Australia and New Zealand Banking Group Ltd. — Audit Report / Information 2025

Feb 19, 2025

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20 February 2025

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

APS 330 Pillar 3 Disclosure at 31 December 2024

Australia and New Zealand Banking Group Limited (ANZ) today released its APS 330 Pillar 3 Disclosure as at 31 December 2024.

It 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 9/833 Collins Street Docklands Victoria 3008 Australia ABN 11 005 357 522

2024 Basel III Pillar 3 Disclosure

As at 31 December 2024 APS 330: Public Disclosure

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Important notice

This document has been prepared by ANZ Bank HoldCo as the head of ANZ’s Level 2 Banking Group (ANZ) to meet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

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ANZ Basel III Pillar 3 Disclosure

December 2024

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets[1][2][3]

	Dec 24	Sep 24	Jun 24
Risk Weighted Assets	$M	$M	$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	69,262	62,853	60,486
Residential Mortgage1	92,768	90,924	95,387
Retail SME	9,602	9,724	10,005
Qualifying Revolving Retail	3,181	3,235	3,314
Other Retail	1,621	1,624	1,675
Credit risk weighted assets subject to Advanced IRB approach	176,434	168,360	170,867
Subject to Foundation IRB approach
Corporate	38,463	33,275	35,130
Sovereign	11,611	11,119	11,041
Financial Institutions	32,906	29,821	29,843
Credit risk weighted assets subject to Foundation IRB approach	82,980	74,215	76,014
**Credit Risk Specialised Lending exposures subject to slotting approach2 **	5,077	4,242	3,762
Subject to Standardised approach
Corporate	13,510	14,699	4,955
Sovereign	301	81	247
Bank	91	80	-
Residential Mortgage	22,181	21,987	1,941
Other Retail	211	219	93
Other Assets	3,971	4,046	3,834
Credit risk weighted assets subject to Standardised approach	40,265	41,112	11,070
Credit Valuation Adjustment and Qualifying Central Counterparties	5,439	3,847	5,052
Credit risk weighted assets relating to securitisation exposures	2,393	2,452	2,556
Exposures of New Zealand banking subsidiaries	66,857	66,957	66,118
Total credit risk weighted assets	379,444	361,185	335,439
Market risk weighted assets	8,938	7,823	9,314
Operational risk weighted assets3	50,648	49,650	43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets	22,029	23,052	24,855
RWA adjustment for the IRB capital floor	11,375	4,872	20,331
Total Risk Weighted Assets	472,434	446,582	433,213

1 Residential Mortgages risk weighted assets includes a $3.1 billion in overlay for the PD model introduced from 30 June 2024 reporting period. Additionally, June 2024 reporting period RWA included a $9.6 billion overlay for the mortgages LGD model which was removed from the September 2024 reporting period.

2 Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from the asset being financed and includes project finance and object finance.

3 Includes a $9.4 billion operational risk RWA overlay ($750 million capital), subject to APRA’s acceptance of ANZ’s satisfactory remediation of matters identified through the Self-Assessments into Governance, Culture and Accountability.

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December 2024

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets[4]

	Dec 24	Sep 24	Jun 24
Capital Floor	$M	$M	$M
Risk weighted assets under the standardised approach
Credit Risk4	592,047	558,503	544,947
Market risk weighted assets	8,938	7,823	9,314
Operational risk weighted assets	50,648	49,650	43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets	n/a	n/a	n/a
Total Risk Weighted Assets	651,633	615,976	597,535
Risk weighted assets prior to application of floor
Credit Risk	379,444	361,185	335,439
Market risk weighted assets	8,938	7,823	9,314
Operational risk weighted assets	50,648	49,650	43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets	22,029	23,052	24,855
Total Risk Weighted Assets	461,059	441,710	412,882
Capital floor at 72.5%	472,434	446,582	433,213
Capital floor adjustment	11,375	4,872	20,331
Capital ratios (%)	Dec 24	Sep 24	Jun 24
Level 2 Common Equity Tier 1 capital ratio	11.5%	12.2%	13.3%
Level 2 Tier 1 capital ratio	13.3%	14.0%	15.2%
Level 2 Total capital ratio	19.6%	20.6%	21.5%
Basel III APRA level 2 CET1	Dec 24	Sep 24	Jun 24
Common Equity Tier 1 Capital	54,333	54,469	57,576
Total Risk Weighted Assets	472,434	446,582	433,213
Common Equity Tier 1 capital ratio	11.5%	12.2%	13.3%
Basel III APRA level 1 Extended licensed entity CET1	Dec 24	Sep 24	Jun 24
Common Equity Tier 1 Capital	46,000	46,934	48,047
Total Risk Weighted Assets	398,015	372,364	372,917
Common Equity Tier 1 capital ratio	11.6%	12.6%	12.9%

Credit Risk Weighted Assets (CRWA):

Credit RWA for 31 December totalled $379.4 billion, a $18.2 billion increase quarter on quarter. The main drivers of this increase include:

• Volume growth (+$15.5 billion) predominantly in the Institutional business (+$13.2 billion) from foreign exchange rate changes impacting Markets exposures combined with lending growth in Corporate Finance and trade within Transaction Banking.

• Foreign exchange and other movements (+$5.9 billion) which includes an increase for CVA RWA (+$1.8 billion) driven by Markets exposure increase.

• Data, models and methodology (-$1.9 billion) from continued refinement in processes, data and associated methodology treatments.

• Portfolio Risk (-$1.3 billion) predominantly related to portfolio upgrades in the Institutional portfolio.

Market Risk, IRRBB and Operational Risk RWA:

• Traded Market Risk RWA increase $1.1 billion mainly driven by increase in Stressed VaR.

• IRRBB RWA decreased $1.0 billion primarily due to an improvement in Embedded Losses.

• Operational Risk RWA increased $1.0 billion due to annual refresh as per APS 115 prudential requirements and improved financial performance of the bank in the FY24 financial year.

4 RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach is $135.2 billion when calculated under the standardised approach.

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December 2024

Table 4 Credit risk exposures

Exposure at Default in Table 4 represents credit exposure net of offsets for credit risk mitigation such as netting and financial collateral. It includes Advanced IRB, Foundation IRB, Specialised Lending and Standardised exposures, and excludes Securitisation and Equities exposures.

Table 4(a) part (i): Period end and average Exposure at Default[5]

Subject to Advanced IRB approach	Dec 24
	Risk Weighted Assets Exposure at Default Average Exposure at Default for three months Individual provision charge for three months Write-offs for three months $M $M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail	69,262 143,293 139,574 - 11 92,768 361,972 359,424 5 7 9,602 16,848 16,970 17 21 3,181 12,700 12,712 7 21 1,621 1,456 1,472 7 13
Total Advanced IRB approach	176,434 536,269 530,151 36 73
Subject to Foundation IRB approach
Corporate Sovereign Financial Institution	38,463 102,297 95,229 (18) - 11,611 247,933 237,459 - - 32,906 126,348 117,298 - -
Total Foundation IRB approach	82,980 476,578 449,986 (18) -
Specialised Lending Exposures Subject to Supervisory Slotting	5,077 6,603 5,999 - -
Subject to Standardised approach
Corporate Sovereign Bank Residential Mortgage Other Retail Other Assets	13,510 17,437 17,989 7 - 301 12,027 11,911 - - 91 400 400 - - 22,181 63,471 63,039 - - 211 228 233 - 1 3,971 11,449 10,370 - -
Total Standardised approach	40,265 105,011 103,941 7 1
Credit Valuation Adjustment and Qualifying Central Counterparties	5,439 10,831 9,880
Exposures of New Zealand banking subsidiaries	66,857 196,737 195,909 10 9
Total	377,051 1,332,029 1,295,867 35 83

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

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December 2024

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

Table 4(a) part (i): Period end and	average Exposure at Default (continued)
Subject to Advanced IRB approach	Sep 24
	Risk Weighted Assets Exposure at Default Average Exposure at Default for three months Individual provision charge for three months Write-offs for three months $M $M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail	62,853 135,855 134,594 15 10 90,924 356,875 354,388 3 5 9,724 17,092 17,260 21 19 3,235 12,724 12,748 13 22 1,624 1,488 1,526 7 14
Total Advanced IRB approach	168,360 524,034 520,516 59 70
Subject to Foundation IRB approach
Corporate Sovereign Financial Institution	33,275 88,161 90,711 (20) 11 11,119 226,985 224,228 - - 29,821 108,248 109,224 - -
Total Foundation IRB approach	74,215 423,394 424,162 (20) 11
Specialised Lending Exposures Subject to Supervisory Slotting	4,242 5,394 5,035 - -
Subject to Standardised approach
Corporate Sovereign Bank Residential Mortgage Other Retail Other Assets	14,699 18,541 12,044 15 7 81 11,794 6,020 - - 80 399 1,263 - - 21,987 62,608 31,337 (1) - 219 237 4,249 (1) - 4,046 9,292 12,769 - 1
Total Standardised approach	41,112 102,871 67,682 13 7
Credit Valuation Adjustment and Qualifying Central Counterparties	3,847 8,930 8,870 - -
Exposures of New Zealand banking subsidiaries	66,957 195,082 194,678 27 10
Total	358,733 1,259,705 1,220,944 79 98

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December 2024

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

Subject to Advanced IRB approach	Jun 24
	Risk Weighted Assets Exposure at Default Average Exposure at Default for three months Individual provision charge for three months Write-offs for three months $M $M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail	60,486 133,333 132,452 (12) 4 95,387 351,900 349,133 - 6 10,005 17,428 17,028 15 11 3,314 12,772 12,788 16 24 1,675 1,564 1,567 11 15
Total Advanced IRB approach	170,867 516,997 512,968 30 60
Subject to Foundation IRB approach
Corporate Sovereign Financial Institution	35,130 93,261 93,578 (10) - 11,041 221,470 219,703 - - 29,843 110,200 109,228 - -
Total Foundation IRB approach	76,014 424,931 422,509 (10) -
Specialised Lending Exposures Subject to Supervisory Slotting	3,762 4,676 4,552 - -
Subject to Standardised approach
Corporate Sovereign Residential Mortgage Other Retail Other Assets	4,955 5,547 5,676 (2) 1 247 246 209 - - 1,941 2,128 2,086 - 2 93 65 65 - - 3,834 8,261 7,215 - -
Total Standardised approach	11,070 16,247 15,251 (2) 3
Credit Valuation Adjustment and Qualifying Central Counterparties	5,052 8,810 8,131 - -
Exposures of New Zealand banking subsidiaries	66,118 194,275 194,946 9 9
Total	332,883 1,165,936 1,158,357 27 72

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December 2024

Table 4(a) part (ii): Exposure at Default by portfolio type[6]

				Average for
				the quarter
				ended
	Dec 24	Sep 24	Jun 24	Dec 24
Portfolio Type	$M	$M	$M	$M
Cash	125,197	109,212	110,001	117,204
Contingents liabilities, commitments, and other off-	174,321	165,573	158,901	169,947
balance sheet exposures
Derivatives	62,694	46,990	49,408	54,842
Settlement Balances	803	797	10	800
Investment Securities	144,474	137,113	119,680	140,794
Net Loans, Advances & Acceptances	795,713	774,442	702,620	785,077
Other assets	7,944	7,665	7,480	7,805
Trading Securities	20,883	17,913	17,836	19,398
Total exposures	1,332,029	1,259,705	1,165,936	1,295,867

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

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December 2024

Table 4(b): Non-Performing Facilities , Provisions and Write-offs

		Dec 24
	Non-performing exposures	Individually provisioned exposures
Advanced IRB approach	Exposure Specific provision balance Specific provision charge for three months BLANK	Exposure Individual provision balance Individual provision charge for three months Write- offs for three months
	$M $M $M	$M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail	794 141 (4) 3,673 187 7 473 141 19 37 28 6 43 44 7	135 48 - 11 139 33 5 7 121 84 17 21 - - 7 21 21 21 7 13
Total Advanced IRB approach	5,020 541 35	416 186 36 73
Foundation IRB approach
Corporate Sovereign Financial Institution	30 15 (18) - - - 2 - -	29 15 (18) - - - - - 1 - - -
Total Foundation IRB approach	32 15 (18)	30 15 (18) -
Specialised Lending Subject to Supervisory Slotting	- - -	- - - -
Standardised approach
Corporate Residential Mortgage Other Retail	291 46 13 655 19 (1) 5 2 -	148 38 7 - 22 7 - - 5 2 - 1
Total Standardised approach	951 67 12	175 47 7 1
Exposures of New Zealand banking subsidiaries	1,520 155 8	327 59 10 9
		-
Total	7,523 778 37	948 307 35 83

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Table 4(b): Non-Performing Facilities , Provisions and Write-offs (continued)

		Sep 24
	Non-performing exposures	Individually provisioned exposures
Advanced IRB approach	Exposure Specific provision balance Specific provision charge for three months BLANK $M $M $M 945 155 23 3,520 187 9 465 139 25 36 28 12 42 44 9	Exposure Individual provision balance Individual provision charge for three months Write- offs for three months $M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail		151 57 15 10 135 35 3 5 119 83 21 19 - - 13 22 21 20 7 14
Total Advanced IRB approach	5,008 553 78	426 195 59 70
Foundation IRB approach
Corporate Sovereign Financial Institution	30 14 (21) - - - 1 - (1)	29 14 (20) 11 - - - - 1 - - -
Total Foundation IRB approach	31 14 (22)	30 14 (20) 11
Specialised Lending Subject to Supervisory Slotting	- - -	- - - -
Standardised approach
Corporate Residential Mortgage Other Retail	266 35 12 652 14 1 34 2 (1)	107 30 15 7 20 5 (1) - 5 2 (1) -
Total Standardised approach	952 51 12	132 37 13 7
Exposures of New Zealand banking subsidiaries	1,489 160 22	319 62 27 10
Total	7,480 778 90	907 308 79 98

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Table 4(b): Non-Performing Facilities , Provisions and Write-offs (continued)

		Jun 24
	Non-performing exposures	Individually provisioned exposures
Advanced IRB approach	Exposure Specific provision balance Specific provision charge for three months BLANK	Exposure Individual provision balance Individual provision charge for three months Write- offs for three months
	$M $M $M	$M $M $M $M
Corporate Residential Mortgage Retail SME Qualifying Revolving Retail Other Retail	831 143 17 3,294 178 9 479 130 19 39 29 17 42 43 12	124 52 (12) 4 117 34 - 6 115 77 15 11 - - 16 24 21 21 11 15
Total Advanced IRB approach	4,685 523 74	377 184 30 60
Foundation IRB approach
Corporate Sovereign Financial Institution	76 39 (10) - - - 2 1 1	75 39 (10) - - - - - 1 - - -
Total Foundation IRB approach	78 40 (9)	76 39 (10) -
Specialised Lending Subject to Supervisory Slotting	- - -	- - - -
Standardised approach
Corporate Residential Mortgage Other Retail	74 30 (3) 76 8 - 5 4 -	26 22 (2) 1 11 5 - 2 5 4 - -
Total Standardised approach	155 42 (3)	42 31 (2) 3
Exposures of New Zealand banking subsidiaries	1,320 149 (5)	277 47 9 9
Total	6,238 754 57	772 301 27 72

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Table 4(c): Specific Provision Balance and Provisions held against performing exposures[7]

	Dec 24
	Specific Provision Balance $M Provisions held against performing exposures $M Total $M
Collectively Assessed Provisions Individually Assessed Provisions	471 3,830 4,301 307 - 307
Total Provision for Credit Impairment	778 3,830 4,608
	Sep 24
	Specific Provision Balance $M Provisions held against performing exposures $M Total $M
Collectively Assessed Provisions Individually Assessed Provisions	470 3,777 4,247 308 - 308
Total Provision for Credit Impairment	778 3,777 4,555
	Jun 24
	Specific Provision Balance $M Provisions held against performing exposures $M Total $M
Collectively Assessed Provisions Individually Assessed Provisions	453 3,595 4,048 301 - 301
Total Provision for Credit Impairment	754 3,595 4,349

7 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 Provisions held against performing exposures 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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December 2024

Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and facility[8]

Dec 24	Dec 24
Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale **$M **
Residential mortgage (357) (89) - Credit cards and other personal loans - - - Auto and equipment finance - - - Commercial loans - - - Other - - -	- - - - -
Total (357) (89) - -
Securitisation activity by facility provided	Notional amount **$M **
Liquidity facilities Funding facilities Underwriting facilities Lending facilities Credit enhancements Holdings of securities (excluding trading book) Other	(3) - - - - (246) (222)
Total	(471)

Sep 24
Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale **$M **
Residential mortgage 2,882 11,567 - Credit cards and other personal loans - - - Auto and equipment finance - - - Commercial loans - - - Other - - -	- - - - -
Total 2,882 11,567 -	-
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	44 120 - - - (195) 3,011
Total	2,980

8 Activity represents net movement in outstanding.

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

Jun 24 Original value securitised Securitisation activity by underlying asset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale **$M **
Residential mortgage (36) 100 - Credit cards and other personal loans - - - Auto and equipment finance - - - Commercial loans - - - Other - - -	- - - - -
Total (36) 100 -	-
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	- - - - - 255 4
Total	259

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

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

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

	Dec 24	Sep 24	Jun 24
Securitisation exposure type - On balance	$M	$M	$M
sheet
Liquidity facilities	-	-	-
Funding facilities	10,575	11,000	10,550
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	1,673	1,920	2,115
Protection provided	-	-	-
Other	185	216	105
Total	12,433	13,136	12,770
	Dec 24	Sep 24	Jun 24
Securitisation exposure type - Off Balance	$M	$M	$M
Sheet
Liquidity facilities	48	52	8
Funding facilities	2,636	2,203	3,339
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	-	-	-
Protection provided	-	-	-
Other	-	-	-
Total	2,684	2,255	3,347
	Dec 24	Sep 24	Jun 24
Total Securitisation exposure type	$M	$M	$M
Liquidity facilities	48	52	8
Funding facilities	13,211	13,203	13,889
Underwriting facilities	-	-	-
Lending facilities	-	-	-
Credit enhancements	-	-	-
Holdings of securities (excluding trading book)	1,673	1,920	2,115
Protection provided	-	-	-
Other	185	216	105
Total	15,117	15,391	16,117

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

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

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Table 18 Leverage ratio

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

Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure (expressed as a percentage) as defined by APS 110: 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.

The following information is the short form data disclosure required to be published under paragraph 49 of APS 330.

		Dec 24	Sep 24	Jun 24	Mar 24
	Capital and total exposures	$M	$M	$M	$M
20	Tier 1 capital	62,699	62,676	65,846	66,709
21	Total exposures	1,432,615	1,344,137	1,250,307	1,228,121
	Leverage ratio
22	Basel III leverage ratio	4.4%	4.7%	5.3%	5.4%

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Liquidity Risk

Liquidity Risk Overview, Management and Control Responsibilities

Liquidity risk is the risk that the Group is either:

• unable to meet its payment obligations (including repaying depositors or maturing wholesale debt) when they fall due; or

• does not have the appropriate amount, tenor and composition of funding and liquidity to fund increases in its assets. Management of liquidity and funding risks are overseen by GALCO. The Group’s liquidity and funding risks are governed by a set of Board-approved principles and include:

• maintaining the ability to meet all payment obligations in the immediate term;

• ensuring that the Group maintains Board-approved ‘survival horizons’ under a range of idiosyncratic, and general market, liquidity stress scenarios, at a country and Group-wide level, to meet cash flow obligations over the short to medium term;

• maintaining strength in the Group’s balance sheet structure to ensure long term resilience in the liquidity and funding risk profile;

• ensuring the liquidity management framework is compatible with local regulatory requirements;

• preparing daily liquidity reports and scenario analysis to quantify the Group’s positions;

• targeting a diversified funding base to avoid undue concentrations by investor type, maturity, market source and currency;

• holding a portfolio of high quality liquid assets to protect against adverse funding conditions and to support day-today operations; and

• establishing detailed contingency plans to cover different liquidity crisis events.

The Group operates under a non-operating holding company structure whereby:

• Australia and New Zealand Banking Group Limited’s (ANZBGL’s) liquidity risk management framework remains unchanged and continues to operate its own liquidity and funding program, governance frameworks and reporting regime reflecting its authorised deposit-taking institution (ADI) operations;

• ANZ Group Holdings Limited (ANZGHL), the parent entity, has no material liquidity risk given the structure and nature of the balance sheet; and

• ANZ Non-Bank Group is not expected to have separate funding arrangements and will rely on ANZGHL for funding.

A separate liquidity policy has been established for ANZGHL and ANZ Bank Group to reflect the differing nature of liquidity risk inherent in each business model. ANZGHL will ensure that the parent entity and ANZ Non-Bank Group holds sufficient cash reserves to meet operating and financing requirements.

Key Areas of Measurement for Liquidity Risk

Scenario modelling of funding sources

The Group’s liquidity risk appetite is defined by a range of regulatory and internal liquidity metrics mandated by the ANZBGL Board. The metrics cover a range of scenarios of varying duration and level of severity.

The objective of this framework is to:

• Provide protection against shorter term extreme market dislocation and stress.

• Maintain structural strength in the balance sheet by ensuring that an appropriate amount of longer-term assets are funded with longer-term funding.

• Ensure that no undue timing concentrations exist in the Group’s funding profile.

Key components of this framework include the Liquidity Coverage Ratio (LCR), which is a severe short term liquidity stress scenario, Net Stable Funding Ratio (NSFR) a longer-term structural liquidity measure (both of which are mandated by banking regulators including APRA) and internally-developed liquidity scenarios for stress testing purposes.

Liquid assets

The Group holds a portfolio of high quality (unencumbered) liquid assets to protect its liquidity position in a severely stressed environment and to meet regulatory requirements. High quality liquid assets comprise three categories consistent with Basel III LCR requirements:

Highest-quality liquid assets (HQLA1) - cash and highest credit quality government, central bank or public sector securities eligible for repurchase with central banks to provide same-day liquidity.

• High-quality liquid assets (HQLA2) - high credit quality government, central bank or public sector securities, high quality corporate debt securities and high quality covered bonds eligible for repurchase with central banks to provide same-day liquidity.

• Alternative liquid assets (ALA) - eligible securities that the RBNZ will accept in its domestic market operations and asset qualifying as collateral for the CLF.

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ANZ Basel III Pillar 3 Disclosure

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The Group monitors and manages the size and composition of its liquid assets portfolio on an ongoing basis in line with regulatory requirements and the risk appetite set by the ANZBGL Board.

Liquidity crisis contingency planning

The Group maintains APRA-endorsed liquidity crisis contingency plans for analysing and responding to a liquidity threatening event at a country and Group-wide level. Key liquidity contingency crisis planning requirements and guidelines include:

Ongoing businessmanagement	Early signs/mild stress	Severe stress
• establish crisis/severity levels	• monitoring and review	• activate contingency funding plans
• liquidity limits	• management actions not	• management actions for altering
• early warning indicators	requiring business	asset and liability behaviour
	rationalisation
Assigned responsibility for internal and external communications and the appropriate timing to communicate.

Since the precise nature of any stress event cannot be known in advance, we design the plans to be flexible to the nature and severity of the stress event with multiple variables able to be accommodated in any plan.

Group Funding

The Group monitors the composition and stability of its funding so that it remains within the Group’s funding risk appetite. This approach ensures that an appropriate proportion of the assets are funded by stable funding sources, including customer deposits; longer-dated wholesale funding (with a remaining term exceeding one year); and equity.

Funding plansprepared	Considerations inpreparingfunding plans
• 3 year strategic plan prepared annually	• customer balance sheet growth
• annual funding plan as part of the Group’s	• changes in wholesale funding including: targeted
planning process	funding volumes; markets; investors; tenors; and
• forecasting in light of actual results as a calibration	currencies for senior, secured, subordinated, hybrid
to the annual plan	transactions and market conditions
	• liquidity stresstesting

Liquidity Coverage Ratio (LCR)

The Group’s average LCR (on a consolidated basis) for the 3 months to 31 December 2024 was 131.0% (30 September 2024: 132.4%) with total liquid assets exceeding net cash outflows by an average of $69.9 billion. Through the period the LCR has remained within the range 127% to 135%. The liquid asset portfolio was made up of on average 44% ($129.5 billion) cash and central bank reserves and 51% ($148.2 billion) HQLA1 securities, with the remaining mainly consisting of HQLA2 securities.

As per APRA requirements, liquid assets beyond the regulatory minimum are not included in the consolidated position where they are deemed non-transferable between geographies, in particular this applies to liquid assets held in New Zealand.

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. Modelled outflows are also included for market valuation changes of derivatives based on the past 24 months largest 30-day movements in collateral balances.

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

The Group monitors and manages its liquidity risk on a daily basis including LCR by geography and currency. The Group’s liquidity risk framework ensures ongoing monitoring of foreign currency LCR (including derivative flows) and sets limits to ensure mismatches are managed effectively.

The Group’s liquidity and funding management includes monitoring of liquidity for:

• Individual countries, including any local regulatory requirements.

• Consolidated ANZBGL Level 1 and 2 LCR

• AUD only LCR for Australia as well as Group Level

Other contingent funding obligations include outflows for revocable credit and liquidity facilities, trade finance related obligations, buybacks of domestic Australian debt securities and other contractual outflows such as interest payments.

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ANZ Basel III Pillar 3 Disclosure

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Table 20 Liquidity Coverage Ratio disclosure template

			Dec 24		Sep 24
		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)		292,501		272,530
2	Alternative liquid assets (ALA)		-		-
3	Reserve Bank of New Zealand (RBNZ) securities		3,171		2,734
	Cash outflows
4	Retail deposits and deposits from small business	314,377	30,410	298,064	29,134
	customers
5	of which: stable deposits	147,987	7,399	138,003	6,900
6	of which: less stable deposits	166,390	23,011	160,061	22,234
7	Unsecured wholesale funding	311,069	171,454	288,824	152,798
8	of which: operational deposits (all counterparties) and	98,149	23,770	97,264	23,560
	deposits in networks for cooperative banks
9	of which: non-operational deposits (all counterparties)	199,813	134,577	178,711	116,389
10	of which: unsecured debt	13,107	13,107	12,849	12,849
11	Secured wholesale funding		1,821		924
12	Additional requirements	213,330	74,763	204,679	70,899
13	of which: outflows related to derivatives exposures and	50,251	49,473	46,100	45,647
	other collateral requirements
14	of which: outflows related to loss of funding on debt	-	-	-	-
	products
15	of which: credit and liquidity facilities	163,079	25,290	158,579	25,252
16	Other contractual funding obligations	10,267	982	9,513	750
17	Other contingent funding obligations	127,746	8,746	129,485	10,284
18	Total cash outflows		288,177		264,789
	Cash inflows
19	Secured lending (e.g. reverse repos)	38,495	1,177	34,815	1,152
20	Inflows from fully performing exposures	30,734	21,449	29,139	20,376
21	Other cash inflows	39,767	39,767	35,319	35,319
22	Total cash inflows	108,996	62,394	99,273	56,847
23	Total liquid assets		295,673		275,264
24	Total net cash outflows		225,783		207,942
25	Liquidity Coverage Ratio (%)		131.0%		132.4%
	Number of data points used (simple average)		66		66

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ANZ Basel III Pillar 3 Disclosure

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Glossary

ADI	Authorised Deposit-taking Institution.
ANZ Bank Group	ANZ BH Pty Ltd and each of its subsidiaries, including ANZBGL and ANZ Bank New
	Zealand
ANZ Non-Bank Group	ANZ NBH Pty Ltd and each of its subsidiaries, including beneficial interests in the
	1835i trusts and non-controlling interests in the Worldline merchant acquiring joint
	venture, and ANZ Group Services Pty Ltd.
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 Expected Credit
Provision for Credit	Loss (ECL) calculated in accordance with AASB 9 Financial Instruments (AASB 9).
Impairment	These incorporate forward looking information and do not require an actual loss
	event to have occurred for an impairment provision to be recognised.
Credit exposure	The aggregate of all claims, commitments and contingent liabilities arising from on-
	and off-balance sheet transactions (in the banking book and trading book) with the
	counterparty or group of related counterparties.
Credit risk	The risk of financial loss resulting from the failure of ANZ’s customers and
	counterparties to honour or perform fully the terms of a loan or contract.
Credit Valuation Adjustment	Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value
(CVA)	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 financial
(IPC)	instruments assessed for impairment on an individual basis (as opposed to on a
	collective basis). It takes into account expected cash flows over the lives of those
	financial instruments.
Individually Assessed	Individually assessed provisions for credit impairment are calculated in accordance
Provisions for Credit	with AASB 9 Financial Instruments (AASB 9). They are assessed on a case-by-case
Impairment	basis for all individually managed impaired assets taking into consideration factors
	such as the realisable value of security (or other credit mitigants), the likely return
	available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved
	in recovery, the market price of the exposure in secondary markets and the amount
	and timing of expected receipts and recoveries.
Market risk	The risk to ANZ’s earnings arising from changes in interest rates, currency exchange
	rates and credit spreads, or from fluctuations in bond, commodity or equity prices.
	ANZ has grouped market risk into two broad categories to facilitate the measurement,
	reporting and control of market risk:

Traded market risk - the risk of loss from changes in the value of financial instruments due to movements in price factors for physical and derivative trading positions.

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ANZ Basel III Pillar 3 Disclosure

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Trading positions arise from transactions where ANZ acts as principal with clients or with the market.

Non-traded market risk (or balance sheet risk) - comprises interest rate risk in the banking book and the risk to the AUD denominated value of ANZ’s capital and earnings due to foreign exchange rate movements.

Operational risk The risk of loss resulting from inadequate or failed internal controls or from external events, including legal risk but excluding reputation risk. Past due facilities Facilities where a contractual payment has not been met or the customer is outside of contractual arrangements are deemed past due. Past due facilities include those operating in excess of approved arrangements or where scheduled repayments are outstanding but do not include impaired assets. Qualifying Central QCCP is a central counterparty which is an entity that interposes itself between Counterparties (QCCP) counterparties to derivative contracts. Trades with QCCP attract a more favorable risk weight calculation. Recoveries Payments received and taken to profit for the current period for the amounts written off in prior financial periods. Restructured items Restructured items comprise facilities in which the original contractual terms have been modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest, principal or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with similar risk. Risk Weighted Assets (RWA) Assets (both on and off-balance sheet) are risk weighted according to each asset’s inherent potential for default and what the likely losses would be in the case of default. In the case of non asset backed risks (i.e. market and operational risk), RWA is determined by multiplying the capital requirements for those risks by 12.5. Securitisation risk The risk of credit related losses greater than expected due to a securitisation failing to operate as anticipated, or of the values and risks accepted or transferred, not emerging as expected. Write-Offs Facilities are written off against the related provision for impairment when they are assessed as partially or fully uncollectable, and after proceeds from the realisation of any collateral have been received. Where individual provisions recognised in previous periods have subsequently decreased or are no longer required, such impairment losses are reversed in the current period income statement.

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