APS 330 Pillar 3 Disclosure at 31 December 2022

Australia and New Zealand Banking Group Limited ABN 11 005 357 522
ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008
9 February 2023
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31 December 2022
Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure as at 31 December 2022.
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 2022
APS 330: Public Disclosure
Basel III
Pillar 3
Disclosure
2022

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 2022


2
Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets
1



Dec 22 Sep 22 Jun 22
Risk Weighted Assets (RWA) $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 148,944 146,069 146,770
Sovereign 11,289 10,955 10,392
Bank 11,919 12,071 11,604
Residential Mortgage 120,182 113,590 112,190
Qualifying Revolving Retail 3,236 3,272 3,356
Other Retail 16,944 17,029 17,668
Credit risk weighted assets subject to Advanced IRB approach 312,514 302,986 301,980

Credit Risk Specialised Lending exposures subject to slotting approach
1
42,146 39,792 40,034

Subject to Standardised approach
Corporate 5,837 6,235 6,031
Sovereign 110 29 22
Residential Mortgage 216 224 199
Other Retail 10 11 11
Credit risk weighted assets subject to Standardised approach 6,173 6,499 6,263

Credit Valuation Adjustment and Qualifying Central Counterparties 3,033 3,865 2,455

Credit risk weighted assets relating to securitisation exposures 2,498 2,424 2,466
Other assets 4,114 3,876 3,833
Total credit risk weighted assets 370,478 359,442 357,031

Market risk weighted assets 11,406 9,282 7,758
Operational risk weighted assets 42,319 47,931 47,980
Interest rate risk in the banking book (IRRBB) risk weighted assets 37,866 38,063 38,444
Total Risk Weighted Assets 462,069 454,718 451,213

Capital ratios (%) Dec 22 Sep 22 Jun 22
Level 2 Common Equity Tier 1 capital ratio 12.2% 12.3% 11.1%
Level 2 Tier 1 capital ratio 13.9% 14.0% 12.8%
Level 2 Total capital ratio 18.4% 18.2% 16.0%

Basel III APRA level 2 CET1 Dec-22 Sep-22 Jun-22
Common Equity Tier 1 Capital 56,383 55,872 49,976
Total Risk Weighted Assets 462,069 454,718 451,213
Common Equity Tier 1 capital ratio 12.2% 12.3% 11.1%

Basel III APRA level 1 Extended licensed entity CET1 Dec-22 Sep-22 Jun-22
Common Equity Tier 1 Capital 46,013 47,091 40,025
Total Risk Weighted Assets 397,373 392,018 384,319
Common Equity Tier 1 capital ratio 11.6% 12.0% 10.4%












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 2022


3
Credit Risk Weighted Assets (CRWA)
Total Credit RWA increased by $11.0 billion (3.1%) from September 2022 to December 2022 predominantly driven
by lending volume growth in Institutional $4.5b, growth in Australia Retail Mortgages portfolio $2.2b and foreign
exchange movements $1.6b.


Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)
Traded Market Risk RWA increased by $2.1 billion (+22.9%) over the quarter mainly due to increase in Stressed
VaR.
Operational Risk RWA decreased by $5.6 billion because of ANZ adopting APS 115 Capital Adequacy: Standardised
Measurement Approach (SMA) to Operational Risk in December 2022.
IRRBB RWA decreased by $0.2 billion over the quarter, of which $1.0 billion was due to a reduction in IToC
Embedded Losses, offset by increased market volatility impacting Repricing & Yield curve risk.

ANZ Basel III Pillar 3 Disclosure December 2022


4
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 22
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 148,944 332,596 329,916 (114) 19
Sovereign 11,289 286,758 276,802 - -
Bank 11,919 38,411 39,445 - -
Residential Mortgage 120,182 430,889 422,507 (4) 5
Qualifying Revolving Retail 3,236 13,235 13,272 12 22
Other Retail 16,944 27,163 27,126 3 38
Total Advanced IRB approach 312,514 1,129,052 1,109,068 (103) 84

Specialised Lending 42,146 50,752 49,747 3 -

Standardised approach
Corporate 5,837 5,711 5,844 1 12
Sovereign 110 110 128 - -
Residential Mortgage 216 429 432 - -
Other Retail 10 10 10 (2) 1
Total Standardised approach 6,173 6,260 6,414 (1) 13

Credit Valuation Adjustment and
Qualifying Central Counterparties
3,033 7,070 7,493 - -

Total 363,866 1,193,134 1,172,722 (101) 97






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 2022


5
Table 4(a) part (i): Period end and average Exposure at Default (continued)


Sep 22
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 146,069 327,238 322,553 (1) 17
Sovereign 10,955 266,845 262,170 - -
Bank 12,071 40,479 40,413 - -
Residential Mortgage 113,590 414,125 413,344 (7) 9
Qualifying Revolving Retail 3,272 13,309 13,376 (1) 21
Other Retail 17,029 27,088 27,501 (9) 49
Total Advanced IRB approach 302,986 1,089,084 1,079,358 (18) 96

Specialised Lending 39,792 48,742 48,996 (9) -



Standardised approach
Corporate 6,235 5,976 5,915 5 4
Sovereign 29 146 129 - -
Residential Mortgage 224 435 435 1 1
Other Retail 11 10 11 (1) (2)
Total Standardised approach 6,499 6,567 6,489 5 3

Credit Valuation Adjustment and
Qualifying Central Counterparties
3,865 7,916 7,454 - -

Total 353,142 1,152,309 1,142,297 (22) 99

Jun 22
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 146,770 317,867 308,355 (11) 19
Sovereign 10,392 257,495 255,330 - -
Bank 11,604 40,347 38,197 - -
Residential Mortgage 112,190 412,563 412,095 (5) 5
Qualifying Revolving Retail 3,356 13,443 13,477 13 24
Other Retail 17,668 27,914 28,291 7 57
Total Advanced IRB approach 301,980 1,069,629 1,055,745 4 105

Specialised Lending 40,034 49,249 48,233 8 -



Standardised approach
Corporate 6,031 5,853 5,978 2 -
Sovereign 22 111 145 - -
Residential Mortgage 199 434 425 - -
Other Retail 11 11 12 - 2
Total Standardised approach 6,263 6,409 6,560 2 2

Credit Valuation Adjustment and
Qualifying Central Counterparties
2,455 6,992 6,893 - -

Total 350,732 1,132,279 1,117,431 14 107

ANZ Basel III Pillar 3 Disclosure December 2022


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



Average for the
quarter ended
Dec 22 Sep 22 Jun 22 Dec 22
Portfolio Type $M $M $M $M
Cash 166,463 152,042 147,212 159,253
Contingents liabilities, commitments, and other off-
balance sheet exposures
193,033 183,411 183,472 188,222
Derivatives 46,122 53,875 46,643 49,999
Settlement Balances 1 34 16 18
Investment Securities 83,642 81,198 80,158 82,420
Net Loans, Advances & Acceptances 671,545 653,303 646,014 662,423
Other assets 12,419 9,163 8,284 10,791
Trading Securities 19,909 19,283 20,480 19,596
Total exposures 1,193,134 1,152,309 1,132,279 1,172,722






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 2022


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Table 4(b): Impaired asset
4

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


Dec 22

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 4 318 216 148 (114) 19
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 383 1,783 55 (4) 5
Qualifying Revolving Retail - 31 - - 12 22
Other Retail - 208 220 117 3 38
Total Advanced IRB approach 4 940 2,219 320 (103) 84

Specialised Lending - 52 13 32 3 -

Portfolios subject to Standardised approach
Corporate - 147 48 46 1 12
Residential Mortgage - 30 8 6 - -
Other Retail - 7 - 1 (2) 1
Total Standardised approach - 184 56 53 (1) 13

Qualifying Central Counterparties - - - - - -

Total 4 1,176 2,288 405 (101) 97






4
Impaired derivatives are net of credit valuation adjustment (CVA) of nil, being a market value based assessment of the credit risk of
the relevant counterparties (September 2022: nil; June 2022: nil).
5
Impaired loans / facilities include restructured items of $385 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 2022: $376 million; June 2022: $303 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 2022


8
Table 4(b): Impaired asset, Past due loans, Provisions and Write-offs (continued)


Sep 22
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
a
pproach

Corporate 7 568 272 251 (1) 17
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 371 1,759 63 (7) 9
Qualifying Revolving Retail - 29 - - (1) 21
Other Retail - 225 247 133 (9) 49
Total Advanced IRB approach 7 1,193 2,278 447 (18) 96

Specialised Lending - 51 15 29 (9) -

Portfolios subject to Standardised approach
Corporate - 200 55 57 5 4
Residential Mortgage - 31 9 6 1 1
Other Retail - 8 - 3 (1) (2)
Total Standardised approach - 239 64 66 5 3

Qualifying Central Counterparties - - - - - -

Total 7 1,483 2,357 542 (22) 99

Jun 22
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
a
pproach

Corporate 7 618 253 270 (11) 19
Sovereign - - - - - -
Bank - - - - - -
Residential Mortgage - 345 1,955 79 (5) 5
Qualifying Revolving Retail - 32 - - 13 24
Other Retail - 234 287 145 7 57
Total Advanced IRB approach 7 1,229 2,495 494 4 105

Specialised Lending - 101 13 36 8 -

Portfolios subject to Standardised approach
Corporate - 189 65 51 2 -
Residential Mortgage - 30 12 6 - -
Other Retail - 9 1 1 - 2
Total Standardised approach - 228 78 58 2 2

Qualifying Central Counterparties - - - - - -

Total 7 1,558 2,586 588 14 107

ANZ Basel III Pillar 3 Disclosure December 2022


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



Dec 22
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 370 3,518 3,888
Individually Assessed Provisions 405 - 405
Total Provision for Credit Impairment 775 3,518 4,293


Sep 22
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 389 3,464 3,853
Individually Assessed Provisions 542 - 542
Total Provision for Credit Impairment 931 3,464 4,395


Jun 22
Specific Provision
Balance
$M
General Reserve for
Credit Losses
$M
Total
$M
Collectively Assessed Provisions for Credit Impairment 420 3,359 3,779
Individually Assessed Provisions 588 - 588
Total Provision for Credit Impairment 1,008 3,359 4,367






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 2022


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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 22
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 (67) 139 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (67) 139 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities (76)
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (343)
Other -
Total (419)


Sep 22
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 (149) 2,306 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (149) 2,306 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities 1,486
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 112
Other 1
Total 1,599





8
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2022


11
Jun 22

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
(75) 1,845 -
-
Credit cards and other personal loans
- -
- -
Auto and equipment finance
- -
- -
Commercial loans
- -
- -
Other
- -
- -
Total
(75) 1,845 - -

Securitisation activity by facility provided

Notional amount
$M
Liquidity facilities
-
Funding facilities
1,487
Underwriting facilities
-
Lending facilities
-
Credit enhancements
-
Holdings of securities (excluding trading book)
469
Other
-
Total
1,956


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 2022


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

Dec 22
Sep 22 Jun 22
Securitisation exposure type - On balance sheet
$M $M $M
Liquidity facilities - - -
Funding facilities 9,642 9,433 8,096
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 3,009 3,352 3,710
Protection provided - - -
Other 67 55 58
Total
12,718 12,840 11,864





Dec 22
Sep 22 Jun 22
Securitisation exposure type - Off Balance Sheet
$M $M $M
Liquidity facilities 12 12 13
Funding facilities 2,775 2,128 3,279
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total
2,787 2,140 3,292





Dec 22
Sep 22 Jun 22
Total Securitisation exposure type
$M $M $M
Liquidity facilities 12 12 13
Funding facilities 12,417 11,561 11,375
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 3,009 3,352 3,710
Protection provided - - -
Other 67 55 58
Total
15,505 14,980 15,156




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 2022


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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 22 Sep 22 Jun 22 Mar 22
Capital and total exposures
$M $M $M $M
20 Tier 1 capital
64,009 63,558 57,578 58,001
21 Total exposures
1,210,057 1,168,311 1,156,723 1,117,287
Leverage ratio

22 Basel III leverage ratio
5.3% 5.4% 5.0% 5.2%

ANZ Basel III Pillar 3 Disclosure December 2022


14
Table 20 Liquidity Coverage Ratio disclosure template



Dec 22 Sep 22

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) 256,833 241,616
2 Alternative liquid assets (ALA) 2,675 4,458
3 Reserve Bank of New Zealand (RBNZ) securities 899 543
Cash outflows
4 Retail deposits and deposits from small business
customers
265,296 24,405 270,102 25,078
5 of which: stable deposits 120,079 6,004 121,616 6,081
6 of which: less stable deposits 145,217 18,401 148,486 18,997
7 Unsecured wholesale funding 307,414 166,606 297,867 157,736
8 of which: operational deposits (all counterparties) and
deposits in networks for cooperative banks
100,182 24,155 102,110 24,633
9
of which: non-operational deposits (all counterparties)
189,725 124,944 180,773 118,119
10 of which: unsecured debt 17,507 17,507 14,984 14,984
11 Secured wholesale funding 1,313 1,147
12 Additional requirements 192,791 70,636 178,842 57,835
13 of which: outflows related to derivatives exposures and
other collateral requirements
49,772 49,772 38,093 38,093
14 of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 143,019 20,864 140,749 19,742
16 Other contractual funding obligations 8,705 - 9,083 -
17 Other contingent funding obligations 105,716 7,225 109,163 6,388
18 Total cash outflows 270,185 248,184
Cash inflows
19 Secured lending (e.g. reverse repos) 17,488 1,898 16,421 1,671
20 Inflows from fully performing exposures 27,826 19,121 28,406 19,323
21 Other cash inflows 41,993 41,993 35,617 35,617
22 Total cash inflows 87,307 63,012 80,444 56,611
23 Total liquid assets 260,407 246,617
24 Total net cash outflows 207,173 191,573
25 Liquidity Coverage Ratio (%) 125.7% 128.7%
Number of data points used (simple average) 65 66



Liquidity Coverage Ratio (LCR)

ANZ’s average LCR for the 3 months to 30 December 2022 was 125.7% with total liquid assets exceeding net outflows
by an average of $53.2 billion.

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 2022


15
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 2022


16
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 2022


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ANZ Basel III Pillar 3 Disclosure December 2022


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