Australia and New Zealand Banking Group Ltd. - Interim / Quarterly Report 2012

2012 BASEL II PILLAR 3 DISCLOSURE

HALF YEAR ENDED 31 MARCH 2012

APS 330: CAPITAL ADEQUACY & RISK MANAGEMENT IN ANZ

Important notice

This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) Australian Prudential Standard (APS) 330 Capital Adequacy: Public Disclosure of Prudential Information. This disclosure was prepared as at 31 March 2012. ANZ has a continuous disclosure policy, under which ANZ will immediately notify the market of any material price sensitive information concerning the Group, in accordance with legislative and regulatory disclosure requirements.

TABLE OF CONTENTS 1

Chapter 1 – Highlights........................................................................................................3
Chapter 2 – Introduction ....................................................................................................5
Chapter 3 – Group structure and capital adequacy.................................................................6
Table 1 Capital deficiencies in non-consolidated subsidiaries.........................................6
Table 2 Capital structure ..........................................................................................6
Table 3 Capital ratio and risk weighted assets.............................................................7
Chapter 4 – Credit risk .......................................................................................................8
Table 4 Credit risk – General disclosures ....................................................................8
Table 5 Credit risk – Disclosures for portfolios subject to the Standardised approach and
supervisory risk weighting in the IRB approach..............................................21
Table 6 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ......22
Table 7 Credit risk mitigation disclosures..................................................................30
Chapter 5 – Securitisation.................................................................................................33
Table 9 Banking Book - Securitisation disclosures......................................................33
Trading Book - Securitisation disclosures ......................................................42
Chapter 6 – Market risk ....................................................................................................46
Table 10 Market risk – Standard approach .................................................................46
Table 11 Market risk – Internal models approach .......................................................47
Chapter 7 – Equities ........................................................................................................48
Table 13 Equities – Disclosures for banking book positions...........................................48
Chapter 8 – Interest Rate Risk in the Banking Book .............................................................49
Table 14 Interest Rate Risk in the Banking Book.........................................................49
Appendix 1 – Detail of capital structure ..............................................................................50
Appendix 2 – ANZ Bank (Europe) Limited ...........................................................................52

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

Chapter 1 – Highlights

Capital Ratios

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11.8%
11.3%
10.9%
10.1% 10.5% 2.0%
2.4%
2.0% 2.4%
2.1%
8.0% 8.5% 8.5%. 8.9% 9.8%
Sep 10 Mar 11 Sep 11 Mar 12 Basel III
fully
harmonised
Hybrid Tier 1
Common Equity Tier 1
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Strengthening capital position through organic capital generation

Tier 1 capital position up 40bps since September 11.
Solid organic capital generation underpins strong CET1 position.
ANZ is well capitalised and positioned to manage transition to Basel III.

Exposure at Default ($bn)

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$bn
700 624.0 643.6
559.6 572.6
600
500
400
300
200
100
0
Sep 10 Mar 11 Sep 11 Mar 12
Corporate Bank & Sovereign
Residential Mortgage QRR & Other Retail
Specialised Lending Other
Standardised
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Growth in EAD of 3.1% to $643.6bn in 1H12

Growth was across Residential Mortgages, Sovereign and Corporate exposures.

Movement in Credit Risk Weighted Assets ($bn)

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$bn
260 8.2 (1.5) (3.1)
(2.2) 250.2
250 248.8
240
230
220
210
200
Sep 11 Growth Data FX Risk Mar 12
Review Impact
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CRWA up by 0.5% since September 11

Growth in CRWA has been predominately driven by growth in Asia and Residential Mortgages in Australia, offset by Risk improvement and FX impact.

Average Risk Weights (CRWA/EAD)

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Mar 11 Sep 11 Mar 12
120%
97%
100%
89%
80%
58% 49%
60% 53%
40%
20% 15% 18%
0%
Other
Corporate Bank & Sovereign Residential Mortgage QRR & Other Retail Specialised Lending Standardised
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Portfolio average risk weight decreased by 1.1% to 38.8% in March 12

Decrease mainly driven by risk improvement in Corporate by 3.6%.

Impaired Assets ($m)

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6,561
6,221
5,581
5,343
6,420 5,517 4,881
5,003
141 704 700 340
Sep 10 Mar 11 Sep 11 Mar 12
Impaired Loans/Facilities & Derivatives
Restructured
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Impaired Assets continued to reduce since September 11 down by $238m

Decrease driven by reductions of large key name exposures, offset by new impairments.

Provision Ratios (Provisions/CRWA)

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2.15% 2.10%
1.96%
1.88%
1.35% 1.36% 1.28% 1.20%
Sep 10 Mar 11 Sep 11 Mar 12
Total Provision Balance / CRWA
Collective Provision Balance / CRWA
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Provision coverage ratios decreased

Coverage ratios decreased due to CRWA growth and a reduction in the collective provision balance mainly driven by releases from the economic cycle and concentration risk adjustment components of the balance.

Chapter 2 – Introduction

Purpose of this document

This document has been prepared in accordance with the Australian Prudential Regulation Authority (APRA) Australian Prudential Standard (APS) 330 Capital Adequacy: Public Disclosure of Prudential Information (APS 330).

APS 330 mandates the release to the investment community and general public of information relating to capital adequacy and risk management practices. APS 330 has been established to implement Pillar 3 of the Basel Committee on Banking Supervision’s framework for bank capital adequacy, known as ‘Basel II’[2] . In simple terms, Basel II consists of three mutually reinforcing ‘Pillars’:

Pillar 1 Minimum capital requirement	Pillar 2 Supervisory review process	Pillar 3 Market discipline
Minimum capital requirements for Credit Risk, Operational Risk, Market Risk and Interest Rate Risk in the Banking Book	Firm-wide risk oversight, Internal Capital Adequacy Assessment Process (ICAAP), consideration of additional risks, capital buffers and targets and risk concentrations, etc	Regular disclosure to the market of qualitative and quantitative aspects of risk management, capital adequacy and underlying risk metrics

APS 330 requires the publication of various levels of information on a quarterly, semi-annual and annual basis. This document is the semi-annual disclosure.

Basel II in ANZ

In December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel II for credit risk and operational risk, complementing its existing accreditation for market risk.

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 Annual Report and in Pillar 1 returns provided to APRA. This Pillar 3 disclosure is not audited by ANZ’s external auditor.

Comparison to ANZ’s Annual Report

These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather than in accordance with accounting policies adopted in ANZ’s Annual Report. As such, there are differences 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 (IRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited to provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default.
Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post default repayments of principal and interest.
Most credit risk disclosures split ANZ’s portfolio into regulatory asset classes, which span areas of ANZ’s internal divisional and business unit organisational structure.

Unless otherwise stated, all amounts are rounded to AUD millions.

2 Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, 2004.

Chapter 3 – Group structure and capital adequacy

Top Corporate Entity

The top corporate entity in the Group is Australia and New Zealand Banking Group Limited.

Table 1 Capital deficiencies in non-consolidated subsidiaries

The aggregate amount of any under-capitalisation of a non-consolidated subsidiary (or subsidiaries) that is required to be deducted from capital is nil (September 2011: nil; March 2011: nil).

Table 2 Capital structure[3]

	Mar 12	Sep 11	Mar 11
Tier 1 capital	$M	$M	$M
Paid-up ordinary share capital	22,396	21,577	20,839
Reserves	(2,673)	(2,266)	(3,143)
Retained earnings	16,507	15,123	14,732
Non-controlling interests	43	41	64
Fundamental Tier 1 capital	36,273	34,475	32,492
Innovative Tier 1 capital	1,592	1,641	1,597
Non-innovative Tier 1 capital	5,081	5,111	3,751
Gross Tier 1 capital	42,946	41,227	37,840
Goodwill	(2,966)	(2,968)	(2,795)
Other deductions from Tier 1 capital only	(4,675)	(4,572)	(4,220)
50/50 deductions from Tier 1 capital	(3,217)	(3,071)	(3,055)
Deductions from Tier 1 capital	(10,858) (10,611) (10,070)

Net Tier 1 capital	32,088	30,616	27,770
Tier 2 capital
Upper Tier 2 capital
Perpetual subordinated notes	946	965	905
General reserve for impairment of financial assets net of attributable deferred tax asset4	230	266	264
Lower Tier 2 capital	5,782	5,042	6,201
Gross Tier 2 capital	6,958	6,273	7,370
Upper and lower Tier 2 capital deductions	(28)	(28)	(28)
50/50 deductions from Tier 2 capital	(3,217)	(3,071)	(3,055)
Deductions from Tier 2 capital	(3,245)	(3,099)	(3,083)

Net Tier 2 capital	3,713	3,174	4,287

Total capital base	35,801	33,790	32,057

3 Further information on Capital structure can be found in Appendix 1.

4 Under Basel II, “General reserve for impairment of financial assets net of attributable deferred tax asset” consists of the surplus of the general reserve for impairment of financial assets net of tax and/or the provisions attributable to the standardised portfolio.

Table 3 Capital Ratio and Risk Weighted Assets[5 6 ]

Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11
Risk weighted assets(RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 101,280 106,120 98,393
Sovereign 4,669 4,365 3,217
Bank 10,195 9,456 6,958
Residential Mortgage 42,684 41,041 40,126
Qualifying Revolving Retail 7,610 7,468 7,552
Other Retail 20,087 19,240 18,485
Credit risk weighted assets subject to Advanced IRB approach 186,525 187,690 174,731

Credit risk Specialised Lending exposures subject to slotting approach 27,903 27,757 26,799

Subject to Standardised approach
Corporate 24,922 22,484 20,680
Residential Mortgage 1,445 845 406
Qualifying Revolving Retail 1,933 2,344 2,207
Other Retail 1,124 1,650 1,710
Credit risk weighted assets subject to Standardised approach 29,424 27,323 25,003

Credit risk weighted assets relating to securitisation exposures 1,225 1,136 1,209
Credit risk weighted assets relating to equity exposures 1,235 1,399 1,635
Other assets 3,853 3,523 3,869
Total credit risk weighted assets 250,165 248,828 233,246

Market risk weighted assets 4,201 3,046 2,547
Operational risk weighted assets 20,005 19,651 18,331
Interest rate risk in the banking book (IRRBB) risk weighted assets 10,465 8,439 10,112
Total risk weighted assets 284,836 279,964 264,236

Capital ratios(%)
Level 2 Total capital ratio 12.6 12.1 12.1
Level 2 Tier 1 capital ratio 11.3 10.9 10.5
Level 1: Extended licensed entity Total capital ratio 12.9 12.3 12.6
Level 1: Extended licensed entity Tier 1 capital ratio 11.8 11.5 11.4
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ National Bank Limited - Total capital ratio 13.4 12.7 12.9
ANZ National Bank Limited - Tier 1 capital ratio 10.9 10.0 9.6

Credit Risk Weighted Assets (CRWA)

Total CRWA increased by $1.3 billion (0.5%) from September 2011 to $250.2 billion. The key impacts on CRWA were an increase of $2.1 billion (7.7%) in Standardised assets driven by growth in Asia, increase of $1.6 billion (4.0%) in IRB Residential Mortgages driven by growth in Australia, partially offset by a decrease of $4.8 billion (4.6%) in IRB Corporate driven mainly by credit risk improvement to Institutional assets, methodology and exchange rate impacts.

IRRBB RWA

The increase in IRRBB RWA over the half of $2.0 billion was due to greater repricing and yield curve risk.

5 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.

6 ANZ National Bank Limited’s capital ratios have been calculated in accordance with Reserve Bank of New Zealand prudential standards.

Chapter 4 – Credit risk

Table 4 Credit risk – General disclosures

Table 4(b) part (i): Period end and average Exposure at Default[8 9 ]

			Mar 12
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs
	Assets	at Default	for half year	half year	for half year
Advanced IRB approach	$M	$M	$M	$M	$M
Corporate	101,280	175,471	174,358	236	178
Sovereign	4,669	56,106	54,323	-	-
Bank	10,195	41,243	41,776	-	-
Residential Mortgage	42,684	244,192	239,537	44	46
Qualifying Revolving Retail	7,610	21,387	21,303	121	146
Other Retail	20,087	30,485	30,024	117	148
Total Advanced IRB approach	186,525	568,884	561,321	518	518

Specialised Lending	27,903	31,374	31,147	168	86
Standardised approach
Corporate	24,922	24,313	23,579	(1)	5
Residential Mortgage	1,445	3,140	2,947	5	1
Qualifying Revolving Retail	1,933	1,924	2,012	25	37
Other Retail	1,124	1,103	999	(25)	15
Total Standardised approach	29,424	30,480	29,537	4	58

Total	243,852	630,738	622,005	690	662

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7 Some prior period comparatives have been restated to reflect reclassification between asset classes, geographies, industries and maturity buckets.

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

9 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.

			Sep11
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs for
	Assets	at Default	for half year	half year	half year
Advanced IRB approach	$M	$M	$M	$M	$M
Corporate	106,120	173,245	166,079	150	151
Sovereign	4,365	52,540	44,759	-	-
Bank	9,456	42,308	38,641	32	-
Residential Mortgage	41,041	234,882	230,771	41	44
Qualifying Revolving Retail	7,468	21,219	21,120	130	154
Other Retail	19,240	29,563	29,051	150	173
Total Advanced IRB approach	187,690	553,757	530,421	503	522

Specialised Lending	27,757	30,921	30,064	85	114
Standardised approach
Corporate	22,832	22,844	21,997	6	15
Residential Mortgage	1,457	2,754	2,350	8	8
Qualifying Revolving Retail	2,111	2,101	2,052	26	42
Other Retail	923	895	736	(8)	17
Total Standardised approach	27,323	28,594	27,135	32	82

Total	242,770	613,272	587,620	620	718
			Mar 11
			Average	Individual
			Exposure	provision
	Risk Weighted	Exposure	at Default	charge for	Write-offs for
	Assets	at Default	for half year	half year	half year
Advanced IRB approach	$M	$M	$M	$M	$M
Corporate	98,393	158,912	158,568	191	263
Sovereign	3,217	36,977	36,038	-	-
Bank	6,958	34,974	33,828	(8)	-
Residential Mortgage	40,126	226,659	223,356	23	40
Qualifying Revolving Retail	7,552	21,020	20,892	115	135
Other Retail	18,485	28,538	28,410	133	142
Total Advanced IRB approach	174,731	507,080	501,092	454	580

Specialised Lending	26,799	29,207	28,521	107	56
Standardised approach
Corporate	21,142	21,149	21,220	25	2
Residential Mortgage	1,252	1,945	1,830	3	-
Qualifying Revolving Retail	2,003	2,003	2,051	29	48
Other Retail	606	577	594	(8)	17
Total Standardised approach	25,003	25,674	25,695	49	67

Total	226,533	561,961	555,308	610	703

Table 4(b) part (ii): Exposure at Default by portfolio type

				Average for half
	Mar 12	Sep 11	Mar 11	year Mar 12
Portfolio Type	$M	$M	$M	$M
Acceptances	19,174	17,793	17,925	18,483
Cash and liquid assets	24,605	15,945	14,308	20,275
Contingents liabilities, commitments, and other off-balance sheet exposures	120,925	119,456	108,291	120,190
Derivatives	25,230	29,815	24,477	27,523
Due from other financial institutions	9,745	12,053	5,815	10,899
Investment securities	18,584	21,438	16,482	20,011
Loans and advances	391,137	371,826	354,374	381,482
Other assets	1,210	2,015	1,873	1,613
Trading securities	20,128	22,931	18,416	21,529
Total exposures	630,738	613,272	561,961	622,005

Table 4(c): Geographic distribution of Exposure at Default

		Mar 12
			Asia Pacific,
			Europe and
	Australia	New Zealand	Americas	Total
Portfolio Type	$M	$M	$M	$M
Corporate	112,859	36,783	50,142	199,784
Sovereign	11,252	7,336	37,518	56,106
Bank	19,914	3,322	18,007	41,243
Residential Mortgage	199,454	44,743	3,135	247,332
Qualifying Revolving Retail	21,387	-	1,924	23,311
Other Retail	23,259	7,287	1,042	31,588
Specialised Lending	24,675	6,081	618	31,374
Total exposures	412,800	105,552	112,386	630,738

		Sep11
			Asia Pacific,
			Europe and
	Australia	New Zealand	Americas	Total
Portfolio Type	$M	$M	$M	$M
Corporate	112,912	36,839	46,338	196,089
Sovereign	15,728	7,732	29,080	52,540
Bank	21,211	4,852	16,245	42,308
Residential Mortgage	190,811	44,071	2,754	237,636
Qualifying Revolving Retail	21,219	-	2,101	23,320
Other Retail	22,175	7,388	895	30,458
Specialised Lending	24,224	5,929	768	30,921
Total exposures	408,280	106,811	98,181	613,272

		Mar 11
			Asia Pacific,
			Europe and
	Australia	New Zealand	Americas	Total
Portfolio Type	$M	$M	$M	$M
Corporate	107,394	34,881	37,786	180,061
Sovereign	15,427	6,102	15,448	36,977
Bank	17,772	2,582	14,620	34,974
Residential Mortgage	185,453	41,206	1,945	228,604
Qualifying Revolving Retail	21,020	-	2,003	23,023
Other Retail	21,719	6,819	577	29,115
Specialised Lending	22,742	5,651	814	29,207
Total exposures	391,527	97,241	73,193	561,961

ANZ Basel II Pillar 3 disclosure

March 2012

Table 4(d): Industry distribution of Exposure at Default[10 11 ]

								Mar 12
	Agriculture,			Electricity,	Entertainment,	Financial,	Government
	Forestry, Fishing	Business		Gas & Water	Leisure &	Investment &	and Official			Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Retail Trade	Storage	Other	Total
PortfolioType	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	33,941	8,200	6,189	8,029	10,611	16,872	2,501	34,176	1,220	16,947	22,952	13,864	9,463	14,819	199,784
Sovereign	333	1	86	839	2	32,902	20,140	251	249	520	50	-	419	314	56,106
Bank	12	45	5	2	4	40,884	-	39	55	2	70	3	61	61	41,243
Residential Mortgage	-	-	-	-	-	-	-	-	247,332	-	-	-	-	-	247,332
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	23,311	-	-	-	-	-	23,311
Other Retail	2,818	1,770	2,537	78	843	318	7	892	15,853	848	630	2,001	1,010	1,983	31,588
Specialised Lending	287	-	394	1,731	90	-	-	217	-	25,651	-	-	2,586	418	31,374
Total exposures	37,391	10,016	9,211	10,679	11,550	90,976	22,648	35,575	288,020	43,968	23,702	15,868	13,539	17,595	630,738
% of Total	5.9%	1.6%	1.5%	1.7%	1.8%	14.4%	3.6%	5.6%	45.7%	7.0%	3.8%	2.5%	2.1%	2.8%	100.0%

10 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.

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

								Sep11
	Agriculture,			Electricity,	Entertainment,	Financial,	Government
	Forestry, Fishing	Business		Gas & Water	Leisure &	Investment &	and Official			Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Retail Trade	Storage	Other	Total
PortfolioType	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	33,844	8,160	5,903	7,764	10,080	20,309	1,724	34,296	865	16,272	19,079	13,232	9,299	15,262	196,089
Sovereign	85	-	89	632	-	25,272	25,220	223	177	497	28	-	27	290	52,540
Bank	-	-	-	18	-	42,151	-	16	-	42	10	-	42	29	42,308
Residential Mortgage	-	-	-	-	-	-	-	-	237,636	-	-	-	-	-	237,636
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	23,320	-	-	-	-	-	23,320
Other Retail	2,420	1,757	2,490	76	823	307	8	878	15,111	824	638	1,984	1,007	2,135	30,458
Specialised Lending	309	-	679	2,016	145	186	-	247	6	24,706	-	-	2,343	284	30,921
Total exposures	36,658	9,917	9,161	10,506	11,048	88,225	26,952	35,660	277,115	42,341	19,755	15,216	12,718	18,000	613,272
% of Total	6.0%	1.6%	1.5%	1.7%	1.8%	14.4%	4.4%	5.8%	45.2%	6.9%	3.2%	2.5%	2.1%	2.9%	100.0%
								Mar 11
	Agriculture,			Electricity,	Entertainment,	Financial,	Government
	Forestry, Fishing	Business		Gas & Water	Leisure &	Investment &	and Official			Property	Wholesale		Transport &
	& Mining	Services	Construction	Supply	Tourism	Insurance	Institutions	Manufacturing	Personal	Services	Trade	Retail Trade	Storage	Other	Total
PortfolioType	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M	$M
Corporate	32,324	8,004	5,790	7,035	8,908	17,600	1,302	30,240	901	14,804	17,778	12,155	8,697	14,523	180,061
Sovereign	115	-	39	468	-	17,493	17,511	110	316	468	2	-	29	426	36,977
Bank	-	-	-	37	-	34,781	-	15	1	21	21	-	47	51	34,974
Residential Mortgage	-	-	-	-	-	-	-	-	228,604	-	-	-	-	-	228,604
Qualifying Revolving Retail	-	-	-	-	-	-	-	-	23,023	-	-	-	-	-	23,023
Other retail	2,337	1,731	2,415	73	786	303	7	855	14,359	866	612	1,952	1,000	1,819	29,115
Specialised Lending	217	-	380	1,964	153	160	-	223	6	23,936	-	-	2,088	80	29,207
Total exposures	34,993	9,735	8,624	9,577	9,847	70,337	18,820	31,443	267,210	40,095	18,413	14,107	11,861	16,899	561,961
% of Total	6.2%	1.7%	1.5%	1.7%	1.8%	12.5%	3.4%	5.6%	47.6%	7.1%	3.3%	2.5%	2.1%	3.0%	100.0%

ANZ Basel II Pillar 3 disclosure March 2012

Table 4(e): Residual contractual maturity of Exposure at Default[12]

			Mar 12
				No Maturity
	< 12 mths	1 - 5 years	> 5 years	Specified	Total
Portfolio Type	$M	$M	$M	$M	$M
Corporate	84,454	94,318	20,860	152	199,784
Sovereign	37,623	14,884	3,599	-	56,106
Bank	23,720	16,332	1,191	-	41,243
Residential Mortgage	2,415	4,727	209,664	30,526	247,332
Qualifying Revolving Retail	-	-	-	23,311	23,311
Other Retail	10,971	13,808	6,490	319	31,588
Specialised Lending	11,003	17,282	3,048	41	31,374
Total exposures	170,186	161,351	244,852	54,349	630,738

Mar 12	Mar 12	Mar 12	Mar 12	Mar 12	Mar 12
< 12 mths 1 - 5 years > 5 years No Maturity Specified Total
Portfolio Type $M $M $M $M $M
Corporate 84,454 94,318 20,860 152 199,784
Sovereign 37,623 14,884 3,599 - 56,106
Bank 23,720 16,332 1,191 - 41,243
Residential Mortgage 2,415 4,727 209,664 30,526 247,332
Qualifying Revolving Retail - - - 23,311 23,311
Other Retail 10,971 13,808 6,490 319 31,588
Specialised Lending 11,003 17,282 3,048 41 31,374
Total exposures 170,186 161,351 244,852 54,349 630,738


Sep11
< 12 mths 1 - 5 years > 5 years No Maturity Specified Total
Portfolio Type $M $M $M $M $M
Corporate 89,257 87,175 19,544 113 196,089
Sovereign 22,399 25,598 4,543 - 52,540
Bank 23,341 18,843 124 - 42,308
Residential Mortgage 2,303 4,586 201,673 29,074 237,636
Qualifying Revolving Retail - - - 23,320 23,320
Other Retail 10,725 13,123 6,307 303 30,458
Specialised Lending 11,922 15,407 3,550 42 30,921
Total exposures 159,947 164,732 235,741 52,852 613,272


Mar 11
< 12 mths 1 - 5 years > 5 years No Maturity Specified Total
Portfolio Type $M $M $M $M $M
Corporate 83,968 76,919 19,099 75 180,061
Sovereign 19,111 14,565 3,301 - 36,977
Bank 17,960 16,844 170 - 34,974
Residential Mortgage 2,249 4,326 193,568 28,461 228,604
Qualifying Revolving Retail - - - 23,023 23,023
Other Retail 9,972 12,911 5,934 298 29,115
Specialised Lending 10,604 15,304 3,255 44 29,207
Total exposures 143,864 140,869 225,327 51,901 561,961

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

ANZ Basel II Pillar 3 disclosure March 2012

Table 4(f) part (i): Impaired assets[13 14] , Past due loans[15] , Provisions and Write-offs by Industry sector

				Mar 12
					Individual
		Impaired	Past due	Individual	provision
	Impaired	loans/	loans ≥90	provision	charge for	Write-offs
	derivatives	facilities	days	balance	half year	for half year
IndustrySector	$M	$M	$M	$M	$M	$M
Agriculture, Forestry, Fishing & Mining	-	1,135	195	309	53	21
Business Services	-	275	26	112	11	19
Construction	75	412	53	84	52	13
Electricity, Gas & Water Supply	-	249	2	2	-	-
Entertainment, Leisure & Tourism	-	157	35	32	2	8
Financial, Investment & Insurance	-	215	23	30	98	79
Government & Official Institutions	-	-	-	-	-	-
Manufacturing	1	322	31	177	73	20
Personal	-	925	1,226	481	264	353
Property Services	74	927	163	252	137	110
Retail Trade	-	83	56	52	14	14
Transport & Storage	1	81	22	36	9	5
Wholesale Trade	-	260	20	116	(26)	9
Other	-	151	24	31	3	11
Total	151	5,192	1,876	1,714	690	662

13 Impaired derivatives include a credit valuation adjustment (CVA) of $74 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2011: $68 million; March 2011: $71 million).

14 Impaired loans / facilities include restructured items of $340 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 2011: $700 million; March 2011: $704 million).

15 Past due loans ≥ 90 days includes $1,736 million well secured loans (September 2011: $1,593 million; March 2011: $1,810 million).

ANZ Basel II Pillar 3 disclosure March 2012

Sep11	Sep11	Sep11	Sep11
IndustrySector Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥90 days $M Individual provision balance $M Individual provision charge for half year $M Write-offs for half year $M
Agriculture, Forestry, Fishing & Mining - 1,122 174 288 71 17
Business Services - 311 29 102 34 18
Construction - 103 42 49 27 30
Electricity, Gas & Water Supply - 83 1 2 (24) -
Entertainment, Leisure & Tourism - 198 29 37 (9) 6
Financial, Investment & Insurance - 229 10 40 (17) 14
Government & Official Institutions - - - - - -
Manufacturing - 768 30 132 1 63
Personal - 1,012 1,296 525 303 397
Property Services 35 1,031 113 232 124 116
Retail Trade - 113 44 63 13 16
Transport & Storage 2 88 14 35 11 12
Wholesale Trade - 300 23 150 71 13
Other 1 185 29 42 15 16
Total 38 5,543 1,834 1,697 620 718



Mar 11
IndustrySector Impaired derivatives $M Impaired loans/ facilities $M Past due loans ≥90 days $M Individual provision balance $M Individual provision charge for half year $M Write-offs for half year $M
Agriculture, Forestry, Fishing & Mining - 1,361 217 245 83 17
Business Services - 203 36 87 21 25
Construction - 128 41 50 12 8
Electricity, Gas & Water Supply 3 158 1 15 0 (1)
Entertainment, Leisure & Tourism - 153 23 46 4 5
Financial, Investment & Insurance - 303 6 60 33 64
Government & Official Institutions - - - - - -
Manufacturing 2 894 27 186 9 24
Personal - 990 1,384 541 261 345
Property Services 31 1,223 96 233 148 161
Retail Trade - 114 40 64 16 29
Transport & Storage 2 102 40 37 3 6
Wholesale Trade - 332 21 95 3 5
Other 3 219 23 58 17 15
Total 41 6,180 1,955 1,717 610 703

ANZ Basel II Pillar 3 disclosure March 2012

Table 4(f) part (ii): Impaired asset, Past due loans, Provisions and Write-offs

			Mar 12	Mar 12
Impaired derivatives $M		Impaired loans/ facilities $M	Past due loans ≥90 days $M	Individual provision balance $M	Individual provision charge for half year $M	Write-offs for half year $M
Portfolios subject to Advanced IRB approach
Corporate 66		2,360	331	729	236	178
Sovereign -		-	-	-	-	-
Bank -		78	-	50	-	-
Residential Mortgage -		560	1,041	185	44	46
Qualifying Revolving Retail -		-	93	-	121	146
Other Retail -		385	202	216	117	148
Total Advanced IRB approach 66		3,383	1,667	1,180	518	518

Specialised Lending 85		1,475	136	299	168	86

Portfolios subject to Standardised approach
Corporate	-	123	23	66	(1)	5
Residential Mortgage	-	23	5	16	5	1
Qualifying Revolving Retail	-	77	22	75	25	37
Other Retail	-	111	23	78	(25)	15
Total Standardised approach	-	334	73	235	4	58

Total	151	5,192	1,876	1,714	690	662

					Sep11
						Individual
		Impaired	Past due		Individual	provision	Write-offs
	Impaired	loans/	loans		provision	charge for	for half
	derivatives	facilities	≥90	days	balance	half year		year
	$M	$M		$M	$M	$M		$M
Portfolios subject to Advanced IRB approach
Corporate	25	2,767		206	611	150		151
Sovereign	-	-		-	-	-		-
Bank	-	83		-	53	32		-
Residential Mortgage	-	599	1,150		189	41		44
Qualifying Revolving Retail	-	-		86	-	130		154
Other Retail	-	341		153	210	150		173
Total Advanced IRB approach	25	3,790	1,595		1,063	503		522

Specialised Lending	13	1,106		75	225	85		114

Portfolios subject to Standardised	approach
Corporate	-	397		120	188	6		15
Residential Mortgage	-	20		4	15	8		8
Qualifying Revolving Retail	-	91		27	91	26		42
Other Retail	-	139		13	115	(8)		17
Total Standardised approach	-	647		164	409	32		82

Total	38	5,543	1,834		1,697	620		718
					Mar 11
						Individual
		Impaired	Past due		Individual	provision	Write-offs
	Impaired	loans/	loans		provision	charge for	for half
	derivatives	facilities	≥90	days	balance	half year		year
	$M	$M		$M	$M	$M		$M
Portfolios subject to Advanced IRB approach
Corporate	22	3,123		186	617	191		263
Sovereign	-	-		-	-	-		-
Bank	-	81		-	17	(8)		-
Residential Mortgage	-	555	1,211		182	23		40
Qualifying Revolving Retail	-	-		93	-	115		135
Other Retail	-	352		160	222	133		142
Total Advanced IRB approach	22	4,111	1,650		1,038	454		580

Specialised Lending	19	1,404		60	252	107		56
Portfolios subject to Standardised	approach
Corporate	-	396		195	189	25		2
Residential Mortgage	-	26		6	6	3		-
Qualifying Revolving Retail	-	91		27	96	29		48
Other Retail	-	152		17	136	(8)		17
Total Standardised approach	-	665		245	427	49		67

Total	41	6,180	1,955		1,717	610		703

ANZ Basel II Pillar 3 disclosure March 2012

Table 4(g): Impaired assets[16 17] , Past due loans[18 ] and Provisions by Geography

			Mar 12
		Impaired	Past due	Individual	Collective
	Impaired	loans/	loans	provision	provision
	derivatives	facilities	≥90 days	balance	balance
Geographic region	$M	$M	$M	$M	$M
Australia	150	3,249	1,570	985	2,025
New Zealand	-	1,320	232	403	503
Asia Pacific, Europe and America	1	623	74	326	466
Total	151	5,192	1,876	1,714	2,994

			Sep11
		Impaired	Past due	Individual	Collective
	Impaired	loans/	loans	provision	provision
	derivatives	facilities	≥90 days	balance	balance
Geographic region	$M	$M	$M	$M	$M
Australia	35	3,457	1,523	908	2,147
New Zealand	-	1,421	242	402	528
Asia Pacific, Europe and America	3	665	69	387	501
Total	38	5,543	1,834	1,697	3,176

			Mar 11
		Impaired	Past due	Individual	Collective
	Impaired	loans/	loans	provision	provision
	derivatives	facilities	≥90 days	balance	balance
Geographic region	$M	$M	$M	$M	$M
Australia	37	3,899	1,611	938	2,144
New Zealand	2	1,634	246	406	544
Asia Pacific, Europe and America	2	647	98	373	489
Total	41	6,180	1,955	1,717	3,177

16 Impaired derivatives include a credit valuation adjustment (CVA) of $74 million, being a market value based assessment of the credit risk of the relevant counterparties (September 2011: $68 million; March 2011: $71 million).

17 Impaired loans / facilities include restructured items of $340 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 2011: $700 million; March 2011: $704 million).

18 Past due loans ≥ 90 days includes $1,736 million well secured loans (September 2011: $1,593 million; March 2011: $1,810 million).

ANZ Basel II Pillar 3 disclosure March 2012

Table 4(h): Provision for Credit Impairment

	Half year	Half year	Half year
	Mar 12	Sep 11	Mar 11
Collective Provision	$M	$M	$M
Balance at start of period	3,176	3,177	3,153
Charge to income statement	(152)	(58)	65
Adjustments for exchange rate fluctuations	(30)	57	(41)
Total Collective Provision	2,994	3,176	3,177
Individual Provision
Balance at start of period	1,697	1,717	1,875
New and increased provisions	1,023	1,051	982
Write-backs	(251)	(322)	(291)
Adjustment for exchange rate fluctuations	(29)	51	(43)
Discount unwind	(64)	(82)	(103)
Bad debts written off	(662)	(718)	(703)
Total Individual Provision	1,714	1,697	1,717

Total Provisions for Credit Impairment	4,708	4,873	4,894

Specific Provision Balance and General Reserve for Credit Losses[19]

S
		Mar 12
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	312	2,682	2,994
Individual Provision	1,714	-	1,714
Total Provision for Credit Impairment			4,708
		Sep11
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	375	2,801	3,176
Individual Provision	1,697	-	1,697
Total Provision for Credit Impairment			4,873
		Mar 11
	Specific Provision	General Reserve for
	Balance	Credit Losses	Total
	$M	$M	$M
Collective Provision	271	2,906	3,177
Individual Provision	1,717	-	1,717
Total Provision for Credit Impairment			4,894

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

ANZ Basel II Pillar 3 disclosure March 2012

Table 5 Credit risk – Disclosures for portfolios subject to the Standardised approach and supervisory risk weighting in the IRB approach

Table 5(b): Exposure at Default by risk bucket

Risk weight
	Mar 12	Sep 11	Mar 11
Standardised approach exposures	$M	$M	$M
0%	-	-	-
20%	111	4	2
35%	2,407	1,939	1,148
50%	268	61	-
75%	1	68	-
100%	26,229	26,439	24,368
150%	1,464	84	156
>150%	-	-	-
Capital deductions	-	-	-
Total	30,480	28,594	25,674
Other Asset exposures
0%	-	-	-
20%	1,150	1,431	1,746
35%	-	-	-
50%	-	-	-
75%	-	-	-
100%	3,623	3,237	3,520
150%	-	-	-
>150%	-	-	-
Capital deductions	-	-	-
Total	4,773	4,668	5,266
Specialised Lending exposures
0%	1,528	1,508	1,500
70%	10,439	10,221	9,218
90%	14,001	13,211	12,279
115%	4,088	4,623	4,615
250%	1,318	1,358	1,595
Total	31,374	30,921	29,207
Equity exposures
300%	21	1	2
400%	293	349	407
Total	314	350	409

ANZ Basel II Pillar 3 disclosure March 2012

Table 6 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 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
Equity	Equity investment	AIRB – fixed risk weights
Other Assets	All other assets not falling into the above classes e.g. margin lending, fixed assets	AIRB – fixed risk weights

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail and local corporates in Asia Pacific) where currently available data does not enable development of advanced internal models for PD, LGD and EAD estimates. Under the Standardised approach, exposures are mapped to several regulatory risk weights, mainly based on the type of counterparty and its external rating.

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

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.

ANZ Basel II Pillar 3 disclosure March 2012

LGD is an estimate of the potential economic loss on a credit exposure, incurred as a consequence of obligor default and expressed as a percentage of the facility’s EAD. When measuring economic loss, all relevant factors are taken into account, including material effects of the timing of cash flows and material direct and indirect costs associated with collecting on the exposure, including realisation of collateral.

Effective maturity is also calculated as an input to the risk weighted exposure calculation for bank, sovereign and corporate IRB asset classes.

ANZ’s rating system has two separate and distinct dimensions that:

Measure the PD, which is expressed by the Customer Credit Rating (CCR), reflecting the ability to service and repay debt.
Measure the LGD as expressed by the Security Indicator (SI) ranging from A to G. The SI is calculated by reference to the percentage of loan covered by security which can be realised in the event of default. This calculation uses standard ratios to adjust the current market value of collateral items to allow for historical realisation outcomes. The security-related SIs are supplemented with a range of other SIs which cover such factors as cash cover, mezzanine finance, intra-group guarantees and sovereign backing as ANZ’s LGD research indicates that these transaction characteristics have different recovery outcomes. ANZ’s LGD also includes recognition of the different legal and insolvency regimes in different countries, where this has been shown to influence recovery outcomes.

ANZ’s corporate PD master scale is made up of 27 rating grades. Each level/grade is separately defined and has a range of default probabilities attached to it. The PD master scale enables ANZ’s rating system to be mapped to the gradings of external rating agencies, for illustrative purposes, using the PD as a common element after ensuring that default definitions and other key attributes are aligned. The following table demonstrates this alignment (for one year PDs):

ANZ CCR	Moody’s	Standard & Poor’s	PD Range
0+ to 1-	Aaa to < A1	AAA to < A+	0.0000 - 0.0346%
2+ to 3+	A1 to < Baa2	A+ to < BBB	0.0347 - 0.1636%
3= to 4=	Baa2 to < Ba1	BBB to < BB+	0.1637 - 0.5108%
4- to 6-	Ba1 to < B1	BB+ to < B+	0.5109 - 3.4872%
7+ to 8+	B1 to < Caa	B+ to < CCC	3.4873 - 10.0928%
8=	Caa	CCC	10.0929 - 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 PD, so the PD master scale gives ANZ a common language to understand and manage credit risk. For retail asset class exposures, the LGD dimension is recognised through the process of pooling retail exposures into homogenous groups.

ANZ also uses specialised PD master scale/mappings for the sovereign and bank asset classes, based predominantly on the corporate master scale.

ANZ Basel II Pillar 3 disclosure March 2012

Table 6(d): Non Retail Exposure at Default subject to Internal Ratings Based (IRB) approach[23 24 25 ]

				Mar 12
	AAA	A+	BBB	BB+	B+
	< A+	< BBB	< BB+	< B+	< CCC	CCC	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Corporate	7,008	39,391	59,626	60,041	4,019	2,396	2,990	175,471
Sovereign	50,310	1,625	213	3,896	59	3	-	56,106
Bank	32,066	3,592	4,186	1,314	6	1	78	41,243
Total	89,384	44,608	64,025	65,251	4,084	2,400	3,068	272,820
% of Total	32.8%	16.3%	23.5%	23.9%	1.5%	0.9%	1.1%	100.0%
Undrawn commitments (included in		above)
Corporate	3,462	17,795	18,086	10,958	249	298	103	50,951
Sovereign	640	280	31	95	-	-	-	1,046
Bank	575	41	14	9	1	-	-	640
Total	4,677	18,116	18,131	11,062	250	298	103	52,637
Average Exposure at Default
Corporate	0.134	2.495	0.918	0.309	0.540	0.360	0.802	1.201
Sovereign	36.510	26.638	3.081	13.767	3.909	0.300	-	30.878
Bank	7.731	4.211	3.047	1.371	0.354	1.589	1.987	5.571
Exposure-weighted average Loss Given Default (%)
Corporate	56.5%	59.4%	46.1%	35.5%	39.5%	43.1%	36.6%	45.5%
Sovereign	2.6%	5.2%	21.5%	52.9%	58.2%	50.5%	-	6.3%
Bank	64.6%	61.2%	72.4%	73.9%	60.4%	64.3%	61.3%	65.4%
Exposure-weighted average risk weight (%)
Corporate	17.9%	36.8%	52.0%	67.5%	124.5%	196.6%	142.5%	57.7%
Sovereign	0.4%	1.9%	21.7%	109.5%	207.7%	393.0%	-	8.3%
Bank	14.9%	21.8%	68.6%	118.2%	208.6%	310.8%	161.5%	24.7%

23 In accordance with APS 330, EAD in Table 6(d) includes Advanced IRB exposures; however does not include Specialised Lending, Standardised, Securitisation, Equities or Other Assets exposures. Specialised Lending is excluded from Table 6(d) as it follows the Supervisory Slotting treatment, and a breakdown of risk weightings is provided in Table 5(b).

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

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

ANZ Basel II Pillar 3 disclosure March 2012

Sep11	Sep11	Sep11	Sep11	Sep11	Sep11	Sep11	Sep11	Sep11
AAA < A+ A+ < BBB BBB < BB+ BB+ < B+ B+ < CCC CCC Default Total
$M $M $M $M $M $M $M $M
Exposure at Default
Corporate 7,201 40,330 56,956 58,128 5,276 1,897 3,457 173,245
Sovereign 46,017 2,772 40 3,343 366 - 2 52,540
Bank 33,733 2,988 4,267 1,171 2 80 67 42,308
Total 86,951 46,090 61,263 62,642 5,644 1,977 3,526 268,093
% of Total 32.4% 17.2% 22.9% 23.4% 2.1% 0.7% 1.3% 100.0%

Undrawn commitments (included in above)
Corporate 2,296 19,103 17,295 10,118 490 196 125 49,623
Sovereign 962 208 7 38 2 - - 1,217
Bank 217 66 80 13 - 1 - 377
Total 3,475 19,377 17,382 10,169 492 197 125 51,217

Average Exposure at Default
Corporate 0.527 1.017 0.378 0.218 0.460 0.244 0.797 0.275
Sovereign 13.725 6.688 0.728 6.182 16.718 - 0.149 7.610
Bank 0.665 0.857 2.367 1.472 0.051 14.973 1.868 0.615

Exposure-weighted average Loss Given Default (%)
Corporate 56.9% 60.9% 48.4% 35.8% 40.7% 46.0% 33.6% 46.9%
Sovereign 2.7% 5.3% 27.6% 55.3% 40.7% - 54.8% 6.4%
Bank 62.4% 64.2% 65.2% 65.3% 35.0% 69.9% 64.2% 62.9%

Exposure-weighted average risk weight (%)
Corporate 15.8% 37.9% 54.7% 70.4% 130.0% 215.7% 193.5% 61.3%
Sovereign 0.4% 1.9% 35.3% 109.1% 124.5% - 724.5% 8.3%
Bank 14.1% 19.3% 59.0% 105.8% 115.0% 326.6% 160.5% 22.4%


Mar 11
AAA < A+ A+ < BBB BBB < BB+ BB+ < B+ B+ < CCC CCC Default Total
$M $M $M $M $M $M $M $M
Exposure at Default
Corporate 6,079 36,019 48,978 55,696 5,883 2,551 3,706 158,912
Sovereign 32,441 1,796 67 2,443 228 - 2 36,977
Bank 28,537 3,450 2,230 637 3 3 114 34,974
Total 67,057 41,265 51,275 58,776 6,114 2,554 3,822 230,863
% of Total 29.0% 17.9% 22.2% 25.5% 2.6% 1.1% 1.7% 100.0%

Undrawn commitments (included in above)
Corporate 1,949 15,253 15,180 9,493 481 326 113 42,795
Sovereign 913 117 20 40 4 - - 1,094
Bank 190 16 60 11 - - - 277
Total 3,052 15,386 15,260 9,544 485 326 113 44,166

Average Exposure at Default
Corporate 0.643 1.012 0.361 0.199 0.404 0.332 0.800 0.241
Sovereign 9.492 5.183 0.594 4.271 15.475 - 0.145 4.902
Bank 0.615 0.957 1.824 0.601 0.045 0.114 3.093 0.578

Exposure-weighted average Loss Given Default (%)
Corporate 57.3% 60.1% 46.6% 35.8% 40.8% 46.2% 36.3% 45.8%
Sovereign 2.5% 4.3% 30.9% 53.7% 40.8% - 59.0% 6.2%
Bank 62.2% 61.3% 63.6% 63.9% 34.1% 66.7% 64.8% 62.2%

Exposure-weighted average risk weight (%)
Corporate 16.5% 36.0% 51.5% 70.6% 128.7% 215.2% 183.6% 61.9%
Sovereign 0.4% 1.4% 49.5% 111.1% 131.7% - 781.8% 8.7%
Bank 14.3% 19.2% 58.9% 111.2% 123.1% 311.8% 156.0% 19.9%

ANZ Basel II Pillar 3 disclosure March 2012

Table 6(d): Retail Exposure at Default subject to Advanced Internal Ratings Based (IRB) approach by risk grade

				Mar	12
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.0%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	2,272	156,148	18,495	55,199	6,701	3,606	1,771	244,192
Qualifying Revolving Retail	10,951	355	1,872	4,997	1,939	1,104	169	21,387
Other Retail	282	3,410	1,727	17,527	5,713	964	862	30,485
Total	13,505	159,913	22,094	77,723	14,353	5,674	2,802	296,064
% of Total	4.6%	54.0%	7.5%	26.3%	4.8%	1.9%	0.9%	100.0%
Undrawn commitments (included in		above)
Residential Mortgage	815	17,490	1,083	2,671	161	63	2	22,285
Qualifying Revolving Retail	8,526	354	1,195	2,159	516	120	18	12,888
Other Retail	200	2,550	950	2,368	280	56	3	6,407
Total	9,541	20,394	3,228	7,198	957	239	23	41,580
Average Exposure at Default
Residential Mortgage	0.025	0.207	0.138	0.176	0.210	0.240	0.180	0.181
Qualifying Revolving Retail	0.011	0.006	0.010	0.009	0.009	0.008	0.008	0.010
Other Retail	0.023	0.010	0.011	0.014	0.009	0.006	0.020	0.012
Exposure-weighted average Loss Given Default (%)
Residential Mortgage	20.0%	20.0%	21.3%	23.4%	21.3%	20.0%	22.0%	20.9%
Qualifying Revolving Retail	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%
Other Retail	36.7%	64.1%	50.9%	44.5%	51.6%	65.7%	59.1%	49.4%
Exposure-weighted average risk weight (%)
Residential Mortgage	5.1%	6.7%	15.2%	31.9%	78.9%	108.7%	209.4%	17.5%
Qualifying Revolving Retail	4.7%	11.1%	13.7%	38.4%	103.6%	205.8%	351.6%	35.6%
Other Retail	9.9%	30.1%	34.5%	57.8%	81.3%	159.2%	247.1%	65.9%

ANZ Basel II Pillar 3 disclosure March 2012

				Sep	11
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.0%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	4,685	152,771	19,362	44,367	7,035	4,765	1,897	234,882
Qualifying Revolving Retail	10,800	319	1,884	4,956	2,069	1,035	156	21,219
Other Retail	38	3,669	1,452	17,359	5,429	890	726	29,563
Total	15,523	156,759	22,698	66,682	14,533	6,690	2,779	285,664
% of Total	5.4%	54.9%	7.9%	23.3%	5.1%	2.3%	1.0%	100.0%
Undrawn commitments (included in		above)
Residential Mortgage	576	18,062	1,286	3,296	291	279	4	23,794
Qualifying Revolving Retail	8,374	318	1,208	2,120	576	114	17	12,727
Other Retail	35	2,593	905	2,670	275	67	4	6,548
Total	8,985	20,973	3,398	8,086	1,141	461	25	43,069
Average Exposure at Default
Residential Mortgage	0.102	0.223	0.182	0.180	0.187	0.175	0.256	0.193
Qualifying Revolving Retail	0.011	0.006	0.010	0.009	0.008	0.008	0.008	0.010
Other Retail	0.006	0.010	0.012	0.014	0.009	0.007	0.034	0.012
Exposure-weighted average Loss Given Default (%)
Residential Mortgage	22.9%	20.2%	21.4%	20.7%	20.4%	20.6%	21.3%	20.4%
Qualifying Revolving Retail	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%
Other Retail	72.1%	61.4%	56.0%	44.5%	51.6%	65.2%	57.8%	49.4%
Exposure-weighted average risk weight (%)
Residential Mortgage	5.1%	6.9%	14.6%	27.8%	74.6%	113.2%	238.9%	17.5%
Qualifying Revolving Retail	4.7%	11.1%	13.8%	38.5%	104.8%	205.4%	294.2%	35.2%
Other Retail	18.1%	29.0%	38.3%	58.1%	81.3%	158.4%	236.5%	65.1%
				Mar	11
	0.00%	0.11%	0.30%	0.51%	3.49%	10.09%
	<0.11%	<0.30%	<0.51%	<3.49%	<10.09%	<100.0%	Default	Total
	$M	$M	$M	$M	$M	$M	$M	$M
Exposure at Default
Residential Mortgage	4,200	149,533	17,368	42,250	6,851	4,566	1,891	226,659
Qualifying Revolving Retail	10,723	300	1,865	4,769	2,131	1,071	161	21,020
Other Retail	39	3,502	1,407	16,667	5,255	951	717	28,538
Total	14,962	153,335	20,640	63,686	14,237	6,588	2,769	276,217
% of Total	5.4%	55.5%	7.5%	23.1%	5.2%	2.4%	1.0%	100.0%
Undrawn commitments (included in		above)
Residential Mortgage	535	17,307	1,773	2,715	271	234	9	22,844
Qualifying Revolving Retail	8,327	299	1,195	2,086	597	120	15	12,639
Other Retail	35	2,449	871	2,306	254	67	3	5,985
Total	8,897	20,055	3,839	7,107	1,122	421	27	41,468
Average Exposure at Default
Residential Mortgage	0.095	0.210	0.155	0.182	0.184	0.170	0.240	0.186
Qualifying Revolving Retail	0.011	0.006	0.010	0.009	0.008	0.007	0.008	0.010
Other Retail	0.007	0.010	0.012	0.014	0.009	0.007	0.030	0.012
Exposure-weighted average Loss Given Default (%)
Residential Mortgage	22.7%	20.2%	20.4%	20.8%	20.3%	20.6%	21.3%	20.4%
Qualifying Revolving Retail	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%	73.2%
Other Retail	72.0%	60.3%	55.5%	44.0%	51.6%	65.3%	58.0%	49.1%
Exposure-weighted average risk weight (%)
Residential Mortgage	4.9%	7.0%	15.0%	28.7%	74.1%	112.7%	240.8%	17.7%
Qualifying Revolving Retail	4.7%	11.0%	13.6%	37.8%	105.8%	205.3%	317.7%	35.9%
Other Retail	17.6%	28.0%	37.7%	57.3%	81.2%	157.8%	229.0%	64.8%

ANZ Basel II Pillar 3 disclosure March 2012

Table 6(e): Actual Losses by portfolio type

Halfyear Mar 12	Halfyear Mar 12	Halfyear Mar 12
Individual provision charge Write-offs
Basel Asset Class $M $M
Corporate 236 178
Sovereign - -
Bank - -
Residential Mortgage 44 46
Qualifying Revolving Retail 121 146
Other Retail 117 148
Total Advanced IRB 518 518
Specialised Lending 168 86
Standardised approach 4 58
Total 690 662


Halfyear Sep11
Individual provision charge Write-offs
Basel Asset Class $M $M
Corporate 150 151
Sovereign - -
Bank 32 -
Residential Mortgage 41 44
Qualifying Revolving Retail 130 154
Other Retail 150 173
Total Advanced IRB 503 522
Specialised Lending 85 114
Standardised approach 32 82
Total 620 718


Halfyear Mar 11
Individual provision charge Write-offs
Basel Asset Class $M $M
Corporate 191 263
Sovereign - -
Bank (8) -
Residential Mortgage 23 40
Qualifying Revolving Retail 115 135
Other Retail 133 142
Total Advanced IRB 454 580
Specialised Lending 107 56
Standardised approach 49 67
Total 610 703

ANZ Basel II Pillar 3 disclosure March 2012

Table 6(f): Analysis of expected versus actual losses by portfolio type[26]

Mar 11 Mar 12	Mar 11 Mar 12	Mar 11 Mar 12
One year Actual losses
regulatory expected for 12 months
loss estimate (Write-offs)
$M $M
Corporate 1,236 329
Sovereign 22 -
Bank 16 -
Residential Mortgage 588 90
Qualifying Revolving Retail 435 300
Other Retail 864 321
Specialised Lending 1,142 200
Total Advanced IRB and Specialised Lending 4,303 1,240

Sep10 Sep11
One year Actual losses
regulatory expected for 12 months
loss estimate (Write-offs)
$M $M
Corporate 1,453 414
Sovereign 21 -
Bank 22 -
Residential Mortgage 593 84
Qualifying Revolving Retail 404 289
Other Retail 805 315
Specialised Lending 1,257 170
Total Advanced IRB and Specialised Lending 4,555 1,272

Mar 10 Mar 11
One year Actual losses
regulatory expected for 12 months
loss estimate (Write-offs)
$M $M
Corporate 1,522 460
Sovereign 20 -
Bank 22 -
Residential Mortgage 587 105
Qualifying Revolving Retail 420 269
Other Retail 815 298
Specialised Lending 1,301 200
Total Advanced IRB and Specialised Lending 4,687 1,332

The Regulatory EL shown above represents estimated credit loss from defaults over a one-year horizon (computed as the product of PD, EAD and LGD) plus the Individual Provision balance. The actual loss measures are write-offs for the following year. While these metrics provide some insight into the predictive power of ANZ's estimations, any comparison has limitations due to definitional differences - eg:[18]

The parameters PD, EAD and LGD underlying the Regulatory EL calculation represent throughthe-cycle estimates based on APRA requirements which include the use of a LGD floor of 20% for Mortgages, and Supervisory Slotting approach for project finance, object finance and nondiversified real estate. Regulatory EL also includes the Individual Provision balance on defaulted exposures.
Regulatory EL is a measure of expected credit losses at the start of the year, whereas write-offs relate to a fluctuating portfolio and are recorded throughout the year.
There is typically a time lag between default and write-offs representing the workout period where recovery options are identified and pursued.

26 Table 6(f) relates only to Advanced IRB and Specialised Lending and not Standardised, Equities, Securitisation or Other Assets.

ANZ Basel II Pillar 3 disclosure March 2012

Table 7 Credit risk mitigation disclosures[27]

Table 7(b): Credit risk mitigation on Standardised approach portfolios – collateral[ 28]

			Mar 12
				Total Exposure
		Eligible Financial	Other Eligible	post Credit Risk
	Exposure	Collateral	Collateral		Mitigation
	$M	$M	$M		$M	% Coverage
Standardised approach
Corporate	25,126	813	-		24,313	3.2%
Residential Mortgage	3,152	12	-		3,140	0.4%
Qualifying Revolving Retail	1,924	-	-		1,924	0.0%
Other Retail	1,103	-	-		1,103	0.0%
Total	31,305	825	-		30,480	2.6%

			Sep11
				Total Exposure
		Eligible Financial	Other Eligible	post Credit Risk
	Exposure	Collateral	Collateral		Mitigation
	$M	$M	$M		$M	% Coverage
Standardised approach
Corporate	23,666	822	-		22,844	3.5%
Residential Mortgage	2,798	44	-		2,754	1.6%
Qualifying Revolving Retail	2,101	-	-		2,101	0.0%
Other Retail	896	1	-		895	0.1%
Total	29,461	867	-		28,594	2.9%

			Mar 11
				Total Exposure
		Eligible Financial	Other Eligible	post Credit Risk
	Exposure	Collateral	Collateral		Mitigation
	$M	$M	$M		$M	% Coverage
Standardised approach
Corporate	21,871	722	-		21,149	3.3%
Residential Mortgage	2,000	55	-		1,945	2.8%
Qualifying Revolving Retail	2,003	-	-		2,003	0.0%
Other Retail	577	-	-		577	0.0%
Total	26,451	777	-		25,674	2.9%

27 Some prior period comparatives have been restated to reflect reclassification between asset classes.

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

ANZ Basel II Pillar 3 disclosure March 2012

Table 7(c): Credit risk mitigation – guarantees and credit derivatives[29 ]

			Mar 12
		Exposures	Exposures	Total Exposure
		covered by	covered by	post Credit Risk
	Exposure	Guarantees	Credit Derivatives	Mitigation
	$M	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	216,383	13,831	206	206,845	6.5%
Sovereign	41,366	213	-	56,106	0.5%
Bank	46,652	5,768	2	41,243	12.4%
Residential Mortgage	244,192	-	-	244,192	0.0%
Qualifying Revolving Retail	21,387	-	-	21,387	0.0%
Other Retail	30,485	-	-	30,485	0.0%
Total	600,465	19,812	208	600,258 3.3%

Standardised approach
Corporate	24,313	-	-	24,313	0.0%
Residential Mortgage	3,140	-	-	3,140	0.0%
Qualifying Revolving Retail	1,924	-	-	1,924	0.0%
Other Retail	1,103	-	-	1,103	0.0%
Total	30,480	-	-	30,480	0.0%

			Sep11
		Exposures	Exposures	Total Exposure
		covered by	covered by	post Credit Risk
	Exposure	Guarantees	Credit Derivatives	Mitigation
	$M	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	206,904	14,844	126	204,166	7.2%
Sovereign	45,967	108	-	52,540	0.2%
Bank	46,269	4,336	-	42,308	9.4%
Residential Mortgage	234,882	-	-	234,882	0.0%
Qualifying Revolving Retail	21,219	-	-	21,219	0.0%
Other Retail	29,563	-	-	29,563	0.0%
Total	584,804	19,288	126	584,678	3.3%
Standardised approach
Corporate	22,844	-	-	22,844	0.0%
Residential Mortgage	2,754	-	-	2,754	0.0%
Qualifying Revolving Retail	2,101	-	-	2,101	0.0%
Other Retail	895	-	-	895	0.0%
Total	28,594	-	-	28,594	0.0%

29 Table 7(c) shows the exposure amount by asset class gross and net of the impact of guarantees and credit derivatives.

ANZ Basel II Pillar 3 disclosure March 2012

			Mar 11
		Exposures	Exposures	Total Exposure
		covered by	covered by	post Credit Risk
	Exposure	Guarantees	Credit Derivatives	Mitigation
	$M	$M	$M	$M	% Coverage
Advanced IRB
Corporate (incl. Specialised Lending)	190,749	13,634	140	188,119	7.2%
Sovereign	30,376	74	-	36,977	0.2%
Bank	39,084	4,352	-	34,974	11.1%
Residential Mortgage	226,660	-	-	226,659	0.0%
Qualifying Revolving Retail	21,020	-	-	21,020	0.0%
Other Retail	28,538	-	-	28,538	0.0%
Total	536,427	18,060	140	536,287	3.4%
Standardised approach
Corporate	21,149	-	-	21,149	0.0%
Residential Mortgage	1,945	-	-	1,945	0.0%
Qualifying Revolving Retail	2,003	-	-	2,003	0.0%
Other Retail	577	-	-	577	0.0%
Total	25,674	-	-	25,674	0.0%

ANZ Basel II Pillar 3 disclosure March 2012

Chapter 5 – Securitisation

Banking Book

Table 9(g): Traditional and synthetic securitisation exposures

Mar 12	Mar 12	Mar 12	Mar 12
Traditional securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage 145 33,859 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total 145 33,859 -

Synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlying asset $M $M $M
Residential mortgage - - -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total - - -

Aggregate of traditional and synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage 145 33,859 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total 145 33,859 -

ANZ Basel II Pillar 3 disclosure March 2012

Sep11	Sep11	Sep11	Sep11
Traditional securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage 162 36,257 479
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total 162 36,257 479
Synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlying asset $M $M $M
Residential mortgage - - -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total - - -

Aggregate of traditional and synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage 162 36,257 479
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total 162 36,257 479


Mar 11
Traditional securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlying asset $M $M $M
Residential mortgage 184 32,963 356
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - 101
Total 184 32,963 457

Synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage - - -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - -
Total - - -

Aggregate of traditional and synthetic securitisations
ANZ Originated ANZ Self Securitised ANZ Sponsored
Underlyingasset $M $M $M
Residential mortgage 184 32,963 356
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Other - - 101
Total 184 32,963 457

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(h): Impaired and Past due loans relating to ANZ originated securitisations

			Mar 12
					Losses recognised
		ANZ Self			for the six month
	ANZ Originated	Securitised	Impaired	Past due	ended
Underlyingasset	$M	$M	$M	$M	$M
Residential mortgage	145	33,859	-	115	-
Credit cards and other personal loans	-	-	-	-	-
Auto and equipment finance	-	-	-	-	-
Commercial loans	-	-	-	-	-
Other	-	-	-	-	-
Total	145	33,859	-	115 -

Sep11	Sep11	Sep11	Sep11	Sep11	Sep11
ANZ Originated ANZ Self Securitised Impaired Past due Losses recognised for the six month ended
Underlyingasset $M $M $M $M $M
Residential mortgage 162 36,257 - 110 -
Credit cards and other personal loans - - - - -
Auto and equipment finance - - - - -
Commercial loans - - - - -
Other - - - - -
Total 162 36,257 - 110 -


Mar 11
ANZ Originated ANZ Self Securitised Impaired Past due Losses recognised for the six month ended
Underlyingasset $M $M $M $M $M
Residential mortgage 184 32,963 - 111 -
Credit cards and other personal loans - - - - -
Auto and equipment finance - - - - -
Commercial loans - - - - -
Other - - - - -
Total 184 32,963 - 111 -

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(i): Total amount of outstanding exposures intended to be securitised

No assets from ANZ's Banking Book were intended to be securitised as at the reporting date.

Table 9(j): Securitisation - Summary of current year's activity by underlying asset type and facility

Mar 12
Original value securitised
Securitisation activitybyunderlyingasset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage - 839 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 839 -	-

Securitisation activitybyfacility provided
	Notional amount
	$M
Liquidity facilities - - -	-
Funding facilities - - -	1,269
Underwriting facilities - - -	-
Lending facilities - - -	-
Credit enhancements - - -	-
Holdings of securities (excluding trading book) - - -	1,788
Other - - -	42
Total - - -	3,099

Sep 11

	Original value securitised
	ANZ ANZ Self ANZ	Recognised gain or loss
	Originated Securitised Sponsored	on sale
Securitisationactivity by underlying asset type	$M $M $M	$M
Residential mortgage	- 6,254 -	-
Credit cards and other personal loans	- - -	-
Auto and equipment finance	- - -	-
Commercial loans	- - -	-
Other	- - -	-
Total	- 6,254 -	-

Securitisation activitybyfacility provided
		Notional amount
		$M
Liquidity facilities	- - -	-
Funding facilities	- - -	98
Underwriting facilities	- - -	-
Lending facilities	- - -	-
Credit enhancements	- - -	-
Holdings of securities (excluding trading book)	- - -	625
Other	- - -	-
Total	- - -	723

ANZ Basel II Pillar 3 disclosure March 2012

Mar 11
Original value securitised
Securitisation activitybyunderlyingasset type ANZ Originated $M ANZ Self Securitised $M ANZ Sponsored $M	Recognised gain or loss on sale $M
Residential mortgage - 1,440 -	-
Credit cards and other personal loans - - -	-
Auto and equipment finance - - -	-
Commercial loans - - -	-
Other - - -	-
Total - 1,440 -	-

Securitisation activitybyfacility provided	Notional amount $M
Liquidity facilities - - -	-
Funding facilities - - -	235
Underwriting facilities - - -	-
Lending facilities - - -	-
Credit enhancements - - -	-
Holdings of securities (excluding trading book) - - -	157
Other - - -	-
Total - - -	392

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(k): Securitisation - Regulatory credit exposures by exposure type

Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities 1,333 787 1,023
Funding facilities 3,202 2,684 2,486
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,689 1,213 453
Protection provided - -
Other - - -
Total 7,224 4,684 3,962


Mar 12 Sep 11 Mar 11
Securitisation exposure type - Off balance sheet $M $M $M
Liquidity facilities 704 961 979
Funding facilities - - -
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - -
Other 25 25 26
Total 729 986 1,005


Mar 12 Sep 11 Mar 11
Total Securitisation exposure type $M $M $M
Liquidity facilities 2,037 1,748 2,002
Funding facilities 3,202 2,684 2,486
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,689 1,213 453
Protection provided - - -
Other 25 25 26
Total 7,953 5,670 4,967

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(l) part (i): Securitisation - Regulatory credit exposures by risk weight band

	Mar 12 Sep11 Mar 11	Mar 12 Sep11 Mar 11
	Regulatory credit Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Securitisation	exposure assets exposure assets exposure assets
risk weights	$M $M $M $M $M $M
≤ 25%	7,048 742 4,588 494 3,758 458
>25 ≤ 35%	- - - - - -
>35 ≤ 50%	- - - - - -
>50 ≤ 75%	220 121 162 83 185 98
>75 ≤ 100%	199 199 389 389 499 499
>100 ≤ 650%	45 68 51 89 49 74
1250% (Deduction)	170 - 190 - 193 -
Total	7,682 1,130 5,380 1,055 4,684 1,129


	Mar 12 Sep11 Mar 11
	Regulatory credit Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Resecuritisation	exposure assets exposure assets exposure assets
risk weights	$M $M $M $M $M $M
≤ 25%	153 31 164 33 155 31
>25 ≤ 35%	81 28 87 30 90 32
>35 ≤ 50%	- - - - - -
>50 ≤ 75%	- - - - - -
>75 ≤ 100%	37 37 39 39 38 38
>100 ≤ 650%	- - - - - -
1250% (Deduction)	- - - - - -
Total	271 96 290 102 283 101

	Mar 12	Sep11	Mar 11
	Regulatory credit Risk weighted Regulatory credit Risk weighted Regulatory credit Risk weighted
Total Securitisation	exposure assets exposure assets exposure assets
risk weights	$M $M $M $M $M $M
≤ 25%	7,201 773 4,752 527 3,913 489
>25 ≤ 35%	81 28 87 30 90 32
>35 ≤ 50%	- - - - - -
>50 ≤ 75%	220 121 162 83 185 98
>75 ≤ 100%	236 236 428 428 537 537
>100 ≤ 650%	45 68 51 89 49 74
1250% (Deduction)	170 - 190 - 193 -
Total	7,953 1,226 5,670 1,157 4,967 1,230

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(l) part (ii): Securitisation - Aggregate securitisation exposures deducted from Capital

		Mar 12
	Deductions	Deductions	Deductions from Total
	from Tier I Capital	from Tier II Capital	Capital
Securitisation exposures deducted from Capital	$M	$M	$M
Residential mortgage	85	85	170
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	85	85	170
		Sep11
	Deductions	Deductions	Deductions from Total
	from Tier I Capital	from Tier II Capital	Capital
Securitisationexposures deductedfromCapital	$M	$M	$M
Residential mortgage	95	95	190
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	95	95	190
		Mar 11
	Deductions	Deductions	Deductions from Total
	from Tier I Capital	from Tier II Capital	Capital
Securitisation exposures deducted from Capital	$M	$M	$M
Residential mortgage	96	96	192
Credit cards and other personal loans	-	-	-
Auto and equipment finance	-	-	-
Commercial loans	-	-	-
Other	-	-	-
Total	96	96	192

Table 9(m): Securitisations subject to early amortisation treatment

ANZ does not have any Securitisations subject to early amortisation treatment or using Standardised approach.

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(n): Resecuritisation - Aggregate amount of resecuritisation exposures retained or purchased

Mar 12	Mar 12	Mar 12
Resecuritisation exposures retained orpurchased Exposures subject to CRM $M Exposures not subject to CRM $M Total $M
Residential mortgage - 87 87
Credit cards and other personal loans - 146 146
Auto and equipment finance - 37 37
Commercial loans - - -
Other - - -
Total - 270 270

Resecuritisation exposures bycredit worthiness ofguarantors	Exposures to Guarantors $M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-

		Exposures to
		Guarantors
Resecuritisation exposures bycredit worthiness ofguarantors		$M
Credit Rating Level 1		-
Credit Rating Level 2		-
Credit Rating Level 3		-
Credit Rating Level 4		-
Credit Rating Level 5 or below		-
No Guarantor		-
Total		-

		Sep11

Resecuritisation exposures retained orpurchased	Exposures subject to CRM $M	Exposures not subject to CRM $M Total $M
Residential mortgage	-	95 95
Credit cards and other personal loans	-	156 156
Auto and equipment finance	-	39 39
Commercial loans	-	- -
Other	-	- -
Total	-	290 290

Resecuritisation exposures bycredit worthiness ofguarantors	Exposures to Guarantors $M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-

		Mar 11
	Exposures	Exposures not
	subject to CRM	subject to CRM	Total
Resecuritisation exposures retained orpurchased	$M	$M	$M
Residential mortgage	-	99	99
Credit cards and other personal loans	-	147	147
Auto and equipment finance	-	38	38
Commercial loans	-	-	-
Other	-	-	-
Total	-	284	284
	Exposures to
	Guarantors
Resecuritisation exposures bycredit worthiness ofguarantors	$M
Credit Rating Level 1	-
Credit Rating Level 2	-
Credit Rating Level 3	-
Credit Rating Level 4	-
Credit Rating Level 5 or below	-
No Guarantor	-
Total	-

ANZ Basel II Pillar 3 disclosure March 2012

Trading Book

Table 9(o): Traditional and synthetic securitisation exposures

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

Table 9(p): 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 9(q): 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 9(r): Traditional and synthetic securitisation exposures

Mar 12	Mar 12
Traditional securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - 37
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - 37

Synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - -
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - -

Aggregate of traditional and synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - 37
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - 37

ANZ Basel II Pillar 3 disclosure March 2012


Sep11
Traditional securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlying asset $M $M
Residential mortgage - 58
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - 58

Synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - -
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - -

Aggregate of traditional and synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - 58
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - 58


Mar 11
Traditional securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - 51
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - 1
Other - -
Total - 52

Synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - -
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - -
Other - -
Total - -

Aggregate of traditional and synthetic securitisations
Exposures securitised subject to Exposures securitised subject to
Standardised Method Internal Models Approach
Underlyingasset $M $M
Residential mortgage - 51
Credit cards and other personal loans - -
Auto and equipment finance - -
Commercial loans - 1
Other - -
Total - 52

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(s): Securitisation – Regulatory credit exposures by exposure type

Securitisation exposure type - On balance sheet Mar 12 $M Sep 11 $M Mar 11 $M	Securitisation exposure type - On balance sheet Mar 12 $M Sep 11 $M Mar 11 $M
Liquidity facilities - - -
Funding facilities - - -
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities 37 58 52
Protection provided - - -
Other - - -
Total 37 58 52


Securitisation exposure type - Off balance sheet Mar 12 $M Sep 11 $M Mar 11 $M
Liquidity facilities - - -
Funding facilities - - -
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities - - -
Protection provided - - -
Other - - -
Total - - -


Total Securitisation exposure type Mar 12 $M Sep 11 $M Mar 11 $M
Liquidity facilities - - -
Funding facilities - - -
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities 37 58 52
Protection provided - - -
Other - - -
Total 37 58 52

ANZ Basel II Pillar 3 disclosure March 2012

Table 9(t)(i) & Table 9(u)(i): 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 9(t)(ii) & Table 9(u)(ii): Aggregate securitisation exposures subject to APS120 and the associated Capital requirements

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

Table 9(u)(iii): Securitisation - Aggregate securitisation exposures deducted from Capital

ANZ does not have any Securitisation exposures deducted from Capital.

Table 9(v): Securitisations subject to early amortisation treatment

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

Table 9(w): Resecuritisation - Aggregate amount of resecuritisation exposures retained or purchased

ANZ does not have any resecuritisation exposures retained or purchased.

ANZ Basel II Pillar 3 disclosure March 2012

Chapter 6 – Market risk

Table 10 Market risk – Standard approach

Table 10(b): Market risk – Standard approach[ 30]

	Mar 12	Sep 11	Mar 11
	$M	$M	$M
Interest rate risk	114	141	111
Equity position risk	4	4	7
Foreign exchange risk	-	-	-
Commodity risk	2	15	6
Total	120	160	124

Risk Weighted Assets equivalent	1,500	2,000	1,553

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

ANZ Basel II Pillar 3 disclosure March 2012

Table 11 Market risk – Internal models approach

Table 11(d): Value at Risk (VaR) over the reporting period 31 32	Table 11(d): Value at Risk (VaR) over the reporting period 31 32	Table 11(d): Value at Risk (VaR) over the reporting period 31 32	Table 11(d): Value at Risk (VaR) over the reporting period 31 32	Table 11(d): Value at Risk (VaR) over the reporting period 31 32
Six months ended 31 Mar 12
Mean Maximum Minimum Period end
Value at Risk(VaR) $M $M $M $M
Equities 1.3 2.9 0.9 1.2
Interest rate 4.6 6.0 3.5 5.2
Foreign exchange 4.5 6.9 2.8 3.5
Commodity 2.3 3.2 1.1 2.2
Credit 3.4 5.3 2.7 4.4

Six months ended 30 Sep11
Mean Maximum Minimum Period end
Value at Risk(VaR) $M $M $M $M
Equities 1.0 2.5 0.5 2.5
Interest rate 8.1 16.1 4.2 4.7
Foreign exchange 3.4 7.9 1.6 6.0
Commodity 2.2 4.2 1.0 1.4
Credit 5.6 8.5 3.1 3.4


Six months ended 31 Mar 11
Mean Maximum Minimum Period end
Value at Risk(VaR) $M $M $M $M
Equities - - - -
Interest rate 10.8 14.9 7.4 8.3
Foreign exchange 3.1 6.0 1.5 3.3
Commodity 2.5 4.0 1.6 3.3
Credit 5.2 7.9 2.4 7.1

Comparison of VaR estimates to actual gains/losses

Back testing involves the comparison of calculated VaR exposures with profit and loss data to identify the frequency of instances when trading losses exceed the calculated VaR. For APRA backtesting purposes, VaR is calculated at the 99% confidence interval with a one-day holding period.

Back testing is conducted daily, and outliers are analysed to understand if the issues are the result of trading decisions, systemic changes in market conditions or issues related to the VaR model i.e. historical data or model calibration.

ANZ uses actual and hypothetical profit and loss data. Hypothetical data is designed to remove the impacts of intraday trading and sales margins. It is calculated as the difference between the value of the prior day portfolio at prior day closing rates and the value at current day closing rates. Markets Finance calculates actual profit and loss while Market Risk calculates hypothetical profit and loss.

The following table discloses the high, mean and low VaR values over the reporting period and at period end, and a comparison of VaR estimates with actual gains/losses over the reporting period.

31 Regulatory VaR is calculated at 97.5% confidence level for a one-day holding period.

32 The Foreign exchange VaR excludes foreign exchange translation exposures outside of the trading book. (Non trading translation risk includes translation of the net mark-to-market of the structured credit business).

ANZ Basel II Pillar 3 disclosure March 2012

Chapter 7 – Equities

Table 13 Equities – Disclosures for Banking Book positions

Table 13(b) and 13(c): Equities – Types and nature of Banking Book investments

Mar 12	Mar 12	Mar 12
Equityinvestments $M
Balance sheet value Fair value
Value of listed (publicly traded) equities 1,876 2,322
Value of unlisted (privately held) equities 2,031 2,067
Total 3,907 4,389

Sep 11
Equityinvestments $M
Balance sheet value Fair value
Value of listed (publicly traded) equities 1,985 2,179
Value of unlisted (privately held) equities 1,976 2,011
Total 3,961 4,190

Mar 11
Equityinvestments $M
Balance sheet value Fair value
Value of listed (publicly traded) equities 1,861 2,818
Value of unlisted (privately held) equities 1,789 1,825
Total 3,650 4,643

Table 13(d) and 13(e): Equities – gains (losses)

Half Year Mar 12 Half Year Sep 11 Half Year Mar 11	Half Year Mar 12 Half Year Sep 11 Half Year Mar 11	Half Year Mar 12 Half Year Sep 11 Half Year Mar 11	Half Year Mar 12 Half Year Sep 11 Half Year Mar 11
Gains(losses)on equityinvestments $M $M $M
Cumulative realised gains (losses) from disposals and liquidations in the reporting period 29 24 5
Cumulative realised losses from impairment and writedowns in the reporting period (37) (15) (37)
Total unrealised gains (losses) 66 49 1
Total unrealised gains (losses) included in Gross Tier 1/Tier 2 capital - - -
Table 13(f): Equities Risk Weighted Assets
Mar 12 Sep 11 Mar 11
Risk Weighted Assets $M $M $M
Equity investments subject to a 300% risk weight 62 3 6
Equity investments subject to a 400% risk weight 1,173 1,396 1,629
Total RWA - Equity 1,235 1,399 1,635

ANZ Basel II Pillar 3 disclosure March 2012

Chapter 8 – Interest Rate Risk in the Banking Book

Table 14 Interest Rate Risk in the Banking Book

Table 14(b): Interest Rate Risk in the Banking Book

	Change in Economic Value	Change in Economic Value	Change in Economic Value

Standard Shock Scenario Stress Testing:	Mar 12 Sep11 Mar 11
Interest rate shock applied	$M $M $M
AUD
200 basis point parallel increase	154 53 28
200 basis point parallel decrease	(158) (54) (24)

NZD
200 basis point parallel increase	51 22 (8)
200 basis point parallel decrease	(61) (25) 5

USD
200 basis point parallel increase	9 (30) (54)
200 basis point parallel decrease	4 12 39

GBP
200 basis point parallel increase	(10) (6) (3)
200 basis point parallel decrease	5 3 2

Other
200 basis point parallel increase	19 20 21
200 basis point parallel decrease	(1) 1 (7)


IRRBB regulatory capital	837 675 809
IRRBB regulatory RWA	10,465 8,439 10,112

Stress testing methodology

Stress tests within ANZ include standard and extraordinary tests. These tests are used to highlight potential risk which may not be captured by VaR, and how the portfolio might behave under extraordinary circumstances. Standard stress tests include statistically derived scenarios based on historical yield curve movements. These combine parallel shocks with twists and bends in the curve to produce a wide range of hypothetical scenarios at high statistical confidence levels, with the single worst scenario identified and reported. Extraordinary stress tests include interest rate moves from historical periods of stress as well as stresses to assumptions made about the repricing term of exposures. The rate move scenarios include daily changes over the stressed periods and the worst theoretical losses over the selected periods are each reported. Stresses of the repricing term assumptions investigate scenarios where actual repricing terms are vastly different to those modelled.

ANZ Basel II Pillar 3 disclosure March 2012

Appendix 1 – Detail of capital structure

Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11
Fundamental Tier 1 capital $M $M $M
Paid-up ordinary share capital 22,396 21,577 20,839
Reserves
Foreign currency translation reserve (2,830) (2,418) (3,299)
Share and share option reserve 180 174 156
	Transactions with non-controlling interest reserve (23) (22)


Total reserves (2,673) (2,266) (3,143)
Prudential retained earnings
	Retained earnings including current year earnings 18,758 17,787 16,766


Accumulated retained profits and reserves
of insurance, funds management and (1,438) (1,679) (1,269)
securitisation entities and associates
Dividend not provided for (1,769) (1,999) (1,662)
Deferred fee revenue including fees deferred as part of loan yields 425 414 398
Accrual for Dividend Reinvestment Plans 531 600 499
Total prudential retained earnings 16,507 15,123 14,732
Non-controlling interests 43 41 64
Total 36,273 34,475 32,492


Mar 12 Sep 11 Mar 11
Deductions from Tier 1 capital $M $M $M
Goodwill (2,966) (2,968) (2,795)
Other deductions from Tier 1 capital
Intangible component of investment in
OnePath Australia and New Zealand (2,071) (2,071) (2,059)
(excluding prudential goodwill)
	Capitalised software and other intangible assets (1,711) (1,549) (1,323)


Capitalised expenses including loan and lease origination fees, capitalised securitisation establishment costs and costs associated with debt raisings (761) (688) (666)
Applicable deferred tax assets (excluding
the component relating to the general (92) (136) (154)
reserve for impairment of financial assets)
Mark-to-market impact of own credit spread (40) (128) (18)
Total other deductions from Tier 1 capital (4,675) (4,572) (4,220)
50/50 deductions from Tier 1 capital
Investment in ANZ insurance subsidiaries (300) (200) (200)
Investment in funds management entities (27) (29) (29)
	Investment in OnePath Australia and New Zealand (922) (906) (901)


Investment in other Authorised Deposit- taking Institutions and overseas equivalents (1,118) (1,151) (1,162)
Expected loss in excess of eligible provisions (524) (475) (473)
Other (326) (310) (290)
Total 50/50 deductions from Tier 1 capital (3,217) (3,071) (3,055)
Total deductions from Tier 1 capital (10,858) (10,611) (10,070)

ANZ Basel II Pillar 3 disclosure March 2012

Mar 12 Sep 11 Mar 11	Mar 12 Sep 11 Mar 11
Deductions from Tier 2 capital $M $M $M
Upper and lower Tier 2 capital deductions (28) (28) (28)
50/50 deductions from Tier 2 capital
Investment in ANZ insurance subsidiaries (300) (200) (200)
Investment in funds management entities (27) (29) (29)
	Investment in OnePath Australia and New Zealand (922) (906) (901)


Investment in other Authorised Deposit Taking Institutions and overseas equivalents (1,118) (1,151) (1,162)
Expected loss in excess of eligible provisions (524) (475) (473)
Other (326) (310) (290)
Total 50/50 deductions from Tier 2 capital (3,217) (3,071) (3,055)
Total deductions from Tier 2 capital (3,245) (3,099) (3,083)

ANZ Basel II Pillar 3 disclosure March 2012

Appendix 2 – ANZ Bank (Europe) Limited

ANZ Bank (Europe) Limited (ANZBEL) is a 100% owned and controlled subsidiary of ANZ, and is regulated by the Financial Services Authority (FSA). ANZBEL is subject to similar Pillar 3 requirements as ANZ, under the FSA's Prudential Source Book for Banks, Building Societies and Investment Firms (BIPRU). The FSA has granted ANZBEL a Pillar 3 Disclosure waiver direction, which can be found on the FSA website: fsa.gov.uk/pubs/waivers/bipru_waivers.pdf.

In line with the FSA waiver direction, ANZBEL will rely on disclosures in this document to satisfy most of its Pillar 3 disclosure obligations. The following FSA requirements are not mirrored in APS 330 or included in this disclosure document, and as such are required by the FSA to be reported on an individual basis in the annual ANZBEL Statutory Accounts:

BIPRU 11.5.4R (4) - Disclosure of the firm’s minimum capital requirements covering position, foreign exchange, commodity, counterparty and concentration risks.
BIPRU 11.5.12R – Disclosure: Market Risk.

ANZ Basel II Pillar 3 disclosure March 2012

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ANZ Basel II Pillar 3 disclosure March 2012

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Australia and New Zealand Banking Group Ltd. — Interim / Quarterly Report 2012

10425_rns_2012-05-23_aa35c3c5-21bb-4ff9-823f-f786727fce7e.pdf

2012 BASEL II PILLAR 3 DISCLOSURE

Important notice

Chapter 1 – Highlights

Strengthening capital position through organic capital generation

Exposure at Default ($bn)

Movement in Credit Risk Weighted Assets ($bn)

CRWA up by 0.5% since September 11

Average Risk Weights (CRWA/EAD)

Provision Ratios (Provisions/CRWA)

Provision coverage ratios decreased

Chapter 2 – Introduction

Purpose of this document

Basel II in ANZ

Verification of disclosures

Comparison to ANZ’s Annual Report

Chapter 3 – Group structure and capital adequacy

Top Corporate Entity

Table 1 Capital deficiencies in non-consolidated subsidiaries

Table 2 Capital structure[3]

Table 3 Capital Ratio and Risk Weighted Assets[5 6 ]

Credit Risk Weighted Assets (CRWA)

IRRBB RWA

Chapter 4 – Credit risk

Table 4 Credit risk – General disclosures

Table 4(b) part (ii): Exposure at Default by portfolio type

Table 4(c): Geographic distribution of Exposure at Default

Table 4(d): Industry distribution of Exposure at Default[10 11 ]

Table 4(h): Provision for Credit Impairment

Specific Provision Balance and General Reserve for Credit Losses[19]

Table 5 Credit risk – Disclosures for portfolios subject to the Standardised approach and supervisory risk weighting in the IRB approach

Table 5(b): Exposure at Default by risk bucket

Table 6 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches

Portfolios subject to the Advanced IRB (AIRB) approach

The ANZ rating system

Table 6(e): Actual Losses by portfolio type

Table 7 Credit risk mitigation disclosures[27]

Chapter 5 – Securitisation

Banking Book

Table 9(g): Traditional and synthetic securitisation exposures

Table 9(i): Total amount of outstanding exposures intended to be securitised

Table 9(j): Securitisation - Summary of current year's activity by underlying asset type and facility

Sep 11

Table 9(k): Securitisation - Regulatory credit exposures by exposure type

Table 9(m): Securitisations subject to early amortisation treatment

Trading Book

Table 9(o): Traditional and synthetic securitisation exposures

Table 9(p): Total amount of outstanding exposures intended to be securitised

Table 9(q): Securitisation - Summary of current year's activity by underlying asset type and facility

Table 9(r): Traditional and synthetic securitisation exposures

Table 9(t)(ii) & Table 9(u)(ii): Aggregate securitisation exposures subject to APS120 and the associated Capital requirements

Table 9(u)(iii): Securitisation - Aggregate securitisation exposures deducted from Capital

Table 9(v): Securitisations subject to early amortisation treatment

Chapter 6 – Market risk

Table 10 Market risk – Standard approach

Table 10(b): Market risk – Standard approach[ 30]

Table 11 Market risk – Internal models approach

Comparison of VaR estimates to actual gains/losses

Chapter 7 – Equities

Table 13 Equities – Disclosures for Banking Book positions

Table 13(d) and 13(e): Equities – gains (losses)

Chapter 8 – Interest Rate Risk in the Banking Book

Table 14 Interest Rate Risk in the Banking Book

Table 14(b): Interest Rate Risk in the Banking Book

Stress testing methodology

Appendix 1 – Detail of capital structure

Appendix 2 – ANZ Bank (Europe) Limited

More from Australia and New Zealand Banking Group Ltd.

Australia and New Zealand Banking Group Ltd. Interim / Quarterly Report 2012