Australia and New Zealand Banking Group Ltd. - Audit Report / Information 2016

BASEL III PILLAR 3 2016 DISCLOSURE AS AT 31 MARCH 2016 APS 330: PUBLIC DISCLOSURE

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March 2016

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.

TABLE OF CONTENTS[1]

Chapter 1 – Highlights ....................................................................................................... 2
Chapter 2 – Introduction .................................................................................................... 4
Purpose of this document ............................................................................................. 4
Chapter 3 – Capital and capital adequacy ............................................................................. 5
Table 1 Common disclosure template ........................................................................ 6
Table 2 Main features of capital instruments............................................................. 16
Table 6 Capital adequacy ....................................................................................... 17
Chapter 4 – Credit risk ..................................................................................................... 19
Table 7 Credit risk – General disclosures .................................................................. 19
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
Table 11 Counterparty Credit Risk ............................................................................ 45
Chapter 5 – Securitisation ................................................................................................ 46
Table 12 Banking Book - Securitisation disclosures ..................................................... 46
Trading Book - Securitisation disclosures ...................................................... 55
Chapter 6 – Market risk .................................................................................................... 59
Table 13 Market risk – Standard approach ................................................................. 59
Table 14 Market risk – Internal models approach ........................................................ 60
Chapter 7 – Equities ....................................................................................................... 61
Table 16 Equities – Disclosures for banking book positions........................................... 61
Chapter 8 – Interest Rate Risk in the Banking Book ............................................................. 62
Table 17 Interest Rate Risk in the Banking Book ......................................................... 62
Chapter 9 – Leverage and Liquidity Ratio ........................................................................... 63
Table 18 Leverage Ratio .......................................................................................... 63
Table 19 Summary comparison of accounting assets vs. leverage ratio exposure
measure .................................................................................................. 64
Table 20 Liquidity Coverage Ratio ............................................................................. 65
Glossary.......... ............................................................................................................... 66

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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Internationally Comparable methodology aligns with APRA’s information
paper entitled International Capital Comparison Study (13 July 2015). Basel III Internationally Comparable ratios do not include an estimate of the Basel I capital floor requirement.

Higher CET1 ratio at 1H16

• Capital ratios have increased in the half to March 2016. The increase was mainly driven by higher net organic capital generation of 76bps (contributed by earnings and lower capital usage from RWA reduction in Institutional, net of increased usage in capital deductions), less payment of the September 2015 Final Dividend (net of dividend reinvestment plan).

Post CRM Exposure at Default ($bn)*

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903 889
877
Mar 15 Sep 15 Mar-16
Standardised QCCP Specialised Lending
QRR & Other Retail Residential Mortgage Bank & Sovereign
Corporate
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EAD down $14bn to $889bn for 1H16

• Growth in Residential Mortgages offset by significant decreases in Corporate, Qualifying Revolving Retail, Other Retail and Standardised Lending.

Exposure at Default does not include Securitisation, Equities or Other
Assets.

Impaired Assets ($m)

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Impaired Assets up 7% HoH

• Impaired assets increased by 7% HoH due to a small number of Australian and multi-national customer exposures due to continued weakness in the commodity sector.

ANZ Basel III Pillar 3 disclosure March 2016

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Provision Ratios (Provisions / Credit RWA)
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Provision coverage remains sound

• The Tota l Provision ratio incre a sed 0 .08% to 1 .23%, dri v en by reduction i n Credit Ri s k Weighted A ssets co m bined with an increa s e in individual p rovisions. Collective Provision r a tio remai n ed stable a t 0 .86%, an d continue s to provid e a dequate c overage.

Movement in Credit Risk Weighted Assets ($bn)

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Credit Risk Weighted Assets (CRWA) decreased by $15.5bn HoH

Dec r ease in C R WA is dri v en by decre a ses in Corporate and Stand a rdised B a sel Asset Class partially offset by Resi d ential Mortg a ges and Spec i alised Lendi n g.

• FX impact is m ainly dri v en by appre c iation of A UD against US and N Z currencies.

Average Risk Weights (Credit RWA / EAD*)

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Mar 15 S ep 15 Mar- 1 6 89% 87%
61%
58%
23%
17%
13%
Corporate Bank & Residential QRR & Ot h er Speciali s ed Oth e r Standa r dised
Sovereign Mortgage Retail Lendin g
Exposure a t Default repr e sents net cred i t exposure wit h offsets for cr e dit
risk mitigati o n such as guarantees, credit derivatives, ne t ting and finan c ial
collateral.
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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 Financial Reporting

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 financial reports. 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. The capital conservation and countercyclical buffers referred to in rows 64 to 67 commenced on 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 16 $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				28,689	Table A
2	Retained earnings				26,426	Table B
3	Accumulated other comprehensive income (and other reserves)				418	Table C
4	Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned companies)				n/a
5	Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)				58	Table D
6 Common Equity Tier 1 capital before regulatory adjustments					55,591
Common Equity Tier 1 capital : regulatory adjustments
7	Prudential valuation adjustments				-
8	Goodwill (net of related tax liability)				3,760	Table E
9	Other intangibles other than mortgage servicing rights (net of related tax liability)				4,287	Table F
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability)				5	Table J
11	Cash-flow hedge reserve				239
12	Shortfall of provisions to expected losses				600	Table G
13	Securitisation gain on sale				-
14	Gains and losses due to changes in		own credit risk	on fair valued liabilities	8
15	Defined benefit superannuation fund net assets				126	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%				2,117	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 - 26j)				6,347
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			(290)
26d		of which: equity investments in	financial institutions not reported in rows 18, 19 and 23		4,699	Table I
26e		of which: deferred tax assets not reported in rows 10, 21 and 25			788	Table J
26f		of which: capitalised expenses			1,077	Table K
26g		of which: investments in commercial (non-financial) entities that are deducted under APRA prudential requirements			30	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		43
27	Regulatory adjustments applied to CET1 due to deductions			insufficient Additional Tier 1 and Tier 2 to cover	-
28	Total regulatory adjustments to CET1				17,489
29	Common Equity Tier 1 Capital (CET1)				38,102

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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 scope of regulatory consolidation (net of eligible short positions)
41 National specific regulatory adjustments (sum of rows 41a - 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 (sums of rows 56a - 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	152
58 Tier 2 capital (T2)	8,076
59 Total capital (TC=T1+T2)	53,138
60 Total risk-weighted assets based on APRA standards	388,335

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			Mar 16	Reconciliation Table
			$M	Reference
Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of risk-weighted assets)		9.8%
62	Tier 1 (as a percentage of risk-weighted assets)		11.6%
63	Total capital (as a percentage of risk-weighted assets)		13.7%
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)		8.017%
65		of which: capital conservation buffer requirement	3.5%3
66		of which: ADI-specific countercyclical buffer requirements	0.017%
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)			5.3%
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			98
73 Significant investments in the ordinary shares of financial entities			4,657	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)			788	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)			255
77 Cap on inclusion of provisions in Tier 2 under standardised approach			468
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			1,781
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			3,589
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			4,122
85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)			1,649

Counter Cyclical Capital Buffer

Counter Cyclical Capital Buffer
Geographic breakdown of Private Sector Credit	Hong Kong	Sweden	Other	Total
Exposures	$M	$M	$M	$M
RWA for all private sector credit exposures	7,490	587	298,153	306,230
Jurisdictional buffer set by national authorities	0.625%	1.000%	0.000%	n/a
Countercyclical buffer requirement	0.015%	0.002%	0.000%	0.017%

From 1 January 2016, ADIs are required to hold capital buffers determined by the national authority of jurisdictions where they have private sector credit exposures based on credit conditions in those markets. The countercyclical capital buffer is designed to ensure that ADIs build up capital buffers when excess aggregate credit growth is judged to be associated with a build-up of system-wide risk. This additional buffer can then be released during periods of stress, to reduce the risk of the supply of credit being impacted by regulatory capital requirements. The countercyclical capital buffer is to be applied by extending the range of the capital conservation buffer, which also came into effect from 1 January 2016.

The ADI specific buffer is the weighted average of the jurisdictional buffers advised by the relevant national authorities.

3 Includes 1.0% buffer applied by APRA to ADI’s deemed as domestic systemically important.

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

	Balance	Adjustments	Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
	statements		consolidation
Assets	($m)	($m)	($m)
Cash	49,144	(3)	49,141
Settlement balances owed to ANZ	26,048	-	26,048
Collateral Paid	12,783	-	12,783
Trading securities	50,073	-	50,073
of which: Financial Institutions capital instruments			67	Table N
Derivative financial instruments	88,747	-	88,747
Available-for-sale assets	50,377	(1,320)	49,057
of which: Financial institutions equity instruments			931	Table I
of which: Other entities equity investments			20	Table L
Net loans and advances	561,768	(143)	561,625
of which: deferred fee income			(290)	Row 26c
of which: collective provision			(2,862)	Table G
of which: individual provisions			(1,238)	Table G
of which: capitalised brokerage			1,013	Table K
of which: Financial Institutions equity exposures			1	Table I
of which: Other equity exposures			3	Table L
of which: CET1 margin lending adjustment			43	Row 26j
of which: AT1 margin lending adjustment			1	Table M
Regulatory deposits	2,135	-	2,135
Due from controlled entities	-	269	269
of which: Significant investments in the Tier 2 capital of
banking, financial and insurance entities that are outside			85	Table N
the scope of regulatory consolidation
Shares in controlled entities	-	4,760	4,760
of which: Investment in deconsolidated financial subsidiaries			4,355	Table I
of which: AT1 significant investment in banking, financial
and insurance entities that are outside the scope of			405	Table M
regulatory consolidation
Shares in associates	4,213	(3)	4,210
of which: Financial Institutions			4,204	Table I
of which: Other Entities			7	Table L
Current tax assets	289	-	289
Deferred tax assets	578	112	690	Table J
of which: Deferred tax assets that rely on future profitability			5	Table J
Goodwill and other intangible assets	7,585	(1,949)	5,636
of which: Goodwill			3,380	Table E
of which: Software			2,249	Table F
of which: other intangible assets			7	Table F
Investments backing policy liabilities	34,541	(34,541)	-
Premises and equipment	2,188	(2)	2,186
Other assets	4,809	(1,416)	3,393
of which: Defined benefit superannuation fund net assets			157
Total Assets	895,278	(34,236)	861,042

	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	13,626	-	13,626
Collateral Received	6,615	-	6,615
Deposits and other borrowings	578,071	5,589	583,660
Derivative financial instruments	91,706	(1)	91,705
Due to controlled entities	-	810	810
Current tax liabilities	129	(114)	15
Deferred tax liabilities	286	(246)	40	Table J
of which: related to intangible assets			60	Table F
of which: related to capitalised expenses			4	Table K
of which: related to defined benefit super assets			31	Table H
Policy liabilities	35,159	(35,159)	-
External unit holder liabilities	3,265	(3,265)	-
Payables and other liabilities	9,251	(1,286)	7,965
Provisions	1,202	(37)	1,165
Debt Issuances	81,947	12	81,959
Subordinated Debt	17,557	19	17,576
of which: Directly issued qualifying Additional Tier 1 instruments			3,674	Table M
of which: Directly issued capital instruments subject to phase out from Additional Tier 1			3,307	Table M
of which: Additional Tier 1 Instruments issued by subsidiaries held by third parties			446	Table M
of which: Directly issued capital instruments subject to phase out from Tier 2			5,479	Table N
of which: Directly issued qualifying Tier 2 instruments			3,917	Table N
of which: instruments issued by subsidiaries subject to phase out			753	Table N
Total Liabilities	838,814	(33,678)	805,136

Net Assets	56,464	(558)	55,906
	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	28,625	255	28,880	Table A
of which: Share reserve			191	Table A & C
Reserves	377	(94)	283	Table C
of which: Cash flow hedging reserves			239	Row 11
Retained earnings	27,361	(716)	26,645	Table B
Share capital and reserves attributable to shareholders of the Company	56,363	(555)	55,808
Non-controllinginterest	101	(3)	98	Table D
Total shareholders’ equity	56,464	(558)	55,906

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

		Mar 16	Table 1
Table	A	$M	Reference
	Issued capital	28,880
less	Reclassification to reserves	(191)	Table C
	Regulatory Directly Issued qualifying ordinary shares	28,689	Row 1
		Mar 16	Table 1
Table	B	$M	Reference
	Retained earnings	26,645
less	Regulatory reclassification from significant investments in the ordinary shares of banking, financial andinsurance entitiesoutside the scopeof regulatoryconsolidation	(219)	Table I
	Retained earnings	26,426	Row 2
		Mar 16	Table 1
Table	C	$M	Reference
	Reserves	283
add	Reclassification from Issued Capital	191	Table A
less	Non qualifying reserves	(56)
	Reserves for Regulatory capital purposes (amount allowed in group CET1)	418	Row 3
		Mar 16	Table 1
Table	D	$M	Reference
	Non-controlling interests	98
less	Surplus capital attributable to minority shareholders	(40)
	Ordinary share capital issued by subsidiaries and held by third parties	58	Row 5
		Mar 16	Table 1
Table	E	$M	Reference
	Goodwill	3,380
add	Goodwill component of investments in financial associates	380	Table I
	Goodwill (net of related tax liability)	3,760	Row 8
		Mar 16	Table 1
Table	F	$M	Reference
	Software	2,249
	Other intangible assets	7
less	Associated deferred tax liabilities	(60)
add	Regulatory reclassification from significant investments in the ordinary shares of banking, financial and insurance entities outside the scope of regulatory consolidation	2,091	Table I
	Other intangibles other than mortgage servicing rights (net of related tax liability)	4,287	Row 9

		Mar 16	Table 1
Table	G	$M	Reference
	Qualifying collective provision
	Collective provision	(2,862)
less	Non-qualifying collective provision	313
less	Standardised collective provision	255	Row 50
less	Non-defaulted expected loss	2,894
	Non-Defaulted: Expected Loss - Eligible Provision Shortfall	600
	Qualifying individual provision
	Individual provision	(1,238)
add	Additional individual provisions for partial write offs	(528)
less	Standardised individual provision	171
add	Collective provision on advanced defaulted	(265)
less	Defaulted expected loss	1,846
	Defaulted: Expected Loss - Eligible Provision Shortfall	-
	Gross deduction	600	Row 12
		Mar 16	Table 1
Table	H	$M	Reference
	Defined benefit superannuation fund net assets	157
	Associated deferred tax liabilities	(31)
	Defined benefit superannuation fund net assets	126	Row 15
		Mar 16	Table 1
Table	I	$M	Reference
Investment in deconsolidated financial subsidiaries		4,355
less Regulatory reclassification to Retained Earnings and Other Intangible Assets		(2,309)	Tables B & F
add Investment in financial associates		4,204
less Investment in financial institutions Available for Sale		904
less Goodwill component of investments in financial associates		(380)	Table E
less Amount below 10% threshold of CET 1		(4,657)	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		2,117	Row 19
(amount above 10% threshold)
add Amount below the 10% threshold of CET 1		4,657	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%		-
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%		27
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%		1
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%		14
of the issued share capital - Undrawn
Equity investment in financial institutions not reported in rows 18, 19 and 23		4,699	Row 26d
Deduction for equity holdings in financial institutions - APRA regulations		6,816

		Mar 16	Table 1
Table	J	$M	Reference
Deferred tax assets		690
add Deferred tax liabilities		(40)
Deferred tax asset less deferred tax liabilities		650
less Deferred tax assets that rely on future profitability		(5)	Row 10
add Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit superannuation assets		95
add Impact of calculating the deduction on a jurisdictional basis		48
Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure Template		788	Row 26e

		Mar 16	Table 1
Table	K	$M	Reference
Capitalised brokerage costs		1,013
Capitalised debt and capital issuance expenses		68
less Associated deferred tax liabilities		(4)
Capitalised expenses		1,077	Row 26f
		Mar 16	Table 1
Table	L	$M	Reference
Investments in non-financial Available for Sale equities		20
Investments in non financial associates		7
Non financial equity exposures (loans)		3
Equity exposures to non financial entities		30	Row 26g
		Mar 16	Table 1
Table	M	$M	Reference
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities		3,674
add Issue costs		26
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities		3,700	Row 30
Directly issued capital instruments subject to phase out from Additional Tier 1 – loan capital		3,307
add Issue costs		2
less Transitional adjustment		-
Directly issued capital instruments subject to phase out from Additional Tier 1		3,309	Row 33
Additional Tier 1 instruments issued by subsidiaries held by third parties		446
add Issue costs		5
Surplus capital attributable to third party holders		(94)
add AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group AT1)		357	Row34
Additional Tier 1 capital before regulatory adjustments		7,366	Row 36
less Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatoryconsolidation		(405)	Row 40
Other national specific regulatory adjustments not reported		(1)	Row 40
Additional Tier 1 capital		6,960	Row 44
		Mar 16	Table 1
Table	N	$M	Reference
Directly issued capital instruments subject to phase out from Tier 2		5,479
add Issue costs		16
add Amortisation of Tier 2 Capital Instruments subject to Phase out		(222)
less Fair value adjustment		(255)
less Transition adjustment		(1,649)
Directly issued capital instruments subject to phase out from Tier 2		3,369	Row 47
Instruments issued by subsidiaries subject to phase out from Tier 2		753
less Surplus capital attributable to third party holders		(66)
Instruments issued by subsidiaries subject to phase out from Tier 2		687	Row 49
add Directly issued qualifying Tier 2 instruments		3,917	Row 46
add Provisions		255	Table G
Tier 2 capital before regulatory adjustments		8,228	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		(57)	Row 56b
Tier 2 capital		8,076	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	Holding Company / Corporate	-	-
Advice for Life Pty Ltd	Advice	-	-
ANZ ILP Pty Ltd	Incorporated Legal Practice	1	-
ANZ Insurance Broker Co Ltd	Insurance Broker	27	2
ANZ Investment Services (New Zealand) Limited	Funds Manager	39	27
ANZ Lenders Mortgage Insurance Pty Limited	Mortgage insurance	1,196	731
ANZ Life Assurance Company Pty Limited	Insurance	3	-
ANZ New Zealand Investments Limited	Funds Manager	123	27
ANZ New Zealand Investments Nominees Limited	Trustee/Nominee	-	-
ANZ Private Equity Management Limited	Investment	-	-
ANZ Self Managed Super Limited	Investment	-	-
ANZ Specialist Asset Management Limited	Trustee/Nominee	14	7
ANZ Wealth Alternative Investments Management Pty Ltd	Investment	1,721	1,722
ANZ Wealth Australia Limited	Holding Company / Corporate	2,677	-
ANZ Wealth New Zealand Limited	Holding Company	463	-
ANZcover Insurance Private Ltd	Captive-Insurance	171	110
AUT Administration Pty Ltd	Corporate	1	-
Capricorn Financial Advisers Pty Ltd	Advice	-	2
Elders Financial Planning Pty Ltd	Advice	8	2
Financial Investment Network Group Pty Ltd	Advice	69	1
Financial Lifestyle Solutions Pty Limited	Advice	4	5
Financial Planning Hotline Pty Ltd	Advice	-	-
Financial Services Partners Holdings Pty Limited	Holding Company / Advice	2	0
Financial Services Partners Incentive Co Pty Limited	Advice	-	-
Financial Services Partners Management Pty Limited	Advice	-	-
Financial Services Partners Pty Ltd	Advice	3	2
FSP Funds Management Limited	Advice	1	-
FSP Group Pty Limited	Holding Company / Advice	17	1
FSP Portfolio Administration Limited	Advice	1	-
FSP Super Pty Limited	Advice	6	-
Integrated Networks Pty Limited	Holding Company / Advice	44	-
Mercantile Mutual Financial Services Pty Ltd	Investment	1	-
Millennium 3 Financial Services Group Pty Ltd	Advice	47	12
Millennium 3 Financial Services Pty Ltd	Advice	20	12
Millennium 3 Mortgage Platform Services Pty Limited	Advice	-	-
Millennium 3 Professional Services Pty Ltd	Advice	1	-
OASIS Asset Management Limited	Investment	15	6
OASIS Fund Management Limited	Superannuation	6	4
OneAnswer Nominees Limited	Trustee/Nominee	-	-
OnePath Administration Pty Ltd	Corporate	69	29
OnePath Custodians Pty Ltd	Superannuation	43	3
OnePath Financial Planning Pty Ltd	Advice	1	-
OnePath Funds Management Ltd	Investment	73	27
OnePath General Insurance Pty Ltd	Insurance	254	186
OnePath Investment Holdings Pty Ltd	Holding company	7	-
OnePath Life (NZ) Limited	Insurance	850	279
OnePath Life Australia Holdings Pty Ltd	Holding Company / Corporate	3,000	-
OnePath Life Limited	Insurance	38,805	36,228
Polaris Financial Solutions Pty Limited	Advice	-	1
RI Advice Group Pty Ltd	Advice	19	3
RI Central Coast Pty Ltd	Advice	1	-

==> picture [498 x 77] intentionally omitted <==

ANZ Basel III Pillar 3 disclosure March 2016

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	-	-
Shout for Good Pty Ltd	Fundraising	-	-
Tandem Financial Advice Limited	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 16	Sep 15		Mar 15
Risk weighted assets(RWA)	$M	$M		$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	139,643	150,165	140,451
Sovereign	6,185	6,664		5,385
Bank	15,061	17,445		22,078
Residential Mortgage	57,218	54,996		53,501
Qualifying Revolving Retail	7,744	7,546		7,775
Other Retail	30,681	32,990		31,664
Credit risk weighted assets subject to Advanced IRB approach	256,532	269,806	260,854

Credit risk Specialised Lending exposures subject to slotting approach4	35,066	32,240		31,442

Subject to Standardised approach
Corporate	22,941	26,217		27,033
Residential Mortgage	2,616	2,882		2,603
Other Retail	3,550	3,625		3,271
Credit risk weighted assets subject to Standardised approach	29,107	32,724		32,907

Credit Valuation Adjustment and Qualifying Central Counterparties	8,355	10,170		9,630
Credit risk weighted assets relating to securitisation exposures	1,194	1,156		1,067
Other assets	4,054	3,655		3,797
Total credit risk weighted assets	334,308	349,751	339,697
Market risk weighted assets	6,059	6,868		6,042
Operational risk weighted assets	37,688	37,885		33,434
Interest rate risk in the banking book (IRRBB) risk weighted assets	10,280	7,433		7,690
Total risk weighted assets	388,335	401,937	386,863
Capital ratios(%)5
Level 2 Common Equity Tier 1 capital ratio 8.5% 9.8%		8.2% n/a 9.6%		8.7%
Level 2 Tier 1 capital ratio	11.6%	11.3%		10.6%
Level 2 Total capital ratio	13.7%	13.3%		12.6%
Level 1: Extended licensed Common Equity Tier 1 capital ratio	10.2%	9.6%		8.8%
Level 1: Extended licensed entity Tier 1 capital ratio	12.2%	11.6%		10.9%
Level 1: Extended licensed entity Total capital ratio	14.4%	13.7%		13.1%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited –Common Equity Tier 1 capital ratio	10.0%	10.5%		10.1%
ANZ Bank New Zealand Limited - Tier 1 capital ratio	12.2%	12.7%		12.4%
ANZ Bank New Zealand Limited - Total capital ratio	12.8%	13.6%		13.3%

4 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.

5 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 decreased $15.4 billion (4%) from September 2015 to $334.3 billion at March 2016, including an $8.1 billion decrease due to foreign currency movements. Portfolio contraction in our Institutional business contributed further to the decrease mainly seen in AIRB Corporate, AIRB Bank and Standardised Corporate asset classes. The decrease was partially offset by portfolio growth in Australia and New Zealand business which contributed to the increase in IRB Residential Mortgage and Specialised Lending asset classes. The reduction in IRB Other Retail was mainly driven by the sale of our Esanda business.

Market Risk, Operational Risk and IRRBB RWA

Traded Market Risk RWA has decreased from $6.9 billion to $6.1 billion during first half as both Internal Model RWA and Standard Model RWA decreased, reflecting changes in portfolio diversification and a reduction in credit instrument exposure respectively.

Increase in IRRBB RWA was due to an increase in repricing and yield curve risk combined with a decrease in embedded gains.

The Operational Risk RWA remained relatively unchanged since September 2015 reflecting minimal change in the ANZ operational risk profile.

Chapter 4 –Credit risk

Table 7 Credit risk – General disclosures

Exposure at default

Exposure at Default is defined as the expected facility exposure at the date of default. Unless otherwise stated, throughout this disclosure EAD represents gross credit exposure without offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

Table Exposure at Default

		Mar 16
	Exposure at		Exposure at
	Default Pre		Default Post
	Credit Risk	Credit Risk	Credit Risk
	Mitigation	Mitigation	Mitigation
Advanced IRB approach	$M	$M	$M
Corporate	264,721	23,701	241,020
Sovereign	129,618	11,399	118,219
Bank	112,470	63,343	49,127
Residential Mortgage	337,314	-	337,314
Qualifying Revolving Retail	22,417	-	22,417
Other Retail	40,943	-	40,943
Total Advanced IRB approach	907,483	98,443	809,040

Specialised Lending	39,458	51	39,407

Standardised approach
Corporate	27,012	4,462	22,550
Residential Mortgage	7,183	-	7,183
Other Retail	3,570	13	3,557
Total Standardised approach	37,765	4,475	33,290

Credit Valuation Adjustment and Qualifying Central Counterparties	43,003	35,310	7,693

Total	1,027,709	138,279	889,430

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

			Mar 16
			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	139,643	264,721	270,618	438	144
Sovereign	6,185	129,618	128,484	2	-
Bank	15,061	112,470	114,184	-	-
Residential Mortgage	57,218	337,314	330,244	10	16
Qualifying Revolving Retail	7,744	22,417	22,252	96	130
Other Retail	30,681	40,943	43,647	258	250
Total Advanced IRB approach	256,532	907,483	909,429	804	540

Specialised Lending	35,066	39,458	38,606	6	6

Standardised approach
Corporate	22,941	27,012	28,689	2	2
Residential Mortgage	2,616	7,183	7,506	(2)	4
Other Retail	3,550	3,570	3,603	82	104
Total Standardised approach	29,107	37,765	39,798	82	110

Credit Valuation Adjustment and Qualifying Central Counterparties	8,355	43,003	38,129	-	-

Total	329,060	1,027,709	1,025,962	892	656

6 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.

7 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 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	150,165	276,516	274,042	204	197
Sovereign	6,664	127,349	120,166	(2)	-
Bank	17,445	115,898	119,246	-	-
Residential Mortgage	54,996	323,174	316,986	9	17
Qualifying Revolving Retail	7,546	22,088	22,011	102	145
Other Retail	32,990	46,351	46,236	279	272
Total Advanced IRB approach	269,806	911,376	898,687	592	631

Specialised Lending	32,240	37,754	37,639	(15)	61

Standardised approach
Corporate	26,217	30,365	30,283	10	34
Residential Mortgage	2,882	7,829	7,559	-	4
Other Retail	3,625	3,636	3,460	68	85
Total Standardised approach	32,724	41,830	41,302	78	123

Credit Valuation Adjustment and Qualifying Central Counterparties	10,170	33,255	29,771	-	-

Total	344,940	1,024,215	1,007,399	655	815

			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
Other Retail	3,271	3,283	3,148	7	70
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

Table 7(b) part(ii): Exposure at Default by portfolio type[8]

				Average for half
	Mar 16	Sep 15	Mar 15	year Mar 16
Portfolio Type	$M	$M	$M	$M
Cash	47,306	29,176	33,045	38,241
Contingents liabilities, commitments, and other off-balance sheet exposures	160,920	162,535	158,355	161,728
Derivatives	143,371	141,641	133,552	142,505
Settlement Balances	20,026	39,216	35,358	29,621
Investment Securities	43,578	37,811	32,411	40,695
Net Loans, Advances & Acceptances	562,670	565,448	551,854	564,059
Other assets	19,231	12,114	9,717	15,673
Trading Securities	30,607	36,274	36,290	33,441
Total exposures	1,027,709	1,024,215	990,582	1,025,963

8 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 16
	Asia Pacific, Europe and

	Australia New Zealand Americas Total
Portfolio Type	$M $M $M $M
Corporate	151,168 47,384 93,181 291,733
Sovereign	45,334 11,910 72,374 129,618
Bank	72,377 6,866 33,227 112,470
Residential Mortgage	270,025 67,289 7,183 344,497
Qualifying Revolving Retail	22,417 - - 22,417
Other Retail	29,187 11,784 3,542 44,513
Qualifying Central Counterparties	26,950 11,324 4,729 43,003
Specialised Lending	29,324 9,712 422 39,458
Total exposures	646,782 166,269 214,658 1,027,709

	Sep 15
	Asia Pacific, Europe and

	Australia New Zealand Americas Total
Portfolio Type	$M $M $M $M
Corporate	148,299 47,904 110,678 306,881
Sovereign	40,524 11,265 75,560 127,349
Bank	74,759 6,699 34,440 115,898
Residential Mortgage	257,901 65,273 7,829 331,003
Qualifying Revolving Retail	22,088 - - 22,088
Other Retail	34,561 11,822 3,604 49,987
Qualifying Central Counterparties	20,559 9,425 3,271 33,255
Specialised Lending	28,075 9,242 437 37,754
Total exposures	626,766 161,630 235,819 1,024,215

		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	-	-	21,934
Other Retail	33,500	12,649	3,254	49,403
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

Table 7(d): Industry distribution of Exposure at Default[9][10 ]

								Mar 16
	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	43,525	10,816	6,964	10,079	12,903	51,470	3,173	47,643	2,292	20,603	29,072	16,327	17,763	19,103	291,733
Sovereign	1,192	8	58	671	8	83,270	42,160	1,208	-	514	33	-	221	275	129,618
Bank	1	-	1	-	-	112,347	-	101	-	-	-	-	20	-	112,470
Residential Mortgage	-	-	-	-	-	-	-	-	344,497	-	-	-	-	-	344,497
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	22,417	-	-	-	-	-	22,417
Other Retail	3,365	2,553	3,725	102	2,194	641	9	1,497	18,320	1,220	1,156	4,178	1,430	4,123	44,513
Qualifying Central Counterparties	-	-	-	-	-	43,003	-	-	-	-	-	-	-	-	43,003
Specialised Lending	1,065	7	162	1,634	191	7	-	4	-	34,541	7	6	1,140	694	39,458
Total exposures	49,148	13,384	10,910	12,486	15,296	290,738	45,342	50,453	387,526	56,878	30,268	20,511	20,574	24,195	1,027,709
% of Total	4.8%	1.3%	1.1%	1.2%	1.5%	28.3%	4.4%	4.9%	37.7%	5.5%	2.9%	2.0%	2.0%	2.4%	100.0%

9 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.

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

								Sep 15
	Agriculture,			Electricity, Gas	Entertainment,	Financial, Government
	Forestry, Fishing	Business		& Water	Leisure &	Investment &	and Official				Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing		Personal	Services	Trade	Retail Trade	Storage	Other	Total
Portfolio Type	$M	$M	$M	$M	$M	$M	$M		$M	$M	$M	$M	$M	$M	$M	$M
Corporate	46,379	11,396	7,481	11,135	12,583	51,661	3,389	54,556		2,088	20,874	32,840	16,348	17,113	19,038	306,881
Sovereign	1,268	9	59	677	4	85,203	37,810		1,443	‐	260	44	‐	249	323	127,349
Bank	1	‐	‐	‐	‐	115,761	‐		111	‐	2	‐	‐	23	‐	115,898
Residential Mortgage	‐	‐	‐	‐	‐	‐	‐		‐	331,003	‐	‐	‐	‐	‐	331,003
Qualifying Revolving Retail	‐	‐	‐	‐	‐	‐	‐		‐	22,088	‐	‐	‐	‐	‐	22,088
Other Retail	3,506	2,831	4,040	117	2,156	658	11		1,537	23,096	1,172	1,169	4,221	1,468	4,005	49,987
Qualifying Central Counterparties Specialised Lending	‐ 1,040	‐ 8	‐ 166	‐ 1,497	‐ 239	[Typ 33,255 3	‐ 39		‐ 6	‐ ‐	‐ 32,470	‐ 9	‐ 7	‐ 1,260	‐ 1,010	33,255 37,754
Total exposures	52,194	14,244	11,746	13,426	14,982	286,541	41,249	57,653		378,275	54,778	34,062	20,576	20,113	24,376	1,024,215
% of Total	5.1%	1.4%	1.1%	1.3%	1.5%	28.0%	4.0%		5.6%	36.9%	5.3%	3.3%	2.0%	2.0%	2.4%	100.0%
								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	‐	‐	‐	‐	‐	‐	‐		‐	21,934	‐	‐	‐	‐	‐	21,934
Other Retail	3,546	2,751	3,910	113	2,006	645	13		1,530	23,001	1,138	1,133	4,096	1,447	4,074	49,403
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%

ANZ Basel III Pillar 3 disclosure March 2016

Table 7(e): Residual contractual maturity of Exposure at Default[11]

			Mar 16
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	123,802	148,465	19,256	210	291,733
Sovereign	77,372	25,850	26,396	-	129,618
Bank	69,705	41,153	1,612	-	112,470
Residential Mortgage	404	7,045	305,256	31,792	344,497
Qualifying Revolving Retail	-	-	-	22,417	22,417
Other Retail	17,355	7,554	19,604	-	44,513
Qualifying Central Counterparties	5,025	21,262	16,716	-	43,003
Specialised Lending	13,283	24,186	1,941	48	39,458
Total exposures	306,946	275,515	390,781	54,467	1,027,709
			Sep 15
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	133,312	153,214	20,185	170	306,881
Sovereign	78,706	25,943	22,700	-	127,349
Bank	69,327	44,765	1,806	-	115,898
Residential Mortgage	412	7,751	291,437	31,403	331,003
Qualifying Revolving Retail	-	-	-	22,088	22,088
Other Retail	17,326	13,829	18,797	35	49,987
Qualifying Central Counterparties	4,448	16,509	12,298	-	33,255
Specialised Lending	11,597	24,043	2,065	49	37,754
Total exposures	315,128	286,054	369,288	53,745	1,024,215
			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	-	-	-	21,934	21,934
Other Retail	17,546	13,726	18,131	-	49,403
Qualifying Central Counterparties	3,132	11,611	11,544	-	26,287
Specialised Lending	11,181	24,020	2,256	68	37,525
Total exposures	304,783	277,807	354,212	53,780	990,582

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

ANZ Basel III Pillar 3 disclosure March 2016

Table 7(f) part (i): Impaired assets[12][13] , Past due loans[14] , Provisions and Write-offs by Industry sector

			Mar 16	Mar 16
					Individual
		Impaired	Past due	Individual	provision	Write-offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
Industry Sector	$M	$M	$M	$M	$M	$M
Agriculture, Forestry, Fishing & Mining	5	892	131	284	133	59
Business Services	-	121	39	65	27	16
Construction	-	150	82	67	46	21
Electricity, gas and water supply	-	3	1	3	1	1
Entertainment Leisure & Tourism	-	123	52	54	31	15
Financial, Investment & Insurance	1	40	10	23	2	5
Government & Official Institutions	-	-	2	2	2	-
Manufacturing	7	319	43	198	113	46
Personal	-	853	1,710	233	342	415
Property Services	-	96	71	57	17	11
Retail Trade	-	121	112	66	42	23
Transport & Storage	1	137	23	49	36	8
Wholesale Trade	5	175	31	117	72	14
Other	-	33	68	20	28	22
Total	19	3,063	2,375	1,238	892	656

12 Impaired derivatives are net of credit value adjustment (CVA) of $63 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2015: $69 million; March 2015: $64 million).

13 Impaired loans / facilities include restructured items of $226 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 2015: $184 million; March 2015: $146 million).

14 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 2016

				Sep 15
					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	5	799	136	221	112	76
Business Services	-	88	31	55	12	17
Construction	-	95	183	42	20	31
Electricity, gas and water supply	-	3	-	3	(1)	1
Entertainment Leisure & Tourism	-	131	38	43	33	18
Financial, Investment & Insurance	-	52	20	26	19	14
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	4	258	42	145	33	50
Personal	-	869	1,434	290	337	441
Property Services	-	110	100	50	(3)	53
Retail Trade	-	139	88	60	42	28
Transport & Storage	28	164	26	29	(13)	35
Wholesale Trade	-	126	27	76	39	24
Other	-	28	74	21	25	27
Total	37	2,862	2,199	1,061	655	815

				Mar 15
					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	-	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

ANZ Basel III Pillar 3 disclosure March 2016

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

Table 7(f) part (ii): Impaired asset, Past due loans,	Provisions and Write-offs
	Mar 16
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 19	1,903 226 822 438 144
Sovereign -	2 2 6 2 -
Bank -	- - - - -
Residential Mortgage -	212 1,815 77 10 16
Qualifying Revolving Retail -	95 - - 96 130
Other Retail -	490 270 265 258 250
Total Advanced IRB approach 19	2,702 2,313 1,170 804 540

Specialised Lending -	73 24 38 6 6

Portfolios subject to Standardised approach
Corporate -	43 25 25 2 2
Residential Mortgage -	32 5 11 (2) 4
Other Retail -	213 8 (6) 82 104
Total Standardised approach -	288 38 30 82 110

Qualifying Central Counterparties -	- - - - -

Total 19	3,063 2,375 1,238 892 656

ANZ Basel III Pillar 3 disclosure March 2016

			Sep 15
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 9		1,487	202 575 204 197
Sovereign -		2	- 4 (2) -
Bank -		-	- - - -
Residential Mortgage -		240	1,570 86 9 17
Qualifying Revolving Retail -		88	- - 102 145
Other Retail -		599	306 317 279 272
Total Advanced IRB approach 9		2,416	2,078 982 592 631

Specialised Lending 28		159	62 40 (15) 61

Portfolios subject to Standardised approach
Corporate -		73	40 23 10 34
Residential Mortgage -		37	12 14 - 4
Other Retail -		177	7 2 68 85
Total Standardised approach -		287	59 39 78 123

Qualifying Central Counterparties -		-	- - - -

Total 37		2,862	2,199 1,061 655 815


			Mar 15
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 -		1,265	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
Other Retail	-	154	5 1 7 70
Total Standardised approach	-	292	48 60 11 90

Qualifying Central Counterparties	-	-	- - - -

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

ANZ Basel III Pillar 3 disclosure March 2016

Table 7(g): Impaired assets[15][16] , Past due loans[17] and Provisions[18] by Geography

			Mar 16
Geographic region	Impaired derivatives $M	Impaired loans/ facilities $M	Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia	7	1,771	2,145	762 1,844
New Zealand	-	330	178	123 421
Asia Pacific, Europe and America	12	962	52	353 597
Total	19	3,063	2,375	1,238 2,862

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			Sep 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	33	1,621	1,949	698 1,895
New Zealand	-	400	182	147 425
Asia Pacific, Europe and America	4	841	68	216 636
Total	37	2,862	2,199	1,061 2,956
4fii	0	0	0	0 0
RA

			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

15 Impaired derivatives are net of credit value adjustment (CVA) of $63 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2015: $69 million; March 2015: $64 million).

16 Impaired loans / facilities include restructured items of $226 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 2015: $184 million; March 2015: $146 million).

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

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 2016

Table 7(h): Provision for Credit Impairment

	Half year	Half year	Half year
	Mar 16	Sep 15	Mar 15
Collective Provision	$M	$M	$M
Balance at start of period	2,956	2,914	2,757
Charge to income statement	26	40	55
Adjustments for exchange rate fluctuations	(47)	2	102
Esanda Sale	(73)	-	-
Total Collective Provision	2,862	2,956	2,914
Individual Provision
Balance at start of period	1,061	1,114	1,176
New and increased provisions	1,137	951	806
Write-backs	(160)	(174)	(260)
Adjustment for exchange rate fluctuations	(26)	7	33
Discount unwind	(26)	(22)	(32)
Bad debts written off	(656)	(815)	(609)
Esanda Sale	(92)	-	-
Total Individual Provision	1,238	1,061	1,114

Total Provisions for Credit Impairment	4,100	4,017	4,028

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[19]

S
	Mar 16
Specific Provision Balance $M	General Reserve for Credit Losses $M Total $M
Collective Provision 313	2,549 2,862
Individual Provision 1,238	- 1,238
Total Provision for Credit Impairment 1,551	2,549 4,100


	Sep 15
Specific Provision Balance $M	General Reserve for Credit Losses $M Total $M
Collective Provision 334	2,622 2,956
Individual Provision 1,061	- 1,061
Total Provision for Credit Impairment 1,395	2,622 4,017


	Mar 15
Specific Provision Balance $M	General Reserve for Credit Losses $M Total $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

19 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 2016

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[20]

Risk weight
	Mar 16	Sep 15	Mar 15
Standardised approach exposures	$M	$M	$M
0%	-	-	-
20%	255	855	710
35%	6,820	7,386	7,145
50%	1,417	1,406	237
75%	2	4	3
100%	24,056	27,098	28,384
150%	740	852	755
>150%	-	1	29
Capital deductions	-	-	-
Total	33,290	37,602	37,263
Other Asset exposures
0%	-	-	-
20%	1,172	1,191	1,030
35%	-	-	-
50%	-	-	-
75%	-	-	-
100%	3,820	3,417	3,591
150%	-	-	-
>150%	-	-	-
Capital deductions	-	-	-
Total	4,992	4,608	4,621
Specialised Lending exposures
0%	318	473	933
70%	12,156	14,005	13,525
90%	21,400	19,539	19,350
115%	4,841	3,245	3,413
250%	692	448	254
Total	39,407	37,710	37,475

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

ANZ Basel III Pillar 3 disclosure March 2016

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

Portfolios subject to the Advanced IRB (AIRB) approach

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

IRB Asset Class	Borrower Type	Rating Approach
Corporate	Corporations, partnerships or proprietorships that do not fit into any other asset class	AIRB
Sovereign	Central governments Central banks Certain multilateral development banks	AIRB
Bank	Banks21 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 Estate22 Project finance Object finance	AIRB – Supervisory Slotting23
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.

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

22 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.

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

ANZ Basel III Pillar 3 disclosure March 2016

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 2016

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach[24][25][26 ]

				Mar	16
	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	21,363	75,906	85,264	74,964	2,374	2,508	2,342	264,721
Sovereign	105,521	19,128	1,871	3,045	37	16	-	129,618
Bank	36,940	68,347	4,793	2,388	1	1	-	112,470
Total	163,824	163,381	91,928	80,397	2,412	2,525	2,342	506,809
% of Total	32.3%	32.2%	18.1%	15.9%	0.5%	0.5%	0.5%	100.0%
Undrawn commitments (included in		above)
Corporate	5,963	25,009	25,538	12,299	265	274	56	69,404
Sovereign	655	325	9	71	-	-	-	1,060
Bank	-	322	196	8	-	-	-	526
Total	6,618	25,656	25,743	12,378	265	274	56	70,990
Average Exposure at Default
Corporate	6.089	3.565	1.466	0.405	0.487	0.259	0.902	0.873
Sovereign	125.502	103.340	27.831	17.402	5.222	1.698	-	99.151
Bank	13.540	3.351	2.779	3.008	0.376	0.052	-	4.353
Exposure-weighted average Loss Given Default			(%)
Corporate	55.4%	57.4%	49.5%	39.6%	39.4%	46.9%	43.9%	48.7%
Sovereign	6.0%	9.8%	42.3%	50.6%	67.5%	59.0%	-	8.4%
Bank	62.4%	62.2%	61.4%	68.6%	75.0%	70.0%	-	62.5%
Exposure-weighted average risk weight (%)
Corporate	18.6%	36.2%	57.6%	75.0%	126.7%	218.4%	144.3%	57.9%
Sovereign	1.2%	3.0%	46.9%	114.9%	254.5%	323.1%	-	5.2%
Bank	22.2%	25.8%	64.5%	119.8%	282.4%	369.8%	-	30.7%

24 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).

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

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

ANZ Basel III Pillar 3 disclosure March 2016

				Sep	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	23,432	79,305	91,943	74,780	2,824	2,222	2,010	276,516
Sovereign	107,082	14,666	2,448	3,047	85	21	-	127,349
Bank	33,750	73,101	6,314	2,723	-	10	-	115,898
Total	164,264	167,072	100,705	80,550	2,909	2,253	2,010	519,763
% of Total	31.6%	32.1%	19.4%	15.5%	0.6%	0.4%	0.4%	100.0%
Undrawn commitments (included in		above)
Corporate	6,237	25,820	26,483	11,705	301	223	80	70,849
Sovereign	566	497	5	66	-	-	-	1,134
Bank	-	-	139	11	-	-	-	150
Total	6,803	26,317	26,627	11,782	301	223	80	72,133
Average Exposure at Default
Corporate	7.658	4.136	1.540	0.406	0.535	0.270	0.846	0.935
Sovereign	160.363	94.588	38.692	23.238	14.210	1.949	-	121.510
Bank	18.615	4.396	4.107	4.760	0.026	0.282	-	5.815
Exposure-weighted average Loss Given Default			(%)
Corporate	57.0%	58.7%	51.0%	40.8%	44.7%	46.0%	38.8%	50.3%
Sovereign	5.8%	16.3%	43.3%	51.5%	54.2%	59.2%	-	9.0%
Bank	62.3%	62.9%	63.9%	68.8%	74.5%	74.4%	-	63.1%
Exposure-weighted average risk weight (%)
Corporate	19.4%	36.7%	59.1%	78.3%	148.3%	228.7%	141.3%	58.8%
Sovereign	1.1%	5.1%	47.8%	115.1%	172.1%	316.7%	-	5.6%
Bank	21.3%	24.9%	67.8%	123.0%	276.0%	358.6%	-	32.1%
				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%

ANZ Basel III Pillar 3 disclosure March 2016

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

	Mar 16
	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	70,457 146,431 28,959 73,215 10,541 5,620 2,091 337,314
Qualifying Revolving Retail	11,546 516 2,072 5,020 2,188 905 170 22,417
Other Retail	1,131 5,254 2,192 22,733 6,650 2,144 839 40,943
Total	83,134 152,201 33,223 100,968 19,379 8,669 3,100 400,674
% of Total	20.7% 38.0% 8.3% 25.2% 4.8% 2.2% 0.8% 100.0%

Undrawn commitments (included in above)
Residential Mortgage 6,466 17,366 960 7,416 188 180 1 32,577
Qualifying Revolving Retail 9,035 515 1,372 2,330 889 115 30 14,286
Other Retail 600 2,130 1,270 3,317 548 79 6 7,950
Total 16,101 20,011 3,602 13,063 1,625 374 37 54,813

Average Exposure at Default
Residential Mortgage 0.239 0.216 0.197 0.241 0.278 0.274 0.233 0.226
Qualifying Revolving Retail 0.011 0.006 0.010 0.010 0.009 0.008 0.009 0.010
Other Retail 0.008 0.016 0.011 0.023 0.010 0.011 0.019 0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage 19.8% 19.2% 19.1% 22.1% 20.4% 20.0% 20.4% 20.0%
Qualifying Revolving Retail 73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2%
Other Retail 53.6% 46.8% 73.9% 46.5% 64.0% 60.0% 53.1% 51.9%

Exposure-weighted average risk weight (%)
Residential Mortgage 5.2% 6.6% 13.6% 29.2% 75.2% 107.9% 223.4% 17.0%
Qualifying Revolving Retail 4.9% 11.5% 14.2% 38.8% 111.5% 206.5% 337.8% 34.5%
Other Retail 31.0% 36.7% 55.1% 61.2% 112.3% 177.9% 236.8% 74.9%

ANZ Basel III Pillar 3 disclosure March 2016

	Sep 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	69,637 139,008 27,253 70,065 10,126 5,085 2,000 323,174
Qualifying Revolving Retail	11,409 435 2,007 5,110 2,103 863 161 22,088
Other Retail	1,393 5,433 2,157 25,773 8,843 1,809 943 46,351
Total	82,439 144,876 31,417 100,948 21,072 7,757 3,104 391,613
% of Total	21.1% 37.0% 8.0% 25.8% 5.4% 2.0% 0.8% 100.0%

Undrawn commitments (included in above)
Residential Mortgage 6,249 16,935 968 7,577 182 176 2 32,089
Qualifying Revolving Retail 8,915 434 1,328 2,305 781 113 28 13,904
Other Retail 681 2,014 1,252 3,340 464 68 6 7,825
Total 15,845 19,383 3,548 13,222 1,427 357 36 53,818

Average Exposure at Default
Residential Mortgage 0.234 0.210 0.192 0.237 0.276 0.268 0.218 0.221
Qualifying Revolving Retail 0.011 0.006 0.010 0.009 0.009 0.008 0.009 0.010
Other Retail 0.010 0.017 0.011 0.022 0.011 0.010 0.019 0.016

Exposure-weighted average Loss Given Default (%)
Residential Mortgage 19.8% 19.2% 19.1% 22.3% 20.5% 20.0% 20.8% 20.1%
Qualifying Revolving Retail 73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2% 73.2%
Other Retail 44.9% 44.3% 73.1% 45.5% 59.3% 60.1% 49.9% 50.0%

Exposure-weighted average risk weight (%)
Residential Mortgage 5.3% 6.7% 13.7% 29.5% 75.1% 108.4% 224.7% 17.0%
Qualifying Revolving Retail 4.9% 11.6% 13.8% 39.2% 110.5% 207.5% 327.8% 34.4%
Other Retail 26.4% 34.8% 54.2% 60.0% 100.8% 182.2% 201.2% 71.2%


Mar 15
0.00% <0.11% 0.11% <0.30% 0.30% <0.51% 0.51% <3.49% 3.49% <10.09% 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 2016

Table 9(e): Actual Losses by portfolio type

Table 9(e): Actual Losses by portfolio type
	Halfyear Mar 16
	Individual provision charge	Write-offs
Basel Asset Class	$M	$M
Corporate	438	144
Sovereign	2	-
Bank	-	-
Residential Mortgage	10	16
Qualifying Revolving Retail	96	130
Other Retail	258	250
Total Advanced IRB	804	540
Specialised Lending	6	6
Standardised approach	82	110
Total	892	656

	Halfyear Sep 15
	Individual provision charge	Write-offs
Basel Asset Class	$M	$M
Corporate	204	197
Sovereign	(2)	-
Bank	-	-
Residential Mortgage	9	17
Qualifying Revolving Retail	102	145
Other Retail	279	272
Total Advanced IRB	592	631
Specialised Lending	(15)	61
Standardised approach	78	123
Total	655	815

	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

ANZ Basel III Pillar 3 disclosure March 2016

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

			Mar 16
			Average	Average
	Average	Average	estimated to	Estimated	Average
	Estimated PD	Actual PD	actual EAD	LGD	Actual LGD
Portfolio Type	%	%	ratio	%	%
Corporate	1.56	0.97	1.11	41.01	30.97
Sovereign	0.37	nil	n/a	n/a	n/a
Bank	0.58	0.05	0.93	46.00	58.30
Specialised Lending	n/a	1.98	1.11	n/a	23.04
Residential Mortgage	0.74	0.78	1.01	21.00	2.90
Qualifying Revolving Retail	2.70	2.01	1.05	73.20	72.60
Other Retail	3.78	3.73	1.05	50.10	41.70

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 2016. The actual PD is based on the number of defaulted obligors up to February 2016 compared to the total number of obligors measured.

The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the 6.5 years of observation being 2009 to February 2016. 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 2014. The actual LGD is based on the average realised losses over the period for the accounts observed at the beginning and defaulted during the observation period. For non-retail portfolios, the estimated and actual LGDs are based on accounts that defaulted up to March 2014. Defaults occurring after March 2014 have been excluded from the analysis to allow sufficient time for workout period. Actual LGD for defaults where workouts were not finalised have been estimated to approximate the final actual loss.

For retail portfolios, the estimated and actual LGDs are based on accounts that defaulted in 2011 to 2015 financial years. 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 2016

Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[27]

		Mar 16	Mar 16
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	27,012	826	-	3.1%
Residential Mortgage	7,183	29	-	0.4%
Other Retail	3,570	-	-	0.0%
Total	37,765	855	-	2.3%

		Sep 15	Sep 15
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	30,365	496	-	1.6%
Residential Mortgage	7,829	36	-	0.5%
Other Retail	3,636	-	-	0.0%
Total	41,830	532	-	1.3%

		Mar 15	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%
Other Retail	3,283	-	-	0.0%
Total	40,773	502	-	1.2%

27 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 2016

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

		Mar 16
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	304,179	13,998	480	4.8%
Sovereign	129,618	337	-	0.3%
Bank	112,470	11,220	-	10.0%
Residential Mortgage	337,314	-	-	0.0%
Qualifying Revolving Retail	22,417	-	-	0.0%
Other Retail	40,943	-	-	0.0%
Total	946,941	25,555	480	2.7%
Standardised approach
Corporate	27,012	-	-	0.0%
Residential Mortgage	7,183	-	-	0.0%
Other Retail	3,570	-	-	0.0%
Total	37,765	-	-	0.0%

Qualifying Central Counterparties	43,003	-	-	0.0%

		Sep 15
			Exposures
		Exposures	covered by
		covered by	Credit
	Exposure	Guarantees	Derivatives
	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	314,270	13,851	345	4.5%
Sovereign	127,349	337	-	0.3%
Bank	115,898	13,260	-	11.4%
Residential Mortgage	323,174	-	-	0.0%
Qualifying Revolving Retail	22,088	-	-	0.0%
Other Retail	46,351	-	-	0.0%
Total	949,130	27,448	345	2.9%
Standardised approach
Corporate	30,365	-	-	0.0%
Residential Mortgage	7,829	-	-	0.0%
Other Retail	3,636	-	-	0.0%
Total	41,830	-	-	0.0%

Qualifying Central Counterparties	33,255	-	-	0.0%

ANZ Basel III Pillar 3 disclosure March 2016

		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%
Residential Mortgage	7,289	-	-	0.0%
Other Retail	3,283	-	-	0.0%
Total	40,773	-	-	0.0%

Qualifying Central Counterparties	26,287	-	-	0.0%

ANZ Basel III Pillar 3 disclosure March 2016

Table 11(b): Counterparty credit risk – net derivative credit exposure

Net derivative credit exposure

	Mar 16 Sep 15
	$M $M
Gross positive fair value of contracts	88,747 85,625
Netting benefits	(70,991) (62,782)
Netted current credit exposure	17,756 22,843
Collateral held	(5,473) (7,165)
Net derivatives credit exposure	12,283 15,678


Counterparty credit risk exposure – by portfolio type
Mar 16 Sep 15
Portfolio Type $M $M
Corporate 32,172 35,221
Sovereign 4,436 5,433
Bank 64,180 67,406
Qualifying Central Counterparties 41,761 32,733
Specialised Lending 822 848
Total exposures 143,371 141,641


Notional Value of Credit Derivative Hedges
Mar 16 Sep 15
Product Type $M $M
Credit Default Swaps 724 728
Interest Rate Swaps - -
Currency Swaps - -
Other - -
Total exposures 724 728

Table 11(c): Counterparty credit risk exposure – credit derivative transactions

		Mar 16
	Protection	Protection
	Bought	Sold	Total
	$M	$M	$M
Credit derivative products used for own credit portfolio
Credit default swaps	19,921	19,365	39,286
Total notional value	19,921	19,365	39,286
Credit derivative products used for intermediation
Credit default swaps	724	724	1,448
Total return swaps	-	-	-
Total notional value	724	724	1,448
Total credit derivative notional value	20,645	20,089	40,734

		Sep 15
	Protection	Protection
	Bought	Sold	Total
	$M	$M	$M
Credit derivative products used for own credit portfolio
Credit default swaps	22,284	21,474	43,758
Total notional value	22,284	21,474	43,758
Credit derivative products used for intermediation
Credit default swaps	728	728	1,456
Total return swaps	-	-	-
Total notional value	728	728	1,456
Total credit derivative notional value	23,012	22,202	45,214

ANZ Basel III Pillar 3 disclosure March 2016

Chapter 5 – Securitisation

Banking Book

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

		Mar 16
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	79,806	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	79,806	-

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	-	79,806	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	79,806	-

ANZ Basel III Pillar 3 disclosure March 2016

		Sep 15
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	79,355	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	79,355	-

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	-	79,355	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	79,355	-
		Mar 15
Traditional securitisations
	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
Underlyingasset	$M	$M	$M
Residential mortgage	-	74,060	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	74,060	-
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	-	74,060	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	74,060	-

ANZ Basel III Pillar 3 disclosure March 2016

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

			Mar 16
					Losses recognised
		ANZ Self			for the six month
	ANZ Originated	Securitised	Impaired	Past due	ended
Underlyingasset	$M	$M	$M	$M	$M
Residential mortgage	-	79,806	-	51	-
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	-	79,806	-	51	-
			Sep 15
					Losses recognised
		ANZ Self			for the six month
	ANZ Originated	Securitised	Impaired	Past due	ended
Underlyingasset	$M	$M	$M	$M	$M
Residential mortgage	-	79,355	-	36	1
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	-	79,355	-	36	1

			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	-	74,060	1	31	-
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	-	74,060	1	31	-

ANZ Basel III Pillar 3 disclosure March 2016

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[28 ]

Mar 16
Original value securitised
ANZ ANZ Self	Recognised gain or loss on sale $M
Originated Securitised ANZ Sponsored
Securitisation activity by underlying asset type $M $M $M
Residential mortgage - 451 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 451 -	-

Securitisation activity by facility provided
	Notional amount
	$M
Liquidity facilities	-
Funding facilities	-
Underwriting facilities	-
Lending facilities	-
Credit enhancements	-
Holdings of securities (excluding trading book)	(186)
Other	49
Total	(137)

Sep 15

	Sep 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	- 5,295 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 5,295 -	-

Securitisation activity by facility provided
		Notional amount
		$M
Liquidity facilities		-
Funding facilities		329
Underwriting facilities		-
Lending facilities		-
Credit enhancements		-
Holdings of securities (excluding trading book)		240
Other		4
Total		573

28 Activity represents net movement in outstandings.

ANZ Basel III Pillar 3 disclosure March 2016

Mar 15	Recognised gain or loss on sale $M - - - - - - Notional amount $M - 12 - - - 875 30 917
Original value securitised
Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage - 692 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total - 692 -

Securitisation activity by facility provided
Liquidity facilities
Funding facilities
Underwriting facilities
Lending facilities
Credit enhancements
Holdings of securities (excluding trading book)
Other
Total

ANZ Basel III Pillar 3 disclosure March 2016

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

	Mar 16 Sep 15 Mar 15
Securitisation exposure type - On balance sheet	$M $M $M
Liquidity facilities	5 5 6
Funding facilities	6,100 5,593 4,789
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	4,890 5,076 4,836
Protection provided	- - -
Other	170 168 315
Total	11,165 10,842 9,946


	Mar 16 Sep 15 Mar 15
Securitisation exposure type - Off balance sheet	$M $M $M
Liquidity facilities	62 66 76
Funding facilities	- - -
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	- - -
Protection provided	- - -
Other	- - -
Total	62 66 76


	Mar 16 Sep 15 Mar 15
Total Securitisation exposure type	$M $M $M
Liquidity facilities	67 71 82
Funding facilities	6,100 5,593 4,789
Underwriting facilities	- - -
Lending facilities	- - -
Credit enhancements	- - -
Holdings of securities (excluding trading book)	4,890 5,076 4,836
Protection provided	- - -
Other	170 168 315
Total	11,227 10,908 10,022

ANZ Basel III Pillar 3 disclosure March 2016

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

Mar 16 Sep 15 Mar 15 Securitisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% 11,120 1,106 10,799 1,065 9,891 952 >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% 45 26 43 24 48 27 >75 ≤ 100% 62 62 66 66 76 77 >100 ≤ 650% - - - 1 7 11 1250% (Deduction) - - - - - - Total 11,227 1,194 10,908 1,156 10,022 1,067 Mar 16 Sep 15 Mar 15 Resecuritisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% - - - - - - >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% - - - - - - >75 ≤ 100% - - - - - - >100 ≤ 650% - - - - - - 1250% (Deduction) - - - - - - Total - - - - - -	Mar 16 Sep 15 Mar 15 Securitisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% 11,120 1,106 10,799 1,065 9,891 952 >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% 45 26 43 24 48 27 >75 ≤ 100% 62 62 66 66 76 77 >100 ≤ 650% - - - 1 7 11 1250% (Deduction) - - - - - - Total 11,227 1,194 10,908 1,156 10,022 1,067 Mar 16 Sep 15 Mar 15 Resecuritisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% - - - - - - >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% - - - - - - >75 ≤ 100% - - - - - - >100 ≤ 650% - - - - - - 1250% (Deduction) - - - - - - Total - - - - - -	Mar 16 Sep 15 Mar 15 Securitisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% 11,120 1,106 10,799 1,065 9,891 952 >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% 45 26 43 24 48 27 >75 ≤ 100% 62 62 66 66 76 77 >100 ≤ 650% - - - 1 7 11 1250% (Deduction) - - - - - - Total 11,227 1,194 10,908 1,156 10,022 1,067 Mar 16 Sep 15 Mar 15 Resecuritisation risk weights Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M Regulatory credit exposure $M Risk weighted assets $M ≤ 25% - - - - - - >25 ≤ 35% - - - - - - >35 ≤ 50% - - - - - - >50 ≤ 75% - - - - - - >75 ≤ 100% - - - - - - >100 ≤ 650% - - - - - - 1250% (Deduction) - - - - - - Total - - - - - -
	Mar 16	Sep 15

Total Securitisation
risk weights
≤ 25%
>25 ≤ 35%
>35 ≤ 50%
>50 ≤ 75%
>75 ≤ 100%
>100 ≤ 650%
1250% (Deduction)
Total

	Mar 16	Mar 16	Sep 15		Mar 15
	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%	11,120	1,106	10,799	1,065	9,891	952
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	45	26	43	24	48	27
>75 ≤ 100%	62	62	66	66	76	77
>100 ≤ 650%	-	-	-	1	7	11
1250% (Deduction)	-	-	-	-	-	-
Total	11,227	1,194	10,908	1,156	10,022	1,067

ANZ Basel III Pillar 3 disclosure March 2016

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

No longer required under Basel III; defaulted exposures are given a risk weight of 1250% and 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 2016

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

exposures retained or purchased
		Mar 16
	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 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 of guarantors	$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 15
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained or purchased	$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	-

ANZ Basel III Pillar 3 disclosure March 2016

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 2016

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

Securitisation exposure type - On balance sheet	Mar 16 $M	Sep 15 $M	Mar 15 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	-	-	-
Securitisation exposure type - Off balance sheet	Mar 16 $M	Sep 15 $M	Mar 15 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	-	-	-
Total Securitisation exposure type	Mar 16 $M	Sep 15 $M	Mar 15 $M
Liquidity facilities	-	-	-
Funding facilities	-	-	-
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	-	-	-

ANZ Basel III Pillar 3 disclosure March 2016

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 has approximately AUD34,000 of securitisation exposures deducted from capital as a result of ongoing due diligence being discontinued in respect of these very small holdings, i.e. AUD540,000 original notional / AUD34,000 paid down notional.

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 2016

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

		Mar 16
	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 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 of guarantors	$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 15
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained or purchased	$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	-

ANZ Basel III Pillar 3 disclosure March 2016

Chapter 6 – Market risk

Table 13 Market risk – Standard approach

Table 13(b): Market risk – Standard approach[29]

	Mar 16	Sep 15	Mar 15
	$M	$M	$M
Interest rate risk	93	118	132
Equity position risk	1	1	-
Foreign exchange risk	-	-	-
Commodity risk	1	2	1
Total	95	121	133

Risk Weighted Assets equivalent	1,188	1,513	1,663

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

ANZ Basel III Pillar 3 disclosure March 2016

Table 14 Market risk – Internal models approach

Table 14(e): Value at Risk (VaR) and stressed VaR over the reporting period[30 ]

	Six months ended 31 Mar 16
	Mean Maximum Minimum Period end
99% 1 Day Value at Risk(VaR)	$M $M $M $M
Foreign Exchange	5.6 11.4 2.6 5.9
Interest Rate	11.3 20.1 6.9 9.0
Credit	3.0 4.6 2.4 2.7
Commodity	1.7 2.5 1.0 1.2
Equity	0.2 2.0 0.1 0.1

	Six months ended 30 Sep 15
	Mean Maximum Minimum Period end
99% 1 Day Value at Risk(VaR)	$M $M $M $M
Foreign Exchange	6.7 14.2 2.8 5.0
Interest Rate	8.3 12.9 5.5 10.1
Credit	3.8 5.4 2.9 3.5
Commodity	2.4 3.6 1.5 1.6
Equity	0.9 4.5 0.1 2.5

	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 31 Mar 16
	Mean Maximum Minimum Period end
99% 10 Day Stressed VaR	$M $M $M $M

Foreign Exchange	29.5 59.5 11.0 33.3
Interest Rate	55.1 79.1 26.1 36.3
Credit	21.4 34.5 14.0 20.3
Commodity	11.4 20.6 5.8 6.7
Equity	1.5 3.1 0.6 1.6

	Six months ended 30 Sep 15
	Mean Maximum Minimum Period end
	$M $M $M $M
99% 10 Day Stressed VaR

Foreign Exchange	36.1 71.6 13.3 25.5
Interest Rate	67.3 161.7 38.5 45.2
Credit	26.5 40.4 19.2 23.6
Commodity	10.7 19.6 5.3 11.6
Equity	1.3 5.0 0.5 2.9

	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

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

ANZ Basel III Pillar 3 disclosure March 2016

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 16
Equity investments			$M
	Balance sheet value		Fair value
Value of listed (publicly traded) equities		3,081	2,646
Value of unlisted (privately held) equities		2,080	2,080
Total		5,161	4,726
			Sep 15
Equity investments			$M
	Balance sheet value		Fair value
Value of listed (publicly traded) equities		2,328	1,853
Value of unlisted (privately held) equities		3,157	3,157
Total		5,485	5,010
			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
Table 16(d) and 16(e): Equities – gains (losses)
	Half Year	Half Year	Half Year
	Mar 16	Sep 15	Mar 15
Realisedgains(losses) on equity investments	$M	$M	$M
Cumulative realised gains (losses) from disposals	-	-	-
and liquidations in the reporting period
Cumulative realised losses from impairment and writedowns in the reporting period	(260)	-	-
Total	(260)	-	-
	Half Year	Half Year	Half Year
	Mar 16	Sep 15	Mar 15
Unrealised gains (losses) on equity investments	$M	$M	$M
Total unrealised gains (losses)	6	-	2
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	6	-	2

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 2016

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 16 Sep 15 Mar 15
Interest rate shock applied	$M $M $M
AUD
200 basis point parallel increase	(200) (17) (393)
200 basis point parallel decrease	215 34 455

NZD
200 basis point parallel increase	(82) 17 (15)
200 basis point parallel decrease	76 (23) 11

USD
200 basis point parallel increase	(81) (112) (53)
200 basis point parallel decrease	92 123 57

GBP
200 basis point parallel increase	16 - 6
200 basis point parallel decrease	(16) - (6)

Other
200 basis point parallel increase	(80) (74) (43)
200 basis point parallel decrease	87 80 50


IRRBB regulatory capital	822 595 615
IRRBB regulatory RWA	10,280 7,433 7,690

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 2016

Chapter 9 – Leverage and Liquidity Coverage Ratio

Leverage Ratio

The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS) Basel III capital framework. It is a simple, non-risk based supplement or backstop to the current risk based capital requirements and is intended to restrict the build-up of excessive leverage in the banking system.

Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure (expressed as a percentage) as defined by APS 110. APRA has not finalised a minimum Leverage Ratio requirement for Australian ADIs, although the current BCBS proposal is for a minimum of 3%. Currently the Leverage Ratio is only a disclosure requirement. APRA intends to consult on the appropriate application of the Leverage Ratio as a minimum requirement for Australian ADIs once BCBS finalises its calibration for implementation as a Pillar 1 requirement by January 2018

At 31 March 2016, the Group’s Leverage Ratio of 5.1% was above the 3% minimum currently proposed by the BCBS. Table 18 below shows the Group’s Leverage Ratio calculation as at 31 March 2016 and Table 19 summarises the reconciliation of accounting assets and leverage ratio exposure measure at 31 March 2016.

Table 18 Leverage Ratio	Table 18 Leverage Ratio
		Mar 16	Sep 15
		$M	$M
On-balance sheet exposures
1	On-balance sheet items (excluding derivatives and SFTs, but including collateral)	751,367	751,843
2	(Asset amounts deducted in determining Basel III Tier 1 capital)	(17,432)	(18,087)
3	Total on-balance sheet exposures (excluding derivatives and SFTs)	733,935	733,756

Derivative exposures
4	Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin)	12,199	16,078
5	Add-on amounts for PFE associated with all derivatives transactions	26,578	27,960
6	Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework	-	-
7	(Deductions of receivables assets for cash variation margin provided in derivatives transactions)	(9,821)	(8,121)
8	(Exempted CCP leg of client-cleared trade exposures)	-	-
9	Adjusted effective notional amount of written credit derivatives	20,019	22,115
10	(Adjusted effective notional offsets and add-on deductions for written credit derivatives)	(18,433)	(19,917)
11	Total derivative exposures	30,542	38,115

Securities financing transaction exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions	20,928	17,319
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(387)	(763)
14	CCR exposure for SFT assets	879	741
15	Agent transaction exposures	-	-
16	Total securities financing transaction exposures	21,420	17,297

Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	257,836	271,129
18	(Adjustments for conversion to credit equivalent amounts)	(154,883)	(163,312)
19	Off-balance sheet items	102,953	107,817
Capital and Total Exposures
20	Tier 1 capital	45,062	45,484
21	Total exposures	888,850	896,985
Leverage ratio
22	Basel III leverage ratio	5.1%	5.1%

ANZ Basel III Pillar 3 disclosure March 2016

Leverage ratio

ANZ’s leverage ratio remained stable in the March 2016 half. Increase in the ratio arising from capital generation from cash earnings were offset by impact from payment of the 2015 Final Dividend (net of DRP) and increased holdings of High Quality Liquid Assets (HQLA) which contributed to growth in the exposure measure.

Table 19 Summary comparison of accounting assets vs. leverage ratio exposure measure

		Mar-16	Sep-15
		$M	$M
1	Total consolidated assets as per published financial statements	895,278	889,900
	Adjustment for investments in banking, financial, insurance or commercial entities
2	that are consolidated for accounting purposes but outside the scope of regulatory	(34,236)	(35,113)
	consolidation.
	Adjustment for assets held on the balance sheet in a fiduciary capacity pursuant to
3	the Australian Accounting Standards but excluded from the leverage ratio exposure	-	-
	measure
4	Adjustments for derivative financial instruments.	(58,205)	(47,510)
5	Adjustment for SFTs (i.e. repos and similar secured lending)	492	(22)
6	Adjustment for off-balance sheet exposures (i.e. conversion to credit equivalent amounts of off-balance sheet exposures)	102,953	107,817
7	Other adjustments	(17,432)	(18,087)
8	Leverage ratio exposure	888,850	896,985

ANZ Basel III Pillar 3 disclosure March 2016

Table 20 Liquidity Coverage Ratio disclosure template

		Mar 16	Mar 16	Dec		Sep
		Total	Total	Total	Total	Total	Total
		Unweighted	Weighted	Unweighted	Weighted	Unweighted	Weighted
		Value	Value	Value	Value	Value	Value
		$M	$M	$M	$M	$M	$M
Liquid assets, of which:
1	High-quality liquid assets (HQLA)	-	125,727	-	115,182	-	107,769
2	Alternative liquid assets (ALA)	-	45,300	-	49,000	-	54,000
3	Reserve Bank of New Zealand (RBNZ) securities	-	9,987	-	6,097	-	11,627
Cash outflows
4	Retail deposits and deposits from small business customers	207,897	23,715	205,344	23,965	197,388	23,012
5	of which: stable deposits	74,413	3,721	73,016	3,651	70,393	3,520
6	of which: less stable deposits	133,484	19,994	132,328	20,314	126,995	19,492
7	Unsecured wholesale funding	190,478	113,890	186,041	111,551	182,225	108,264
	of which: operational deposits (all
8	counterparties) and deposits in	48,979	12,156	48,723	12,084	48,026	11,918
	networks for cooperative banks
9	of which: non-operational deposits (all counterparties)	125,679	85,914	122,970	85,119	120,049	82,196
10	of which: unsecured debt	15,820	15,820	14,348	14,348	14,150	14,150
11	Secured wholesale funding		1,213		266	-	5,993
12	Additional requirements	149,890	41,456	146,560	36,105	140,876	35,940
	of which: outflows related to
13	derivatives exposures and other	27,664	27,664	22,421	22,421	23,049	23,049
	collateral requirements
14	of which: outflows related to loss of funding on debt products	-	-	-	-	-	-
15	of which: credit and liquidity facilities	122,226	13,792	124,139	13,684	117,827	12,891
16	Other contractual funding obligations	11,606	-	14,117	-	13,597	-
17	Other contingent funding obligations	111,944	4,867	110,001	4,881	115,501	5,785
18	Total cash outflows		185,141		176,768		178,994
Cash inflows
19	Secured lending (e.g. reverse repos)	15,166	1,379	10,820	-	9,270	15
20	Inflows from fully performing exposures	36,797	25,191	40,274	26,157	40,293	26,696
21	Other cash inflows	15,865	15,865	15,607	15,607	16,155	16,155
22	Total cash inflows	67,828	42,435	66,701	41,764	65,718	42,866
23	Total liquid assets	-	181,014	-	170,279	-	173,396
24	Total net cash outflows	-	142,706	-	135,004	-	136,128
25	Liquidity Coverage Ratio (%)		126.8%		126.1%		127.4%
	Number of data points used (simple average)		64		66		66

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 6 months to 31 March 2016 was 126% with total liquid assets exceeding net outflows by an average of $36.8bn.

The main contributors to net outflows were modelled outflows associated with the bank’s corporate and retail deposit portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives are material, these are effectively offset by derivative cash inflows.

The composition of the liquid asset portfolio has remained relatively stable through the half, with HQLA securities and cash making up on average 69% of total liquid assets.

Through the period the Liquidity Coverage Ratio has remained within a range of 117% to 137%. ANZ has a well diversified deposit and funding base avoiding undue concentrations by investor type, maturity, market source and currency.

ANZ monitors and manages its liquidity risk on a daily basis including LCR by geography and currency, ensuring ongoing compliance across the network.

ANZ Basel III Pillar 3 disclosure March 2016

Glossary
ADI	Authorised Deposit-taking Institution.
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.
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.

ANZ Basel III Pillar 3 disclosure March 2016

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 (both on and off-balance sheet) are risk weighted according to each asset’s inherent potential for default and what the likely losses would be in the case of default. In the case of non asset backed risks (i.e. market and operational risk), RWA is determined by multiplying the capital requirements for those risks by 12.5. 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 2016

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ANZ Basel III Pillar 3 disclosure March 2016

Average Risk Weights (Credit RWA / EAD*)

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Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2016

10425_rns_2016-05-02_8b88fa4f-51c2-47d8-be11-dd7d63cd17d5.pdf

Important notice

TABLE OF CONTENTS[1]

Chapter 1 – Highlights

Common Equity Tier 1 (CET1) Ratios*

Higher CET1 ratio at 1H16

EAD down $14bn to $889bn for 1H16

Impaired Assets ($m)

Impaired Assets up 7% HoH

Provision coverage remains sound

Credit Risk Weighted Assets (CRWA) decreased by $15.5bn HoH

Chapter 2 - Introduction

Purpose of this document

Basel in ANZ

Verification of disclosures

Comparison to ANZ’s Financial Reporting

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

Restrictions on Transfers of Capital within ANZ

Table 1 Common disclosure template

Counter Cyclical Capital Buffer

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

Exposure at default

Table Exposure at Default

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

Table 7(d): Industry distribution of Exposure at Default[9][10 ]

Table 7(h): Provision for Credit Impairment

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[19]

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[20]

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

Table 11(b): Counterparty credit risk – net derivative credit exposure

Net derivative credit exposure

Table 11(c): Counterparty credit risk exposure – credit derivative transactions

Chapter 5 – Securitisation

Banking Book

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

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[28 ]

Sep 15

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(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

IRRBB stress testing methodology

Chapter 9 – Leverage and Liquidity Coverage Ratio

Leverage Ratio

Leverage ratio

Table 19 Summary comparison of accounting assets vs. leverage ratio exposure measure

Table 20 Liquidity Coverage Ratio disclosure template

Liquidity Coverage Ratio (LCR)

More from Australia and New Zealand Banking Group Ltd.

Australia and New Zealand Banking Group Ltd. Audit Report / Information 2016