APS 330 Pillar 3 Disclosure at 31 December 2024

Australia and New Zealand Banking Group Limited
9/833 Collins Street Docklands Victoria 3008 Australia
ABN 11 005 357 522
20 February 2025
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
APS 330 Pillar 3 Disclosure at 31
December 2024
Australia and New Zealand Banking Group Limited (ANZ) today released its APS 330 Pillar 3 Disclosure as at 31
December 2024.
It 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 2024
APS 330: Public Disclosure
2024
Basel III
Pillar 3
Disclosure

1






















































Important notice

This document has been prepared by ANZ Bank HoldCo as the head of ANZ’s Level 2 Banking Group (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 2024


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

2

3



Dec 24 Sep 24 Jun 24
Risk Weighted Assets $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 69,262 62,853 60,486
Residential Mortgage
1
92,768 90,924 95,387
Retail SME 9,602 9,724 10,005
Qualifying Revolving Retail 3,181 3,235 3,314
Other Retail 1,621 1,624 1,675
Credit risk weighted assets subject to Advanced IRB approach 176,434 168,360 170,867

Subject to Foundation IRB approach
Corporate 38,463 33,275 35,130
Sovereign 11,611 11,119 11,041
Financial Institutions 32,906 29,821 29,843
Credit risk weighted assets subject to Foundation IRB approach 82,980 74,215 76,014

Credit Risk Specialised Lending exposures subject to slotting approach
2
5,077 4,242 3,762

Subject to Standardised approach
Corporate 13,510 14,699 4,955
Sovereign 301 81 247
Bank 91 80 -
Residential Mortgage 22,181 21,987 1,941
Other Retail 211 219 93
Other Assets 3,971 4,046 3,834
Credit risk weighted assets subject to Standardised approach 40,265 41,112 11,070

Credit Valuation Adjustment and Qualifying Central Counterparties 5,439 3,847 5,052

Credit risk weighted assets relating to securitisation exposures 2,393 2,452 2,556

Exposures of New Zealand banking subsidiaries

66,857 66,957 66,118

Total credit risk weighted assets 379,444 361,185 335,439

Market risk weighted assets 8,938 7,823 9,314
Operational risk weighted assets
3
50,648 49,650 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets 22,029 23,052 24,855
RWA adjustment for the IRB capital floor 11,375 4,872 20,331
Total Risk Weighted Assets 472,434 446,582 433,213

















1
Residential Mortgages risk weighted assets includes a $3.1 billion in overlay for the PD model introduced from 30 June 2024 reporting
period. Additionally, June 2024 reporting period RWA included a $9.6 billion overlay for the mortgages LGD model which was removed
from the September 2024 reporting period.
2
Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from the
asset being financed and includes project finance and object finance.
3
Includes a $9.4 billion operational risk RWA overlay ($750 million capital), subject to APRA’s acceptance of ANZ’s satisfactory
remediation of matters identified through the Self-Assessments into Governance, Culture and Accountability.

ANZ Basel III Pillar 3 Disclosure December 2024


3

Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets
4



Dec 24 Sep 24 Jun 24
Capital Floor $M $M $M
Risk weighted assets under the standardised approach
Credit Risk
4
592,047 558,503 544,947
Market risk weighted assets 8,938 7,823 9,314
Operational risk weighted assets 50,648 49,650 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets n/a n/a n/a
Total Risk Weighted Assets 651,633 615,976 597,535
Risk weighted assets prior to application of floor
Credit Risk 379,444 361,185 335,439
Market risk weighted assets 8,938 7,823 9,314
Operational risk weighted assets 50,648 49,650 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets 22,029 23,052 24,855
Total Risk Weighted Assets 461,059 441,710 412,882
Capital floor at 72.5% 472,434 446,582 433,213
Capital floor adjustment 11,375 4,872 20,331

Capital ratios (%) Dec 24 Sep 24 Jun 24
Level 2 Common Equity Tier 1 capital ratio 11.5% 12.2% 13.3%
Level 2 Tier 1 capital ratio 13.3% 14.0% 15.2%
Level 2 Total capital ratio 19.6% 20.6% 21.5%

Basel III APRA level 2 CET1 Dec 24 Sep 24 Jun 24
Common Equity Tier 1 Capital 54,333 54,469 57,576
Total Risk Weighted Assets 472,434 446,582 433,213
Common Equity Tier 1 capital ratio 11.5% 12.2% 13.3%

Basel III APRA level 1 Extended licensed entity CET1 Dec 24 Sep 24 Jun 24
Common Equity Tier 1 Capital 46,000 46,934 48,047
Total Risk Weighted Assets 398,015 372,364 372,917
Common Equity Tier 1 capital ratio 11.6% 12.6% 12.9%

Credit Risk Weighted Assets (CRWA):
Credit RWA for 31 December totalled $379.4 billion, a $18.2 billion increase quarter on quarter. The main drivers of this
increase include:
 Volume growth (+$15.5 billion) predominantly in the Institutional business (+$13.2 billion) from foreign
exchange rate changes impacting Markets exposures combined with lending growth in Corporate Finance and
trade within Transaction Banking.
 Foreign exchange and other movements (+$5.9 billion) which includes an increase for CVA RWA (+$1.8 billion)
driven by Markets exposure increase.
 Data, models and methodology (-$1.9 billion) from continued refinement in processes, data and associated
methodology treatments.
 Portfolio Risk (-$1.3 billion) predominantly related to portfolio upgrades in the Institutional portfolio.

Market Risk, IRRBB and Operational Risk RWA:
 Traded Market Risk RWA increase $1.1 billion mainly driven by increase in Stressed VaR.

 IRRBB RWA decreased $1.0 billion primarily due to an improvement in Embedded Losses.

 Operational Risk RWA increased $1.0 billion due to annual refresh as per APS 115 prudential requirements and
improved financial performance of the bank in the FY24 financial year.







4
RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach
is $135.2 billion when calculated under the standardised approach.

ANZ Basel III Pillar 3 Disclosure December 2024


4

Table 4 Credit risk exposures

Exposure at Default in Table 4 represents credit exposure net of offsets for credit risk mitigation such as netting and
financial collateral. It includes Advanced IRB, Foundation IRB, Specialised Lending and Standardised exposures, and
excludes Securitisation and Equities exposures.

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



Dec 24
Risk
Weighted
Assets
Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 69,262 143,293 139,574 - 11
Residential Mortgage 92,768 361,972 359,424 5 7
Retail SME 9,602 16,848 16,970 17 21
Qualifying Revolving Retail 3,181 12,700 12,712 7 21
Other Retail 1,621 1,456 1,472 7 13
Total Advanced IRB approach 176,434 536,269 530,151 36 73

Subject to Foundation IRB approach
Corporate 38,463 102,297 95,229 (18) -
Sovereign 11,611 247,933 237,459 - -
Financial Institution 32,906 126,348 117,298 - -
Total Foundation IRB approach 82,980 476,578 449,986 (18) -

Specialised Lending Exposures
Subject to Supervisory Slotting
5,077 6,603 5,999 - -

Subject to Standardised approach
Corporate 13,510 17,437 17,989 7 -
Sovereign 301 12,027 11,911 - -
Bank 91 400 400 - -
Residential Mortgage 22,181 63,471 63,039 - -
Other Retail 211 228 233 - 1
Other Assets 3,971 11,449 10,370 - -
Total Standardised approach 40,265 105,011 103,941 7 1

Credit Valuation Adjustment and
Qualifying Central Counterparties
5,439 10,831 9,880

Exposures of New Zealand banking
subsidiaries
66,857 196,737 195,909 10 9

Total 377,051 1,332,029 1,295,867 35 83






5
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 2024


5

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


Sep 24
Risk
Weighted
Assets

Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 62,853 135,855 134,594 15 10
Residential Mortgage 90,924 356,875 354,388 3 5
Retail SME 9,724 17,092 17,260 21 19
Qualifying Revolving Retail 3,235 12,724 12,748 13 22
Other Retail 1,624 1,488 1,526 7 14
Total Advanced IRB approach 168,360 524,034 520,516 59 70

Subject to Foundation IRB approach
Corporate 33,275 88,161 90,711 (20) 11
Sovereign 11,119 226,985 224,228 - -
Financial Institution 29,821 108,248 109,224 - -
Total Foundation IRB approach 74,215 423,394 424,162 (20) 11

Specialised Lending Exposures
Subject to Supervisory Slotting
4,242 5,394 5,035 - -



Subject to Standardised approach
Corporate 14,699 18,541 12,044 15 7
Sovereign 81 11,794 6,020 - -
Bank 80 399 1,263 - -
Residential Mortgage 21,987 62,608 31,337 (1) -
Other Retail 219 237 4,249 (1) -
Other Assets 4,046 9,292 12,769 - 1
Total Standardised approach 41,112 102,871 67,682 13 7

Credit Valuation Adjustment and
Qualifying Central Counterparties
3,847 8,930 8,870 - -

Exposures of New Zealand banking
subsidiaries
66,957 195,082 194,678 27 10

Total 358,733 1,259,705 1,220,944 79 98

ANZ Basel III Pillar 3 Disclosure December 2024


6

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


Jun 24
Risk
Weighted
Assets
Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 60,486 133,333 132,452 (12) 4
Residential Mortgage 95,387 351,900 349,133 - 6
Retail SME 10,005 17,428 17,028 15 11
Qualifying Revolving Retail 3,314 12,772 12,788 16 24
Other Retail 1,675 1,564 1,567 11 15
Total Advanced IRB approach 170,867 516,997 512,968 30 60

Subject to Foundation IRB approach
Corporate 35,130 93,261 93,578 (10) -
Sovereign 11,041 221,470 219,703 - -
Financial Institution 29,843 110,200 109,228 - -
Total Foundation IRB approach 76,014 424,931 422,509 (10) -

Specialised Lending Exposures
Subject to Supervisory Slotting
3,762 4,676 4,552 - -



Subject to Standardised approach
Corporate 4,955 5,547 5,676 (2) 1
Sovereign 247 246 209 - -
Residential Mortgage 1,941 2,128 2,086 - 2
Other Retail 93 65 65 - -
Other Assets 3,834 8,261 7,215 - -
Total Standardised approach 11,070 16,247 15,251 (2) 3

Credit Valuation Adjustment and
Qualifying Central Counterparties
5,052 8,810 8,131 - -

Exposures of New Zealand banking
subsidiaries
66,118 194,275 194,946 9 9

Total 332,883 1,165,936 1,158,357 27 72

ANZ Basel III Pillar 3 Disclosure December 2024


7

Table 4(a) part (ii): Exposure at Default by portfolio type
6



Average for
the quarter
ended
Dec 24 Sep 24 Jun 24 Dec 24
Portfolio Type $M $M $M $M
Cash 125,197 109,212 110,001 117,204
Contingents liabilities, commitments, and other off-
balance sheet exposures
174,321 165,573 158,901 169,947
Derivatives 62,694 46,990 49,408 54,842
Settlement Balances 803 797 10 800
Investment Securities 144,474 137,113 119,680 140,794
Net Loans, Advances & Acceptances 795,713 774,442 702,620 785,077
Other assets 7,944 7,665 7,480 7,805
Trading Securities 20,883 17,913 17,836 19,398
Total exposures 1,332,029 1,259,705 1,165,936 1,295,867






6
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 2024


8
Table 4(b): Non-Performing Facilities, Provisions and Write-offs


Dec 24
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

Individual
provision
charge
for three
months
Write-
offs for
three
months

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 794 141 (4)

135 48 - 11
Residential Mortgage 3,673 187 7

139 33 5 7
Retail SME 473 141 19

121 84 17 21
Qualifying Revolving Retail 37 28 6

- - 7 21
Other Retail 43 44 7

21 21 7 13
Total Advanced IRB approach 5,020 541 35

416 186 36 73



Foundation IRB approach


Corporate 30 15 (18)

29 15 (18) -
Sovereign - - -

- - - -
Financial Institution 2 - -

1 - - -
Total Foundation IRB approach 32 15 (18)

30 15 (18) -



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach


Corporate 291 46 13

148 38 7 -
Residential Mortgage 655 19 (1)

22 7 - -
Other Retail 5 2 -

5 2 - 1
Total Standardised approach 951 67 12

175 47 7 1



Exposures of New Zealand
banking subsidiaries
1,520 155 8

327 59 10 9


-
Total 7,523 778 37

948 307 35 83

ANZ Basel III Pillar 3 Disclosure December 2024


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Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)


Sep 24
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

Individual
provision
charge
for three
months
Write-
offs for
three
months

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 945 155 23

151 57 15 10
Residential Mortgage 3,520 187 9

135 35 3 5
Retail SME 465 139 25

119 83 21 19
Qualifying Revolving Retail 36 28 12

- - 13 22
Other Retail 42 44 9

21 20 7 14
Total Advanced IRB approach 5,008 553 78

426 195 59 70



Foundation IRB approach


Corporate 30 14 (21)

29 14 (20) 11
Sovereign - - -

- - - -
Financial Institution 1 - (1)

1 - - -
Total Foundation IRB approach 31 14 (22)

30 14 (20) 11



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach


Corporate 266 35 12

107 30 15 7
Residential Mortgage 652 14 1

20 5 (1) -
Other Retail 34 2 (1)

5 2 (1) -
Total Standardised approach 952 51 12

132 37 13 7



Exposures of New Zealand
banking subsidiaries
1,489 160 22

319 62 27 10



Total 7,480 778 90

907 308 79 98

ANZ Basel III Pillar 3 Disclosure December 2024


10
Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)


Jun 24
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

Individual
provision
charge
for three
months
Write-
offs for
three
months

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 831 143 17

124 52 (12) 4
Residential Mortgage 3,294 178 9

117 34 - 6
Retail SME 479 130 19

115 77 15 11
Qualifying Revolving Retail 39 29 17

- - 16 24
Other Retail 42 43 12

21 21 11 15
Total Advanced IRB approach 4,685 523 74

377 184 30 60



Foundation IRB approach


Corporate 76 39 (10)

75 39 (10) -
Sovereign - - -

- - - -
Financial Institution 2 1 1

1 - - -
Total Foundation IRB approach 78 40 (9)

76 39 (10) -



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach


Corporate 74 30 (3)

26 22 (2) 1
Residential Mortgage 76 8 -

11 5 - 2
Other Retail 5 4 -

5 4 - -
Total Standardised approach 155 42 (3)

42 31 (2) 3



Exposures of New Zealand
banking subsidiaries
1,320 149 (5)

277 47 9 9



Total 6,238 754 57

772 301 27 72

ANZ Basel III Pillar 3 Disclosure December 2024


11
Table 4(c): Specific Provision Balance and Provisions held against performing exposures
7



Dec 24
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 471 3,830 4,301
Individually Assessed Provisions 307 - 307
Total Provision for Credit Impairment 778 3,830 4,608


Sep 24
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 470 3,777 4,247
Individually Assessed Provisions 308 - 308
Total Provision for Credit Impairment 778 3,777 4,555


Jun 24
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 453 3,595 4,048
Individually Assessed Provisions 301 - 301
Total Provision for Credit Impairment 754 3,595 4,349






7
Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective Provision for accounting
purposes and the Specific Provision and Provisions held against performing exposures for regulatory purposes. This does not impact total
provisions, and essentially relates to the classification of collectively assessed provisions on defaulted accounts. The disclosures in this
document are based on Individual Provision and Collective Provision, for ease of comparison with other published results.

ANZ Basel III Pillar 3 Disclosure December 2024


12
Table 5 Securitisation

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


Dec 24
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 (357) (89) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (357) (89) - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities (3)
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (246)
Other (222)
Total (471)


Sep 24
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 2,882 11,567 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total 2,882 11,567 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities 44
Funding facilities 120
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (195)
Other 3,011
Total 2,980





8
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2024


13
Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and
facility (continued)


Jun 24
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 (36) 100 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (36) 100 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) 255
Other 4
Total 259



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 2024


14
Table 5(b) part (i): Banking Book: Securitisation - Regulatory credit exposures by exposure type


Dec 24 Sep 24 Jun 24
Securitisation exposure type - On balance
sheet
$M $M $M
Liquidity facilities - - -
Funding facilities 10,575 11,000 10,550
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 1,673 1,920 2,115
Protection provided - - -
Other 185 216 105
Total 12,433 13,136 12,770


Dec 24 Sep 24 Jun 24
Securitisation exposure type - Off Balance
Sheet
$M $M $M
Liquidity facilities 48 52 8
Funding facilities 2,636 2,203 3,339
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 2,684 2,255 3,347


Dec 24 Sep 24 Jun 24
Total Securitisation exposure type $M $M $M
Liquidity facilities 48 52 8
Funding facilities 13,211 13,203 13,889
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 1,673 1,920 2,115
Protection provided - - -
Other 185 216 105
Total 15,117 15,391 16,117




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 2024


15
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 24 Sep 24 Jun 24 Mar 24
Capital and total exposures $M $M $M $M
20 Tier 1 capital 62,699 62,676 65,846 66,709
21 Total exposures 1,432,615 1,344,137 1,250,307 1,228,121
Leverage ratio
22 Basel III leverage ratio 4.4% 4.7% 5.3% 5.4%

ANZ Basel III Pillar 3 Disclosure December 2024


16
Liquidity Risk

Liquidity Risk Overview, Management and Control Responsibilities
Liquidity risk is the risk that the Group is either:
•

unable to meet its payment obligations (including repaying depositors or maturing wholesale debt) when they fall
due; or
•

does not have the appropriate amount, tenor and composition of funding and liquidity to fund increases in its assets.

Management of liquidity and funding risks are overseen by GALCO. The Group’s liquidity and funding risks are governed
by a set of Board-approved principles and include:
•

maintaining the ability to meet all payment obligations in the immediate term;
•

ensuring that the Group maintains Board-approved ‘survival horizons’ under a range of idiosyncratic, and general
market, liquidity stress scenarios, at a country and Group-wide level, to meet cash flow obligations over the short
to medium term;
•

maintaining strength in the Group’s balance sheet structure to ensure long term resilience in the liquidity and funding
risk profile;
•

ensuring the liquidity management framework is compatible with local regulatory requirements;
•

preparing daily liquidity reports and scenario analysis to quantify the Group’s positions;
•

targeting a diversified funding base to avoid undue concentrations by investor type, maturity, market source and
currency;
•

holding a portfolio of high quality liquid assets to protect against adverse funding conditions and to support day-to-
day operations; and
•

establishing detailed contingency plans to cover different liquidity crisis events.

The Group operates under a non-operating holding company structure whereby:
•

Australia and New Zealand Banking Group Limited’s (ANZBGL’s) liquidity risk management framework remains
unchanged and continues to operate its own liquidity and funding program, governance frameworks and reporting
regime reflecting its authorised deposit-taking institution (ADI) operations;
•

ANZ Group Holdings Limited (ANZGHL), the parent entity, has no material liquidity risk given the structure and
nature of the balance sheet; and
•

ANZ Non-Bank Group is not expected to have separate funding arrangements and will rely on ANZGHL for funding.

A separate liquidity policy has been established for ANZGHL and ANZ Bank Group to reflect the differing nature of liquidity
risk inherent in each business model. ANZGHL will ensure that the parent entity and ANZ Non-Bank Group holds sufficient
cash reserves to meet operating and financing requirements.

Key Areas of Measurement for Liquidity Risk
Scenario modelling of funding sources
The Group’s liquidity risk appetite is defined by a range of regulatory and internal liquidity metrics mandated by the
ANZBGL Board. The metrics cover a range of scenarios of varying duration and level of severity.

The objective of this framework is to:
• Provide protection against shorter term extreme market dislocation and stress.
• Maintain structural strength in the balance sheet by ensuring that an appropriate amount of longer-term assets are
funded with longer-term funding.
• Ensure that no undue timing concentrations exist in the Group’s funding profile.

Key components of this framework include the Liquidity Coverage Ratio (LCR), which is a severe short term liquidity
stress scenario, Net Stable Funding Ratio (NSFR) a longer-term structural liquidity measure (both of which are mandated
by banking regulators including APRA) and internally-developed liquidity scenarios for stress testing purposes.

Liquid assets
The Group holds a portfolio of high quality (unencumbered) liquid assets to protect its liquidity position in a severely
stressed environment and to meet regulatory requirements. High quality liquid assets comprise three categories
consistent with Basel III LCR requirements:
Highest-quality liquid assets (HQLA1) - cash and highest credit quality government, central bank or public sector
securities eligible for repurchase with central banks to provide same-day liquidity.
 High-quality liquid assets (HQLA2) - high credit quality government, central bank or public sector securities, high
quality corporate debt securities and high quality covered bonds eligible for repurchase with central banks to provide
same-day liquidity.
 Alternative liquid assets (ALA) - eligible securities that the RBNZ will accept in its domestic market operations and
asset qualifying as collateral for the CLF.

ANZ Basel III Pillar 3 Disclosure December 2024


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The Group monitors and manages the size and composition of its liquid assets portfolio on an ongoing basis in line with
regulatory requirements and the risk appetite set by the ANZBGL Board.

Liquidity crisis contingency planning
The Group maintains APRA-endorsed liquidity crisis contingency plans for analysing and responding to a liquidity
threatening event at a country and Group-wide level. Key liquidity contingency crisis planning requirements and
guidelines include:

Ongoing business management Early signs/ mild stress Severe stress
• establish crisis/severity levels
• liquidity limits
• early warning indicators
• monitoring and review
• management actions not
requiring business
rationalisation
• activate contingency funding plans
• management actions for altering
asset and liability behaviour
Assigned responsibility for internal and external communications and the appropriate timing to communicate.

Since the precise nature of any stress event cannot be known in advance, we design the plans to be flexible to the
nature and severity of the stress event with multiple variables able to be accommodated in any plan.

Group Funding
The Group monitors the composition and stability of its funding so that it remains within the Group’s funding risk appetite.
This approach ensures that an appropriate proportion of the assets are funded by stable funding sources, including
customer deposits; longer-dated wholesale funding (with a remaining term exceeding one year); and equity.

Funding plans prepared Considerations in preparing funding plans
• 3 year strategic plan prepared annually
• annual funding plan as part of the Group’s
planning process
• forecasting in light of actual results as a calibration
to the annual plan
• customer balance sheet growth
• changes in wholesale funding including: targeted
funding volumes; markets; investors; tenors; and
currencies for senior, secured, subordinated, hybrid
transactions and market conditions
• liquidity stress testing

Liquidity Coverage Ratio (LCR)
The Group’s average LCR (on a consolidated basis) for the 3 months to 31 December 2024 was 131.0% (30 September
2024: 132.4%) with total liquid assets exceeding net cash outflows by an average of $69.9 billion. Through the period
the LCR has remained within the range 127% to 135%. The liquid asset portfolio was made up of on average 44%
($129.5 billion) cash and central bank reserves and 51% ($148.2 billion) HQLA1 securities, with the remaining mainly
consisting of HQLA2 securities.

As per APRA requirements, liquid assets beyond the regulatory minimum are not included in the consolidated position
where they are deemed non-transferable between geographies, in particular this applies to liquid assets held in New
Zealand.

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. Modelled outflows are also included for market valuation changes
of derivatives based on the past 24 months largest 30-day movements in collateral balances.

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

The Group monitors and manages its liquidity risk on a daily basis including LCR by geography and currency. The Group’s
liquidity risk framework ensures ongoing monitoring of foreign currency LCR (including derivative flows) and sets limits
to ensure mismatches are managed effectively.

The Group’s liquidity and funding management includes monitoring of liquidity for:
• Individual countries, including any local regulatory requirements.
• Consolidated ANZBGL Level 1 and 2 LCR
• AUD only LCR for Australia as well as Group Level

Other contingent funding obligations include outflows for revocable credit and liquidity facilities, trade finance related
obligations, buybacks of domestic Australian debt securities and other contractual outflows such as interest payments.

ANZ Basel III Pillar 3 Disclosure December 2024


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Table 20 Liquidity Coverage Ratio disclosure template


Dec 24 Sep 24

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) 292,501 272,530
2 Alternative liquid assets (ALA) - -
3 Reserve Bank of New Zealand (RBNZ) securities 3,171 2,734
Cash outflows
4 Retail deposits and deposits from small business
customers
314,377 30,410 298,064 29,134
5 of which: stable deposits 147,987 7,399 138,003 6,900
6 of which: less stable deposits 166,390 23,011 160,061 22,234
7 Unsecured wholesale funding 311,069 171,454 288,824 152,798
8 of which: operational deposits (all counterparties) and
deposits in networks for cooperative banks
98,149 23,770 97,264 23,560
9 of which: non-operational deposits (all counterparties) 199,813 134,577 178,711 116,389
10 of which: unsecured debt 13,107 13,107 12,849 12,849
11 Secured wholesale funding 1,821 924
12 Additional requirements 213,330 74,763 204,679 70,899
13 of which: outflows related to derivatives exposures and
other collateral requirements
50,251 49,473 46,100 45,647
14 of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 163,079 25,290 158,579 25,252
16 Other contractual funding obligations 10,267 982 9,513 750
17 Other contingent funding obligations 127,746 8,746 129,485 10,284
18 Total cash outflows 288,177 264,789
Cash inflows
19 Secured lending (e.g. reverse repos) 38,495 1,177 34,815 1,152
20 Inflows from fully performing exposures 30,734 21,449 29,139 20,376
21 Other cash inflows 39,767 39,767 35,319 35,319
22 Total cash inflows 108,996 62,394 99,273 56,847
23 Total liquid assets 295,673 275,264
24 Total net cash outflows 225,783 207,942
25 Liquidity Coverage Ratio (%) 131.0% 132.4%
Number of data points used (simple average) 66 66

ANZ Basel III Pillar 3 Disclosure December 2024


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Glossary

ADI Authorised Deposit-taking Institution.

ANZ Bank Group ANZ BH Pty Ltd and each of its subsidiaries, including ANZBGL and ANZ Bank New
Zealand


ANZ Non-Bank Group ANZ NBH Pty Ltd and each of its subsidiaries, including beneficial interests in the
1835i trusts and non-controlling interests in the Worldline merchant acquiring joint
venture, and ANZ Group Services Pty Ltd.


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.

ANZ Basel III Pillar 3 Disclosure December 2024


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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.

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 2024


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