ANZ’s March 2020 Pillar 3 disclosure

Australia and New Zealand Banking Group Limited ABN 11 005 357 522
ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008
30 April 2020
Market Announcements Office
ASX
Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 March 2020
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 31 March 2020.
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

AS AT 31 MARCH 2020
APS 330: PUBLIC DISCLOSURE
2020
BASEL III PILLAR 3
DISCLOSURE

ANZ Basel III Pillar 3 Disclosure March 2020
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 March 2020
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Table of Contents
1

Chapter 1 – Introduction .................................................................................................... 3
Purpose of this document ............................................................................................. 3

Chapter 2 – Capital and capital adequacy ............................................................................. 4
Table 1 Capital disclosure template ........................................................................... 5
Table 2 Main features of capital instruments ............................................................ 14
Table 6 Capital adequacy ....................................................................................... 15

Chapter 3 – Credit risk ..................................................................................................... 17
Table 7 Credit risk – General disclosures ................................................................. 17
Table 8 Credit risk – Disclosures for portfolios subject to the Standardised approach
and supervisory risk weights in the IRB approach .......................................... 30
Table 9 Credit risk – Disclosures for portfolios subject to Advanced IRB approaches ...... 31
Table 10 Credit risk mitigation disclosures ................................................................. 39
Table 11 Counterparty Credit Risk ............................................................................ 42

Chapter 4 – Securitisation ................................................................................................ 44
Table 12 Banking Book - Securitisation disclosures ..................................................... 44
Trading Book - Securitisation disclosures ...................................................... 51

Chapter 5 – Market risk ................................................................................................... 52
Table 13 Market risk – Standard approach ................................................................. 52
Table 14 Market risk – Internal models approach........................................................ 53

Chapter 6 – Equities ....................................................................................................... 55
Table 16 Equities – Disclosures for banking book positions .......................................... 55

Chapter 7 – Interest Rate Risk in the Banking Book ............................................................. 56
Table 17 Interest Rate Risk in the Banking Book ........................................................ 56

Chapter 8 – Leverage and Liquidity Ratio ........................................................................... 57
Table 18 Leverage Ratio .......................................................................................... 57
Table 19 Summary comparison of accounting assets vs. leverage ratio exposure
measure .................................................................................................. 58
Table 20 Liquidity Coverage Ratio ............................................................................. 59
Table 21 NSFR disclosure template ........................................................................... 60

Glossary ......................................................................................................................... 62








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

ANZ Basel III Pillar 3 Disclosure March 2020
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Chapter 1 - Introduction
Purpose of this document

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

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

Pillar 1
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 in ANZ

In December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel for credit risk
and operational risk, complementing its accreditation for market risk. Effective January 2013, ANZ adopted APRA
requirements for Basel III with respect to the measurement and monitoring of regulatory capital.
Verification of disclosures

These Pillar 3 disclosures have been verified in accordance with Board approved policy, including ensuring consistency
with information contained in ANZ’s Financial Report and in Pillar 1 returns provided to APRA. In addition ANZ’s
external auditor has performed an agreed upon procedure review with respect to these disclosures.
Comparison to ANZ’s Financial Reporting

These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather than
with accounting policies adopted in ANZ’s financial reports. As such, there are different areas of focus and measures in
some common areas of disclosures. These differences are most pronounced in the credit risk disclosures, for instance:

 The principal method for measuring the amount at risk is Exposure at Default (EAD), which is the estimated
amount of exposure likely to be owed on a credit obligation at the time of default. Under the Advanced Internal
Ratings Based (AIRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk,
banks are accredited to provide their own estimates of EAD for all exposures (drawn, commitments or contingent
liabilities) reflecting the current balance as well as the likelihood of additional drawings prior to default.
 Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is
essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well
as any post default repayments of principal and interest.
 Most credit risk disclosures split ANZ’s portfolio into regulatory asset classes, which span different areas of ANZ’s
internal divisional and business unit organisational structure.
Unless otherwise stated, all amounts are rounded to AUD millions.



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

ANZ Basel III Pillar 3 Disclosure March 2020
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Chapter 2 – Capital and Capital Adequacy
Table 1 Capital Disclosure template

The head of the Level 2 Group to which this prudential standard applies is Australia and New Zealand Banking Group
Limited.

Table 1 of this chapter consists of a Capital Disclosure template that assists users in understanding the differences
between the application of the Basel III reforms in Australia and those rules as detailed in the document Basel III: A
global regulatory framework for more resilient banks and banking systems, issued by the Bank for International
Settlements.

The information in the lines of the template has been mapped to ANZ’s Level 2 balance sheet, which adjusts for non-
consolidated subsidiaries as required under APS 001: Definitions. Where this information cannot be mapped on a one
to one basis, it is provided in an explanatory table. ANZ’s material non-consolidated subsidiaries are also listed in this
chapter.
Restrictions on Transfers of Capital within ANZ

ANZ operates branches and locally incorporated subsidiaries in many countries. These operations are capitalised at an
appropriate level to cover the risks in the business and to meet local prudential requirements. This level of
capitalisation may be enhanced to meet local taxation and operational requirements. Any repatriation of capital from
subsidiaries or branches is subject to meeting the requirements of the local prudential regulator and/or the local
central bank. Apart from ANZ’s operations in New Zealand, local country capital requirements do not impose any
material call on ANZ’s capital base.

ANZ undertakes banking activities in New Zealand principally through its wholly owned subsidiary, ANZ Bank New
Zealand Limited, which is subject to minimum capital requirements as set by the Reserve Bank of New Zealand
(RBNZ). The RBNZ adopted the Basel II framework, effective from 1 January 2008 and Basel III reforms from 1
January 2013. ANZ Bank New Zealand Limited has been accredited to use the advanced approach for the calculation of
credit risk and standardised approach for operational risk. ANZ Bank New Zealand Limited maintains a buffer above
the minimum capital base required by the RBNZ. This capital buffer has been calculated via the ICAAP undertaken for
ANZ Bank New Zealand Limited, to ensure ANZ Bank New Zealand Limited is appropriately capitalised under stressed
economic scenarios.

With effect from 2 April 2020, the RBNZ amended ANZ Bank New Zealand Limited Conditions of Registration to
(among other things) prohibit ANZ Bank New Zealand Limited from making distributions other than discretionary
payments payable to holders of Additional Tier 1 capital instruments. This initiative further supports the stability of the
financial system by maintaining higher levels of capital during the period of falling economic activity resulting from the
COVID-19 pandemic. As a result, whilst the amendments are in place, ANZ Bank New Zealand Limited will be
prevented from paying dividends to ANZ.

ANZ Basel III Pillar 3 Disclosure March 2020
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Table 1 Capital disclosure template


Mar-20 Reconciliation
Table
$M Reference
Common Equity Tier 1 Capital: instruments and reserves
1 Directly issued qualifying ordinary shares (and equivalent for mutually-owned entities) capital 26,137 Table A
2 Retained earnings 32,064 Table B
3 Accumulated other comprehensive income (and other reserves) 3,010 Table C
4 Directly issued capital subject to phase out from CET1 (only applicable to mutually-owned
companies)
n/a
5
Ordinary share capital issued by subsidiaries and held by third parties (amount allowed in
group CET1)
4 Table D
6 Common Equity Tier 1 capital before regulatory adjustments 61,215

Common Equity Tier 1 capital : regulatory adjustments
7 Prudential valuation adjustments -
8 Goodwill (net of related tax liability) 3,620
9 Other intangibles other than mortgage servicing rights (net of related tax liability) 1,342 Table E
10 Deferred tax assets that rely on future profitability excluding those arising from temporary
differences (net of related tax liability)
-

11 Cash-flow hedge reserve 874
12 Shortfall of provisions to expected losses -

13 Securitisation gain on sale -

14 Gains and losses due to changes in own credit risk on fair valued liabilities 119
15 Defined benefit superannuation fund net assets 306 Table G
16 Investments in own shares (if not already netted off paid-in capital on reported balance sheet) -

17 Reciprocal cross-holdings in common equity -

18 Investments in the capital of banking, financial and insurance entities that are outside the
scope of regulatory consolidation, net of eligible short positions, where the ADI does not own
more than 10% of the issued share capital (amount above 10% threshold)
-

19
Significant investments in the ordinary shares of banking, financial and insurance entities that
are outside the scope of regulatory consolidation, net of eligible short positions (amount above
10% threshold)
-

20 Mortgage service rights (amount above 10% threshold)
-

21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of
related tax liability)
-

22 Amount exceeding the 15% threshold
-

23 of which: significant investments in the ordinary shares of financial entities
-

24 of which: mortgage servicing rights
-

25 of which: deferred tax assets arising from temporary differences
-

26 National specific regulatory adjustments (sum of rows 26a - 26j) 6,773
26a of which: treasury shares -

26b of which: offset to dividends declared under a dividend reinvestment plan (DRP), to the
extent to that the dividends are used to purchase new ordinary shares issued by the ADI
-

26c of which: deferred fee income
(94)
26d of which: equity investment in financial institutions not reported in rows 18, 19 and 23 3,915 Table H
26e of which: deferred tax assets not reported in rows 10, 21 and 25 1,815 Table I
26f of which: capitalised expenses 932 Table J
26g of which: investments in commercial (non-financial) entities that are deducted under APRA
rules
37 Table K
26h of which: covered bonds in excess of asset cover in pools -

26i of which: undercapitalisation of a non-consolidated subsidiary -

26j of which: other national specific regulatory adjustments not reported in rows 26a to 26i 18
27 Regulatory adjustments applied to CET1 due to insufficient Additional Tier 1 and Tier 2 to
cover deductions
-

28 Total regulatory adjustments to CET1 12,884

29 Common Equity Tier 1 capital (CET1) 48,331

ANZ Basel III Pillar 3 Disclosure March 2020
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Table 1 Capital disclosure template


Mar-20 Reconciliation
Table
$M Reference
Additional Tier 1 Capital: instruments
30 Directly issued qualifying Additional Tier 1 instruments
7,869 Table
L
31 of which: classified as equity under applicable accounting standards
-

32 of which: classified as liabilities under applicable accounting standards
7,869 Table
L
33 Directly issued capital instruments subject to phase out from Additional Tier 1
-

34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by
subsidiaries and held by third parties (amount allowed in group AT1)
319 Table
L
35 of which: instruments issued by subsidiaries subject to phase out
n/a
36 Additional Tier 1 capital before regulatory adjustments 8,188


Additional Tier 1 Capital: regulatory adjustments
-
37 Investments in own Additional Tier 1 instruments
-

38 Reciprocal cross-holdings in Additional Tier 1 instruments
-

39 Investments in the capital of banking, financial and insurance entities that are outside the
scope of regulatory consolidation, net of eligible short positions, where the ADI does not own
more than 10% of the issued share capital (amount above 10% threshold)
-

40 Significant investments in the capital of banking, financial and insurance entities that are
outside the scope of regulatory consolidation, (net of eligible short positions)
155 Table
L
41 National specific regulatory adjustments (sum of rows 41a - 41c)
69
41a of which: holdings of capital instruments in group members by other group members on
behalf of third parties
-

41b of which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidations not reported in rows 39 and 40
69 Table
L
41c of which: other national specific regulatory adjustments not reported in rows 41a and 41b
-

42 Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 cover deductions
-

43 Total regulatory adjustments to Additional Tier 1 capital 224

44 Additional Tier 1 capital (AT1) 7,964

45 Tier 1 Capital (T1=CET1+AT1) 56,295

Tier 2 Capital: instruments and provisions -
46 Directly issued qualifying Tier 2 instruments
11,562 Table M
47 Directly issued capital instruments subject to phase out from Tier 2
485 Table M
48
Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by
subsidiaries and held by third parties (amount allowed in group T2)
64
49 of which: instruments issued by subsidiaries subject to phase out
-
Table M
50 Provisions
1,253 Table F
51 Tier 2 capital before regulatory adjustments 13,364

Tier 2 Capital: regulatory adjustments


52 Investments in own Tier 2 instruments
50 Table M
53 Reciprocal cross-holdings in Tier 2 instruments
-

54 Investments in the Tier 2 capital of banking, financial and insurance entities that are outside
the scope of regulatory consolidation, net of eligible short positions, where the ADI does not
own more than 10% of the issued share capital (amount above 10%
-

55 Significant investments in the Tier 2 capital of banking, financial and insurance entities that
are outside the scope of regulatory consolidation, net of eligible short positions
85 Table M
56 National specific regulatory adjustments (sums of rows 56a - 56c)
117
56a of which: holdings of capital instruments in group members by other group members on
behalf of third parties
-

56b of which: investments in the capital of financial institutions that are outside the scope of
regulatory consolidation not reported in rows 54 and 55
117 Table M
56c of which: other national specific regulatory adjustments not reported in rows 56a and 56b
-

57 Total regulatory adjustment to Tier 2 capital 252

58 Tier 2 capital (T2) 13,112

59 Total capital (TC=T1+T2) 69,407

60 Total risk-weighted assets based on APRA standards 449,012

ANZ Basel III Pillar 3 Disclosure March 2020
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Table 1 Capital disclosure template
3



Reconciliation
Table
Reference

Capital ratios and buffers

61 Common Equity Tier 1 ( as a percentage of risk-weighted assets) 10.8%
62 Tier 1 (as a percentage of risk-weighted assets) 12.5%
63 Total capital (as a percentage of risk-weighted assets) 15.5%
64 Institution specific buffer requirement (minimum CET1 requirement plus capital conservation
buffer plus countercyclical buffer requirements plus G-SIBs buffer requirement, expressed as a
percentage of risk-weighted assets)
8.014%
65 of which: capital conservation buffer requirement
3
3.5%
66 of which: ADI-specific countercyclical buffer requirements 0.014%
67 of which: G-SIB buffer requirement (not applicable) n/a
68 Common Equity Tier 1 available to meet buffers (as a percentage of risk-weighted assets) 6.3%
National minima (if different from Basel III) -

69 National Common Equity Tier 1 minimum ratio (if different from Basel III minimum) n/a
70 National Tier 1 minimum ratio (if different from Basel III minimum) n/a
71 National total capital minimum ratio (if different from Basel III minimum) n/a
Amount below thresholds for deductions (not risk-weighted) -

72 Non-significant investments in the capital of other financial entities 318
73 Significant investments in the ordinary shares of financial entities 3,782 Table H
74 Mortgage servicing rights (net of related tax liability) n/a
75 Deferred tax assets arising from temporary differences (net of related tax liability) 1,815 Table I
Applicable caps on the inclusion of provisions in Tier 2 -

76 Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised
approach (prior to application of cap)
190 Table F
77 Cap on inclusion of provisions in Tier 2 under standardised approach 334
78 Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-
based approach (prior to application of cap)
1,063 Table F
79 Cap for inclusion of provisions in Tier 2 under internal ratings-based approach 2,156
Capital instruments subject to phase-out arrangements (only application between 1
January 2018 to 1 January 2022)
-

80 Current cap on CET1 instruments subject to phase out arrangements n/a
81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) n/a
82 Current cap on AT1 instruments subject to phase out arrangements n/a
83 Amount excluded from AT1 instruments due to cap (excess over cap after redemptions and
maturities)
-

84 Current cap on T2 instruments subject to phase out arrangements n/a
85 Amount excluded from T2 due to cap (excess over cap after redemption and maturities) -


Counter Cyclical Capital Buffer

Geographic breakdown of Private
Sector Credit Exposures
Hong Kong
$M
Luxembourg
$M
Norway
$M
Other
$M
Total
$M
RWA for all private sector credit
exposures
4,694 5 390 350,761 355,850
Jurisdictional buffer set by national
authorities
1.000% 0.250% 1.000% - -
Countercyclical buffer requirement
0.013% 0.000% 0.001% - 0.014%




3
Includes 1.0% buffer applied by APRA to ADI’s deemed as domestic systemically important.

ANZ Basel III Pillar 3 Disclosure March 2020
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The following table shows ANZ's consolidated balance sheet and the adjustments required to derive the Level 2
Balance Sheet. The adjustments remove the external assets and liabilities of the entities deconsolidated for prudential
purposes and reinstate any intragroup assets and liabilities, treating them as external to the Level 2 Group.


Balance
Sheet as in
published
financial
statements
Adjustments Balance
sheet under
scope of
regulatory
consolidation
Template and
Reconciliation
Table
Reference
Assets $M $M $M
Cash and Cash Equivalents 143,093 (85) 143,008
Settlement Balances owed to ANZ 6,961 - 6,961
Collateral Paid 16,762 - 16,762
Trading securities 49,068 - 49,068
of which: Financial Institutions capital instruments 85 Table M
Derivative financial instruments 173,677 - 173,677
Investment Securities 85,923 (602) 85,321
of which: significant investment in financial institutions equity
instruments
1,053 Table H
of which: non-significant investment in financial institutions
equity instruments
133 Table H
of which: Other entities equity investments 30 Table K
of which: collectively assessed provision (15)
Net loans and advances 656,609 (2,108) 654,501
of which: deferred fee income (94) Row 26c
of which: collectively assessed provision (3,614) Table F
of which: individual provisions (1,055) Table F
of which: capitalised brokerage 866 Table J
of which: CET1 margin lending adjustment 18 Row 26j
of which: AT1 margin lending adjustment -
Regulatory deposits 804 - 804
Due from controlled entities - 2,062 2,062
of which: Significant investments in the Tier 2 "capital of
banking, financial and insurance entities" that are outside the
scope of regulatory consolidation
85 Table M
Shares in controlled entities blank 656 656
of which: Investment in deconsolidated financial subsidiaries 501 Table H
of which: AT1 significant investment in banking, financial and
insurance entities that are outside the scope of regulatory
consolidation
155 Table L
Investment in associates 2,313 (1) 2,312
of which: Financial Institutions 2,308 Table H
of which: Other Entities 4 Table K
Current tax assets 452 - 452
Deferred tax assets 1,816 (1) 1,815 Table I
Goodwill and other intangible assets 4,957 (74) 4,883
of which: Goodwill 3,620 Row 8
of which: Software 1,263 Table E
Premises and equipment 3,211 - 3,211
Other assets 4,309 (155) 4,154
of which: Defined benefit superannuation fund net assets 381 Table G
Total Assets
1,149,955 (308) 1,149,647

ANZ Basel III Pillar 3 Disclosure March 2020
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Balance
Sheet as in
published
financial
statements
Adjustments Balance
sheet under
scope of
regulatory
consolidation
Template and
Reconciliation
Table
Reference
Liabilities $M $M $M
Settlement Balances owed by ANZ 22,314 - 22,314
Collateral Received 17,463 - 17,463
Deposits and other borrowings 726,909 - 726,909
Derivative financial instruments 167,364 - 167,364
Due to controlled entities - 2,580 2,580
Current tax liabilities 244 (37) 207
Deferred tax liabilities 94 - 94 Table I
of which: related to capitalised expenses 5 Table J
of which: related to defined benefit super assets 75 Table G
Employee entitlements 635 635
Other Provisions 2,773 (112) 2,661
of which: collectively assessed provision 872 Table F
of which: individually assessed provision 38 Table F
Payables and other liabilities 10,536 (501) 10,035
Debt Issuances 140,248 (2,143) 138,105
of which: Directly issued qualifying Additional Tier 1
instruments
7,944
of which: Additional Tier 1 Instruments 487 Table L
of which: Directly issued capital instruments subject to phase
out from Tier 2
485 Table M
of which: Directly issued qualifying Tier 2 instruments 11,959 Table N
Total Liabilities 1,088,580 (213) 1,088,367


Net Assets 61,375 (95) 61,280



Balance
Sheet as in
published
financial
statements
Adjustments Balance
sheet under
scope of
regulatory
consolidation
Template and
Reconciliation
Table
Reference
Shareholders’ equity $M $M $M
Ordinary Share Capital 26,440 (77) 26,363 Table A
of which: Share reserve 226 Tables A & C
Reserves 2,851 (9) 2,842 Table C
of which: Cash flow hedging reserves 874 Row 11
Retained earnings 32,073 (9) 32,064 Row 2
Share capital and reserves attributable to shareholders of
the company
61,364 (95) 61,269
Non-controlling interests 11 11 Table D
Total Shareholders' Equity 61,375 (95) 61,280

ANZ Basel III Pillar 3 Disclosure March 2020
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The following reconciliation tables provide additional information on the difference between Table 1 Capital Disclosure
Template and the Level 2 Balance Sheet.

Mar 20 Table 1
Table A $M Reference
Issued capital 26,363
Less Reclassification to Reserves (226) Table C

Regulatory Directly Issued qualifying ordinary shares 26,137 Row 1


Mar 20 Table 1
Table B $M Reference
Retained Earnings 32,064

Total Liabilities
32,064 Row 2

Mar 20 Table 1
Table C $M Reference
Reserves 2,842
Add Reclassification from Issued Capital 226 Table A
Less Non qualifying reserves (58)
Reserves for Regulatory capital purposes (amount allowed in group CET1) 3,010 Row 3


Mar 20 Table 1
Table D $M Reference
Non-controlling interests 11
Less Surplus capital attributable to minority shareholders (7)

Ordinary share capital issued by subsidiaries and held by third parties 4 Row 5


Mar 20 Table 1
Table E $M Reference
Software 1,263
Add Other intangible assets -
Less Associated deferred tax liabilities (1)
Add Regulatory reclassification from significant investments in the ordinary shares of banking,
financial and insurance entities outside the scope of regulatory consolidation
80 Table H

Other intangibles other than mortgage servicing rights (net of related tax liability) 1,342 Row 9





Mar 20 Table 1
Table F $M Reference
Qualifying collective provision
Collectively assessed provision on Loans and advances (3,614)
Collectively assessed provision on Investment Securities (15)
Collectively assessed provision on Undrawn and contingent facilities (872)
Less
Non-qualifying collectively assessed provision 473
Less
Standardised collectively assessed provision 190 Row 50 & 76
Less
Non-defaulted expected loss 2,775
Non-Defaulted: Expected Loss - Eligible Provision Shortfall/(Surplus) (1,063) Row 50 & 78
Qualifying individual provision
Individually assessed provision on loans and advances (1,055)
Individually assess ed provision on Undrawn and contingent facilities (38)
Add Additional individually assessed provision for partial write offs (289)
Less Standardised individually assessed provision 71
Add Collectively assessed provision on advanced defaulted (440)
Less Defaulted expected loss 1,744

Defaulted: Expected Loss - Eligible Provision Shortfall/(Surplus) (7)

Gross deduction - Row 12

ANZ Basel III Pillar 3 Disclosure March 2020
11


Mar 20 Table 1
Table G $M Reference
Defined benefit superannuation fund net assets 381
Less Associated deferred tax liabilities (75)

Defined benefit superannuation fund net assets 306 Row 15

Mar 20 Table 1
Table H $M Reference
Investment in deconsolidated financial subsidiaries 501
Less Regulatory reclassification to Retained Earnings and Other Intangible Assets (80) Table E
Add Investment in financial associates 2,308
Add Investment in financial institutions Investment Securities 1,053
Less Goodwill component of investments in financial associates -
Less Amount below 10% threshold of CET1 (3,782)
Significant investments in the ordinary shares of banking, financial and insurance entities that
are outside the scope of regulatory consolidation, net of eligible short positions (amount above
10% threshold)
-
Add Deduction amount below the 10% threshold of CET 1 3,782 Row 73
Add Investments in the capital of banking, financial and insurance entities that are outside the scope
of regulatory consolidation, net of eligible short positions, where the ADI does not own more than
10% of the issued share capital – Investment Securities
133

Equity investment in financial institutions not reported in rows 18, 19 and 23 3,915 Row 26d

Deduction for equity holdings in financial institutions - APRA regulations 3,915



Mar 20 Table 1
Table I $M Reference
Deferred tax assets 1,815 Row 75
Less Deferred tax liabilities (94)
Deferred tax asset less deferred tax liabilities 1,721
Add Deferred tax liabilities on intangible assets, capitalised expenses and defined benefit super assets 81
Add Impact of calculating the deduction on a jurisdictional basis 13
Deferred tax assets not reported in rows 10, 21 and 25 of the Common Disclosure
Template
1,815 Row 26e


Mar 20 Table 1
Table J $M Reference
Capitalised brokerage costs 866
Capitalised debt and capital issuance expenses 71
Less Associated deferred tax liabilities (5)

Capitalised expenses 932 Row 26f

Mar 20 Table 1
Table
K $M Reference
Investments in non financial Investment Securities equities 30
Investments in non financial associates 4
Non financial equity exposures (loans) 3

Equity exposures to non financial entities 37 Row 26g

ANZ Basel III Pillar 3 Disclosure March 2020
12




Mar 20 Table 1
Table L $M Reference
Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities 7,943
Add Issue costs 22
Add Fair value adjustment (96)

Directly issued qualifying Additional Tier 1 Capital Instruments classified as liabilities 7,869 Row 30
Additional Tier 1 instruments issued by subsidiaries held by third parties 487
Add Issue costs -
Less Surplus capital attributable to third party holders (168)
AT1 Instruments issued by subsidiaries and held by third parties (amounts allowed in Group AT1) 319 Row 34

Additional Tier 1 capital before regulatory adjustments 8,188 Row 36
Less Significant investments in the capital of banking, financial and insurance entities that are outside
the scope of regulatory consolidation
(155) Row 40
Investments in the capital of financial institutions that are outside the scope of regulatory
consolidations not reported in rows 39 and 40
(69) Row 41b

Additional Tier 1 capital 7,964 Row 44





Mar 20 Table 1
Table M $M Reference
Directly issued capital instruments subject to phase out from Tier 2 485
Less Amortisation of Tier 2 Capital Instruments subject to Phase out -
Less Fair value adjustment -

Directly issued capital instruments subject to phase out from Tier 2 485 Row 47
Add Surplus capital attributable to third party holders 64
Add Directly issued qualifying Tier 2 instruments 11,959 Row 46
Add Issue costs 20 Row 46
Add Fair value adjustment (417) Row 46
Add Eligible Provision Surplus plus Standardised Collective Provision 1,253 Table F

Tier 2 capital before regulatory adjustments 13,364 Row 51
Less Investments in own Tier 2 instruments (trading limit) (50) Row 52
Less Significant investments in the Tier 2 capital of banking, financial and insurance entities that are
outside the scope of regulatory consolidation, net of eligible short positions
(85) Row 55
Less Investments in the capital of financial institutions that are outside the scope of regulatory
consolidation not reported in rows 54 and 55
(117) Row 56b

Tier 2 capital 13,112 Row 58

ANZ Basel III Pillar 3 Disclosure March 2020
13


The following table provides details of entities included within the accounting scope of consolidation but excluded from
regulatory consolidation.

Total Assets Total Liabilities
Entity Activity $M $M
ACN 008 647 185 Pty Ltd Holding Company - -
ANZ ILP Pty Ltd Incorporated Legal Practice 2 -
ANZ Investment Services (New Zealand) Limited Funds Management 40 12
ANZ Lenders Mortgage Insurance Pty. Limited Mortgage insurance 975 535
ANZ Pensions (UK) Limited Trustee/Nominee - -
ANZ Life Assurance Company Pty. Ltd Insurance - -
ANZ New Zealand Investments Limited Funds Management 136 43
ANZ New Zealand Investments Nominees Limited Nominee - -
ANZ Self Managed Super Pty Limited Investment - -
ANZ Wealth Australia Limited Holding Company /
Corporate
60 22
ANZ Wealth New Zealand Limited Holding Company 127 -
ANZcover Insurance Private Ltd Captive-Insurance 218 107
AUT Administration Pty Ltd Dormant - -
Kingfisher Trust 2016-1 Securitisation Trust 896 896
Kingfisher Trust 2019-1 Securitisation Trust 1,256 1,256
Looking Together Pty Ltd Property Price Information - -
Shout for Good Pty. Ltd. Corporate - -
Tandem Financial Advice Pty Limited Advice - -
Union Investment Company Pty Limited Advice - -

ANZ Basel III Pillar 3 Disclosure March 2020
14



Table 2 Main features of capital instruments
As the main features of ANZ’s capital instruments are updated on an ongoing basis, ANZ has provided this information
separately in the Regulatory Disclosures section of its website.
Table 3 Capital adequacy, Table 4 Credit risk, Table 5 Securitisation
The above tables are produced at the quarters ending 30 June and 31 December.

ANZ Basel III Pillar 3 Disclosure March 2020
15



Table 6 Capital adequacy - Capital Ratio and Risk Weighted Assets
4

5

The following table provides the composition of capital used for regulatory purposes and capital adequacy ratios.


Mar 20 Sep 19 Mar 19
Risk weighted assets $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 150,290 136,885 127,989
Sovereign 6,915 6,199 7,016
Bank 18,615 15,968 15,511
Residential Mortgage 107,351 105,491 101,469
Qualifying Revolving Retail 4,956 5,255 5,795
Other Retail 25,080 26,258 28,029
Credit risk weighted assets subject to Advanced IRB approach 313,207 296,056 285,809

Credit risk Specialised Lending exposures subject to slotting approach
4
41,072 36,318 35,696

Subject to Standardised approach

Corporate 14,626 11,645 12,252
Residential Mortgage 228 216 331
Other Retail 46 50 81
Credit risk weighted assets subject to Standardised approach 14,900 11,911 12,664

Credit Valuation Adjustment and Qualifying Central Counterparties 9,679 8,682 6,217

Credit risk weighted assets relating to securitisation exposures 2,142 1,859 1,558
Other assets 4,997 3,280 3,579
Total credit risk weighted assets 385,997 358,106 345,523

Market risk weighted assets 7,102 5,307 5,790
Operational risk weighted assets 47,902 46,626 37,733
Interest rate risk in the banking book (IRRBB) risk weighted assets 8,011 6,922 7,245
Total risk weighted assets 449,012 416,961 396,291


Capital ratios (%)
5

Level 2 Common Equity Tier 1 capital ratio 10.8% 11.4% 11.5%
Level 2 Tier 1 capital ratio 12.5% 13.2% 13.4%
Level 2 Total capital ratio 15.5% 15.3% 15.3%
Level 1: Extended licensed Common Equity Tier 1 capital ratio 10.6% 11.4% 11.2%
Level 1: Extended licensed entity Tier 1 capital ratio 12.6% 13.4% 13.2%
Level 1: Extended licensed entity Total capital ratio 15.8% 15.7% 15.3%
Other significant Authorised Deposit-taking Institution (ADI) or overseas bank subsidiary:
ANZ Bank New Zealand Limited – Common Equity Tier 1 capital ratio 11.1% 10.8% 11.4%
ANZ Bank New Zealand Limited - Tier 1 capital ratio 13.9% 13.6% 14.6%
ANZ Bank New Zealand Limited - Total capital ratio 13.9% 13.6% 14.6%




4
Specialised Lending exposures subject to slotting approach are those where the main servicing and repayment is from the asset being
financed, and includes specified commercial property development/investment lending, project finance and object finance.
5
ANZ Bank New Zealand Limited’s capital ratios have been calculated in accordance with Reserve Bank of New Zealand prudential
standards.

ANZ Basel III Pillar 3 Disclosure March 2020
16


Credit Risk Weighted Assets (CRWA)
Total CRWA increased $27.9 billion (7.8%) from September 2019 to $386.0 billion at March 2020. The increase is
mainly driven by lending growth in the Institutional business ($11.5 billion) and the impact of foreign exchange
movements ($9.1 billion). CRWA on Other assets increased $1.7 billion mainly from the on balance sheet recognition
of leases following implementation of AASB 16: Leases on 1 October 2019.
Market Risk, Operational Risk and IRRBB RWA

Traded Market Risk RWA increased $1.8 billion over the half due to increase in Stress VaR and Specific Risk.

Operational Risk RWA increased by $1.3 billion driven by foreign exchange movements due to the depreciation of the
Australian dollar against US dollar.

IRRBB RWA increased $1.1 billion due to a deterioration in Embedded Gains.

ANZ Basel III Pillar 3 Disclosure March 2020
17


Chapter 3 – Credit risk

Exposure at Default in Table 7 represents credit exposure net of offsets for credit risk mitigation such as guarantees,
credit derivatives, netting and financial collateral. It includes Advanced IRB, Specialised Lending and Standardised
exposures, and excludes Securitisation, Equities or Other Assets exposures.
Table 7(b) part (i): Period end and average Exposure at Default
6



Mar 20
Advanced IRB approach Risk
Weighted
Assets
$M
Exposure
at Default
$M
Average
Exposure
at Default
for half year
$M
Individual
provision
charge for
half year
$M
Write-offs
for half year
$M
Corporate 150,290 307,981 292,290 356 87
Sovereign 6,915 197,277 175,109 - -
Bank 18,615 63,649 59,397 - -
Residential Mortgage 107,351 380,082 376,729 30 47
Qualifying Revolving Retail 4,956 16,128 16,388 81 113
Other Retail 25,080 35,017 35,670 155 196
Total Advanced IRB approach 313,207 1,000,134 955,583 622 443
- -
Specialised Lending 41,072 48,436 45,892 9 -
- -
Standardised approach - -
Corporate 14,626 15,971 14,484 (5) 24
Residential Mortgage 228 471 458 - 1
Other Retail 46 46 48 - 1
Total Standardised approach 14,900 16,488 14,990 (5) 26

Credit Valuation Adjustment and
Qualifying Central Counterparties
9,679 10,005 9,677 - -

Total 378,858 1,075,063 1,026,142 626 469




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

ANZ Basel III Pillar 3 Disclosure March 2020
18


Table 7(b) 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 half year
$M
Individual
provision
charge for
half year
$M
Write-offs
for half year
$M
Corporate 136,885 276,599 267,302 75 89
Sovereign 6,199 152,940 151,300 - -
Bank 15,968 55,145 55,087 - -
Residential Mortgage 105,491 373,376 376,444 37 67
Qualifying Revolving Retail 5,255 16,647 17,118 87 126
Other Retail 26,258 36,322 37,432 187 264
Total Advanced IRB approach 296,056 911,029 904,683 386 546

Specialised Lending 36,318 43,348 43,005 (2) 1
- -
Standardised approach - -
Corporate 11,645 12,998 13,258 11 26
Residential Mortgage 216 445 581 3 1
Other Retail 50 49 65 - 4
Total Standardised approach 11,911 13,492 13,904 14 31

Credit Valuation Adjustment and
Qualifying Central Counterparties
8,682 9,348 10,939 - -

Total 352,967 977,217 972,531 398 578

Mar 19
Advanced IRB approach Risk
Weighted
Assets
$M
Exposure
at Default
$M
Average
Exposure
at Default
for half year
$M
Individual
provision
charge for
half year
$M
Write-offs
for half year
$M
Corporate 127,989 258,005 251,815 51 68
Sovereign 7,016 149,660 147,615 - -
Bank 15,511 55,029 53,196 - -
Residential Mortgage 101,469 379,512 378,043 45 50
Qualifying Revolving Retail 5,795 17,589 18,018 85 123
Other Retail 28,029 38,542 39,181 197 232
Total Advanced IRB approach 285,809 898,337 887,868 378 473

Specialised Lending 35,696 42,661 41,062 1 2

Standardised approach
Corporate 12,252 13,519 14,291 1 19
Residential Mortgage 331 716 710 (1) 1
Other Retail 81 80 84 1 3
Total Standardised approach 12,664 14,315 15,085 1 23

Credit Valuation Adjustment and
Qualifying Central Counterparties
6,217 12,530 11,966 - -

Total 340,386 967,843 955,981 380 498

ANZ Basel III Pillar 3 Disclosure March 2020
19


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



Mar 20 Sep 19 Mar 19 Average for
half year
Mar 20
Portfolio Type $M $M $M $M
Cash 96,865 55,083 61,314 75,974
Contingents liabilities, commitments, and other off-balance sheet exposures 170,345 160,293 157,005 165,319
Derivatives 61,962 53,716 43,924 57,839
Settlement Balances 225 26 8 126
Investment Securities 84,112 82,289 77,158 83,201
Net Loans, Advances & Acceptances 630,971 597,084 600,846 614,028
Other assets 4,939 4,627 5,348 4,783
Trading Securities 25,644 24,099 22,240 24,872
Total exposures 1,075,063 977,217 967,843 1,026,142




7
Average for half year is calculated as the simple average of the balances at the start and the end of each six month period.

ANZ Basel III Pillar 3 Disclosure March 2020
20


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


Mar 20
Australia New Zealand Asia Pacific,
Europe and
Americas


Total
Portfolio Type $M $M $M $M
Corporate 160,963 50,455 112,534 323,952
Sovereign 62,481 18,308 116,488 197,277
Bank 25,443 4,948 33,258 63,649
Residential Mortgage 289,578 90,504 471 380,553
Qualifying Revolving Retail 16,128 - - 16,128
Other Retail 23,140 11,877 46 35,063
Qualifying Central Counterparties 4,088 2,123 3,794 10,005
Specialised Lending 35,087 13,210 139 48,436
Total exposures 616,908 191,425 266,730 1,075,063

Sep 19
Australia New Zealand Asia Pacific,
Europe and
Americas


Total
Portfolio Type $M $M $M $M
Corporate 148,488 47,747 93,362 289,597
Sovereign 53,287 12,984 86,669 152,940
Bank 23,630 4,108 27,407 55,145
Residential Mortgage 290,239 83,137 445 373,821
Qualifying Revolving Retail 16,647 - - 16,647
Other Retail 24,734 11,588 49 36,371
Qualifying Central Counterparties 4,717 1,735 2,896 9,348
Specialised Lending 31,328 11,907 113 43,348
Total exposures 593,070 173,206 210,941 977,217

Mar 19
Australia New Zealand Asia Pacific,
Europe and
Americas


Total
Portfolio Type $M $M $M $M
Corporate 137,863 47,503 86,158 271,524
Sovereign 50,526 12,732 86,402 149,660
Bank 27,287 4,124 23,618 55,029
Residential Mortgage 295,444 84,068 716 380,228
Qualifying Revolving Retail 17,589 - - 17,589
Other Retail 26,335 12,207 80 38,622
Qualifying Central Counterparties 8,826 1,222 2,482 12,530
Specialised Lending 30,225 12,294 142 42,661
Total exposures 594,095 174,150 199,598 967,843

ANZ Basel III Pillar 3 Disclosure

March 2020
21


Table 7(d): Industry distributi
on of Exposure at Default
8

9






Mar 20

Portfolio Type
Agriculture,
Forestry,
Fishing &
Mining
$M
Business
Services
$M
Construction
$M
Electricity,
Gas &
Water
Supply
$M
Entertainment,
Leisure &
Tourism
$M
Financial,
Investment
&
Insurance
$M
Government
and Official
Institutions
$M
Manufacturing
$M
Personal
$M
Property
Services
$M
Wholesale
Trade
$M
Retail
Trade
$M
Transport
&
Storage
$M
Other
$M
Total
$M
Corporate 48,913 11,537 5,921 12,257 14,453 62,027 4,211 51,565 630 23,986 29,290 14,635 20,836 23,691
323,952
Sovereign 821 - 16 667 10 120,719 71,117 1,925 - 1,652 4 - 179 167
197,277
Bank - 1 - 4 1 63,596 - 2 - 1 9 3 32 -
63,649
Residential Mortgage
- -
- -
-
-
-
- 380,553 - - - - -
380,553
Qualifying Revolving Retail
- -
- -
-
-
-
- 16,128 - - - - -
16,128
Other Retail
2,644
2,538
3,617
90
1,927
561
14
1,488
11,632
1,044
1,091
3,419
1,191
3,807
35,063
Qualifying Central Counterparties
- -
- -
- 10,005
-
- - - - - - -
10,005
Specialised Lending
1,660
6
387
1,839
440
1
-
2
-
42,466
22
-
1,209
404
48,436
Total exposures
54,038 14,082
9,941 14,857
16,831 256,909 75,342
54,982 408,943 69,149 30,416 18,057 23,447 28,069 1,075,063
% of Total
5.0% 1.3%
0.9% 1.4%
1.6% 23.9%
7.0%
5.1% 38.1% 6.4% 2.8% 1.7% 2.2% 2.6% 100.0%
8
Property Services includes Commercial property operators, Resi
dential property operators, Retirement village operators/develop
ers, Real estate agents, Non-financial a
sset investors and Machinery and equipment
hiring and leasing.
9
Other industry includes Health & Community Services, Education, Communication Services and Personal & Other Services.

ANZ Basel III Pillar 3 disclosure

March 20
20

22

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






Sep 19



Portfolio Type
Agriculture,
Forestry,
Fishing &
Mining
$M
Business
Services
$M
Construction
$M
Electricity,
Gas &
Water
Supply
$M
Entertainment,
Leisure &
Tourism
$M
Financial,
Investment
&
Insurance
$M
Government
and Official
Institutions
$M
Manufacturing
$M
Personal
$M
Property
Services
$M
Wholesale
Trade
$M
Retail
Trade
$M
Transport
&
Storage
$M
Other
$M
Total
$M
Corporate
45,938 10,400
5,666
10,530
14,010
50,918
4,189
45,441
607 21,864
26,581 14,466
18,243 20,744
289,597
Sovereign 999 1 18 467 1 79,870 67,603 1,248 - 2,025 58 - 231 419
152,940
Bank
115
4
-
4
- 54,906
-
2
-
2
- 45
29 38
55,145
Residential Mortgage
- -
-
-
-
-
-
- 373,821 -
- -
- -
373,821
Qualifying Revolving Retail
- -
-
-
-
-
-
- 16,647 -
- -
- -
16,647
Other Retail
2,754 2,643
3,740
96
2,045
600
15
1,534 11,986 1,092
1,122 3,617
1,253 3,874
36,371
Qualifying Central Counterparties
- -
-
-
- 9,348
-
- - -
- -
- -
9,348
Specialised Lending
1,394
3
372
1,835
366
1
-
-
-
37,769
22
-
1,161
425
43,348
Total exposures
51,200 13,051
9,796
12,932
16,422
195,643
71,807
48,225 403,061 62,752
27,783 18,128
20,917 25,500 977,217
% of Total
5.2% 1.3%
1.0%
1.3%
1.7%
20.1%
7.4%
4.9% 41.3% 6.4%
2.8% 1.9%
2.1% 2.6% 100.0%







Mar 19



Portfolio Type
Agriculture,
Forestry,
Fishing &
Mining
$M
Business
Services
$M
Construction
$M
Electricity,
Gas &
Water
Supply
$M
Entertainment,
Leisure &
Tourism
$M
Financial,
Investment
&
Insurance
$M
Government
and Official
Institutions
$M
Manufacturing
$M
Personal
$M
Property
Services
$M
Wholesale
Trade
$M
Retail
Trade
$M
Transport
&
Storage
$M
Other
$M
Total
$M
Corporate
45,087 10,230
5,777
9,385
13,754
44,455
3,178
40,719
680 21,220
26,539 14,321
16,360 19,819
271,524
Sovereign 1,015 2 17 495 - 81,015 62,735 1,415 - 2,035 64 - 254 613
149,660
Bank 1 1 - - - 54,921 - 2 - 2 6 42 54 -
55,029
Residential Mortgage
- -
-
-
-
-
-
- 380,228 -
- -
- -
380,228
Qualifying Revolving Retail
- -
-
-
-
-
-
- 17,589 -
- -
- -
17,589
Other Retail
2,954 2,764
3,891
99
2,156
631
15
1,590 13,109 1,163
1,179 3,824
1,312 3,935
38,622
Qualifying Central Counterparties
- -
-
-
- 12,530
-
- - -
- -
- -
12,530
Specialised Lending
1,329
4
373
1,524
164
1
-
2
-
37,511
19
16
1,310
408
42,661
Total exposures
50,386 13,001
10,058
11,503
16,074
193,553
65,928
43,728 411,606 61,931
27,807 18,203
19,290 24,775 967,843
% of Total
5.2% 1.3%
1.0%
1.2%
1.7%
20.0%
6.8%
4.5% 42.5% 6.4%
2.9% 1.9%
2.0% 2.6% 100.0%

ANZ Basel III Pillar 3 Disclosure March 2020
23


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



Mar 20
Portfolio Type < 12 mths
$M
1 - 5 years
$M
> 5 years
$M
No Maturity
Specified
$M
Total
$M
Corporate 148,359 155,699 19,772 122 323,952
Sovereign 131,162 47,317 18,798 - 197,277
Bank 45,909 17,175 565 - 63,649
Residential Mortgage 292 978 352,414 26,869 380,553
Qualifying Revolving Retail - - - 16,128 16,128
Other Retail 13,206 5,483 16,374 - 35,063
Qualifying Central Counterparties 7,004 1,774 638 589 10,005
Specialised Lending 17,573 27,986 2,839 38 48,436
Total exposures 363,505 256,412 411,400 43,746 1,075,063

Sep 19
Portfolio Type < 12 mths
$M
1 - 5 years
$M
> 5 years
$M
No Maturity
Specified
$M
Total
$M
Corporate 130,830 140,947 17,694 126 289,597
Sovereign 87,943 46,864 18,133 - 152,940
Bank 39,751 15,026 368 - 55,145
Residential Mortgage 278 832 345,496 27,215 373,821
Qualifying Revolving Retail - - - 16,647 16,647
Other Retail 13,208 5,975 17,188 - 36,371
Qualifying Central Counterparties 6,522 1,584 808 434 9,348
Specialised Lending 17,866 23,243 2,197 42 43,348
Total exposures 296,398 234,471 401,884 44,464 977,217

Mar 19
Portfolio Type < 12 mths
$M
1 - 5 years
$M
> 5 years
$M
No Maturity
Specified
$M
Total
$M
Corporate 113,793 142,076 15,517 138 271,524
Sovereign 86,706 44,577 18,377 - 149,660
Bank 37,777 16,757 495 - 55,029
Residential Mortgage 340 1,038 350,139 28,711 380,228
Qualifying Revolving Retail - - - 17,589 17,589
Other Retail 13,926 6,552 18,144 - 38,622
Qualifying Central Counterparties 4,685 4,665 2,819 361 12,530
Specialised Lending 17,997 22,795 1,821 48 42,661
Total exposures 275,224 238,460 407,312 46,847 967,843




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

ANZ Basel III Pillar 3 Disclosure March 2020
24


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



Mar 20
Industry Sector 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
- 519 116 104 (14) 8
Business Services - 81 46 49 13 20
Construction - 90 67 43 9 25
Electricity, gas and water supply - 11 1 10 - 1
Entertainment Leisure & Tourism - 120 64 55 30 17
Financial, Investment & Insurance - 69 18 26 11 29
Government & Official Institutions - - - - - -
Manufacturing - 74 38 42 20 28
Personal - 786 2,822 254 183 273
Property Services - 143 52 52 12 3
Retail Trade - 292 88 115 76 23
Transport & Storage 1 116 25 39 17 7
Wholesale Trade - 348 38 259 248 22
Othe
r - 81 114 45 21 13
Total 1 2,730 3,489 1,093 626 469




11
Impaired derivatives are net of credit value adjustment (CVA) of $3 million, being a market value based assessment of the credit risk
of the relevant counterparties (September 2019: $7 million; March 2019: $20 million).
12
Impaired loans / facilities include restructured items of $226 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; March 2019: $264 million).
13
For regulatory reporting, not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to
impaired loans / facilities.

ANZ Basel III Pillar 3 Disclosure March 2020
25


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



Sep 19
Industry Sector 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
- 538 133 107 23 18
Business Services - 104 42 58 24 11
Construction - 117 77 58 17 25
Electricity, gas and water supply - 13 1 13 - 1
Entertainment Leisure & Tourism - 101 59 42 22 24
Financial, Investment & Insurance - 59 16 40 - 17
Government & Official Institutions - - - - - -
Manufacturing - 71 44 37 8 36
Personal - 712 2,974 265 219 358
Property Services - 53 52 30 7 4
Retail Trade - 112 98 58 26 24
Transport & Storage - 71 22 28 10 10
Wholesale Trade - 111 33 34 11 10
Othe
r - 87 73 44 31 40
Total - 2,149 3,624 814 398 578



Mar 19
Industry Sector 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
- 551 122 117 - 21
Business Services - 100 39 45 23 14
Construction - 130 61 59 21 18
Electricity, gas and water supply - 2 1 2 - -
Entertainment Leisure & Tourism - 114 62 47 22 20
Financial, Investment & Insurance - 102 14 60 14 5
Government & Official Institutions - - - - - -
Manufacturing - 105 27 65 1 36
Personal - 778 2,591 320 235 301
Property Services - 73 75 24 5 6
Retail Trade - 116 75 60 28 44
Transport & Storage - 70 16 25 10 8
Wholesale Trade - 48 25 29 4 9
Othe
r - 77 82 38 17 16
Total - 2,266 3,190 891 380 498

ANZ Basel III Pillar 3 Disclosure March 2020
26


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


Mar 20
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 - 1,500 218 645 356 87
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 504 2,791 128 30 47
Qualifying Revolving Retail - 78 - - 81 113
Other Retail - 417 425 225 155 196
Total Advanced IRB approach - 2,499 3,434 998 622 443

Specialised Lending - 71 27 14 9 -

Portfolios subject to Standardised
approach

Corporate 1 139 14 74 (5) 24
Residential Mortgage - 10 9 7 - 1
Other Retail - 11 5 - - 1
Total Standardised approach 1 160 28 81 (5) 26

Qualifying Central Counterparties - - - - - -

Total 1 2,730 3,489 1,093 626 469

ANZ Basel III Pillar 3 Disclosure March 2020
27


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


Sep 19
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 - 1,038 248 369 75 89
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 438 2,943 137 37 67
Qualifying Revolving Retail - 69 - - 87 126
Other Retail - 442 379 221 187 264
Total Advanced IRB approach - 1,987 3,570 727 386 546

Specialised Lending - 31 33 5 (2) 1

Portfolios subject to Standardised
approach

Corporate - 106 14 75 11 26
Residential Mortgage - 10 6 7 3 1
Other Retail - 15 1 - - 4
Total Standardised approach - 131 21 82 14 31

Qualifying Central Counterparties - - - - - -

Total - 2,149 3,624 814 398 578

Mar 19
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 - 1,050 167 375 51 68
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 441 2,587 156 45 50
Qualifying Revolving Retail - 76 - - 85 123
Other Retail - 491 369 256 197 232
Total Advanced IRB approach - 2,058 3,123 787 378 473

Specialised Lending - 38 32 6 1 2

Portfolios subject to Standardised
approach

Corporate - 138 14 87 1 19
Residential Mortgage - 19 13 9 (1) 1
Other Retail - 13 8 2 1 3
Total Standardised approach - 170 35 98 1 23

Qualifying Central Counterparties - - - - - -

Total - 2,266 3,190 891 380 498

ANZ Basel III Pillar 3 Disclosure March 2020
28


Table 7(g): Impaired assets
14

15
, Past due loans
16
and Provisions
17
by Geography


Mar 20
Geographic region Impaired
derivatives
$M
Impaired
loans/
facilities
$M
Past due
loans
≥ 90 days
$M
Individual
provision
balance
$M
Collective
provision
balance
$M
Australia - 1,961 3,106 670 3,222
New Zealand - 312 356 96 657
Asia Pacific, Europe and America 1 457 27 327 622
Total 1 2,730 3,489 1,093 4,501



Sep 19
Geographic region Impaired
derivatives
$M
Impaired
loans/
facilities
$M
Past due
loans
≥ 90 days
$M
Individual
provision
balance
$M
Collective
provision
balance
$M
Australia - 1,678 3,312 598 2,470
New Zealand - 301 292 101 451
Asia Pacific, Europe and America - 170 20 115 455
Total - 2,149 3,624 814 3,376



Mar 19
Geographic region Impaired
derivatives
$M
Impaired
loans/
facilities
$M
Past due
loans
≥ 90 days
$M
Individual
provision
balance
$M
Collective
provision
balance
$M
Australia - 1,743 2,898 656 2,484
New Zealand - 313 256 108 437
Asia Pacific, Europe and America - 210 36 127 457
Total - 2,266 3,190 891 3,378



14
Impaired derivatives are net of credit value adjustment (CVA) of $3 million, being a market value based assessment of the credit risk
of the relevant counterparties (September 2019: $7 million; March 2019: $20 million).
15
Impaired loans / facilities include restructured items of $226 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; March 2018: $264 million).
16
For regulatory reporting, not well secured portfolio managed retail exposures have been reclassified from past due loans > 90 days to
impaired loans / facilities.
17
Due to definitional differences, there is a variation in the split between ANZ’s Individually Assessed and Collectively Assessed
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 III Pillar 3 Disclosure March 2020
29


Table 7(h): Provision for Credit Impairment


Half year
Mar 20
Half year
Sep 19
Half year
Mar 19
Collectively Assessed Provision $M $M $M
Balance at start of period 3,376 3,378 3,336
Charge/(Release) to Income Statement 1,048 4 12
Adjustment for exchange rate fluctuations and transfers 77 6 30
Asia divestment - (11) -
less: Investment securities at FVOCI - 1 -
Total Collectively Assessed Provision 4,501 3,376 3,378


Individually Assessed Provision
Balance at start of period 814 891 920
New and increased provisions 900 750 625
Write-backs (170) (233) (152)
Adjustment for exchange rate fluctuations and transfers 28 2 7
Discount unwind (10) (12) (11)
Bad debts written off (469) (578) (498)
Asia divestment - (6) -
Total Individually Assessed Provision 1,093 814 891

Total Provisions for Credit Impairment 5,594 4,190 4,269

Table 7(j): Specific Provision Balance and General Reserve for Credit Losses
18
S2

Mar 20
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provision 473 4,028 4,501
Individually Assessed Provision 1,093 - 1,093
Total Provision for Credit Impairment 1,566 4,028 5,594


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


Mar 19
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provision 395 2,983 3,378
Individually Assessed Provision 891 - 891
Total Provision for Credit Impairment 1,286 2,983 4,269

18
Due to definitional differences, there is a variation in the split between ANZ’s Individually Assessed and Collectively Assessed
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 III Pillar 3 Disclosure March 2020
30


Table 8 Credit risk – Disclosures for portfolios subject to the Standardised
approach and supervisory risk weights in the IRB approach
Table 8(b): Exposure at Default by risk bucket
19



Mar 20 Sep 19 Mar 19
Standardised approach exposures $M $M $M
0% 4 1 -
20% 369 277 383
35% 210 195 362
50% 2,826 2,680 2,589
75% - - -
100% 12,790 10,152 10,658
150% 277 184 320
>150% 12 3 3
Capital deductions - - -
Total 16,488 13,492 14,315

Other Asset exposures
0% - - -
20% 649 767 818
35% - - -
50% - - -
75% - - -
100% 4,867 3,127 3,415
150% - - -
>150% - - -
Capital deductions - - -
Total 5,516 3,894 4,233

Specialised Lending exposures
0% 165 181 201
70% 23,878 20,691 20,389
90% 20,864 19,869 19,369
115% 2,401 1,900 2,046
250% 1,128 707 656
Total 48,436 43,348 42,661




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

ANZ Basel III Pillar 3 Disclosure March 2020
31


Table 9 Credit risk – Disclosures for portfolios subject to Advanced IRB
approaches
Portfolios subject to the Advanced IRB (AIRB) approach

The following table summarises the types of borrowers and the rating approach adopted within each of ANZ’s AIRB
portfolios:

IRB Asset Class Borrower Type Rating Approach
Corporate Corporations, partnerships or proprietorships that do not fit
into any other asset class
AIRB
Sovereign Central governments
Central banks
Certain multilateral development banks
AIRB
Bank Banks
20

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 Estate
21

Project finance
Object finance
AIRB – Supervisory
Slotting
22

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

In addition, ANZ has applied the Standardised approach to some portfolio segments (mainly retail and local corporates
in Pacific, and local corporates in Asia) where currently available data does not enable development of advanced
internal models for PD, LGD and EAD estimates. Under the Standardised approach, exposures are mapped to several
regulatory risk weights, mainly based on the type of counterparty and its external rating. For these counterparties,
external ratings by Standard & Poor’s and Moody’s Investors Service are used as inputs into the RWA calculation. As
described in the section on the ANZ rating system, ANZ has mapped its master scale to the grading of these two
External Credit Assessment Institutions (ECAIs).

ANZ applies its full normal risk measurement and management framework to these segments for internal management
purposes. Standardised segments will be migrated to AIRB if they reach a volume that generates sufficient data for
development of advanced internal models.

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

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

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

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

 LGD is an estimate of the potential economic loss on a credit exposure, incurred as a consequence of obligor
default and expressed as a percentage of the facility’s EAD. ANZ’s LGD also includes recognition of the different
legal and insolvency regimes in different countries, where this has been shown to influence recovery outcomes.


20
The IRB asset classification of investment banks is Corporate, rather than Bank.
21
Since 2009, APRA has agreed that some large, well-diversified commercial property exposures may be treated as corporate
exposures, in line with the original Basel Committee’s definition of Specialised Lending.
22
ANZ uses an internal assessment which is mapped to the appropriate Supervisory Slot.

ANZ Basel III Pillar 3 Disclosure March 2020
32


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

ANZ’s rating system has two separate and distinct dimensions that:
 Measure the PD, which is expressed by the Customer Credit Rating (CCR), reflecting the ability to service and
repay debt.
 Measure the LGD as expressed by the Security Indicator (SI) ranging from A to G. The SI is calculated by reference
to the percentage of a loan covered by security which can be realised in the event of default. This calculation uses
standard ratios to adjust the current market value of collateral items to allow for historical realisation outcomes.
The security-related SIs are supplemented with a range of other SIs which cover such factors as cash cover,
mezzanine finance, intra-group guarantees and sovereign backing as ANZ’s LGD research indicates that these
transaction characteristics have different recovery outcomes. ANZ’s LGD also includes recognition of the different
legal and insolvency regimes in different countries, where this has been shown to influence recovery outcomes.
ANZ’s corporate PD master scale is APRA approved, and is made up of 27 rating grades. Each level/grade is separately
defined and has a range of default probabilities attached to it. The PD master scale enables ANZ’s rating system to be
mapped to the grading’s of external rating agencies, using the PD as a common element after ensuring that default
definitions and other key attributes are aligned.

The following table demonstrates this alignment (for one year PDs):

ANZ CCR Moody’s Standard & Poor’s PD Range
0+ to 1- Aaa to Aa3 AAA to AA- 0.0000 - 0.0346%
2+ to 3+ A1 to Baa1 A+ to BBB+ 0.0347 - 0.1636%
3= to 4+ Baa2 to > Baa3 BBB to > BB+ 0.1637 - 0.4004%
4= to 6= Ba1 to B1 BB+ to B+ 0.4005 – 2.7550%
6- to 7= B2 to B3 B to B-
2.7551 – 9.7980%
7- to 8+ Caa CCC 9.7981 – 27.1109%
8= Ca, C CC, C 27.1110 – 99.9999%
8-, 9 and 10 Default Default 100%

In the retail asset classes, most facilities utilise credit rating scores. The scores are calibrated to PDs, and used to
allocate exposures to homogenous pools, along with LGD and EAD.

ANZ Basel III Pillar 3 Disclosure March 2020
33


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

24

25


Mar 20
AAA
< A+
$M
A+
< BBB
$M
BBB
< BB+
$M
BB+
< B+
$M
B+
< CCC
$M
CCC
$M
Default
$M
Total
$M
Exposure at Default
Corporate 34,797 97,236 96,962 58,955 15,175 2,436 2,420 307,981
Sovereign 160,894 31,038 2,212 1,037 2,082 14 - 197,277
Bank 20,510 36,251 5,767 1,087 27 7 - 63,649
Total 216,201 164,525 104,941 61,079 17,284 2,457 2,420 568,907
% of Total 38.0% 28.9% 18.4% 10.7% 3.0% 0.4% 0.4% 100.0%
Undrawn commitments (included in above)
       
Corporate 9,265 36,315 22,743 8,587 1,743 311 67 79,031
Sovereign 1,515 19 1 20 24 - - 1,579
Bank - 519 33 3 1 - - 556
Total 10,780 36,853 22,777 8,610 1,768 311 67 81,166

Average Exposure at Default
Corporate 15.795 10.623 1.988 0.730 0.136 0.239 0.669 1.160
Sovereign 192.458 408.394 38.138 12.200 26.352 2.293 - 172.596
Bank 3.743 4.551 4.372 5.275 0.671 0.314 - 4.264
Exposure-weighted average Loss Given Default (%)
     
Corporate 56.1% 56.8% 47.7% 37.0% 33.1% 40.5% 41.3% 48.7%
Sovereign 5.1% 13.2% 39.0% 42.7% 51.8% 54.5% - 7.4%
Bank 63.4% 61.9% 65.4% 68.6% 72.0% 67.9% - 62.8%
Exposure-weighted average risk weight (%)
Corporate 17.2% 32.9% 53.5% 62.9% 84.9% 200.1% 127.0% 48.8%
Sovereign 0.8% 3.4% 37.5% 75.6% 139.6% 282.1% - 3.5%
Bank 19.9% 26.1% 66.3% 121.2% 224.4% 416.2% - 29.3%




23
In accordance with APS 330, EAD in Table 9(d) includes Advanced IRB exposures and excludes Specialised Lending, Standardised,
Securitisation, Equities or Other Assets exposures. Specialised Lending is excluded from Table 9(d) as it follows the Supervisory Slotting
treatment, and a breakdown of risk weightings is provided in Table 8(b).
24
Average EAD is calculated as total EAD post risk mitigants divided by the total number of credit risk generating exposures.
25
Exposure-weighted average risk weight (%) is calculated as CRWA divided by EAD.

ANZ Basel III Pillar 3 Disclosure March 2020
34


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


Sep 19
AAA
< A+
$M
A+
< BBB
$M
BBB
< BB+
$M
BB+
< B+
$M
B+
< CCC
$M
CCC
$M
Default
$M
Total
$M
Exposure at Default
         
Corporate 28,676 83,292 88,656 56,847 14,923 2,151 2,054 276,599
Sovereign 121,380 26,556 2,315 898 1,768 22 1 152,940
Bank 17,972 31,295 4,321 1,529 24 4 - 55,145
Total 168,028 141,143 95,292 59,274 16,715 2,177 2,055 484,684
% of Total 34.8% 29.1% 19.7% 12.2% 3.4% 0.4% 0.4% 100.0%
Undrawn commitments (included in above)
       
Corporate 7,689 32,168 22,657 8,018 1,620 205 58 72,415
Sovereign 1,194 54 1 10 4 - - 1,263
Bank 47 442 28 - 2 - - 519
Total 8,930 32,664 22,686 8,028 1,626 205 58 74,197

Average Exposure at Default
        
Corporate 12.281 10.124 1.790 0.698 0.133 0.217 0.730 1.039
Sovereign 166.960 491.771 38.586 11.662 21.047 5.615 0.204 151.426
Bank 6.600 6.072 4.163 4.444 0.654 0.240 - 5.922
Exposure-weighted average Loss Given Default (%)
      
Corporate 54.6% 56.5% 46.8% 36.8% 33.8% 39.2% 41.2% 47.7%
Sovereign 5.1% 12.9% 40.8% 42.5% 51.4% 58.3% 5.6% 7.7%
Bank 63.9% 61.7% 64.3% 68.5% 67.7% 72.5% - 62.8%
Exposure-weighted average risk weight (%)
      
Corporate 17.1% 32.9% 52.9% 62.6% 88.3% 190.5% 108.0% 48.5%
Sovereign 0.9% 3.3% 42.0% 80.8% 138.1% 318.9% - 4.1%
Bank 19.5% 25.3% 63.7% 113.7% 183.3% 391.1% - 29.0%

Mar 19
AAA
< A+
$M
A+
< BBB
$M
BBB
< BB+
$M
BB+
< B+
$M
B+
< CCC
$M
CCC
$M
Default
$M
Total
$M
Exposure at Default
Corporate 24,071 75,429 82,915 57,029 14,719 2,105 1,737 258,005
Sovereign 121,841 22,498 2,180 649 2,458 33 1 149,660
Bank 22,421 27,875 3,677 916 136 4 - 55,029
Total 168,333 125,802 88,772 58,594 17,313 2,142 1,738 462,694
% of Total 36.3% 27.2% 19.2% 12.7% 3.7% 0.5% 0.4% 100.0%
Undrawn commitments (included in above)
       
Corporate 7,415 29,225 21,602 8,829 1,573 231 42 68,917
Sovereign 1,305 47 111 12 2 - - 1,477
Bank 1 587 28 - - - - 616
Total 8,721 29,859 21,741 8,841 1,575 231 42 71,010

Average Exposure at Default
        
Corporate 10.996 8.165 1.639 0.688 0.131 0.217 0.628 0.958
Sovereign 168.289 368.813 31.597 9.136 30.727 11.051 0.277 148.032
Bank 10.800 5.413 8.755 3.878 4.401 0.158 - 6.931
Exposure-weighted average Loss Given Default (%)
      
Corporate 54.5% 56.2% 45.8% 37.1% 34.1% 39.8% 46.1% 47.0%
Sovereign 5.3% 11.8% 35.7% 45.8% 54.1% 60.0% 5.0% 7.7%
Bank 63.8% 61.6% 64.3% 68.7% 66.1% 71.1% - 62.8%
Exposure-weighted average risk weight (%)
      
Corporate 17.7% 32.4% 51.3% 63.5% 89.6% 187.6% 116.7% 49.1%
Sovereign 1.0% 3.1% 38.1% 91.4% 147.0% 310.0% - 4.7%
Bank 19.6% 27.2% 64.7% 115.2% 193.9% 376.2% - 28.5%

ANZ Basel III Pillar 3 Disclosure March 2020
35


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



Mar 20
0.00%
<0.11%
$M
0.11%
<0.30%
$M
0.30%
<0.51%
$M
0.51%
<3.49%
$M
3.49%
<10.09%
$M
10.09%
<100.00%
$M
Default
$M
Total
$M
Exposure at Default
Residential Mortgage 72,103 98,989 63,456 132,126 6,725 3,336 3,347 380,082
Qualifying Revolving Retail 5,464 3,607 1,242 3,872 1,245 624 74 16,128
Other Retail 1,132 5,585 1,943 19,367 4,056 1,959 975 35,017
Total 78,699 108,181 66,641 155,365 12,026 5,919 4,396 431,227
% of Total 18.3% 25.1% 15.5% 35.9% 2.8% 1.4% 1.0% 100.0%

Undrawn commitments (included in above)
Residential Mortgage 15,431 7,705 3,061 7,497 33 29 - 33,756
Qualifying Revolving Retail 4,013 2,694 758 1,414 304 68 2 9,253
Other Retail 871 3,652 1,262 2,919 487 80 10 9,281
Total 20,315 14,051 5,081 11,830 824 177 12 52,290

Average Exposure at Default
Residential Mortgage 0.258 0.230 0.265 0.271 0.349 0.330 0.270 0.257
Qualifying Revolving Retail 0.009 0.008 0.008 0.010 0.010 0.007 0.009 0.009
Other Retail 0.008 0.017 0.011 0.024 0.008 0.012 0.025 0.016
Exposure-weighted average Loss Given Default (%)
Residential Mortgage 19.7% 18.0% 19.3% 20.8% 20.3% 20.0% 19.8% 19.6%
Qualifying Revolving Retail 72.9% 76.8% 75.0% 78.9% 82.2% 81.3% 75.7% 76.4%
Other Retail 55.0% 54.7% 71.7% 46.6% 68.2% 54.0% 46.0% 52.5%
Exposure-weighted average risk weight (%)
Residential Mortgage 5.8% 11.1% 19.0% 39.7% 93.9% 127.3% 178.0% 25.3%
Qualifying Revolving Retail 3.4% 7.8% 15.7% 44.2% 102.1% 203.6% 54.9% 30.7%
Other Retail 29.6% 37.0% 53.8% 59.4% 118.2% 166.3% 212.1% 71.6%

ANZ Basel III Pillar 3 Disclosure March 2020
36


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

Sep 19
0.00%
<0.11%
$M
0.11%
<0.30%
$M
0.30%
<0.51%
$M
0.51%
<3.49%
$M
3.49%
<10.09%
$M
10.09%
<100.00%
$M
Default
$M
Total
$M
Exposure at Default
Residential Mortgage 71,738 98,315 59,839 129,754 6,916 3,383 3,431 373,376
Qualifying Revolving Retail 5,635 3,681 1,317 3,996 1,334 617 67 16,647
Other Retail 1,050 5,289 2,307 20,070 4,672 1,969 965 36,322
Total 78,423 107,285 63,463 153,820 12,922 5,969 4,463 426,345
% of Total 18.4% 25.2% 14.9% 36.1% 3.0% 1.4% 1.0% 100.0%

Undrawn commitments (included in above)
Residential Mortgage 15,322 7,393 2,870 7,233 33 32 - 32,883
Qualifying Revolving Retail 4,106 2,757 819 1,463 290 53 2 9,490
Other Retail 803 3,354 1,488 2,666 488 76 9 8,884
Total 20,231 13,504 5,177 11,362 811 161 11 51,257

Average Exposure at Default
Residential Mortgage 0.253 0.228 0.255 0.262 0.343 0.326 0.274 0.251
Qualifying Revolving Retail 0.009 0.008 0.008 0.010 0.010 0.006 0.009 0.009
Other Retail 0.008 0.016 0.011 0.024 0.009 0.011 0.027 0.016
Exposure-weighted average Loss Given Default (%)
Residential Mortgage 19.7% 18.3% 19.2% 20.8% 20.3% 20.0% 19.9% 19.6%
Qualifying Revolving Retail 75.6% 80.1% 77.7% 81.3% 84.9% 82.6% 83.5% 79.2%
Other Retail 55.9% 54.0% 73.6% 45.4% 67.3% 54.8% 45.6% 52.1%
Exposure-weighted average risk weight (%)
Residential Mortgage 5.9% 11.3% 19.0% 39.6% 93.9% 127.1% 197.0% 25.6%
Qualifying Revolving Retail 3.5% 8.1% 16.2% 45.0% 105.5% 203.0% 230.7% 32.0%
Other Retail 14.4% 22.7% 51.4% 59.1% 116.5% 170.9% 236.9% 70.2%

Mar 19
0.00%
<0.11%
$M
0.11%
<0.30%
$M
0.30%
<0.51%
$M
0.51%
<3.49%
$M
3.49%
<10.09%
$M
10.09%
<100.00%
$M
Default
$M
Total
$M
Exposure at Default
Residential Mortgage 72,179 101,882 62,220 129,353 7,357 3,477 3,044 379,512
Qualifying Revolving Retail 5,700 3,914 1,358 4,262 1,638 644 73 17,589
Other Retail 1,101 5,542 2,448 21,259 5,052 2,142 998 38,542
Total 78,980 111,338 66,026 154,874 14,047 6,263 4,115 435,643
% of Total 18.1% 25.6% 15.2% 35.6% 3.2% 1.4% 0.9% 100.0%

Undrawn commitments (included in above)
Residential Mortgage 15,461 7,497 2,782 7,197 31 22 1 32,991
Qualifying Revolving Retail 4,178 2,943 828 1,587 446 60 2 10,044
Other Retail 833 3,575 1,577 2,809 513 77 8 9,392
Total 20,472 14,015 5,187 11,593 990 159 11 52,427

Average Exposure at Default
Residential Mortgage 0.250 0.232 0.258 0.259 0.340 0.326 0.275 0.251
Qualifying Revolving Retail 0.009 0.008 0.008 0.011 0.010 0.006 0.009 0.009
Other Retail 0.008 0.016 0.013 0.024 0.009 0.012 0.026 0.017
Exposure-weighted average Loss Given Default (%)
Residential Mortgage 19.7% 18.4% 19.2% 20.7% 20.3% 20.0% 19.9% 19.6%
Qualifying Revolving Retail 75.6% 80.5% 77.6% 81.4% 84.6% 82.7% 83.6% 79.4%
Other Retail 55.3% 54.7% 73.2% 45.6% 66.4% 56.6% 47.1% 52.3%
Exposure-weighted average risk weight (%)
Residential Mortgage 5.9% 11.5% 19.1% 39.8% 94.1% 127.6% 188.2% 25.5%
Qualifying Revolving Retail 3.5% 8.1% 16.2% 45.4% 105.0% 201.7% 230.3% 33.3%
Other Retail 29.7% 37.0% 55.6% 59.5% 115.7% 170.2% 221.7% 72.7%

ANZ Basel III Pillar 3 Disclosure March 2020
37


Table 9(e): Actual Losses by portfolio type


Half year Mar 20
Basel Asset Class Individual provision charge
$M
Write-offs
$M
Corporate 356 87
Sovereign - -
Bank - -
Residential Mortgage 30 47
Qualifying Revolving Retail 81 113
Other Retail 155 196
Total Advanced IRB 622 443
Specialised Lending 9 -
Standardised approach (5) 26
Total 626 469

Half year Sep 19
Basel Asset Class Individual provision charge
$M
Write-offs
$M
Corporate 75 89
Sovereign - -
Bank - -
Residential Mortgage 37 67
Qualifying Revolving Retail 87 126
Other Retail 187 264
Total Advanced IRB 386 546
Specialised Lending (2) 1
Standardised approach 14 31
Total 398 578

Half year Mar 19
Basel Asset Class Individual provision charge
$M
Write-offs
$M
Corporate 51 68
Sovereign - -
Bank - -
Residential Mortgage 45 50
Qualifying Revolving Retail 85 123
Other Retail 197 232
Total Advanced IRB 378 473
Specialised Lending 1 2
Standardised approach 1 23
Total 380 498


Factors impacting the loss experience

The individual credit impairment charge increased $228 million relates to a small number of new single name
impairments in the Institutional division driving increases in AIRB Corporate. This was offset by improved mortgage
delinquencies in the Australia retail portfolios as a result of strengthened collection practices, combined with ongoing
lower portfolio growth in the unsecured portfolio driving the decrease in the AIRB Other Retail asset class.

Write-offs decreased $109 million over the half driven by Residential Mortgages, Qualifying Revolving Retail and Other
Retail asset class.

ANZ Basel III Pillar 3 Disclosure March 2020
38


Table 9(f): Average estimated vs. actual PD, EAD and LGD – Advanced IRB
26



Mar 20
Portfolio Type Average
Estimated PD
%
Average
Actual PD
%
Average
estimated to
actual EAD
ratio
Average
Estimated
LGD
%
Average
Actual LGD
%
Corporate 2.01 1.74 1.20 42.45 34.68
Sovereign 0.40 0.00 n/a n/a n/a
Bank
0.62 0.07 1.02 46.00 58.30
Specialised Lending
n/a 1.94 1.05 n/a 26.31
Residential Mortgage 0.74 0.83 1.01 20.5 1.7
Qualifying Revolving Retail 2.22 1.77 1.09 78.2 68.3
Other Retail 4.07 3.14 1.05 53.8 43.4

APS 330 Table 9(f) compares internal credit risk estimates used in calculating regulatory capital with realised
outcomes by portfolio types. It covers the PD, EAD and LGD estimates for the IRB portfolios.

Estimated PD and LGD for Specialised Lending exposures have not been provided, since APRA requires the use of
supervisory slotting for Regulatory EL calculations. Actual PD, EAD ratio, Estimated LGD and Actual LGD for Sovereign
exposures have not been provided, since there were no Sovereign defaults observed in ANZ Sovereign exposures for
the observation period.

Wholesale Portfolios
The estimated PD is based on the average of the internally estimated long-run PDs for obligors that are not in default
at the beginning of each financial year over the period of observation being 2009 to 2019. The actual PD is based on
the number of defaulted obligors up to February 2020 compared to the total number of obligors measured.

The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the 11
years of observation being 2009 to February 2020. A ratio greater than 1.0 signifies that on average, the actual
defaulted exposures are lower than the estimated exposures at the time of default.

The estimated LGD is the downturn LGD for accounts that defaulted at the beginning of each year during the
observation period being 2009 to March 2018. The actual LGD is based on the average realised losses over the period
for the accounts observed at the beginning and defaulted during the observation period. For non-retail portfolios, the
estimated and actual LGDs are based on accounts that defaulted up to March 2018. Defaults occurring after March
2018 have been excluded from the analysis to allow sufficient time for workout period. Actual LGD for defaults where
workouts were not finalised have been estimated to approximate the final actual loss.

Retail Portfolios
The estimated PD is based on the average of the internally estimated long-run PDs for obligors that are not in default
at March each year over the period of observation being 2015 to 2019. The actual PD is based on the number of
defaulted obligors up to March 2020 compared to the total number of obligors measured.

The EAD ratio compares internally estimated EAD prior to default to realised EAD for defaulted obligors over the period
of observation being 2015 to 2019. A ratio greater than 1.0 signifies that on average, the actual defaulted exposures
are lower than the estimated exposures at the time of default.

The estimated LGD is the downturn LGD for accounts that are not in default at the beginning of each year during the
observation period being 2014 to 2018. The actual LGD is based on the average realised losses over the period for the
accounts observed at the beginning and defaulted during the observation period. Defaults occurring after March 2019
have been excluded from the analysis to allow sufficient time for workout period.

26
A revised capital model was introduced in June 2017, which will impact Average Estimated PD rates for the Australian Residential
Mortgages portfolio. The current Average Estimated PD rates are based on previous capital models, with the impacts of the revised
model to gradually roll through in future periods.

ANZ Basel III Pillar 3 Disclosure March 2020
39


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



Mar 20
Exposure
$M
Eligible Financial
Collateral
$M
Other Eligible
Collateral
$M
% Coverage
Standardised approach
Corporate 15,971 5,269 - 33.0%
Residential Mortgage 471 - - 0.0%
Other Retail 46 - - 0.0%
Total 16,488 5,269 - 32.0%

Sep 19
Exposure
$M
Eligible Financial
Collateral
$M
Other Eligible
Collateral
$M
% Coverage
Standardised approach
Corporate 12,998 7,389 - 56.8%
Residential Mortgage 445 - - 0.0%
Other Retail 49 - - 0.0%
Total 13,492 7,389 - 54.8%

Mar 19
Exposure
$M
Eligible Financial
Collateral
$M
Other Eligible
Collateral
$M
% Coverage
Standardised approach
Corporate 13,519 7,119 2,254 69.3%
Residential Mortgage 716 - - 0.0%
Other Retail 80 - - 0.0%
Total 14,315 7,119 2,254 65.5%





27
Eligible Collateral could include cash collateral (cash, certificates deposits and bank bills issued by the lending ADI), gold bullion and
highly rated debt securities.

ANZ Basel III Pillar 3 Disclosure March 2020
40


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


Mar 20
Exposure
$M
Exposures
covered by
Guarantees
$M
Exposures
covered by
Credit Derivatives
$M
% Coverage
Advanced IRB
Corporate (incl. Specialised Lending) 356,417 3,810 1,197 1.4%
Sovereign 197,277 5,652 - 2.9%
Bank 63,649 - - 0.0%
Residential Mortgage 380,082 - - 0.0%
Qualifying Revolving Retail 16,128 - - 0.0%
Other Retail 35,017 - - 0.0%
Total 1,048,570 9,462 1,197 1.0%

Standardised approach
Corporate 15,971 39 - 0.2%
Residential Mortgage 471 - - 0.0%
Other Retail 46 - - 0.0%
Total 16,488 39 - 0.2%

Qualifying Central Counterparties 10,005 - - 0.0%

Sep 19
Exposure
$M
Exposures
covered by
Guarantees
$M
Exposures
covered by
Credit Derivatives
$M
% Coverage
Advanced IRB
Corporate (incl. Specialised Lending) 319,947 4,217 1,029 1.6%
Sovereign 152,940 5,957 - 3.9%
Bank 55,145 - - 0.0%
Residential Mortgage 373,376 - - 0.0%
Qualifying Revolving Retail 16,647 - - 0.0%
Other Retail 36,322 - - 0.0%
Total 954,377 10,174 1,029 1.2%

Standardised approach
Corporate 12,998 23 - 0.2%
Residential Mortgage 445 - - 0.0%
Other Retail 49 - - 0.0%
Total 13,492 23 - 0.2%

Qualifying Central Counterparties 9,348
- -
0.0%

ANZ Basel III Pillar 3 Disclosure March 2020
41


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


Mar 19
Exposure
$M
Exposures
covered by
Guarantees
$M
Exposures
covered by
Credit Derivatives
$M
% Coverage
Advanced IRB
Corporate (incl. Specialised Lending) 300,666 5,979 1,051 2.3%
Sovereign 149,660 6,171 - 4.1%
Bank 55,029 11 - 0.0%
Residential Mortgage 379,512 - - 0.0%
Qualifying Revolving Retail 17,589 - - 0.0%
Other Retail 38,542 - - 0.0%
Total 940,998 12,161 1,051 1.4%

Standardised approach
Corporate 13,519 43 - 0.3%
Residential Mortgage 716 - - 0.0%
Other Retail 80 - - 0.0%
Total 14,315 43 - 0.3%

Qualifying Central Counterparties 12,530 - - 0.0%

ANZ Basel III Pillar 3 Disclosure March 2020
42


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


Mar 20 Sep 19 Mar 19
$M $M $M
Gross positive fair value of contracts 173,677 120,667 79,376
Netting benefits (151,517) (106,003) (66,767)
Netted current credit exposure 22,160 14,664 12,609
Collateral held (13,732) (6,277) (4,566)
Net derivatives credit exposure 8,428 8,387 8,043

Counterparty credit risk exposure - by portfolio type
 
Mar 20 Sep 19 Mar 19
Portfolio Type $M $M $M
Corporate 27,804 23,276 14,096
Sovereign 3,826 2,863 1,816
Bank 18,600 16,733 14,853
Qualifying Central Counterparties 10,005 9,348 12,530
Specialised Lending 1,727 1,496 629
Total exposures 61,962 53,716 43,924

Notional Value of Credit Derivative Hedges
 
Mar 20 Sep 19 Mar 19
Product Type $M $M $M
Credit Default Swaps 351 344 349
Interest Rate Swaps - - -
Currency Swaps - - -
Othe
r - - -
Total exposures 351 344 349

ANZ Basel III Pillar 3 Disclosure March 2020
43


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


Mar 20
Protection
Bought
$M
Protection
Sold
$M
Total
$M
Credit derivative products used for own credit portfolio
Credit default swaps 5,073 2,321 7,394
Total notional value 5,073 2,321 7,394
Credit derivative products used for intermediation
Credit default swaps 351 355 706
Total return swaps - - -
Total notional value 351 355 706
Total credit derivative notional value 5,424 2,676 8,100

Sep 19
Protection
Bought
$M
Protection
Sold
$M
Total
$M
Credit derivative products used for own credit portfolio
Credit default swaps 7,091 4,940 12,031
Total notional value 7,091 4,940 12,031
Credit derivative products used for intermediation
Credit default swaps 344 344 688
Total return swaps - - -
Total notional value 344 344 688
Total credit derivative notional value 7,435 5,284 12,719

Mar 19
Protection
Bought
$M
Protection
Sold
$M
Total
$M
Credit derivative products used for own credit portfolio
Credit default swaps 4,451 2,702 7,153
Total notional value 4,451 2,702 7,153
Credit derivative products used for intermediation
Credit default swaps 349 349 698
Total return swaps - - -
Total notional value 349 349 698
Total credit derivative notional value 4,800 3,051 7,851

ANZ Basel III Pillar 3 Disclosure March 2020
44


Chapter 4 – Securitisation

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


Mar 20
Traditional securitisations

Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 2,108 133,650 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 2,108 133,650 -

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

Aggregate of traditional and synthetic securitisations
Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 2,108 133,650 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 2,108 133,650 -

ANZ Basel III Pillar 3 Disclosure March 2020
45


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


Sep 19
Traditional securitisations

Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 2,369 70,863 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 2,369 70,863 -

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

Aggregate of traditional and synthetic securitisations
Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 2,369 70,863 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 2,369 70,863 -

Mar 19
Traditional securitisations

Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 1,092 71,454 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 1,092 71,454 -

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

Aggregate of traditional and synthetic securitisations
Underlying asset ANZ Originated
$M
ANZ Self Securitised
$M
ANZ Sponsored
$M
Residential mortgage 1,092 71,454 -
Credit cards and other personal loans - - -
Auto and equipment finance - - -
Commercial loans - - -
Othe
r - - -
Total 1,092 71,454 -

ANZ Basel III Pillar 3 Disclosure March 2020
46


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


Mar 20
Underlying asset ANZ
originated
$M
ANZ Self
Securitised
$M
Impaired
$M
Past due
$M
Losses
recognised
for the six
month ended
$M
Residential mortgage 2,108 133,650 - 65 -
Credit cards and other personal loans - - - - -
Auto and equipment finance - - - - -
Commercial loans - - - - -
Othe
r - - - - -
Total 2,108 133,650 - 65 -

Sep 19
Underlying asset ANZ
originated
$M
ANZ Self
Securitised
$M
Impaired
$M
Past due
$M
Losses
recognised
for the six
month ended
$M
Residential mortgage 2,369 70,863 - 71 -
Credit cards and other personal loans - - - - -
Auto and equipment finance - - - - -
Commercial loans - - - - -
Othe
r - - - - -
Total 2,369 70,863 - 71 -

Mar 19
Underlying asset ANZ
originated
$M
ANZ Self
Securitised
$M
Impaired
$M
Past due
$M
Losses
recognised
for the six
month ended
$M
Residential mortgage 1,092 71,454 - 54 -
Credit cards and other personal loans - - - - -
Auto and equipment finance - - - - -
Commercial loans - - - - -
Othe
r - - - - -
Total 1,092 71,454 - 54 -


Table 12(i): Banking Book: Total amount of outstanding exposures intended to be securitised

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

ANZ Basel III Pillar 3 Disclosure March 2020
47


Table 12(j): Banking Book: Securitisation - Summary of current period’s activity by underlying asset type
and facility
28



Mar 20
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 (261) 62,787 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (261) 62,787 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities 1,210
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 474
Other 268
Total 1,952

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 1,277 (591) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total 1,277 (591) - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities 15
Funding facilities 1,135
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 163
Other 153
Total 1,466



28
Activity represents net movement in outstandings.

ANZ Basel III Pillar 3 Disclosure March 2020
48


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


Mar 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 (119) 839 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (119) 839 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities (650)
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 39
Other -
Total (611)

ANZ Basel III Pillar 3 Disclosure March 2020
49


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


Mar 20 Sep 19 Mar 19
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities - - -
Funding facilities 8,799 7,679 6,574
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,397 1,923 1,760
Protection provided - - -
Othe
r 432 437 141
Total 11,628 10,039 8,475

Mar 20 Sep 19 Mar 19
Securitisation exposure type - Off Balance Sheet $M $M $M
Liquidity facilities 22 25 12
Funding facilities 1,818 1,598 1,320
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Othe
r - - -
Total 1,840 1,623 1,332

Mar 20 Sep 19 Mar 19
Total Securitisation exposure type $M $M $M
Liquidity facilities 22 25 12
Funding facilities 10,617 9,278 7,894
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,397 1,923 1,760
Protection provided - - -
Othe
r 432 437 141
Total 13,468 11,662 9,807

ANZ Basel III Pillar 3 Disclosure March 2020
50


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



Mar 20 Sep 19 Mar 19
Securitisation risk
weights
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
≤ 25% 13,468 2,142 11,662 1,859 9,807 1,558
>25 ≤ 35% - - - - - -
>35 ≤ 50% - - - - - -
>50 ≤ 75% - - - - - -
>75 ≤ 100% - - - - - -
>100 ≤ 650% - - - - - -
1250% (Deduction) - - - - - -
Total 13,468 2,142 11,662 1,859 9,807 1,558

Mar 20 Sep 19 Mar 19
Resecuritisation risk
weights
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
≤ 25% - - - - - -
>25 ≤ 35% - - - - - -
>35 ≤ 50% - - - - - -
>50 ≤ 75% - - - - - -
>75 ≤ 100% - - - - - -
>100 ≤ 650% - - - - - -
1250% (Deduction) - - - - - -
Total - - - - - -

Mar 20 Sep 19 Mar 19
Total Securitisation risk
weights
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
Regulatory
credit
exposure
$M
Risk
weighted
assets
$M
≤ 25% 13,468 2,142 11,662 1,859 9,807 1,558
>25 ≤ 35% - - - - - -
>35 ≤ 50% - - - - - -
>50 ≤ 75% - - - - - -
>75 ≤ 100% - - - - - -
>100 ≤ 650% - - - - - -
1250% (Deduction) - - - - - -
Total 13,468 2,142 11,662 1,859 9,807 1,558
Table 12(l) part (ii): Banking Book: Securitisation - Aggregate securitisation exposures deducted from
Capital

No longer required under Basel III; defaulted exposures are given a risk weight of 1250% and no longer deducted
from Capital.

Table 12(m): Banking Book: Securitisations subject to early amortisation treatment

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

Table 12(n): Banking Book: Resecuritisation - Aggregate amount of resecuritisation exposures retained or
purchased

ANZ does not have any retained or purchased Resecuritisation exposures.