

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(l) part (i): Banking Book: Securitisation - Regulatory credit exposures by risk weight band

	Mar 14 Sep 13 Mar 13 Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M 9,442 1,010 8,919 938 7,676 841 - - - - - - - - - - - - 144 75 155 81 148 77 82 82 88 88 80 80 29 44 33 50 33 50 - - 119 1,488 114 1,426 9,696 1,210 9,314 2,645 8,051 2,474
	Regulatory credit
Securitisation	exposure
risk weights	$M
≤ 25%	9,442
>25 ≤ 35%	-
>35 ≤ 50%	-
>50 ≤ 75%	144
>75 ≤ 100%	82
>100 ≤ 650%	29
1250% (Deduction)	-
Total	9,696

	Mar 14 Sep 13 Mar 13 Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M - - 195 39 146 29 - - - - - - - - - - - - - - - - - - 43 43 40 40 45 45 - - - - - - - - - - - - 43 43 235 79 191 74	Mar 14 Sep 13 Mar 13 Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M - - 195 39 146 29 - - - - - - - - - - - - - - - - - - 43 43 40 40 45 45 - - - - - - - - - - - - 43 43 235 79 191 74
	Regulatory credit	Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Resecuritisation	exposure	assets exposure assets exposure assets
risk weights	$M	$M $M $M $M $M
≤ 25%	-	- 195 39 146 29
>25 ≤ 35%	-	- - - - -
>35 ≤ 50%	-	- - - - -
>50 ≤ 75%	-	- - - - -
>75 ≤ 100%	43	43 40 40 45 45
>100 ≤ 650%	-	- - - - -
1250% (Deduction)	-	- - - - -
Total	43	43 235 79 191 74

	Mar 14 Sep 13 Mar 13 Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M 9,442 1,010 9,114 977 7,822 870 - - - - - - - - - - - - 144 75 155 81 148 77 125 125 128 128 125 125 29 44 33 50 33 50 - - 119 1,488 114 1,426 9,739 1,253 9,549 2,724 8,242 2,548	Mar 14 Sep 13 Mar 13 Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M 9,442 1,010 9,114 977 7,822 870 - - - - - - - - - - - - 144 75 155 81 148 77 125 125 128 128 125 125 29 44 33 50 33 50 - - 119 1,488 114 1,426 9,739 1,253 9,549 2,724 8,242 2,548
	Regulatory credit	Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Total Securitisation	exposure	assets exposure assets exposure assets
risk weights	$M	$M $M $M $M $M
≤ 25%	9,442	1,010 9,114 977 7,822 870
>25 ≤ 35%	-	- - - - -
>35 ≤ 50%	-	- - - - -
>50 ≤ 75%	144	75 155 81 148 77
>75 ≤ 100%	125	125 128 128 125 125
>100 ≤ 650%	29	44 33 50 33 50
1250%(Deduction)	-	- 119 1,488 114 1,426
Total	9,739	1,253 9,549 2,724 8,242 2,548

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(l) part (ii): Banking Book: Securitisation - Aggregate securitisation exposures deducted from Capital

No longer required under Basel III, defaulted exposures given a risk weight of 1250% no longer deducted from capital.

Table 12(m): Banking Book: Securitisations subject to early amortisation treatment

ANZ does not have any Securitisations subject to early amortisation treatment or using Standardised approach.

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(n): Banking Book: Resecuritisation - Aggregate amount of resecuritisation exposures retained or purchased

exposures retained or purchased
	Mar 14
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M		Total $M
Residential mortgage -	-		-
Credit cards and otherpersonal loans -	-		-
Auto and equipment finance -	43		43
Commercial loans -	-		-
Other -	-		-
Total -	43		43
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 -
CreditRatingLevel 2 -
Credit RatingLevel 3 -
CreditRatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total -
	Sep 13
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M		Total $M
Residential mortgage -	-		-
Credit cards and otherpersonal loans -	163		163
Auto and equipmentfinance -	40		40
Commercial loans -	-		-
Other -	32		**32 **
Total -	235		235
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 -
Credit RatingLevel 2 -
Credit RatingLevel 3 -
Credit RatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total -
	Mar 13
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M
			Total
			$M
Residential mortgage -	-		-
Credit cards and otherpersonal loans -	146		146
Auto and equipment finance -	45		45
Commercial loans -	-		-
Other -	-		-
Total -	191		191
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 -
Credit RatingLevel 2 -
Credit RatingLevel 3 -
Credit RatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total -

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ANZ Basel III Pillar 3 disclosure March 2014

Trading Book

Table 12(o): Trading Book: Traditional and synthetic securitisation exposures

No assets from ANZ's Trading Book were securitised during the reporting period.

Table 12(p): Trading Book: Total amount of outstanding exposures intended to be securitised

No assets from ANZ's Trading Book were intended to be securitised as at the reporting date.

Table 12(q): Trading Book: Securitisation - Summary of current year's activity by underlying asset type and facility

No assets from ANZ's Trading Book were securitised during the reporting period.

Table 12(r): Trading Book: Traditional and synthetic securitisation exposures

No assets from ANZ's Trading Book were securitised during the reporting period.

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(s): Trading Book: Securitisation – Regulatory credit exposures by exposure type

	Mar 14	Sep 13 Mar 13
Securitisation exposure type - On balance sheet
	$M	$M $M
Liquidityfacilities	-	- -
Fundingfacilities	-	- -
Underwritingfacilities	-	- -
Lendingfacilities	-	- -
Credit enhancements	-	- -
Holdings of securities	23	21 17
Protectionprovided	-	- -
Other	-	- -
Total	23	21 17
	Mar 14	Sep 13 Mar 13
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	-	- -
	Mar 14	Sep 13 Mar 13
Total Securitisation exposure type
	$M	$M $M
Liquidityfacilities	-	- -
Fundingfacilities	-	- -
Underwritingfacilities	-	- -
Lendingfacilities	-	- -
Credit enhancements	-	- -
Holdings of securities	23	21 17
Protectionprovided	-	- -
Other	-	- -
Total	23	21 17

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(t)(i) &Table 12(u)(i): Trading Book: Aggregate securitisation exposures subject to Internal Models Approach (IMA) and the associated Capital requirements

ANZ does not have any Securitisation exposures subject to Internal Models Approach.

Table 12(t)(ii) & Table 12(u)(ii): Trading Book: Aggregate securitisation exposures subject to APS120 and the associated Capital requirements

ANZ does not have any aggregate Securitisation exposures subject to APS120 and the associated Capital requirements.

Table 12(u)(iii): Trading Book: Securitisation - Aggregate securitisation exposures deducted from Capital

ANZ does not have any Securitisation exposures deducted from Capital.

Table 12(v): Trading Book: Securitisations subject to early amortisation treatment

ANZ does not have any Securitisation exposures subject to early amortisation or using Standardised approach.

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ANZ Basel III Pillar 3 disclosure March 2014

Table 12(w): Trading Book: Resecuritisation - Aggregate amount of resecuritisation exposures retained or purchased

	Mar 14
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M		Total $M
Residential mortgage -	-		-
Credit cards and otherpersonal loans 23	-		23
Auto and equipment finance -	-		-
Commercial loans -	-		-
Other -	-		-
Total 23	-		23
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 23
CreditRatingLevel 2 -
Credit RatingLevel 3 -
CreditRatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total 23
	Sep 13
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M		Total $M
Residential mortgage -	-		-
Credit cards and otherpersonal loans 21	-		21
Auto and equipmentfinance -	-		-
Commercial loans -	-		-
Other -	-		-
Total 21	-		21
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 21
Credit RatingLevel 2 -
Credit RatingLevel 3 -
Credit RatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total 21
	Mar 13
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M	Exposures not subject to CRM $M
			Total
			$M
Residential mortgage -	-		-
Credit cards and otherpersonal loans -	-		-
Auto and equipment finance -	-		-
Commercial loans -	-		-
Other -	-		-
Total -	-		-
Resecuritisation exposures by credit worthiness ofguarantors Exposures to Guarantors $M
Credit RatingLevel 1 -
Credit RatingLevel 2 -
Credit RatingLevel 3 -
Credit RatingLevel 4 -
Credit RatingLevel 5 or below -
No Guarantor -
Total -

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ANZ Basel III Pillar 3 disclosure March 2014

Chapter 6 – Market risk

Table 13 Market risk – Standard approach

Table 13(b): Market risk – Standard approach[27]

	Mar 14	Sep 13 Mar 13
	$M	$M $M
Interest rate risk	155	127 134
Equity position risk	4	7 7
Foreign exchange risk	-	- -
Commodity risk	4	5 3
Total	163	139 144
Risk Weighted Assets equivalent	2,038	1,738 1,800

27RWA equivalent is the capital requirement multiplied by 12.5 in accordance with APS 110.

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ANZ Basel III Pillar 3 disclosure March 2014

Table 14 Market risk – Internal models approach

Table 14(e): Value at Risk (VaR) and stressed VaRover the reporting period[28 ]

	Six months ended 31 Mar 14	Six months ended 31 Mar 14
	Mean	Maximum Minimum Period end
99% 1 Day Value at Risk(VaR)	$M	$M $M $M
Foreign Exchange	6.9	13.5 2.8 8.4
Interest Rate	7.7	16.6 3.2 9.5
Credit	3.9	5.2 2.8 2.8
Commodity	1.4	2.1 0.9 1.2
Equity	1.0	2.2 0.4 0.7

	Six months ended 30 Sep 13	Six months ended 30 Sep 13
	Mean	Maximum Minimum Period end
99% 1 Day Value at Risk(VaR)	$M	$M $M $M
Foreign Exchange	4.9	8.0 2.3 3.0
Interest Rate	6.4	11.2 3.3 3.9
Credit	4.6	8.6 3.2 4.2
Commodity	1.7	2.2 1.2 1.4
Equity	1.4	3.4 0.6 1.4

	Six months ended 31 Mar 13	Six months ended 31 Mar 13
	Mean	Maximum Minimum Period end
99% 1 Day Value at Risk(VaR)	$M	$M $M $M
Foreign Exchange	5.4	12.6 3.3 6.3
Interest Rate	5.2	11.6 2.8 8.3
Credit	3.8	5.6 2.8 3.8
Commodity	2.5	4.1 1.3 2.3
Equity	1.8	2.9 1.0 1.3

	Six months ended 31 Mar 14	Six months ended 31 Mar 14
	Mean	Maximum Minimum Period end
	$M	$M $M $M
**99% 10 DStd VR **
**ay resse a **
Foreign Exchange	33.9	90.9 10.4 42.6
Interest Rate	62.2	122.0 28.5 58.7
Credit	43.2	67.7 20.2 23.0
Commodity	8.9	24.7 3.7 11.8
Equity	3.9	29.7 0.2 7.0

Six months ended 30 Sep 13	Six months ended 30 Sep 13
Mean	Maximum Minimum Period end
99% 10 D Std VR $M	$M $M $M
ay resse a
Foreign Exchange 52.7	89.1 27.7 46.7
Interest Rate 44.2	81.6 25.7 37.3
Credit 17.8	26.8 11.7 20.8
Commodity 7.6	14.3 5.2 7.7
Equity 10.7 60.1 0.1 1.0

28The Foreign exchange VaR excludes foreign exchange translation exposures outside of the trading book.

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ANZ Basel III Pillar 3 disclosure March 2014

Chapter 7 – Equities

Table 16 Equities – Disclosures for banking book positions

Table 16(b) and 16(c): Equities – Types and nature of Banking Book investments

	Mar 14	Mar 14
Equity investments	$M
	Balance sheet value	Fair value
Value of listed (publicly traded) equities	2,166	2,493
Value of unlisted (privately held) equities	2,215	2,251
Total	4,381	4,744
	Sep 13
Equity investments	$M
	Balance sheet value	Fair value
Value of listed (publicly traded) equities	2,089 2,392
Value of unlisted (privately held) equities	2,146 2,180
Total	4,235 4,572
	Mar 13
Equity investments	$M
	Balance sheet value	Fair value
Value of listed(publiclytraded)equities	1,998 2,305
Value of unlisted(privatelyheld)equities	1,834 1,864
Total	3,832 4,169

Table 16(d) and 16(e): Equities – gains (losses)

	Half Year Half Year Half Year	Half Year Half Year Half Year
	Mar 14 Sep 13 Mar 13
Realised gains (losses) on equity investments	$M $M $M
Cumulative realised gains (losses) from disposals
	4	4 4
and liquidations in the reporting period
Cumulative realised losses from impairment and
	-	(29) (1)
writedowns in the reporting period
**Total **	4	(25) 3
	Half Year	Half Year Half Year
	Mar 14	Sep 13 Mar 13
Unrealisedgains(losses) on equity investments	$M	$M $M
Total unrealised gains (losses)	4	4 4
Reversal of prior period unrealised gains (losses) from
	-	- (1)
disposals and liquidations in the reporting period
Total unrealised gains (losses) included in Common
	4	4 3
Equity Tier 1, Tier 1 and/or Tier 2 capital

Table 16(f): Equities Risk Weighted Assets

From 1 January 2013 all banking book equity exposures are deducted from Common Equity Tier 1 capital.

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ANZ Basel III Pillar 3 disclosure March 2014

Chapter 8 – Interest Rate Risk in the Banking Book

Table 17 Interest Rate Risk in the Banking Book

Table 17(b): Interest Rate Risk in the Banking Book

	Change in Economic Value	Change in Economic Value
Standard Shock Scenario Stress Testing:	Mar 14	Sep 13 Mar 13
Interest rate shock applied	$M	$M $M
AUD
200 basis point parallel increase	(646)	(709) (479)
200 basis point parallel decrease	689	773 524
NZD
200 basis point parallel increase	(20)	(16) (5)
200 basis point parallel decrease	16	10 1
USD
200 basis point parallel increase	(14)	(34) (37)
200 basis point parallel decrease	12	16 16
GBP
200 basis point parallel increase	(2)	(3) (2)
200 basis point parallel decrease	1	1 1
Other
200 basis point parallel increase	36	47 41
200 basis point parallel decrease	12	5 (8)
IRRBB regulatory capital	1,309	1,463 1,010
IRRBB regulatory RWA	16,359	18,287 12,629

IRRBB stress testing methodology

Stress tests within ANZ include standard and extraordinary tests. These tests are used to highlight potential risk which may not be captured by VaR, and how the portfolio might behave under extraordinary circumstances. Standard stress tests include statistically derived scenarios based on historical yield curve movements. These combine parallel shocks with twists and bends in the curve to produce a wide range of hypothetical scenarios at high statistical confidence levels, with the single worst scenario identified and reported. Extraordinary stress tests include interest rate moves from historical periods of stress as well as stresses to assumptions made about the repricing term of exposures. The rate move scenarios include daily changes over the stressed periods and the worst theoretical losses over the selected periods are each reported. Stresses of the repricing term assumptions investigate scenarios where actual repricing terms are vastly different to those modelled.

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ANZ Basel III Pillar 3 disclosure March 2014

Appendix 1 – ANZ Bank (Europe) Limited

ANZ Bank (Europe) Limited (ANZBEL) is a 100% owned and controlled subsidiary of ANZ. ANZBEL is regulated by the Prudential Regulatory Authority (PRA) and the Financial Conduct Authority (FCA), formerly the Financial Services Authority (FSA). ANZBEL is subject to similar Pillar 3 requirements as ANZ, under the FCA's Prudential Source Book for Banks, Building Societies and Investment Firms (BIPRU). The FCA has granted ANZBEL a Pillar 3 Disclosure waiver direction, which can be found on the FCA website: fca.org.uk/static/fca/documents/waivers/bipru-waivers.pdf

In line with the FCA waiver direction, ANZBEL will rely on disclosures in this document to satisfy most of its Pillar 3 disclosure obligations. The following FCA requirements are not mirrored in APS 330 or included in this disclosure document, and as such are required by the FCA to be reported on an individual basis in the annual ANZBEL Statutory Accounts:

==> picture [9 x 11] intentionally omitted <==

==> picture [9 x 11] intentionally omitted <==

• BIPRU 11.5.4R (4) - Disclosure of the firm‟s minimum capital requirements covering position, foreign exchange, commodity, counterparty and concentration risks.

• BIPRU 11.5.12R – Disclosure: Market Risk.

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ANZ Basel III Pillar 3 disclosure March 2014

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 Default Swaps (CDS)	A sequence of payments by one party (often called the “Buyer”)
	in exchange for an obligation of the other party (often called
	the “Seller”) to make a payment to the buyer if a credit default
	event occurs in relation to a specified reference entity (and
	possibly a specified obligation of that reference entity).
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 thearrearsorexcessoccurs and accruing for
	each completed calendar day thereafter.
Equity risk	Is the potential loss that may be incurred on equity
	investments in the banking book.
Expected loss (EL)	Expected loss is determined based on the expected average
	annual loss of principal over the economic cycle for the current
	risk profile of the lending portfolio.
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)	Individual provision charge is the amount of expected credit
	losseson financial instruments assessed for impairment on an
	individualbasis (as opposed to on a collective basis). It takes
	into accountexpected cash flow over the lives of those financial
	instruments.

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ANZ Basel III Pillar 3 disclosure March 2014

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 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
	processes, people and systems or from external events. This
	definition includes legal risk, and the risk of reputation loss, or
	damage arising from inadequate or failed internal processes,
	people and systems, but excludes strategic 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.
Probability of Default (PD)	Probability of Default is an estimate of the level of the risk of
	borrower default.
Recoveries	Payments received and taken to profit for the current period for
	the 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 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.
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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ANZ Basel III Pillar 3 disclosure March 2014

Average Risk Weights (Credit RWA / EAD*)