ANZ’s June 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



19 August 2020

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





APS 330 Pillar 3 Disclosure at 30 June 2020

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 30 June 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 30 JUNE 2020
APS 330: PUBLIC DISCLOSURE
2020
BASEL III PILLAR 3
DISCLOSURE

1





















































Important notice

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

ANZ Basel III Pillar 3 Disclosure June 2020


2

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



Jun 20 Mar 20 Dec 19
Risk Weighted Assets (RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 146,850 150,290 139,134
Sovereign 6,656 6,915 6,169
Bank 14,794 18,615 16,357
Residential Mortgage 109,500 107,351 106,549
Qualifying Revolving Retail 4,705 4,956 5,101
Other Retail 24,279 25,080 25,678
Credit risk weighted assets subject to Advanced IRB approach 306,784 313,207 298,988

Credit Risk Specialised Lending exposures subject to slotting approach
1
38,784 41,072 37,085

Subject to Standardised approach
Corporate 12,331 14,626 13,557
Residential Mortgage 214 228 214
Other Retail 38 46 48
Credit risk weighted assets subject to Standardised approach 12,583 14,900 13,819

Credit Valuation Adjustment and Qualifying Central Counterparties 7,786 9,679 7,817

Credit risk weighted assets relating to securitisation exposures 2,096 2,142 1,880
Other assets 4,208 4,997 4,603
Total credit risk weighted assets 372,241 385,997 364,192

Market risk weighted assets 7,609 7,102 5,728
Operational risk weighted assets 46,961 47,902 46,773
Interest rate risk in the banking book (IRRBB) risk weighted assets 9,874 8,011 7,461
Total Risk Weighted Assets 436,685 449,012 424,154

Capital ratios (%) Jun 20 Mar 20 Dec 19
Level 2 Common Equity Tier 1 capital ratio 11.1% 10.8% 10.9%
Level 2 Tier 1 capital ratio 12.9% 12.5% 12.8%
Level 2 Total capital ratio 15.8% 15.5% 15.2%

Basel III APRA level 2 CET1 Jun 20 Mar 20 Dec 19
Common Equity Tier 1 Capital 48,609 48,331 46,359
Total Risk Weighted Assets 436,685 449,012 424,154
Common Equity Tier 1 capital ratio 11.1% 10.8% 10.9%

Basel III APRA level 1 Extended licensed entity CET1 Jun 20 Mar 20 Dec 19
Common Equity Tier 1 Capital 43,711 42,962 41,849
Total Risk Weighted Assets 396,235 403,766 383,575
Common Equity Tier 1 capital ratio 11.0% 10.6% 10.9%

Credit Risk Weighted Assets (CRWA)

Total CRWA decreased $13.8 billion (-3.6%) from March 2020 to $372.2 billion at June 2020. The decrease was driven
by the Institutional business across Corporate, Bank and Specialised Lending asset classes from a reduction in lending
exposures combined with the impact of foreign exchange movements across the portfolio.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA increased $0.5 billion over the quarter due to increase in 10 Day VaR and Stress VaR.
Operational Risk RWA decreased $0.9 billion over the quarter driven by foreign exchange rates movements.
IRRBB RWA increased $1.8 billion over the quarter due to greater Repricing and Yield Curve Risk volatility.




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

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Table 4 Credit risk exposures

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

Table 4(a) part (i): Period end and average Exposure at Default
2



Jun 20
Advanced IRB approach Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 146,850 292,410 300,195 113 241
Sovereign 6,656 181,048 189,162 - -
Bank 14,794 50,425 57,037 - -
Residential Mortgage 109,500 382,513 381,297 24 16
Qualifying Revolving Retail 4,705 15,314 15,721 41 54
Other Retail 24,279 34,499 34,758 84 62
Total Advanced IRB approach 306,784 956,209 978,170 262 373

Specialised Lending 38,784 46,311 47,374 3 -

Standardised approach
Corporate 12,331 13,796 14,884 (3) 10
Residential Mortgage 214 439 455 1 1
Other Retail 38 38 42 1 4
Total Standardised approach 12,583 14,273 15,381 (1) 15

Credit Valuation Adjustment and
Qualifying Central Counterparties
7,786 9,158 9,582 - -

Total 365,937 1,025,951 1,050,507 264 388






2
Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three
month period.

ANZ Basel III Pillar 3 Disclosure June 2020


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


Mar 20
Advanced IRB approach Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 150,290 307,981 294,342 318 65
Sovereign 6,915 197,277 181,835 - -
Bank 18,615 63,649 59,410 - -
Residential Mortgage 107,351 380,082 379,512 15 20
Qualifying Revolving Retail 4,956 16,128 16,228 42 56
Other Retail 25,080 35,017 35,386 73 95
Total Advanced IRB approach 313,207 1,000,134 966,713 448 236

Specialised Lending 41,072 48,436 46,170 9 -



Standardised approach
Corporate 14,626 15,971 15,401 4 24
Residential Mortgage 228 471 457 - 1
Other Retail 46 46 47 - 1
Total Standardised approach 14,900 16,488 15,905 4 26

Credit Valuation Adjustment and
Qualifying Central Counterparties
9,679 10,005 9,069 - -

Total 378,858 1,075,063 1,037,857 461 262


Dec 19
Advanced IRB approach Risk
Weighted
Assets
$M
Exposure at
Default
$M
Average
Exposure at
Default for
three months
$M
Individual
provision
charge for
three months
$M
Write-offs
for three
months
$M
Corporate 139,134 280,704 278,651 38 22
Sovereign 6,169 166,395 159,668 - -
Bank 16,357 55,170 55,158 - -
Residential Mortgage 106,549 378,944 376,160 15 27
Qualifying Revolving Retail 5,101 16,327 16,487 39 57
Other Retail 25,678 35,754 36,038 82 101
Total Advanced IRB approach 298,988 933,294 922,162 174 207

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



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

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

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

ANZ Basel III Pillar 3 Disclosure June 2020


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



Average for the
quarter ended
Jun 20
Mar 20 Dec 19 Jun 20
Portfolio Type $M $M $M $M
Cash 78,611 96,865 69,471 87,738
Contingents liabilities, commitments, and other off-balance
sheet exposures
174,268 170,345 164,703 172,306
Derivatives 52,514 61,962 48,818 57,238
Settlement Balances 60 225 1 143
Investment Securities 85,790 84,112 77,758 84,951
Net Loans, Advances & Acceptances 609,049 630,971 607,801 620,009
Other assets 5,188 4,939 4,608 5,064
Trading Securities 20,471 25,644 27,490 23,058
Total exposures 1,025,951 1,075,063 1,000,650 1,050,507






3
Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three
month period.

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Table 4(b): Impaired asset
4

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


Jun 20

Impaired
derivatives
$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs
for three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 1,298 260 478 113 241
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 562 3,382 137 24 16
Qualifying Revolving Retail - 76 - - 41 54
Other Retail - 471 494 264 84 62
Total Advanced IRB approach - 2,407 4,136 879 262 373

Specialised Lending - 117 29 25 3 -

Portfolios subject to Standardised approach
Corporate 1 148 19 63 (3) 10
Residential Mortgage - 9 15 5 1 1
Other Retail - 16 - - 1 4
Total Standardised approach 1 173 34 68 (1) 15

Qualifying Central Counterparties - - - - - -

Total 1 2,697 4,199 972 264 388






4
Impaired derivatives are net of credit valuation adjustment (CVA) of $2 million, being a market value based assessment of the credit
risk of the relevant counterparties (March 2020: $3 million; December 2019: $4 million).
5
Impaired loans / facilities include restructured items of $258 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 (March 2020: $226 million; December 2019: $222 million).
6
For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans ≥ 90 days to
impaired loans / facilities.

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

Mar 20

Impaired
derivatives

$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs for
three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 1,500 218 645 318 65
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 504 2,791 128 15 20
Qualifying Revolving Retail - 78 - - 42 56
Other Retail - 417 425 225 73 95
Total Advanced IRB approach - 2,499 3,434 998 448 236

Specialised Lending - 71 27 14 9 -

Portfolios subject to Standardised approach
Corporate 1 139 14 74 4 24
Residential Mortgage - 10 9 7 - 1
Other Retail - 11 5 - - 1
Total Standardised approach 1 160 28 81 4 26

Qualifying Central Counterparties - - - - - -

Total 1 2,730 3,489 1,093 461 262

Dec 19

Impaired
derivatives

$M
Impaired
loans/
facilities
$M
Past due
loans ≥
90 days
$M
Individual
provision
balance
$M
Individual
provision
charge for
three
months
$M
Write-
offs for
three
months
$M
Portfolios subject to Advanced IRB approach
Corporate - 1,013 201 390 38 22
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 489 2,743 130 15 27
Qualifying Revolving Retail - 66 - - 39 57
Other Retail - 415 401 223 82 101
Total Advanced IRB approach - 1,983 3,345 743 174 207

Specialised Lending - 30 31 5 - -

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

Qualifying Central Counterparties - - - - - -

Total - 2,167 3,399 835 165 207

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Table 4(c): Specific Provision Balance and General Reserve for Credit Losses
7


Jun 20

Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 538 4,110 4,648
Individually Assessed Provisions 972 - 972
Total Provision for Credit Impairment 1,510 4,110 5,620


Mar 20

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


Dec 19

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






7
Due to definitional differences, there is a variation in the split between ANZ’s Individually and Collectively Assessed Provisions for
Credit Impairment for accounting purposes and the Specific Provision and General Reserve for Credit Losses (GRCL) for regulatory
purposes. This does not impact total provisions, and essentially relates to the classification of collectively assessed provisions on
defaulted accounts. The disclosures in this document are based on Individually and Collectively Assessed Provisions for Credit
Impairment, for ease of comparison with other published results.

ANZ Basel III Pillar 3 Disclosure June 2020


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Table 5 Securitisation

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



Jun 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 (207) (129) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (207) (129) - -

Securitisation activity by facility provided Notional amount
$M
Liquidity facilities -
Funding facilities (105)
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (255)
Other 1
Total (359)


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 (118) 69,008 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (118) 69,008 - -

Securitisation activity by facility provided Notional amount
$M
Liquidity facilities -
Funding facilities 625
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (180)
Other 243
Total 688





8
Activity represents net movement in outstanding.

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


Dec 19

Original value
securitised
Securitisation activity by underlying asset
type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised gain
or loss on sale
$M
Residential mortgage (143) (6,221) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (143) (6,221) - -

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



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

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

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

Jun 20 Mar 20 Dec 19
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities - - -
Funding facilities 8,801 8,799 7,052
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,142 2,397 2,577
Protection provided - - -
Other 348 432 338
Total 11,291 11,628 9,967


Jun 20 Mar 20 Dec 19
Securitisation exposure type - Off Balance Sheet $M $M $M
Liquidity facilities 20 22 23
Funding facilities 1,924 1,818 1,735
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 1,944 1,840 1,758


Jun 20 Mar 20 Dec 19
Total Securitisation exposure type $M $M $M
Liquidity facilities 20 22 23
Funding facilities 10,725 10,617 8,787
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,142 2,397 2,577
Protection provided - - -
Other 348 432 338
Total 13,235 13,468 11,725



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

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

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Table 18 Leverage ratio

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

Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure
(expressed as a percentage) as defined by APS 110. APRA has not finalised a minimum Leverage Ratio requirement for
Australian ADIs, although they have proposed a minimum of 3.5% for internal ratings based approach ADIs.

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

Jun 20 Mar 20 Dec 19 Sep 19
Capital and total exposures $M $M $M $M
20 Tier 1 capital 56,459 56,295 54,172 55,221
21 Total exposures 1,060,751 1,124,399 1,022,701 989,225
Leverage ratio
22 Basel III leverage ratio 5.3% 5.0% 5.3% 5.6%

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Table 20 Liquidity Coverage Ratio disclosure template

Jun 20 Mar 20 Dec 19

Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Liquid assets, of which:

 

 

 
1 High-quality liquid assets (HQLA) 176,310 178,751 158,981
2 Alternative liquid assets (ALA) 44,759 29,290 41,402
3
Reserve Bank of New Zealand (RBNZ)
securities
300 4,511 5,872
Cash outflows
4
Retail deposits and deposits from small
business customers
224,255 23,224 208,529 21,470 211,449 21,852
5
of which: stable deposits
96,360 4,818 82,549 4,127 81,912 4,096
6
of which: less stable deposits
127,895 18,406 125,980 17,343 129,537 17,756
7
Unsecured wholesale funding
252,193 131,113 232,218 127,180 211,756 115,753
8
of which: operational deposits (all
counterparties) and deposits in
networks for cooperative banks
87,016 21,108 71,606 17,398 65,792 15,856
9
of which: non-operational deposits
(all counterparties)
152,462 97,290 149,352 98,522 135,907 89,840
10
of which: unsecured debt
12,715 12,715 11,260 11,260 10,057 10,057
11
Secured wholesale funding
1,968 1,140 1,412
12
Additional requirements
154,399 51,185 149,498 47,058 140,594 38,768
13
of which: outflows related to
derivatives exposures and other
collateral requirements
34,214 34,214 31,150 31,150 22,915 22,915
14
of which: outflows related to loss of
funding on debt products
- - - - - -
15
of which: credit and liquidity facilities
120,185 16,971 118,348 15,908 117,679 15,853
16
Other contractual funding obligations
9,724 - 11,345 - 10,661 -
17
Other contingent funding obligations
91,354 4,754 85,308 4,377 75,473 4,813
18 Total cash outflows 212,244 201,225 182,598
Cash inflows
19 Secured lending (e.g. reverse repos) 29,169 1,987 36,542 2,243 27,329 1,480
20 Inflows from fully performing exposures 32,161 22,437 30,416 19,071 29,791 19,130
21 Other cash inflows 27,079 27,079 24,345 24,345 16,031 16,031
22 Total cash inflows 88,409 51,503 91,303 45,659 73,151 36,641
23 Total liquid assets 221,369 212,552 206,255
24 Total net cash outflows 160,741 155,566 145,957
25 Liquidity Coverage Ratio (%) 137.7% 136.6% 141.3%

Number of data points used (simple
average)
65 64 66

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 30 June 2020 was 137.7% with total liquid assets exceeding net outflows by
an average of $60.6b.

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

The liquid asset portfolio continues to be mostly made up of HQLA securities and cash, on average 80% through the
quarter.

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

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

ANZ Basel III Pillar 3 Disclosure June 2020


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Glossary

ADI Authorised Deposit-taking Institution.

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

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

Credit exposure The aggregate of all claims, commitments and contingent liabilities arising from on-
and off-balance sheet transactions (in the banking book and trading book) with the
counterparty or group of related counterparties.

Credit risk The risk of financial loss resulting from the failure of ANZ’s customers and
counterparties to honour or perform fully the terms of a loan or contract.

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

Days past due The number of days a credit obligation is overdue, commencing on the date that the
arrears or excess occurs and accruing for each completed calendar day thereafter.

Exposure at Default (EAD) Exposure At Default is defined as the expected facility exposure at the date of default.

Impaired assets (IA) Facilities are classified as impaired when there is doubt as to whether the contractual
amounts due, including interest and other payments, will be met in a timely manner.
Impaired assets include impaired facilities, and impaired derivatives. Impaired
derivatives have a credit valuation adjustment (CVA), which is a market assessment
of the credit risk of the relevant counterparties.

Impaired loans (IL) Impaired loans comprise of drawn facilities where the customer’s status is defined as
impaired.

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

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

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

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

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

ANZ Basel III Pillar 3 Disclosure June 2020


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Operational risk The risk of loss resulting from inadequate or failed internal controls or from external
events, including legal risk but excluding reputation risk.

Past due facilities Facilities where a contractual payment has not been met or the customer is outside of
contractual arrangements are deemed past due. Past due facilities include those
operating in excess of approved arrangements or where scheduled repayments are
outstanding but do not include impaired assets.

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

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

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

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

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

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

ANZ Basel III Pillar 3 Disclosure June 2020


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ANZ Basel III Pillar 3 Disclosure June 2020


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