Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2019

Aug 15, 2019

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2019 BASEL III PILLAR 3 DISCLOSURE

AS AT 30 JUNE 2019 APS 330: PUBLIC DISCLOSURE

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Important notice

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

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

	Jun 19	Mar 19	Dec 18
Risk Weighted Assets(RWA)	**$M **	**$M **	**$M **
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	128,949	127,989	127,973
Sovereign	7,560	7,016	6,986
Bank	14,915	15,511	15,709
Residential Mortgage	101,452	101,469	101,320
Qualifying Revolving Retail	5,522	5,795	5,890
Other Retail	27,451	28,029	28,715
Credit risk weighted assets subject to Advanced IRB approach	285,849	285,809	286,593
**Credit Risk Specialised Lending exposures subject to slotting approach1 **	36,384	35,696	34,032
Subject to Standardised approach
Corporate	11,819	12,252	13,943
Residential Mortgage	335	331	336
Other Retail	78	81	84
Credit risk weighted assets subject to Standardised approach	12,232	12,664	14,363
Credit Valuation Adjustment andQualifying Central Counterparties	6,489	6,217	7,629
Credit risk weighted assets relating to securitisation exposures	1,851	1,558	1,616
Other assets	3,307	3,579	3,437
Total credit risk weighted assets	346,112	345,523	347,670
Market risk weighted assets	5,292	5,790	5,797
Operational risk weighted assets	37,789	37,733	38,019
Interest rate risk in the bankingbook(IRRBB)risk weighted assets	7,150	7,245	6,957
Total Risk Weighted Assets	396,343	396,291	398,443
Capital ratios(%)
Level 2 Common Equity Tier 1 capital ratio	11.8%	11.5%	11.3%
Level 2 Tier 1 capital ratio	13.8%	13.4%	13.1%
Level 2 Total capital ratio	15.5%	15.3%	15.0%

Credit Risk Weighted Assets (CRWA)

Total CRWA increased $0.6 billion (0.2%) from March 2019 to $346.1 billion at Jun 2019. This was driven by an increase in Corporates under the Advanced IRB approach with CRWA increasing $1.0 billion predominantly from portfolio growth in the Institutional Business.

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

Traded Market Risk RWA decreased $0.5 billion (8.6%) over the quarter due to reduction in Stress VaR.

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

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Table 4 Credit risk exposures

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

Table 4(a) part (i): Period end and average Exposure at Default[2]

Advanced IRB approach	Jun 19
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	128,949 261,582 259,794 50 46 7,560 155,094 152,377 - - 14,915 52,608 53,819 - - 101,452 376,173 377,843 40 34 5,522 17,092 17,341 52 65 27,451 37,592 38,067 106 127
Total Advanced IRB approach	285,849 900,141 899,241 248 272
Specialised Lending	36,384 43,402 43,032 - -
Standardised approach
Corporate Residential Mortgage Other Retail	11,819 13,106 13,313 9 7 335 720 718 1 - 78 77 79 - 3
Total Standardised approach	12,232 13,903 14,110 10 10
Credit Valuation Adjustment and Qualifying Central Counterparties	6,489 13,740 13,135 - -
Total	340,954 971,186 969,518 258 282

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

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Table 4(a) part (i): Period end and average Exposure at Default (continued)

Advanced IRB approach	Mar 19
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	127,989 258,005 257,614 35 24 7,016 149,660 155,854 - - 15,511 55,029 53,058 - - 101,469 379,512 379,899 31 28 5,795 17,589 17,825 38 61 28,029 38,542 38,936 96 121
Total Advanced IRB approach	285,809 898,337 903,186 200 234
Specialised Lending	35,696 42,661 41,675 - 2
Standardised approach
Corporate Residential Mortgage Other Retail	12,252 13,519 14,295 (6) 2 331 716 717 (1) 1 81 80 82 1 1
Total Standardised approach	12,664 14,315 15,094 (6) 4
Credit Valuation Adjustment and Qualifying Central Counterparties	6,217 12,530 12,629 - -
Total	340,386 967,843 972,584 194 240
Advanced IRB approach	Dec 18
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for three months $M Individual provision charge for three months $M Write-offs for three months $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	127,973 257,223 251,424 16 44 6,986 162,047 153,808 - - 15,709 51,086 51,225 - - 101,320 380,286 378,430 14 22 5,890 18,061 18,254 47 62 28,715 39,330 39,575 101 111
Total Advanced IRB approach	286,593 908,033 892,716 178 239
Specialised Lending	34,032 40,689 40,076 1 -
Standardised approach
Corporate Residential Mortgage Other Retail	13,943 15,071 15,068 7 17 336 717 711 - - 84 83 85 - 2
Total Standardised approach	14,363 15,871 15,864 7 19
Credit Valuation Adjustment and Qualifying Central Counterparties	7,629 12,727 12,065 - -
Total	342,617 977,320 960,721 186 258

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Table 4(a) part (ii): Exposure at Default by portfolio type[3]

				Average for the
				quarter ended
	Jun 19	Mar 19	Dec 18	Jun 19
**Portfolio Type **	**$M **	**$M **	**$M **	**$M **
Cash	60,996	61,314	73,193	61,155
Contingents liabilities, commitments, and other off-balance
sheet exposures	160,633	157,005	157,227	158,819
Derivatives	46,354	43,924	46,064	45,139
Settlement Balances	28	8	54	18
Investment Securities	77,739	77,158	72,240	77,449
Net Loans, Advances & Acceptances	597,877	600,846	604,579	599,362
Other assets	4,914	5,348	5,222	5,131
TradingSecurities	22,645	22,240	18,741	22,443
Total exposures	971,186	967,843	977,320	969,516

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

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Table 4(b): Impaired asset[4][5] , Past due loans[6] , Provisions and Write-offs

Portfolios subject to Advanced IRB approach	Jun 19
	Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M Individual provision balance $M Individual provision charge for three months $M Write- offs for three months **$M **
Corporate Sovereign Bank Residential Mortgage7 Qualifying Revolving Retail Other Retail	- 1,018 205 386 50 46 - - - - - - - - - - - - - 332 2,978 168 40 34 - 80 - - 52 65 - 493 376 255 106 127
Total Advanced IRB approach	- 1,923 3,559 809 248 272
Specialised Lending	- 33 31 6 - -
Portfolios subject to Standardised approach
Corporate Residential Mortgage Other Retail	- 125 13 88 9 7 - 18 13 9 1 - - 16 7 - - 3
Total Standardised approach	- 159 33 97 10 10
Qualifying Central Counterparties	- - - - - -
Total	- 2,115 3,623 912 258 282

4 Impaired derivatives are net of credit valuation adjustment (CVA) of $6 million, being a market value based assessment of the credit risk of the relevant counterparties (March 2019: $20 million; December 2018: $20 million).

5 Impaired loans / facilities include restructured items of $230 million for customer facilities in which the original contractual terms have been modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest, principal or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with similar risk (March 2019: $264 million; December 2018: $265 million).

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

7 ANZ has commenced implementing revised processes for the identification of impaired assets, and a more market responsive collateral valuation methodology for the home loan portfolio in Australia. From July, this will increase the number of home loans being classified as Impaired rather than past due loans ≥ 90 days.

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Table 4(b): Impaired asset, Past due loans , Provisions and Write-offs (continued)

Portfolios subject to Advanced IRB approach	Mar 19
	Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M Individual provision balance $M Individual provision charge for three months $M Write- offs for three months **$M **
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	- 1,050 167 375 35 24 - - - - - - - - - - - - - 335 2,655 156 31 28 - 76 - - 38 61 - 491 369 256 96 121
Total Advanced IRB approach	- 1,952 3,191 787 200 234
Specialised Lending	- 38 32 6 - 2
Portfolios subject to Standardised approach
Corporate Residential Mortgage Other Retail	- 138 14 87 (6) 2 - 19 13 9 (1) 1 - 13 8 2 1 1
Total Standardised approach	- 170 35 98 (6) 4
Qualifying Central Counterparties	- - - - - -
Total	- 2,160 3,258 891 194 240
Portfolios subject to Advanced IRB approach	Dec 18
	Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M Individual provision balance $M Individual provision charge for three months $M Write- offs for three months **$M **
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	- 1,044 155 374 16 44 - - - - - - - - - - - - - 315 2,365 152 14 22 - 75 - - 47 62 - 486 360 254 101 111
Total Advanced IRB approach	- 1,920 2,880 780 178 239
Specialised Lending	- 43 48 7 1 -
Portfolios subject to Standardised approach
Corporate Residential Mortgage Other Retail	- 153 14 94 7 17 - 17 15 9 - - - 14 6 2 - 2
Total Standardised approach	- 184 35 105 7 19
Qualifying Central Counterparties	- - - - - -
Total	- 2,147 2,963 892 186 258

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Table 4(c): Specific Provision Balance and General Reserve for Credit Losses[8]

	Jun 19
	Specific Provision Balance $M General Reserve for Credit Losses $M Total **$M **
Collectively Assessed Provisions for Credit Impairment IndividuallyAssessed Provisions	417 2,915 3,332 912 - 912
Total Provision for Credit Impairment	1,329 2,915 4,244

	Mar 19
	Specific Provision Balance $M General Reserve for Credit Losses $M Total **$M **
Collectively Assessed Provisions for Credit Impairment IndividuallyAssessed Provisions	395 2,983 3,378 891 - 891
Total Provision for Credit Impairment	1,286 2,983 4,269
	Dec 18
	Specific Provision Balance $M General Reserve for Credit Losses $M Total **$M **
Collectively Assessed Provisions for Credit Impairment IndividuallyAssessed Provisions	358 2,974 3,332 892 - 892
Total Provision for Credit Impairment	1,250 2,974 4,224

8 Due to definitional differences, there is a variation in the split between ANZ’s Individually and Collectively Assessed Provisions for Credit Impairment 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 Individually and Collectively Assessed Provisions for Credit Impairment, for ease of comparison with other published results.

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Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and facility[9]

Jun 19	Jun 19	Jun 19
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 **$M **
Residential mortgage 1,429 441 Credit cards and other personal loans - - Auto and equipment finance - - Commercial loans - - Other - -	- - - - -	- - - - -
Total 1,429 441	-	-
Securitisation activity by facility provided		Notional amount **$M **
Liquidity facilities Funding facilities Underwriting facilities Lending facilities Credit enhancements Holdings of securities (excluding trading book) Other		15 1,100 - - - 59 82
Total		1,256

Mar 19	Mar 19
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 **$M **
Residential mortgage (53) 483 Credit cards and other personal loans - - Auto and equipment finance - - Commercial loans - - Other - -	- - - - -	- - - - -
Total (53) 483	-	-
Securitisation activity by facility provided		Notional amount **$M **
Liquidity facilities Funding facilities Underwriting facilities Lending facilities Credit enhancements Holdings of securities (excluding trading book) Other		- (650) - - - (58) -
Total		(708)

9 Activity represents net movement in outstanding.

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

Dec 18 Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored **$M **	Dec 18 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 **$M **
Residential mortgage (66) 356 Credit cards and other personal loans - - Auto and equipment finance - - Commercial loans - - Other - -	- - - - -	- - - - -
Total (66) 356	-	-
Securitisation activity by facility provided		Notional amount **$M **
Liquidity facilities Funding facilities Underwriting facilities Lending facilities Credit enhancements Holdings of securities (excluding trading book) Other		- - - - - 97 -
Total		97

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

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

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Table 5(b) part (i): Banking Book: Securitisation - Regulatory credit exposures by exposure type

Jun 19 Securitisation exposure type - On balance sheet **$M **	Mar 19 Dec 18 $M **$M **
Liquidity facilities - Funding facilities 7,619 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) 1,819 Protection provided - Other 261	- - 6,574 6,939 - - - - - - 1,760 1,818 - - 141 112
Total 9,699	8,475 8,869
Jun 19 Securitisation exposure type - Off Balance Sheet **$M **	Mar 19 Dec 18 $M **$M **
Liquidity facilities 26 Funding facilities 1,979 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) - Protection provided - Other -	12 12 1,320 1,291 - - - - - - - - - - - -
Total 2,005	1,332 1,303
Jun 19 Total Securitisation exposure type **$M **	Mar 19 Dec 18 $M **$M **
Liquidity facilities 26 Funding facilities 9,598 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) 1,819 Protection provided - Other 261	12 12 7,894 8,229 - - - - - - 1,760 1,818 - - 141 112
Total 11,704	9,807 10,171

Table 5(b) part (ii): Trading Book: Securitisation – Regulatory credit exposures by exposure type

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

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Table 18 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 they have proposed a minimum of 3.5% for ADIs approved for use of the internal ratings based approach.

The following information is the short form data disclosure required to be published under paragraph 47 of APS 330.

		Jun 19	Mar 19	Dec 18	Sep 18
	Capital and total exposures	**$M **	**$M **	**$M **	**$M **
20	Tier 1 capital	54,614	53,075	52,356	52,218
21	Total exposures	996,557	985,583	992,720	954,957
	Leverage ratio
22	Basel III leverage ratio	5.5%	5.4%	5.3%	5.5%

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Table 20 Liquidity Coverage Ratio disclosure template

			Jun 19		Mar 19		Dec 18
		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)	-	137,770	-	141,966	-	142,176
2	Alternative liquid assets (ALA)	-	41,815	-	41,999	-	40,899
3	Reserve Bank of New Zealand (RBNZ)	-	5,150	-	5,579	-	5,699
	securities
	Cash outflows
4	Retail deposits and deposits from small	196,242	19,932	196,966	20,100	196,568	20,702
	business customers
5	of which: stable deposits	76,070	3,804	75,599	3,780	76,098	3,805
6	of which: less stable deposits	120,172	16,128	121,367	16,320	120,470	16,897
7	Unsecured wholesale funding	199,950	110,313	198,225	110,546	203,583	115,711
8	of which: operational deposits (all	60,514	14,670	57,304	13,840	57,906	13,820
	counterparties) and deposits in
	networks for cooperative banks
9	of which: non-operational deposits	127,266	83,473	128,579	84,364	134,548	90,762
	(all counterparties)
10	of which: unsecured debt	12,170	12,170	12,342	12,342	11,129	11,129
11	Secured wholesale funding		168		1,165		1,721
12	Additional requirements	139,289	37,855	136,570	35,619	136,658	37,934
13	of which: outflows related to	22,724	22,724	20,668	20,668	24,686	24,686
	derivatives exposures and other
	collateral requirements
14	of which: outflows related to loss of	-	-	-	-	-	-
	funding on debt products
15	of which: credit and liquidity facilities	116,565	15,131	115,902	14,951	111,972	13,248
16	Other contractual funding obligations	11,403	-	10,508	-	10,119	-
17	Other contingent funding obligations	67,841	4,795	70,505	4,292	70,557	4,723
18	Total cash outflows		173,063		171,722		180,791
	Cash inflows
19	Secured lending (e.g. reverse repos)	28,145	1,732	28,676	1,542	26,712	1,728
20	Inflows from fully performing exposures	37,147	25,744	33,223	22,715	29,119	19,000
21	Other cash inflows	16,680	16,680	15,336	15,336	16,829	16,829
22	Total cash inflows	81,972	44,156	77,235	39,593	72,660	37,557
23	Total liquid assets		184,735		189,544		188,774
24	Total net cash outflows		128,907		132,129		143,234
25	Liquidity Coverage Ratio (%)		143.3%		143.5%		131.8%
	Number of data points used (simple average)		65		63		66

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 30 Jun 2019 was 143.3% with total liquid assets exceeding net outflows by an average of $55.8bn.

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 75% of total liquid assets.

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.

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Glossary

ADI	Authorised Deposit-taking Institution.
Basel III Credit Valuation	CVA charge is an additional capital requirement under Basel III for bilateral derivative
Adjustment (CVA) capital	exposures. Derivatives not cleared through a central exchange/counterparty are
charge	subject to this additional capital charge and also receive normal CRWA treatment
	under Basel II principles.
Collectively Assessed	Collectively assessed provisions for credit impairment represent the Expected Credit
Provision for Credit	Loss (ECL) calculated in accordance with AASB 9 Financial Instruments (AASB 9).
Impairment	These incorporate forward looking information and do not require an actual loss event
	to have occurred for an impairment provision to be 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	Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value to
(CVA)	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	Individual provision charge is the amount of expected credit losses on financial
(IPC)	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.
Individually Assessed	Individually assessed provisions for credit impairment are calculated in accordance
Provisions for Credit	with AASB 9 Financial Instruments (AASB 9). They are assessed on a case-by-case
Impairment	basis for all individually managed impaired assets taking into consideration factors
	such as the realisable value of security (or other credit mitigants), the likely return
	available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved
	in recovery, the market price of the exposure in secondary markets and the amount
	and timing of expected receipts and recoveries.
Market risk	The risk to ANZ’s earnings arising from changes in interest rates, currency exchange
	rates and credit spreads, or from fluctuations in bond, commodity or equity prices.
	ANZ has grouped market risk into two broad categories to facilitate the measurement,
	reporting and control of market risk:
	Traded market risk - the risk of loss from changes in the value of financial
	instruments due to movements in price factors for physical and derivative trading
	positions. Trading positions arise from transactions where ANZ acts as principal with
	clients or with the market.
	Non-traded market risk (or balance sheet risk) - comprises interest rate risk in the
	banking book and the risk to the AUD denominated value of ANZ’s capital and
	earnings due to foreign exchange rate movements.

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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	QCCP is a central counterparty which is an entity that interposes itself between
Counterparties (QCCP)	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.

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