APS 330 Pillar 3 Disclosure at 30 June 2021

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



18
th
August 2021

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





APS 330 Pillar 3 Disclosure at 30 June 2021

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 30 June 2021.
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 2021
APS 330: PUBLIC DISCLOSURE
2021
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 2021


2

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


Jun 21 Mar 21 Dec 20
Risk Wei
ghted Assets (RWA) $M $M $M
Sub
ject to Advanced Internal Rating Based (IRB) approach
Corporate 137,358 135,713 132,872
Sovereign 8,657 7,750 7,856
Bank 9,231 10,092 10,893
Residential Mort
gage 110,505 110,206 111,842
Qualif
ying Revolving Retail 3,618 3,678 4,008
Other Retail 20,464 20,693 21,391
Credit risk weighted assets subject to Advanced IRB approach 289,833 288,132 288,862

Credit Risk Specialised Lending exposures subject to slotting approach
1
36,423 36,476 38,637

Subject to Standardised approach
Corporate 5,791 6,388 10,072
Sovereign 35 76 156
Residential Mort
gage 199 203 203
Other Retail 19 23 27
Credit risk weighted assets subject to Standardised approach 6,044 6,690 10,458

Credit Valuation Adjustment and Qualifying Central Counterparties 3,636 4,281 5,724

Credit risk weighted assets relating to securitisation exposures 2,131 2,220 2,190
Other assets 4,146 4,063 4,351
Total credit risk weighted assets 342,213 341,862 350,222

Market risk weighted assets 7,666 8,955 10,215
O
perational risk weighted assets 47,383 47,199 47,372
Interest rate risk in the bankin
g book (IRRBB) risk weighted assets 14,948 10,150 14,202
Total Risk Weighted Assets 412,210 408,166 422,011

Capital ratios (%) Jun 21 Mar 21 Dec 20
Level 2 Common E
quity Tier 1 capital ratio 12.2% 12.4% 11.7%
Level 2 Tier 1 capital ratio 14.1% 14.3% 13.5%
Level 2 Total ca
pital ratio 18.1% 18.3% 17.3%

Basel III APRA level 2 CET1
Jun 21 Mar 21 Dec 20
Common Equity Tier 1 Capital 50,245 50,786 49,334
Total Risk Weighted Assets 412,210 408,166 422,011
Common E
quity Tier 1 capital ratio 12.2% 12.4% 11.7%

Basel III APRA level 1 Extended licensed entity CET1
Jun 21 Mar 21 Dec 20
Common Equity Tier 1 Capital 45,424 45,854 44,353
Total Risk Weighted Assets 377,876 374,939 384,857
Common E
quity Tier 1 capital ratio 12.0% 12.2% 11.5%

Credit Risk Weighted Assets (CRWA)
Total Credit RWA marginally increased by $0.4 billion (0.1%) from March 2021 to $342.2 billion at June 2021. The increase from lending
growth in the Institutional division and foreign exchange movements were offset by a reduction in derivative exposure reducing CVA RWA
and Credit RWA.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA decreased $1.3 billion over the quarter due to reduction in 10d VaR.
IRRBB RWA increased $4.8 billion due to a deterioration in Embedded Gains combined with an increase in Repricing and Yield Curve
Risk.


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

ANZ Basel III Pillar 3 Disclosure June 2021


3


Table 4 Credit risk exposures

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

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


Jun 21
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 137,358 277,824 274,286 (30) 37
Sovereign 8,657 261,545 244,684 - -
Bank 9,231 32,360 33,881 - -
Residential Mortgage 110,505 408,441 406,996 7 10
Qualifying Revolving Retail 3,618 13,997 14,061 14 27
Other Retail 20,464 30,431 30,660 28 53
Total Advanced IRB a
pproach 289,833 1,024,598 1,004,568 19 127

Specialised Lending 36,423 44,313 43,908 - -

Standardised approach
Cor
porate 5,791 5,808 6,127 2 2
Sovereign 35 35 52 - -
Residential Mortgage 199 421 422 - -
Other Retail 19 19 21 - -
Total Standardised approach 6,044 6,283 6,622 2 2

Credit Valuation Adjustment and
Qualifying Central Counterparties 3,636 9,672 9,932 - -

Total 335,936 1,084,866 1,065,030 21 129






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 2021


4

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


Mar 21
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 135,713 270,749 268,080 57 43
Sovereign 7,750 227,824 222,104 - -
Bank 10,092 35,401 36,130 - -
Residential Mortgage 110,206 405,552 404,994 46 55
Qualifying Revolving Retail 3,678 14,125 14,312 12 27
Other Retail 20,693 30,888 31,203 52 81
Total Advanced IRB approach 288,132 984,539 976,823 167 206

Specialised Lending 36,476 43,502 44,758 - -



Standardised approach
Corporate 6,388 6,445 8,865 (4) 7
Sovereign 76 69 109 - -
Residential Mortgage 203 422 422 - 1
Other Retail 23 22 25 3 -
Total Standardised approach 6,690 6,958 9,421 (1) 8

Credit Valuation Adjustment and
Qualifying Central Counterparties
4,281 10,192 11,008 - -

Total 335,579 1,045,191 1,042,010 166 214

Dec 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 132,872 265,411 269,912 (8) 25
Sovereign 7,856 216,384 201,494 - -
Bank 10,893 36,858 39,515 - -
Residential Mortgage 111,842 404,435 398,373 - 16
Qualifying Revolving Retail 4,008 14,499 14,673 21 34
Other Retail 21,391 31,517 31,724 7 45
Total Advanced IRB approach 288,862 969,104 955,691 20 120

Specialised Lending 38,637 46,014 46,222 - 1



Standardised approach
Corporate 10,072 11,285 11,315 2 4
Sovereign 156 148 180 - -
Residential Mortgage 203 421 428 - 1
Other Retail 27 27 30 (1) -
Total Standardised approach 10,458 11,881 11,953 1 5

Credit Valuation Adjustment and
Qualifying Central Counterparties
5,724 11,824 10,754 - -

Total 343,681 1,038,823 1,024,620 21 126

ANZ Basel III Pillar 3 Disclosure June 2021


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



Average for the
quarter ended
Jun 21
Mar 21 Dec 20 Jun 21
Portfolio Type $M $M $M $M
Cash 136,806 107,422 88,954 122,114
Contingents liabilities, commitments, and other off-
balance sheet exposures
175,574 170,731 172,078 173,153
Derivatives 43,086 46,614 51,906 44,850
Settlement Balances 13 61 20 37
Investment Securities 87,133 88,206 93,972 87,670
Net Loans, Advances & Acceptances 607,377 600,397 598,524 603,887
Other assets 10,197 7,846 8,399 9,022
Trading Securities 24,680 23,914 24,970 24,297
Total exposures 1,084,866 1,045,191 1,038,823 1,065,030






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

ANZ Basel III Pillar 3 Disclosure June 2021


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Table 4(b): Impaired asset
4

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

Jun 21

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 - 1,175 229 350 (30) 37
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 412 2,372 113 7 10
Qualif
ying Revolving Retail - 35 - - 14 27
Other Retail - 357 412 209 28 53
Total Advanced IRB a
pproach - 1,979 3,013 672 19 127

Specialised Lending - 75 47 18 - -

Portfolios subject to Standardised approach
Cor
porate 1 127 67 43 2 2
Residential Mortgage - 10 29 6 - -
Other Retail - 10 - 4 - -
Total Standardised approach 1 147 96 53 2 2

Qualifying Central Counterparties - - - - - -

Total 1 2,201 3,156 743 21 129






4
Impaired derivatives are net of credit valuation adjustment (CVA) of $1 million, being a market value based assessment of the credit
risk of the relevant counterparties (March 2021: $1 million; December 2020: $1 million).
5
Impaired loans / facilities include restructured items of $334 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 2021: $300 million; December 2020: $497 million).
6
For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans ≥ 90 days to
impaired loans / facilities.

ANZ Basel III Pillar 3 Disclosure June 2021


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

Mar 21

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 2 1,498 227 412 57 43
Sovereign - - - - - -
Bank - - - - - -
Residential Mort
gage - 434 2,446 113 46 55
Qualifying Revolving Retail - 38 - - 12 27
Other Retail - 363 418 215 52 81
Total Advanced IRB approach 2 2,333 3,091 740 167 206

Specialised Lending - 75 39 18 - -

Portfolios subject to Standardised approach
Corporate 1 112 63 43 (4) 7
Residential Mortgage - 8 29 5 - 1
Other Retail - 10 - 3 3 -
Total Standardised approach 1 130 92 51 (1) 8

Qualifying Central Counterparties - - - - - -

Total 3 2,538 3,222 809 166 214

Dec 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 - 1,497 221 393 (8) 25
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 492 2,766 122 - 16
Qualifying Revolving Retail - 43 - - 21 34
Other Retail - 384 436 226 7 45
Total Advanced IRB a
pproach - 2,416 3,423 741 20 120

Specialised Lending - 74 30 13 - 1

Portfolios subject to Standardised approach
Cor
porate - 124 32 53 2 4
Residential Mortgage - 9 15 6 - 1
Other Retail - 9 - 2 (1) -
Total Standardised approach - 142 47 61 1 5

Qualifying Central Counterparties - - - - - -

Total - 2,632 3,500 815 21 126

ANZ Basel III Pillar 3 Disclosure June 2021


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


Jun 21

Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total

$M
Collectively Assessed Provisions for Credit Impairment 440 3,807 4,247
Individually Assessed Provisions 743 - 743
Total Provision for Credit Im
pairment 1,183 3,807 4,990


Mar 21

Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total

$M
Collectively Assessed Provisions for Credit Impairment 432 3,853 4,285
Individually Assessed Provisions 809 - 809
Total Provision for Credit Impairment 1,241 3,853 5,094


Dec 20

Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 385 4,416 4,801
Individually Assessed Provisions 815 - 815
Total Provision for Credit Impairment 1,200 4,416 5,616






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 2021


9


Table 5 Securitisation



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

Jun 21

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 (93) 2,286 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (93) 2,286 - -






Securitisation activity by facility provided
Notional amount
$M
Liquidity facilities -
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 53
Other 6
Total

59




Mar 21

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 (101) (11,980) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (101) (11,980) - -


Securitisation activity by facility provided

Notional amount
$M
Liquidity facilities -
Funding facilities 500
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (212)
Other 13
Total 301



8
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure June 2021


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Dec 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 (105) (1,106) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (105) (1,106) - -

Securitisation activity by facility provided

Notional amount
$M
Liquidity facilities
-
-
Funding facilities
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 352
Other 4
Total 356



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

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

ANZ Basel III Pillar 3 Disclosure June 2021


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

Jun 21 Mar 21 Dec 20
Securitisation exposure type - On balance sheet $M $M $M
Liquidity facilities - - -
Funding facilities 7,955 9,028 8,489
Underwritin
g facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,473 2,420 2,632
Protection
provided - - -
Other 196 245 286
Total 10,624 11,693 11,407


Jun 21 Mar 21 Dec 20
Securitisation ex
posure type - Off Balance Sheet $M $M $M
Li
quidity facilities 16 17 18
Funding facilities 2,474 2,000 2,082
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdin
gs of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 2,490 2,017 2,100


Jun 21 Mar 21 Dec 20
Total Securitisation exposure type $M $M $M
Liquidity facilities 16 17 18
Funding facilities 10,429 11,028 10,571
Underwritin
g facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,473 2,420 2,632
Protection provided - - -
Other 196 245 286
Total 13,114 13,710 13,507



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

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

ANZ Basel III Pillar 3 Disclosure June 2021


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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: Capital Adequacy. APRA has not finalised a minimum Leverage Ratio
requirement for Australian ADIs, although they have proposed a minimum of 3.5% for ADIs authorised to use the internal
ratings based approach to credit risk.

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

Jun 21 Mar 21 Dec 20 Sep 20
Capital and total exposures $M $M $M $M
20 Tier 1 capital 57,919 58,431 56,996 56,481
21 Total exposures 1,079,388 1,053,192 1,062,452 1,046,670
Leverage ratio
22 Basel III leverage ratio 5.4% 5.5% 5.4% 5.4%

ANZ Basel III Pillar 3 Disclosure June 2021


13


Table 20 Liquidity Coverage Ratio disclosure template


Jun 21 Mar 21

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) 210,191 199,086
2 Alternative liquid assets (ALA) 9,635 12,542
3 Reserve Bank of New Zealand (RBNZ) securities - 19
Cash outflows
4 Retail deposits and deposits from small business
customers
255,840 26,078 250,037 25,255
5 of which: stable deposits 111,095 5,555 110,284 5,514
6 of which: less stable deposits 144,745 20,523 139,753 19,741
7 Unsecured wholesale funding 249,291 129,955 241,043 125,679
8 of which: operational deposits (all counterparties) and
deposits in networks for cooperative banks
95,939 23,163 91,433 22,034
9 of which: non-operational deposits (all
counterparties)
137,885 91,325 135,158 89,193
10 of which: unsecured debt 15,467 15,467 14,452 14,452
11 Secured wholesale funding 588 390
12 Additional requirements 142,051 37,677 150,268 44,595
13 of which: outflows related to derivatives exposures
and other collateral requirements
21,070 21,070 27,807 27,807
14
of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 120,981 16,607 122,461 16,788
16 Other contractual funding obligations 8,277 - 7,604 -
17 Other contingent funding obligations 98,402 6,373 94,246 5,552
18 Total cash outflows 200,671 201,471
Cash inflows
19 Secured lending (e.g. reverse repos) 14,716 1,592 18,809 1,503
20 Inflows from fully performing exposures 24,256 15,979 23,605 16,001
21 Other cash inflows 20,648 20,648 25,693 25,693
22 Total cash inflows 59,620 38,219 68,107 43,197
23 Total liquid assets 219,826 211,647
24 Total net cash outflows 162,452 158,274
25 Liquidity Coverage Ratio (%) 135.3% 133.7%
Number of data points used (simple average) 65 BLANK 63

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 30 June 2021 was 135.3% with total liquid assets exceeding net cash outflows
by an average of $57.4b.

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.

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 2021


14


Glossary

ADI Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capital
charge

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

Collectively Assessed
Provision for Credit
Impairment


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

Credit exposure


The aggregate of all claims, commitments and contingent liabilities arising from on-
and off-balance sheet transactions (in the banking book and trading book) with the
counter
party 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 accruin
g 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
im
paired.

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
earnin
gs due to foreign exchange rate movements.

ANZ Basel III Pillar 3 Disclosure June 2021


15



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
outstandin
g 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
wei
ght 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 b
y 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
emer
ging 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 2021


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ANZ Basel III Pillar 3 Disclosure June 2021


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