2015

BASEL III PILLAR 3 DISCLOSURE AS AT 31 MARCH 2015 APS 330: PUBLIC DISCLOSURE

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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 2015. 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.

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 ........................................................................ 7
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

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

Chapter 1 – Highlights

Common Equity Tier 1 (CET1) Ratios

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12.7% 12.4%
12.2%
--------------------------------------------------------------------------------------------
3.5% Capital
Conservation
Buffer
-------------------------------------------------------------------------------------------- 8.3% 8.8% . 8.7%
4.5% CET1
Minimum
Mar 14 Sep 14 Mar 15
Internationally Comparable Basel III
APRA Basel III
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Stable CET1 ratio in 1H15.

Capital levels will grow organically in the lead up to the introduction of the higher capital requirement for D-SIB's in 2016.
The Capital Conservation Buffer includes a 1% D-SIB requirement from January 2016.

**Exposure at Default* ($bn)**

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Growth in EAD of 11% HoH to $990.6bn in 1H15

Included in the $99.9bn increase is FX impacts of $36bn
Growth driven predominately by increases in the Sovereign +$26bn and Corporate +$23bn asset classes.

* Exposure at Default does not include Securitisation, Equities or Other Assets. It represents gross credit exposure without offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

Impaired Assets ($m)

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Impaired Assets continue to trend downward

Impaired Loans/Facilities decreased by 5% HoH and 23% YoY.

Provision Ratios (Provision / Credit RWA)

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Provision coverage remains appropriate

The total provision ratio at 1.19% and collective provision ratio at 0.86% continues to provide conservative coverage given ongoing improvement in credit quality.

Movement in Credit Risk Weighted Assets ($bn)

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15.4 (2.4) 339.7
1.7
16.1
308.9
Sep 14 Growth Portfolio Data FX Risk Mar 15
Review Impact
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Average Risk Weights (Credit RWA / EAD)
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Credit Risk Weighted Assets (CRWA) up by $30.8bn HoH

Growth in CRWA has been driven by increases in the Corporate, Bank and Residential Mortgages Basel Asset Classes.
FX impact driven by the depreciation of the AUD against most of the major currencies.

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Mar-14 Sep-14 Mar-15 84% 81%
58%
52%
17%
12% 12%
Other
Corporate Bank & Sovereign Residential Mortgage QRR & Other Retail Specialised Lending Standardised
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* Exposure at Default represents gross credit exposure without offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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 semi-annual disclosure.

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 Financial Report and in Pillar 1 returns provided to APRA. In addition ANZ’s external auditor has performed agreed procedures with respect to these disclosures.

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:

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.

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

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 of this chapter 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 in this chapter 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 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 chapter.

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.

Table 1 Common disclosure template

					Mar 15 $M	Reconciliation Table Reference
Common Equity Tier 1 Capital: instruments and reserves
1	Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital				24,258	Table A
2	Retained earnings				24,549	Table B
3	Accumulated other comprehensive income (and other reserves)				2,272	Table C
4	Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned companies)
5	Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)				57	Table D
6 Common Equity Tier 1 capital before regulatory adjustments					51,136
Common Equity Tier 1 capital : regulatory adjustments
7	Prudential valuation adjustments				-
8	Goodwill (net of related tax liability)				4,354	Table E
9	Other intangibles other than mortgage servicing rights (net of related tax liability)				4,764	Table F
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability)				12	Table J
11	Cash-flow hedge reserve				325
12	Shortfall of provisions to expected losses				374	Table G
13	Securitisation gain on sale (as set out in paragraph 562 of Basel II framework)				-
14	Gains and losses due to changes in		own credit risk	on fair valued liabilities	(25)
15	Defined benefit superannuation fund net assets				82	Table H
16	Investments in own shares (if not already netted off paid-in capital on reported balance sheet)				-
17	Reciprocal cross-holdings in common equity				-
	Investments in the capital of banking, financial and insurance entities that are outside the scope of
18	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)
	Significant investments in the ordinary shares of			banking, financial and insurance entities that are
19	outside the scope of regulatory consolidation, net of eligible short positions (amount above 10%				1,862	Table I
	threshold)
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)				-
22	Amount exceeding the 15% threshold				-
23		of which: significant investments in the ordinary shares of financial entities			-
24		of which: mortgage servicing rights			n/a
25		of which: deferred tax assets arising from temporary differences			-
26	National specific regulatory adjustments (sum of rows 26a, 26b, 26c, 26d, 26e, 26f, 26g, 26h, 26i and 26j)				5,651
26a		of which: treasury shares			-
26b		of which: offset to dividends declared under a dividend reinvestment plan (DRP), to the extent that the dividends are used to purchase new ordinary shares issued by the ADI			-
26c		of which: deferred fee income			(397)
26d		of which: equity investments in financial institutions not reported in rows 18, 19 and 23			4,178	Table I
26e		of which: deferred tax assets not reported in rows 10, 21 and 25			598	Table J
26f		of which: capitalised expenses			1,197	Table K
26g		of which: investments in commercial (non-financial) entities that are deducted under APRA prudential requirements			36	Table L
26h		of which: covered bonds in excess of asset cover in pools			-
26i		of which: undercapitalisation of a non-consolidated subsidiary			-
26j		of which: other national specific	regulatory adjustments not reported in rows 26a to 26i		39
27	Regulatory adjustments applied to Common Equity 2 to cover deductions			Tier 1 due to insufficient Additional Tier 1 and Tier	-
28	Total regulatory adjustments to Common Equity Tier 1				17,399
29	Common Equity Tier 1 Capital (CET1)				33,737

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34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiarie and held by third parties (amount allowed in group AT1)	34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiarie and held by third parties (amount allowed in group AT1)
35 of which: instruments issued by subsidiaries subject to phase out
36 Additional Tier 1 Capital before regulatory adjustments

Additional Tier 1 Capital: regulatory adjustments
37 Investments in own Additional Tier 1 instruments
38 Reciprocal cross-holdings in Additional Tier 1 instruments
Investments in the capital of banking, financial and insurance entities that are outside the scope of
39 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)

40 Significant investments in the capital of banking, financial and insurance entities that are outside the scoe of relator consolidation (net of eliible short ositions)
p guy g p
41 National specific regulatory adjustments (sum of rows 41a, 41b and 41c)
41a of which: holdings of capital instruments in group members by other group members on behalf of third parties
41b of which: investments in the capital of financial institutions that are outside the scope of regulatory consolidations not reported in rows 39 and 40
41c of which: other national specific regulatory adjustments not reported in rows 41a and 41b
42 Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions
43 Total regulatory adjustments to Additional Tier 1 capital
44 Additional Tier 1 capital (AT1)
45 Tier 1 Capital (T1=CET1+AT1)

Tier 2 Capital: instruments and provisions
46 Directly issued qualifying Tier 2 instruments
47 Directly issued capital instruments subject to phase out from Tier 2
48 Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group T2)
49 of which: instruments issued by subsidiaries subject to phase out
50 Provisions
51 Tier 2 Capital before regulatory adjustments

Tier 2 Capital: regulatory adjustments
52 Investments in own Tier 2 instruments
53 Reciprocal cross-holdings in Tier 2 instruments
Investments in the Tier 2 capital of banking, financial and insurance entities that are outside the
54 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)
55 Significant investments in the Tier 2 capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions
56 National specific regulatory adjustments (sum of rows 56a, 56b and 56c)
56a of which: holdings of capital instruments in group members by other group members on behalf of third parties
56b of which: investments in the capital of financial institutions that are outside the scope of regulatory consolidation not reported in rows 54 and 55

56c of which: other national specific regulatory adjustments not reported in rows 56a and 56b	-
57 Total regulatory adjustments to Tier 2 capital	143
58 Tier 2 capital (T2)	7,717
59 Total capital (TC=T1+T2)	48,806
60 Total risk-weighted assets based on APRA standards	386,863

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			Mar 15	Reconciliation Table
			$M	Reference
Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of risk-weighted assets)		8.7%
62	Tier 1 (as a percentage of risk-weighted assets)		10.6%
63	Total capital (as a percentage of risk-weighted assets)		12.6%
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		of which: capital conservation buffer requirement	2.5%
66		of which: ADI-specific countercyclical buffer requirements	n/a
67		of which: G-SIB buffer requirement (not applicable)	n/a
68 Common Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets)			4.2%
National minima (if different from Basel III)
69 National Common Equity Tier 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			101
73 Significant investments in the ordinary shares of financial entities			4,126	Table I
74 Mortgage servicing rights (net of related tax liability)			n/a
75 Deferred tax assets arising from temporary differences (net of related tax liability)			598	Table J
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)			249
77 Cap on inclusion of provisions in Tier 2 under standardised approach			532
78 Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)			-
79 Cap for inclusion of provisions in Tier 2 under internal ratings-based approach			1,783
Capital		instruments subject to phase-out arrangements (only application between 1 January
2018 to		1 January 2022)
80 Current cap on CET1 instruments subject to phase out arrangements			n/a
81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities?			n/a
82 Current cap on AT1 instruments subject to phase out arrangements			4,187
83 Amount excluded from AT1 instruments due to cap (excess over cap after redemptions and maturities)			-
84 Current cap on T2 instruments subject to phase out arrangements			4,809
85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)			(1,207)

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.

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	46,004	3	46,007
Settlement balances owed to ANZ	22,570	-	22,570
Collateral Paid	10,707	-	10,707
Trading securities	51,386	(2)	51,384
of which: Financial Institutions capital instruments			10	Table N
of which: Financial Institutions equity investments less			2	Table I
than 10%
of which: Investments in the capital of financial institutions			48	Table N
Derivative financial instruments	73,580	(4)	73,576
Available-for-sale assets	38,336	(1,248)	37,088
of which: Financial institutions equity instruments			21	Table I
of which: Other entities equity investments			22	Table L
Net loans and advances	558,203	(169)	558,034
of which: deferred fee income			(397)	Row 26c
of which: collective provision			(2,914)	Table G
of which: individual provisions			(1,114)	Table G
of which: capitalised brokerage			1,127	Table K
of which: Financial Institutions equity exposures			9	Table I
of which: Other equity exposures			8	Table L
of which: CET1 margin lending adjustment			39	Row 26j
of which: T2 margin lending adjustment			1	Table M
Regulatory deposits	1,804	-	1,804
Due from controlled entities	-	105	105
of which: Significant investments in the Tier 2 capital of			85	Table N
banking, financial and insurance entities that are outside
the scope of regulatory consolidation
Shares in controlled entities	-	3,810	3,810
of which: Investment in deconsolidated financial			3,725	Table I
subsidiaries
of which: AT1 significant investment in banking, financial			85	Table M
and insurance entities that are outside the scope of
regulatory consolidation
Investment in associates	5,315	(2)	5,313
of which: Financial Institutions			5,307	Table I
of which: Other Entities			6	Table L
Current tax assets	38	-	38
Deferred tax assets	162	298	460	Table J
of which: Deferred tax assets that rely on future			12	Table J
profitability
Goodwill and other intangible assets	8,384	(2,032)	6,352
of which: Goodwill			3,644	Table E
of which: Software			2,688	Table F
of which: other intangible assets			20	Table F
Investments backing policy liabilities	36,495	(36,495)	-
Other assets	4,900	(1,381)	3,519
of which: Defined benefit superannuation fund net assets			102
Premises and equipment	2,203	(2)	2,201
Total Assets	860,087	(37,119)	822,968

	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	7,759	-	7,759
Collateral Received	4,844	-	4,844
Deposits and other borrowings	567,215	5,355	572,570
Derivative financial instruments	73,210	(2)	73,208
Due to controlled entities	-	854	854
Current tax liabilities	123	(3)	120
Deferred tax liabilities	322	(365)	(43)	Table J
of which: related to intangible assets			61	Table F
of which: related to capitalised expenses			7	Table K
of which: related to defined benefit super assets			20	Table H
Policy liabilities	36,820	(36,820)	-
External unit holder liabilities (life insurance funds)	3,489	(3,489)	-
Payables and other liabilities	10,999	(1,237)	9,762
Provisions	1,128	(88)	1,040
Bonds and notes	85,664	(740)	84,924
Loan Capital	16,463	15	16,478
of which: Directly issued qualifying Additional Tier 1 instruments			4,149	Table M
of which: Directly issued capital instruments subject to phase out from Additional Tier 1			3,304	Table M
of which: Directly issued capital instruments subject to phase out from Tier 2			5,403	Table N
of which: Directly issued qualifying Tier 2 instruments			2,802	Table N
of which: instruments issued by subsidiaries subject to phase out			820	Table N
Total Liabilities	808,036	(36,520)	771,516

Net Assets	52,051	(599)	51,452
	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	24,152	289	24,441	Table A
of which: Share reserve			183	Table A & C
Reserves	2,188	(150)	2,038	Table C
of which: Cash flow hedging reserves			325	Row 11
Retained earnings	25,616	(733)	24,883	Table B
Share capital and reserves attributable to shareholders of the Company	51,956	(594)	51,362
Non-controllinginterest	95	(5)	90	Table D
Total shareholders’ equity	52,051	(599)	51,452

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

		Mar 15	Table 1
Table	A	$M	Reference
Issued capital		24,441
less Reclassification to reserves		(183)	Table C
Regulatory Directly Issued qualifying ordinary shares		24,258	Row 1
		Mar 15	Table 1
Table	B	$M	Reference
Retained earnings		24,883
less Regulatory reclassification from significant investments in the ordinary shares of banking, financial and insurance entities outside the scope of regulatory consolidation		(218)	Table I
less Foreign exchange gain on redemption of preference shares		(116)
Retained earnings		24,549	Row 2
		Mar 15	Table 1
Table	C	$M	Reference
Reserves		2,038
add Reclassification from Issued Capital		183	Table A
add Foreign exchange gain on redemption of preference shares		116
less Non qualifying reserves		(65)
Reserves for Regulatory capital purposes (amount allowed in group CET1)		2,272	Row 3
		Mar 15	Table 1
Table	D	$M	Reference
Non-controlling interests		90
less Surplus capital attributable to minority shareholders		(33)
Ordinary share capital issued by subsidiaries and held by third parties		57	Row 5
		Mar 15	Table 1
Table	E	$M	Reference
Goodwill		3,644
add Goodwill component of investments in financial associates		710	Table I
Goodwill (net of related tax liability)		4,354	Row 8
		Mar 15	Table 1
Table	F	$M	Reference
Software		2,688
Other intangible assets		20
less Associated deferred tax liabilities		(61)
add Regulatory reclassification from significant investments in the ordinary shares of banking, financial and insurance entities outside the scope of regulatoryconsolidation		2,117	Table I
Other intangibles other than mortgage servicing rights (net of related tax liability)		4,764	Row 9

		Mar 15	Table 1
Table	G	$M	Reference
	Qualifying collective provision
	Collective provision	(2,914)
less	Non-qualifying collective provision	304
less	Standardised collective provision	249	Row 50
less	Non-defaulted expected loss	2,735
	Non-Defaulted: Expected Loss - Eligible Provision Shortfall	374
	Qualifying individual provision
	Individual provision	(1,114)
add	Additional individual provisions for partial write offs	(859)
less	Standardised individual provision	103
add	Collective provision on advanced defaulted	(271)
less	Defaulted expected loss	2,075
	Defaulted: Expected Loss - Eligible Provision Shortfall	-
	Gross deduction	374	Row 12
		Mar 15	Table 1
Table	H	$M	Reference
	Defined benefit superannuation fund net assets	102
	Associated deferred tax liabilities	(20)
	Defined benefit superannuation fund net of deferred tax liabilities	82	Row 15
		Mar 15	Table 1
Table	I	$M	Reference
Investment in deconsolidated financial subsidiaries		3,725
less Regulatory reclassification to Retained Earnings and Other Intangible Assets		(2,334)	Tables B & F
add Investment in financial associates		5,307
less Goodwill component of investments in financial associates		(710)	Table E
less Amount below 10% threshold of CET 1		(4,126)	Row 73
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		1,862	Row 19
(amount above 10% threshold)
add Amount below the 10% threshold of CET 1		4,126	Row 73
Investments in the capital of banking, financial and insurance entities that are outside the scope of
add regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10%		2
of the issued share capital – trading security exposures
Investments in the capital of banking, financial and insurance entities that are outside the scope of
add regulatory consolidation, net of eligible short positions, where the ADI does not own more than 10%		21
of the issued share capital - Available for Sale exposures
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%		9
of the issued share capital - Loan exposures
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%		20
of the issued share capital - Undrawn
Equity investment in financial institutions not reported in rows 18, 19 and 23		4,178	Row 26d
Deduction for equity holdings in financial institutions - APRA regulations		6,040

		Mar 15	Table 1
Table	J	$M	Reference
Deferred tax assets		460
Deferred tax liabilities		43
Deferred tax asset less deferred tax liabilities		503
less Deferred tax assets that rely on future profitability		(12)	Row 10
add Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit superannuation assets		30
add Impact of calculating the deduction on a jurisdictional basis		77
Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure Template		598	Row 26e

		Mar 15	Table 1
Table	K	$M	Reference
Capitalised brokerage costs		1,127
Capitalised debt raising expenses		30
Capitalised capital raising expenses		47
less Associated deferred tax liabilities		(7)
Capitalised expenses		1,197	Row 26f
		Mar 15	Table 1
Table	L	$M	Reference
Investments in non-financial Available for Sale equities		22
Investments in non financial associates		6
Non financial equity exposures (loans)		8
Equity exposures to non financial entities		36	Row 26g
		Mar 15	Table 1
Table	M	$M	Reference
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities		4,149
add Issue costs		42
less Surplus capital attributable to third party shareholders		(62)
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities		4,129	Row 30
Directly issued capital instruments subject to phase out from Additional Tier 1 – loan capital		3,304
add Issue costs		5
less Transitional adjustment		-
Directly issued capital instruments subject to phase out from Additional Tier 1		3,309	Row 33
Additional Tier 1 capital before regulatory adjustments		7,438	Row 36
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 40
Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatoryconsolidation,eligible shortpositions		(1)	Row 40
Additional Tier 1 capital		7,352	Row 44
		Mar 15	Table 1
Table	N	$M	Reference
Directly issued capital instruments subject to phase out from Tier 2		5,403
add Issue costs		22
less Fair value adjustment		(228)
less Transition adjustment		(1,207)
Directly issued capital instruments subject to phase out from Tier 2		3,990	Row 47
Instruments issued by subsidiaries subject to phase out from Tier 2		820
less Surplus capital attributable to third party holders		(1)
Instruments issued by subsidiaries subject to phase out from Tier 2		819	Row 49
add Directly issued qualifying Tier 2 instruments		2,802	Row 46
add Provisions		249	Table G
Tier 2 capital before regulatory adjustments		7,860	Row 51
less Investments in own Tier 2 instruments (trading limit)		(10)	Row 52
less Significant investments in the Tier 2 capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions		(85)	Row 55
less Investments in the capital of financial institutions that are outside the scope of regulatory consolidation not reported in rows 54 and 55		(48)	Row 56b
Tier 2 capital		7,717	Row 58

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

excluded from regulatory consolidation.
Entity	Activity	Total Assets	Total Liabilities
		($M)	($M)
ACN 008 647 185 Pty Ltd	Corporate	-	-
Advice for Life Pty Ltd	Advice	-	-
ANZ Insurance Broker Co Ltd	Insurance Broker	40	2
ANZ Investment Services (New Zealand) Limited	Funds Manager	31	20
ANZ Lenders Mortgage Insurance Pty Limited	Mortgage insurance	1,055	638
ANZ Life Assurance Company Pty Ltd	Insurance	3	-
ANZ New Zealand Investments Limited	Funds Manager	117	27
ANZ New Zealand Investments Nominees Limited	Trustee/Nominee	-	-
ANZ Private Equity Management Limited	Investment	-	1
ANZ Self Managed Super Limited	Investment	-	-
ANZ Specialist Asset Management Limited	Trustee/Nominee	6	-
ANZ ILP Pty Ltd	Incorporated Legal Practice	2	-
ANZ Wealth Alternative Investments Management Pty Ltd	Investment	2,636	2,633
ANZ Wealth Australia Limited	Holding Company	2,815	780
ANZ Wealth New Zealand Limited	Holding Company	492	-
ANZcover Insurance Pty Ltd	Captive-Insurance	159	6
ANZcover Insurance Private Ltd	Captive-Insurance	72	19
AUT Administration Pty Ltd	Corporate	1	-
AUT Investments Limited	Investment	6	-
Capricorn Financial Advisers Pty Ltd	Advice	-	2
Elders Financial Planning Pty Ltd	Advice	13	3
Financial Investment Network Group Pty Ltd	Advice	67	-
Financial Lifestyle Solutions Pty Limited	Advice	4	5
Financial Planning Hotline Pty Ltd	Investment	-	-
Financial Services Partners Holdings Pty Limited	Holding Company	3	-
Financial Services Partners Incentive Co Pty Limited	Investment	-	-
Financial Services Partners Management Pty Limited	Investment	-	-
Financial Services Partners Pty Ltd	Advice	3	2
FSP Funds Management Limited	Advice	1	-
FSP Group Pty Limited	Holding Company	21	2
FSP Portfolio Administration Limited	Advice	1	-
FSP Super Pty Limited	Investment	6	-
Integrated Networks Pty Limited	Holding Company	44	-
Mercantile Mutual Financial Services Pty Ltd	Investment	1	-
Millennium 3 Financial Services Group Pty Ltd	Advice	54	5
Millennium 3 Professional Services Pty Ltd	Advice	1	-
Millennium3 Financial Services Pty Ltd	Advice	27	18
Millennium3 Mortgage Platform Services Pty Limited	Advice	-	-
OASIS Asset Management Limited	Investment	34	7
OASIS Fund Management Limited	Superannuation	8	2
OneAnswer Nominees Limited	Trustee/Nominee	-	-
OnePath Administration Pty Ltd	Corporate	111	69
OnePath Custodians Pty Ltd	Investment	28	3
OnePath Financial Planning Pty Ltd	Advice	1	-
OnePath Funds Management Ltd	Investment	102	35
OnePath General Insurance Pty Ltd	Insurance	292	208
OnePath Insurance Holdings (NZ) Limited	Holding Company	358	-
OnePath Investment Holdings Pty Ltd	Investment	71	-
OnePath Life (NZ) Limited	Insurance	939	290
OnePath Life Australia Holdings Pty Ltd	Holding Company	2,529	-
OnePath Life Limited	Insurance	40,483	38,126
Polaris Financial Solutions Pty Limited	Advice	1	1
RI Advice Group Pty Ltd	Advice	18	8
RI Central Coast Pty Ltd	Advice	1	-

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

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.

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.

ratios.
	Mar 15	Sep 14	Mar 14
Risk weighted assets(RWA)	$M	$M	$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	140,451	129,087	123,743
Sovereign	5,385	4,923	4,545
Bank	22,078	20,329	20,269
Residential Mortgage	53,501	50,068	50,426
Qualifying Revolving Retail	7,775	7,546	7,260
Other Retail	31,664	26,858	26,416
Credit risk weighted assets subject to Advanced IRB approach	260,854	238,811	232,659

Credit risk Specialised Lending exposures subject to slotting approach3	31,442	29,505	28,522

Subject to Standardised approach
Corporate	27,033	23,121	26,255
Residential Mortgage	2,603	2,344	1,966
Qualifying Revolving Retail	2,080	1,908	1,796
Other Retail	1,191	1,081	1,073
Credit risk weighted assets subject to Standardised approach	32,907	28,454	31,090

Credit Valuation Adjustment and Qualifying Central Counterparties	9,630	7,394	8,065
Credit risk weighted assets relating to securitisation exposures	1,067	1,030	1,253
Other assets	3,797	3,691	3,739
Total credit risk weighted assets	339,697	308,885	305,328
Market risk weighted assets	6,042	7,048	7,104
Operational risk weighted assets	33,434	31,969	31,949
Interest rate risk in the banking book (IRRBB) risk weighted assets	7,690	13,627	16,359
Total risk weighted assets	386,863	361,529	360,740
Capital ratios(%)4
Level 2 Common Equity Tier 1 capital ratio	8.5% 7	8.2% 8	n/a 8.3%
Level 2 Tier 1 capital ratio	10.6%	10.7%	10.3%
Level 2 Total capital ratio	12.6%	12.7%	12.1%
Level 1: Extended licensed Common Equity Tier 1 capital ratio	8.8%	9.1%	8.3%
Level 1: Extended licensed entity Tier 1 capital ratio	10.9%	11.3%	10.6%
Level 1: Extended licensed entity Total capital ratio	13.1%	13.4%	12.5%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited –Common Equity Tier 1 capital ratio	10.1%	10.7%	10.7%
ANZ Bank New Zealand Limited - Tier 1 capital ratio	12.4%	11.1%	11.1%
ANZ Bank New Zealand Limited - Total capital ratio	13.3%	12.3%	12.4%

3 Specialised 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.

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

Credit Risk Weighted Assets (CRWA)

Total CRWA increased $30.8 billion (10%) from September 2014 to $339.7 billion at March 2015, including a $15.4 billion increase due to foreign currency movements. Portfolio growth contributed a further $16.1 billion, with growth in the Institutional portfolio contributing to the increase in AIRB Corporate, Standardised Corporate, Slotting and AIRB Bank asset classes. Growth in the Australian mortgages portfolio contributed to the increase in the IRB Residential Mortgage Asset Class. The increase in the IRB Other Retail Asset Class includes a reclassification of exposures from IRB Residential Mortgage Asset Class.

Market Risk, Operational Risk and IRRBB RWA

Traded Market Risk RWA for the March half was $6.04 billion, a decrease of 14% from the previous half, with lower levels of general market risk held over the half

IRRBB RWA decreased $5.9 billion (43.6%) primarily due to lower Re-pricing and Yield Curve Risk combined with an improvement in Embedded Gains.

The $1.5 billion (4.6%) increase in Operational Risk RWA is reflective of ANZ risk profile and our business growth.

Chapter 4 –Credit risk

Table 7 Credit risk – General disclosures

Table 7(b) part (i): Period end and average Exposure at Default[5][6]

			Mar 15
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs for
	Assets	at Default	for half year	half year	half year
Advanced IRB approach	$M	$M	$M	$M	$M
Corporate	140,451	271,567	260,156	144	142
Sovereign	5,385	112,983	100,165	1	-
Bank	22,078	122,594	120,741	-	-
Residential Mortgage	53,501	310,799	302,602	4	21
Qualifying Revolving Retail	7,775	21,934	21,703	89	129
Other Retail	31,664	46,120	42,783	190	206
Total Advanced IRB approach	260,854	885,997	848,150	428	498

Specialised Lending	31,442	37,525	36,237	16	21

Standardised approach
Corporate	27,033	30,201	27,838	4	16
Residential Mortgage	2,603	7,289	6,924	-	4
Qualifying Revolving Retail	2,080	2,071	1,986	(18)	25
Other Retail	1,191	1,212	1,162	25	45
Total Standardised approach	32,907	40,773	37,910	11	90

Credit Valuation Adjustment and Qualifying Central Counterparties	9,630	26,287	18,366	-	-

Total	334,833	990,582	940,663	455	609

5 Exposure 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.

6 Average 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.

			Sep 14
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs for
	Assets	at Default	for half year	half year	half year
Advanced IRB approach	$M	$M	$M	$M	$M
Corporate	129,087	248,746	239,591	156	376
Sovereign	4,923	87,346	80,994	-	-
Bank	20,329	118,889	112,581	-	-
Residential Mortgage	50,068	294,407	290,910	24	27
Qualifying Revolving Retail	7,546	21,471	21,298	100	139
Other Retail	26,858	39,445	38,993	211	211
Total Advanced IRB approach	238,811	810,304	784,367	491	753

Specialised Lending	29,505	34,949	34,459	(6)	33

Standardised approach
Corporate	23,121	25,477	27,302	8	61
Residential Mortgage	2,344	6,559	6,005	6	2
Qualifying Revolving Retail	1,908	1,900	1,845	11	23
Other Retail	1,081	1,112	1,089	32	39
Total Standardised approach	28,454	35,048	36,241	57	125

Credit Valuation Adjustment and Qualifying Central Counterparties	7,394	10,444	10,369	-	-

Total	304,164	890,745	865,436	542	911

			Mar 14
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs for
	Assets	at Default	for half year	half year	half year
Advanced IRB approach	$M	$M	$M	$M	$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
Qualifying Revolving Retail	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
Qualifying Revolving Retail	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

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

				Average for half
	Mar 15	Sep 14	Mar 14	year Mar 15
Portfolio Type	$M	$M	$M	$M
Cash	33,045	20,866	16,264	26,956
Contingents liabilities, commitments, and other off-balance sheet exposures	158,355	147,702	144,397	153,029
Derivatives	133,552	109,101	95,155	121,326
Settlement Balances	35,358	25,348	24,749	30,353
Investment Securities	32,411	25,671	23,323	29,041
Net Loans, Advances & Acceptances	551,854	519,327	498,544	535,589
Other assets	9,717	6,321	5,926	8,019
Trading Securities	36,290	36,409	31,767	36,350
Total exposures	990,582	890,745	840,125	940,663

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

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

		Mar 15
			Asia Pacific,
			Europe and
	Australia	New Zealand	Americas	Total
Portfolio Type	$M	$M	$M	$M
Corporate	148,289	49,766	103,713	301,768
Sovereign	36,638	11,413	64,932	112,983
Bank	78,955	7,326	36,313	122,594
Residential Mortgage	244,269	66,530	7,289	318,088
Qualifying Revolving Retail	21,934	-	2,071	24,005
Other Retail	33,500	12,649	1,183	47,332
Qualifying Central Counterparties	17,043	5,803	3,441	26,287
Specialised Lending	27,661	9,325	539	37,525
Total exposures	608,289	162,812	219,481	990,582

		Sep 14
			Asia Pacific,
			Europe and
	Australia	New Zealand	Americas	Total
Portfolio Type	$M	$M	$M	$M
Corporate	139,011	44,312	90,900	274,223
Sovereign	31,295	9,567	46,484	87,346
Bank	77,217	9,389	32,283	118,889
Residential Mortgage	234,879	59,528	6,559	300,966
Qualifying Revolving Retail	21,471	-	1,900	23,371
Other Retail	30,163	9,320	1,074	40,557
Qualifying Central Counterparties	8,132	1,567	745	10,444
Specialised Lending	26,562	7,865	522	34,949
Total exposures	568,730	141,548	180,467	890,745

		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
Qualifying Revolving Retail	21,124	-	1,789	22,913
Other Retail	29,106	9,474	1,025	39,605
Qualifying Central 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

Table 7(d): Industry distribution of Exposure at Default[8][9 ]

								Mar 15
	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	46,292	10,802	7,954	11,623	11,913	49,995	3,242	53,783	1,872	21,446	33,534	16,347	16,201	16,764	301,768
Sovereign	1,485	-	54	776	5	73,872	35,228	969	1	255	46	-	195	97	112,983
Bank	-	-	-	-	-	122,475	-	98	-	-	-	-	21	-	122,594
Residential Mortgage	-	-	-	-	-	-	-	-	318,088	-	-	-	-	-	318,088
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	24,005	-	-	-	-	-	24,005
Other Retail	3,546	2,751	3,910	113	2,006	645	13	1,530	20,930	1,138	1,133	4,096	1,447	4,074	47,332
Qualifying Central Counterparties	-	-	-	-	-	26,287	-	-	-	-	-	-	-	-	26,287
Specialised Lending	1,017	8	268	1,513	74	3	35	5	-	32,538	23	5	1,266	770	37,525
Total exposures	52,340	13,561	12,186	14,025	13,998	273,277	38,518	56,385	364,896	55,377	34,736	20,448	19,130	21,705	990,582
% of Total	5.3%	1.4%	1.2%	1.4%	1.4%	27.6%	3.9%	5.7%	36.8%	5.6%	3.5%	2.1%	1.9%	2.2%	100.0%

8 Property 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.

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

Sep 14	Sep 14	Sep 14
Agriculture, Forestry, Fishing & Mining Business Services Construction Electricity, Gas & Water Supply Entertainment, Leisure & Tourism Financial, Investment & Insurance Government and Official Institutions Manufacturing Personal Property Services Wholesale Trade Retail Trade Transport & Storage Other Total
Portfolio Type $M $M $M $M $M $M $M $M $M $M $M $M $M $M $M
Corporate 42,022 9,980 7,226 10,887 11,171 43,673 2,714 47,925 1,902 20,377 30,138 15,043 14,688 16,477 274,223
Sovereign 1,264 2 53 657 6 54,761 29,158 919 1 68 45 - 361 51 87,346
Bank - - - - - 118,786 - 86 - - - - 17 - 118,889
Residential Mortgage - - - - - - - - 300,966 - - - - - 300,966
Qualifying Revolving Retail - - - - - - - - 23,371 - - - - - 23,371
Other Retail 3,086 2,246 3,186 93 1,399 440 10 1,180 19,650 943 871 2,958 1,218 3,277 40,557
Qualifying Central Counterparties - - - - -	[T 10,444	- - - - - - - - 10,444
yp Specialised Lending 1,150 21 427 1,769 76 3 35 7 - 29,651 8 4 1,105 693 34,949	yp
Total exposures 47,522 12,249 10,892 13,406 12,652 228,107 31,917 50,117 345,890 51,039 31,062 18,005 17,389 20,498 890,745
% of Total 5.3% 1.4% 1.2% 1.5% 1.4% 25.6% 3.6% 5.6% 38.9% 5.7% 3.5% 2.0% 2.0% 2.3% 100.0%


Mar 14
Agriculture, Forestry, Fishing & Mining Business Services Construction Electricity, Gas & Water Supply Entertainment, Leisure & Tourism Financial, Investment & Insurance Government and Official Institutions Manufacturing Personal Property Services Wholesale Trade Retail Trade Transport & 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 Counterparties - - - - - 10,293 - - - - - - - - 10,293
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%

ANZ Basel III Pillar 3 disclosure March 2015

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

			Mar 15
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	135,762	144,147	21,681	178	301,768
Sovereign	70,592	22,753	19,638	-	112,983
Bank	66,298	54,385	1,911	-	122,594
Residential Mortgage	272	7,165	279,051	31,600	318,088
Qualifying Revolving Retail	-	-	-	24,005	24,005
Other Retail	15,475	13,726	18,131	-	47,332
Qualifying Central Counterparties	3,132	11,611	11,544	-	26,287
Specialised Lending	11,181	24,020	2,256	68	37,525
Total exposures	302,712	277,807	354,212	55,851	990,582
			Sep 14
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	123,118	131,390	19,548	167	274,223
Sovereign	53,981	19,715	13,650	-	87,346
Bank	61,810	55,135	1,944	-	118,889
Residential Mortgage	912	6,133	263,657	30,264	300,966
Qualifying Revolving Retail	-	-	-	23,371	23,371
Other Retail	13,505	13,902	13,150	-	40,557
Qualifying Central Counterparties	265	5,319	4,860	-	10,444
Specialised Lending	10,544	22,490	1,871	44	34,949
Total exposures	264,135	254,084	318,680	53,846	890,745
			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
Qualifying 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

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

ANZ Basel III Pillar 3 disclosure March 2015

Table 7(f) part (i): Impaired assets[11][12] , Past due loans[13] , Provisions and Write-offs by Industry sector

			Mar 15	Mar 15
					Individual
	Impaired	Impaired	Past due	Individual	provision	Write-offs
	derivative	loans/	loans ≥	provision	charge for	for half
	s	facilities	90 days	balance	half year	year
Industry Sector	$M	$M	$M	$M	$M	$M
Agriculture, Forestry, Fishing & Mining	-	606	221	184	41	50
Business Services	-	86	50	60	(12)	22
Construction	-	107	70	54	23	16
Electricity, gas and water supply	-	3	5	4	2	-
Entertainment Leisure & Tourism	-	103	45	26	6	9
Financial, Investment & Insurance	-	42	26	17	6	3
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	-	221	52	153	63	19
Personal	-	914	1,216	316	251	402
Property Services	3	379	171	89	15	13
Retail Trade	-	67	74	41	13	12
Transport & Storage	24	186	38	79	9	17
Wholesale Trade	-	109	30	60	27	21
Other	-	37	71	31	11	25
Total	27	2,860	2,069	1,114	455	609

11 Impaired derivatives are net of credit value adjustment (CVA) of $64 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2014: $46 million; March 2014: $80 million).

12 Impaired loans / facilities include restructured items of $146 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 2014: $67 million; March 2014: $60 million).

13 For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to impaired loans / facilities.

ANZ Basel III Pillar 3 disclosure March 2015

				Sep 14
					Individual
		Impaired	Past due	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 & Mining	2	747	207	219	53	111
Business Services	-	120	36	92	32	106
Construction	-	96	72	42	35	16
Electricity, gas and water supply	-	2	1	2	2	2
Entertainment Leisure & Tourism	-	62	35	25	18	8
Financial, Investment & Insurance	-	33	27	15	5	5
Government & Official Institutions	-	-	5	-	-	-
Manufacturing	-	215	43	107	7	38
Personal	-	905	1,072	380	322	397
Property Services	6	418	137	86	(16)	52
Retail Trade	-	71	70	41	30	52
Transport & Storage	29	179	42	81	25	16
Wholesale Trade	-	100	18	48	(1)	79
Other	-	58	63	38	30	29
Total	37	3,006	1,828	1,176	542	911

				Mar 14
					Individual
		Impaired	Past due	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 & Mining	-	968	161	280	(7)	61
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 & Insurance	-	32	23	16	18	25
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	-	245	86	122	(6)	30
Personal	-	966	1,112	394	289	370
Property Services	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

ANZ Basel III Pillar 3 disclosure March 2015

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

			Mar	15
					Individual
		Impaired	Past due	Individual	provision	Write-offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	-	1,265	288	570	144	142
Sovereign	-	1	1	4	1	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	284	1,376	99	4	21
Qualifying Revolving Retail	-	88	-	-	89	129
Other Retail	-	494	314	285	190	206
Total Advanced IRB approach	-	2,132	1,979	958	428	498

Specialised Lending	27	436	42	96	16	21
Portfolios subject to Standardised approach
Corporate	-	96	33	45	4	16
Residential Mortgage	-	42	10	14	-	4
Qualifying Revolving Retail	-	71	-	-	(18)	25
Other Retail	-	83	5	1	25	45
Total Standardised approach	-	292	48	60	11	90

QCCP	-	-	-	-	-	-

Total	27	2,860	2,069	1,114	455	609

ANZ Basel III Pillar 3 disclosure March 2015

			Sep 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 2		1,398	312 574 156 376
Sovereign -		2	13 2 - -
Bank -		-	- - - -
Residential Mortgage -		356	1,127 116 24 27
Qualifying Revolving Retail -		77	- - 100 139
Other Retail -		437	245 265 211 211
Total Advanced IRB approach 2		2,270	1,697 957 491 753

Specialised Lending 35		457	88 96 (6) 33

Portfolios subject to Standardised approach
Corporate	-	97	31 56 8 61
Residential Mortgage	-	43	9 16 6 2
Qualifying Revolving Retail	-	70	- 35 11 23
Other Retail	-	69	3 16 32 39
Total Standardised approach	-	279	43 123 57 125

Qualifying Central Counterparties	-	-	- - - -

Total	37	3,006	1,828 1,176 542 911

		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
Qualifying Revolving Retail -		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

ANZ Basel III Pillar 3 disclosure March 2015

Table 7(g): Impaired assets[14][15] , Past due loans[16] and Provisions[17] by Geography

			Mar 15
Geographic region	Impaired derivatives $M	Impaired loans/ facilities $M	Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia	27	1,684	1,798	698 1,882
New Zealand	-	537	204	197 450
Asia Pacific, Europe and America	-	639	67	219 582
Total	27	2,860	2,069	1,114 2,914

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4fii 0 0 0 0 0
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			Sep 14
Geographic region	Impaired derivatives $M	Impaired loans/ facilities $M	Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia	29	1,811	1,621	740 1,829
New Zealand	2	647	137	200 413
Asia Pacific, Europe and America	6	548	70	236 515
Total	37	3,006	1,828	1,176 2,757
4fii	0	0	0	0 0
RA

			Mar 14
Geographic region	Impaired derivatives $M	Impaired loans/ facilities $M	Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $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

14 Impaired derivatives are net of credit value adjustment (CVA) of $64 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2014: $46 million; March 2014: $80 million).

15 Impaired loans / facilities include restructured items of $146 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 2014: $67 million; March 2014: $60 million).

16 For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to impaired loans / facilities.

17 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.

ANZ Basel III Pillar 3 disclosure March 2015

Table 7(h): Provision for Credit Impairment

	Half year	Half year	Half year
	Mar 15	Sep 14	Mar 14
Collective Provision	$M	$M	$M
Balance at start of period	2,757	2,843	2,887
Charge to income statement	55	(81)	(74)
Adjustments for exchange rate fluctuations	102	(5)	30
Total Collective Provision	2,914	2,757	2,843
Individual Provision
Balance at start of period	1,176	1,470	1,467
New and increased provisions	806	846	966
Write-backs	(260)	(190)	(257)
Adjustment for exchange rate fluctuations	33	(4)	12
Discount unwind	(32)	(35)	(30)
Bad debts written off	(609)	(911)	(688)
Total Individual Provision	1,114	1,176	1,470

Total Provisions for Credit Impairment	4,028	3,933	4,313

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[18]

S
		Mar 15
	Specific Provision	General Reserve
	Balance	for Credit Losses	Total
	$M	$M	$M
Collective Provision	304	2,610	2,914
Individual Provision	1,114	-	1,114
Total Provision for Credit Impairment	1,418	2,610	4,028
		Sep 14
	Specific Provision	General Reserve
	Balance	for Credit Losses	Total
	$M	$M	$M
Collective Provision	283	2,474	2,757
Individual Provision	1,176	-	1,176
Total Provision for Credit Impairment	1,459	2,474	3,933
		Mar 14
	Specific Provision	General Reserve
	Balance	for Credit Losses	Total
	$M	$M	$M
Collective Provision	300	2,543	2,843
Individual Provision	1,470	-	1,470
Total Provision for Credit Impairment	1,770	2,543	4,313

18 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.

ANZ Basel III Pillar 3 disclosure March 2015

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[19]

Risk weight
	Mar 15	Sep 14	Mar 14
Standardised approach exposures	$M	$M	$M
0%	-	-	-
20%	710	449	486
35%	7,145	6,417	5,285
50%	237	145	555
75%	3	3	3
100%	28,384	25,131	28,429
150%	755	335	205
>150%	29	1	1
Capital deductions	-	-	-
Total	37,263	32,481	34,964
Other Asset exposures
0%	-	-	-
20%	1,030	1,100	1,092
35%	-	-	-
50%	-	-	-
75%	-	-	-
100%	3,591	3,471	3,521
150%	-	-	-
>150%	-	-	-
Capital deductions	-	-	-
Total	4,621	4,571	4,613
Specialised Lending exposures
0%	933	993	1,226
70%	13,525	12,412	12,807
90%	19,350	17,761	15,779
115%	3,413	3,606	3,380
250%	254	274	588
Total	37,475	35,046	33,780

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

ANZ Basel III Pillar 3 disclosure March 2015

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:

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	Banks20 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 Estate21 Project finance Object finance	AIRB – Supervisory Slotting22
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:

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.

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

21 Since 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.

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

ANZ Basel III Pillar 3 disclosure March 2015

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:

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 – 17.8799%
8=	Caa	CCC	17.8800 - 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 PDs, and used to allocate exposures to homogenous pools, along with LGD and EAD. ANZ also uses specialised PD master scale/mappings for the sovereign asset class, based predominantly on the corporate master scale.

ANZ Basel III Pillar 3 disclosure March 2015

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach[23][24][25 ]

				Mar	15
	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	22,237	73,537	93,376	76,150	2,410	1,680	2,177	271,567
Sovereign	91,926	16,104	1,508	3,254	158	33	-	112,983
Bank	37,605	74,157	6,883	3,914	30	5	-	122,594
Total	151,768	163,798	101,767	83,318	2,598	1,718	2,177	507,144
% of Total	29.9%	32.3%	20.1%	16.4%	0.5%	0.3%	0.4%	100.0%
Undrawn commitments (included in above)
Corporate	5,879	22,127	25,879	12,448	295	168	52	66,848
Sovereign	267	339	10	7	-	-	-	623
Bank	124	155	178	10	-	-	-	467
Total	6,270	22,621	26,067	12,465	295	168	52	67,938
Average Exposure at Default
Corporate	7.043	3.996	1.554	0.415	0.541	0.231	0.695	0.924
Sovereign	122.513	236.323	25.649	20.334	6.859	2.570	-	104.356
Bank	24.864	5.514	5.293	5.303	7.403	0.268	-	7.252
Exposure-weighted average Loss Given Default			(%)
Corporate	56.9%	58.9%	50.0%	41.2%	38.2%	44.1%	39.8%	49.8%
Sovereign	2.4%	2.6%	46.0%	49.9%	75.9%	25.7%	-	4.6%
Bank	63.0%	63.3%	69.4%	69.9%	75.0%	71.3%	-	64.2%
Exposure-weighted average risk weight (%)
Corporate	19.0%	35.4%	56.7%	73.8%	127.9%	207.0%	138.7%	56.3%
Sovereign	0.4%	0.9%	52.8%	112.5%	249.3%	136.8%	-	5.1%
Bank	21.7%	25.6%	77.1%	127.0%	226.0%	328.2%	-	35.6%

23 In 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).

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

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

ANZ Basel III Pillar 3 disclosure March 2015

				Sep	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	17,251	64,350	88,791	71,990	3,160	960	2,244	248,746
Sovereign	80,823	2,037	1,446	2,808	200	32	-	87,346
Bank	40,382	69,377	6,064	3,028	31	7	-	118,889
Total	138,456	135,764	96,301	77,826	3,391	999	2,244	454,981
% of Total	30.4%	29.9%	21.2%	17.1%	0.7%	0.2%	0.5%	100.0%
Undrawn commitments (included in		above)
Corporate	5,598	20,323	23,885	12,125	389	77	72	62,469
Sovereign	516	229	13	46	-	-	-	804
Bank	136	185	342	17	-	-	-	680
Total	6,250	20,737	24,240	12,188	389	77	72	63,953
Average Exposure at Default
Corporate	6.031	3.058	1.442	0.397	0.577	0.159	0.654	0.847
Sovereign	106.126	39.492	24.863	17.440	9.548	2.276	-	80.964
Bank	23.195	3.489	4.338	3.966	0.996	0.315	-	5.216
Exposure-weighted average Loss Given Default			(%)
Corporate	57.8%	58.7%	50.0%	40.5%	39.0%	41.0%	40.0%	49.3%
Sovereign	2.4%	7.2%	45.3%	51.2%	74.5%	26.1%	-	5.1%
Bank	62.8%	63.2%	69.2%	69.1%	74.0%	64.8%	-	63.9%
Exposure-weighted average risk weight (%)
Corporate	18.9%	34.8%	56.4%	72.8%	116.1%	178.2%	138.2%	56.1%
Sovereign	0.5%	3.7%	49.7%	116.2%	221.1%	125.3%	-	5.9%
Bank	21.4%	25.3%	76.7%	123.2%	244.0%	273.9%	-	33.6%
				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%

ANZ Basel III Pillar 3 disclosure March 2015

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

				Mar	15
	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	70,542	130,842	26,118	67,347	9,142	4,927	1,881	310,799
Qualifying Revolving Retail	11,255	377	1,944	4,910	2,317	968	163	21,934
Other Retail	1,346	5,726	4,126	24,632	7,709	1,751	830	46,120
Total	83,143	136,945	32,188	96,889	19,168	7,646	2,874	378,853
% of Total	21.9%	36.1%	8.5%	25.6%	5.1%	2.0%	0.8%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	8,584	16,724	962	4,958	158	172	2	31,560
Qualifying Revolving Retail	8,781	376	1,267	2,212	756	121	26	13,539
Other Retail	616	2,161	1,757	3,155	274	58	10	8,031
Total	17,981	19,261	3,986	10,325	1,188	351	38	53,130
Average Exposure at Default
Residential Mortgage	0.235	0.205	0.189	0.227	0.258	0.264	0.210	0.216
Qualifying Revolving Retail	0.011	0.006	0.010	0.009	0.009	0.008	0.009	0.010
Other Retail	0.018	0.017	0.017	0.019	0.010	0.010	0.015	0.016
Exposure-weighted average Loss Given Default (%)
Residential Mortgage	19.8%	19.2%	18.9%	22.6%	20.7%	20.0%	21.3%	20.1%
Qualifying Revolving Retail	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%
Other Retail	41.5%	44.8%	55.7%	47.4%	57.0%	60.6%	50.9%	50.0%
Exposure-weighted average risk weight (%)
Residential Mortgage	5.8%	6.7%	13.5%	30.5%	76.6%	108.4%	225.8%	17.2%
Qualifying Revolving Retail	4.8%	11.2%	13.9%	38.4%	107.7%	206.0%	338.2%	35.7%
Other Retail	27.4%	34.6%	42.4%	62.8%	93.9%	175.9%	212.3%	68.7%

ANZ Basel III Pillar 3 disclosure March 2015

				Sep	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	2,612	191,293	22,625	62,459	8,463	5,224	1,731	294,407
Qualifying Revolving Retail	11,239	291	1,861	4,726	2,395	804	155	21,471
Other Retail	999	4,218	3,441	21,223	7,395	1,445	724	39,445
Total	14,850	195,802	27,927	88,408	18,253	7,473	2,610	355,323
% of Total	4.2%	55.1%	7.9%	24.9%	5.1%	2.1%	0.7%	100.0%
Undrawn commitments (included in		above)
Residential Mortgage	1,023	21,103	873	4,017	162	150	4	27,332
Qualifying Revolving Retail	8,781	290	1,204	2,053	942	97	25	13,392
Other Retail	460	1,709	1,686	2,623	317	50	8	6,853
Total	10,264	23,102	3,763	8,693	1,421	297	37	47,577
Average Exposure at Default
Residential Mortgage	0.048	0.216	0.165	0.206	0.248	0.261	0.194	0.204
Qualifying Revolving Retail	0.011	0.006	0.010	0.009	0.009	0.008	0.009	0.010
Other Retail	0.014	0.014	0.013	0.017	0.010	0.009	0.015	0.014
Exposure-weighted average Loss Given Default			(%)
Residential Mortgage	15.4%	19.5%	18.8%	22.6%	20.7%	20.0%	21.8%	20.1%
Qualifying Revolving Retail	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%
Other Retail	49.7%	50.4%	66.6%	48.1%	56.3%	63.6%	52.4%	52.2%
Exposure-weighted average risk weight (%)
Residential Mortgage	3.8%	6.4%	13.4%	30.3%	74.1%	107.7%	224.0%	17.0%
Qualifying Revolving Retail	4.9%	11.4%	14.1%	38.8%	112.8%	206.3%	330.6%	35.4%
Other Retail	33.4%	39.5%	50.6%	61.7%	87.7%	145.3%	196.5%	68.1%
				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
Qualifying Revolving Retail	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
Qualifying Revolving Retail	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
Qualifying Revolving Retail	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%
Qualifying Revolving Retail	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%
Qualifying Revolving Retail	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%

ANZ Basel III Pillar 3 disclosure March 2015

Table 9(e): Actual Losses by portfolio type

Table 9(e): Actual Losses by portfolio type
	Halfyear Mar 15
	Individual provision charge	Write-offs
Basel Asset Class	$M	$M
Corporate	144	142
Sovereign	1	-
Bank	-	-
Residential Mortgage	4	21
Qualifying Revolving Retail	89	129
Other Retail	190	206
Total Advanced IRB	428	498
Specialised Lending	16	21
Standardised approach	11	90
Total	455	609

	Halfyear Sep 14
	Individual provision charge	Write-offs
Basel Asset Class	$M	$M
Corporate	156	376
Sovereign	-	-
Bank	-	-
Residential Mortgage	24	27
Qualifying Revolving Retail	100	139
Other Retail	211	211
Total Advanced IRB	491	753
Specialised Lending	(6)	33
Standardised approach	57	125
Total	542	911

	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

ANZ Basel III Pillar 3 disclosure March 2015

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

			Mar 15
			Average	Average
	Average	Average	estimated to	Estimated	Average
	Estimated PD	Actual PD	actual EAD	LGD	Actual LGD
Portfolio Type	%	%	ratio	%	%
Corporate	1.51	0.98	1.12	40.49	27.44
Sovereign	0.38	nil	n/a	n/a	nil
Bank	0.51	0.06	-	46.0	58.3
Specialised Lending	n/a	2.14	1.11	n/a	21.58
Residential Mortgage	0.77	0.78	1.01	20.9	3.5
Qualifying Revolving Retail	2.73	2.02	1.05	73.2	72.3
Other Retail	3.56	3.65	1.06	49.6	43.1

APS 330 Table 9f compares internal credit risk estimates used in calculating regulatory capital with realised 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 requires the 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 2015. 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 2015.

The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the six years of observation being 2009 to March 2015. A ratio greater than 1.0 signifies that on average, the actual defaulted exposures are lower than the estimated exposures at the time of default.

The estimated LGD is the downturn LGD for accounts that defaulted at the beginning of each year during the observation period being 2009 to March 2013. The actual LGD is based on the average realised losses over the period for the accounts observed at beginning and defaulted during the observation period. For non-retail portfolios, the estimated and actual LGDs are based on accounts that defaulted in 2009 to March 2013. For retail portfolios, the estimated and actual LGDs are based on accounts that defaulted in 2009 to 2014 financial years. For non-retail portfolios, defaults occurring in between April 2013 and March 2015 have been excluded from the analysis to allow sufficient time for workout period. For retail portfolios, defaults occurring in 2014 have been excluded. For non-retail portfolios, actual LGD for defaults where workouts were not finalised have 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 analysis does not cover a full economic cycle

ANZ Basel III Pillar 3 disclosure March 2015

Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[26]

		Mar 15
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach			-
Corporate	30,201	461	-	1.5%
Residential Mortgage	7,289	41	-	0.6%
Qualifying Revolving Retail	2,071	-	-	0.0%
Other Retail	1,212	-	-	0.0%
Total	40,773	502	-	1.2%

		Sep 14	Sep 14
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	25,477	530	-	2.1%
Residential Mortgage	6,559	51	-	0.8%
Qualifying Revolving Retail	1,900	-	-	0.0%
Other Retail	1,112	-	-	0.0%
Total	35,048	581	-	1.7%

		Mar 14	Mar 14
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	29,128	177	-	0.6%
Residential Mortgage	5,450	43	-	0.8%
Qualifying Revolving Retail	1,789	-	-	0.0%
Other Retail	1,065	-	-	0.0%
Total	37,432	220	-	0.6%

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

ANZ Basel III Pillar 3 disclosure March 2015

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

		Mar 15
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	309,092	15,211	235	5.0%
Sovereign	112,983	470	-	0.4%
Bank	122,594	9,680	-	7.9%
Residential Mortgage	310,799	-	-	0.0%
Qualifying Revolving Retail	21,934	-	-	0.0%
Other Retail	46,120	-	-	0.0%
Total	923,523	25,361	235	2.8%
Standardised approach
Corporate	30,201	-	-	0.0%
Sovereign	-	-	-	0.0%
Bank	-	-	-	0.0%
Residential Mortgage	7,289	-	-	0.0%
Qualifying Revolving Retail	2,071	-	-	0.0%
Other Retail	1,212	-	-	0.0%
Total	40,773	-	-	0.0%

Qualifying Central Counterparties	26,287	-	-	0.0%

		Sep 14
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	283,695	17,742	233	6.3%
Sovereign	87,346	202	-	0.2%
Bank	118,889	8,027	-	6.8%
Residential Mortgage	294,407	-	-	0.0%
Qualifying Revolving Retail	21,471	-	-	0.0%
Other Retail	39,445	-	-	0.0%
Total	845,252	25,972	233	3.1%
Standardised approach
Corporate	25,477	-	-	0.0%
Sovereign	-	-	-	0.0%
Bank	-	-	-	0.0%
Residential Mortgage	6,559	-	-	0.0%
Qualifying Revolving Retail	1,900	-	-	0.0%
Other Retail	1,112	-	-	0.0%
Total	35,049	-	-	0.0%

Qualifying Central Counterparties	10,444	-	-	0.0%

ANZ Basel III Pillar 3 disclosure March 2015

		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%
Qualifying Revolving Retail	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%

ANZ Basel III Pillar 3 disclosure March 2015

Chapter 5 – Securitisation

Banking Book

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

		Mar 15
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	75,523	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	75,523	-

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	-	75,523	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	75,523	-

ANZ Basel III Pillar 3 disclosure March 2015

		Sep 14
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	74,688	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	74,688	-

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	-	74,688	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	74,688	-
		Mar 14
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	49,266	-
Credit cards and other personal 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 other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	49,266	-

ANZ Basel III Pillar 3 disclosure March 2015

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

			Mar 15
					Losses recognised
		ANZ Self			for the six month
	ANZ Originated	Securitised	Impaired	Past due	ended
Underlyingasset	$M	$M	$M	$M	$M
Residential mortgage	-	75,523	-	31	-
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	-	75,523	-	31	-

			Sep 14
					Losses recognised
		ANZ Self			for the six month
	ANZ Originated	Securitised	Impaired	Past due	ended
Underlyingasset	$M	$M	$M	$M	$M
Residential mortgage	-	74,688	1	28	-
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	-	74,688	1	28	-

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

ANZ Basel III Pillar 3 disclosure March 2015

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[27 ]

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type and facility27	Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type and facility27
Mar 15
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 - 835 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 835 -	-

	Notional amount
Securitisation activity by facility provided	$M
Liquidity facilities	-
Funding facilities	12
Underwriting facilities	-
Lending facilities	-
Credit enhancements	-
Holdings of securities (excluding trading book)	875
Other	30
Total	917

Securitisation activity by facility provided
		Notional amount
		$M
Liquidity facilities		-
Funding facilities		12
Underwriting facilities		-
Lending facilities		-
Credit enhancements		-
Holdings of securities (excluding trading book)		875
Other		30
Total		917




	Sep 14

	Original value securitised
Securitisation activity by underlying asset type ANZ Originated $M	ANZ Self	Recognised gain or loss on sale $M
	Securitised ANZ Sponsored
	$M $M
Residential mortgage -	25,422 -	-
Credit cards and other personal loans -	- -	-
Auto and equipment finance -	- -	-
Commercial loans -	- -	-
Other -	- -	-
Total -	25,422 -	-

Securitisation activity by facility provided
		Notional amount
		$M
Liquidity facilities		(43)
Funding facilities		(722)
Underwriting facilities		-
Lending facilities		-
Credit enhancements		-
Holdings of securities (excluding trading book)		1,312
Other		4
Total		551

27 Activity represents net movement in outstandings.

ANZ Basel III Pillar 3 disclosure March 2015

Mar 14
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 - 2,670 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 2,670 -	-

Securitisation activity by facility provided
	Notional amount
	$M
Liquidity facilities	-
Funding facilities	433
Underwriting facilities	-
Lending facilities	-
Credit enhancements	-
Holdings of securities (excluding trading book)	(390)
Other	44
Total	87

ANZ Basel III Pillar 3 disclosure March 2015

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

	Mar 15	Sep 14	Mar 14
Securitisation exposure type - On balance sheet	$M	$M	$M
Liquidity facilities	6	-	-
Funding facilities	4,789	4,599	6,511
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	4,836	3,962	2,650
Protection provided	-	-	-
Other	315	356	460
Total	9,946	8,917	9,621
	Mar 15	Sep 14	Mar 14
Securitisation exposure type - Off balance sheet	$M	$M	$M
Liquidity facilities	76	70	118
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	76	70	118
	Mar 15	Sep 14	Mar 14
Total Securitisation exposure type	$M	$M	$M
Liquidity facilities	82	70	118
Funding facilities	4,789	4,599	6,511
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	4,836	3,962	2,650
Protection provided	-	-	-
Other	315	356	460
Total	10,022	8,987	9,739

ANZ Basel III Pillar 3 disclosure March 2015

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

	Mar 15 Sep 14 Mar 14	Mar 15 Sep 14 Mar 14	Mar 15 Sep 14 Mar 14	Mar 15 Sep 14 Mar 14
	Regulatory credit Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Securitisation	exposure assets exposure assets exposure assets
risk weights	$M $M $M $M $M $M
≤ 25%	9,891 952 8,762 853 9,442 1,010
>25 ≤ 35%	- - - - - -
>35 ≤ 50%	- - - - - -
>50 ≤ 75%	48 27 135 71 144 75
>75 ≤ 100%	76 77 71 71 82 82
>100 ≤ 650%	7 11 19 35 29 44
1250% (Deduction)	- - - - - -
Total	10,022 1,067 8,987 1,030 9,696 1,210


	Mar 15 Sep 14 Mar 14
	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%	-	-	-	- - -
>25 ≤ 35%	-	-	-	- - -
>35 ≤ 50%	-	-	-	- - -
>50 ≤ 75%	-	-	-	- - -
>75 ≤ 100%	-	-	-	- 43 43
>100 ≤ 650%	-	-	-	- - -
1250% (Deduction)	-	-	-	- - -
Total	-	-	-	- 43 43

	Mar 15	Sep 14	Mar 14
	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%	9,891 952 8,762 853 9,442 1,010
>25 ≤ 35%	- - - - - -
>35 ≤ 50%	- - - - - -
>50 ≤ 75%	48 27 135 71 144 75
>75 ≤ 100%	76 77 71 71 125 125
>100 ≤ 650%	7 11 19 35 29 44
1250% (Deduction)	- - - - - -
Total	10,022 1,067 8,987 1,030 9,739 1,253

ANZ Basel III Pillar 3 disclosure March 2015

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.

ANZ Basel III Pillar 3 disclosure March 2015

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

exposures retained or purchased
		Mar 15
	Exposures	Exposures not
	subject to CRM	subject to CRM		Total
Resecuritisation exposures retained orpurchased	$M		$M	$M
Residential mortgage	-		-	-
Credit cards and other personal loans	-		-	-
Auto and equipment finance	-		-	-
Commercial loans	-		-	-
Other	-		-	-
Total	-		-	-
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-
		Sep 14
	Exposures	Exposures not
	subject to CRM	subject to CRM		Total
Resecuritisation exposures retained orpurchased	$M		$M	$M
Residential mortgage	-		-	-
Credit cards and other personal loans	-		-	-
Auto and equipment finance	-		-	-
Commercial loans	-		-	-
Other	-		-	-
Total	-		-	-
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-
		Mar 14
	Exposures	Exposures not
	subject to CRM	subject to	CRM	Total
Resecuritisation exposures retained orpurchased	$M		$M	$M
Residential mortgage	-		-	-
Credit cards and other personal loans	-		-	-
Auto and equipment finance	-		43	43
Commercial loans	-		-	-
Other	-		-	-
Total	-		43	43
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-

ANZ Basel III Pillar 3 disclosure March 2015

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.

ANZ Basel III Pillar 3 disclosure March 2015

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

Securitisation exposure type - On balance sheet	Mar 15 $M	Sep 14 $M	Mar 14 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	10	23
Protection provided	-	-	-
Other	-	-	-
Total	-	10	23
Securitisation exposure type - Off balance sheet	Mar 15 $M	Sep 14 $M	Mar 14 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	-	-	-
Total Securitisation exposure type	Mar 15 $M	Sep 14 $M	Mar 14 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	10	23
Protection provided	-	-	-
Other	-	-	-
Total	-	10	23

ANZ Basel III Pillar 3 disclosure March 2015

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.

ANZ Basel III Pillar 3 disclosure March 2015

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

		Mar 15
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained orpurchased	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	-	-
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-
		Sep 14
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained orpurchased	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	10	-	10
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	10	-	10
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	10
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	10
		Mar 14
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained orpurchased	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	23	-	23
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	23	-	23
	Exposures to
	Guarantors
Resecuritisation exposures by credit worthiness ofguarantors	$M
Credit Rating Level 1	23
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	23

ANZ Basel III Pillar 3 disclosure March 2015

Chapter 6 – Market risk

Table 13 Market risk – Standard approach

Table 13(b): Market risk – Standard approach[28]

	Mar 15	Sep 14	Mar 14
	$M	$M	$M
Interest rate risk	132	193	155
Equity position risk	-	-	4
Foreign exchange risk	-	-	-
Commodity risk	1	4	4
Total	133	197	163

Risk Weighted Assets equivalent	1,663	2,466	2,038

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

ANZ Basel III Pillar 3 disclosure March 2015

Table 14 Market risk – Internal models approach

Table 14(e): Value at Risk (VaR) and stressed VaRover the reporting period[29 ]

		Six months ended	31 Mar 15
	Mean	Maximum	Minimum	Period end
99% 1 Day Value at Risk(VaR)	$M	$M	$M	$M
Foreign Exchange	9.0	18.2	3.3	4.6
Interest Rate	10.3	20.2	4.8	6.5
Credit	3.9	4.9	2.9	3.3
Commodity	2.3	3.5	1.3	2.2
Equity	1.3	6.3	0.4	0.6

		Six months ended	30 Sep 14
	Mean	Maximum	Minimum	Period end
99% 1 Day Value at Risk(VaR)	$M	$M	$M	$M
Foreign Exchange	11.2	18.5	5.4	11.9
Interest Rate	8.4	15.7	3.8	10.4
Credit	3.6	5.8	2.7	5.8
Commodity	1.4	2.7	0.9	1.9
Equity	1.0	2.5	0.5	1.3

		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	31 Mar 15
	Mean	Maximum	Minimum	Period end
99% 10 Day Stressed VaR	$M	$M	$M	$M
Foreign Exchange	67.7	138.7	30.9	53.7
Interest Rate	62.9	170.3	18.5	63.5
Credit	26.0	39.9	18.8	23.6
Commodity	14.3	22.2	9.7	9.8
Equity	1.2	7.3	0.3	0.7
		Six months ended	30 Sep 14
	Mean	Maximum	Minimum	Period end
99% 10 Day Stressed VaR	$M	$M	$M	$M
Foreign Exchange	73.0	171.5	22.8	81.4
Interest Rate	65.3	113.9	25.1	48.4
Credit	26.0	38.3	19.9	28.9
Commodity	14.8	44.9	3.6	10.9
Equity	12.2	42.0	0.2	0.9
		Six months ended	31 Mar 14
	Mean	Maximum	Minimum	Period end
99% 10 Day Stressed VaR	$M	$M	$M	$M
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

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

ANZ Basel III Pillar 3 disclosure March 2015

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 15
Equity investments			$M
	Balance sheet value		Fair value
Value of listed (publicly traded) equities		2,415	2,941
Value of unlisted (privately held) equities		2,940	2,940
Total		5,355	5,881
			Sep 14
Equity investments			$M
	Balance sheet value		Fair value
Value of listed (publicly traded) equities		2,341	2,656
Value of unlisted (privately held) equities		2,354	2,354
Total		4,695	5,010
			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
Table 16(d) and 16(e): Equities – gains (losses)
	Half Year	Half Year	Half Year
	Mar 15	Sep 14	Mar 14
Realisedgains(losses) on equity investments	$M	$M	$M
Cumulative realised gains (losses) from disposals and liquidations in the reporting period	-	-	4
Cumulative realised losses from impairment and
writedowns in the reporting period	-	-	-
Total	-	-	4
	Half Year	Half Year	Half Year
	Mar 15	Sep 14	Mar 14
Unrealised gains (losses) on equity investments	$M	$M	$M
Total unrealised gains (losses)	2	(2)	4
Reversal of prior period unrealised gains (losses) from
disposals and liquidations in the reporting period	-	-	-
Total unrealised gains (losses) included in Common Equity Tier 1, Tier 1 and/or Tier 2 capital	2	(2)	4

Table 16(f): Equities Risk Weighted Assets

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

ANZ Basel III Pillar 3 disclosure March 2015

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

Standard Shock Scenario Stress Testing:	Mar 15 Sep 14 Mar 14
Interest rate shock applied	$M $M $M
AUD
200 basis point parallel increase	(393) (722) (646)
200 basis point parallel decrease	455 774 689

NZD
200 basis point parallel increase	(15) (4) (20)
200 basis point parallel decrease	11 1 16

USD
200 basis point parallel increase	(53) (32) (14)
200 basis point parallel decrease	57 37 12

GBP
200 basis point parallel increase	6 0 (2)
200 basis point parallel decrease	(6) 0 1

Other
200 basis point parallel increase	(43) 13 36
200 basis point parallel decrease	50 (8) 12


IRRBB regulatory capital	615 1,090 1,309
IRRBB regulatory RWA	7,690 13,627 16,359

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.

ANZ Basel III Pillar 3 disclosure March 2015

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:

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.

ANZ Basel III Pillar 3 disclosure March 2015

Glossary

Basel III Credit Valuation CVA charge is an additional capital requirement under Basel III Adjustment (CVA) capital charge for bilateral derivative exposures. Derivatives not cleared through a central exchange/counterparty are subject to this additional capital charge and also receive normal CRWA treatment under Basel II principles. Collective provision (CP) Collective provision is the provision for credit losses that are inherent in the portfolio but not able to be individually identified. A collective provision may only be recognised when 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.

ANZ Basel III Pillar 3 disclosure March 2015

Internationally Comparable Basel	The Internationally Comparable Basel 3 CET1 ratio incorporates
III Capital	differences between APRA and both the Basel Committee Basel
	III framework (including differences identified in the March
	2014 Basel Committee Regulatory Consistency Assessment
	Programme (RCAP) on Basel III implementation in Australia)
	and its application in major offshore jurisdictions.
Market risk	The risk to ANZ’s earnings arising from changes in interest
	rates, currency exchange rates and credit spreads, or from
	fluctuations in bond, commodity or equity prices. ANZ has
	grouped market risk into two broad categories to facilitate the
	measurement, reporting and control of market risk:
	Traded market risk - the risk of loss from changes in the value
	of financial instruments due to movements in price factors for
	physical and derivative trading positions. Trading positions arise
	from transactions where ANZ acts as principal with clients or
	with the market.
	Non-traded market risk (or balance sheet risk) - comprises
	interest rate risk in the banking book and the risk to the AUD
	denominated value of ANZ’s capital and earnings due to foreign
	exchange rate movements.
Operational risk	The risk of loss resulting from inadequate or failed internal
	controls or from external events, including legal risk but
	excluding reputation risk.
Past due facilities	Facilities where a contractual payment has not been met or the
	customer is outside of contractual arrangements are deemed
	past due. Past due facilities include those operating in excess of
	approved arrangements or where scheduled repayments are
	outstanding but do not include impaired assets.
Qualifying Central Counterparties	QCCP is a central counterparty which is an entity that
(QCCP)	interposes itself between counterparties to derivative contracts.
	Trades with QCCP attract a more favorable risk weight
	calculation.
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.

ANZ Basel III Pillar 3 disclosure March 2015

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ANZ Basel III Pillar 3 disclosure March 2015

Average Risk Weights (Credit RWA / EAD*)

AI assistant

Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2015

10425_rns_2015-05-04_292552cc-503c-4e38-9991-2119b0d8a1f2.pdf

2015

Important notice

TABLE OF CONTENTS[1]

Chapter 1 – Highlights

Stable CET1 ratio in 1H15.

Exposure at Default* ($bn)

Growth in EAD of 11% HoH to $990.6bn in 1H15

Impaired Assets ($m)

Impaired Assets continue to trend downward

Provision Ratios (Provision / Credit RWA)

Provision coverage remains appropriate

Movement in Credit Risk Weighted Assets ($bn)

Credit Risk Weighted Assets (CRWA) up by $30.8bn HoH

Chapter 2 - Introduction

Purpose of this document

Basel in ANZ

Verification of disclosures

Comparison to ANZ’s Annual Report

Chapter 3 – Capital and Capital Adequacy Table 1 Common Disclosure template

Restrictions on Transfers of Capital within ANZ

Table 1 Common disclosure template

Table 2 Main features of capital instruments

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

Table 6 Capital adequacy - Capital Ratio and Risk Weighted Assets

Credit Risk Weighted Assets (CRWA)

Market Risk, Operational Risk and IRRBB RWA

Chapter 4 –Credit risk

Table 7 Credit risk – General disclosures

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

Table 7(d): Industry distribution of Exposure at Default[8][9 ]

Table 7(h): Provision for Credit Impairment

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[18]

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[19]

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

Portfolios subject to the Advanced IRB (AIRB) approach

The ANZ rating system

Table 9(e): Actual Losses by portfolio type

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

Table 10 Credit risk mitigation disclosures

Chapter 5 – Securitisation

Banking Book

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

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type and facility[27 ]

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

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

Trading Book

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

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

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

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

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

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

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

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

Chapter 6 – Market risk

Table 13 Market risk – Standard approach

Table 14 Market risk – Internal models approach

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

Table 16(f): Equities Risk Weighted Assets

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

IRRBB stress testing methodology

Appendix 1 – ANZ Bank (Europe) Limited

Glossary

More from Australia and New Zealand Banking Group Ltd.

Australia and New Zealand Banking Group Ltd. Audit Report / Information 2015

**Exposure at Default* ($bn)**