APS 330 Pillar 3 Disclosure at 31 December 2019

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

20 February 2020

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





APS 330 Pillar 3 Disclosure at 31 December 2019

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 31 December 2019.
This has been approved for distribution by ANZ’s Continuous Disclosure Committee.

Yours faithfully




Simon Pordage
Company Secretary
Australia and New Zealand Banking Group Limited

2019 BASEL III PILLAR 3
DISCLOSURE
AS AT 31 DECEMBER 2019
APS 330:
PUBLIC DISCLOSURE

1





















































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 2019


2

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets
1


Dec 19 Sep 19 Jun 19
Risk Weighted Assets (RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 139,134 136,885 128,949
Sovereign 6,169 6,199 7,560
Bank 16,357 15,968 14,915
Residential Mortgage 106,549 105,491 101,452
Qualifying Revolving Retail 5,101 5,255 5,522
Other Retail 25,678 26,258 27,451
Credit risk weighted assets subject to Advanced IRB approach 298,988 296,056 285,849

Credit Risk Specialised Lending exposures subject to slotting approach
1
37,085 36,318 36,384

Subject to Standardised approach
Corporate 13,557 11,645 11,819
Residential Mortgage 214 216 335
Other Retail 48 50 78
Credit risk weighted assets subject to Standardised approach 13,819 11,911 12,232

Credit Valuation Adjustment and Qualifying Central Counterparties 7,817 8,682 6,489

Credit risk weighted assets relating to securitisation exposures 1,880 1,859 1,851
Other assets 4,603 3,280 3,307
Total credit risk weighted assets 364,192 358,106 346,112

Market risk weighted assets 5,728 5,307 5,292
Operational risk weighted assets 46,773 46,626 37,789
Interest rate risk in the banking book (IRRBB) risk weighted assets 7,461 6,922 7,150
Total Risk Weighted Assets 424,154 416,961 396,343

Capital ratios (%) Dec 19 Sep 19 Jun 19
Level 2 Common Equity Tier 1 capital ratio 10.9% 11.4% 11.8%
Level 2 Tier 1 capital ratio 12.8% 13.2% 13.8%
Level 2 Total capital ratio 15.2% 15.3% 15.5%

Basel III APRA level 2 CET1 Dec 19 Sep 19
Common Equity Tier 1 Capital 46,359 47,355
Total Risk Weighted Assets 424,154 416,961
Common Equity Tier 1 capital ratio 10.9% 11.4%

Basel III APRA level 1 Extended licensed entity CET1 Dec 19 Sep 19
Common Equity Tier 1 Capital 41,849 43,095
Total Risk Weighted Assets 383,575 379,539
Common Equity Tier 1 capital ratio 10.9% 11.4%

Credit Risk Weighted Assets (CRWA)
Total CRWA increased $6.1 billion (1.7%) from Sep 2019 to $364.2 billion at Dec 2019. The increase is driven by
lending growth in the Corporate asset class in the Institutional business across both Advanced IRB and exposures
receiving Standardised treatment. CRWA on Other assets increased $1.3 billion mainly due to recognition of on
balance sheet of right of use lease assets following implementation of IFRS 16 Leases on 1 October 2019.


Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA increased $0.4 billion (7.9%) over the quarter due to increase in Stress VaR.
IRRBB RWA Increased due to a deterioration in embedded gains and an increase 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 2019


3

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
2


Dec 19
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 139,134 280,704 278,651 38 22
Sovereign 6,169 166,395 159,668 - -
Bank 16,357 55,170 55,158 - -
Residential Mortgage 106,549 378,944 376,160 15 27
Qualifying Revolving Retail 5,101 16,327 16,487 39 57
Other Retail 25,678 35,754 36,038 82 101
Total Advanced IRB approach 298,988 933,294 922,162 174 207

Specialised Lending 37,085 43,903 43,626 - -

Standardised approach
Corporate 13,557 14,831 13,915 (9) -
Residential Mortgage 214 442 444 - -
Other Retail 48 47 48 - -
Total Standardised approach 13,819 15,320 14,407 (9) -

Credit Valuation Adjustment and
Qualifying Central Counterparties 7,817 8,133 8,741 - -

Total 357,709 1,000,650 988,936 165 207






2
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 2019


4

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


Sep 19
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 136,885 276,599 269,091 25 43
Sovereign 6,199 152,940 154,017 - -
Bank 15,968 55,145 53,877 - -
Residential Mortgage 105,491 373,376 374,775 (3) 33
Qualifying Revolving Retail 5,255 16,647 16,870 35 61
Other Retail 26,258 36,322 36,957 81 137
Total Advanced IRB approach 296,056 911,029 905,587 138 274
- -
Specialised Lending 36,318 43,348 43,375 (2) 1



Standardised approach
Corporate 11,645 12,998 13,052 2 19
Residential Mortgage 216 445 583 2 1
Other Retail 50 49 63 - 1
Total Standardised approach 11,911 13,492 13,698 4 21

Credit Valuation Adjustment and
Qualifying Central Counterparties
8,682 9,348 11,544 - -

Total 352,967 977,217 974,204 140 296

Jun 19
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 128,949 261,582 259,794 50 46
Sovereign 7,560 155,094 152,377 - -
Bank 14,915 52,608 53,819 - -
Residential Mortgage 101,452 376,173 377,843 40 34
Qualifying Revolving Retail 5,522 17,092 17,341 52 65
Other Retail 27,451 37,592 38,067 106 127
Total Advanced IRB approach 285,849 900,141 899,241 248 272

Specialised Lending 36,384 43,402 43,032 - -



Standardised approach
Corporate 11,819 13,106 13,313 9 7
Residential Mortgage 335 720 718 1 -
Other Retail 78 77 79 - 3
Total Standardised approach 12,232 13,903 14,110 10 10

Credit Valuation Adjustment and
Qualifying Central Counterparties
6,489 13,740 13,135 - -

Total 340,954 971,186 969,518 258 282

ANZ Basel III Pillar 3 Disclosure December 2019


5

Table 4(a) part (ii): Exposure at Default by portfolio type
3



Average for the
quarter ended
Dec 19
Sep 19 Jun 19 Dec 19
Portfolio Type $M $M $M $M
Cash 69,471 55,083 60,996 62,277
Contingents liabilities, commitments, and other off-balance
sheet exposures 164,703 160,293 160,633 162,498
Derivatives 48,818 53,716 46,354 51,267
Settlement Balances 1 26 28 14
Investment Securities 77,758 82,289 77,739 80,024
Net Loans, Advances & Acceptances 607,801 597,084 597,877 602,443
Other assets 4,608 4,627 4,914 4,618
Trading Securities 27,490 24,099 22,645 25,795
Total exposures 1,000,650 977,217 971,186 988,936






3
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 2019


6

Table 4(b): Impaired asset
4

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


Dec 19

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 - 1,013 201 390 38 22
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 489 2,743 130 15 27
Qualifying Revolving Retail - 66 - - 39 57
Other Retail - 415 401 223 82 101
Total Advanced IRB approach - 1,983 3,345 743 174 207

Specialised Lending - 30 31 5 - -

Portfolios subject to Standardised approach
Corporate - 125 16 80 (9) -
Residential Mortgage - 9 6 7 - -
Other Retail - 20 1 - - -
Total Standardised approach - 154 23 87 (9) -

Qualifying Central Counterparties - - - - - -

Total - 2,167 3,399 835 165 207






4
Impaired derivatives are net of credit valuation adjustment (CVA) of $4 million, being a market value based assessment of the credit
risk of the relevant counterparties (September 2019: $7 million; June 2019: $6 million).
5
Impaired loans / facilities include restructured items of $222 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 2019: $267 million; June 2019: $230 million).
6
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 2019


7

Table 4(b): Impaired asset, Past due loans, Provisions and Write-offs (continued)
7



Sep 19

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 - 1,038 248 369 25 43
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 438 2,943 137 (3) 33
Qualifying Revolving Retail - 69 - - 35 61
Other Retail - 442 379 221 81 137
Total Advanced IRB approach - 1,987 3,570 727 138 274

Specialised Lending - 31 33 5 (2) 1

Portfolios subject to Standardised approach
Corporate - 106 14 75 2 19
Residential Mortgage - 10 6 7 2 1
Other Retail - 15 1 - - 1
Total Standardised approach - 131 21 82 4 21

Qualifying Central Counterparties - - - - - -

Total - 2,149 3,624 814 140 296

Jun 19

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 - 1,018 205 386 50 46
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 476 2,869 168 40 34
Qualifying Revolving Retail - 80 - - 52 65
Other Retail - 493 376 255 106 127
Total Advanced IRB approach - 2,067 3,450 809 248 272

Specialised Lending - 33 31 6 - -

Portfolios subject to Standardised approach
Corporate - 125 13 88 9 7
Residential Mortgage - 18 13 9 1 -
Other Retail - 16 7 - - 3
Total Standardised approach - 159 33 97 10 10

Qualifying Central Counterparties - - - - - -

Total - 2,259 3,514 912 258 282


7
In the September 2019 half, ANZ implemented a revised process for the identification of impaired assets, and a more market
responsive collateral valuation methodology for the home loan portfolio in Australia which increased the number of home loans being
classified as impaired rather than past due. Comparative information has not been restated for the change in methodology. Additional
refinement to underlying processes and associated data resulted in the transfer of loans from past due and sub-standard categories into
impaired assets. Comparative information has been restated with a transfer of $144 million at June 2019.

ANZ Basel III Pillar 3 Disclosure December 2019


8

Table 4(c): Specific Provision Balance and General Reserve for Credit Losses
8



Dec 19
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 425 2,902 3,327
Individually Assessed Provisions 835 - 835
Total Provision for Credit Impairment 1,260 2,902 4,162


Sep 19
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 435 2,941 3,376
Individually Assessed Provisions 814 - 814
Total Provision for Credit Impairment 1,249 2,941 4,190


Jun 19
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 417 2,915 3,332
Individually Assessed Provisions 912 - 912
Total Provision for Credit Impairment 1,329 2,915 4,244






8
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.

ANZ Basel III Pillar 3 Disclosure December 2019


9

Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and
facility
9



Dec 19
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 (143) (6,221) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (143) (6,221) - -

Securitisation activity by facility provided
Notional amount
$M
Liquidity facilities -
Funding facilities 585
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 654
Other 25
Total 1,264


Sep 19
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 (152) (1,032) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (152) (1,032) - -

Securitisation activity by facility provided
Notional amount
$M
Liquidity facilities -
Funding facilities 35
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 104
Other 71
Total 210





9
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2019


10

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


Jun 19

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 1,429 441 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total 1,429 441 - -

Securitisation activity by facility provided
Notional amount
$M
Liquidity facilities 15
Funding facilities 1,100
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 59
Other 82
Total 1,256



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 2019


11

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

Dec 19 Sep 19 Jun 19
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities - - -
Funding facilities 7,052 7,679 7,619
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,577 1,923 1,819
Protection provided - - -
Other 338 437 261
Total 9,967 10,039 9,699


Dec 19 Sep 19 Jun 19
Securitisation exposure type - Off Balance Sheet $M $M $M
Liquidity facilities 23 25 26
Funding facilities 1,735 1,598 1,979
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 1,758 1,623 2,005


Dec 19 Sep 19 Jun 19
Total Securitisation exposure type $M $M $M
Liquidity facilities 23 25 26
Funding facilities 8,787 9,277 9,598
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,577 1,923 1,819
Protection provided - - -
Other 338 437 261
Total 11,725 11,662 11,704



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 2019


12


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

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

Dec 19 Sep 19 Jun 19 Mar 19
Capital and total exposures $M $M $M $M
20 Tier 1 capital 54,172 55,221 54,614 53,075
21 Total exposures 1,022,701 989,225 996,557 985,583

Leverage ratio

22 Basel III leverage ratio 5.3% 5.6% 5.5% 5.4%

ANZ Basel III Pillar 3 Disclosure December 2019


13

Table 20 Liquidity Coverage Ratio disclosure template


Dec 19 Sep 19 Jun 19

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) - 158,981 - 144,200 - 137,770
2 Alternative liquid assets (ALA) - 41,402 - 41,400 - 41,815
3 Reserve Bank of New Zealand (RBNZ)
securities
- 5,872 - 4,997 - 5,150
Cash outflows
4 Retail deposits and deposits from small
business customers
211,449 21,852 202,675 20,702 196,242 19,932
5 of which: stable deposits 81,912 4,096 78,262 3,913 76,070 3,804
6 of which: less stable deposits 129,537 17,756 124,413 16,789 120,172 16,128
7 Unsecured wholesale funding 211,756 115,753 208,233 114,820 199,950 110,313
8 of which: operational deposits (all
counterparties) and deposits in
networks for cooperative banks
65,792 15,856 64,317 15,552 60,514 14,670
9 of which: non-operational deposits
(all counterparties)
135,907 89,840 132,524 87,876 127,266 83,473
10 of which: unsecured debt 10,057 10,057 11,392 11,392 12,170 12,170
11 Secured wholesale funding 1,412 513 168
12 Additional requirements 140,594 38,768 143,054 40,181 139,289 37,855
13 of which: outflows related to
derivatives exposures and other
collateral requirements
22,915 22,915 24,736 24,736 22,724 22,724
14 of which: outflows related to loss of
funding on debt products
- - - - - -
15 of which: credit and liquidity facilities 117,679 15,853 118,318 15,445 116,565 15,131
16 Other contractual funding obligations 10,661 - 10,892 - 11,403 -
17 Other contingent funding obligations 75,473 4,813 66,370 3,985 67,841 4,795
18 Total cash outflows 182,598 180,201 173,063
Cash inflows
19 Secured lending (e.g. reverse repos) 27,329 1,480 30,556 1,901 28,145 1,732
20 Inflows from fully performing exposures 29,791 19,130 37,335 26,443 37,147 25,744
21 Other cash inflows 16,031 16,031 18,235 18,235 16,680 16,680
22 Total cash inflows 73,151 36,641 86,126 46,579 81,972 44,156
23 Total liquid assets 206,255 190,597 184,735
24 Total net cash outflows 145,957 133,622 128,907
25 Liquidity Coverage Ratio (%) 141.3% 142.6% 143.3%
Number of data points used (simple average) 66 66 65

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 31 December 2019 was 141.3% with total liquid assets exceeding net outflows
by an average of $60.3b.

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

The composition of the liquid asset portfolio has remained relatively stable through the quarter, with HQLA securities
and cash making up on average 77% of total liquid assets.

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

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

ANZ Basel III Pillar 3 Disclosure December 2019


14


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.

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.

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

ANZ Basel III Pillar 3 Disclosure December 2019


15

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 2019


16


























This page has been intentionally left blank

ANZ Basel III Pillar 3 Disclosure December 2019


17