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

Feb 10, 2014

ANZ Basel III Pillar 3 disclosure

December 2013 2013 BASEL III PILLAR 3 DISCLOSURE BASEL II PILLAR 3 DISCLOSURE

QUARTER ENDED 31 DECEMBER 2013 APS 330: PUBLIC DISCLOSURE

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ANZ Basel III Pillar 3 disclosure

December 2013

Important notice

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

This disclosure was prepared as at 31 December 2013. ANZ has a continuous disclosure policy, under which ANZ will immediately notify the market of any material price sensitive information concerning the Group, in accordance with legislative and regulatory disclosure requirements.

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ANZ Basel III Pillar 3 disclosure

December 2013

Scope of application

Top corporate entity

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

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

Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1	Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1	Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets1
Basel III
Dec 13 Sep 13 Jun 13
Risk weighted assets(RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 124,250 121,586 123,753
Sovereign 4,360 4,360 4,638
Bank 21,701 16,270 17,584
Residential Mortgage 49,396 47,559 46,249
Qualifying Revolving Retail 7,167 7,219 7,260
Other Retail 25,839 24,328 23,742
Credit risk weighted assets subject to Advanced IRB approach 232,713 221,322 223,226
Credit risk Specialised Lending exposures subject to slotting approach 28,359 27,640 27,436
Subject to Standardised approach
Corporate 24,281 19,285 18,175
Residential Mortgage 2,081 1,922 1,831
Qualifying Revolving Retail 1,819 1,728 1,886
Other Retail 1,070 985 1,005
Credit risk weighted assets subject to Standardised approach 29,251 23,920 22,897
Credit Valuation Adjustment2and Qualifying Central Counterparties3 9,170 8,501 9,506
Credit risk weighted assets relating to securitisation exposures 2,803 2,724 2,883
Other assets 4,083 3,544 3,537
Total credit risk weighted assets 306,379 287,651 289,485
Market risk weighted assets 5,988 4,303 5,101
Operational risk weighted assets 32,054 29,024 28,875
Interest rate risk in the banking book (IRRBB) risk weighted assets 18,264 18,287 17,323
Total risk weighted assets 362,685 339,265 340,784
Capital ratios(%)
Level 2 Common Equity Tier 1 capital ratio 7.9% 8.5% 8.0%
Level 2 Tier 1 capital ratio 9.6% 10.4% 9.5%
Level 2 Total capital ratio 11.2% 12.2% 11.4%

Credit Risk Weighted Assets (CRWA)

Total CRWA increased $18.7 billion (6.5%) from September 2013 to $306.4 billion at December 2013, including a $5.0 billion increase due to foreign currency movements. Portfolio growth contributed a further $11.0 billion, with growth in the Institutional portfolio contributing to the increase in the AIRB Bank and Corporate Asset Classes and growth in Australian mortgages portfolio contributing to the increase in the AIRB Residential Mortgage Asset Class.

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

Market Risk RWA increased $1.7 billion (39.2%) to $6.0 billion in line with increased levels of Traded Market Risk. The increases are distributed across a variety of instruments and portfolios.

The increase in Operational Risk RWA is reflective of our business growth and recognises global and local industry trends.

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

2 Credit Value Adjustment (CVA) is the capital charge on over the counter (OTC) derivative assets.

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

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ANZ Basel III Pillar 3 disclosure

December 2013

Table 4 Credit risk exposures

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

	Dec 13
	Basel III Average Exposure Individual provision
	Risk Weighted Exposure at Default for charge for Write-offs for
	Assets at Default three months three months three months
**Advanced IRBapproach **	$M $M $M $M $M
Corporate	124,250 235,007 229,547 4 90
Sovereign	4,360 87,383 80,615 - -
Bank	21,701 113,981 108,309 - -
Residential Mortgage	49,396 282,271 278,513 3 8
Qualifying Revolving Retail	7,167 21,199 21,187 51 70
Other Retail	25,839 37,806 37,420 79 89
Total Advanced IRB approach	232,713 777,647 755,591 137 257
Specialised Lending	28,359 32,877 32,475 (2) 16
Standardised approach
Corporate	24,281 26,181 22,969 3 3
Residential Mortgage	2,081 5,670 5,431 1 8
Qualifying Revolving Retail	1,819 1,812 1,767 5 11
Other Retail	1,070 1,064 1,022 13 16
**Total Standardised approach **	29,251 34,727 31,189 22 38
Credit Valuation Adjustment and
	9,170 6,976 6,023 - -
Qualifying Central Counterparties
Total	299,493 852,227 825,278 157 311

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

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

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ANZ Basel III Pillar 3 disclosure

December 2013

				Sep 13
				Average	Individual
		Basel III		Exposure	provision
		Risk Weighted	Exposure	at Default for	charge for	Write-offs for
		Assets	at Default	three months	three months	three months
	Advanced IRB approach	$M	$M	$M	$M	$M
	Corporate	121,586	224,087	215,887	168	152
	Sovereign	4,360	73,846	75,922	-	-
	Bank	16,270	102,636	102,504	-	-
	Residential Mortgage	47,559	274,755	267,154	9	19
	Qualifying Revolving Retail	7,219	21,174	21,063	53	72
	Other Retail	24,328	37,034	36,111	79	99
	Total Advanced IRB approach	221,322	733,532	718,641	309	342
	Specialised Lending	27,640	32,072	32,197	6	21
	Standardised approach
	Corporate	19,285	19,756	18,373	8	63
	Residential Mortgage	1,922	5,191	4,699	3	2
	Qualifying Revolving Retail	1,728	1,721	1,892	(3)	1
	Other Retail	985	980	1,111	11	12
	**Total Standardised approach **	23,920	27,648	26,075	19	78
	Credit Valuation Adjustment and Qualifying Central Counterparties	8,501	5,069	3,293	-	-
	Total	281,383	798,321	780,206	334	441

				Jun 13
				Average	Individual
		Basel III		Exposure	provision
		Risk Weighted	Exposure	at Default for	charge for	Write-offs for
		Assets	at Default	three months	three months	three months
	Advanced IRB approach	$M	$M	$M	$M	$M
	Corporate	123,753	225,561	216,624	57	88
	Sovereign	4,638	83,102	80,550	-	-
	Bank	17,584	121,287	111,830	-	-
	Residential Mortgage	46,249	267,421	263,487	14	32
	Qualifying Revolving Retail	7,260	21,056	21,004	62	80
	Other Retail	23,742	35,987	35,587	87	89
	Total Advanced IRB approach	223,226	754,414	729,082	220	289
	Specialised Lending	27,436	31,545	31,933	-	30
	Standardised approach
	Corporate	18,175	17,968	17,479	12	8
	Residential Mortgage	1,831	4,923	4,565	1	3
	Qualifying Revolving Retail	1,886	1,879	1,971	(4)	2
	Other Retail	1,005	999	1,121	9	20
	**Total Standardised approach **	22,897	25,769	25,136	18	33
	Credit Valuation Adjustment and Qualifying Central Counterparties	9,506	4,766	3,141	-	-
	Total	283,065	816,494	789,292	238	352

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ANZ Basel III Pillar 3 disclosure

December 2013

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

					Average for the	Average for the
					quarter ended
		Dec 13	Sep 13	Jun 13	Dec 13
**Portfolio Type **		$M	$M	$M	$M
Cash and liquid assets		50,009	38,767	47,762	44,388
Contingents liabilities, commitments, and other off-balance sheet exposures		142,518	133,668	133,304	138,093
Derivatives		96,918	90,368	103,492	93,643
Due from other financial Institutions		13,061	11,991	19,975	12,526
Investment Securities		25,613	24,207	23,484	24,910
Net Loans, Advances & Acceptances		486,905	468,000	457,813	477,453
Other assets		6,429	2,956	4,128	4,693
Trading Securities		30,774	28,364	26,536	29,569
Total exposures		852,227	798,321	816,494	825,275

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ANZ Basel III Pillar 3 disclosure

December 2013

Table 4(b): Impaired asset[6][7] , Past due loans[8] , Provisions and Write-offs

				Dec 13	Dec 13
						Individual
			Impaired	Past due	Individual	provision	Write-offs
		Impaired	loans/	loans ≥	provision	charge for	for three
		derivatives	facilities	90 days	balance	three months	months
		$M	$M	$M	$M	$M	$M
	Portfolios subject to Advanced IRB approach
	Corporate	-	2,047	377	738	4	90
	Sovereign	-	-	-	-	-	-
	Bank	-	-	-	-	-	-
	Residential Mortgage	-	371	1,054	129	3	8
	Qualifying Revolving Retail	-	79	-	-	51	70
	Other Retail	-	367	198	210	79	89
	Total Advanced IRB approach	-	2,864	1,629	1,077	137	257
	Specialised Lending	59	743	94	116	(2)	16
	Portfolios subject to Standardised approach
	Corporate	-	156	26	97	3	3
	Residential Mortgage	-	44	10	7	1	8
	Qualifying Revolving Retail	-	87	-	52	5	11
	Other Retail	-	58	3	26	13	16
	Total Standardised approach	-	345	39	182	22	38
	Credit Valuation Adjustment and	-	-	-	-	-	-
	Qualifying Central Counterparties
	Total	59	3,952	1,762	1,375	157	311

6 Impaired derivatives is net of credit valuation adjustment (CVA) of $78 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2013: $93 million; June 2013: $110 million).

7 Impaired loans / facilities include restructured items of $329 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; June 2013: $536 million).

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

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ANZ Basel III Pillar 3 disclosure

December 2013

				Sep 13	Sep 13
						Individual
			Impaired	Past due	Individual	provision	Write-offs
		Impaired	loans/	loans ≥	provision	charge for	for three
		derivatives	facilities	90 days	balance	three months	months
		$M	$M	$M	$M	$M	$M
	Portfolios subject to Advanced IRB	approach
	Corporate	2	2,286	308	790	168	152
	Sovereign	-	-	-	-	-	-
	Bank	-	-	-	-	-	-
	Residential Mortgage	-	398	1,026	134	9	19
	Qualifying Revolving Retail	-	78	-	-	53	72
	Other Retail	-	390	233	213	79	99
	Total Advanced IRB approach	2	3,152	1,567	1,137	309	342
	Specialised Lending	65	857	97	145	6	21
	Portfolios subject to Standardised approach
	Corporate	-	172	21	100	8	63
	Residential Mortgage	-	44	9	14	3	2
	Qualifying Revolving Retail	-	65	-	45	(3)	1
	Other Retail	-	58	4	26	11	12
	Total Standardised approach	-	339	34	185	19	78
	Credit Valuation Adjustment and	-	-	-	-	-	-
	Qualifying Central Counterparties
	Total	67	4,348	1,698	1,467	334	441

	Total	67	4,348	1,698	1,467	334	441
				Jun	13
						Individual
			Impaired	Past due Individual		provision	Write-offs
		Impaired	loans/	loans ≥	provision	charge for	for three
		derivatives	facilities	90 days	balance	three months	months
		$M	$M	$M	$M	$M	$M
	Portfolios subject to Advanced IRB	approach
	Corporate	9	2,228	289	757	57	88
	Sovereign	-	-	-	-	-	-
	Bank	-	-	-	-	-	-
	Residential Mortgage	-	427	989	144	14	32
	Qualifying Revolving Retail	-	90	-	-	62	80
	Other Retail	-	391	240	211	87	89
	Total Advanced IRB approach	9	3,136	1,518	1,112	220	289
	Specialised Lending	66	937	103	157	-	30
	Portfolios subject to Standardised approach
	Corporate	2	281	37	161	12	8
	Residential Mortgage	-	17	11	13	1	3
	Qualifying Revolving Retail	-	67	-	48	(4)	2
	Other Retail	-	51	4	28	9	20
	Total Standardised approach	2	416	52	250	18	33
	Total	77	4,489	1,673	1,519	238	352

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ANZ Basel III Pillar 3 disclosure

December 2013

Table 4(c): Specific Provision Balance and General Reserve for Credit Losses[9]

			Dec 13
		Specific Provision	General Reserve for
		Balance	Credit Losses	Total
		$M	$M	$M
	Collective Provision	339	2,617	2,956
	Individual Provision	1,375	-	1,375
	Total Provision for Credit Impairment			4,331
			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
			Jun 13
		Specific Provision	General Reserve for
		Balance	Credit Losses	Total
		$M	$M	$M
	Collective Provision	368	2,524	2,892
	Individual Provision	1,519	-	1,519
	Total Provision for Credit Impairment			4,411

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

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ANZ Basel III Pillar 3 disclosure

December 2013

Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and facility[10]

Dec 13

	Original value securitised	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	- 2,225 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 2,225 -	-

Securitisation activity by facility provided
					Notional amount
					$M
Liquidity facilities	-	-	-		-
Funding facilities	-	-	-		454
Underwriting facilities	-	-	-		-
Lending facilities	-	-	-		-
Credit enhancements	-	-	-		-
Holdings of securities (excluding trading book)	-	-	-		(150)
Other	-	-	-		-
Total	-	-	-		304

Sep 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	- 456 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 456 -	-
Securitisation activity by facility provided
		Notional amount
		$M
Liquidity facilities	- - -	-
Funding facilities	- - -	661
Underwriting facilities	- - -	-
Lending facilities	- - -	-
Credit enhancements	- - -	-
Holdings of securities (excluding trading book)	- - -	150
Other	- - -	589
Total	- - -	1400

10 Activity represents net movement in outstandings.

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ANZ Basel III Pillar 3 disclosure

December 2013

Jun 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 - 577 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 577 -	-
Securitisation activity by facility provided
	Notional amount
	$M
Liquidity facilities - - -	-
Funding facilities - - -	(103)
Underwriting facilities - - -	-
Lending facilities - - -	-
Credit enhancements - - -	-
Holdings of securities (excluding trading book) - - -	(30)
Other - - -	596
Total - - -	463

Table 5(a) part (ii): Trading Book - Summary of current period's activity by underlying asset type and facility

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

Securitisation activities:

ANZ’s key securitisation activities are:

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

• Securitisation of third-party originated assets.

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

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

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ANZ Basel III Pillar 3 disclosure

December 2013

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

	Dec 13 Sep 13 Jun 13
Securitisation exposure type - On balance sheet	$M $M $M
Liquidity facilities	- - -
Funding facilities	6,735 5,806 5,124
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	2,890 3,040 2,859
Protection provided	- - -
Other	429 589 596
Total	10,054 9,435 8,579
	Dec 13 Sep 13 Jun 13
Securitisation exposure type - Off balance sheet	$M $M $M
Liquidity facilities	124 113 119
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	- - -
Protection provided	- - -
Other	- - -
Total	124 113 119
	Dec 13 Sep 13 Jun 13
Total Securitisation exposure type	$M $M $M
Liquidity facilities	124 113 119
Funding facilities	6,735 5,806 5,124
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	2,890 3,040 2,859
Protection provided	- - -
Other	429 589 596
Total	10,178 9,548 8,698

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ANZ Basel III Pillar 3 disclosure

December 2013

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

	Dec 13 Sep 13 Jun 13
Securitisation exposure type - On balance sheet	$M $M $M
Liquidity facilities	- - -
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities	11 21 2
Protection provided	- - -
Other	- - -
Total	11 21 2
	Dec 13 Sep 13 Jun 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	- - -
	Dec 13 Sep 13 Jun 13
Total Securitisation exposure type	$M $M $M
Liquidity facilities	- - -
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities	11 21 2
Protection provided	- - -
Other	- - -
Total	11 21 2

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ANZ Basel III Pillar 3 disclosure

December 2013

Glossary

Collective provision (CP) Collective provision is the provision for credit losses that are inherent in the portfolio but not able to be individually identified. A collective provision may only be recognised when a loss event has already occurred. Losses expected as a result of future events, no matter how likely, are not recognised. Credit exposure The aggregate of all claims, commitments and contingent liabilities arising from on- and off-balance sheet transactions (in the banking book and trading book) with the counterparty or group of related counterparties. Credit risk The risk of financial loss resulting from the failure of ANZ’s customers and counterparties to honour or perform fully the terms of a loan or contract. Credit Valuation Adjustment (CVA) Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value to take into account the impact of counterparty credit quality. The methodology calculates the present value of expected losses over the life of the financial instrument as a function of probability of default, loss given default, expected credit risk exposure and an asset correlation factor. Impaired derivatives are also subject to a CVA. Days past due The number of days a credit obligation is overdue, commencing on the date that the arrears or excess occurs and accruing for each completed calendar day thereafter. Exposure at Default (EAD) Exposure At Default is defined as the expected facility exposure at the date of default. Impaired assets (IA) Facilities are classified as impaired when there is doubt as to whether the contractual amounts due, including interest and other payments, will be met in a timely manner. Impaired assets include impaired facilities, and impaired derivatives. Impaired derivatives have a credit valuation adjustment (CVA), which is a market assessment of the credit risk of the relevant counterparties. Impaired loans (IL) Impaired loans comprise of drawn facilities where the customer’s status is defined as impaired. Individual provision charge (IPC) Impaired provision charge is the amount of expected credit losses on financial instruments assessed for impairment on an individual basis (as opposed to on a collective basis). It takes into account expected cash flows over the lives of those financial instruments. Individual provisions (IP) Individual provisions are assessed on a case-by-case basis for all individually managed impaired assets taking into consideration factors such as the realisable value of security (or other credit mitigants), the likely return available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved in recovery, the market price of the exposure in secondary markets and the amount and timing of expected receipts and recoveries. 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.

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ANZ Basel III Pillar 3 disclosure

December 2013

Operational risk	The risk of loss resulting from inadequate or failed internal
	controls or from external events, including legal risk but
	excluding reputation risk.
Past due facilities	Facilities where a contractual payment has not been met or the
	customer is outside of contractual arrangements are deemed
	past due. Past due facilities include those operating in excess of
	approved arrangements or where scheduled repayments are
	outstanding but do not include impaired assets.
Recoveries	Payments received and taken to profit for the current period for
	the amounts written off in prior financial periods.
Restructured items	Restructured items comprise facilities in which the original
	contractual terms have been modified for reasons related to the
	financial difficulties of the customer. Restructuring may consist
	of reduction of interest, principal or other payments legally due,
	or an extension in maturity materially beyond those typically
	offered to new facilities with similar risk.
Risk Weighted Assets (RWA)	Assets which are weighted for credit risk according to a set
	formula (APS 112/113).
Securitisation risk	The risk of credit related losses greater than expected due to a
	securitisation failing to operate as anticipated, or of the values
	and risks accepted or transferred, not emerging as expected.
Write-Offs	Facilities are written off against the related provision for
	impairment when they are assessed as partially or fully
	uncollectable, and after proceeds from the realisation of any
	collateral have been received. Where individual provisions
	recognised in previous periods have subsequently decreased or
	are no longer required, such impairment losses are reversed in
	the current period income statement.

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