APS 330 Pillar 3 Disclosure at 31 December 2021

Australia and New Zealand Banking Group Limited ABN 11 005 357 522
ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008
7 February 2022
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 December 2021
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure at 31 December 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 31 DECEMBER 2021
APS330: PUBLIC DI
SCLOSURE
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 December 2021


2

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


Dec 21 Sep 21 Jun 21
Risk Wei
ghted Assets (RWA) $M $M $M
Sub
ject to Advanced Internal Rating Based (IRB) approach
Corporate 142,829 136,298 137,358
Sovereign 10,085 9,893 8,657
Bank 9,810 9,118 9,231
Residential Mort
gage 111,190 110,622 110,505
Qualif
ying Revolving Retail 3,598 3,723 3,618
Other Retail 19,063 19,660 20,464
Credit risk weighted assets subject to Advanced IRB approach 296,575 289,314 289,833

Credit Risk Specialised Lending exposures subject to slotting
approach
1
37,566 36,977 36,423

Subject to Standardised approach
Corporate 7,263 6,632 5,791
Sovereign 255 27 35
Residential Mortgage 199 203 199
Other Retail 15 17 19
Credit risk wei
ghted assets subject to Standardised approach 7,732 6,879 6,044

Credit Valuation Adjustment and Qualifying Central Counterparties 2,909 3,270 3,636

Credit risk weighted assets relating to securitisation exposures 2,037 2,056 2,131
Other assets 4,028 4,002 4,146
Total credit risk wei
ghted assets 350,847 342,498 342,213

Market risk weighted assets 7,948 7,127 7,666
Operational risk weighted assets 48,253 48,425 47,383
Interest rate risk in the banking book (IRRBB) risk weighted assets 23,876 18,036 14,948
Total Risk Wei
ghted Assets 430,924 416,086 412,210

Capital ratios (%) Dec 21 Sep 21 Jun 21
Level 2 Common Equity Tier 1 capital ratio 11.6% 12.3% 12.2%
Level 2 Tier 1 capital ratio 13.5% 14.3% 14.1%
Level 2 Total ca
pital ratio 17.4% 18.4% 18.1%

Basel III APRA level 2 CET1
Dec 21 Se
p 21 Jun 21
Common Equity Tier 1 Capital 50,186 51,359 50,245
Total Risk Weighted Assets 430,924 416,086 412,210
Common Equity Tier 1 capital ratio 11.6% 12.3% 12.2%

Basel III APRA level 1 Extended licensed entity CET1
Dec 21 Se
p 21 Jun 21
Common Equity Tier 1 Capital 44,101 45,555 45,424
Total Risk Weighted Assets 393,522 379,387 377,876
Common Equity Tier 1 capital ratio 11.2% 12.0% 12.0%

Credit Risk Weighted Assets (CRWA)
Total Credit RWA increased by $8.3 billion (+2.4%) from September 2021 to $350.8 billion at December 2021. The increase was mainly
in the Corporate asset class, driven by lending growth in the Institutional business.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
IRRBB RWA increased by $5.8 billion over the quarter due to a decline in IToC Embedded Gains.




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

ANZ Basel III Pillar 3 Disclosure December 2021


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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



Dec 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 142,829 300,272 294,101 (2) 14
Sovereign 10,085 274,244 260,849 - -
Bank 9,810 32,211 32,123 - -
Residential Mortgage 111,190 411,804 411,026 12 9
Qualifying Revolving Retail 3,598 13,717 13,743 17 32
Other Retail 19,063 29,349 29,723 43 58
Total Advanced IRB approach 296,575 1,061,597 1,041,565 70 113

Specialised Lending 37,566 46,240 45,640 8 -

Standardised approach
Corporate 7,263 7,228 6,939 - 3
Sovereign 255 491 259 - -
Residential Mortgage 199 424 428 - -
Other Retail 15 14 15 - 2
Total Standardised approach 7,732 8,157 7,641 - 5

Credit Valuation Adjustment and
Qualifying Central Counterparties
2,909 6,572 6,496 - -

Total 344,782 1,122,566 1,101,342 78 118






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

ANZ Basel III Pillar 3 Disclosure December 2021


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


Sep 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 136,298 287,932 282,878 16 42
Sovereign 9,893 247,455 254,500 - -
Bank 9,118 32,035 32,198 - -
Residential Mortgage 110,622 410,249 409,345 (10) 11
Qualifying Revolving Retail 3,723 13,769 13,883 20 33
Other Retail 19,660 30,096 30,264 24 70
Total Advanced IRB approach 289,314 1,021,536 1,023,068 50 156

Specialised Lending 36,977 45,039 44,676 (5) -



Standardised approach
Corporate 6,632 6,649 6,229 2 -
Sovereign 27 27 31 - -
Residential Mortgage 203 431 426 1 1
Other Retail 17 16 18 - -
Total Standardised approach 6,879 7,123 6,704 3 1

Credit Valuation Adjustment and
Qualifying Central Counterparties
3,270 6,420 8,046 - -

Total 336,440 1,080,118 1,082,494 48 157

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 approach 289,833 1,024,598 1,004,568 19 127

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



Standardised approach
Corporate 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

ANZ Basel III Pillar 3 Disclosure December 2021


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



Average for the
quarter ended
Dec 21 Sep 21 Jun 21 Dec 21
Portfolio Type $M $M $M $M
Cash 159,941 133,269 136,806 146,605
Contingents liabilities, commitments, and other off-
balance sheet ex
posures
184,178 175,410 175,574 179,794
Derivatives 40,092 40,937 43,086 40,515
Settlement Balances 32 138 13 85
Investment Securities 76,560 79,346 87,133 77,953
Net Loans, Advances & Acceptances 630,426 617,951 607,377 624,188
Other assets 8,628 8,390 10,197 8,509
Trading Securities 22,709 24,677 24,680 23,693
Total exposures 1,122,566 1,080,118 1,084,866 1,101,342






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

ANZ Basel III Pillar 3 Disclosure December 2021


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Table 4(b): Impaired asset
4

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


Dec 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 7 1,027 216 327 (2) 14
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 353 2,126 99 12 9
Qualifying Revolving Retail - 35 - - 17 32
Other Retail - 295 366 192 43 58
Total Advanced IRB approach 7 1,710 2,708 618 70 113

Specialised Lending - 110 20 22 8 -

Portfolios subject to Standardised approach
Corporate - 107 77 38 - 3
Residential Mortgage - 10 42 5 - -
Other Retail - 9 - 3 - 2
Total Standardised approach - 126 119 46 - 5

Qualifying Central Counterparties - - - - - -

Total 7 1,946 2,847 686 78 118






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 (September 2021: $1 million; June 2021: $1 million).
5
Impaired loans / facilities include restructured items of $392 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 2021: $355 million; June 2021: $334 million).
6
For regulatory reporting not well secured portfolio managed retail exposures have been reclassified from past due loans ≥ 90 days to
impaired loans / facilities.

ANZ Basel III Pillar 3 Disclosure December 2021


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


Sep 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 11 1,083 217 338 16 42
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 363 2,214 93 (10) 11
Qualifying Revolving Retail - 33 - - 20 33
Other Retail - 328 401 187 24 70
Total Advanced IRB approach 11 1,807 2,832 618 50 156

Specialised Lending - 66 35 13 (5) -

Portfolios subject to Standardised approach
Corporate 1 119 94 46 2 -
Residential Mortgage - 10 44 6 1 1
Other Retail - 11 - 4 - -
Total Standardised approach 1 140 138 56 3 1

Qualifying Central Counterparties - - - - - -

Total 12 2,013 3,005 687 48 157

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
Qualifying Revolving Retail - 35 - - 14 27
Other Retail - 357 412 209 28 53
Total Advanced IRB approach - 1,979 3,013 672 19 127

Specialised Lending - 75 47 18 - -

Portfolios subject to Standardised approach
Corporate 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

ANZ Basel III Pillar 3 Disclosure December 2021


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



Dec 21
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 423 3,635 4,058
Individually Assessed Provisions 686 - 686
Total Provision for Credit Impairment 1,109 3,635 4,744


Sep 21
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 436 3,759 4,195
Individually Assessed Provisions 687 - 687
Total Provision for Credit Impairment 1,123 3,759 4,882


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 Impairment 1,183 3,807 4,990






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 December 2021


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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

Dec 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 (84) (287) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (84) (287) - -






Securitisation activity by facility provided
Notional amount
$M
Liquidity facilities -
Funding facilities (299)
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 362
Other 2
Total


59




Se
p 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 (98) 2,456 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (98) 2,456 - -


Securitisation activity by facility provided

Notional amount
$M
Liquidity facilities -
Funding facilities (600)
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 151
Other 3
Total (446)



8
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2021


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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



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

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

ANZ Basel III Pillar 3 Disclosure December 2021


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


Dec 21 Sep 21 Jun 21
Securitisation exposure type - On balance
sheet
$M $M $M
Liquidity facilities - - -
Funding facilities 7,144 7,696 7,955
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,986 2,624 2,473
Protection provided - - -
Other 146 177 196
Total 10,276 10,497 10,624


Dec 21 Sep 21 Jun 21
Securitisation exposure type - Off Balance
Sheet
$M $M $M
Liquidity facilities 14 15 16
Funding facilities 2,191 2,084 2,474
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 2,205 2,099 2,490


Dec 21 Sep 21 Jun 21
Total Securitisation exposure type $M $M $M
Liquidity facilities 14 15 16
Funding facilities 9,335 9,780 10,429
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,986 2,624 2,473
Protection provided - - -
Other 146 177 196
Total 12,481 12,596 13,114



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

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

ANZ Basel III Pillar 3 Disclosure December 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 requires ADIs authorised to use the internal ratings
based approach to credit risk to maintain a minimum leverage ratio of 3.5% from January 2023.

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


Dec 21 Sep 21 Jun 21 Mar 21
Capital and total exposures $M $M $M $M
20 Tier 1 capital 58,020 59,473 57,919 58,431
21 Total exposures 1,128,011 1,088,070 1,079,388 1,053,192
Leverage ratio
22 Basel III leverage ratio 5.1% 5.5% 5.4% 5.5%

ANZ Basel III Pillar 3 Disclosure December 2021


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Table 20 Liquidity Coverage Ratio disclosure template


Dec 21 Sep 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) 229,565 229,748
2 Alternative liquid assets (ALA) 10,700 8,025
3 Reserve Bank of New Zealand (RBNZ) securities - 22
Cash outflows
4 Retail deposits and deposits from small business
customers
278,347 28,583 267,495 27,477
5 of which: stable deposits 119,886 5,994 114,957 5,748
6 of which: less stable deposits 158,461 22,589 152,538 21,729
7 Unsecured wholesale funding 280,746 145,579 271,577 141,562
8 of which: operational deposits (all counterparties) and
deposits in networks for cooperative banks
105,142 25,411 98,712 23,840
9 of which: non-operational deposits (all counterparties) 160,873 105,437 157,480 102,337
10 of which: unsecured debt 14,731 14,731 15,385 15,385
11 Secured wholesale funding 742 681
12 Additional requirements 155,935 44,943 144,670 39,722
13 of which: outflows related to derivatives exposures
and other collateral re
quirements
27,425 27,425 22,824 22,824
14 of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 128,510 17,518 121,846 16,898
16 Other contractual funding obligations 8,877 - 8,789 -
17 Other contingent funding obligations 97,704 6,359 101,203 6,006
18 Total cash outflows 226,206 215,448
Cash inflows
19 Secured lending (e.g. reverse repos) 12,719 1,437 13,422 1,580
20 Inflows from fully performing exposures 26,663 17,786 24,857 16,068
21 Other cash inflows 25,953 25,953 22,636 22,636
22 Total cash inflows 65,335 45,176 60,915 40,284
23 Total liquid assets 240,265 237,795
24 Total net cash outflows 181,030 175,164
25 Liquidity Coverage Ratio (%) 132.7% 135.8%
Number of data points used (simple average) BLANK 66 66

Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 31 December 2021 was 132.7% with total liquid assets exceeding net outflows
by an average of $59.2b.

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 December 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
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 December 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
outstanding but do not include impaired assets.

Qualifying Central
Counterparties (QCCP)

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

Recoveries

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

Restructured items




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

Risk Weighted Assets (RWA)



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

Securitisation risk


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

Write-Offs




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

ANZ Basel III Pillar 3 Disclosure December 2021


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