2019 BASEL III PILLAR 3 DISCLOSURE

AS AT 31 MARCH 2019 APS330: PUBLIC DISCLOSURE

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ANZ Basel III Pillar 3 Disclosure

March 2019

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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table of Contents[1]

Chapter 1 – Highlights ....................................................................................................... 3
Chapter 2 – Introduction .................................................................................................... 5
Purpose of this document ............................................................................................. 5
Chapter 3 – Capital and capital adequacy ............................................................................. 6
Table 1 Capital disclosure template ........................................................................... 7
Table 2 Main features of capital instruments ............................................................ 17
Table 6 Capital adequacy ....................................................................................... 18
Chapter 4 – Credit risk ..................................................................................................... 20
Table 7 Credit risk – General disclosures ................................................................. 20
Table 8 Credit risk – Disclosures for portfolios subject to the Standardised approach
and supervisory risk weights in the IRB approach .......................................... 33
Table 9 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 34
Table 10 Credit risk mitigation disclosures ................................................................. 42
Table 11 Counterparty Credit Risk ............................................................................ 45
Chapter 5 – Securitisation ................................................................................................ 47
Table 12 Banking Book - Securitisation disclosures ..................................................... 47
Trading Book - Securitisation disclosures ...................................................... 55
Chapter 6 – Market risk ................................................................................................... 56
Table 13 Market risk – Standard approach ................................................................. 56
Table 14 Market risk – Internal models approach........................................................ 57
Chapter 7 – Equities ....................................................................................................... 59
Table 16 Equities – Disclosures for banking book positions .......................................... 59
Chapter 8 – Interest Rate Risk in the Banking Book ............................................................. 60
Table 17 Interest Rate Risk in the Banking Book ........................................................ 60
Chapter 9 – Leverage and Liquidity Ratio ........................................................................... 61
Table 18 Leverage Ratio .......................................................................................... 61
Table 19 Summary comparison of accounting assets vs. leverage ratio exposure
measure .................................................................................................. 62
Table 20 Liquidity Coverage Ratio ............................................................................. 63
Table 21 NSFR disclosure template ........................................................................... 64
Glossary ......................................................................................................................... 66

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

ANZ Basel III Pillar 3 Disclosure

March 2019

Chapter 1 – Highlights

APRA Common Equity Tier 1 Capital (CET1) – Level 2

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0.84
0.17
11.44 (0.58) 11.49
(0.29) (0.09)
Sep 18 Organic * Dividends paid Divestments Share buyback Other Mar 19
Capital
Generation
Organic capital generation comprises cash earnings (excluding
large/notable items), movement in underlying RWA (excluding from foreign
exchange translation impacts, regulatory changes and other one-offs) and
movement in business capital deductions.
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Capital ratio for March 2019

• CET1 ratios have increased in the half to March 2019 mainly due to cash profit generation, net reduction in underlying RWA growth (excluding foreign exchange impacts, regulatory changes and other one-offs), and benefits from asset sales. Partially offsetting these were the impact from payment of the 2018 final dividend and on-market share buy back during the half.

• The APRA CET1 ratio is currently in excess of APRA’s ‘unquestionably strong’ benchmark of 10.5% CET1.

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Exposure at Default ($bn)
944 968
930
Mar 18 Sep 18 Mar 19
Standardised QCCP Specialised Lending
QRR & Other Retail Residential Mortgage Bank & Sovereign
Corporate
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EAD up $24bn to $968bn for 1H19

• Underlying increase in EAD driven by FX of $11.4bn and volume growth of $12.3bn being Corporate (+$8.7bn), Bank (+$3.0bn), Specialised Lending (+$2.7bn) and Sovereign (+$1.8bn) assets classes. This was partially offset by reductions in Standardised (-$1.8bn) and Other Retail (-$1.8bn).

*Exposure at Default is post Credit Risk Mitigation (CRM) and does not include Securitisation, Equities or Other Assets.

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Impaired Assets up $11m HoH

• Increase in Impaired Asset HoH is driven by an increase in the Australia Division (+$72m) driven by a single name exposure and an increase in the home loan portfolio. This was partially offset by a decrease in the Institutional division (-$69m) driven by repayments and writeoffs.

ANZ Basel III Pillar 3 Disclosure

March 2019

Provision Ratios (Provisions / Credit RWA)

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1.24%
1.05% 1.02%
0.98%
0.75%
0.75%
Mar 18 Sep 18 Mar 19
Total Provision Balance / CRWA
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Collective Provision Balance / CRWA

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Provision coverage remains sound

• The Total Provision ratio increased by 22bps and Collective Provision ratio increased 23bps driven by the transition to AASB 9 Financial Instruments which has resulted in an $813 million increase to Collectively Assessed Provisions for Credit Impairment.

• For comparison purposes the ratios as at 1 October 2018 were Total Provision ratio 1.26% and Collective Provision ratio 0.99%.

Movements in Credit Risk Weighted Assets ($bn)

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337.6 1.6 3.6 2.7 345.5
Sep 18 Growth FX Impact Other Mar 19
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Credit Risk Weighted Assets (CRWA) increased by $7.9bn HoH.

Driven by increase in volume of AIRB Corporate exposures combined with increase in Residential mortgages due to application of a regulatory determined risk weight adjustments.

**Average Risk Weights (CRWA / EAD*)**

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Mar 18
88%
Sep 18 84%
Mar 19
60%
50%
27% 26%
11%
Corporate Bank & Sovereign Residential QRR & Other Specialised Other Standardised
Mortgage Retail Lending
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*Exposure at Default is post Credit Risk Mitigation (CRM) and does not include Securitisation, Equities or Other Assets.

ANZ Basel III Pillar 3 Disclosure

March 2019

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 Minimumcapital requirement	Pillar 2 Supervisoryreviewprocess	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 an agreed upon procedure review 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 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 contingent liabilities) 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 different 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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Chapter 3 – Capital and Capital Adequacy

Table 1 Capital 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 Capital 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 information in the lines of the template has been mapped to ANZ’s Level 2 balance sheet, which adjusts for nonconsolidated 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 non-consolidated 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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 1 Capital disclosure template

		Mar 19	Reconciliation
			Table
		$M	Reference
	Common Equity Tier 1 Capital: instruments and reserves
1	Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital	26,156	Table A
2	Retained earnings	31,860	Table B
3	Accumulated other comprehensive income (and other reserves)	1,716	Table C
4	Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned	n/a
	companies)
5	Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in	53	Table D
	groupCET1)
6	Common Equity Tier 1 capital before regulatory adjustments	59,785
	Common Equity Tier 1 capital : regulatory adjustments
7	Prudential valuation adjustments	-
8	Goodwill (net of related tax liability)	3,865	Table E
9	Other intangibles other than mortgage servicing rights (net of related tax liability)	2,854	Table F
10	Deferred tax assets that rely on future profitability excluding those arising from temporary	9	Table J
	differences (net of related tax liability)
11	Cash-flow hedge reserve	444
12	Shortfall of provisions to expected losses	42	Table G
13	Securitisation gain on sale	-
14	Gains and losses due to changes in own credit risk on fair valued liabilities	13
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	-
18	Investments in the capital of banking, financial and insurance entities that are outside the	-
	scope of regulatory consolidation, net of eligible short positions, where the ADI does not own
	more than 10% of the issued share capital (amount above 10% threshold)
19	Significant investments in the ordinary shares of banking, financial and insurance entities that	-
	are outside the scope of regulatory consolidation, net of eligible short positions (amount
	above 10% threshold)
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)	6,904
26a	of which: treasury shares	-
26b	of which: offset to dividends declared under a dividend reinvestment plan (DRP),	-
	to the extent to that the dividends are used to purchase new ordinary shares issued by
	the ADI
26c	of which: deferred fee income	(142)
26d	of which: equity investment in financial institutions not reported in rows 18, 19 and 23	4,814	Table I
26e	of which: deferred tax assets not reported in rows 10, 21 and 25	1,153	Table J
26f	of which: capitalised expenses	1,019	Table K
26g	of which: investments in commercial (non-financial) entities that are deducted under	33	Table L
	APRA rules
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	27
27	Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 to	-
	cover deductions
28	Total regulatory adjustments to CET1	14,257
29	Common Equity Tier 1 capital (CET1)	45,528

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 1 Capital disclosure template

		Mar 19	Reconciliation
			Table
		$M	Reference
	Additional Tier 1 Capital: instruments
30	Directly issued qualifying Additional Tier 1 instruments	7,662	Table M
31	of which: classified as equity under applicable accounting standards	-
32	of which: classified as liabilities under applicable accounting standards	7,662	Table M
33	Directly issued capital instruments subject to phase out from Additional Tier 1	-	Table M
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by	298	Table M
	subsidiaries and held by third parties (amount allowed in group AT1)
35	of which: instruments issued by subsidiaries subject to phase out	n/a
36	Additional Tier 1 capital before regulatory adjustments	7,960
	Additional Tier 1 Capital: regulatory adjustments
37	Investments in own Additional Tier 1 instruments	-
38	Reciprocal cross-holdings in Additional Tier 1 instruments	-
39	Investments in the capital of banking, financial and insurance entities that are outside the	-
	scope of regulatory consolidation, net of eligible short positions, where the ADI does not own
	more than 10% of the issued share capital (amount above 10% threshold)
40	Significant investments in the capital of banking, financial and insurance entities that are	405	Table M
	outside the scope of regulatory consolidation, (net of eligible short positions)
41	National specific regulatory adjustments (sum of rows 41a - 41c)	8
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	7
	regulatory consolidations not reported in rows 39 and 40
41c	of which: other national specific regulatory adjustments not reported in rows 41a and 41b	1	Table M
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 cover deductions	-
43	Total regulatory adjustments to Additional Tier 1 capital	413
44	Additional Tier 1 capital (AT1)	7,547
45	Tier 1 Capital (T1=CET1+AT1)	53,075
	Tier 2 Capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments	6,670
47	Directly issued capital instruments subject to phase out from Tier 2	661	Table N
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by	61
	subsidiaries and held by third parties (amount allowed in group T2)
49	of which: instruments issued by subsidiaries subject to phase out	-
50	Provisions	307
51	Tier 2 capital before regulatory adjustments	7,699
	Tier 2 Capital: regulatory adjustments
52	Investments in own Tier 2 instruments	10	Table N
53	Reciprocal cross-holdings in Tier 2 instruments	-
54	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, where the ADI does not
	own more than 10% of the issued share capital (amount above 10%
55	Significant investments in the Tier 2 capital of banking, financial and insurance entities that	85	Table N
	are outside the scope of regulatory consolidation, net of eligible short positions
56	National specific regulatory adjustments (sums of rows 56a - 56c)	35
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	35	Table N
	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 adjustment to Tier 2 capital	130
58	Tier 2 capital (T2)	7,569
59	Total capital (TC=T1+T2)	60,644
60	Total risk-weighted assets based on APRA standards	396,291

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 1 Capital disclosure template[3]

		Mar 19	Reconciliation
			Table
		$M	Reference
	Capital ratios and buffers
61	Common Equity Tier 1 ( as a percentage of risk-weighted assets)	11.5%
62	Tier 1 (as a percentage of risk-weighted assets)	13.4%
63	Total capital (as a percentage of risk-weighted assets)	15.3%
64	Institution specific buffer requirement (minimum CET1 requirement plus capital conservation	8.053%
	buffer plus countercyclical buffer requirements plus G-SIBs buffer requirement, expressed as
	a percentage of risk-weighted assets)
65	of which: capital conservation buffer requirement	3.5%3
66	of which: ADI-specific countercyclical buffer requirements	0.053%
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)	7.0%
	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	115
73	Significant investments in the ordinary shares of financial entities	4,740	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)	1,153	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	151
	approach (prior to application of cap)
77	Cap on inclusion of provisions in Tier 2 under standardised approach	255
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-	156
	based approach (prior to application of cap)
79	Cap for inclusion of provisions in Tier 2 under internal ratings-based approach	1,951
	Capital instruments subject to phase-out arrangements (only application between 1	Blank
	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	n/a
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	n/a
85	Amount excluded from T2 due to cap (excess over cap after redemption and maturities)	-

Counter Cyclical Capital Buffer

	Hong	Sweden	Norway	United	Other	Total
Geographic breakdown of Private Sector Credit Exposures	Kong			Kingdom
	$M	$M	$M	$M	$M	$M
RWA for all private sector credit exposures	3,440	356	493	6,341	306,102	316,732
Jurisdictional buffer set by national authorities	2.500%	2.000%	2.000%	1.000%	-	-
Countercyclical buffer requirement	0.028%	0.002%	0.003%	0.020%	-	0.053%

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

ANZ Basel III Pillar 3 Disclosure

March 2019

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 and Cash Equivalents	93,996	(99)	93,897
Settlement Balances owed to ANZ	4,041	-	4,041
Collateral Paid	11,860	-	11,860
Trading securities	42,857	-	42,857
of which: Financial Institutions capital instruments			85	Table N
Derivative financial instruments	79,375	-	79,375
Investment Securities	78,882	(598)	78,284
of which: non-significant investment in financial institutions			74	Table I
equity instruments
of which: other entities equity investments			29	Table L
of which: significant equity investments			1,215	Table I
of which: collectively assessed provisions			(12)
Net loans and advances	609,255	(1,093)	608,162
of which: deferred fee income			(142)	Row 26c
of which: collectively assessed provisions			(2,736)	Table G
of which: individually assessed provisions			(891)	Table G
of which: capitalised brokerage			77	Table K
of which: CET1 margin lending adjustment			27	Row 26j
of which: AT1 margin lending adjustment			1	Table M
Regulatory deposits	944	-	944
Assets held for sale	43,549	(42,209)	1,340
of which: Goodwill			10	Table E
of which: Deferred Tax assets			9
Due from controlled entities	-	1,224	1,224
of which: Significant investments in the Tier 2 capital of banking,			85	Table N
financial and insurance entities that are outside the scope of regulatory
consolidation
Shares in controlled entities	-	3,116	3,116
of which: Investment in deconsolidated financial subsidiaries			2,711	Table I
of which: AT1 significant investment in banking, financial and insurance			405	Table M
entities that are outside the scope of regulatory consolidation
Investment in associates	2,737	-	2,737
of which: Financial Institutions			2,735	Table I
of which: Other Entities			2	Table L
Current tax assets	500	30	530
Deferred tax assets	1,146	(2)	1,144	Table J
of which: Deferred tax assets that rely on future profitability			10
Goodwill and other intangible assets	5,017	(9)	5,008
of which: Goodwill			3,640	Table E
of which: Software			1,368	Table F
Premises and equipment	1,863	-	1,863
Other assets	4,222	22	4,244
of which: Defined benefit superannuation fund net assets			158
Total Assets	980,244	(39,618)	940,626

ANZ Basel III Pillar 3 Disclosure

March 2019

	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	12,371	-	12,371
Collateral Received	5,726	-	5,726
Deposits and other borrowings	634,989	4,351	639,340
Derivative financial instruments	80,871	-	80,871
Due to controlled entities	-	1,616	1,616
Current tax liabilities	159	(47)	112
Deferred tax liabilities	48	-	48	Table J
of which: related to intangible assets			8	Table F
of which: related to capitalised expenses			5	Table K
of which: related to defined benefit super assets			32	Table H
Liabilities held for sale	46,555	(44,078)	2,477
Provisions	2,221	(90)	2,131
of which: collectively assessed provision			630	Table G
Payables and other liabilities	7,641	(463)	7,178
Debt Issuances	129,692	(1,095)	128,597
of which: Directly issued qualifying Additional Tier 1			7,561	Table M
instruments
of which: Additional Tier 1 Instruments			478	Table M
of which: Directly issued capital instruments subject to phase			1,630	Table N
out from Tier 2
of which: Directly issued qualifying Tier 2 instruments			6,599	Table N
Total Liabilities	920,273	(39,806)	880,467

Net Assets	59,971	188	60,159
	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	26,048	328	26,376	Table A
of which: Share reserve			220	Tables A & C
Reserves	1,709	(148)	1,561	Table C
of which: Cash flow hedging reserves			444	Row 11
Retained earnings	32,064	8	32,072	Table B
Share capital and reserves attributable to shareholders of	59,821	188	60,009
the company
Non-controlling interests	150	-	150	Table D
Total Shareholders' Equity	59,971	188	60,159

ANZ Basel III Pillar 3 Disclosure

March 2019

The following reconciliation tables provide additional information on the difference between Table 1 Capital Disclosure Template and the Level 2 Balance Sheet.

		Mar 19	Table 1
Table A		$M	Reference
	Issued capital	26,376
Less	Reclassification to Reserves	(220)	Table C
	Regulatory Directly Issued qualifying ordinary shares	26,156	Row 1
		Mar 19	Table 1
Table B		$M	Reference
	Retained earnings	32,072
Less	Regulatory reclassification from significant investments in the ordinary shares of banking,	(212)	Table I
	financial and insurance entities outside the scope of regulatoryconsolidation
	Retained earnings	31,860	Row 2
		Mar 19	Table 1
Table C		$M	Reference
	Reserves	1,561
Add	Reclassification from Issued Capital	220	Table A
Less	Non qualifying reserves	(65)
	Reserves for Regulatory capital purposes (amount allowed in group CET1)	1,716	Row 3
		Mar 19	Table 1
Table D		$M	Reference
	Non-controlling interests	150
Less	Surplus capital attributable to minority shareholders	(97)
	Ordinary share capital issued by subsidiaries and held by third parties	53	Row 5
		Mar 19	Table 1
Table E		$M	Reference
	Goodwill	3,640
Add	Goodwill classified as Held for Sale	10
Add	Goodwill component of investments in financial associates	215	Table I
	Goodwill (net of related tax liability)	3,865	Row 8
		Mar 19	Table 1
Table F		$M	Reference
	Software	1,368
Less	Associated deferred tax liabilities	(8)
Add	Regulatory reclassification from significant investments in the ordinary shares of banking,	1,494	Table I
	financial and insurance entities outside the scope of regulatoryconsolidation
	Other intangibles other than mortgage servicing rights (net of related tax liability)	2,854	Row 9

ANZ Basel III Pillar 3 Disclosure

March 2019

		Mar 19	Table 1
Table G		$M	Reference
	Qualifying collective provision
	Collectively assessed provision on Loans and advances	(2,736)
	Collectively assessed provision on Investment Securities	(12)
	Collectively assessed provision on Undrawn commitments	(630)
Less	Non-qualifying collectively assessed provision	395
Less	Standardised collectively assessed provision	151
Less	Non-defaulted expected loss	2,675
	Non-Defaulted: Expected Loss - Eligible Provision Shortfall	-
	Qualifying individual provision
	Individually assessed provision	(891)
Add	Additional individually assessed provision for partial write offs	(310)
Less	Standardised individually assessed provision	85
Add	Collectively assessed provision on advanced defaulted	(373)
Less	Defaulted expected loss	1,531
	Defaulted: Expected Loss - Eligible Provision Shortfall	42
	Expected Loss - Eligible Provision Shortfall	42	Row 12
		Mar 19	Table 1
Table H		$M	Reference
	Defined benefit superannuation fund net assets	158
Less	Associated deferred tax liabilities	(32)
	Defined benefit superannuation fund net assets	126	Row 15
		Mar 19	Table 1
Table I		$M	Reference
	Investment in deconsolidated financial subsidiaries	2,711
Less	Regulatory reclassification to Retained Earnings and Other Intangible Assets	(1,706)	Tables B & F
Add	Investment in financial associates	2,735
Add	Investment in financial institutions Investment Securities	1,215
Less	Goodwill component of investments in financial associates	(215)	Table E
Less	Amount below 10% threshold of CET1	(4,740)	Row 73
	Significant investments in the ordinary shares of banking, financial and insurance entities that	-	Row 19
	are outside the scope of regulatory consolidation, net of eligible short positions (amount above
	10% threshold)
Add	Deduction amount below the 10% threshold of CET 1	4,740	Row 73
Add	Investments in the capital of banking, financial and insurance entities that are outside the scope	74
	of regulatory consolidation, net of eligible short positions, where the ADI does not own more than
	10% of the issued share capital – Investment securities exposures
	Equity investment in financial institutions not reported in rows 18, 19 and 23	4,814	Row 26d
	Deduction for equity holdings in financial institutions - APRA regulations	4,814

ANZ Basel III Pillar 3 Disclosure

March 2019

		Mar 19	Table 1
Table J		$M	Reference
	Deferred tax assets	1,144
Add	Deferred tax liabilities	(48)
Add	Deferred tax assets reclassified to Held for Sale	9
	Deferred tax asset less deferred tax liabilities	1,105
Less	Deferred tax assets that rely on future profitability	(9)	Row 10
Add	Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit super assets	44
Add	Impact of calculating the deduction on a jurisdictional basis	13
	Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure	1,153	Row 26e
	Template
		Mar 19	Table 1
Table K		$M	Reference
	Capitalised brokerage costs	947
	Capitalised debt and capital issuance expenses	77
Less	Associated deferred tax liabilities	(5)
	Capitalised expenses	1,019	Row 26f
		Mar 19	Table 1
Table L		$M	Reference
	Investments in non financial Investment Securities equities	29
	Investments in non financial associates	2
	Non financial equity exposures (loans)	2
	Equity exposures to non financial entities	33	Row 26g
		Mar 19	Table 1
Table M		$M	Reference
	Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities	7,561
Add	Issue costs	45
Add	Fair value adjustment	56
	Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities	7,662	Row 30
	Additional Tier 1 instruments issued by subsidiaries held by third parties	478
Add	Issue costs	1
Less	Surplus capital attributable to third party holders	(181)
	AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group AT1)	298	Row 34
	Additional Tier 1 capital before regulatory adjustments	7,960	Row 36
Less	Significant investments in the capital of banking, financial and insurance entities that are outside	(405)	Row 40
	the scope of regulatory consolidation
	Investments in the capital of financial institutions that are outside the scope of regulatory	(7)	Row 41b
	consolidations not reported in rows 39 and 40
Less	Other national specific regulatory adjustments not reported	(1)	Row 41c
	Additional Tier 1 capital	7,547	Row 44

ANZ Basel III Pillar 3 Disclosure

March 2019

		Mar 19	Table 1
Table N		$M	Reference
	Directly issued capital instruments subject to phase out from Tier 2	1,630
Less	Amortisation of Tier 2 Capital Instruments subject to Phase out	(950)
Less	Fair value adjustment	(19)
	Directly issued capital instruments subject to phase out from Tier 2	661	Row 47
Add	Surplus capital attributable to third party holders	61
Add	Directly issued qualifying Tier 2 instruments	6,599	Row 46
Add	Issue costs	9
Add	Fair value adjustment	62
Add	Provisions	307
	Tier 2 capital before regulatory adjustments	7,699	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	(85)	Row 55
	outside the scope of regulatory consolidation, net of eligible short positions
Less	Investments in the capital of financial institutions that are outside the scope of regulatory	(35)	Row 56b
	consolidation not reported in rows 54 and 55
	Tier 2 capital	7,569	Row 58

ANZ Basel III Pillar 3 Disclosure

March 2019

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

regulatory consolidation.
		Total Assets	Total Liabilities
Entity	Activity	$M	$M
ACN 008 647 185 Pty Ltd	Holding Company	-	-
ANZ ILP Pty Ltd	Incorporated Legal Practice	3	-
ANZ Investment Services (New Zealand) Limited	Funds Management	43	14
ANZ Lenders Mortgage Insurance Pty Limited	Mortgage insurance	1,049	632
ANZ Pensions (UK) Limited	Trustee/Nominee	461	-
ANZ Life Assurance Company Pty Ltd	Insurance	-	-
ANZ New Zealand Investments Limited	Funds Management	154	40
ANZ New Zealand Investments Nominees Limited	Nominee	-	-
ANZ Self Managed Super Ltd	Investment	-	-
ANZ Wealth Alternative Investments Management Pty	Investment	966	962
Ltd
ANZ Wealth Australia Limited	Holding Company /	1,962	-
	Corporate
ANZ Wealth New Zealand Limited	Holding Company	125	-
ANZcover Insurance Private Ltd	Captive-Insurance	131	103
AUT Administration Pty Ltd	Dormant	-	-
Financial Planning Hotline Pty Ltd	Advice	-	-
Kingfisher Trust 2016-1	Securitisation Trust	1,114	1,114
Looking Together Pty Ltd	Property Price Information	-	-
OASIS Asset Management Limited	Investment	16	1
OASIS Fund Management Limited	Superannuation	12	5
OnePath Administration Pty Ltd	Service Company	(10)	(16)
OnePath Custodians Pty Ltd	Superannuation	60	1
OnePath Funds Management Limited	Investment	35	15
OnePath General Insurance Pty Ltd	Insurance	90	57
OnePath Investment Holdings Pty Ltd	Investment	7	-
OnePath Life Australia Holdings Pty Ltd	Holding Company	1,951	-
OnePath Life Limited	Insurance	40,880	39,338
Shout for Good Pty Ltd	Corporate	-	-
Tandem Financial Advice Pty Limited	Advice	-	-
Union Investment Company Pty Limited	Advice	-	-

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 2 Main features of capital instruments

As the main features 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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 6 Capital adequacy - Capital Ratio and Risk Weighted Assets[4][5]

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

	Mar 19	Sep 18	Mar 18
Risk weighted assets	$M	$M	$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	127,989	121,891	123,253
Sovereign	7,016	6,955	6,896
Bank	15,511	15,908	15,129
Residential Mortgage	101,469	97,764	99,560
Qualifying Revolving Retail	5,795	6,314	6,845
Other Retail	28,029	29,373	30,769
Credit risk weighted assets subject to Advanced IRB approach	285,809	278,205	282,452

Credit risk Specialised Lending exposures subject to slotting approach4	35,696	33,110	32,065

Subject to Standardised approach
Corporate	12,252	13,760	15,105
Residential Mortgage	331	327	321
Other Retail	81	88	102
Credit risk weighted assets subject to Standardised approach	12,664	14,175	15,528

Credit Valuation Adjustment and Qualifying Central Counterparties	6,217	7,344	7,864
Credit risk weighted assets relating to securitisation exposures	1,558	1,600	1,728
Other assets	3,579	3,146	3,185
Total credit risk weighted assets	345,523	337,580	342,822
Market risk weighted assets	5,790	6,808	6,558
Operational risk weighted assets	37,733	37,618	37,378
Interest rate risk in the banking book (IRRBB) risk weighted assets	7,245	8,814	9,019
Total risk weighted assets	396,291	390,820	395,777
Capital ratios (%)5
Level 2 Common Equity Tier 1 capital ratio	11.5%	11.4%	11.0%
Level 2 Tier 1 capital ratio	13.4%	13.4%	12.9%
Level 2 Total capital ratio	15.3%	15.2%	14.9%
Level 1: Extended licensed Common Equity Tier 1 capital ratio	11.2%	11.6%	10.9%
Level 1: Extended licensed entity Tier 1 capital ratio	13.2%	13.6%	12.9%
Level 1: Extended licensed entity Total capital ratio	15.3%	15.6%	15.1%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:	BLANK
ANZ Bank New Zealand Limited – Common Equity Tier 1 capital ratio	11.4%	11.1%	11.0%
ANZ Bank New Zealand Limited - Tier 1 capital ratio	14.6%	14.4%	14.4%
ANZ Bank New Zealand Limited - Total capital ratio	14.6%	14.4%	14.4%

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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Credit Risk Weighted Assets (CRWA)

Total CRWA increased $7.9 billion (2.4%) from September 2018 to $345.5 billion at March 2019. This was driven by an increase in Corporates under the Advanced IRB approach with CRWA increasing $6.1 billion predominantly from portfolio growth in the Institutional Business. CRWA for Residential Mortgages under the Advanced IRB approach increased $3.7 billion predominately due to the application of regulatory determined risk weight adjustments.

Market Risk, Operational Risk and IRRBB RWA

Traded Market Risk RWA decreased $1 billion over the half due to reductions in both Standard VaR and Stress VaR.

IRRBB RWA decreased $1.6 billion over the half due to a reduction in Repricing and Yield Curve risk and improvement in embedded gains.

ANZ Basel III Pillar 3 Disclosure

March 2019

Chapter 4 – Credit risk

Exposure at Default in Table 7 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, and excludes Securitisation, Equities or Other Assets exposures.

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

Advanced IRB approach	Mar 19
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for half year $M Individual provision charge for half year $M Write-offs for half year $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	127,989 258,005 251,815 51 68 7,016 149,660 147,615 - - 15,511 55,029 53,196 - - 101,469 379,512 378,043 45 50 5,795 17,589 18,018 85 123 28,029 38,542 39,181 197 232
Total Advanced IRB approach	285,809 898,337 887,868 378 473
	- -
Specialised Lending	35,696 42,661 41,062 1 2
Standardised approach
Corporate Residential Mortgage Other Retail	12,252 13,519 14,291 1 19 331 716 710 (1) 1 81 80 84 1 3
Total Standardised approach	12,664 14,315 15,085 1 23

Credit Valuation Adjustment and Qualifying Central Counterparties	6,217 12,530 11,966 - -

Total	340,386 967,843 955,981 380 498

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

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 7(b) part (i): Period end and average Exposure at Default (continued)

Advanced IRB approach	Sep 18
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for half year $M Individual provision charge for half year $M Write-offs for half year $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	121,891 245,625 241,708 1 90 6,955 145,569 143,426 (3) - 15,908 51,363 50,016 - - 97,764 376,573 376,328 56 41 6,314 18,447 18,889 93 140 29,373 39,819 40,700 211 277
Total Advanced IRB approach	278,205 877,396 871,067 358 548

Specialised Lending	33,110 39,462 38,661 2 4
Standardised approach
Corporate Residential Mortgage Other Retail	13,760 15,064 15,646 (19) 15 327 704 693 1 3 88 87 94 1 3
Total Standardised approach	14,175 15,855 16,433 (17) 21

Credit Valuation Adjustment and Qualifying Central Counterparties	7,344 11,402 10,997 - -

Total	332,834 944,115 937,158 343 573
Advanced IRB approach	Mar 18
	Risk Weighted Assets $M Exposure at Default $M Average Exposure at Default for half year $M Individual provision charge for half year $M Write-offs for half year $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	123,253 237,791 234,083 68 142 6,896 141,282 136,378 - - 15,129 48,668 46,604 - - 99,560 376,082 371,376 42 24 6,845 19,331 20,693 92 139 30,769 41,580 41,766 197 287
Total Advanced IRB approach	282,452 864,734 850,900 399 592

Specialised Lending	32,065 37,860 37,533 (4) 4
Standardised approach
Corporate Residential Mortgage Other Retail	15,105 16,228 15,342 - 16 321 681 1,565 2 1 102 101 1,045 33 38
Total Standardised approach	15,528 17,010 17,952 35 55

Credit Valuation Adjustment and Qualifying Central Counterparties	7,864 10,591 10,255 - -

Total	337,909 930,195 916,640 430 651

ANZ Basel III Pillar 3 Disclosure

March 2019

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

				Average for
				half year
	Mar 19	Sep 18	Mar 18	Mar 19
Portfolio Type	$M	$M	$M	$M
Cash	61,314	57,604	56,499	59,459
Contingents liabilities, commitments, and other off-balance sheet exposures	157,005	153,021	152,263	155,013
Derivatives	43,924	42,752	43,357	43,338
Settlement Balances	8	16	19	12
Investment Securities	77,158	73,296	69,149	75,227
Net Loans, Advances & Acceptances	600,846	592,967	582,380	596,907
Other assets	5,348	4,387	2,873	4,868
Trading Securities	22,240	20,072	23,655	21,156
Total exposures	967,843	944,115	930,195	955,980

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

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Portfolio Type	Mar 19
	Australia New Zealand Asia Pacific, Europe and Americas Total $M $M $M $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail Qualifying Central Counterparties Specialised Lending	137,863 47,503 86,158 271,524 50,526 12,732 86,402 149,660 27,287 4,124 23,618 55,029 295,444 84,068 716 380,228 17,589 - - 17,589 26,335 12,207 80 38,622 8,826 1,222 2,482 12,530 30,225 12,294 142 42,661
Total exposures	594,095 174,150 199,598 967,843
Portfolio Type	Sep 18
	Australia New Zealand Asia Pacific, Europe and Americas Total $M $M $M $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail Qualifying Central Counterparties Specialised Lending	134,113 44,608 81,968 260,689 48,311 12,402 84,856 145,569 22,215 4,041 25,107 51,363 298,367 78,206 704 377,277 18,447 - - 18,447 27,956 11,863 87 39,906 7,763 1,293 2,346 11,402 27,993 11,321 148 39,462
Total exposures	585,165 163,734 195,216 944,115
Portfolio Type	Mar 18
	Australia New Zealand Asia Pacific, Europe and Americas Total $M $M $M $M
Corporate Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail Qualifying Central Counterparties Specialised Lending	130,966 46,025 77,028 254,019 49,482 12,288 79,512 141,282 22,776 4,702 21,190 48,668 297,892 78,190 681 376,763 19,331 - - 19,331 29,249 12,331 101 41,681 7,561 1,321 1,709 10,591 26,633 11,154 73 37,860
Total exposures	583,890 166,011 180,294 930,195

ANZ Basel III Pillar 3 Disclosure

March 2019

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

							Mar 19
	Agriculture,			Electricity,		Financial,
	Forestry,			Gas &	Entertainment,	Investment	Government						Transport
	Fishing &	Business		Water	Leisure &	&	and Official			Property	Wholesale	Retail	&
	Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Trade	Storage	Other	Total
Portfolio Type	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	45,087	10,230	5,777	9,385	13,754	44,455	3,178	40,719	680	21,220	26,539	14,321	16,360	19,819	271,524
Sovereign	1,015	2	17	495	-	81,015	62,735	1,415	-	2,035	64	-	254	613	149,660
Bank	1	1	-	-	-	54,921	-	2	-	2	6	42	54	-	55,029
Residential Mortgage	-	-	-	-	-	-	-	-	380,228	-	-	-	-	-	380,228
Qualifying Revolving	-	-	-	-	-	-	-	-	17,589	-	-	-	-	-	17,589
Retail
Other Retail	2,954	2,764	3,891	99	2,156	631	15	1,590	13,109	1,163	1,179	3,824	1,312	3,935	38,622
Qualifying Central	-	-	-	-	-	12,530	-	-	-	-	-	-	-	-	12,530
Counterparties
Specialised Lending	1,329	4	373	1,524	164	1	-	2	-	37,511	19	16	1,310	408	42,661
Total exposures	50,386	13,001	10,058	11,503	16,074	193,553	65,928	43,728	411,606	61,931	27,807	18,203	19,290	24,775	967,843
% of Total	5.2%	1.3%	1.0%	1.2%	1.7%	20.0%	6.8%	4.5%	42.5%	6.4%	2.9%	1.9%	2.0%	2.6%	100.0%

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

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

ANZ Basel III Pillar 3 disclosure

March 2019

Table 7(d): Industry distribution of Exposure at Default (continued)

							Sep 18
	Agriculture,			Electricity,		Financial,
	Forestry,			Gas &	Entertainment,	Investment	Government						Transport
	Fishing &	Business		Water	Leisure &	&	and Official			Property	Wholesale	Retail	&
	Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Trade	Storage	Other	Total
Portfolio Type	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	43,262	9,676	5,621	9,390	13,119	41,966	2,989	39,260	710	21,199	25,351	13,988	15,171	18,987	260,689
Sovereign	1,095	1	16	604	-	77,790	62,555	1,018	-	1,600	11	-	445	434	145,569
Bank	14	9	35	57	27	50,956	-	17	-	83	31	30	78	26	51,363
Residential Mortgage	-	-	-	-	-	-	-	-	377,277	-	-	-	-	-	377,277
Qualifying Revolving	-	-	-	-	-	-	-	-	18,447	-	-	-	-	-	18,447
Retail
Other Retail	3,046	2,887	4,000	104	2,239	663	16	1,634	13,567	1,212	1,213	4,013	1,353	3,959	39,906
Qualifying Central	-	-	-	-	-	11,402	-	-	-	-	-	-	-	-	11,402
Counterparties
Specialised Lending	1,283	5	367	1,212	77	1	-	3	-	34,868	14	16	1,054	562	39,462
Total exposures	48,700	12,578	10,039	11,367	15,462	182,778	65,560	41,932	410,001	58,962	26,620	18,047	18,101	23,968	944,115
% of Total	5.2%	1.3%	1.1%	1.2%	1.6%	19.5%	6.9%	4.4%	43.5%	6.2%	2.8%	1.9%	1.9%	2.5%	100.0%
							Mar 18
	Agriculture,			Electricity,		Financial,
	Forestry,			Gas &	Entertainment,	Investment	Government						Transport
	Fishing &	Business		Water	Leisure &	&	and Official			Property	Wholesale	Retail	&
	Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Trade	Storage	Other	Total
Portfolio Type	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	43,623	9,941	5,678	9,461	13,456	37,230	2,849	37,790	730	19,685	24,776	13,405	16,109	19,286	254,019
Sovereign	1,095	-	28	773	-	73,584	62,706	1,048	-	1,420	13	-	344	271	141,282
Bank	2	4	1	27	-	48,465	-	13	-	-	27	2	127	-	48,668
Residential Mortgage	-	-	-	-	-	-	-	-	376,763	-	-	-	-	-	376,763
Qualifying Revolving	-	-	-	-	-	-	-	-	19,331	-	-	-	-	-	19,331
Retail
Other Retail	3,174	2,956	4,100	105	2,318	691	16	1,661	14,453	1,244	1,257	4,177	1,401	4,128	41,681
Qualifying Central	-	-	-	-	-	10,591	-	-	-	-	-	-	-	-	10,591
Counterparties
Specialised Lending	815	6	375	1,599	67	1	-	1	-	33,561	17	16	955	447	37,860
Total exposures	48,709	12,907	10,182	11,965	15,841	170,562	65,571	40,513	411,277	55,910	26,090	17,600	18,936	24,132	930,195
% of Total	5.2%	1.4%	1.1%	1.3%	1.7%	18.4%	7.0%	4.4%	44.2%	6.0%	2.8%	1.9%	2.0%	2.6%	100.0%

ANZ Basel III Pillar 3 Disclosure

March 2019

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

			Mar 19
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	113,793	142,076	15,517	138	271,524
Sovereign	86,706	44,577	18,377	-	149,660
Bank	37,777	16,757	495	-	55,029
Residential Mortgage	340	1,038	350,139	28,711	380,228
Qualifying Revolving Retail	-	-	-	17,589	17,589
Other Retail	13,926	6,552	18,144	-	38,622
Qualifying Central Counterparties	4,685	4,665	2,819	361	12,530
Specialised Lending	17,997	22,795	1,821	48	42,661
Total exposures	275,224	238,460	407,312	46,847	967,843
			Sep 18
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	113,477	132,355	14,711	146	260,689
Sovereign	82,871	44,102	18,596	-	145,569
Bank	35,539	15,424	400	-	51,363
Residential Mortgage	329	993	346,915	29,040	377,277
Qualifying Revolving Retail	-	-	-	18,447	18,447
Other Retail	13,933	7,142	18,831	-	39,906
Qualifying Central Counterparties	3,881	4,427	2,736	358	11,402
Specialised Lending	16,627	21,023	1,766	46	39,462
Total exposures	266,657	225,466	403,955	48,037	944,115
			Mar 18
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	112,769	125,869	15,231	150	254,019
Sovereign	79,422	36,023	25,837	-	141,282
Bank	33,167	15,078	423	-	48,668
Residential Mortgage	311	1,100	345,272	30,080	376,763
Qualifying Revolving Retail	-	-	-	19,331	19,331
Other Retail	14,537	7,645	19,499	-	41,681
Qualifying Central Counterparties	3,372	4,053	2,824	342	10,591
Specialised Lending	16,825	19,695	1,290	50	37,860
Total exposures	260,403	209,463	410,376	49,953	930,195

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

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Mar 19
Industry Sector 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
Agriculture, Forestry, Fishing & Mining - 551 Business Services - 100 Construction - 130 Electricity, gas and water supply - 2 Entertainment Leisure & Tourism - 114 Financial, Investment & Insurance - 102 Government & Official Institutions - - Manufacturing - 105 Personal - 672 Property Services - 73 Retail Trade - 116 Transport & Storage - 70 Wholesale Trade - 48 Other - 77	122 117 - 21 39 45 23 14 61 59 21 18 1 2 - - 62 47 22 20 14 60 14 5 - - - - 27 65 1 36 2,659 320 235 301 75 24 5 6 75 60 28 44 16 25 10 8 25 29 4 9 82 38 17 16
Total - 2,160	3,258 891 380 498

11 Impaired derivatives are net of credit value adjustment (CVA) of $20 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2018: $27 million; March 2018: $36 million).

12 Impaired loans / facilities include restructured items of $264 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 2018: $269 million; March 2018: $76 million).

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

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Sep 18
Industry Sector 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
Agriculture, Forestry, Fishing & Mining - 567 Business Services - 72 Construction - 118 Electricity, gas and water supply - 2 Entertainment Leisure & Tourism - 102 Financial, Investment & Insurance - 86 Government & Official Institutions - - Manufacturing - 140 Personal - 637 Property Services - 75 Retail Trade - 136 Transport & Storage - 72 Wholesale Trade - 65 Other - 77	90 39 62 1 54 19 - 23 2,359 36 73 20 20 66	136 (12) 31 32 3 14 53 6 26 1 - - 42 17 25 48 2 22 - - - 102 (13) 23 311 271 351 21 (3) 7 74 36 31 22 12 10 33 2 16 45 22 17
Total - 2,149	2,862	920 343 573
	Mar 18
Industry Sector 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
Agriculture, Forestry, Fishing & Mining - 459 Business Services - 81 Construction - 157 Electricity, gas and water supply - 1 Entertainment Leisure & Tourism - 127 Financial, Investment & Insurance - 103 Government & Official Institutions - - Manufacturing - 193 Personal - 641 Property Services - 60 Retail Trade - 145 Transport & Storage - 73 Wholesale Trade - 86 Other - 81	92 40 64 1 55 14 - 23 2,351 38 72 20 20 75	169 (5) 39 32 17 18 73 16 69 1 - 1 45 17 29 68 58 5 - - - 130 18 22 298 263 353 28 3 5 67 35 30 22 (13) 10 46 4 19 37 17 51
Total - 2,207	2,865	1,016 430 651

ANZ Basel III Pillar 3 Disclosure

March 2019

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

			Mar 19
					Individual	Write-
		Impaired	Past due	Individual	provision	offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	-	1,050	167	375	51	68
Sovereign	-	-	-	-	-	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	335	2,655	156	45	50
Qualifying Revolving Retail	-	76		-	85	123
Other Retail	-	491	369	256	197	232
Total Advanced IRB approach	-	1,952	3,191	787	378	473

Specialised Lending	-	38	32	6	1	2
Portfolios subject to Standardised
approach
Corporate	-	138	14	87	1	19
Residential Mortgage	-	19	13	9	(1)	1
Other Retail	-	13	8	2	1	3
Total Standardised approach	-	170	35	98	1	23

Qualifying Central Counterparties	-	-	-	-	-	-

Total	-	2,160	3,258	891	380	498

ANZ Basel III Pillar 3 Disclosure

March 2019

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

			Sep 18
					Individual	Write-
		Impaired	Past due	Individual	provision	offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	-	1,051	161	394	1	90
Sovereign	-	-	-	-	(3)	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	304	2,291	160	56	41
Qualifying Revolving Retail	-	76	-	-	93	140
Other Retail	-	490	353	247	211	277
Total Advanced IRB approach	-	1,921	2,805	801	358	548

Specialised Lending	-	43	22	7	2	4
Portfolios subject to Standardised
approach
Corporate	-	150	17	101	(19)	15
Residential Mortgage	-	20	12	9	1	3
Other Retail	-	15	6	2	1	3
Total Standardised approach	-	185	35	112	(17)	21

Qualifying Central Counterparties	-	-	-	-	-	-

Total	-	2,149	2,862	920	343	573
			Mar 18
					Individual	Write-
		Impaired	Past due	Individual	provision	offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
	$M	$M	$M	$M	$M	$M
Portfolios subject to Advanced IRB approach
Corporate	-	997	140	456	68	142
Sovereign	-	-	-	3	-	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	272	2,333	144	42	24
Qualifying Revolving Retail	-	88	-	5	92	139
Other Retail	-	545	336	260	197	287
Total Advanced IRB approach	-	1,902	2,809	868	399	592

Specialised Lending	-	28	17	9	(4)	4
Portfolios subject to Standardised
approach
Corporate	-	237	23	127	-	16
Residential Mortgage	-	25	12	10	2	1
Other Retail	-	15	4	2	33	38
Total Standardised approach	-	277	39	139	35	55

Qualifying Central Counterparties	-	-	-	-	-	-

Total	-	2,207	2,865	1,016	430	651

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Mar 19
Geographic region Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia - 1,637 2,966 New Zealand - 313 256 Asia Pacific, Europe and America - 210 36	656 2,484 108 437 127 457
Total - 2,160 3,258	891 3,378
Sep 18
Geographic region Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia - 1,590 2,644 New Zealand - 328 183 Asia Pacific, Europe and America - 231 35	650 1,796 121 352 149 375
Total - 2,149 2,862	920 2,523

Mar 18
Geographic region Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥ 90 days $M	Individual provision balance $M Collective provision balance $M
Australia - 1,510 2,647 New Zealand - 361 178 Asia Pacific, Europe and America - 336 40	668 1,822 165 393 183 364
Total - 2,207 2,865	1,016 2,579

14 Impaired derivatives are net of credit value adjustment (CVA) of $20 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2018: $27 million; March 2018: $36 million).

15 Impaired loans / facilities include restructured items of $264 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 2018: $269 million; March 2018: $76 million).

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

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

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March 2019

Table 7(h): Provision for Credit Impairment[18]

	Half year	Half year	Half year
	Mar 19	Sep 18	Mar 18
Collectively Assessed Provision	$M	$M	$M
Balance at start of period	3,336	2,579	2,662
Charge/(Release) to Income Statement	12	(63)	(22)
Adjustment for exchange rate fluctuations and transfers	30	7	18
Retail Asia divestment	-	-	(79)
Total Collectively Assessed Provision	3,378	2,523	2,579
1 October Transition to AASB 9		813
Total Collectively Assessed Provision		3,336
Individually Assessed Provision
Balance at start of period	920	1,016	1,136
New and increased provisions	625	716	728
Write-backs	(152)	(234)	(191)
Adjustment for exchange rate fluctuations and transfers	7	5	5
Discount unwind	(11)	(10)	(7)
Bad debts written off	(498)	(573)	(651)
Asia Retail and Wealth divestment	-	-	(4)
Total Individually Assessed Provision	891	920	1,016

Total Provisions for Credit Impairment	4,269	3,443	3,595

1 October Transition to AASB 9 Total Provisions for Credit Impairment		4,256

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[19] S2

		Mar 19
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collectively Assessed Provision	395	2,983	3,378
Individually Assessed Provision	891	-	891
Total Provision for Credit Impairment	1,286	2,983	4,269

		Sep 18
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collectively Assessed Provision	307	2,216	2,523
Individually Assessed Provision	920	-	920
Total Provision for Credit Impairment	1,227	2,216	3,443

		Mar 18
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collectively Assessed Provision	312	2,267	2,579
Individually Assessed Provision	1,016	-	1,016
Total Provision for Credit Impairment	1,328	2,267	3,595

18 The Group has adopted AASB 9 Financial Instruments effective from 1 October 2018 which has resulted in an $813 million increase to Collectively Assessed Provisions for Credit Impairment.

19 Due to definitional differences, there is a variation in the split between ANZ’s Individually Assessed and Collectively Assessed 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 2019

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]

Mar 19 Standardised approach exposures $M	Sep 18 Mar 18 $M $M
0% - 20% 383 35% 362 50% 2,589 75% - 100% 10,658 150% 320 >150% 3 Capital deductions -	- - 487 255 359 344 2,351 2,462 - - 12,467 13,643 188 303 3 3 - -
Total 14,315	15,855 17,010
Other Asset exposures
0% - 20% 818 35% - 50% - 75% - 100% 3,415 150% - >150% - Capital deductions -	- - 865 907 - - - - - - 2,974 3,004 - - - - - -
Total 4,233	3,839 3,911
Specialised Lending exposures
0% 201 70% 20,389 90% 19,369 115% 2,046 250% 656	193 99 18,225 15,983 18,402 19,164 2,084 2,153 558 461
Total 42,661	39,462 37,860

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

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March 2019

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. For these counterparties, external ratings by Standard & Poor’s and Moody’s Investors Service are used as inputs into the RWA calculation. As described in the section on the ANZ rating system, ANZ has mapped its master scale to the grading of these two External Credit Assessment Institutions (ECAIs).

ANZ applies its full normal risk measurement and management framework to these segments for internal management purposes. 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. 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.

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 2019

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 a 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 APRA approved, and 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 grading’s 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 Aa3	AAA to AA-	0.0000 - 0.0346%
2+ to 3+	A1 to Baa1	A+ to BBB+	0.0347 - 0.1636%
3= to 4+	Baa2 to > Baa3	BBB to > BB+	0.1637 - 0.4004%
4= to 6=	Ba1 to B1	BB+ to B+	0.4005 – 2.7550%
6- to 7=	B2 to B3	B to B-	2.7551 – 9.7980%
7- to 8+	Caa	CCC	9.7981 – 27.1109%
8=	Ca,C	CC,C	27.1110 – 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 Basel III Pillar 3 Disclosure

March 2019

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

					Mar 19
	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	24,071	75,429	82,915	57,029	14,719	2,105	1,737	258,005
Sovereign	121,841	22,498	2,180	649	2,458	33	1	149,660
Bank	22,421	27,875	3,677	916	136	4	-	55,029
Total	168,333	125,802	88,772	58,594	17,313	2,142	1,738	462,694
% of Total	36.3%	27.2%	19.2%	12.7%	3.7%	0.5%	0.4%	100.0%
Undrawn commitments (included in above)
Corporate	7,415	29,225	21,602	8,829	1,573	231	42	68,917
Sovereign	1,305	47	111	12	2	-	-	1,477
Bank	1	587	28	-	-	-	-	616
Total	8,721	29,859	21,741	8,841	1,575	231	42	71,010
Average Exposure at Default
Corporate	10.996	8.165	1.639	0.688	0.131	0.217	0.628	0.958
Sovereign	168.289	368.813	31.597	9.136	30.727	11.051	0.277	148.032
Bank	10.800	5.413	8.755	3.878	4.401	0.158	-	6.931
Exposure-weighted average Loss Given Default			(%)
Corporate	54.5%	56.2%	45.8%	37.1%	34.1%	39.8%	46.1%	47.0%
Sovereign	5.3%	11.8%	35.7%	45.8%	54.1%	60.0%	5.0%	7.7%
Bank	63.8%	61.6%	64.3%	68.7%	66.1%	71.1%	-	62.8%
Exposure-weighted average risk weight (%)
Corporate	17.7%	32.4%	51.3%	63.5%	89.6%	187.6%	116.7%	49.1%
Sovereign	1.0%	3.1%	38.1%	91.4%	147.0%	310.0%	-	4.7%
Bank	19.6%	27.2%	64.7%	115.2%	193.9%	376.2%	-	28.5%

24 In accordance with APS 330, EAD in Table 9(d) includes Advanced IRB exposures and excludes 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 2019

Table 9(d): Non Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach (continued)

					Sep 18
	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	24,269	68,253	79,833	54,934	14,790	1,636	1,910	245,625
Sovereign	120,919	19,532	1,822	903	2,375	17	1	145,569
Bank	17,177	27,971	4,183	1,917	109	6	-	51,363
Total	162,365	115,756	85,838	57,754	17,274	1,659	1,911	442,557
% of Total	36.7%	26.2%	19.4%	13.1%	3.9%	0.4%	0.4%	100.0%
Undrawn commitments (included in above)
Corporate	8,015	24,703	22,462	7,943	1,631	245	33	65,032
Sovereign	952	68	-	11	2	-	-	1,033
Bank	6	450	28	131	3	-	-	618
Total	8,973	25,221	22,490	8,085	1,636	245	33	66,683
Average Exposure at Default
Corporate	11.109	8.117	1.603	0.651	0.130	0.172	0.714	0.911
Sovereign	161.225	542.567	31.972	9.219	30.444	5.712	0.653	142.296
Bank	12.013	7.359	11.951	6.223	0.998	0.209	-	8.514
Exposure-weighted average Loss Given Default			(%)
Corporate	55.7%	55.8%	46.5%	37.0%	33.8%	38.7%	43.6%	47.0%
Sovereign	5.3%	11.5%	39.9%	46.7%	53.9%	60.0%	5.0%	7.6%
Bank	63.5%	62.5%	65.0%	65.0%	34.8%	42.7%	-	63.0%
Exposure-weighted average risk weight (%)
Corporate	18.5%	32.3%	52.2%	63.2%	88.0%	180.6%	109.6%	49.2%
Sovereign	1.0%	3.0%	43.0%	94.7%	146.5%	267.3%	-	4.8%
Bank	20.3%	26.4%	65.1%	113.1%	114.2%	251.7%	-	31.0%
					Mar 18
	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	19,419	62,744	78,496	58,649	14,245	2,409	1,829	237,791
Sovereign	120,077	16,108	1,760	1,001	2,323	13	-	141,282
Bank	17,342	25,651	3,928	1,668	71	8	-	48,668
Total	156,838	104,503	84,184	61,318	16,639	2,430	1,829	427,741
% of Total	36.7%	24.4%	19.7%	14.3%	3.9%	0.6%	0.4%	100.0%
Undrawn commitments (included in above)
Corporate	5,731	24,602	23,306	9,165	1,506	275	44	64,629
Sovereign	862	70	8	51	3	-	-	994
Bank	139	506	1	-	2	-	-	648
Total	6,732	25,178	23,315	9,216	1,511	275	44	66,271
Average Exposure at Default
Corporate	6.812	7.567	1.628	0.666	0.124	0.237	0.671	0.865
Sovereign	158.412	413.028	34.493	8.558	27.334	6.747	-	134.298
Bank	7.791	5.489	8.908	6.391	1.019	0.185	-	6.311
Exposure-weighted average Loss Given Default			(%)
Corporate	54.7%	55.8%	46.6%	37.6%	34.3%	41.0%	47.5%	46.7%
Sovereign	5.4%	12.6%	38.9%	49.3%	51.1%	60.0%	-	7.7%
Bank	63.4%	62.4%	66.3%	67.6%	72.3%	55.6%	-	63.3%
Exposure-weighted average risk weight (%)
Corporate	18.2%	32.2%	52.0%	64.2%	88.2%	196.9%	118.1%	51.2%
Sovereign	1.1%	3.4%	44.4%	105.2%	138.3%	267.3%	-	4.9%
Bank	20.7%	26.5%	68.5%	113.4%	197.3%	309.6%	-	31.1%

ANZ Basel III Pillar 3 Disclosure

March 2019

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

					Mar 19
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	72,179	101,882	62,220	129,353	7,357	3,477	3,044	379,512
Qualifying Revolving Retail	5,700	3,914	1,358	4,262	1,638	644	73	17,589
Other Retail	1,101	5,542	2,448	21,259	5,052	2,142	998	38,542
Total	78,980	111,338	66,026	154,874	14,047	6,263	4,115	435,643
% of Total	18.1%	25.6%	15.2%	35.6%	3.2%	1.4%	0.9%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	15,461	7,497	2,782	7,197	31	22	1	32,991
Qualifying Revolving Retail	4,178	2,943	828	1,587	446	60	2	10,044
Other Retail	833	3,575	1,577	2,809	513	77	8	9,392
Total	20,472	14,015	5,187	11,593	990	159	11	52,427
Average Exposure at Default
Residential Mortgage	0.250	0.232	0.258	0.259	0.340	0.326	0.275	0.251
Qualifying Revolving Retail	0.009	0.008	0.008	0.011	0.010	0.006	0.009	0.009
Other Retail	0.008	0.016	0.013	0.024	0.009	0.012	0.026	0.017
Exposure-weighted average	Loss Given Default (%)
Residential Mortgage	19.7%	18.4%	19.2%	20.7%	20.3%	20.0%	19.9%	19.6%
Qualifying Revolving Retail	75.6%	80.5%	77.6%	81.4%	84.6%	82.7%	83.6%	79.4%
Other Retail	55.3%	54.7%	73.2%	45.6%	66.4%	56.6%	47.1%	52.3%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	5.9%	11.5%	19.1%	39.8%	94.1%	127.6%	188.2%	25.5%
Qualifying Revolving Retail	3.5%	8.1%	16.2%	45.4%	105.0%	201.7%	230.3%	33.3%
Other Retail	29.7%	37.0%	55.6%	59.5%	115.7%	170.2%	221.7%	72.7%

ANZ Basel III Pillar 3 Disclosure

March 2019

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

grade
					Sep 18
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	72,571	100,911	61,451	127,212	7,944	3,830	2,654	376,573
Qualifying Revolving Retail	5,776	3,911	1,521	4,695	1,767	703	74	18,447
Other Retail	1,056	5,353	2,384	22,156	5,780	2,125	965	39,819
Total	79,403	110,175	65,356	154,063	15,491	6,658	3,693	434,839
% of Total	18.3%	25.3%	15.0%	35.4%	3.6%	1.5%	0.8%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	15,368	7,284	2,689	7,431	37	27	1	32,837
Qualifying Revolving Retail	4,225	2,957	982	1,948	507	79	1	10,699
Other Retail	811	3,418	1,544	2,945	546	81	8	9,353
Total	20,404	13,659	5,215	12,324	1,090	187	10	52,889
Average Exposure at Default
Residential Mortgage	0.251	0.231	0.252	0.248	0.332	0.324	0.272	0.246
Qualifying Revolving Retail	0.009	0.008	0.009	0.011	0.010	0.006	0.009	0.009
Other Retail	0.008	0.015	0.012	0.025	0.010	0.011	0.027	0.017
Exposure-weighted average	Loss Given Default (%)
Residential Mortgage	19.7%	18.5%	19.2%	20.7%	20.3%	20.0%	19.9%	19.7%
Qualifying Revolving Retail	75.5%	80.2%	77.5%	81.3%	84.7%	82.8%	83.5%	79.3%
Other Retail	56.6%	54.5%	73.6%	45.2%	65.1%	57.7%	46.8%	52.0%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	5.9%	11.6%	19.3%	40.0%	94.1%	127.7%	190.5%	25.6%
Qualifying Revolving Retail	3.5%	8.1%	16.3%	44.8%	105.1%	201.4%	232.6%	34.2%
Other Retail	30.5%	36.9%	55.8%	59.1%	112.7%	172.4%	255.0%	73.8%
					Mar 18
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	70,037	99,897	61,545	129,372	8,360	4,213	2,658	376,082
Qualifying Revolving Retail	5,799	4,005	1,590	5,184	1,902	768	83	19,331
Other Retail	1,107	5,603	2,440	23,055	6,253	2,149	973	41,580
Total	76,943	109,505	65,575	157,611	16,515	7,130	3,714	436,993
% of Total	17.6%	25.1%	15.0%	36.1%	3.8%	1.6%	0.8%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	15,252	7,274	2,678	8,363	37	22	-	33,626
Qualifying Revolving Retail	4,250	3,026	1,019	2,304	576	88	1	11,264
Other Retail	829	3,569	1,587	3,209	563	81	6	9,844
Total	20,331	13,869	5,284	13,876	1,176	191	7	54,734
Average Exposure at Default
Residential Mortgage	0.246	0.231	0.251	0.247	0.326	0.325	0.272	0.245
Qualifying Revolving Retail	0.009	0.008	0.009	0.011	0.010	0.006	0.009	0.009
Other Retail	0.008	0.016	0.013	0.025	0.011	0.011	0.025	0.017
Exposure-weighted average	Loss Given Default (%)
Residential Mortgage	19.7%	18.5%	19.1%	20.8%	20.3%	20.0%	20.0%	19.7%
Qualifying Revolving Retail	75.5%	80.3%	77.4%	81.1%	84.5%	82.8%	83.5%	79.3%
Other Retail	55.6%	54.4%	73.7%	45.5%	64.9%	57.7%	48.2%	52.2%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	5.9%	11.7%	19.3%	40.1%	94.3%	128.1%	193.7%	26.1%
Qualifying Revolving Retail	3.5%	8.1%	16.3%	44.9%	104.8%	201.2%	232.3%	35.4%
Other Retail	29.8%	36.7%	55.8%	59.8%	113.1%	174.4%	257.2%	74.0%

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 9(e): Actual Losses by portfolio type

	Half year Mar 19
Basel Asset Class	Individual provision charge	Write-offs
	$M	$M
Corporate	51	68
Sovereign	-	-
Bank	-	-
Residential Mortgage	45	50
Qualifying Revolving Retail	85	123
Other Retail	197	232
Total Advanced IRB	378	473
Specialised Lending	1	2
Standardised approach	1	23
Total	380	498
	Half year Sep 18
Basel Asset Class	Individual provision charge	Write-offs
	$M	$M
Corporate	1	90
Sovereign	(3)	-
Bank	-	-
Residential Mortgage	56	41
Qualifying Revolving Retail	93	140
Other Retail	211	277
Total Advanced IRB	358	548
Specialised Lending	2	4
Standardised approach	(17)	21
Total	343	573
	Half year Mar 18
Basel Asset Class	Individual provision charge	Write-offs
	$M	$M
Corporate	68	142
Sovereign	-	-
Bank	-	-
Residential Mortgage	42	24
Qualifying Revolving Retail	92	139
Other Retail	197	287
Total Advanced IRB	399	592
Specialised Lending	(4)	4
Standardised approach	35	55
Total	430	651

Factors impacting the loss experience

The individual credit impairment charge increased $37 million over the half driven by significant write backs and recoveries in AIRB Corporate and Standardised asset classes in the September 2018 half.

Write-offs decreased $75 million over the half driven by AIRB Corporate, Qualifying Revolving Retail and Other Retail asset class.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 9(f): Average estimated vs. actual PD, EAD and LGD – Advanced IRB[27]

Portfolio Type	Mar 19
	Average Estimated PD % Average Actual PD % Average estimated to actual EAD ratio Average Estimated LGD % Average Actual LGD %
Corporate Sovereign Bank Specialised Lending Residential Mortgage27 Qualifying Revolving Retail Other Retail	1.92 1.77 1.20 42.43 34.49
	0.39 Nil n/a n/a n/a
	0.65 0.08 1.02 46.00 58.30
	n/a 2.04 1.05 n/a 24.76
	0.73 0.78 1.01 20.69 1.86 2.39 1.83 1.08 76.96 69.25 4.11 3.33 1.05 53.21 42.65

APS 330 Table 9(f) 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 were no Sovereign defaults observed in ANZ Sovereign exposures for the observation period.

Wholesale Portfolios

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 2018. The actual PD is based on the number of defaulted obligors up to February 2019 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 9 years of observation being 2009 to February 2019. 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 2017. 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 2017. Defaults occurring after March 2017 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.

Retail Portfolios

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 2014 to 2018. The actual PD is based on the number of defaulted obligors up to March 2019 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 period of observation being 2014 to 2018. 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 2013 to 2017. 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. Defaults occurring after March 2017 have been excluded from the analysis to allow sufficient time for workout period.

27 A revised capital model was introduced in June 2017, which will impact Average Estimated PD rates for the Australian Residential Mortgages portfolio. The current Average Estimated PD rates are based on previous capital models, with the impacts of the revised model to gradually roll through in future periods.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[28]

		Mar 19
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	13,519	7,119	2,254	69.3%
Residential Mortgage	716	-	-	0.0%
Other Retail	80	-	-	0.0%
Total	14,315	7,119	2,254	65.5%
		Sep 18
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	15,064	5,486	2,585	53.6%
Residential Mortgage	704	-	-	0.0%
Other Retail	87	-	-	0.0%
Total	15,855	5,486	2,585	50.9%
		Mar 18
		Eligible Financial	Other Eligible
	Exposure	Collateral	Collateral
	$M	$M	$M	% Coverage
Standardised approach
Corporate	16,228	5,159	3,078	50.8%
Residential Mortgage	681	-	-	0.0%
Other Retail	101	-	-	0.0%
Total	17,010	5,159	3,078	48.4%

28 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 2019

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

	Mar 19
	Exposure $M Exposures covered by Guarantees $M	Exposures covered by Credit Derivatives $M % Coverage
Advanced IRB Corporate (incl. Specialised Lending) Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	300,666 5,979 149,660 6,171 55,029 11 379,512 - 17,589 - 38,542 -	1,051 2.3% - 4.1% - 0.0% - 0.0% - 0.0% - 0.0%
Total	940,998 12,161	1,051 1.4%
Standardised approach Corporate Residential Mortgage Other Retail	13,519 43 716 - 80 -	- 0.3% - 0.0% - 0.0%
Total	14,315 43	- 0.3%

Qualifying Central Counterparties	12,530 -	- 0.0%

	Sep 18
	Exposure $M Exposures covered by Guarantees $M Exposures covered by Credit Derivatives $M % Coverage
Advanced IRB Corporate (incl. Specialised Lending) Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	285,087 7,460 856 2.9% 145,569 5,386 - 3.7% 51,363 11 - 0.0% 376,573 - - 0.0% 18,447 - - 0.0% 39,819 - - 0.0%
Total	916,858 12,857 856 1.5%
Standardised approach Corporate Residential Mortgage Other Retail	15,064 58 - 0.4% 704 - - 0.0% 87 - - 0.0%
Total	15,855 58 - 0.4%

Qualifying Central Counterparties	11,402 - - 0.0%

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Mar 18
	Exposure $M Exposures covered by Guarantees $M	Exposures covered by Credit Derivatives $M % Coverage
Advanced IRB Corporate (incl. Specialised Lending) Sovereign Bank Residential Mortgage Qualifying Revolving Retail Other Retail	275,651 6,790 141,282 5,212 48,668 10 376,082 - 19,331 - 41,580 -	824 2.8% - 3.7% - 0.0% - 0.0% - 0.0% - 0.0%
Total	902,594 12,012	824 1.4%
Standardised approach Corporate Residential Mortgage Other Retail	16,228 182 681 - 101 -	- 1.1% - 0.0% - 0.0%
Total	17,010 182	- 1.1%

Qualifying Central Counterparties	10,591 -	- 0.0%

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Net derivative credit exposure	Mar 19	Sep 18	Mar 18
	$M	$M	$M
Gross positive fair value of contracts	79,376	68,426	70,915
Netting benefits	(66,767)	(54,251)	(55,268)
Netted current credit exposure	12,609	14,175	15,647
Collateral held	(4,566)	(5,507)	(7,530)
Net derivatives credit exposure	8,043	8,668	8,117
Counterparty credit risk exposure - by portfolio type
	Mar 19	Sep 18	Mar 18
Portfolio Type	$M	$M	$M
Corporate	14,096	14,286	15,106
Sovereign	1,816	1,478	1,383
Bank	14,853	15,199	15,817
Qualifying Central Counterparties	12,530	11,402	10,591
Specialised Lending	629	387	461
Total exposures	43,924	42,752	43,358
Notional Value of Credit Derivative Hedges
	Mar 19	Sep 18	Mar 18
Product Type	$M	$M	$M
Credit Default Swaps	349	342	343
Interest Rate Swaps	-	-	-
Currency Swaps	-	-	-
Other	-	-	-
Total exposures	349	342	343

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Mar 19
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	4,451 2,702 7,153
Total notional value	4,451 2,702 7,153
Credit derivative products used for intermediation Credit default swaps Total return swaps	349 349 698 - - -
Total notional value	349 349 698
Total credit derivative notional value	4,800 3,051 7,851
	Sep 18
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	2,347 1,794 4,141
Total notional value	2,347 1,794 4,141
Credit derivative products used for intermediation Credit default swaps Total return swaps	342 342 684 - - -
Total notional value	342 342 684
Total credit derivative notional value	2,689 2,136 4,825
	Mar 18
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	2,896 2,502 5,398
Total notional value	2,896 2,502 5,398
Credit derivative products used for intermediation Credit default swaps Total return swaps	343 343 686 - - -
Total notional value	343 343 686
Total credit derivative notional value	3,239 2,845 6,084

ANZ Basel III Pillar 3 Disclosure

March 2019

Chapter 5 – Securitisation

Banking Book

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

	Mar 19
Traditional securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,092 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	71,454 - - - - - - - - -
Total 1,092	71,454 -
Synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage - Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	- - - - - - - - - -
Total -	- -
Aggregate of traditional and synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,092 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	71,454 - - - - - - - - -
Total 1,092	71,454 -

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Sep 18
Traditional securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,211 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	70,615 - - - - - - - - -
Total 1,211	70,615 -
Synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage - Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	- - - - - - - - - -
Total -	- -
Aggregate of traditional and synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,211 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	70,615 - - - - - - - - -
Total 1,211	70,615 -
	Mar 18
Traditional securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,349 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	70,709 - - - - - - - - -
Total 1,349	70,709 -
Synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage - Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	- - - - - - - - - -
Total -	- -
Aggregate of traditional and synthetic securitisations Underlying asset ANZ Originated $M	ANZ Self Securitised $M ANZ Sponsored $M
Residential mortgage 1,349 Credit cards and other personal loans - Auto and equipment finance - Commercial loans - Other -	70,709 - - - - - - - - -
Total 1,349	70,709 -

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Underlying asset	Mar 19
	ANZ originated $M ANZ Self Securitised $M Impaired $M Past due $M Losses recognised for the six month ended $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	1,092 71,454 - 54 - - - - - - - - - - - - - - - - - - - - -
Total	1,092 71,454 - 54 -
Underlying asset	Sep 18
	ANZ originated $M ANZ Self Securitised $M Impaired $M Past due $M Losses recognised for the six month ended $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	1,211 70,615 - 52 - - - - - - - - - - - - - - - - - - - - -
Total	1,211 70,615 - 52 -
Underlying asset	Mar 18
	ANZ originated $M ANZ Self Securitised $M Impaired $M Past due $M Losses recognised for the six month ended $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	1,349 70,709 - 57 - - - - - - - - - - - - - - - - - - - - -
Total	1,349 70,709 - 57 -

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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type and facility[29]

	Mar 19	Mar 19
Securitisation activity by underlying asset type	Original value securitised ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M		Recognised gain or loss on sale $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	(119) 839 - - - - - - - -	- - - - -	- - - - -
Total	(119) 839	-	-

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) - - - 39 -
Total			(611)
	Sep 18
Securitisation activity by underlying asset type	Original value securitised ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M		Recognised gain or loss on sale $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	(138) (94) - - - - - - - -	- - - - -	- - - - -
Total	(138) (94)	-	-

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			(3) 600 - - - (444) 5
Total			158

29 Activity represents net movement in outstandings.

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Securitisation activity by underlying asset type	Mar 18	Mar 18
	Original value securitised ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M		Recognised gain or loss on sale $M
Residential mortgage Credit cards and other personal loans Auto and equipment finance Commercial loans Other	(179) (302) - - - - - - - -	- - - - -	- - - - -
Total	(179) (302)	-	-
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			(51) (162) - - - (404) 6
Total			(611)

ANZ Basel III Pillar 3 Disclosure

March 2019

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

	Mar 19	Sep 18	Mar 18
Securitisation exposure type - On balance sheet	$M	$M	$M
Liquidity facilities	-	-	-
Funding facilities	6,574	6,924	7,126
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	1,760	1,721	2,165
Protection provided	-	-	-
Other	141	104	128
Total	8,475	8,749	9,418
	Mar 19	Sep 18	Mar 18
Securitisation exposure type - Off Balance Sheet	$M	$M	$M
Liquidity facilities	12	13	17
Funding facilities	1,320	1,362	1,411
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	1,332	1,375	1,428
	Mar 19	Sep 18	Mar 18
Total Securitisation exposure type	$M	$M	$M
Liquidity facilities	12	13	17
Funding facilities	7,894	8,286	8,537
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	1,760	1,721	2,165
Protection provided	-	-	-
Other	141	104	128
Total	9,807	10,124	10,846

ANZ Basel III Pillar 3 Disclosure

March 2019

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

		Mar 19		Sep 18		Mar 18
Securitisation risk	Regulatory	Risk	Regulatory	Risk	Regulatory	Risk
weights	credit	weighted	credit	weighted	credit	weighted
	exposure	assets	exposure	assets	exposure	assets
	$M	$M	$M	$M	$M	$M
≤ 25%	9,807	1,558	10,124	1,600	10,846	1,728
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	-	-	-	-	-	-
>75 ≤ 100%	-	-	-	-	-	-
>100 ≤ 650%	-	-	-	-	-	-
1250% (Deduction)	-	-	-	-	-	-
Total	9,807	1,558	10,124	1,600	10,846	1,728
		Mar 19		Sep 18		Mar 18
Resecuritisation risk	Regulatory	Risk	Regulatory	Risk	Regulatory	Risk
weights	credit	weighted	credit	weighted	credit	weighted
	exposure	assets	exposure	assets	exposure	assets
	$M	$M	$M	$M	$M	$M
≤ 25%	-	-	-	-	-	-
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	-	-	-	-	-	-
>75 ≤ 100%	-	-	-	-	-	-
>100 ≤ 650%	-	-	-	-	-	-
1250% (Deduction)	-	-	-	-	-	-
Total	-	-	-	-	-	-
		Mar 19		Sep 18		Mar 18
Total Securitisation risk	Regulatory	Risk	Regulatory	Risk	Regulatory	Risk
weights	credit	weighted	credit	weighted	credit	weighted
	exposure	assets	exposure	assets	exposure	assets
	$M	$M	$M	$M	$M	$M
≤ 25%	9,807	1,558	10,124	1,600	10,846	1,728
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	-	-	-	-	-	-
>75 ≤ 100%	-	-	-	-	-	-
>100 ≤ 650%	-	-	-	-	-	-
1250% (Deduction)	-	-	-	-	-	-
Total	9,807	1,558	10,124	1,600	10,846	1,728

ANZ Basel III Pillar 3 Disclosure

March 2019

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.

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

ANZ does not have any retained or purchased Resecuritisation exposures.

ANZ Basel III Pillar 3 Disclosure

March 2019

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.

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

ANZ does not have any Regulatory credit exposures by exposure type

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

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 APS 120 and the associated Capital requirements

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

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

ANZ does not have any Securitisation exposures deducted from Capital.

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

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

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

ANZ does not have any retained or purchased Resecuritisation exposures.

ANZ Basel III Pillar 3 Disclosure

March 2019

Chapter 6 – Market risk

Table 13 Market risk – Standard approach

Table 13(b): Market risk – Standard approach[30]

	Mar 19 $M	Sep 18 Mar 18 $M $M
Interest rate risk Equity position risk Foreign exchange risk Commodity risk	109 - - -	76 100 - - - - - -
Total	109	76 100

Risk Weighted Assets equivalent	1,363	950 1,250

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

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 14 Market risk – Internal models approach

Table 14(f): Value at Risk (VaR) and stressed VaR over the reporting period[31]

Six months ended Mar 19	Six months ended Mar 19
99% 1 Day Value at Risk (VaR) Mean $M Maximum $M	Minimum $M Period end $M
Foreign Exchange 4.8 9.5 Interest Rate 6.6 10.3 Credit 2.4 4.4 Commodity 2.1 3.9 Equity - -	2.0 3.6 4.6 5.0 1.2 4.1 1.4 2.3 - -
Six months ended Sep 18
99% 1 Day Value at Risk (VaR) Mean $M Maximum $M	Minimum $M Period end $M
Foreign Exchange 3.3 6.4 Interest Rate 13.6 18.7 Credit 2.9 3.5 Commodity 3.8 4.5 Equity - -	1.7 3.7 6.0 8.3 2.3 2.5 3.3 3.7 - -
Six months ended Mar 18
99% 1 Day Value at Risk (VaR) Mean $M Maximum $M	Minimum $M Period end $M
Foreign Exchange 5.0 10.3 Interest Rate 10.8 15.5 Credit 5.1 6.5 Commodity 2.4 3.5 Equity - -	2.1 3.3 6.8 12.7 3.4 3.6 1.4 3.5 - -
Six months ended Mar 19
99% 10 Day Stressed VaR Mean $M Maximum $M Minimum $M Period end $M
Foreign Exchange 61.8 105.3 25.7 63.0 Interest Rate 58.0 86.7 33.6 43.8 Credit 34.5 58.1 18.9 46.9 Commodity 9.0 14.9 4.6 11.9 Equity - - - -
Six months ended Sep 18
99% 10 Day Stressed VaR Mean $M Maximum $M Minimum $M Period end $M
Foreign Exchange 42.1 80.7 15.4 71.0 Interest Rate 81.3 198.5 49.3 49.3 Credit 30.9 36.1 21.8 32.1 Commodity 17.0 26.0 7.5 10.4 Equity - 0.1 - -
Six months ended Mar 18
99% 10 Day Stressed VaR Mean $M Maximum $M Minimum $M Period end $M
Foreign Exchange 40.8 74.0 20.0 46.3 Interest Rate 68.6 166.5 35.3 64.5 Credit 37.3 49.3 29.0 29.0 Commodity 13.3 24.0 4.3 21.3 Equity 0.1 0.3 - -

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

ANZ Basel III Pillar 3 Disclosure

March 2019

Comparison of VaR estimates with actual gains/losses experienced

Total traded market risks back testing exceptions were within the APS 116 green zone for the period.

==> picture [325 x 311] intentionally omitted <==

ANZ Basel III Pillar 3 Disclosure

March 2019

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

Equity investments	Mar 19 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	3,937 3,683 119 119
Total	4,056 3,802
Equity investments	Sep 18 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	3,554 2,869 86 86
Total	3,640 2,955
Equity investments	Mar 18 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	3,444 2,831 151 151
Total	3,595 2,982

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

	Half Year	Half Year	Half Year
	Mar 19	Sep 18	Mar 18
Realised gains (losses) on equity investments	$M	$M	$M
Cumulative realised gains (losses) from disposals	42	124	353
and liquidations in the reporting period
Cumulative realised losses from impairment and writedowns in	-	-	-
the reporting period
	42	124	353
	Half Year	Half Year	Half Year
	Mar 19	Sep 18	Mar 18
Unrealised gains (losses) on equity investments	$M	$M	$M
Total unrealised gains (losses)	160	36	170
Reversal of prior period unrealised gains (losses) from disposals	-		-
and liquidations in the reporting period

Total unrealised gains (losses) included in Common	160	36	170
Equity Tier 1, Tier 1 and/or Tier 2 capital

Table 16(f): Equities Risk Weighted Assets

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

ANZ Basel III Pillar 3 Disclosure

March 2019

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 19	Sep 18	Mar 18
Interest rate shock applied	$M	$M	$M
AUD
200 basis point parallel increase	(336)	(485)	(339)
200 basis point parallel decrease	327	497	344
NZD
200 basis point parallel increase	(76)	(133)	(112)
200 basis point parallel decrease	64	129	106
USD
200 basis point parallel increase	0	(76)	(46)
200 basis point parallel decrease	1	76	52
GBP
200 basis point parallel increase	33	21	12
200 basis point parallel decrease	(34)	(21)	(12)
Other
200 basis point parallel increase	24	(48)	(96)
200 basis point parallel decrease	(22)	52	103

IRRBB regulatory capital	580	705	722
IRRBB regulatory RWA	7,245	8,814	9,019

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 significantly different to the base modelling assumptions.

ANZ Basel III Pillar 3 Disclosure

March 2019

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 they have proposed a minimum of 3.5% for internal ratings based approach ADI.

At 31 March 2019, the Group’s Leverage Ratio of 5.4% was above the 3% minimum currently required by the BCBS. Table 18 below shows the Group’s Leverage Ratio calculation as at 31 March 2019 and Table 19 summarises the reconciliation of accounting assets and leverage ratio exposure measure at 31 March 2019.

Table 18 Leverage Ratio

		Mar 19	Sep 18	Mar 18
		$M	$M	$M
	On-balance sheet exposures
1	On-balance sheet items (excluding derivatives and SFTs, but including collateral)	824,997	799,199	795,034
2	(Asset amounts deducted in determining Basel III Tier 1 capital)	(14,082)	(13,794)	(14,762)
3	Total on-balance sheet exposures (excluding derivatives and SFTs)	810,915	785,405	780,272

	Derivative exposures
4	Replacement cost associated with all derivatives transactions (i.e. net of eligible cash	8,074	8,702	8,267
	variation margin)
5	Add-on amounts for PFE associated with all derivatives transactions	31,651	29,471	31,107
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	(8,789)	(8,106)	(7,199)
	transactions)
8	(Exempted CCP leg of client-cleared trade exposures)	-	-	-
9	Adjusted effective notional amount of written credit derivatives	2,060	2,137	2,851
10	(Adjusted effective notional offsets and add-on deductions for written credit	(1,557)	(1,528)	(2,279)
	derivatives)
11	Total derivative exposures	31,439	30,676	32,747

	Securities financing transaction exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sale accounting	36,256	34,173	29,543
	transactions
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(1,344)	(253)	(1,240)
14	CCR exposure for SFT assets	2,375	2,146	1,048
15	Agent transaction exposures	-	-	-
16	Total securities financing transaction exposures	37,287	36,066	29,351

	Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	245,941	245,108	233,527
18	(Adjustments for conversion to credit equivalent amounts)	(139,999)	(142,298)	(133,606)
19	Off-balance sheet items	105,942	102,810	99,921
	Capital and Total Exposures
20	Tier 1 capital32	53,075	52,218	51,125
21	Total exposures	985,583	954,957	942,291
	Leverage ratio
22	Basel III leverage ratio	5.4%	5.5%	5.4%

32 Prior period numbers have not been restated for impacts of transition to AASB 15.

ANZ Basel III Pillar 3 Disclosure

March 2019

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

		Mar 19	Sep 18	Mar 18
		$M	$M	$M
1	Total consolidated assets as per published financial statements	980,244	942,624	935,116
2	Adjustment for investments in banking, financial, insurance or commercial entities	(39,618)	(40,829)	(39,623)
	that are consolidated for accounting purposes but outside the scope of regulatory
	consolidation.
3	Adjustment for assets held on the balance sheet in a fiduciary capacity pursuant to	-	-	-
	the Australian Accounting Standards but excluded from the leverage ratio exposure
	measure
4	Adjustments for derivative financial instruments.	(47,936)	(37,747)	(38,168)
5	Adjustment for SFTs (i.e. repos and similar secured lending)	1,033	1,893	(193)
6	Adjustment for off-balance sheet exposures (i.e. conversion to credit equivalent	105,942	102,810	99,921
	amounts of off-balance sheet exposures)
7	Other adjustments	(14,082)	(13,794)	(14,762)
	Leverage ratio exposure	985,583	954,957	942,291

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 20 Liquidity Coverage Ratio disclosure template

			Mar 19		Dec 18		Sep 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)	-	141,966	-	142,176	-	143,308
2	Alternative liquid assets (ALA)	-	41,999	-	40,899	-	40,897
3	Reserve Bank of New Zealand (RBNZ)	-	5,579	-	5,699	-	10,672
	securities
	Cash outflows
4	Retail deposits and deposits from small	196,966	20,100	196,568	20,702	200,900	21,704
	business customers
5	of which: stable deposits	75,599	3,780	76,098	3,805	76,278	3,814
6	of which: less stable deposits	121,367	16,320	120,470	16,897	124,622	17,890
7	Unsecured wholesale funding	198,225	110,546	203,583	115,711	191,856	106,859
8	of which: operational deposits (all	57,304	13,840	57,906	13,820	57,716	13,760
	counterparties) and deposits in
	networks for cooperative banks
9	of which: non-operational deposits	128,579	84,364	134,548	90,762	121,176	80,135
	(all counterparties)
10	of which: unsecured debt	12,342	12,342	11,129	11,129	12,964	12,964
11	Secured wholesale funding		1,165		1,721		1,679
12	Additional requirements	136,570	35,619	136,658	37,934	142,461	42,596
13	of which: outflows related to	20,668	20,668	24,686	24,686	29,301	29,301
	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	115,902	14,951	111,972	13,248	113,160	13,295
16	Other contractual funding obligations	10,508	-	10,119	-	10,200	-
17	Other contingent funding obligations	70,505	4,292	70,557	4,723	66,375	3,872
18	Total cash outflows		171,722		180,791		176,710
	Cash inflows
19	Secured lending (e.g. reverse repos)	28,676	1,542	26,712	1,728	27,371	1,271
20	Inflows from fully performing exposures	33,223	22,715	29,119	19,000	29,633	19,433
21	Other cash inflows	15,336	15,336	16,829	16,829	19,211	19,211
22	Total cash inflows	77,235	39,593	72,660	37,557	76,215	39,915
23	Total liquid assets		189,544		188,774		194,877
24	Total net cash outflows		132,129		143,234		136,795
25	Liquidity Coverage Ratio (%)		143.5%		131.8%		142.5%
	Number of data points used (simple	Blank	63		66		65
	average)

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 31 March 2019 was 143.5% with total liquid assets exceeding net outflows by an average of $57.4b.

The main contributors to net cash 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.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 21 NSFR disclosure template

	Mar 19
Available Stable Funding (ASF) Item	Unweighted value by residual maturity	BLANK
	No maturity < 6 months 6 months to < 1yr ≥ 1yr $M $M $M $M	Weighted value $M
1 Capital 2 of which: regulatory capital 3 of which: other capital instruments 4 Retail deposits and deposits from small business customers 5 of which: stable deposits 6 of which: less stable deposits 7 Wholesale funding 8 of which: operational deposits 9 of which: other wholesale funding 10 Liabilities with matching interdependent assets 11 Other liabilities 12 of which: NSFR derivative liabilities 13 of which: All other liabilities and equity not included in the above categories	59,928 - - 13,962 59,928 - - 13,962 - - - - 168,893 77,141 8,405 3,019 70,721 20,176 - - 98,172 56,965 8,405 3,019 114,982 261,217 31,330 98,983 58,098 - - - 56,884 261,217 31,330 98,983 - - - - 13,975 4,895 - 733 4,895 - - 13,975 - - 733	73,890 73,890 - 236,559 86,352 150,207 201,836 29,049 172,787 - 733 733
14 Total ASF		513,018
Required Stable Funding (RSF) Item 15(a) Total NSFR (HQLA) 15(b) ALA 15(c) RBNZ securities 16 Deposits held at other financial institutions for operational purposes - - - - 17 Performing loans and securities 17,885 127,995 33,230 430,109 18 of which: Performing loans to financial institutions secured by Level 1 HQLA - 33,176 - - 19 of which: Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions 879 36,683 3,375 10,330 20 of which: Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and public sector entities (PSEs) 16,168 52,621 24,710 119,840 21 of which: With a risk weight of less than or equal to 35% under APS 112 4 1,203 136 4,259 22 of which: Performing residential mortgages - 4,834 4,900 296,600 23 of which: With a risk weight equal to 35% under APS 112 - 4,284 4,346 252,326 24 of which: Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 838 681 245 3,339 25 Assets with matching interdependent liabilities - - - - 26 Other assets: 25,802 24,132 2,046 3,300 27 of which: Physical traded commodities, including gold 1,056 28 of which: Assets posted as initial margin for derivative contracts and contributions to default funds of central counterparties (CCPs) 1,413 - - 29 of which: NSFR derivative assets 8,074 - - 30 of which: NSFR derivative liabilities before deduction of variation margin posted 13,669 - - 31 of which: All other assets not included in the above categories 24,746 975 2,046 3,300 32 Off-balance sheet items - - 172,905		5,844 4,800 598 - 393,763 3,318 18,399 154,345 3,441 213,688 175,503 4,013 - 34,155 898 1,201 3,179 2,734 26,143 6,958
33 Total RSF		446,119
34 Net Stable Funding Ratio (%)		115.00%

ANZ's NSFR as at 31 March 2019 was 115.0%, up 0.7% in the quarter since December 2018.

The main sources of Available Stable Funding (ASF) at March 2019 were deposits from Retail and SME customers, at 46%, with other wholesale funding at 34% and capital at 14% of the total ASF.

The majority of ANZ's Required Stable Funding (RSF) at March 2019 was driven by mortgages at 48% and other lending to non-FI customers at 35% of the total RSF.

ANZ Basel III Pillar 3 Disclosure

March 2019

Table 21 NSFR disclosure template (continued)

	Dec 18
Available Stable Funding (ASF) Item	Unweighted value by residual maturity	BLANK
	No maturity < 6 months 6 months to < 1yr ≥ 1yr $M $M $M $M	Weighted value $M
1 Capital 2 of which: regulatory capital 3 of which: other capital instruments 4 Retail deposits and deposits from small business customers 5 of which: stable deposits 6 of which: less stable deposits 7 Wholesale funding 8 of which: operational deposits 9 of which: other wholesale funding 10 Liabilities with matching interdependent assets 11 Other liabilities 12 of which: NSFR derivative liabilities 13 of which: All other liabilities and equity not included in the above categories	58,792 - - 14,501 58,792 - - 14,501 - - - - 169,014 76,433 8,088 3,333 70,876 19,996 - - 98,138 56,437 8,088 3,333 102,130 280,013 37,706 92,759 57,095 - - - 45,035 280,013 37,706 92,759 - - - - 11,011 8,348 - 940 8,348 - - 11,011 - - 940	73,293 73,293 - 236,058 86,329 149,729 198,784 28,548 170,236 - 940 940
14 Total ASF		509,075
Required Stable Funding (RSF) Item 15(a) Total NSFR (HQLA) 15(b) ALA 15(c) RBNZ securities 16 Deposits held at other financial institutions for operational purposes - - - - 17 Performing loans and securities 17,559 116,749 39,472 428,125 18 of which: Performing loans to financial institutions secured by Level 1 HQLA - 27,352 2 - 19 of which: Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions 488 29,405 7,683 9,766 20 of which: Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and public sector entities (PSEs) 16,150 54,283 26,895 117,081 21 of which: With a risk weight of less than or equal to 35% under APS 112 6 1,175 162 4,210 22 of which: Performing residential mortgages - 4,848 4,700 299,127 23 of which: With a risk weight equal to 35% under APS 112 - 4,279 4,154 252,924 24 of which: Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 921 861 192 2,151 25 Assets with matching interdependent liabilities - - - - 26 Other assets: 25,333 28,570 1,446 3,493 27 of which: Physical traded commodities, including gold 2,046 28 of which: Assets posted as initial margin for derivative contracts and contributions to default funds of central counterparties (CCPs) 1,435 - - 29 of which: NSFR derivative assets 9,628 - - 30 of which: NSFR derivative liabilities before deduction of variation margin posted 16,474 - - 31 of which: All other assets not included in the above categories 23,287 1,033 1,446 3,493 32 Off-balance sheet items - - 171,664		5,681 4,690 655 - 393,422 2,736 18,506 153,893 3,409 215,149 175,319 3,138 - 33,920 1,739 1,220 1,281 3,295 26,385 6,928
33 Total RSF		445,296
34 Net Stable Funding Ratio (%)		114.32%

ANZ Basel III Pillar 3 Disclosure

March 2019

Glossary

ADI

Authorised Deposit-taking Institution.

Basel III Credit Valuation adjustment (CVA) capital charge

CVA charge is an additional capital requirement under Basel III 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.

Collectively Assessed Provision for Credit Impairment

Collective provision (CP)

Collectively assessed provisions for credit impairment represent the Expected Credit Loss (ECL) calculated in accordance with AASB 9 Financial Instruments (AASB 9). These incorporate forward looking information and do not require an actual loss event to have occurred for an impairment provision to be recognised.

Collective provision under AASB 139 Financial Instruments (AASB 139) 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 onand off-balance sheet transactions (in the banking book and trading book) with the counterparty or group of related counterparties.

Credit risk

Credit Valuation Adjustment (CVA)

The risk of financial loss resulting from a counterparty failing to fulfil its obligations, or from a decrease in credit quality of a counterparty resulting in a loss in value. 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.

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

Days past due

Exposure at Default Exposure At Default is defined as the expected facility exposure at the date of (EAD) 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 Individual provision charge is the amount of expected credit losses on financial charge (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.

Impaired loans (IL)

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.

Individual provisions (IP)

Individual provisions under AASB 139 Financial Instruments (AASB 139) are assessed on a case-by-case basis for all individually managed impaired assets taking into consideration factors such as the realisable value of security (or other credit mitigants), the likely return available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved in recovery, the market price of the exposure in secondary markets and the amount and timing of expected receipts and recoveries.

ANZ Basel III Pillar 3 Disclosure

March 2019

Internationally	The Internationally Comparable Basel III CET1 ratios are ANZ’s interpretation of the
Comparable Basel III	regulations documented in the Basel Committee publications; “Basel 3: A global
Capital Ratio	regulatory framework for more resilient banks and banking systems” (June 2011)
	and “International Convergence of Capital Measurement and Capital Standards”
	(June 2006). They also include differences identified in APRA’s information paper
	entitled International Capital Comparison Study (13 July 2015).
Market risk	The risk to ANZ’s earnings arising from changes in interest rates, foreign exchange
	rates, credit spreads, volatility, correlations 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 both physical and derivative
	trading positions. Trading positions arise from transactions where ANZ acts as
	principal with customers, financial exchanges or inter-bank counterparties.
	Non-traded market risk (or balance sheet risk) - comprises interest rate risk in the
	banking book and the risk to the AUD denominated value of ANZ’s capital and
	earnings due to foreign exchange rate movements.
Operational risk	The risk of loss resulting from inadequate or failed internal processes, people and
	systems, or from external events 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	Assets (both on and off-balance sheet) are risk weighted according to each asset’s
(RWA)	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 2019

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ANZ Basel III Pillar 3 Disclosure June 2017

AI assistant

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

10425_rns_2019-05-01_6d58039c-f5ec-46a3-9500-1391054ac81d.pdf

Important notice

Table of Contents[1]

Chapter 1 – Highlights

APRA Common Equity Tier 1 Capital (CET1) – Level 2

Capital ratio for March 2019

EAD up $24bn to $968bn for 1H19

Impaired Assets up $11m HoH

Provision Ratios (Provisions / Credit RWA)

Provision coverage remains sound

Movements in Credit Risk Weighted Assets ($bn)

Credit Risk Weighted Assets (CRWA) increased by $7.9bn HoH.

Average Risk Weights (CRWA / EAD*)

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 Capital Disclosure template

Restrictions on Transfers of Capital within ANZ

Table 1 Capital disclosure template

Table 1 Capital disclosure template

Table 1 Capital disclosure template[3]

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[4][5]

Credit Risk Weighted Assets (CRWA)

Market Risk, Operational Risk and IRRBB RWA

Chapter 4 – Credit risk

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

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

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

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

Table 7(d): Industry distribution of Exposure at Default (continued)

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

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

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 (continued)

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

Table 7(h): Provision for Credit Impairment[18]

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses[19] S2

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

Table 9(e): Actual Losses by portfolio type

Factors impacting the loss experience

Table 9(f): Average estimated vs. actual PD, EAD and LGD – Advanced IRB[27]

Wholesale Portfolios

Retail Portfolios

Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[28]

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

Table 11(b): Counterparty credit risk – 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(h): Banking Book: Impaired and Past due loans relating to ANZ originated securitisations

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[29]

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

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

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

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

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

Trading Book

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

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

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

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

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

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

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

**Average Risk Weights (CRWA / EAD*)**