Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2022

May 3, 2022

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4[th] May 2022

Market Announcements Office ASX Limited Level 4 20 Bridge Street SYDNEY NSW 2000

APS 330 Pillar 3 Disclosure at 31 March 2022

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure as at 31 March 2022.

This has been approved for distribution by ANZ’s Continuous Disclosure Committee.

Yours faithfully

Simon Pordage Company Secretary

Australia and New Zealand Banking Group Limited

Australia and New Zealand Banking Group Limited ABN 11 005 357 522 ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008

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2022 Basel lll Pillar 3 Disclosure

As at 31 March 2022

APS 330: Public Disclosure

ANZ Basel III Pillar 3 Disclosure

March 2022

Important notice

This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure obligations under the Australian P r u d e n t i a l Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

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ANZ Basel III Pillar 3 Disclosure

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Table of Contents[1]

ble of Contents1	ble of Contents1
Chapter 1 – Introduction .................................................................................................... 3
Purpose of this document ............................................................................................. 3
Chapter 2 – Capital and capital adequacy ............................................................................. 4
Table 1	Capital disclosure template ........................................................................... 5
Table 2	Main features of capital instruments ............................................................ 14
Table 6	Capital adequacy ....................................................................................... 15
Chapter 3 – Credit risk ..................................................................................................... 17
Table 7	Credit risk – General disclosures ................................................................. 17
Table 8	Credit risk – Disclosures for portfolios subject to the Standardised approach
	and supervisory risk weights in the IRB approach .......................................... 30
Table 9	Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 31
Table 10	Credit risk mitigation disclosures ................................................................. 39
Table 11	General disclosures for derivatives and counterparty credit risk ....................... 42
Chapter 4 – Securitisation ................................................................................................ 44
Table 12	Banking Book - Securitisation disclosures ..................................................... 44
	Trading Book - Securitisation disclosures ...................................................... 51
Chapter 5 – Market risk ................................................................................................... 52
Table 13	Market risk – Standard approach ................................................................. 52
Table 14	Market risk – Internal models approach........................................................ 53
Chapter 6 – Equities ....................................................................................................... 55
Table 16	Equities – Disclosures for banking book positions .......................................... 55
Chapter 7 – Interest Rate Risk in the Banking Book ............................................................. 56
Table 17	Interest Rate Risk in the Banking Book ........................................................ 56
Chapter 8 – Leverage and Liquidity Coverage Ratio ............................................................. 57
Table 18	Leverage Ratio .......................................................................................... 57
Table 19	Summary comparison of accounting assets vs. leverage ratio exposure
	measure .................................................................................................. 58
Table 20	Liquidity Coverage Ratio ............................................................................. 59
Table 21	NSFR disclosure template ........................................................................... 60
Glossary ......................................................................................................................... 62

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

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ANZ Basel III Pillar 3 Disclosure

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Chapter 1 - 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 andriskconcentrations, 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 contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default.

• Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post default repayments of principal and interest.

• Most credit risk disclosures split ANZ’s portfolio into regulatory asset classes, which span 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.

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ANZ Basel III Pillar 3 Disclosure

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Chapter 2 – 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 Common Disclosure template that assists users in understanding the differences between the application of the Basel III reforms in Australia and those rules as detailed in the document Basel III: A global regulatory framework for more resilient banks and banking systems, issued by the Bank for International Settlements. The capital disclosure template in this chapter is the post January 2018 version as ANZ is fully applying the Basel III regulatory adjustments, as implemented by APRA. Note that the capital conservation and countercyclical buffers referred to in rows 64 to 67 have been effective since 1 January 2016 and the phase out period for capital instruments began on 1 January 2013.

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 (ANZ New Zealand), which is subject to minimum capital requirements as set by the Reserve Bank of New Zealand (RBNZ). ANZ New Zealand maintains a buffer above the minimum capital base required by the RBNZ. This capital buffer has been calculated via the ICAAP undertaken for ANZ New Zealand, to ensure ANZ New Zealand is appropriately capitalised under stressed economic scenarios.

In March 2021, the RBNZ announced that the restrictions on dividends and redemption of non-CET1 capital instruments put in place in April 2020 will be eased. The updated restrictions will allow ANZ New Zealand, a New Zealand subsidiary of ANZBGL to pay up to 50% of their earnings as dividends to shareholders. This restriction will remain in place until 1 July 2022, at which point the RBNZ intends to remove the restrictions completely, subject to prevailing economic conditions. Additionally, as part of the March 2021 update, the RBNZ announced that it will remove the restrictions on redemption of non-CET1 capital instruments.

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Table 1 Capital disclosure template

		Mar 22	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	24,788	Table A
2	Retained earnings	38,013
3	Accumulated other comprehensive income (and other reserves)	(1,253)	Table B
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	2	Table C
	groupCET1)
6	Common Equity Tier 1 capital before regulatory adjustments	61,550
	Common Equity Tier 1 capital : regulatory adjustments
7	Prudential valuation adjustments	-
8	Goodwill (net of related tax liability)	3,062
9	Other intangibles other than mortgage servicing rights (net of related tax liability)	1,006	Table D
10	Deferred tax assets that rely on future profitability excluding those arising from temporary	-	Table H
	differences (net of related tax liability)
11	Cash-flow hedge reserve	(1,247)
12	Shortfall of provisions to expected losses	32	Table E
13	Securitisation gain on sale	-
14	Gains and losses due to changes in own credit risk on fair valued liabilities	98
15	Defined benefit superannuation fund net assets	164	Table F
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	-	Table G
	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)	7,924
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	(386)
26d	of which: equity investment in financial institutions not reported in rows 18, 19 and 23	3,830	Table G
26e	of which: deferred tax assets not reported in rows 10, 21 and 25	2,908	Table H
26f	of which: capitalised expenses	1,548	Table I
26g	of which: investments in commercial (non-financial) entities that are deducted under APRA	12	Table J
	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	12
27	Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 to cover	-
	deductions
28	Total regulatory adjustments to CET1	11,039
29	Common Equity Tier 1 capital (CET1)	50,511

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Table 1 Capital disclosure template

			Reconciliation
			Table
			Reference
	Additional Tier 1 Capital: instruments
30	Directly issued qualifying Additional Tier 1 instruments	7,670	Table K
31	of which: classified as equity under applicable accounting standards	-
32	of which: classified as liabilities under applicable accounting standards	7,670	Table K
33	Directly issued capital instruments subject to phase out from Additional Tier 1	-
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by	-	Table K
	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	7,670	Table K
	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	155	Table K
	outside the scope of regulatory consolidation, (net of eligible short positions)
41	National specific regulatory adjustments (sum of rows 41a - 41c)	25
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	25	Table K
	regulatory consolidations not reported in rows 39 and 40
41c	of which: other national specific regulatory adjustments not reported in rows 41a and 41b	-	Table K
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 cover deductions	-
43	Total regulatory adjustments to Additional Tier 1 capital	180
44	Additional Tier 1 capital (AT1)	7,490	Table K
45	Tier 1 Capital (T1=CET1+AT1)	58,001
	Tier 2 Capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments	14,094
47	Directly issued capital instruments subject to phase out from Tier 2	-
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by	-	Table L
	subsidiaries and held by third parties (amount allowed in group T2)
49	of which: instruments issued by subsidiaries subject to phase out	-
50	Provisions	1,082	Table L
51	Tier 2 capital before regulatory adjustments	15,176	Table L
	Tier 2 Capital: regulatory adjustments
52	Investments in own Tier 2 instruments	50	Table L
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 L
	are outside the scope of regulatory consolidation, net of eligible short positions
56	National specific regulatory adjustments (sums of rows 56a - 56c)	261	Table L
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	65
	regulatory consolidation not reported in rows 54 and 55
56c	of which: other national specific regulatory adjustments not reported in rows 56a and 56b	196
57	Total regulatory adjustment to Tier 2 capital	396
58	Tier 2 capital (T2)	14,780	Table L
59	Total capital (TC=T1+T2)	72,781
60	Total risk-weighted assets based on APRA standards	437,910

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Table 1 Capital disclosure template[3]

			Reconciliation
			Table
			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)	13.2%
63	Total capital (as a percentage of risk-weighted assets)	16.6%
64	Institution specific buffer requirement (minimum CET1 requirement plus capital conservation	8.014%
	buffer plus countercyclical buffer requirements plus G-SIBs buffer requirement, expressed as a
	percentage of risk-weighted assets)
65	of which: capital conservation buffer requirement3	3.5%
66	of which: ADI-specific countercyclical buffer requirements	0.014%
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	560
73	Significant investments in the ordinary shares of financial entities	3,359	Table G
74	Mortgage servicing rights (net of related tax liability)	n/a
75	Deferred tax assets arising from temporary differences (net of related tax liability)	2,908	Table H
	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	142	Table E
	approach (prior to application of cap)
77	Cap on inclusion of provisions in Tier 2 under standardised approach	196
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-	941
	based approach (prior to application of cap)
79	Cap for inclusion of provisions in Tier 2 under internal ratings-based approach	1,999
	Capital instruments subject to phase-out arrangements (only application between
	1 January 2018 to 1 January 2022)
80	Current cap on CET1 instruments subject to phase out arrangements	n/a
81	Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)	n/a
82	Current cap on AT1 instruments subject to phase out arrangements	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
Geographic breakdown of Private Sector Credit	Hong Kong	Luxembourg	Norway	Other	Total
Exposures	**$M **	**$M **	**$M **	**$M **	**$M **
RWA for all private sector credit exposures	$4,134	$28	$354	$317,249	$321,765
Jurisdictional buffer set by national authorities	1.00%	0.50%	1.00%	-	-
Countercyclical buffer requirement	0.013%	0.000%	0.001%	-	0.014%

3 Includes 1.0% buffer applied by APRA to ADIs deemed as domestic systemically important.

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ANZ Basel III Pillar 3 Disclosure

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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	168,054	(50)	168,004
Settlement Balances owed to ANZ	7,141	-	7,141
Collateral Paid	10,764	-	10,764
Trading securities	39,433	-	39,433
of which: Financial Institutions capital instruments			85	Table L
Derivative financial instruments	45,238	-	45,238
Investment Securities	79,757	(341)	79,416
of which: significant investment in financial institutions			956	Table G
equity instruments
of which: non-significant investment in financial institutions			471	Table G
equity instruments
of which: Other entities equity investments			4	Table J
of which: collectively assessed provision			(29)	Table E
Net loans and advances	651,436	(1,243)	650,193
of which: deferred fee income			(386)	Row 26c
of which: collectively assessed provision			(2,940)	Table E
of which: individual provisions			(619)	Table E
of which: capitalised brokerage & Loan/Lease origination fees			1,482	Table I
of which: CET1 margin lending adjustment			12	Row 26j
of which: AT1 margin lending adjustment			-
Regulatory deposits	661	-	661
Due from controlled entities		1,047	1,047
of which: Significant investments in the Tier 2 "capital of banking,			85	Table L
financial and insurance entities" that are outside the scope of
regulatory consolidation
Shares in controlled entities	-	619	619
of which: Investment in deconsolidated financial subsidiaries			464	Table G
of which: AT1 significant investment in banking, financial and			155	Table K
insurance entities that are outside the scope of regulatory
consolidation
Investments in associates	2,018	-	2,018
of which: Financial Institutions			2,010	Table G
of which: Other Entities			8	Table J
Current tax assets	227	34	261
Deferred tax assets	2,903	(1)	2,902	Table H
Goodwill and other intangible assets	4,068	(71)	3,997
of which: Goodwill			3,062
of which: Software			924	Table D
Premises and equipment	2,702	-	2,702
Other assets	2,959	(121)	2,838
of which: Defined benefit superannuation fund net assets			214	Table F
Total Assets	1,017,361	(127)	1,017,234

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	Balance		Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
Liabilities	statements **$M **	Adjustments **$M **	consolidation **$M **
Settlement Balances owed by ANZ	19,752	-	19,752
Collateral Received	6,716	-	6,716
Deposits and other borrowings	780,288	-	780,288
Derivative financial instruments	47,795	-	47,795
Due to controlled entities		2,014	2,014
Current tax liabilities	320	(11)	309
Deferred tax liabilities	82	-	82	Table H
of which: related to intangible assets			-	Table D
of which: related to capitalised expenses			5	Table I
of which: related to defined benefit super assets			50	Table F
Payables and other liabilities	10,579	(574)	10,005
Employee entitlements	585	-	585
Provisions	2,262	(138)	2,124
of which: individually assessed provision			788	Table E
of which: collectively assessed provision			17	Table E
Debt Issuances	87,226	(1,268)	85,958
of which: Directly issued qualifying Additional Tier 1 instruments			7,582	Table K
of which: Additional Tier 1 Instruments			-	Table K
of which: Directly issued capital instruments subject to phase out			-	Table L
from Tier 2
of which: Directly issued qualifying Tier 2 instruments			13,379	Table L
Total Liabilities	955,605	23	955,628
Net Assets	61,756	(150)	61,606
	Balance		Balance	Template and
	Sheet as in		sheet under	Reconciliation
	published		scope of	Table
	financial		regulatory	Reference
	statements	Adjustments	consolidation
Shareholders' equity	$M	**$M **	$M
Ordinary Share Capital	25,091	(77)	25,014	Table A
of which: Share reserve			226	Tables A & B
Reserves	(1,422)	(8)	(1,430)	Table B
of which: Cash flow hedging reserves			(1,247)	Row 11
Retained earnings	38,078	(65)	38,013	Row 2
Share capital and reserves attributable to shareholders	61,747	(150)	61,597
of the company
Non-controlling interests	9		9	Table C
Total Shareholders' Equity	61,756	(150)	61,606

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

		Mar 22	Table 1
Table A		$M	Reference
	Issued capital	25,014
Less	Reclassification to Reserves	(226)	Table B
	Regulatory Directly Issued qualifying ordinary shares	24,788	Row 1
		Mar 22	Table 1
Table B		$M	Reference
	Reserves	(1,430)
Add	Reclassification from Issued Capital	226	Table A
Less	Non qualifying reserves	(49)
	Reserves for Regulatory capital purposes (amount allowed in group CET1)	(1,253)	Row 3
		Mar 22	Table 1
Table C		$M	Reference
	Non-controlling interests	9
Less	Surplus capital attributable to minority shareholders	(7)
	Ordinary share capital issued by subsidiaries and held by third parties	2	Row 5
		Mar 22	Table 1
Table D		$M	Reference
	Software	924
Add	Other intangible assets	11
Less	Associated deferred tax liabilities	-
Add	Regulatory reclassification from significant investments in the ordinary shares of banking,	71	Table G
	financial and insurance entities outside the scope of regulatoryconsolidation
	Other intangibles other than mortgage servicing rights (net of related tax liability)	1,006	Row 9
		Mar 22	Table 1
Table E		$M	Reference
	Qualifying collective provision
	Collectively assessed provision on Loans and advances	(2,940)
	Collectively assessed provision on Investment Securities	(29)
	Collectively assessed provision on Undrawn commitments	(788)
Less	Non-qualifying collectively assessed provision	440
Less	Standardised collectively assessed provision	142	Row 76
Less	Non-defaulted expected loss	2,235
	Non-Defaulted: Expected Loss - Eligible Provision Shortfall	-
	Qualifying individual provision
	Individually assessed provision on Loans and advances	(619)
	Individually assessed provision on Undrawn and contingent facilities	(17)
Add	Additional individually assessed provision for partial write offs	(206)
Less	Standardised individually assessed provision	43
Add	Collectively assessed provision on advanced defaulted	(400)
Less	Defaulted expected loss	1,231
	Defaulted: Expected Loss - Eligible Provision Shortfall	32
	Gross deduction	32	Row 12

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		Mar 22	Table 1
Table F		$M	Reference
	Defined benefit superannuation fund net assets	214
Less	Associated deferred tax liabilities	(50)
	Defined benefit superannuation fund net assets	164	Row 15
		Mar 22	Table 1
Table G		$M	Reference
	Investment in deconsolidated financial subsidiaries	464
Less	Regulatory reclassification to Retained Earnings and Other Intangible Assets	(71)	Table D
Add	Investment in financial associates	2,010
Add	Investment in financial institutions Investment Securities	956
Less	Amount below 10% threshold of CET1	(3,359)	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	3,359	Row 73
Add	Investments in the capital of banking, financial and insurance entities that are outside the	471
	scope of regulatory consolidation, net of eligible short positions, where the ADI does not own
	more than 10% of the issued share capital - Investment Securities
	Equity investment in financial institutions not reported in rows 18, 19 and 23	3,830	Row 26d
	Deduction for equity holdings in financial institutions - APRA regulations	3,830
		Mar 22	Table 1
Table H		$M	Reference
	Deferred tax assets	2,902
Add	Deferred tax liabilities	(82)
	Deferred tax asset less deferred tax liabilities	2,820
Less	Deferred tax assets that rely on future profitability	-	Row 10
Add	Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit super	55
	assets
Add	Impact of calculating the deduction on a jurisdictional basis	33
	Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure	2,908	Row 26e
	Template
		Mar 22	Table 1
Table I		$M	Reference
	Capitalised brokerage and loan/lease costs	1,482
	Capitalised debt and capital disposal and issuance expenses	71
	Other capitalised expenses	-
Less	Associated deferred tax liabilities	(5)
	Capitalised expenses	1,548	Row 26f
		Mar 22	Table 1
Table J		$M	Reference
	Investments in non financial Investment Securities equities	4
	Investments in non financial associates	8
	Non financial equity exposures (loans)	-
	Equity exposures to non financial entities	12	Row 26g

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		Mar 22	Table 1
Table K		$M	Reference
	Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities	7,582
Add	Issue costs	(31)
Add	Fair value adjustment	119
	Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities	7,670	Row 30
	Additional Tier 1 instruments issued by subsidiaries held by third parties	-
Add	Issue costs	-
Less	Surplus capital attributable to third party holders	-
Add	AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group	-	Row 34
	AT1)
	Additional Tier 1 capital before regulatory adjustments	7,670	Row 36
Less	Significant investments in the capital of banking, financial and insurance entities that are	(155)	Row 40
	outside the scope of regulatory consolidation
Less	Investments in the capital of financial institutions that are outside the scope of regulatory	(25)	Row 41b
	consolidations not reported in rows 39 and 40
Less	Other national specific regulatory adjustments not reported	-	Row 41c
	Additional Tier 1 capital	7,490	Row 44
		Mar 22	Table 1
Table L		$M	Reference
	Surplus capital attributable to third party holders	-	Row 48
Add	Directly issued qualifying Tier 2 instruments	13,379
Add	Issue costs	23
Add	Fair value adjustment	692
Add	Provisions	1,082	Row 50
	Tier 2 capital before regulatory adjustments	15,176	Row 51
Less	Investments in own Tier 2 instruments (trading limit)	(50)	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	(261)	Row 56
	consolidation not reported in rows 54 and 55
	Tier 2 capital	14,780	Row 58

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ANZ Basel III Pillar 3 Disclosure

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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	2	-
ANZ Investment Services (New Zealand) Limited	Funds Management	17	2
ANZ Lenders Mortgage Insurance Pty. Limited	Mortgage insurance	984	477
ANZ Pensions (UK) Limited	Trustee/Nominee	-	-
ANZ New Zealand Investments Limited	Funds Management	105	46
ANZcover Insurance Private Ltd	Captive-Insurance	249	158
Kingfisher Trust 2016-1	Securitisation Trust	540	540
Kingfisher Trust 2019-1	Securitisation Trust	732	732
Shout for Good Pty. Ltd.	Corporate	-	-
Secure Data Consent Pty Ltd	Technology	3	-

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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.

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Chapter 3 – Credit Risk

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 22	Sep 21	Mar 21
Risk weighted assets	$M	$M	$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	141,243	136,298	135,713
Sovereign	9,781	9,893	7,750
Bank	10,742	9,118	10,092
Residential Mortgage	111,355	110,622	110,206
Qualifying Revolving Retail	3,418	3,723	3,678
Other Retail	18,200	19,660	20,693
Credit risk weighted assets subject to Advanced IRB approach	294,739	289,314	288,132
**Credit risk Specialised Lending exposures subject to slotting approach4 **	38,432	36,977	36,476
Subject to Standardised approach
Corporate	6,149	6,632	6,388
Sovereign	36	27	76
Residential Mortgage	194	203	203
Other Retail	12	17	23
Credit risk weighted assets subject to Standardised approach	6,391	6,879	6,690
Credit Valuation Adjustment and Qualifying Central Counterparties	3,154	3,270	4,281
Credit risk weighted assets relating to securitisation exposures	2,090	2,056	2,220
Other assets	4,011	4,002	4,063
Total credit risk weighted assets	348,817	342,498	341,862
Market risk weighted assets	7,705	7,127	8,955
Operational risk weighted assets	47,986	48,425	47,199
Interest rate risk in the banking book (IRRBB) risk weighted assets	33,402	18,036	10,150
Total risk weighted assets	437,910	416,086	408,166
**Capital ratios (%)5 **
Level 2 Common Equity Tier 1 capital ratio	11.5%	12.3%	12.4%
Level 2 Tier 1 capital ratio	13.2%	14.3%	14.3%
Level 2 Total capital ratio	16.6%	18.4%	18.3%
Level 1: Extended licensed Common Equity Tier 1 capital ratio	11.1%	12.0%	12.2%
Level 1: Extended licensed entity Tier 1 capital ratio	13.1%	14.1%	14.2%
Level 1: Extended licensed entity Total capital ratio	17.1%	18.6%	18.6%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited – Common Equity Tier 1 capital ratio	12.4%	13.4%	13.1%
ANZ Bank New Zealand Limited - Tier 1 capital ratio	14.6%	16.2%	15.9%
ANZ Bank New Zealand Limited - Total capital ratio	15.1%	16.9%	15.9%
Basel III APRA level 2 CET1	Mar 22	Sep 21	Mar 21
Common Equity Tier 1 Capital	50,511	51,359	50,786
Total Risk Weighted Assets	437,910	416,086	408,166
Common Equity Tier 1 capital ratio	11.5%	12.3%	12.4%
Basel III APRA level 1 Extended licensed entity CET1	Mar 22	Sep 21	Mar 21
Common Equity Tier 1 Capital	41,021	45,555	45,854
Total Risk Weighted Assets	370,715	379,387	374,939
Common Equity Tier 1 capital ratio	11.1%	12.0%	12.2%

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.

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Credit Risk Weighted Assets (CRWA)

Total Credit RWA increased by $6.3 billion (1.8%) from September 2021 to $348.8 billion at March 2022. Increasing portfolio volumes primarily driven by core lending growth in Institutional grew RWA by $14.7 billion, offset by foreign exchange movements(-$4.1 billion) and risk improvement (-$3.4 billion) mainly in Institutional and Australia Commercial portfolios.

Market Risk, Operational Risk and IRRBB RWA

IRRBB RWA and Traded Market Risk RWA increased $15.9 billion over the half, predominantly driven by the increase in IRRBB RWA from higher embedded losses. The higher Traded Market Risk RWA was due to inclusion of new Risk Not in VaR (RNIV) overlay.

Operational Risk Weighted Assets reduction is due to foreign exchange movements.

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March 2022

Chapter 3 – Credit risk

Table 7 Credit risk – General disclosures

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 22
	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	141,243 298,844 293,388 (35) 27 9,781 253,167 250,311 - - 10,742 36,047 34,041 - - 111,355 411,629 410,939 6 20 3,418 13,510 13,640 32 58 18,200 28,667 29,382 54 106
Total Advanced IRB approach	294,739 1,041,864 1,031,701 57 211
Specialised Lending	38,432 47,217 46,128 19 2
Standardised approach
Corporate Sovereign Residential Mortgage Other Retail	6,149 6,102 6,376 11 6 36 179 103 - - 194 416 424 - 1 12 12 14 - 2
Total Standardised approach	6,391 6,709 6,917 11 9
Credit Valuation Adjustment and Qualifying Central Counterparties	3,154 6,793 6,607 - -
Total	342,716 1,102,583 1,091,353 87 222

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.

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ANZ Basel III Pillar 3 Disclosure

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

Advanced IRB approach	Sep 21
	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	136,298 287,932 279,341 (14) 79 9,893 247,455 237,640 - - 9,118 32,035 33,718 - - 110,622 410,249 407,901 (3) 21 3,723 13,769 13,947 34 60 19,660 30,096 30,492 52 123
Total Advanced IRB approach	289,314 1,021,536 1,003,039 69 283
Specialised Lending	36,977 45,039 44,271 (5) -
Standardised approach
Corporate Sovereign Residential Mortgage Other Retail	6,632 6,649 6,547 4 2 27 27 48 - - 203 431 427 1 1 17 16 19 - -
Total Standardised approach	6,879 7,123 7,041 5 3
Credit Valuation Adjustment and Qualifying Central Counterparties	3,270 6,420 8,306 - -
Total	336,440 1,080,118 1,062,657 69 286
Advanced IRB approach	Mar 21
	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	135,713 270,749 272,582 49 68 7,750 227,824 207,215 - - 10,092 35,401 38,786 - - 110,206 405,552 398,931 46 71 3,678 14,125 14,486 33 61 20,693 30,888 31,410 59 126
Total Advanced IRB approach	288,132 984,539 963,410 187 326
Specialised Lending	36,476 43,502 44,966 - 1
Standardised approach
Corporate Sovereign Residential Mortgage Other Retail	6,388 6,445 8,894 (2) 11 76 69 141 - - 203 422 429 - 2 23 22 28 2 -
Total Standardised approach	6,690 6,958 9,492 - 13
Credit Valuation Adjustment and Qualifying Central Counterparties	4,281 10,192 9,938 - -
Total	335,579 1,045,191 1,027,806 187 340

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

	Mar 22	Sep 21	Mar 21	Average
				for
				half year
				Mar 22
Portfolio Type	$M	$M	$M	$M
Cash	147,409	133,269	107,422	140,339
Contingents liabilities, commitments, and other off-balance sheet	175,572	175,410	170,731	175,491
exposures
Derivatives	41,399	40,937	46,614	41,168
Settlement Balances	72	138	61	105
Investment Securities	74,706	79,346	88,206	77,026
Net Loans, Advances & Acceptances	635,682	617,951	600,397	626,818
Other assets	8,307	8,390	7,846	8,349
Trading Securities	19,436	24,677	23,914	22,057
Total exposures	1,102,583	1,080,118	1,045,191	1,091,353

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.

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

Portfolio Type	Mar 22
	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	155,994 40,316 108,636 304,946 126,282 24,923 102,141 253,346 16,831 1,712 17,504 36,047 309,206 102,422 417 412,045 13,510 - - 13,510 20,346 8,321 12 28,679 953 365 5,475 6,793 33,900 13,176 141 47,217
Total exposures	677,022 191,235 234,326 1,102,583
Portfolio Type	Sep 21
	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	153,827 41,731 99,023 294,581 124,794 25,985 96,703 247,482 13,252 2,588 16,195 32,035 309,444 100,805 431 410,680 13,769 - - 13,769 21,227 8,869 16 30,112 1,055 685 4,680 6,420 32,227 12,687 125 45,039
Total exposures	669,595 193,350 217,173 1,080,118
Portfolio Type	Mar 21
	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	150,050 40,340 86,804 277,194 111,651 23,482 92,760 227,893 13,367 2,781 19,253 35,401 312,231 93,322 421 405,974 14,125 - - 14,125 22,111 8,777 22 30,910 3,394 1,526 5,272 10,192 31,269 12,111 122 43,502
Total exposures	658,198 182,339 204,654 1,045,191

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ANZ Basel III Pillar 3 Disclosure

March 2022

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

							Mar 22
Portfolio Type	Agriculture,	Business	Construction	Electricity,	Entertainment,	Financial,	Government	Manufacturing	Personal	Property	Wholesale	Retail	Transport	Other	Total
	Forestry,	Services	$M	Gas &	Leisure &	Investment	& Official	$M	$M	Services	Trade	Trade	&	$M	$M
	Fishing &	$M		Water	Tourism	&	Institutions			$M	$M	$M	Storage
	Mining			Supply	$M	Insurance	$M						$M
	**$M **			**$M **		**$M **
Corporate	43,097	10,459	5,222	13,751	14,892	71,210	27	40,623	236	25,511	26,960	13,069	17,411	22,478	304,946
Sovereign	408	-	14	497	2	188,125	61,449	1,142	-	832	16	-	200	661	253,346
Bank	-	-	-	-	-	36,035	-	-	1	1	1	4	1	4	36,047
Residential Mortgage	-	-	-	-	-	-	-	-	412,045	-	-	-	-	-	412,045
Qualifying Revolving	-	-	-	-	-	-	-	-	13,510	-	-	-	-	-	13,510
Retail
Other Retail	1,952	2,213	2,973	67	1,639	525	9	1,384	7,801	898	1,015	2,939	1,092	4,172	28,679
Qualifying Central	-	-	-	-	-	6,793	-	-	-	-	-	-	-	-	6,793
Counterparties
Specialised Lending	1,803	6	332	1,482	296	1	-	127	-	42,101	11	2	738	318	47,217
Total exposures	47,260	12,678	8,541	15,797	16,829	302,689	61,485	43,276	433,593	69,343	28,003	16,014	19,442	27,633	1,102,583
% of Total	4.3%	1.1%	0.8%	1.4%	1.5%	27.5%	5.6%	3.9%	39.3%	6.3%	2.5%	1.5%	1.8%	2.5%	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.

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

							Sep 21
Portfolio Type	Agriculture,	Business	Construction	Electricity,	Entertainment,	Financial,	Government	Manufacturing	Personal	Property	Wholesale	Retail	Transport	Other	Total
	Forestry,	Services	$M	Gas &	Leisure &	Investment	& Official	$M	$M	Services	Trade	Trade	&	$M	$M
	Fishing &	$M		Water	Tourism	&	Institutions			$M	$M	$M	Storage
	Mining			Supply	$M	Insurance	$M						$M
	**$M **			**$M **		**$M **
Corporate	42,791	11,131	5,083	12,002	14,601	70,555	30	39,995	297	24,735	21,691	12,991	16,701	21,978	294,581
Sovereign	470	-	15	576	-	164,252	78,885	1,219	-	1,632	20	-	234	179	247,482
Bank	1	1	-	-	-	32,020	-	2	-	-	-	6	-	5	32,035
Residential Mortgage	-	-	-	-	-	-	-	-	410,680	-	-	-	-	-	410,680
Qualifying Revolving	-	-	-	-	-	-	-	-	13,769	-	-	-	-	-	13,769
Retail
Other Retail	2,076	2,280	3,103	73	1,728	538	12	1,424	8,338	933	1,036	3,073	1,170	4,328	30,112
Qualifying Central	-	-	-	-	-	6,419	-	-	-	-	-	-	-	1	6,420
Counterparties
Specialised Lending	1,492	7	352	1,825	318	1	-	116	-	39,565	24	2	896	441	45,039
Total exposures	46,830	13,419	8,553	14,476	16,647	273,785	78,927	42,756	433,084	66,865	22,771	16,072	19,001	26,932	1,080,118
% of Total	4.3%	1.2%	0.8%	1.3%	1.5%	25.4%	7.3%	4.0%	40.1%	6.2%	2.1%	1.5%	1.8%	2.5%	100.0%
							Mar 21
Portfolio Type	Agriculture,	Business	Construction	Electricity,	Entertainment,	Financial,	Government	Manufacturing	Personal	Property	Wholesale	Retail	Transport	Other	Total
	Forestry,	Services	$M	Gas &	Leisure &	Investment	& Official	$M	$M	Services	Trade	Trade	&	$M	$M
	Fishing &	$M		Water	Tourism	&	Institutions			$M	$M	$M	Storage
	Mining			Supply	$M	Insurance	$M						$M
	**$M **			**$M **		**$M **
Corporate	43,390	10,418	5,377	12,152	14,526	57,138	36	37,632	421	23,898	20,484	12,582	17,773	21,367	277,194
Sovereign	454	-	14	539	-	137,971	85,974	1,256	-	1,518	22	-	125	20	227,893
Bank	-	4	-	23	2	35,351	-	3	-	4	2	7	-	5	35,401
Residential Mortgage	-	-	-	-	-	-	-	-	405,974	-	-	-	-	-	405,974
Qualifying Revolving	-	-	-	-	-	-	-	-	14,125	-	-	-	-	-	14,125
Retail
Other Retail	2,148	2,360	3,188	77	1,834	545	12	1,394	8,629	966	1,043	3,194	1,030	4,490	30,910
Qualifying Central	-	-	-	-	-	10,192	-	-	-	-	-	-	-	-	10,192
Counterparties
Specialised Lending	1,476	8	346	1,816	306	1	-	-	-	38,161	24	-	917	447	43,502
Total exposures	47,468	12,790	8,925	14,607	16,668	241,198	86,022	40,285	429,149	64,547	21,575	15,783	19,845	26,329	1,045,191
% of Total	4.5%	1.2%	0.9%	1.4%	1.6%	23.1%	8.2%	3.9%	41.1%	6.2%	2.1%	1.5%	1.9%	2.5%	100.0%

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

			Mar 22
Portfolio Type	< 12 mths	1 - 5 years	> 5 years	No Maturity	Total
	$M	$M	$M	Specified	$M
				**$M **
Corporate	134,573	154,557	15,763	53	304,946
Sovereign	181,272	47,475	24,599	-	253,346
Bank	25,817	9,879	351	-	36,047
Residential Mortgage	225	1,175	387,534	23,111	412,045
Qualifying Revolving Retail	-	-	-	13,510	13,510
Other Retail	10,797	3,436	14,443	3	28,679
Qualifying Central Counterparties	4,938	992	431	432	6,793
Specialised Lending	18,672	26,382	2,150	13	47,217
Total exposures	376,294	243,896	445,271	37,122	1,102,583
			Sep 21
Portfolio Type	< 12 mths	1 - 5 years	> 5 years	No Maturity	Total
	$M	$M	$M	Specified	$M
				**$M **
Corporate	135,428	145,349	13,739	65	294,581
Sovereign	164,238	55,444	27,800	-	247,482
Bank	21,608	10,007	420	-	32,035
Residential Mortgage	230	1,040	385,276	24,134	410,680
Qualifying Revolving Retail	-	-	-	13,769	13,769
Other Retail	11,278	4,039	14,792	3	30,112
Qualifying Central Counterparties	4,408	881	663	468	6,420
Specialised Lending	17,994	25,471	1,557	17	45,039
Total exposures	355,184	242,231	444,247	38,456	1,080,118
			Mar 21
Portfolio Type	< 12 mths	1 - 5 years	> 5 years	No Maturity	Total
	$M	$M	$M	Specified	$M
				**$M **
Corporate	121,998	140,590	14,522	84	277,194
Sovereign	140,413	55,048	32,432	-	227,893
Bank	23,367	11,705	329	-	35,401
Residential Mortgage	229	974	380,081	24,690	405,974
Qualifying Revolving Retail	-	-	-	14,125	14,125
Other Retail	11,406	4,371	15,131	2	30,910
Qualifying Central Counterparties	7,345	1,374	938	535	10,192
Specialised Lending	18,816	22,885	1,777	24	43,502
Total exposures	323,574	236,947	445,210	39,460	1,045,191

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

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ANZ Basel III Pillar 3 disclosure

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

			Mar 22
Industry Sector	Impaired	Impaired	Past due	Individual	Individual	Write-offs
	derivatives	loans/	loans ≥ 90	provision	provision	for half
	$M	facilities	days	balance	charge for	year
		$M	$M	$M	half year	$M
					**$M **
Agriculture, Forestry, Fishing &	-	172	65	64	(6)	6
Mining
Business Services	-	50	46	30	4	10
Construction	-	58	52	32	3	13
Electricity, Gas & Water Supply	-	9	-	8	-	-
Entertainment, Leisure & Tourism	11	142	105	47	4	11
Financial, Investment & Insurance	-	50	63	30	(4)	2
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	-	43	21	27	10	3
Personal	-	435	2,121	145	55	133
Property Services	-	128	49	40	21	4
Retail Trade	-	65	77	39	2	17
Transport & Storage	-	300	26	26	(12)	5
Wholesale Trade	-	261	23	115	6	6
Other	-	42	118	33	4	12
Total	11	1,755	2,766	636	87	222

			Sep 21
					Individual
		Impaired	Past due	Individual	provision	Write-offs
	Impaired	loans/	loans ≥	provision	charge for	for half
	derivatives	facilities	90 days	balance	half year	year
Industry Sector	**$M **	**$M **	**$M **	**$M **	**$M **	**$M **
Agriculture, Forestry, Fishing & Mining	-	215	95	58	(9)	10
Business Services	-	59	55	33	(10)	12
Construction	-	77	68	41	8	15
Electricity, Gas & Water Supply	-	9	1	9	-	-
Entertainment, Leisure & Tourism	11	130	89	51	11	14
Financial, Investment & Insurance	-	55	68	31	4	3
Government & Official Institutions	-	-	1	-	-	-
Manufacturing	-	45	36	23	(6)	15
Personal	-	508	2,258	160	55	157
Property Services	-	97	63	24	(3)	5
Retail Trade	-	109	88	53	(23)	16
Transport & Storage	1	359	33	43	-	12
Wholesale Trade	-	293	31	123	38	8
Other	-	57	119	38	4	19
Total	12	2,013	3,005	687	69	286

11 Impaired derivatives are net of credit valuation adjustment (CVA) of nil, being a market value based assessment of the credit risk of the relevant counterparties (September 2021: nil; March 2021: $1 million).

12 Impaired loans / facilities include restructured items of $375 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 2021: $355 million; March 2021: $300 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.

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

			Mar 21
Industry Sector	Impaired	Impaired	Past due	Individual	Individual	Write-offs
	derivatives	loans/	loans ≥ 90	provision	provision	for half
	$M	facilities	days	balance	charge for	year
		$M	$M	$M	half year	$M
					**$M **
Agriculture, Forestry, Fishing &	-	366	96	73	(13)	37
Mining
Business Services	-	102	54	55	(3)	8
Construction	-	84	75	44	13	10
Electricity, Gas & Water Supply	-	9	1	9	-	-
Entertainment, Leisure & Tourism	-	100	71	52	2	19
Financial, Investment & Insurance	-	57	51	26	2	1
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	-	96	46	41	25	20
Personal	-	604	2,463	203	77	192
Property Services	-	117	82	29	2	5
Retail Trade	2	262	92	91	7	23
Transport & Storage	1	359	31	51	3	6
Wholesale Trade	-	320	32	87	60	9
Other	-	62	128	48	12	10
Total	3	2,538	3,222	809	187	340

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

			Mar 22
	Impaired	Impaired	Past due	Individual	Individual	Write-
	derivatives	loans/	loans ≥	provision	provision	offs
	$M	facilities	90 days	balance	charge for	for half
		$M	$M	$M	half year	year
					**$M **	**$M **
Portfolios subject to Advanced IRB approach
Corporate	11	917	178	293	(35)	27
Sovereign	-	-	-	-	-	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	306	2,107	85	6	20
Qualifying Revolving Retail	-	33	-	-	32	58
Other Retail	-	275	326	177	54	106
Total Advanced IRB approach	11	1,531	2,611	555	57	211
Specialised Lending	-	103	14	29	19	2
Portfolios subject to Standardised approach
Corporate	-	104	103	45	11	6
Residential Mortgage	-	9	38	5	-	1
Other Retail	-	8	-	2	-	2
Total Standardised approach	-	121	141	52	11	9
Qualifying Central Counterparties	-	-	-	-	-	-
Total	11	1,755	2,766	636	87	222

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

			Sep 21
	Impaired	Impaired	Past due	Individual	Individual	Write-
	derivatives	loans/	loans ≥	provision	provision	offs
	$M	facilities	90 days	balance	charge for	for half
		$M	$M	$M	half year	year
					**$M **	**$M **
Portfolios subject to Advanced IRB approach
Corporate	11	1,083	217	338	(14)	79
Sovereign	-	-	-	-	-	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	363	2,214	93	(3)	21
Qualifying Revolving Retail	-	33	-	-	34	60
Other Retail	-	328	401	187	52	123
Total Advanced IRB approach	11	1,807	2,832	618	69	283
Specialised Lending	-	66	35	13	(5)	-
Portfolios subject to Standardised approach
Corporate	1	119	94	46	4	2
Residential Mortgage	-	10	44	6	1	1
Other Retail	-	11	-	4	-	-
Total Standardised approach	1	140	138	56	5	3
Qualifying Central Counterparties	-	-	-	-	-	-
Total	12	2,013	3,005	687	69	286
			Mar 21
	Impaired	Impaired	Past due	Individual	Individual	Write-
	derivatives	loans/	loans ≥	provision	provision	offs
	$M	facilities	90 days	balance	charge for	for half
		$M	$M	$M	half year	year
					**$M **	**$M **
Portfolios subject to Advanced IRB approach
Corporate	2	1,498	227	412	49	68
Sovereign	-	-	-	-	-	-
Bank	-	-	-	-	-	-
Residential Mortgage	-	434	2,446	113	46	71
Qualifying Revolving Retail	-	38	-	-	33	61
Other Retail	-	363	418	215	59	126
Total Advanced IRB approach	2	2,333	3,091	740	187	326
Specialised Lending	-	75	39	18	-	1
Portfolios subject to Standardised approach
Corporate	1	112	63	43	(2)	11
Residential Mortgage	-	8	29	5	-	2
Other Retail	-	10	-	3	2	-
Total Standardised approach	1	130	92	51	-	13
Qualifying Central Counterparties	-	-	-	-	-	-
Total	3	2,538	3,222	809	187	340

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

			Mar 22
Geographic region	Impaired	Impaired	Past due	Individual	Collective
	derivatives	loans/	loans	provision	provision
	$M	facilities	≥ 90 days	balance	balance
		**$M **	**$M **	**$M **	**$M **
Australia	11	1,385	2,269	481	2,599
New Zealand	-	172	358	71	573
Asia Pacific, Europe and America	-	198	139	84	585
Total	11	1,755	2,766	636	3,757

			Sep 21
Geographic region	Impaired	Impaired	Past due	Individual	Collective
	derivatives	loans/	loans	provision	provision
	$M	facilities	≥ 90 days	balance	balance
		**$M **	**$M **	**$M **	**$M **
Australia	11	1,589	2,522	530	2,987
New Zealand	-	182	345	71	603
Asia Pacific, Europe and America	1	242	138	86	605
Total	12	2,013	3,005	687	4,195

			Mar 21
Geographic region	Impaired	Impaired	Past due	Individual	Collective
	derivatives	loans/	loans	provision	provision
	$M	facilities	≥ 90 days	balance	balance
		**$M **	**$M **	**$M **	**$M **
Australia	2	1,948	2,785	632	3,106
New Zealand	-	334	345	88	610
Asia Pacific, Europe and America	1	256	92	89	569
Total	3	2,538	3,222	809	4,285

14 Impaired derivatives are net of credit valuation adjustment (CVA) of nil, being a market value based assessment of the credit risk of the relevant counterparties (September 2021: nil; March 2021: $1 million).

15 Impaired loans / facilities include restructured items of $375 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 2021: $355 million; March 2021: $300 million).

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

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

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Table 7(h): Provision for Credit Impairment

	Half year	Half year	Half year
	Mar 22	Sep 21	Mar 21
Collectively Assessed Provision	$M	$M	$M
Balance at start of period	4,195	4,285	5,008
Charge/(Release) to Income Statement	(371)	(145)	(678)
Adjustment for exchange rate fluctuations and transfers	(67)	55	(45)
Total Collectively Assessed Provision	3,757	4,195	4,285
Individually Assessed Provision
Balance at start of period	687	809	891
New and increased provisions	301	369	455
Write-backs	(115)	(206)	(180)
Adjustment for exchange rate fluctuations and transfers	(8)	11	(6)
Discount unwind	(7)	(10)	(11)
Bad debts written off	(222)	(286)	(340)
Total Individually Assessed Provision	636	687	809
Total Provisions for Credit Impairment	4,393	4,882	5,094

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

S
	Mar 22
	Specific Provision	General Reserve for	Total
	Balance	Credit Losses	$M
	**$M **	**$M **
Collectively Assessed Provision	440	3,317	3,757
Individually Assessed Provision	636	-	636
Total Provision for Credit Impairment	1,076	3,317	4,393

	Sep 21
	Specific Provision	General Reserve for	Total
	Balance	Credit Losses	$M
	**$M **	**$M **
Collectively Assessed Provision	436	3,759	4,195
Individually Assessed Provision	687	-	687
Total Provision for Credit Impairment	1,123	3,759	4,882

Mar 21
Specific Provision Balance **$M **	General Reserve for Credit Losses $M Total $M
Collectively Assessed Provision 432 Individually Assessed Provision 809	3,853 4,285 - 809
Total Provision for Credit Impairment 1,241	3,853 5,094

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

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Table 8 Credit risk – Disclosures for portfolios subject to the Standardised approach and supervisory risk weights in the IRB approach

Table 8(b): Exposure at Default by risk bucket[19]

	Mar 22	Sep 21	Mar 21
Standardised approach exposures	$M	$M	$M
0%	3	-	-
20%	386	22	19
35%	194	200	189
50%	336	515	516
75%	-	-	-
100%	5,394	6,088	5,974
150%	385	296	259
>150%	11	2	1
Capital deductions	-	-	-
Total	6,709	7,123	6,958
Other Asset exposures
0%	-	-	-
20%	696	748	745
35%	-	-	-
50%	-	-	-
75%	-	-	-
100%	3,794	3,785	3,860
150%	-	-	-
>150%	31	27	22
Capital deductions	-	-	-
Total	4,521	4,560	4,627
Specialised Lending exposures
0%	150	109	151
70%	26,370	24,488	21,756
90%	17,696	17,830	18,219
115%	2,560	2,031	2,660
250%	441	581	716
Total	47,217	45,039	43,502

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

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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	Banks20 In Australia only, other authorised deposit taking institutions (ADI) incorporated in Australia	AIRB
Residential Mortgages	Exposures secured by residential property	AIRB
Qualifying Revolving Retail	Consumer credit cards <$100,000 limit	AIRB
Other Retail	Small business lending Other lending to consumers	AIRB
Specialised Lending	Income Producing Real Estate21 Project finance Object finance	AIRB – Supervisory Slotting22
Other Assets	All other assets not falling into the above classes e.g. margin lending, fixed assets	AIRB – fixed risk weights

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail and local corporates in Pacific, and local corporates in Asia) 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, such as for economic capital. Standardised segments will be migrated to AIRB if they reach a volume that generates sufficient data for development of advanced internal models.

ANZ has not applied the Foundation IRB approach to any portfolios.

The ANZ rating system

As an AIRB bank, ANZ’s internal models generate the inputs into regulatory capital adequacy to determine the risk weighted exposure calculations for both on and off-balance sheet exposures, including undrawn portions of credit facilities, committed and contingent exposures and EL calculations. ANZ’s internal models are used to generate the three key risk components that serve as inputs to the IRB approach to credit risk:

• PD is an estimate of the level of the risk of borrower default. Borrower ratings are derived by way of rating models used both at loan origination and for ongoing monitoring.

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

• LGD is an estimate of the potential economic loss on a credit exposure, incurred as a consequence of obligor default and expressed as a percentage of the facility’s EAD. 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.

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

21 Since 2009, APRA has agreed that some large, well-diversified commercial property exposures may be treated as corporate exposures, in line with the original Basel Committee’s definition of Specialised Lending.

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

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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 BBB-	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.

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

					Mar 22
	AAA	A+	BBB	BB+	B+	CCC	Default	Total
	< A+	< BBB	< BB+	< B+	< CCC	$M	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Corporate	32,553	102,808	97,825	52,157	10,748	1,158	1,595	298,844
Sovereign	216,912	28,820	3,524	1,551	2,261	99	-	253,167
Bank	11,111	20,191	3,575	1,106	49	15	-	36,047
Total	260,576	151,819	104,924	54,814	13,058	1,272	1,595	588,058
% of Total	44.3%	25.8%	17.8%	9.3%	2.2%	0.2%	0.3%	100.0%
Undrawn commitments (included in above)
Corporate	9,580	33,422	28,738	8,824	1,723	127	42	82,456
Sovereign	1,030	371	361	49	17	18	-	1,846
Bank	47	409	10	134	-	-	-	600
Total	10,657	34,202	29,109	9,007	1,740	145	42	84,902
Average Exposure at Default
Corporate	17.995	12.512	2.586	0.920	0.482	0.305	0.877	2.252
Sovereign	267.133	255.041	27.747	15.668	23.932	4.507	-	199.511
Bank	4.785	4.514	4.747	7.325	1.635	0.031	-	4.382
Exposure-weighted average Loss Given Default			(%)
Corporate	59.7%	57.7%	45.3%	33.3%	29.6%	39.3%	41.0%	48.4%
Sovereign	5.9%	18.2%	36.1%	40.5%	52.2%	46.0%	-	8.3%
Bank	59.5%	59.0%	67.7%	69.2%	72.0%	66.1%	-	60.4%
Exposure-weighted average risk weight (%)
Corporate	18.6%	34.3%	54.2%	64.2%	84.3%	211.9%	121.7%	47.3%
Sovereign	1.0%	5.0%	32.8%	80.5%	160.4%	225.3%	-	3.9%
Bank	16.0%	23.8%	73.1%	125.3%	184.4%	404.9%	-	29.8%

23 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).

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

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

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

					Sep 21
	AAA	A+	BBB	BB+	B+	CCC	Default	Total
	< A+	< BBB	< BB+	< B+	< CCC	$M	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Corporate	32,022	94,109	94,734	51,223	12,191	1,681	1,972	287,932
Sovereign	216,732	23,550	3,242	1,436	2,349	146	-	247,455
Bank	7,782	19,924	3,617	657	53	2	-	32,035
Total	256,536	137,583	101,593	53,316	14,593	1,829	1,972	567,422
% of Total	45.3%	24.2%	17.9%	9.4%	2.6%	0.3%	0.3%	100.0%
Undrawn commitments (included in above)
Corporate	9,341	32,520	29,271	8,573	1,510	172	61	81,448
Sovereign	1,307	392	436	28	62	19	-	2,244
Bank	1	409	25	-	-	-	-	435
Total	10,649	33,321	29,732	8,601	1,572	191	61	84,127
Average Exposure at Default
Corporate	18.091	6.980	2.159	0.835	0.312	0.372	0.914	1.726
Sovereign	256.184	158.057	27.709	14.960	19.907	7.693	-	183.572
Bank	3.421	3.983	2.799	4.641	1.911	0.110	-	3.636
Exposure-weighted average Loss Given Default			(%)
Corporate	59.8%	57.1%	45.8%	33.3%	32.2%	38.7%	37.7%	48.1%
Sovereign	6.0%	18.3%	33.1%	40.7%	53.2%	39.7%	-	8.2%
Bank	57.3%	58.5%	67.5%	69.2%	72.1%	72.4%	-	59.5%
Exposure-weighted average risk weight (%)
Corporate	18.7%	32.8%	53.6%	62.3%	90.0%	202.8%	121.6%	47.3%
Sovereign	1.1%	5.2%	32.4%	81.6%	162.8%	199.7%	-	4.0%
Bank	14.7%	22.9%	69.6%	118.4%	210.2%	356.1%	-	28.5%
					Mar 21
	AAA	A+	BBB	BB+	B+	CCC	Default	Total
	< A+	< BBB	< BB+	< B+	< CCC	$M	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Corporate	25,619	85,110	89,310	53,030	13,358	1,968	2,354	270,749
Sovereign	195,497	25,578	3,017	1,823	1,901	4	4	227,824
Bank	7,973	22,926	3,675	775	43	9	-	35,401
Total	229,089	133,614	96,002	55,628	15,302	1,981	2,358	533,974
% of Total	42.9%	25.0%	18.0%	10.4%	2.9%	0.4%	0.4%	100.0%
Undrawn commitments (included in above)
Corporate	7,668	30,925	29,367	9,255	1,589	189	192	79,185
Sovereign	1,272	207	256	72	10	-	-	1,817
Bank	-	410	6	-	1	-	-	417
Total	8,940	31,542	29,629	9,327	1,600	189	192	81,419
Average Exposure at Default
Corporate	14.665	7.900	2.094	0.825	0.303	0.460	0.903	1.589
Sovereign	228.920	171.665	31.428	13.208	23.465	0.490	0.701	171.167
Bank	4.571	4.752	3.544	5.653	0.937	0.415	-	4.532
Exposure-weighted average Loss Given Default			(%)
Corporate	59.1%	56.7%	45.4%	34.9%	31.5%	35.8%	40.6%	47.4%
Sovereign	5.9%	11.9%	27.3%	27.6%	55.7%	60.7%	18.7%	7.4%
Bank	57.3%	57.4%	64.5%	68.3%	67.8%	66.2%	-	58.3%
Exposure-weighted average risk weight (%)
Corporate	19.3%	33.8%	53.7%	66.1%	89.8%	183.1%	143.9%	50.1%
Sovereign	1.1%	3.3%	27.0%	53.8%	151.8%	321.8%	-	3.4%
Bank	14.9%	23.7%	65.3%	120.8%	206.9%	401.8%	-	28.5%

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

					Mar 22
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%	Default	Total
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Residential Mortgage	89,384	94,830	68,468	147,306	7,393	1,687	2,561	411,629
Qualifying Revolving Retail	3,636	4,279	1,491	3,018	772	279	35	13,510
Other Retail	806	3,974	1,717	14,095	5,757	1,494	824	28,667
Total	93,826	103,083	71,676	164,419	13,922	3,460	3,420	453,806
% of Total	20.7%	22.7%	15.8%	36.2%	3.1%	0.8%	0.8%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	22,781	5,628	1,382	8,522	27	9	2	38,351
Qualifying Revolving Retail	2,613	3,202	1,011	1,282	159	35	2	8,304
Other Retail	736	3,119	888	2,863	672	101	23	8,402
Total	26,130	11,949	3,281	12,667	858	145	27	55,057
Average Exposure at Default
Residential Mortgage	0.261	0.223	0.303	0.340	0.325	0.335	0.305	0.282
Qualifying Revolving Retail	0.008	0.009	0.008	0.010	0.009	0.007	0.008	0.009
Other Retail	0.008	0.011	0.011	0.020	0.024	0.010	0.031	0.016
Exposure-weighted average	Loss Given	Default (%)
Residential Mortgage	19.7%	17.2%	19.6%	20.6%	20.1%	20.0%	19.0%	19.4%
Qualifying Revolving Retail	71.8%	75.7%	75.1%	78.4%	82.2%	80.6%	75.7%	75.7%
Other Retail	58.0%	61.8%	44.5%	39.9%	39.2%	53.4%	42.3%	44.3%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	4.5%	11.6%	23.1%	44.9%	98.1%	145.2%	184.0%	27.1%
Qualifying Revolving Retail	3.7%	7.6%	15.4%	42.9%	104.0%	205.6%	156.5%	25.3%
Other Retail	35.0%	43.2%	34.6%	53.1%	75.7%	139.2%	204.7%	63.5%

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

grade
					Sep 21
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%	Default	Total
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Residential Mortgage	90,803	94,203	68,171	144,757	7,686	2,052	2,577	410,249
Qualifying Revolving Retail	5,276	3,256	1,082	2,938	784	397	36	13,769
Other Retail	834	4,117	1,797	14,754	6,036	1,644	914	30,096
Total	96,913	101,576	71,050	162,449	14,506	4,093	3,527	454,114
% of Total	21.3%	22.4%	15.6%	35.8%	3.2%	0.9%	0.8%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	22,974	5,800	1,493	8,781	27	15	-	39,090
Qualifying Revolving Retail	3,967	2,471	715	1,284	225	52	2	8,716
Other Retail	760	3,277	923	2,996	725	119	24	8,824
Total	27,701	11,548	3,131	13,061	977	186	26	56,630
Average Exposure at Default
Residential Mortgage	0.262	0.223	0.297	0.332	0.322	0.330	0.308	0.279
Qualifying Revolving Retail	0.009	0.008	0.008	0.010	0.010	0.006	0.009	0.009
Other Retail	0.008	0.011	0.011	0.020	0.021	0.010	0.031	0.016
Exposure-weighted average	Loss Given	Default (%)
Residential Mortgage	19.7%	17.3%	19.7%	20.7%	20.1%	20.0%	19.2%	19.5%
Qualifying Revolving Retail	72.7%	76.0%	74.6%	78.4%	82.0%	80.4%	75.7%	75.6%
Other Retail	58.7%	62.7%	43.5%	40.6%	41.5%	54.1%	43.1%	45.3%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	4.5%	11.6%	23.0%	44.6%	98.3%	144.9%	187.9%	27.0%
Qualifying Revolving Retail	3.4%	8.0%	16.2%	44.5%	112.2%	218.0%	153.3%	27.0%
Other Retail	35.4%	43.8%	33.5%	54.1%	79.0%	141.3%	206.7%	65.3%
					Mar 21
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%	Default	Total
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.00%	$M	$M
	**$M **	**$M **	**$M **	**$M **	**$M **	**$M **
Exposure at Default
Residential Mortgage	90,796	90,181	66,931	144,061	8,339	2,332	2,912	405,552
Qualifying Revolving Retail	5,274	3,443	1,137	2,962	852	424	33	14,125
Other Retail	798	3,928	1,810	15,305	6,118	1,900	1,029	30,888
Total	96,868	97,552	69,878	162,328	15,309	4,656	3,974	450,565
% of Total	21.5%	21.7%	15.5%	36.0%	3.4%	1.0%	0.9%	100.0%
Undrawn commitments (included in above)
Residential Mortgage	22,634	5,669	1,589	8,780	29	16	-	38,717
Qualifying Revolving Retail	3,786	2,537	738	1,161	207	38	2	8,469
Other Retail	729	3,120	922	3,753	980	169	44	9,717
Total	27,149	11,326	3,249	13,694	1,216	223	46	56,903
Average Exposure at Default
Residential Mortgage	0.260	0.220	0.290	0.320	0.320	0.340	0.310	0.273
Qualifying Revolving Retail	0.010	0.010	0.010	0.010	0.010	0.010	0.010	0.009
Other Retail	0.010	0.010	0.010	0.020	0.020	0.010	0.030	0.016
Exposure-weighted average	Loss Given	Default (%)
Residential Mortgage	19.8%	17.6%	19.9%	20.8%	20.2%	20.0%	19.5%	19.7%
Qualifying Revolving Retail	72.4%	75.9%	74.6%	78.6%	82.0%	80.2%	75.7%	75.6%
Other Retail	59.0%	62.8%	43.4%	40.9%	42.1%	53.3%	44.0%	45.4%
Exposure-weighted average	risk weight	(%)
Residential Mortgage	4.4%	11.6%	22.5%	44.1%	98.5%	145.3%	192.4%	27.2%
Qualifying Revolving Retail	3.4%	7.8%	15.6%	43.0%	102.0%	203.1%	152.6%	26.0%
Other Retail	35.3%	44.0%	33.5%	54.3%	80.4%	142.6%	207.0%	67.0%

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Table 9(e): Actual Losses by portfolio type

	Half year Mar 22
Basel Asset Class	Individual provision	Write-offs
	charge	$M
	**$M **
Corporate	(35)	27
Sovereign	-	-
Bank	-	-
Residential Mortgage	6	20
Qualifying Revolving Retail	32	58
Other Retail	54	106
Total Advanced IRB	57	211
Specialised Lending	19	2
Standardised approach	11	9
Total	87	222
	Half year Sep 21
Basel Asset Class	Individual provision	Write-offs
	charge	$M
	**$M **
Corporate	(14)	79
Sovereign	-	-
Bank	-	-
Residential Mortgage	(3)	21
Qualifying Revolving Retail	34	60
Other Retail	52	123
Total Advanced IRB	69	283
Specialised Lending	(5)	-
Standardised approach	5	3
Total	69	286
	Half year Mar 21
Basel Asset Class	Individual provision	Write-offs
	charge	$M
	**$M **
Corporate	49	68
Sovereign	-	-
Bank	-	-
Residential Mortgage	46	71
Qualifying Revolving Retail	33	61
Other Retail	59	126
Total Advanced IRB	187	326
Specialised Lending	-	1
Standardised approach	-	13
Total	187	340

Factors impacting the loss experience

The individually assessed credit impairment charge increased by $18 million predominantly driven by a single name exposure impairment in New Zealand division together with lower write-backs in the Australia Retail and Commercial division Home Loans portfolio. This was partially offset by a decrease in the Institutional division with lower transition to impairment over the period.

Write-offs decreased $64 million over the half predominantly driven by the continued reduction in impairments in Australia Retail and Commercial and Institutional division

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

Portfolio Type	Mar 22
	Average Estimated PD % Average Actual PD % Average estimated to actual EAD ratio Average Estimated LGD % Average Actual LGD %
Corporate Sovereign Bank Specialised Lending Residential Mortgage Qualifying Revolving Retail Other Retail	2.01 1.71 1.17 41.24 35.41
	0.42 - n/a n/a n/a
	0.58 0.06 1.02 46.00 58.30
	n/a 1.83 1.07 n/a 31.77
	0.77 0.74 1.01 20.2 1.5
	1.81 1.47 1.13 79.6 67.4
	3.85 2.62 1.05 51.6 36.8

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 2021. The actual PD is based on the number of defaulted obligors up to February 2022 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 13 years of observation being 2009 to February 2022. 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 2020. 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 2020. Defaults occurring after March 2020 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. Defaults where no loss data has been captured are excluded from the LGD calculation.

A review of historical LGD data is currently being undertaken and may result in changes to Average Actual LGD numbers detailed above.

Retail Portfolios

The estimated PD is based on the average of the internally estimated long-run PDs for obligors that are not in default at March of each year over the period of observation being 2017 to 2021. The actual PD is based on the number of defaulted obligors up to March 2022 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 2017 to 2021. 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 March of each year during the observation period being 2016 to 2020. 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 2021 have been excluded from the analysis to allow sufficient time for workout period

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Table 10 Credit risk mitigation disclosures

Table 10(b): Credit risk mitigation on Standardised approach portfolios – collateral[26][27]

		Mar 22
	Exposure	Eligible Financial	Other Eligible	% Coverage
	$M	Collateral	Collateral
		**$M **	**$M **
Standardised approach
Corporate	6,102	298	-	4.9%
Sovereign	179	1,721	-	91.1%
Residential Mortgage	416	-	-	-
Other Retail	12	-	-	-
Total	6,709	2,019	-	30.1%
		Sep 21
	Exposure	Eligible Financial	Other Eligible	% Coverage
	$M	Collateral	Collateral
		**$M **	**$M **
Standardised approach
Corporate	6,649	563	-	8.5%
Sovereign	27	520	-	95.1%
Residential Mortgage	431	-	-	-
Other Retail	16	-	-	-
Total	7,123	1,083	-	15.2%
		Mar 21
	Exposure	Eligible Financial	Other Eligible	% Coverage
	$M	Collateral	Collateral
		**$M **	**$M **
Standardised approach
Corporate	6,445	2,523	-	28.1%
Sovereign	69	403	-	85.4%
Residential Mortgage	422	-	-	-
Other Retail	22	-	-	-
Total	6,958	2,926	-	26.6%

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

27 Exposure at Default represents credit exposure net of offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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Table 10(c): Credit risk mitigation – guarantees and credit derivatives[28]

	Mar 22
	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	346,061 992 744 0.5% 253,167 3,652 - 1.4% 36,047 - 25 0.1% 411,629 - - - 13,510 - - - 28,667 - - -
Total	1,089,081 4,644 769 0.5%
Standardised approach Corporate Sovereign Residential Mortgage Other Retail	6,102 - - - 179 - - - 416 - - - 12 - - -
Total	6,709 - - -
Qualifying Central Counterparties	6,793 - - -
	Sep 21
	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	332,971 1,276 786 0.6% 247,455 4,688 - 1.9% 32,035 1 37 0.1% 410,249 - - - 13,769 - - - 30,096 - - -
Total	1,066,575 5,965 823 0.6%
Standardised approach Corporate Sovereign Residential Mortgage Other Retail	6,649 - 4 0.1% 27 - - - 431 - - - 16 - - -
Total	7,123 - 4 0.1%
Qualifying Central Counterparties	6,420 - - -

28 Exposure at Default represents credit exposure net of offsets for credit risk mitigation such as guarantees, credit derivatives, netting and financial collateral.

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

	Mar 21
	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	314,251 1,563 841 0.8% 227,824 4,440 - 1.9% 35,401 - 18 - 405,552 - - - 14,125 - - - 30,888 - - -
Total	1,028,041 6,003 859 0.7%
Standardised approach Corporate Sovereign Residential Mortgage Other Retail	6,445 23 10 0.5% 69 - - - 422 - - - 22 - - -
Total	6,958 23 10 0.5%
Qualifying Central Counterparties	10,192 - - -

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ANZ Basel III Pillar 3 disclosure

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Table 11 General disclosures for derivatives and counterparty credit risk

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

	Mar 22	Sep 21	Mar 21
	$M	$M	$M
Gross positive fair value of contracts	45,238	38,736	104,666
Netting benefits	(27,920)	(23,810)	(88,484)
Netted current credit exposure	17,318	14,926	16,182
Collateral held	(8,710)	(5,663)	(6,286)
Net derivatives credit exposure	8,608	9,263	9,896
Counterparty credit risk exposure - by portfolio type
	Mar 22	Sep 21	Mar 21
Portfolio Type	$M	$M	$M
Corporate	17,326	18,375	18,812
Sovereign	3,379	3,280	3,430
Bank	13,565	12,083	13,313
Qualifying Central Counterparties	6,793	6,239	9,996
Specialised Lending	336	960	1,063
Total exposures	41,399	40,937	46,614
Notional Value of Credit Derivative Hedges
	Mar 22	Sep 21	Mar 21
Product Type	$M	$M	$M
Credit Default Swaps	-	-	-
Interest Rate Swaps	-	-	-
Currency Swaps	-	-	-
Other	-	-	-
Total exposures	-	-	-

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

	Mar 22
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	6,934 3,470 10,404
Total notional value	6,934 3,470 10,404
Credit derivative products used for intermediation Credit default swaps Total return swaps	- - - - - -
Total notional value	- - -
Total credit derivative notional value	6,934 3,470 10,404
	Sep 21
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	6,755 2,764 9,519
Total notional value	6,755 2,764 9,519
Credit derivative products used for intermediation Credit default swaps Total return swaps	- - - - - -
Total notional value	- - -
Total credit derivative notional value	6,755 2,764 9,519
	Mar 21
	Protection Bought $M Protection Sold $M Total $M
Credit derivative products used for own credit portfolio Credit default swaps	4,564 414 4,978
Total notional value	4,564 414 4,978
Credit derivative products used for intermediation Credit default swaps Total return swaps	- - - - - -
Total notional value	- - -
Total credit derivative notional value	4,564 414 4,978

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March 2022

Chapter 4 – Securitisation

Table 12 Securitisation disclosures

Banking Book

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

		Mar 22
Traditional securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,243	83,552	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,243	83,552	-
Synthetic securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	-	-
Aggregate of traditional and synthetic
securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,243	83,552	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,243	83,552	-

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

Sep 21

		Sep 21
Traditional securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,396	76,895	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,396	76,895	-
Synthetic securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	-	-
Aggregate of traditional and synthetic
securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,396	76,895	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,396	76,895	-
		Mar 21
Traditional securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,587	72,153	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,587	72,153	-
Synthetic securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	-	-	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	-	-	-
Aggregate of traditional and synthetic
securitisations
Underlying asset	ANZ Originated	ANZ Self Securitised	ANZ Sponsored
	$M	$M	$M
Residential mortgage	1,587	72,153	-
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	1,587	72,153	-

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ANZ Basel III Pillar 3 disclosure

March 2022

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

Underlying asset	Mar 22
	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	1,243 83,552 - 59 - - - - - - - - - - - - - - - - - - - - -
Total	1,243 83,552 - 59 -
Underlying asset	Sep 21
	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	1,396 76,895 - 53 - - - - - - - - - - - - - - - - - - - - -
Total	1,396 76,895 - 53 -
Underlying asset	Mar 21
	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	1,587 72,153 - 57 - - - - - - - - - - - - - - - - - - - - -
Total	1,587 72,153 - 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.

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

	Mar 22
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	(152) 6,657 - - - - - - - -	- - - - -	- - - - -
Total	(152) 6,657	-	-
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			- (478) - - - 616 1
Total			139
	Sep 21
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	(191) 4,742 - - - - - - - -	- - - - -	- - - - -
Total	(191) 4,742	-	-
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			- (600) - - - 204 9
Total			(387)

29 Activity represents net movement in outstandings.

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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 21
	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	(206) (13,086) - - - - - - - -	- - - - -	- - - - -
Total	(206) (13,086)	-	-
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			- 500 - - - 140 17
Total			657

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

Mar 22 Securitisation exposure type - On balance sheet $M	Sep 21 Mar 21 $M $M
Liquidity facilities - Funding facilities 7,768 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) 3,240 Protection provided - Other 85	- - 7,696 9,028 - - - - - - 2,624 2,420 - - 177 245
Total 11,093	10,497 11,693
Mar 22 Securitisation exposure type – Off Balance Sheet $M	Sep 21 Mar 21 $M $M
Liquidity facilities 13 7768+Funding facilities 1,744 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) - Protection provided - Other -	15 17 2,084 2,000 - - - - - - - - - - - -
Total 1,757	2,099 2,017
Mar 22 Total Securitisation exposure type $M	Sep 21 Mar 21 $M $M
Liquidity facilities 13 Funding facilities 9,512 Underwriting facilities - Lending facilities - Credit enhancements - Holdings of securities (excluding trading book) 3,240 Protection provided - Other 85	15 17 9,780 11,028 - - - - - - 2,624 2,420 - - 177 245
Total 12,850	12,596 13,710

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

		Mar 22		Sep 21		Mar 21
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%	12,850	2,090	12,596	2,056	13,710	2,220
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	-	-	-	-	-	-
>75 ≤ 100%	-	-	-	-	-	-
>100 ≤ 650%	-	-	-	-	-	-
1250% (Deduction)	-	-	-	-	-	-
Total	12,850	2,090	12,596	2,056	13,710	2,220
		Mar 22		Sep 21		Mar 21
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 22		Sep 21		Mar 21
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%	12,850	2,090	12,596	2,056	13,710	2,220
>25 ≤ 35%	-	-	-	-	-	-
>35 ≤ 50%	-	-	-	-	-	-
>50 ≤ 75%	-	-	-	-	-	-
>75 ≤ 100%	-	-	-	-	-	-
>100 ≤ 650%	-	-	-	-	-	-
1250% (Deduction)	-	-	-	-	-	-
Total	12,850	2,090	12,596	2,056	13,710	2,220

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.

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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.

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Chapter 5 – Market risk

Table 13 Market risk – Standard approach

ANZ uses the standard model approach to measure market risk capital for specific risk.[30] APRA does not currently permit Australian banks to use an internal model approach for this.

Table 13(b): Market risk – Standard approach[31]

	Mar 22	Sep 21	Mar 21
	$M	$M	$M
Interest rate risk	131	134	134
Equity position risk	-	-	-
Foreign exchange risk	-	-	-
Commodity risk	-	-	-
Total	131	134	134
Risk Weighted Assets equivalent	1,638	1,675	1,675

30 Specific risk is the risk that the value of a security will change due to issuer-specific factors. It applies to interest rate and equity positions related to a specific issuer.

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

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Table 14 Market risk – Internal models approach

Table 14(f): Value at Risk (VaR) and stressed VaR over the reporting period[32]

		Six months ended	Mar 22
99% 1 Day Value at Risk (VaR)	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	2.9	4.8	1.7	2.5
Interest Rate	11.8	23.4	5.5	6.3
Credit	7.5	11.8	2.3	2.3
Commodity	3.5	7.0	2.3	3.0
Equity	-	-	-	-
		Six months ended	Sep 21
99% 1 Day Value at Risk (VaR)	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	3.1	5.5	1.3	3.8
Interest Rate	7.5	12.9	4.6	9.6
Credit	13.1	21.8	5.3	6.3
Commodity	3.1	5.0	2.0	3.1
Equity	-	-	-	-
		Six months ended	Mar 21
99% 1 Day Value at Risk (VaR)	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	4.6	10.0	2.0	3.2
Interest Rate	10.0	19.5	4.4	6.4
Credit	14.4	22.2	9.3	14.8
Commodity	2.4	3.4	1.3	2.6
Equity	-	-	-	-
		Six months ended	Mar 22
99% 10 Day Stressed VaR	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	28.5	65.5	10.8	26.2
Interest Rate	63.9	158.6	32.6	42.1
Credit	33.7	45.5	16.7	17.6
Commodity	35.0	85.0	19.6	27.5
Equity	-	-	-	-
		Six months ended	Sep 21
99% 10 Day Stressed VaR	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	29.5	55.8	14.3	31.0
Interest Rate	48.8	88.2	27.1	74.1
Credit	47.1	65.9	26.6	30.0
Commodity	31.5	38.8	24.5	25.2
Equity	-	-	-	-
		Six months ended	Mar 21
99% 10 Day Stressed VaR	Mean	Maximum	Minimum	Period end
	**$M **	**$M **	**$M **	**$M **
Foreign Exchange	39.8	116.0	12.5	16.5
Interest Rate	52.8	99.2	23.2	26.5
Credit	49.1	64.5	34.1	47.1
Commodity	29.1	36.8	16.1	29.8
Equity	-	-	-	-

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

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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 [310 x 294] intentionally omitted <==

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Chapter 6 – 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 22 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	2,898 2,481 565 565
Total	3,463 3,046
Equity investments	Sep 21 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	2,941 2,443 399 399
Total	3,340 2,842
Equity investments	Mar 21 $M
Value of listed (publicly traded) equities Value of unlisted (privately held) equities	Balance sheet value Fair value
	2,870 3,430 230 230
Total	3,100 3,660

Table 16(d) and 16(e): Equities – gains (losses)[33]

Half Year Mar 22 Realised gains (losses) on equity investments $M	Half Year Half Year Sep 21 Mar 21 $M $M
Cumulative realised gains (losses) from disposals and liquidations in the reporting period - Cumulative realised losses from impairment and writedowns in the reporting period -	8 - (2) -
Total -	6 -
Half Year Mar 22 Unrealised gains (losses) on equity investments $M	Half Year Half Year Sep 21 Mar 21 $M $M
Total unrealised gains (losses) (18) Reversal of prior period unrealised gains (losses) from disposals and liquidations in the reporting period -	(26) 73 - -
Total unrealised gains (losses) included in Common Equity Tier 1, Tier 1 and/or Tier 2 capital (18)	(26) 73

Table 16(f): Equities Risk Weighted Assets

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

33 Table 16(d) and Table 16 (e) are reported on an after-tax basis

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Chapter 7 – 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 22	Sep 21	Mar 21
Interest rate shock applied	$M	$M	$M
AUD
200 basis point parallel increase	(717)	(1,317)	(479)
200 basis point parallel decrease	751	1,419	489
NZD
200 basis point parallel increase	(172)	(306)	(224)
200 basis point parallel decrease	154	294	209
USD
200 basis point parallel increase	(53)	(10)	59
200 basis point parallel decrease	54	18	(50)
Other
200 basis point parallel increase	(54)	(118)	(119)
200 basis point parallel decrease	74	130	129
IRRBB regulatory capital	2,672	1,443	812
IRRBB regulatory RWA	33,402	18,036	10,150

IRRBB stress testing methodology

Stress tests within ANZ include standard extraordinary forward looking and repricing term assumptions 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. Other stress tests include interest rate moves from historical periods of stress possible future stress test as well as stresses to assumptions made about the repricing term of exposures. The extraordinary rate move scenarios include rate changes over the stressed periods in financial market history. Forward looking stress tests include interest rate moves from plausible future severe scenarios. Stresses of the repricing term assumptions investigate scenarios where actual repricing terms are significantly different to those modelled.

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Chapter 8 – 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: Capital Adequacy. APRA requires ADIs authorised to use the internal ratings based approach to credit risk to maintain a minimum leverage ratio of 3.5% from January 2023.

At 31 March 2022, the Group’s Leverage Ratio of 5.2% was above the 3% minimum currently required by the BCBS. Table 18 below shows the Group’s Leverage Ratio calculation as at 31 March 2022 and Table 19 summarises the reconciliation of accounting assets and leverage ratio exposure measure at 31 March 2022.

Table	18 Leverage Ratio
		Mar 22	Sep 21	Mar 21
		$M	$M	$M
	On-balance sheet exposures
1	On-balance sheet items (excluding derivatives and SFTs, but including collateral)	941,228	914,059	889,625
2	(Asset amounts deducted in determining Basel III Tier 1 capital)	(12,542)	(12,090)	(11,438)
3	Total on-balance sheet exposures (excluding derivatives and SFTs)	928,686	901,969	878,187
	Derivative exposures
4	Replacement cost associated with all derivatives transactions (ie net of eligible cash	9,614	9,675	10,965
	variation margin)
5	Add-on amounts for PFE associated with all derivatives transactions	33,845	31,879	30,555
6	Gross-up for derivatives collateral provided where deducted from the balance sheet	686	2,076	671
	assets pursuant to the operative accounting framework
7	(Deductions of receivables assets for cash variation margin provided in derivatives	(7,671)	(5,875)	(8,271)
	transactions)
8	(Exempted CCP leg of client-cleared trade exposures)	-	-	-
9	Adjusted effective notional amount of written credit derivatives	3,470	143	313
10	(Adjusted effective notional offsets and add-on deductions for written credit	(3,470)	(129)	(300)
	derivatives)
11	Total derivative exposures	36,474	37,769	33,933
	Securities financing transaction exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sale	30,768	25,943	23,875
	accounting transactions
13	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(2,761)	(1,253)	(2,012)
14	CCR exposure for SFT assets	6,216	5,794	5,084
15	Agent transaction exposures	-	-	-
16	Total securities financing transaction exposures	34,223	30,484	26,947
	Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	264,942	260,594	253,217
18	(Adjustments for conversion to credit equivalent amounts)	(147,038)	(142,746)	(139,092)
19	Off-balance sheet items	117,904	117,848	114,125
	Capital and Total Exposures
20	Tier 1 capital	58,001	59,473	58,431
21	Total exposures	1,117,287	1,088,070	1,053,192
	Leverage ratio
22	Basel III leverage ratio	5.2%	5.5%	5.5%

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

		Mar 22	Sep 21	Mar 21
		$M	$M	$M
1	Total consolidated assets as per published financial statements	1,017,361	978,857	1,018,339
2	Adjustment for investments in banking, financial, insurance or commercial	(127)	(120)	(174)
	entities 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.	(8,764)	(967)	(70,733)
5	Adjustment for SFTs (i.e. repos and similar secured lending)	3,455	4,542	3,073
6	Adjustment for off-balance sheet exposures (i.e. conversion to credit equivalent	117,904	117,848	114,125
	amounts of off-balance sheet exposures)
7	Other adjustments	(12,542)	(12,090)	(11,438)
	Leverage ratio exposure	1,117,287	1,088,070	1,053,192

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Table 20 Liquidity Coverage Ratio disclosure template

			Mar 22			Dec 21
		Total		Total	Total		Total
		Unweighted		Weighted	Unweighted		Weighted
		Value		Value	Value		Value
		**$M **		**$M **	**$M **		**$M **
	Liquid assets, of which:
1	High-quality liquid assets (HQLA)			233,997			229,565
2	Alternative liquid assets (ALA)			8,067			10,700
3	Reserve Bank of New Zealand (RBNZ) securities			67			-
	Cash outflows
4	Retail deposits and deposits from small business	284,077		29,648	278,347		28,583
	customers
5	of which: stable deposits	118,041		5,902	119,886		5,994
6	of which: less stable deposits	166,036		23,746	158,461		22,589
7	Unsecured wholesale funding	285,028		148,475	280,746		145,579
8	of which: operational deposits (all	101,881		24,576	105,142		25,411
	counterparties) and deposits in networks for
	cooperative banks
9	of which: non-operational deposits (all	166,610		107,362	160,873		105,437
	counterparties)
10	of which: unsecured debt	16,537		16,537	14,731		14,731
11	Secured wholesale funding			1,326			742
12	Additional requirements	167,043		49,317	155,935		44,943
13	of which: outflows related to derivatives	30,677		30,677	27,425		27,425
	exposures and other collateral requirements
14	of which: outflows related to loss of funding on	-		-	-		-
	debt products
15	of which: credit and liquidity facilities	136,366		18,640	128,510		17,518
16	Other contractual funding obligations	8,875		-	8,877		-
17	Other contingent funding obligations	94,104		5,570	97,704		6,359
18	Total cash outflows			234,336			226,206
	Cash inflows
19	Secured lending (e.g. reverse repos)	15,283		1,426	12,719		1,437
20	Inflows from fully performing exposures	26,797		17,922	26,663		17,786
21	Other cash inflows	29,790		29,790	25,953		25,953
22	Total cash inflows	71,870		49,138	65,335		45,176
23	Total liquid assets			242,131			240,265
24	Total net cash outflows			185,198			181,030
25	Liquidity Coverage Ratio (%)			130.7%			132.7%
	Number of data points used (simple average)			64			66

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 31 March 2022 was 130.7% with total liquid assets exceeding net outflows by an average of $57.0 billion.

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.

ANZ has a well-diversified deposit and funding base avoiding undue concentrations by investor type, maturity, market source and currency.

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

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Table 21 NSFR disclosure template

	Mar 22
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 NSFR derivative liabilities 13 All other liabilities and equity not included in the above categories	61,936 - - 22,249 61,936 - - 22,249 - - - - 272,431 56,845 - 1 113,239 10,136 - - 159,192 46,709 - 1 174,141 256,231 31,955 65,936 97,827 - - - 76,314 256,231 31,955 65,936 - - - - 18,813 10,077 - 232 10,077 - - 18,813 - - 232	84,185 84,185 - 301,456 117,206 184,250 196,903 48,914 147,989 - 232 232
14 Total ASF		582,776
Required Stable Funding (RSF) Item 15a Total NSFR (HQLA) 15b ALA 15c RBNZ securities 16 Deposits held at other financial institutions for operational purposes 17 Performing loans and securities 18 of which: Performing loans to financial institutions secured by Level 1 HQLA 19 of which: Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions 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) 21 of which: With a risk weight of less than or equal to 35% under APS 112 22 of which: Performing residential mortgages 23 of which: With a risk weight equal to 35% under APS 112 24 of which: Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 25 Assets with matching interdependent liabilities 26 Other assets: 27 of which: Physical traded commodities, including gold 28 of which: Assets posted as initial margin for derivative contracts and contributions to default funds of central counterparties (CCPs) 29 of which: NSFR derivative assets 30 of which: NSFR derivative liabilities before deduction of variation margin posted 31 of which: All other assets not included in the above categories 32 Off-balance sheet items	- - - - 12,810 112,816 41,632 479,260 - 26,163 100 - 532 24,148 8,351 19,914 11,023 53,761 25,854 119,720 - 230 2 473 - 7,243 6,923 336,711 - 6,412 6,126 290,236 1,255 1,501 404 2,915 - - - - 25,631 31,178 2,003 1,811 3,213 BLANK 2,396 - - 9,614 - - BLANK 17,896 - - 22,419 1,272 2,003 1,811 - - 191,592	6,758 2,812 971 - 426,206 2,667 28,243 150,841 423 239,958 199,640 4,497 - 28,710 2,731 2,037 - 3,579 20,363 8,048
33 Total RSF		473,505
34 Net Stable Funding Ratio (%)		123.08%

ANZ's NSFR as at 31 March 2022 was 123.1%, down 2.2% in the quarter since December 2021.

The main sources of Available Stable Funding (ASF) at March 2022 were deposits from Retail and SME customers, at 52%, with other wholesale funding (including Term Funding Facilities) at 25% and capital at 14% of the total ASF.

The majority of ANZ's Required Stable Funding (RSF) at March 2022 was driven by mortgages at 51% and other lending to non-FI customers at 32% of the total RSF.

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Table 21 NSFR disclosure template (continued)

	Dec 21
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 NSFR derivative liabilities	62,184 - - 23,415 62,184 - - 23,415 - - - - 262,906 58,478 - - 118,689 10,679 - - 144,217 47,799 - - 188,173 266,259 29,239 66,083 103,171 - - - 85,002 266,259 29,239 66,083 - - - - 12,256 6,152 - 555 6,152 - -	85,599 85,599 - 295,715 122,900 172,815 199,294 51,586 147,708 - 555
13 All other liabilities and equity not included in the above categories	12,256 - - 555	555
14 Total ASF		581,163
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 18 of which: Performing loans to financial institutions secured by Level 1 HQLA 19 of which: Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions 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) 21 of which: With a risk weight of less than or equal to 35% under APS 112 22 of which: Performing residential mortgages 23 of which: With a risk weight equal to 35% under APS 112 24 of which: Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 25 Assets with matching interdependent liabilities 26 Other assets: 27 of which: Physical traded commodities, including gold 28 of which: Assets posted as initial margin for derivative contracts and contributions to default funds of central counterparties (CCPs) 29 of which: NSFR derivative assets 30 of which: NSFR derivative liabilities before deduction of variation margin posted 31 of which: All other assets not included in the above categories 32 Off-balance sheet items	- - - - 12,879 107,081 49,243 468,706 - 25,403 - - 474 22,945 10,447 18,405 10,972 50,364 31,229 114,494 - 210 22 473 - 7,213 6,893 332,731 - 6,374 6,091 287,012 1,433 1,156 674 3,076 - - - - 17,668 22,331 540 3,875 1,487 BLANK 2,199 - - 7,984 - - BLANK 12,000 - - 16,181 148 540 3,875 - - 198,246	7,169 3,079 1,092 - 417,934 2,540 27,545 147,347 423 235,754 196,072 4,748 - 26,282 1,264 1,869 1,832 2,400 18,917 8,331
33 Total RSF		463,888
34 Net Stable Funding Ratio (%)		125.28%

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March 2022

Glossary

ADI Authorised Deposit-taking Institution. Basel III Credit Valuation CVA charge is an additional capital requirement under Basel III for bilateral adjustment (CVA) capital derivative exposures. Derivatives not cleared through a central charge exchange/counterparty are subject to this additional capital charge and also receive normal CRWA treatment under Basel II principles. Collectively Assessed Collectively assessed provisions for credit impairment represent the Provision for Credit Expected Credit Loss (ECL) calculated in accordance with AASB 9 Financial Impairment 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. Credit exposure The aggregate of all claims, commitments and contingent liabilities arising from on- and off-balance sheet transactions (in the banking book and trading book) with the counterparty or group of related counterparties. Credit risk The risk of financial loss resulting from a counterparty failing to fulfil its obligations, or from a decrease in credit quality of a counterparty resulting in a loss in value. Credit Valuation Adjustment Over the life of a derivative instrument, ANZ uses a CVA model to adjust (CVA) fair value to take into account the impact of counterparty credit quality. The methodology calculates the present value of expected losses over the life of the financial instrument as a function of probability of default, loss given default, expected credit risk exposure and an asset correlation factor. Impaired derivatives are also subject to a CVA. Days past due The number of days a credit obligation is overdue, commencing on the date that the arrears or excess occurs and accruing for each completed calendar day thereafter. Exposure at Default (EAD) Exposure at Default is defined as the expected facility exposure at the date of default. Impaired assets (IA) Facilities are classified as impaired when there is doubt as to whether the contractual amounts due, including interest and other payments, will be met in a timely manner. Impaired assets include impaired facilities, and impaired derivatives. Impaired derivatives have a credit valuation adjustment (CVA), which is a market assessment of the credit risk of the relevant counterparties. Impaired loans (IL) Impaired loans comprise of drawn facilities where the customer’s status is defined as impaired. Individual provision charge Individual provision charge is the amount of expected credit losses on (IPC) financial instruments assessed for impairment on an individual basis (as opposed to on a collective basis). It takes into account expected cash flows over the lives of those financial instruments. Individually Assessed Individually assessed provisions for credit impairment are calculated in Provisions for Credit accordance with AASB 9 Financial Instruments (AASB 9). They are Impairment 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.

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ANZ Basel III Pillar 3 disclosure

September 2020

Internationally Comparable	The Internationally Comparable Basel III CET1 ratios are ANZ’s
Basel III Capital Ratio	interpretation of the regulations documented in the Basel Committee
	publications; “Basel 3: A global 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
Counterparties (QCCP)	between counterparties to derivative contracts. Trades with QCCP attract
	a more favorable risk weight calculation.
Recoveries	Payments received and taken to profit for the current period for the
	amounts written off in prior financial periods.
Restructured items	Restructured items comprise facilities in which the original contractual
	terms have been modified for reasons related to the financial difficulties of
	the customer. Restructuring may consist of reduction of interest, principal
	or other payments legally due, or an extension in maturity materially
	beyond those typically offered to new facilities with similar risk.
Risk Weighted Assets (RWA)	Assets (both on and off-balance sheet) are risk weighted according to each
	asset’s inherent potential for default and what the likely losses would be in
	the case of default. In the case of non-asset backed risks (i.e. market and
	operational risk), RWA is determined by multiplying the capital
	requirements for those risks by 12.5.
Securitisation risk	The risk of credit related losses greater than expected due to a
	securitisation failing to operate as anticipated, or of the values and risks
	accepted or transferred, not emerging as expected.
Write-Offs	Facilities are written off against the related provision for impairment when
	they are assessed as partially or fully uncollectable, and after proceeds
	from the realisation of any collateral have been received. Where individual
	provisions recognised in previous periods have subsequently decreased or
	are no longer required, such impairment losses are reversed in the current
	period income statement.

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ANZ Basel III Pillar 3 disclosure

March 2022

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