ANZ’s Dec 18 Pillar 3 Documents and mortgage volume update

2018 BASEL III PILLAR 3
DISCLOSURE
AS AT 31 DECEMBER 2018
APS 330:
PUBLIC DISCLOSURE

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Important notice

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

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 3 Capital adequacy - Capital ratios and Risk Weighted Assets
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Dec 18 Sep 18 Jun 18
Risk Weighted Assets (RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 127,973 121,891 122,902
Sovereign 6,986 6,955 7,112
Bank 15,709 15,908 15,083
Residential Mortgage 101,320 97,764 99,257
Qualifying Revolving Retail 5,890 6,314 6,679
Other Retail 28,715 29,373 29,992
Credit risk weighted assets subject to Advanced IRB approach 286,593 278,205 281,025

Credit Risk Specialised Lending exposures subject to slotting approach
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34,032 33,110 32,714

Subject to Standardised approach
Corporate 13,943 13,760 14,085
Residential Mortgage 336 327 326
Other Retail 84 88 95
Credit risk weighted assets subject to Standardised approach 14,363 14,175 14,506

Credit Valuation Adjustment and Qualifying Central Counterparties 7,629 7,344 7,633

Credit risk weighted assets relating to securitisation exposures 1,616 1,600 1,716
Other assets 3,437 3,146 3,310
Total credit risk weighted assets 347,670 337,580 340,904

Market risk weighted assets 5,797 6,808 7,181
Operational risk weighted assets 38,019 37,618 37,378
Interest rate risk in the banking book (IRRBB) risk weighted assets 6,957 8,814 8,988
Total Risk Weighted Assets 398,443 390,820 394,451

Capital ratios (%)
Level 2 Common Equity Tier 1 capital ratio 11.3% 11.4% 11.1%
Level 2 Tier 1 capital ratio 13.1% 13.4% 13.0%
Level 2 Total capital ratio 15.0% 15.2% 14.8%


Credit Risk Weighted Assets (CRWA)
Total CRWA increased $10.1 billion (3%) from September 2018 to $347.7 billion at December 2018. This was driven
by an increase in Corporates under the Advanced IRB approach with CRWA increasing $6.1 billion predominantly from
portfolio growth in the Institutional Business of $4.4 billion and foreign exchange movements of $1.6 billion. CRWA for
Residential Mortgages under the Advanced IRB approach increased $3.6 billion predominately from the impact of
regulatory determined adjustments.


Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA decreased $1 billion over the quarter driven by the release of additional market risk capital
which was required to be held pending implementation of the upgraded market risk system which occurred during the
quarter.
IRRBB RWA decreased $1.9 billion over the quarter due to a reduction in Repricing and Yield Curve risk.





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

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 4 Credit risk exposures

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

Table 4(a) part (i): Period end and average Exposure at Default
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Dec 18
Advanced IRB approach
Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 127,973 257,223 251,424 16 44
Sovereign 6,986 162,047 153,808 - -
Bank 15,709 51,086 51,225 - -
Residential Mortgage 101,320 380,286 378,430 14 22
Qualifying Revolving Retail 5,890 18,061 18,254 47 62
Other Retail 28,715 39,330 39,575 101 111
Total Advanced IRB approach 286,593 908,033 892,716 178 239

Specialised Lending 34,032 40,689 40,076 1 -

Standardised approach
Corporate 13,943 15,071 15,068 7 17
Residential Mortgage 336 717 711 - -
Other Retail 84 83 85 - 2
Total Standardised approach 14,363 15,871 15,864 7 19

Credit Valuation Adjustment and
Qualifying Central Counterparties
7,629 12,727 12,065 - -

Total 342,617 977,320 960,721 186 258






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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.

ANZ Basel III Pillar 3 Disclosure December 2018


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


Sep 18
Advanced IRB approach
Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 121,891 245,625 243,675 (10) 56
Sovereign 6,955 145,569 146,142 - -
Bank 15,908 51,363 51,582 - -
Residential Mortgage 97,764 376,573 376,580 27 27
Qualifying Revolving Retail 6,314 18,447 18,742 42 63
Other Retail 29,373 39,819 40,201 112 135
Total Advanced IRB approach 278,205 877,396 876,922 171 281

Specialised Lending 33,110 39,462 39,386 2 3



Standardised approach
Corporate 13,760 15,064 15,254 10 6
Residential Mortgage 327 704 699 - 3
Other Retail 88 87 91 - 2
Total Standardised approach 14,175 15,855 16,044 10 11

Credit Valuation Adjustment and
Qualifying Central Counterparties
7,344 11,402 11,134 - -

Total 332,834 944,115 943,486 183 295

Jun 18
Advanced IRB approach
Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 122,902 241,724 239,758 11 34
Sovereign 7,112 146,715 143,999 (3) -
Bank 15,083 51,800 50,234 - -
Residential Mortgage 99,257 376,586 376,334 29 14
Qualifying Revolving Retail 6,679 19,037 19,184 51 77
Other Retail 29,992 40,582 41,081 99 142
Total Advanced IRB approach 281,025 876,444 870,590 187 267

Specialised Lending 32,714 39,309 38,585 - 1



Standardised approach
Corporate 14,085 15,444 15,836 (29) 9
Residential Mortgage 326 694 688 1 -
Other Retail 95 94 98 1 1
Total Standardised approach 14,506 16,232 16,622 (27) 10

Credit Valuation Adjustment and
Qualifying Central Counterparties
7,633 10,865 10,728 - -

Total 335,878 942,850 936,525 160 278

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 4(a) part (ii): Exposure at Default by portfolio type
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Average for the
quarter ended
Dec 18
Sep 18 Jun 18 Dec 18
Portfolio Type $M $M $M $M
Cash 73,193 57,604 62,107 65,399
Contingents liabilities, commitments, and other off-balance
sheet exposures 157,227 153,021 152,872 155,124
Derivatives 46,064 42,752 43,388 44,408
Settlement Balances 54 16 15 35
Investment Securities 72,240 73,296 72,907 72,768
Net Loans, Advances & Acceptances 604,579 592,967 587,547 598,773
Other assets 5,222 4,387 3,126 4,805
Trading Securities 18,741 20,072 20,888 19,407
Total exposures 977,320 944,115 942,850 960,719






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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.

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 4(b): Impaired asset
4

5
, Past due loans
6
, Provisions and Write-offs


Dec 18

Impaired
derivatives
$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs
for three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 1,044 155 374 16 44
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 315 2,365 152 14 22
Qualifying Revolving Retail - 75 - - 47 62
Other Retail - 486 360 254 101 111
Total Advanced IRB approach - 1,920 2,880 780 178 239

Specialised Lending - 43 48 7 1 -

Portfolios subject to Standardised approach
Co
rporate - 153 14 94 7 17
Residential Mortgage - 17 15 9 - -
Other Retail - 14 6 2 - 2
Total Standardised approach - 184 35 105 7 19

Qualifying Central Counterparties - - - - - -

Total - 2,147 2,963 892 186 258






4
Impaired derivatives are net of credit valuation adjustment (CVA) of $20 million, being a market value based assessment of the credit
risk of the relevant counterparties (September 2018: $27 million; June 2018: $36 million).
5
Impaired loans / facilities include restructured items of $265 million for customer facilities in which the original contractual terms have
been modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest,
principal or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with
similar risk (September 2018: $269 million; June 2018: $78 million).
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For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to
impaired loans / facilities

ANZ Basel III Pillar 3 Disclosure December 2018


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


Sep 18

Impaired
derivatives

$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs for
three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 1,051 161 394 (10) 56
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 304 2,291 160 27 27
Qualifying Revolving Retail - 76 - - 42 63
Other Retail - 490 353 247 112 135
Total Advanced IRB approach - 1,921 2,805 801 171 281

Specialised Lending - 43 22 7 2 3

Portfolios subject to Standardised approach
Corporate - 150 17 101 10 6
Residential Mortgage - 20 12 9 - 3
Other Retail - 15 6 2 - 2
Total Standardised approach - 185 35 112 10 11

Qualifying Central Counterparties
- -
- - - -

Total - 2,149 2,862 920 183 295

Jun 18



Impaired
derivatives

$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs for
three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 920 151 431 11 34
Sovereign - - - - (3) -
Bank - - - - - -
Residential Mortgage - 301 2,351 161 29 14
Qualifying Revolving Retail - 85 - - 51 77
Other Retail - 514 343 249 99 142
Total Advanced IRB approach - 1,820 2,845 841 187 267

Specialised Lending - 29 19 8 - 1

Portfolios subject to Standardised approach
Corporate - 155 29 96 (29) 9
Residential Mortgage - 24 14 11 1 -
Other Retail - 15 5 2 1 1
Total Standardised approach - 194 48 109 (27) 10

Qualifying Central Counterparties - - - - - -

Total - 2,043 2,912 958 160 278

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 4(c): Specific Provision Balance and General Reserve for Credit Losses
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Dec 18
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 358 2,974 3,332
Individually Assessed Provisions for Credit Impairment 892 - 892
Total Provision for Credit Impairment 1,250 2,974 4,224


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


Jun 18
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collective Provision 326 2,215 2,541
Individual Provision 958 - 958
Total Provision for Credit Impairment 1,284 2,215 3,499






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Due to definitional differences, there is a variation in the split between ANZ’s Individually and Collectively Assessed Provisions for
Credit Impairment for accounting purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory
purposes. This does not impact total provisions, and essentially relates to the classification of collectively assessed provisions on
defaulted accounts. The disclosures in this document are based on Individually and Collectively Assessed Provisions for Credit
Impairment, for ease of comparison with other published results.
8
The Group has adopted AASB 9 Financial Instruments effective from 1 October 2018 which has resulted in an $813 million increase to
Collectively Assessed Provisions for Credit Impairment.

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and
facility
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Dec 18
Original value securitised
Securitisation activity by underlying asset
type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised gain
or loss on sale
$M
Residential mortgage (66) 356 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (66) 356 - -

Securitisation activity by facility provided Notional amount
$M
Liquidity facilities -
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 97
Other -
Total 97


Sep 18
Original value securitised
Securitisation activity by underlying asset
type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised gain
or loss on sale
$M
Residential mortgage (72) 781 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (72) 781 - -

Securitisation activity by facility provided Notional amount
$M
Liquidity facilities -
Funding facilities 600
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (208)
Other 5
Total 397





9
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2018


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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 18
Original value securitised
Securitisation activity by underlying asset
type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised gain
or loss on sale
$M
Residential mortgage (66) (875) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (66) (875) - -

Securitisation activity by facility provided Notional amount
$M
Liquidity facilities (3)
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (236)
Other -
Total (239)



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.

ANZ Basel III Pillar 3 Disclosure December 2018


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

Dec 18 Sep 18 Jun 18
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities - - -
Funding facilities 6,939 6,924 7,173
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 1,818 1,721 1,929
Protection provided - - -
Other 112 104 116
Total 8,869 8,749 9,218


Dec 18 Sep 18 Jun 18
Securitisation exposure type - Off Balance Sheet $M $M $M
Liquidity facilities 12 13 13
Funding facilities 1,291 1,362 1,624
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 1,303 1,375 1,637


Dec 18 Sep 18 Jun 18
Total Securitisation exposure type $M $M $M
Liquidity facilities 12 13 13
Funding facilities 8,229 8,286 8,797
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 1,818 1,721 1,929
Protection provided - - -
Other 112 104 116
Total 10,171 10,124 10,855



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.

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 18 Leverage ratio

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

Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure
(expressed as a percentage) as defined by APS 110. APRA has not finalised a minimum Leverage Ratio requirement for
Australian ADIs, although the current BCBS requirement is for a minimum of 3%.

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

Dec 18 Sep 18 Jun 18 Mar 18
Capital and total exposures $M $M $M $M
20 Tier 1 capital 52,356 52,218 51,158 51,125
21 Total exposures 992,720 954,957 956,377 942,291
Leverage ratio
22 Basel III leverage ratio 5.3% 5.5% 5.3% 5.4%

ANZ Basel III Pillar 3 Disclosure December 2018


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Table 20 Liquidity Coverage Ratio disclosure template


Dec 18 Sep 18 Jun 18
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Liquid assets, of which:
 

 

 
1 High-quality liquid assets (HQLA) - 142,176 - 143,308 - 140,961
2 Alternative liquid assets (ALA) - 40,899 - 40,897 - 40,896
3 Reserve Bank of New Zealand (RBNZ)
securities
- 5,699 - 10,672 - 11,554
Cash outflows
4 Retail deposits and deposits from small
business customers
196,568 20,702 200,900 21,704 202,281 21,797
5 of which: stable deposits 76,098 3,805 76,278 3,814 76,751 3,838
6 of which: less stable deposits 120,470 16,897 124,622 17,890 125,530 17,959
7 Unsecured wholesale funding 203,583 115,711 191,856 106,859 191,333 108,219
8 of which: operational deposits (all
counterparties) and deposits in
networks for cooperative banks
57,906 13,820 57,716 13,760 57,657 13,787
9 of which: non-operational deposits
(all counterparties)
134,548 90,762 121,176 80,135 121,593 82,349
10 of which: unsecured debt 11,129 11,129 12,964 12,964 12,083 12,083
11 Secured wholesale funding - 1,721 - 1,679 - 272
12 Additional requirements 136,658 37,934 142,461 42,596 143,057 43,349
13 of which: outflows related to
derivatives exposures and other
collateral requirements
24,686 24,686 29,301 29,301 30,726 30,726
14 of which: outflows related to loss of
funding on debt products
- - - - - -
15 of which: credit and liquidity facilities 111,972 13,248 113,160 13,295 112,331 12,623
16 Other contractual funding obligations 10,119 - 10,200 - 10,244 -
17 Other contingent funding obligations 70,557 4,723 66,375 3,872 73,918 4,571
18 Total cash outflows 180,791 176,710 178,208
Cash inflows
19 Secured lending (e.g. reverse repos) 26,712 1,728 27,371 1,271 24,262 1,025
20 Inflows from fully performing exposures 29,119 19,000 29,633 19,433 30,890 20,646
21 Other cash inflows 16,829 16,829 19,211 19,211 20,789 20,789
22 Total cash inflows 72,660 37,557 76,215 39,915 75,941 42,460
23 Total liquid assets 188,774 194,877 193,411
24 Total net cash outflows 143,234 136,795 135,748
25 Liquidity Coverage Ratio (%) 131.8% 142.5% 142.5%
Number of data points used (simple
average)
Blank 66 65 65

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 31 December 2018 was 131.8% with total liquid assets exceeding net outflows
by an average of $45.5bn.

The main contributors to net outflows were modelled outflows associated with the bank’s corporate and retail deposit
portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives are material, these
are effectively offset by derivative cash inflows.

The composition of the liquid asset portfolio has remained relatively stable through the half, with HQLA securities and
cash making up on average 75% of total liquid assets.

The reduction in the RBNZ securities in the December quarter is due to a methodology change (industry wide) to
exclude surplus liquid assets held by ANZ Bank New Zealand Limited, from the Level 2 LCR. The ANZ Bank New
Zealand Limited liquidity position was not materially changed.

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

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

ANZ Basel III Pillar 3 Disclosure December 2018


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Glossary

ADI Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capital
charge
CVA charge is an additional capital requirement under Basel III for bilateral derivative
exposures. Derivatives not cleared through a central exchange/counterparty are
subject to this additional capital charge and also receive normal CRWA treatment under
Basel II principles.

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

Collective provision (CP) Collective provision under AASB 139 Financial Instruments (AASB 139) is the provision
for credit losses that are inherent in the portfolio but not able to be individually
identified. A collective provision may only be recognised when a loss event has already
occurred. Losses expected as a result of future events, no matter how likely, are not
recognised.

Credit exposure The aggregate of all claims, commitments and contingent liabilities arising from 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
(CVA)
Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value to
take into account the impact of counterparty credit quality. The methodology calculates
the present value of expected losses over the life of the financial instrument as a
function of probability of default, loss given default, expected credit risk exposure and
an asset correlation factor. Impaired derivatives are also subject to a CVA.

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
(IPC)
Individual provision charge is the amount of expected credit losses on financial
instruments assessed for impairment on an individual basis (as opposed to on a
collective basis). It takes into account expected cash flows over the lives of those
financial instruments.

Individually Assessed
Provisions for Credit
Impairment
Individually assessed provisions for credit impairment are calculated in accordance with
AASB 9 Financial Instruments (AASB 9). They are assessed on a case-by-case basis for
all individually managed impaired assets taking into consideration factors such as the
realisable value of security (or other credit mitigants), the likely return available upon
liquidation or bankruptcy, legal uncertainties, estimated costs involved in recovery, the
market price of the exposure in secondary markets and the amount and timing of
expected receipts and recoveries.

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

ANZ Basel III Pillar 3 Disclosure December 2018


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Market risk The risk to ANZ’s earnings arising from changes in interest rates, currency exchange
rates and credit spreads, or from fluctuations in bond, commodity or equity prices. ANZ
has grouped market risk into two broad categories to facilitate the measurement,
reporting and control of market risk:


Traded market risk - the risk of loss from changes in the value of financial instruments
due to movements in price factors for physical and derivative trading positions. Trading
positions arise from transactions where ANZ acts as principal with clients or with the
market.


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

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
Counterparties (QCCP)
QCCP is a central counterparty which is an entity that interposes itself between
counterparties to derivative contracts. Trades with QCCP attract a more favorable risk
weight calculation.


Recoveries Payments received and taken to profit for the current period for the amounts written off
in prior financial periods.


Restructured items Restructured items comprise facilities in which the original contractual terms have been
modified for reasons related to the financial difficulties of the customer. Restructuring
may consist of reduction of interest, principal or other payments legally due, or an
extension in maturity materially beyond those typically offered to new facilities with
similar risk.


Risk Weighted Assets (RWA) Assets (both on and off-balance sheet) are risk weighted according to each asset’s
inherent potential for default and what the likely losses would be in the case of default.
In the case of non asset backed risks (i.e. market and operational risk), RWA is
determined by multiplying the capital requirements for those risks by 12.5.


Securitisation risk The risk of credit related losses greater than expected due to a securitisation failing to
operate as anticipated, or of the values and risks accepted or transferred, not emerging
as expected.


Write-Offs Facilities are written off against the related provision for impairment when they are
assessed as partially or fully uncollectable, and after proceeds from the realisation of
any collateral have been received. Where individual provisions recognised in previous
periods have subsequently decreased or are no longer required, such impairment losses
are reversed in the current period income statement.

ANZ Basel III Pillar 3 Disclosure December 2018


16

























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ANZ Basel III Pillar 3 Disclosure December 2018


17

---

19 February 2019
AUSTRALIA & NEW ZEALAND BANKING GROUP LIMITED
DECEMBER 2018 BASEL III PILLAR 3 /
FIRST QUARTER FY19 CHART PACK
To be read in conjunction with ‘ANZ Basel III Pillar 3 disclosure as at 31 December 2018’
Longer term Pillar 3 trends available within the analyst toolkit on the ANZ shareholder website shareholder.anz.com

OVERVIEW
FINANCIAL INFORMATION AS AT 31 DECEMBER 2018
1
2
1. Growth rates refer to Dec 18 vs Sep 18 unless otherwise stated.
2. Source: APRA Monthly banking statistics
•Capital: Level 2 Common Equity Tier 1 (CET1) ratio 11.3% continues to meet APRA’s ‘unquestionably strong’
requirements well ahead of 2020 implementation
•Funding and liquidity: LCR 132% (Dec-18 quarter avg) and NSFR 114%. Both short term and long term funding
costs increased in the lead up to the Christmas period and into January. Spreads have however moderated in
recent weeks
•Credit quality: Gross impaired assets $2b, stable quarter on quarter. Total group residential mortgage 90+ day
past due loans (Aus, NZ & Standardised) 62bp, increased 1bp in the quarter. In Australia Division, gross impaired
assets increased 2% and residential mortgage 90+ day arrears increased 3bp (refer slide 6)
•Individual provisions: charge of $186m in the December quarter, $14m above 2H18 quarterly average of $172m.
Total provision charge was $156m
•Credit RWAs: $10b increase in the quarter, included +$4b in lending largely in the Corporate asset class. Other
movements included foreign exchange impacts, regulatory determined adjustments relating to Mortgagesand
improvement in the portfolio risk profile
•Lending volumes in the Australia Division declined in the quarter, housing portfolio contracted 0.2% ($534m)
2
•$6.3b of interest only loans switched to principal and interest in 1Q19, compared with $5.8b per quarter on
average of the 8 quarters from 1Q17 to 4Q18 (refer slide 7)

CAPITAL, LIQUIDITY & FUNDING
APRA LEVEL 2 CET1 RATIOFUNDING COSTS
%
%
%
3
1.Based on APRA information paper “Strengthening banking system resilience –establishing unquestionably strong capital ratios” released in July2017
2.Taking into consideration announced asset divestments yet to settle (~60bps) and ~$1b (~-25bps) remaining 2
nd
tranche of share buy back announced in June 2018
3.Average across senior USD, EUR & AUD
11.44
11.25
0.16
0.28
Share Buy BacksDec-18Sep-18DividendsAsset salesOrganic Cap
Gen & Other
-0.58
-0.05
9.6
9.5
10.1
9.8
10.6
10.8
11.0
11.1
11.4
11.3
Sep-16Mar-18Dec-16Mar-17Jun-18Jun-17Sep-17Dec-17Sep-18Dec-18
Dec 18 CET1 impacted by
payment of 2018 final
dividend
APRA LEVEL 2 CET1 RATIO -CAPITAL MOVEMENT
•APRA Level 2 CET1 ratio of 11.3% is in excess of APRA’s
‘unquestionably strong’ benchmark
1
well ahead of the 2020
implementation timeframe
•Funding and liquidity position remains strong with LCR 132%
(Dec-18 quarter avg) and NSFR 114% (as at 31-Dec-18)
•Both short term and long term funding costs increased in the
lead up to the Christmas period and into January. Spreads have
however moderated in recent weeks
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
Dec-
17
Sep-
17
Mar-
18
Jun-
18
Dec-
18
Sep-
18
3mth Bills/OIS spread (Current) (LHS)Marginal 5yr Wholesale Funding Cost (over 3mBBSW) (RHS)
3
Equivalent to ~11.6%
on a pro forma basis
2

PORTFOLIO MOVEMENT
4
RISK WEIGHTED ASSETS
1.Institutional RWAs are inclusive of Corporate Banking, transferred from Australia Division to Institutional in October 2017 and backdated to September 2016 for the purposes of chart time series
TOTAL RWA MOVEMENT DRIVERS
CREDIT RWA MOVEMENT DRIVERS
$b
$b
337.6
347.7
3.5
4.1
3.4
Dec-18Sep-18Data /
Methodology
changes
RiskFXLending Mvmt.
-0.9
390.8
398.4
10.1
0.4
Sep-18
-1.9
Credit RWAOp RWAMkt RWAIRRBB RWADec-18
-1.0
predominately from the
impact of regulatory
determined adjustments
TOTAL RISK WEIGHTED ASSETS BY CATEGORY
$b
FX accounted for
$3.5b of the
$10b increase in
CRWA in the
Dec-18 quarter
157
160
161
161
159
161
168
159
159
166
164
169
60
57
56
58
57
58
Sep-17
22
24
Sep-16
12
15
Mar-17Mar-18
409
11
Sep-18
10
Dec-18
398
391
396
391
398
Other
AustraliaInstitutional
New Zealand
TOTAL RISK WEIGHTED ASSETS BY DIVISION
1
200
199
204
202
198
201
152
143133
141
139
146
39
39
37
37
38
38
16
1716
18
Sep-16
17
Mar-18
396
Mar-17
391
Sep-17
Sep-18
13
Dec-18
409
398
391
398
Op-RWA
CRWA (ex. Insto)
Mkt. & IRRBB RWA
CRWA (Insto)

PORTFOLIO MOVEMENT
5
CREDIT RISK WEIGHTED ASSETS & EXPOSURE AT DEFAULT (EAD)
EXPOSURE AT DEFAULT (EAD) & CRWA/EAD
1
CREDIT RWA MOVEMENT BY SEGMENT
CREDIT RWA & EAD MOVEMENT BY ASSET CLASS
$b
$b
$b (Dec-18 vs Sep-18) FX Adjusted
1.EAD excludes Securitisation and Other assets whereas CRWA is inclusive as per APS 330
894
899
903
930
944
977
39.4
38.0
37.3
36.9
35.8
35.6
Sep-17Sep-16Mar-17Mar-18Sep-18Dec-18
CRWA/EAD %
EAD
337.6
347.7
3.5
3.0
4.4
FXSep-18Residential
Mortgage
OtherSovereign
& Banks
CorporateDec-18
-0.5
-0.3
3.0
4.4
-0.5
-0.3
0.8
8.1
12.6
0.7
Residential
Mortgage (Housing)
CorporateOtherSovereign & Bank
Credit RWAEAD
272
213
381
58
53
Sovereign & Banks
Other
Dec-18
QRR & Other Retail
Residential Mortgage
Corporate
977
Increase in
exposure to highly
rated sovereigns
Largely the impact of
regulatory determined
adjustments
Largely the impact of
regulatory determined
adjustments

CREDIT QUALITY
PROVISION CHARGE
PAST DUE LOANS > 90 DAYS AS A % OF EAD
%
6
1.Other includes Retail Asia & Pacific and Australia Wealth
2.Excluding unsecured 90 days past due
GROSSIMPAIRED ASSETS
1,2
$m
0
1,000
2,000
3,000
4,000
Mar-18
2,162
Dec-18Sep-16Dec-17Sep-17Jun-18Sep-18
3,172
2,384
2,034
1,877
2,0132,012
AustraliaOtherInstitutionalNew Zealand
0.56
0.55
0.59
0.60
0.62
0.63
0.61
0.62
0.39
0.44
0.500.50
0.56
0.58
0.62
0.64
Sep-17Sep-16Jun-18Mar-17Dec-17Mar-18Dec-18Sep-18
Total Group Residential MortgageRetail (Pillar 3 QRR & Other Retail categories)
573
599
325
462
308
246
220
210
160
183
186
319
448
-30
34
4Q18
43
4Q16
-10
-43
1Q163Q16
-18-17
283
2Q161Q19
-42
1Q17
-25
2Q17
-65
3Q174Q172Q181Q18
362
-4
-39
3Q18
-24
556
243
482
556
156
437
236
202
206
121
159
Individual Provision chargeCollective Provision charge
$m
Annualised
loss rate:
25bp
Annualised
loss rate:
19bp
Annualised
loss rate:
14bp
Annualised
loss rate:
10bp

•ANZ Home loan portfolio contracted $534m (-0.2%) in the
December quarter with owner-occupied and investor lending both
trending below system
1
•Interest only new business in the December quarter (1Q19) was
11.4% of total new business flows
•$6.3b of interest only loans switched to principal and interest in
1Q19, compared with $5.8b per quarter on average of the 8
quarters from 1Q17 to 4Q18
ANZAUSTRALIA RETAIL -VOLUMES
ANZ DECEMBER 2018 QUARTER HOUSING MOVEMENT
1
ANZ MORTGAGE LENDING
1
$b (Dec 18 v Sep 18)
% (12 month rolling growth)
7
HOUSING PORTFOLIO
1.ANZ analysis of APRA monthly banking statistics; 2.Includes construction loans; 3. includes securitisation; 4. ANZ Australia Division total housing portfolio
-5
0
5
10
15
Sep
17
Jun
18
Dec
16
Mar
17
Sep
18
Jun
17
Dec
17
Mar
18
Jan
19
Housing: Total (ANZ)Housing: Investor (ANZ)
Housing: Owner-occupied (ANZ)Housing: Total (SYSTEM)
Investor
1
Total housing
1,3
-1.1
Owner-Occupied
1
P&I
4
5.4
0.7
-0.5
Interest only
4
-6.2
Housing portfolio change(Dec 18 v Sep 18)
1
Total HousingOwner-occupiedInvestor
ANZ-0.2%+0.4%-1.4%
System+0.9%+1.3%+0.1%
$b
66
7
9
4
8
99
7
4
4
3
5
2
8
4
4
2
4
2H171H171H182H181H202H191H192H201H212H211H222H221H23+
Contractual conversionsEarly conversionsContractual (still to convert)
SWITCHING INTEREST ONLY TO PRINCIPAL & INTEREST
2
1Q19

AUSTRALIA HOME LOANS
UNDERWRITING PRACTICES AND POLICY CHANGES
1
-JUNE 2015 TO DECEMBER 2018
8
1. 2015 to 2018 material changes to lending standards and underwriting 2. Excludes investment lending for specific medical practitioners (eligible Medicos) where LVR cap is a maximum of 90% of lending. 3. Residential
Investment Loans 4. Equity Manager Accounts. 5. ANZ modelled outcome of 4 borrowing scenarios 2018 v 2015: i. Couple, no dependents, ii. Single, no dependents, iii. Couple 2 dependents, iv. Couple, no dependents, higher
income earners.
ANZ LVR caps
•
LVR cap reduced to 70% in high risk mining towns; reduced to 90% for investment loans; reduced to 80% for Interest Only (IO)
2
lending
•
Restricted newhousinglending (new security to ANZ) to max. 80% LVR for all apartments within 7 inner city Brisbane postcodes
•
Restricted investment lending (new security to ANZ) to max 80% LVR for all apartments within 4 inner city Perth postcodes
ANZ Assessment
•
Interest rate floor (new & existing lending) at 7.25% (implemented August 2015);
•
Income adjusted living expense floor (HEM); 20% haircut for overtime & commission;Increased income discount factor for residential rental income from 20% to 25%
•
Limited acceptance of foreign income to demonstrate serviceability and tightened controls on verification.
•
Minimum default housing expense (rent/board) applied to all borrowers not living in their own home & seeking RILs
3
or EMAs
4
•
IO renewals become Credit Critical events (full income verification & serviceability test) including P&I to IO & converting to or extending IO term
•
Enhanced Responsible Lending Requirements including additional enquiry and increase in minimum monthly credit card expense.
ANZProduct and otherlimitations
•
Decreased max. IO term of owner occupied loans & investor lending to 5 years;IO lending no longer available on new Simplicity PLUS owneroccupiedloans
•
Withdraw lending to non-residents; tightened acceptances for guarantees; clarifiedresidential lending to trading companies is not acceptable
CUSTOMER BORROWING CAPACITY
5
($)
ANZ PORTFOLIO BORROWING CAPACITY SUMMARY
Borrowing
capacity based
on policy at 2015
Income haircutsHEM changesServicing
rate floor
Borrowing
capacity 2018
Driversof reduction in borrowing capacity
45%40%15%
91%
89%89%89%
9%
11%11%
20162015
11%
20172018
Customers with additional borrowing capacity
Customers borrowing at maximum capacity
11% of
customers
borrowing at
their
maximum
capacity
>20% reduction in borrowing capacity

AUSTRALIA HOME LOANS
HOME LOANS –90+ DAYS PAST DUE (BY VINTAGE)
1
HOME LOANS PAST DUE LOANS
2
%
%
CREDIT QUALITY
9
1.Home loans 90+ dpdvintages % ratio of ever delinquent (measured by # accounts) contains at least 6 application months of that fiscal year contributing to each data point.
2.Includes Non Performing Loans. ANZ delinquencies calculated on a missed payment basis. The current classification of InvestorvsOwner Occupier, as reported to regulators and the market, is based on the classification
at origination (as advised by the customer) and the ongoing precision relies on the customers obligation to advise ANZ, and ANZ targeted activity to identify, any change in circumstances
Month on book
681012141618202224262830323436
2.2
0.8
0.0
0.2
1.0
0.4
0.6
1.2
1.4
1.6
1.8
2.0
FY18FY15FY16FY17
2.0
1.5
0.5
0.0
1.0
Sep
14
Sep
13
Sep
15
Sep
16
Sep
12
Sep
17
Dec
18
30+ DPD %90+ Owner Occupied90+ Investor
Australian Residential Mortgage 90+ day past
due loans (as a % of Residential Mortgage GLA)
increased 3bps in the December quarter
Since FY15, quality has improved year-on-year,
with FY17 & FY18 vintages performing better
than FY15 & FY16 vintages
HOME LOANS PAST DUE LOANS
2
%
0.0
0.5
1.0
1.5
2.0
2.5
VIC & TASWAQLDNSW & ACTSA & NTPortfolio
Sep 12Sep 15Sep 13Sep 14Sep 17Sep 16Sep 18Dec 18

10
FURTHER INFORMATION
Our Shareholderinformationshareholder.anz.com
DISCLAIMER & IMPORTANT NOTICE: The material in this presentation is general background
information about the Bank’s activities current at the date of the presentation. It is information
given in summary form and does not purport to be complete. It is not intended to be relied upon
as advice to investors or potential investors and does not take into account the investment
objectives, financial situation or needs of any particular investor. These should be considered, with
or without professional advice when deciding if an investment is appropriate
This presentation may contain forward-looking statements including statements regarding our
intent, belief or current expectations with respect to ANZ’s business and operations, market
conditions, results of operations and financial condition, capital adequacy, specific provisions and
risk management practices. When used in this presentation, the words “estimate”, “project”,
“intend”, “anticipate”, “believe”, “expect”, “should” and similar expressions, as they relate to ANZ
and its management, are intended to identify forward-looking statements. Readers are cautioned
not to place undue reliance on these forward-looking statements, which speak only as of the date
hereof. Such statements constitute “forward-looking statements” for the purposes of the United
States Private Securities Litigation Reform Act of 1995. ANZ does not undertake any obligation to
publicly release the result of any revisions to these forward-looking statements to reflect events or
circumstances after the date hereof to reflect the occurrence of unanticipated events.

---

Australia and New Zealand Banking Group Limited ABN 11 005 357 522
News Release
For release: 19 February 2019

ANZ Releases December 2018 APS330 Report and
provides update on mortgage volumes



ANZ today released its scheduled APRA APS330 report covering the quarter to 31 December
2018. Credit Quality remains stable with a Provision Charge of $156 million tracking below
the FY2018 quarterly average. The Group loss rate was 10 basis points
1
(14 bps 1Q18).
Group Common Equity Tier 1 (CET1) was 11.3% at the end of the quarter.

Consistent with usual practice, ANZ also released a chart pack to accompany the Pillar 3
disclosure. The chart pack once again includes an update on Australian housing mortgage
flows and credit quality.

Australia home loan system growth was 4.2%
2
in the 12 months to end December 2018.
ANZ’s Australian home loan portfolio grew 1.0% ($2.7 billion) in the same period with the
Owner Occupier portfolio up 3.5% ($6.1billion) and the Investor portfolio down 3.8%
($3.2 billion). In the 12 months to the end of January 2019, ANZ’s home loan portfolio grew
0.4%.

ANZ’s home lending growth trends are attributable to lower system growth, ANZ’s
preference for Owner Occupier/Principal and Interest lending which drives faster
amortisation, together with policy and process changes implemented in the second half of
calendar year 2018.

ANZ Chief Executive Officer Shayne Elliott said: “Consumer sentiment has remained
generally subdued with uncertainty around regulation and house prices impacting
confidence. While we are maintaining our focus on the Owner Occupier segment, we
acknowledge we may have been overly conservative in our implementation of some policy
and process changes. We are also taking steps to prudently increase volumes in the investor
space”.

Switching volumes for those moving from Interest Only to Principal and Interest during the
quarter was $6 billion, of which $4 billion was contractual. The total amount of contractual
switching scheduled for the reminder of FY19 is $12 billion. Customers choosing to convert
ahead of schedule during the first quarter was in line with the quarterly average for FY18
($2 billion). Total switching in FY18 was $24 billion.


For media enquiries contact:
Stephen Ries +61-409-655-551
Nick Higginbottom +61-403-936-262
For investor relations enquiries contact:
Jill Campbell +61-412-047-448
Cameron Davis +61-421-613-819



1
Annualised loss rate.
2
APRA monthly banking statistics data 12 months to end December 2018 versus the same period 2017.