ANZ Bank New Zealand Disclosure Statement
Australia and New Zealand Banking Group Limited ABN 11 005 357 522
ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008
6 May 2022
Market Announcements Office
ASX Limited
Level 4
20 Bridge Street
SYDNEY NSW 2000
ANZ Bank New Zealand Limited
Registered Bank Disclosure Statement
Australia and New Zealand Banking Group Limited (ANZ) today released ANZ Bank New
Zealand Limited’s Registered Bank Disclosure Statement for the six months ended 31
March 2022.
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
ANZ BANK NEW ZEALAND LIMITED
REGISTERED BANK DISCLOSURE STATEMENT
FOR THE SIX MONTHS ENDED 31 MARCH 2022
NUMBER 97 | ISSUED MAY 2022
2
CONTENTS
Glossary of terms 2
DISCLOSURE STATEMENT
Interim Financial Statements 3
Condensed consolidated interim financial statements 4
Notes to the interim financial statements 8
Registered Bank Disclosures 24
Directors’ Statement 45
Independent Auditor’s Review Report
46
GLOSSARY OF TERMS
In this Registered Bank Disclosure Statement (Disclosure Statement) unless the context otherwise requires:
Bank means ANZ Bank New Zealand Limited.
Banking Group, We or Our means the Bank and all its controlled entities.
Immediate Parent Company means ANZ Holdings (New Zealand) Limited.
Ultimate Parent Bank means Australia and New Zealand Banking Group Limited.
Overseas Banking Group means the worldwide operations of Australia and New Zealand Banking Group Limited including its controlled
entities.
New Zealand business means all business, operations, or undertakings conducted in or from New Zealand identified and treated as if it
were conducted by a company formed and registered in New Zealand.
NZ Branch means the New Zealand business of the Ultimate Parent Bank.
ANZ New Zealand means the New Zealand business of the Overseas Banking Group.
Registered Office is Ground Floor, ANZ Centre, 23-29 Albert Street, Auckland, New Zealand, which is also the Banking Group’s address for
service.
RBNZ means the Reserve Bank of New Zealand.
APRA means the Australian Prudential Regulation Authority.
the Order means the Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014.
Any term or expression which is defined in, or in the manner prescribed by, the Order shall have the meaning given in or prescribed by
the Order.
3
INTERIM FINANCIAL
STATEMENTS
Condensed consolidated interim financial statements
Income statement 4
Statement of comprehensive income
4
Balance sheet 5
Cash flow statement
6
Statement of changes in equity 7
Notes to the condensed consolidated interim financial statements
Basis of preparation
1. About our interim financial statements 8
Financial performance
2. Other operating income 9
3. Operating expenses 9
4. Segment reporting 10
Financial and non-financial assets
5. Net loans and advances 11
6. Allowance for expected credit losses 12
7. Goodwill and other intangible assets 16
Financial and non-financial liabilities
8. Deposits and other borrowings 18
9. Other provisions 18
10. Debt issuances 18
Financial instrument disclosures
11. Credit risk 19
12. Fair value of financial assets and financial liabilities 21
Other disclosures
13. Commitments and contingent liabilities 22
14. Subsequent events 23
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
INTERIM FINANCIAL STATEMENTS
INCOME STATEMENT
The notes appearing on pages 8 to 23 form an integral part of these interim financial statements
4
2022 2021
For the six months ended 31 March Note
NZ$m NZ$m
Interest income
2,454 2,334
Interest expense
(685)
(661)
Net interest income
1,769
1,673
Other operating income 2 561 338
Operating income
2,330
2,011
Operating expenses 3
(826)
(772)
Profit before credit impairment and income tax
1,504
1,239
Credit impairment release 6
20
70
Profit before income tax
1,524 1,309
Income tax expense
(423)
(362)
Profit for the period
1,101
947
STATEMENT OF COMPREHENSIVE INCOME
2022 2021
For the six months ended 31 March NZ$m NZ$m
Profit for the period
1,101 947
Other comprehensive income
Items that will not be reclassified subsequently to profit or loss 3
43
Items that may be reclassified subsequently to profit or loss
Reserve movements:
Unrealised losses recognised directly in equity
(58)
(3)
Realised losses / (gains) transferred to the income statement
(29)
4
Income tax attributable to the above items 23 (11)
Other comprehensive income after tax
(61)
33
Total comprehensive income for the period 1,040 980
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
The notes appearing on pages 8 to 23 form an integral part of these interim financial statements
5
BALANCE SHEET
31 Mar 22 30 Sep 21
As at Note NZ$m NZ$m
Assets
Cash and cash equivalents 11,178 7,844
Settlement balances receivable
913
237
Collateral paid 612 537
Trading securities
7,818
9,585
Derivative financial instruments
9,000
9,304
Investment securities 10,291 11,926
Net loans and advances 5
146,121
140,756
Current tax assets
34
-
Deferred tax assets 327 390
Goodwill and other intangible assets 7
3,103
3,091
Premises and equipment 485 509
Other assets
609
590
Total assets
190,491
184,769
Liabilities
Settlement balances payable
4,592
2,704
Collateral received
1,070
738
Deposits and other borrowings 8 138,704 133,139
Derivative financial instruments
8,376
7,727
Current tax liabilities - 170
Payables and other liabilities
1,242
1,464
Employee entitlements
132
138
Other provisions 9 250 295
Debt issuances 10
19,097
21,502
Total liabilities
173,463
167,877
Net assets
17,028
16,892
Equity
Share capital 11,888 11,888
Reserves
7
70
Retained earnings
5,133
4,934
Total equity 17,028 16,892
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
INTERIM FINANCIAL STATEMENTS
The notes appearing on pages 8 to 23 form an integral part of these interim financial statements
6
CASH FLOW STATEMENT
2022 2021
For the six months ended 31 March NZ$m NZ$m
Profit after income tax
1,101 947
Adjustments to reconcile to net cash flows from operating activities:
Depreciation and amortisation 63 63
Loss on sale and impairment of premises and equipment
1
1
Net derivatives/foreign exchange adjustment
(106)
(776)
Other non-cash movements
(9) 115
Net (increase)/decrease in operating assets:
Collateral paid
(75)
14
Trading securities
1,767 3,097
Net loans and advances
(5,365)
(4,790)
Other assets
(666)
(124)
Net increase/(decrease) in operating liabilities:
Deposits and other borrowings (excluding items included in financing activities)
5,065
3,799
Settlement balances payable
1,888
(76)
Collateral received
332 (73)
Other liabilities
(415)
22
Total adjustments
2,480
1,272
Net cash flows from operating activities
1
3,581
2,219
Cash flows from investing activities
Investment securities:
Purchases
(5,569)
(4,046)
Proceeds from sale or maturity
6,879
1,509
Other assets
(58) (17)
Net cash flows from investing activities
1,252
(2,554)
Cash flows from financing activities
Deposits and other borrowings
2
500 -
Debt issuances
3
Issue proceeds
2,680 -
Redemptions
(3,753)
(2,307)
Repayment of lease liabilities
(22)
(23)
Dividends paid
(904) (4)
Net cash flows from financing activities
(1,499)
(2,334)
Net change in cash and cash equivalents
3,334
(2,669)
Cash and cash equivalents at beginning of period 7,844 8,248
Cash and cash equivalents at end of period
11,178
5,579
1 Net cash provided by operating activities includes income taxes paid of NZ$541 million (2021: NZ$582 million).
2 Movement in deposits and other borrowings includes repurchase transactions entered into with the RBNZ under the Funding for Lending Programme of NZ$500 million.
3 Movement in debt issuances (Note 10 debt issuances) also includes a NZ$705 million decrease (2021: NZ$1,089 million decrease) from the effect of foreign exchange rates, a NZ$643 million
decrease (2021: NZ$336 million decrease) from changes in fair value hedging instruments and a NZ$16 million increase (2021: NZ$45 million increase) from other changes.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
The notes appearing on pages 8 to 23 form an integral part of these interim financial statements
7
STATEMENT OF CHANGES IN EQUITY
Share
capital
Investment
securities
revaluation
reserve
Cash flow
hedging
reserve
Retained
earnings
Total
equity
NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2020
11,888 8 110 3,863 15,869
Profit or loss - - - 947 947
Unrealised gains / (losses) recognised directly in equity - 49 (52) - (3)
Realised losses / (gains) transferred to the income statement -
(2) 6 - 4
Actuarial gain on defined benefit schemes - - - 43 43
Income tax credit / (expense) on items recognised directly in equity -
(13) 13 (11) (11)
Total comprehensive income for the period - 34 (33) 979 980
Transactions with Immediate Parent Company in its capacity as owner:
Preference dividends paid - - - (4) (4)
Transactions with Immediate Parent Company in its capacity as owner
- - - (4) (4)
As at 31 March 2021
11,888 42 77 4,838 16,845
As at 1 October 2021 11,888 62 8 4,934 16,892
Profit or loss
- - - 1,101 1,101
Unrealised losses recognised directly in equity - (24) (34) - (58)
Realised losses / (gains) transferred to the income statement
- (31) 2 - (29)
Actuarial gain on defined benefit schemes
- - - 3 3
Income tax credit / (expense) on items recognised directly in equity - 15 9 (1) 23
Total comprehensive income for the period - (40) (23) 1,103 1,040
Transactions with Immediate Parent Company in its capacity as owner:
Ordinary dividends paid
- - - (900) (900)
Preference dividends paid
- - - (4) (4)
Transactions with Immediate Parent Company in its capacity as owner - - - (904) (904)
As at 31 March 2022 11,888 22 (15) 5,133 17,028
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
8
1. ABOUT OUR INTERIM FINANCIAL STATEMENTS
BASIS OF PREPARATION
These are the condensed consolidated interim financial statements (financial statements) for ANZ Bank New Zealand Limited (the Bank) and its
controlled entities (together, the ‘Banking Group’) and should be read in conjunction with the Banking Group’s financial statements for the year ended
30 September 2021.
On 6 May 2022, the Directors resolved to authorise the issue of these financial statements.
These financial statements comply with:
• New Zealand Generally Accepted Accounting Practice (NZ GAAP), as defined in the Financial Reporting Act 2013;
• NZ IAS 34 Interim Financial Reporting and other applicable Financial Reporting Standards, as appropriate for publicly accountable for-profit
entities; and
• IAS 34 Interim Financial Reporting.
The financial statements consolidate the financial statements of the Bank and its subsidiaries.
We present the financial statements in New Zealand dollars and have rounded values to the nearest million dollars (NZ$m), unless otherwise stated.
The accounting policies adopted by the Banking Group are consistent with those adopted and disclosed in the previous full year financial statements.
BASIS OF MEASUREMENT
We have prepared the financial information in accordance with the historical cost basis - except for the following assets and liabilities which we have
stated at their fair value:
• derivative financial instruments;
• financial instruments measured at fair value through other comprehensive income; and
• financial instruments measured at fair value through profit and loss.
KEY JUDGEMENTS AND ESTIMATES
The preparation of these financial statements requires the use of management judgement, estimates and assumptions that affect reported
amounts and the application of accounting policies. Discussion of the critical accounting estimates and judgements, which include complex
or subjective decisions or assessments, are provided in the previous full year financial statements. Such estimates and judgements are
reviewed on an ongoing basis.
Whilst the course of the COVID-19 pandemic is moderating and its impact on economic activity and our customers is better understood, the
responses of consumers, business and governments re main uncertain. New external risks are also emerging, including mounting
geopolitical tensions, global supply chain disruptions, the conflict in Ukraine, and commodity price impacts. Thus there remains an elevated
level of estimation uncertainty involved in the preparation of these financial statements.
The Banking Group has made various accounting estimates in these financial statements based on forecasts of economic conditions which
reflect expectations and assumptions at 31 March 2022 about future events considered reasonable in the circumstances. There is a
considerable degree of judgement involved in preparing these estimates. Actual economic conditions are likely to be different from those
forecast since anticipated events frequently do not occur as expected, and the effect of these differences may significantly impact
accounting estimates included in these financial statements. The significant accounting estimates impacted by these forecasts and
associated uncertainties are predominantly related to expected credit losses and recoverable amounts of non-financial assets.
The impact of these uncertainties on each of these accounting estimates is discussed further in the relevant notes in these financial
statements and/or in the relevant notes in the previous full year financial statements. Readers should consider these disclosures in light of
the inherent uncertainties described above.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
9
2. OTHER OPERATING INCOME
2022 2021
For the six months ended 31 March NZ$m NZ$m
(i) Fee and commission income
Lending fees
13 16
Non-lending fees
341 341
Commissions
16 18
Funds management income
130
131
Fee and commission income
500
506
Fee and commission expense
(242)
(230)
Net fee and commission income 258
276
(ii) Other income
Net trading gains 75 66
Gain on sale of investment securities designated at fair value through other comprehensive income
31 2
Fair value gain / (loss) on hedging activities and financial liabilities designated at fair value
179 (28)
Net foreign exchange earnings and other financial instruments income
285
40
Sale of legacy insurance portfolio
-
14
Release of provisions for UDC Finance Ltd and Paymark Ltd disposal costs
14
-
Other
4
8
Other income
303
62
Other operating income 561 338
3. OPERATING EXPENSES
2022 2021
For the six months ended 31 March NZ$m NZ$m
Personnel
Salaries and related costs
469
421
Superannuation costs
15
14
Other
7
9
Personnel 491 444
Premises
Rent
8
9
Depreciation
41
40
Other
18
20
Premises
67
69
Technology
Depreciation and amortisation
22
23
Subscription licences and outsourced services 76 62
Other 16 18
Technology
114
103
Other
Advertising and public relations
17
17
Professional fees
33
31
Freight, stationery, postage and communication
19
21
Charges from Ultimate Parent Bank
67
53
Other
18 34
Other 154 156
Operating expenses
826
772
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
10
4. SEGMENT REPORTING
The Banking Group is organised into three major business segments for segment reporting purposes - Personal, Business and Institutional. Centralised
back office and corporate functions support these segments. These segments are consistent with internal reporting provided to the chief operating
decision maker, being the Bank’s Chief Executive Officer.
During the year ended 30 September 2021, the Banking Group reorganised into the following business segments: Personal (comprising the Personal
and Funds Management business units), Business, and Institutional. These are intended to better align the Banking Group’s internal business with the
needs of its primary customer groups, home owners and business owners. These changes were implemented from August 2021 and have been
accounted for prospectively. During the six months ended 31 March 2022, there were net movements of approximately NZ$2.0 billion of loans and
advances and NZ$1.4 billion of customer deposits from Business to Personal. Comparative amounts have not been restated because the overall
impact on the financial performance and financial position of the affected segments, Personal and Business, is not considered material.
Personal
Personal provides a full range of banking and wealth management services to consumer and private banking customers. We deliver our services via
our internet and app-based digital solutions and network of branches, mortgage specialists, relationship managers and contact centres.
Business
Business provides a full range of banking services including small business lending, through our digital, branch and contact centres channels, and
traditional relationship banking and sophisticated financial solutions through dedicated managers. These cover privately owned small, medium and
large enterprises, the agricultural business segment, government and government related entities.
Institutional
The Institutional division services governments, global institutional and corporate customers via the following business units:
• Transaction Banking provides customers with working capital and liquidity solutions including documentary trade, supply chain financing,
commodity financing as well as cash management solutions, deposits, payments and clearing.
• Corporate Finance provides customers with loan products, loan syndication, specialised loan structuring and execution, project and export
finance, debt structuring and acquisition finance and corporate advisory services.
• Markets provide customers with risk management services on foreign exchange, interest rates, credit, commodities and debt capital markets in
addition to managing the Banking Group’s interest rate exposure and liquidity position.
Other
Other includes treasury and back office support functions, none of which constitutes a separately reportable segment.
Personal Business Institutional Other Total
For the six months
2022 2021 2022 2021 2022 2021 2022 2021 2022 2021
ended 31 March NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Net interest income
1,020
983
575
503
158
168
16
19
1,769
1,673
Net fee and commission income
- Lending fees
4
7
1
-
8
9
-
-
13
16
- Non-lending fees
196
308
122
5
23
28
-
-
341
341
- Commissions 15 17 - - 1 1 - - 16 18
- Funds management income
130
131
-
-
-
-
-
-
130
131
- Fee and commission expense
(144)
(230)
(98)
-
-
-
-
-
(242)
(230)
Net fee and commission income 201 233 25 5 32 38 - - 258 276
Other income
1
15
-
-
79
75
223
(28)
303
62
Other operating income 202 248 25 5 111 113 223 (28) 561 338
Operating income
1,222
1,231
600
508
269
281
239
(9)
2,330
2,011
Operating expenses
(585)
(547)
(131)
(118)
(96)
(94)
(14)
(13)
(826)
(772)
Profit before credit impairment
and income tax
637 684 469 390 173 187 225 (22) 1,504 1,239
Credit impairment release /
(charge)
(26) 32 48 31 (2) 7 - - 20 70
Profit / (loss) before income tax 611
716
517
421
171
194
225
(22)
1,524
1,309
Income tax expense
(171)
(197)
(145)
(118)
(48)
(54)
(59)
7
(423)
(362)
Profit after income tax 440 519 372 303 123 140 166 (15) 1,101 947
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
11
Personal Business Institutional Other Total
31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21
As at NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Financial position
Goodwill 1,042 1,042 895 895 1,069 1,069 - - 3,006 3,006
Net loans and advances
101,370
95,061
37,797
39,158
6,954
6,535
-
2
146,121
140,756
Customer deposits
84,039
78,592
23,671
23,744
21,661
22,793
-
-
129,371
125,129
Other segment
The Other segment profit/(loss) after tax comprises:
2022 2021
For the six months ended 31 March
NZ$m NZ$m
Personal and Business central functions 20 1
Group Centre
20
8
Economic hedges
126
(24)
Total
166
(15)
5. NET LOANS AND ADVANCES
31 Mar 22 30 Sep 21
Note NZ$m NZ$m
Overdrafts
887
799
Credit cards
1,169
1,127
Term loans - housing
102,798 98,513
Term loans - non-housing
41,439 40,528
Subtotal 146,293
140,967
Unearned income
(34)
(29)
Capitalised brokerage and other origination costs
435
403
Gross loans and advances 146,694
141,341
Allowance for expected credit losses 6
(573)
(585)
Net loans and advances
146,121
140,756
The Banking Group has reviewed the historic accounting treatment of a transaction product arrangement comprised of both overdraft and deposit
balances and concluded that, under NZ IAS 32 Financial Instruments: Presentation, the deposit amounts cannot be netted against the overdraft
balances drawn under the arrangement. The application of netting reduced the amounts presented for overdrafts (above) and customer deposits
(Note 8 deposits and other borrowings) by NZ$163 million as at 30 September 2021. Comparative amounts have not been restated as the impact is
not considered material.
The Bank has sold residential mortgages to the NZ Branch with a net carrying value of NZ$276 million as at 31 March 2022 (30 September 2021:
NZ$318 million). These assets qualify for derecognition as the Bank does not retain a continuing involvement in the transferred assets.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
12
6. ALLOWANCE FOR EXPECTED CREDIT LOSSES
This note should be read in conjunction with the estimates, assumptions and judgements included in Note 1 about our interim financial statements.
31 Mar 22 30 Sep 21
Collectively Individually Collectively Individually
assessed assessed Total assessed assessed Total
NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Net loans and advances at amortised cost
511 62 573
525 60 585
Off-balance sheet commitments
105 14 119
107 15 122
Total 616 76 692
632 75 707
The following tables present the movement in the allowance for expected credit losses (ECL).
Net loans and advances
Allowance for ECL is included in net loans and advances.
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2021 155 314 56 60 585
Transfer between stages
16 (12) (1) (3) -
New and increased provisions (net of collective provision releases)
(8) (10) 1 39 22
Write-backs - - - (22) (22)
Bad debts written-off (excluding recoveries) - - - (15) (15)
Discount unwind reversal
- - - 3 3
As at 31 March 2022 163 292 56 62 573
Off-balance sheet credit related commitments - undrawn and contingent facilities
Allowance for ECL is included in other provisions.
As at 1 October 2021 64 39 4 15 122
Transfer between stages 5 (5) - - -
New and increased provisions (net of collective provision releases) (4) 2 - (1) (3)
As at 31 March 2022 65 36 4 14 119
CREDIT IMPAIRMENT CHARGE – INCOME STATEMENT
2022 2021
For the six months ended 31 March NZ$m NZ$m
New and increased provisions
- Collectively assessed
(16)
(60)
- Individually assessed
35
36
Write-backs
(22)
(36)
Recoveries of amounts previously written-off
(17)
(10)
Total credit impairment release
(20) (70)
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
13
KEY JUDGEMENTS AND ESTIMATES
The Banking Group measures the allowance for ECL using an expected credit loss impairment model as required by NZ IFRS 9 Financial
Instruments.
COVID-19 risks are moderating however the economy continues to transition to a setting with less government stimulus and some uncertainty
as to how customers will respond to expected interest rate rises and inflationary pressure, heightened geopolitical tensions across the globe,
the conflict in Ukraine and global supply chain issues, commodity price impacts, and how governments, businesses and consumers respond
also remains uncertain. This uncertainty is reflected in the Banking Group’s assessment of expected credit losses, which are subject to a number
of management judgements and estimates.
Individually assessed allowance for expected credit losses
In estimating individually assessed ECL, the Banking Group makes judgements and assumptions in relation to expected repayments, the
realisable value of collateral, business prospects for the customer, competing claims and the likely cost and duration of the work-out process.
Judgements and assumptions in respect of these matters have been updated to reflect amongst other things, the continuing uncertainties
described above.
Collectively assessed allowance for expected credit losses
In estimating collectively assessed ECL, the Banking Group makes judgements and assumptions in relation to:
• the selection of an estimation technique or modelling methodology; and
• the selection of inputs for those models, and the interdependencies between those inputs.
The following table summarises the key judgements and assumptions in relation to the model inputs and the interdependencies between
those inputs, and highlights significant changes during the current period.
The judgements and associated assumptions have been made in the context of the uncertainty of how various factors might impact the global
economy, and reflect historical experience and other factors that are considered to be relevant, including expectations of future events that are
believed to be reasonable under the circumstances. The Banking Group’s ECL estimates are inherently uncertain and, as a result, actual results
may differ from these estimates.
Judgement /
assumption
Description
Considerations for the six months ended
31 March 2022
Determining
when a
significant
increase in
credit risk
(SICR) has
occurred
In the measurement of ECL, judgement is involved in
setting the rules and trigger points to determine
whether there has been a SICR since initial recognition
of a loan, which would result in the financial asset
moving from Stage 1 to Stage 2. This is a key area of
judgement since transition from Stage 1 to Stage 2
increases the ECL from an allowance based on the
probability of default in the next 12 months, to an
allowance for lifetime expected credit losses.
Subsequent decreases in credit risk resulting in
transition from Stage 2 to Stage 1 may similarly result in
significant changes in the ECL allowance.
The setting of precise trigger points requires judgement
which may have a material impact upon the size of the
ECL allowance. The Banking Group monitors the
effectiveness of SICR criteria on an ongoing basis.
The Banking Group has retained a portion of ECL to
provide for expected delinquencies that may have
been obscured by COVID-19 support measures.
Although these measures have ceased, uncertainty
remains on their ongoing impact on portfolio
delinquency.
Measuring
both 12-month
and lifetime
credit losses
The probability of default (PD), loss given default (LGD)
and exposure at default (EAD) credit risk parameters
used in determining ECL are point-in -time measures
reflecting the relevant forward-looking information
determined by management. Judgement is involved in
determining which forward-looking information
variables are relevant for particular lending portfolios
and for determining each portfolio’s point-in -time
sensitivity.
The PD, LGD and EAD models are subject to the
Banking Group’s model risk policy that stipulates
periodic model monitoring, periodic re -validation
and defines approval procedures and authorities
according to model materiality.
The modelled outcome includes an amount to
recognise increased model uncertainties as a result
of COVID-19.
In addition, judgement is required where behavioural
characteristics are applied in estimating the lifetime of a
facility to be used in measuring ECL.
There were no material changes to the policies
during the six months ended 31 March 2022.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
14
KEY JUDGEMENTS AND ESTIMATES
Judgement /
assumption
Description
Considerations for the six months ended
31 March 2022
Base case
economic
forecast
The Banking Group derives a forward-looking “base
case” economic scenario which reflects our view of
future macro-economic conditions.
There have been no changes to the types of forward-
looking variables (key economic drivers) used as
model inputs in the current period.
As at 31 March 2022, the base case assumptions have
been updated to reflect the economic impacts of the
Omicron variant, supply chain pressures, and
increasing inflation and expected interest rate rises. In
determining the expected path of the economy,
assessments of the impact of central bank policies,
government actions, and the response of businesses
and consumers were considered.
The expected outcomes of key economic drivers for
the base case scenario as at 31 March 2022 are
described below under the heading “Base case
economic forecast assumptions”.
Probability
weighting of
each economic
scenario (base
case, upside,
downside
and
severe
downside
scenarios)
1,2
Probability weighting of each economic scenario is
determined by management considering the risks and
uncertainties surrounding the base case economic
scenario at each measurement date.
The key considerations for probability weightings in
the current period include the ongoing but
increasingly known impacts of COVID-19, uncertainty
as to how customers will respond to expected
interest rate rises and inflationary pressures, the
conflict in Ukraine, commodity price impacts and
global supply chain issues.
Weightings for current and prior periods are as
detailed in the section on “Probability weightings”
below.
The assigned probability weightings are subject to a
high degree of inherent uncertainty and therefore
the actual outcomes may be significantly different to
those projected.
Management
temporary
adjustments
Management temporary adjustments to the ECL
allowance are used in circumstances where it is judged
that our existing inputs, assumptions and model
techniques do not capture all the risk factors relevant to
our lending portfolios. Emerging local or global
macroeconomic, microeconomic or political events,
and natural disasters that are not incorporated into our
current parameters, risk ratings, or forward-looking
information are examples of such circumstances. The
use of management temporary adjustments may
impact the amount of ECL recognised.
The uncertainty associated with the ongoing but
moderating COVID-19 pandemic, and the extent to
which the actions of governments, businesses and
consumers influence credit outcomes are not fully
incorporated into existing ECL models which are based
on historical underlying data. Accordingly, management
overlays have been applied to ensure credit provisions
are appropriate.
Management have continued to apply a number of
adjustments to the modelled ECL primarily due to the
uncertainty associated with continuing but
moderating COVID-19 impacts.
Management overlays (including COVID-19 overlays)
which add to the modelled ECL provision have been
made for risks particular to personal and business
banking.
Management temporary adjustments total NZ$157
million (September 2021: NZ$177 million).
1. The upside and downside scenarios are fixed by reference to average economic cycle conditions (that is, they are not based on the economic conditions prevailing at balance date) and are
based on a combination of more optimistic (in the case of the upside) and pessimistic (in the case of the downside) economic conditions.
2. The severe downside scenario is fixed by reference to average economic cycle conditions and accounts for the potentially severe downside impact of less likely extremely adverse economic
conditions.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
15
KEY JUDGEMENTS AND ESTIMATES
Base case economic forecast assumptions
Continuing uncertainties described above increase the risk of the economic forecast resulting in an understatement or overstatement of the
ECL balance:
The economic drivers of the base case economic forecasts, reflective of our view of future macro-economic conditions, used at 31 March 2022
are set out below. For years beyond the near term forecasts below, the ECL models project future year economic conditions which include an
assumption of eventual reversion to mid-cycle economic conditions.
Actual calendar year Forecast calendar year
New Zealand 2021 2022 2023
Gross domestic product (GDP) (annual % change) 5.5% 2.4% 2.8%
Unemployment rate 3.8% 3.0% 3.0%
Residential property prices (annual % change) 26.5% -6.0% 3.3%
Consumer price index (CPI) (annual % change) 3.9% 5.3% 3.2%
The base case economic forecasts above indicate a weakening in current economic conditions adding to inflation pressure for a time and
weighing on economic activity.
Probability weightings
Probability weightings for each scenario are determined by management considering the risks and uncertainties surrounding the base case
economic scenario including the uncertainties described above.
The base case scenario represents a deterioration in the forecasts since September 2021. Given the uncertainties associated with a potential
ongoing recovery of the economy and external factors, the average base case weighting has been reduced to 40.0% (Sep 21: 50.0%) and the
severe downside scenario increased to 10.0% (Sep 21: 5.0%).
The assigned probability weightings are subject to a high degree of inherent uncertainty and therefore the actual outcomes may be
significantly different to those projected. The Banking Group considers these weightings to provide estimates of the possible loss outcomes
and taking into account short and long term inter-relationships within the Banking Group’s credit portfolios. The average weightings applied
are set out below:
31 Mar 22 30 Sep 21
Base 40.0% 50.0%
Upside 5.0% 4.5%
Downside 45.0% 40.5%
Severe downside 10.0% 5.0%
ECL - Sensitivity analysis
Given current economic uncertainties and the judgement applied to factors used in determining the expected default of borrowers in future
periods, expected credit losses reported by the Banking Group should be considered as a best estimate within a range of possible estimates.
The table below illustrates the sensitivity of the Banking Group’s allowance for collectively assessed ECL to key factors used in determining it as
at 31 March 2022:
Balance
NZ$m
Profit and
loss impact
NZ$m
If 1% of Stage 1 facilities were included in Stage 2 622 6
If 1% of Stage 2 facilities were included in Stage 1 615 (1)
100% upside scenario
100% base scenario
100% downside scenario
100% severe downside scenario
237
297
563
756
(379)
(319)
(53)
140
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
16
7. GOODWILL AND OTHER INTANGIBLE ASSETS
31 Mar 22 30 Sep 21
NZ$m NZ$m
Goodwill
3,006 3,006
Management rights 76 76
Software
21 9
Goodwill and other intangible assets
3,103
3,091
GOODWILL AND OTHER INTANGIBLE ASSETS ALLOCATED TO CASH-GENERATING UNITS (CGUs)
Goodwill arose on the acquisition of the NBNZ Holdings Limited group on 1 December 2003, and the carrying amount reflects amortisation
recognised before the application of NZ IFRS from 1 October 2004 and subsequent business disposals. Management rights, assessed as having
indefinite useful lives, arose on the acquisition of the ING Holdings (NZ) Limited (now ANZ New Zealand Investments Holdings Limited) group on 30
November 2009.
Goodwill and management rights are allocated to CGUs as follows:
Goodwill Management rights
31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21
Cash generating unit NZ$m NZ$m NZ$m NZ$m
Personal
980 980 - -
Funds Management
62 62 76 76
Personal segment
1,042
1,042
76
76
Business
895
895
-
-
Institutional
1,069
1,069
-
-
Total
3,006
3,006
76
76
Annual goodwill impairment test
The annual impairment test is performed as at the end of February each year. Goodwill is considered to be impaired if the carrying amount of the
relevant CGU exceeds its recoverable amount. The recoverable amount of a CGU is the higher of its fair value less costs of disposal (FVLCOD) and its
value-in use (VIU). We use a value-in -use approach to estimate the recoverable amount of the CGU to which each goodwill component is allocated.
Based on this assessment no impairment was identified for any CGU, and therefore a FVLCOD calculation was not required.
VALUE-IN-USE
These calculations use cash flow projections based on a number of financial budgets within each CGU covering an initial forecast period. These
projections also incorporate economic assumptions including GDP, inflation, unemployment, residential and commercial property prices, the impact
of the restriction imposed by RBNZ on the payment of ordinary dividends by all New Zealand incorporated registered banks, and the implementation
of RBNZ’s new capital adequacy requirements. Cash flows beyond the forecast period are extrapolated using the terminal growth rate. These cash flow
projections are discounted using a discount rate derived using a capital asset pricing model.
Future changes in the assumptions upon which the calculation is based may materially impact this assessment, resulting in the potential impairment
of part or all of the goodwill balances.
Input / assumption
Values applied in the 28 February 2022 impairment test
Forecast period and projections To 30 September 2028 - an extended forecast period was used to cover the implementation of RBNZ’s new
capital adequacy requirements over the transition period ending on 1 July 2028.
Revenue growth over forecast
period
Comprises impacts of net interest margin and volume growth, arising from planned responses to known
re gulatory and economic forecasts. Average annual forecast revenue growth rates are shown below.
Credit impairment over forecast
period
Varies by CGU, based on ECL modelling for 2022 to 2024, before returning to long run experience levels for
2025 to 2028. Long run experience levels are based on the Banking Group’s bad debts written off, net of
recoveries, since 2004 of 0.15% of gross loans and advances. Credit impairment for each CGU as a
percentage of forecast gross loans and advances for 2025 to 2028 is shown below.
Terminal growth rate 2.0% - based on 2025 forecast inflation from RBNZ’s February 2022 Monetary Policy Statement.
Discount rate
Post tax: 10.7% (February 2021: 9.4%).
The main variables in the calculation of the discount rate used are the risk free rate, beta and the market risk
premium. The risk free rate was the monthly average traded 10 year New Zealand government bond yield
for February 2022 of 2.7%. The market risk premium was estimated using a range of methods incorporating
historical and forward looking market data. Beta was consistent with observable measures applied in the
regional banking sector.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
17
The values of the average revenue growth, credit impairment as a percentage of forecast gross loans and advances, and pre-tax discount rates
assumptions by CGU are shown in the table below. The implied pre-tax discount rates are significantly higher than the post-tax discount rate above
because regulatory capital retention over the forecast period is not tax effected.
Revenue growth Credit impairment Pre-tax discount rate
Cash generating unit
28 Feb 22 28 Feb 21 28 Feb 22 28 Feb 21 28 Feb 22 28 Feb 21
Personal (previously Retail and Business Banking)
5.1%
6.1%
0.12%
0.13%
20.8%
17.5%
Funds Management (previously Wealth)
6.4%
3.4%
n/a
0.10%
18.6%
16.4%
Business (previously Commercial)
5.3%
4.2%
0.21%
0.21%
20.8%
17.8%
Institutional
3.6%
4.5%
0.22%
0.21%
20.6%
17.3%
We performed stress tests for key sensitivities in each CGU. A change, considered to be reasonably possible by management, in key assumptions
would not cause the carrying amount of any CGU to exceed its recoverable amount.
KEY JUDGEMENTS AND ESTIMATES
Management judgement is used to assess the recoverable value of goodwill and other intangible assets, and the useful economic life of
an asset, or if an asset has an indefinite life. We reassess the recoverability of the carrying value at each reporting date.
Goodwill
A number of key judgements are required in the determination of whether or not a goodwill balance is impaired:
• the level at which goodwill is allocated – consistent with prior periods the CGUs to which goodwill is allocated are the Banking
Group’s four revenue generating segments that benefit from relevant historical business combinations generating goodwill.
• determination of the carrying amount of each CGU which includes an allocation, on a reasonable and consistent basis of corporate
assets and liabilities that are not directly attributable to the CGUs to which goodwill is allocated.
• assessment of the recoverable amount of each CGU used to determine whether the carrying amount of goodwill is supported is
based on judgements including the selection of the model and key assumptions used to calculate the recoverable amount.
The assessment of the recoverable amount of each CGU has been made within the context of the ongoing impact of COVID-19 and other
factors outlined in Note 1 about our interim financial statements, and reflects expectations of future events that are believed to be
reasonable under the circumstances. Changes in conditions could have a positive or adverse impact on the determination of recoverable
amounts.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
18
8. DEPOSITS AND OTHER BORROWINGS
31 Mar 22 30 Sep 21
NZ$m NZ$m
Term deposits 41,890 40,668
On demand and short term deposits 64,119 62,648
Deposits not bearing interest 23,362 21,813
Total customer deposits
129,371
125,129
Certificates of deposit
2,171
1,875
Commercial paper
4,892
4,433
Securities sold under repurchase agreements
2,226
1,663
Deposits from Immediate Parent Company and NZ Branch
44
39
Deposits and other borrowings 138,704 133,139
9. OTHER PROVISIONS
31 Mar 22 30 Sep 21
Note NZ$m NZ$m
Allowance for ECL on undrawn and contingent facilities 6
119
122
Customer remediation
79
98
Restructuring costs
15
25
Leasehold make good
21
22
Other
1
16 28
Total other provisions 250 295
1 Other comprise various other provisions including losses arising from other legal action, operational issues, and warranties and indemnities provided in connection with various disposals of
businesses and assets.
10. DEBT ISSUANCES
The Banking Group uses a variety of funding programmes to issue unsubordinated debt (including senior debt and covered bonds) and subordinated
debt. The difference between unsubordinated debt and subordinated debt is that holders of unsubordinated debt take priority over holders of
subordinated debt owed by the relevant issuer and subordinated debt will be repaid by the relevant issuer only after the repayment of claims of
depositors, other creditors and the senior debt holders.
31 Mar 22 30 Sep 21
NZ$m NZ$m
Senior debt
12,589
14,220
Covered bonds
3,973
4,248
Total unsubordinated debt
16,562
18,468
Subordinated debt
- Additional Tier 1 capital
1,941
2,441
- Tier 2 capital
594
593
Total subordinated debt 2,535 3,034
Total debt issued 19,097 21,502
Covered bonds are guaranteed by ANZNZ Covered Bond Trust Limited (the Covered Bond Guarantor), solely in its capacity as trustee of ANZNZ
Covered Bond Trust (the Covered Bond Trust). The Covered Bond Trust is a member of the Banking Group, whereas the Covered Bond Guarantor is not
a member of the Banking Group.
Substantially all of the assets of the Covered Bond Trust are made up of certain housing loans and related securities originated by the Bank which are
security for the guarantee by the Covered Bond Guarantor as trustee of the Covered Bond Trust of issuances of covered bonds by the Bank, or its
wholly owned subsidiary ANZ New Zealand (Int’l) Limited, from time to time. The assets of the Covered Bond Trust are not available to creditors of the
Bank, although the Bank (or its liquidator or statutory manager) may have a claim against the residual assets of the Covered Bond Trust (if any) after all
prior ranking creditors of the Covered Bond Trust have been satisfied.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
19
11. CREDIT RISK
This note should be read in conjunction with the estimates, assumptions and judgements included in Note 1 about our interim financial statements
and Note 6 allowance for expected credit losses.
Maximum exposure to credit risk
For financial assets recognised on the balance sheet, the maximum exposure to credit risk is the carrying amount. In certain circumstances there may
be differences between the carrying amounts reported on the balance sheet and the amounts reported in the tables below. Principally, these
differences arise in respect of financial assets that are subject to risks other than credit risk, such as equity instruments which are primarily subject to
market risk, or bank notes and coins.
For undrawn facilities, this maximum exposure to credit risk is the full amount of the committed facilities. For contingent exposures, the maximum
exposure to credit risk is the maximum amount the Banking Group would have to pay if the instrument is called upon.
The table below shows our maximum exposure to credit risk of on-balance sheet and off-balance sheet positions before taking account of any
collateral held or other credit enhancements.
Reported Excluded
1
Maximum exposure to
credit risk
31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21
NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
On-balance sheet positions
Net loans and advances 146,121 140,756 - - 146,121 140,756
Other financial assets:
Cash and cash equivalents
11,178
7,844
185
163
10,993
7,681
Settlement balances receivable
913
237
-
-
913
237
Collateral paid
612
537
-
-
612
537
Trading securities
7,818
9,585
-
-
7,818
9,585
Derivative financial instruments 9,000 9,304 - - 9,000 9,304
Investment securities
10,291 11,926 - - 10,291 11,926
Other financial assets
2
500 496 - - 500 496
Total other financial assets 40,312
39,929
185
163
40,127
39,766
Subtotal 186,433
180,685
185
163
186,248
180,522
Off-balance sheet commitments
Undrawn and contingent facilities
3
31,112
30,030
-
-
31,112
30,030
Total 217,545
210,715
185
163
217,360
210,552
1 Bank notes and coins and cash at bank within cash and cash equivalents.
2 Other financial assets mainly comprise accrued interest and acceptances.
3 Undrawn facilities and contingent facilities include guarantees, letters of credit and performance related contingencies, net of collectively assessed and individually assessed allowance for
expected credit losses.
Credit quality
We use the Banking Group’s internal customer credit rating (CCR) to manage the credit quality of financial assets. To enable wider comparisons, the
Banking Group’s CCRs are mapped to external rating agency scales as follows:
Credit quality
description
Internal CCR
The Banking Group customer requirements
Moody’s
Rating
S&P Global
Ratings
Strong CCR 0+ to 4- Demonstrated superior stability in their operating and financial
performance over the long-term, and whose earnings capacity is
not significantly vulnerable to foreseeable events.
Aaa – Baa3 AAA – BBB-
Satisfactory CCR 5+ to 6- Demonstrated sound operational and financial stability over the
medium to long-term even though some may be susceptible to
cyclical trends or variability in earnings.
Ba1 – B1 BB+ – B+
Weak CCR 7+ to 8= Demonstrated some operational and financial instability, with
variability and uncertainty in profitability and liquidity projected to
continue over the short and possibly medium term.
B2 – Caa B - CCC
Defaulted CCR 8- to 10 When doubt arises as to the collectability of a credit facility, the
financial instrument (or ‘the facility’) is classified as defaulted.
n/a n/a
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
20
Net loans and advances
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m NZ$m
Strong
121,131 2,232 - - 123,363
Satisfactory
17,756 2,701 - - 20,457
Weak
316 1,430 - - 1,746
Defaulted - - 577 150 727
Subtotal 139,203 6,363 577 150 146,293
Allowance for ECL
(163) (292) (56) (62) (573)
Net loans and advances at amortised cost 139,040 6,071 521 88 145,720
Coverage ratio 0.12% 4.59% 9.71% 41.33% 0.39%
Unearned income
(34)
Capitalised brokerage and other origination costs
435
Net carrying amount 146,121
As at 30 September 2021
Strong 116,578 1,620 - - 118,198
Satisfactory 17,122 3,134 - - 20,256
Weak 293 1,447 - - 1,740
Defaulted - - 618 155 773
Subtotal
133,993 6,201 618 155 140,967
Allowance for ECL (155) (314) (56) (60) (585)
Net loans and advances at amortised cost 133,838 5,887 562 95 140,382
Coverage ratio 0.12% 5.06% 9.06% 38.71% 0.41%
Unearned income (29)
Capitalised brokerage and other origination costs 403
Net carrying amount
140,756
Off-balance sheet commitments - undrawn and contingent facilities
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m NZ$m
Strong
25,773 184 - - 25,957
Satisfactory 4,258 854 - - 5,112
Weak 17 107 - - 124
Defaulted - - 16 22 38
Gross undrawn and contingent facilities 30,048 1,145 16 22 31,231
Allowance for ECL included in other provisions (refer to Note 9)
(65) (36) (4) (14) (119)
Net undrawn and contingent facilities 29,983 1,109 12 8 31,112
Coverage ratio 0.22% 3.14% 25.00% 63.64% 0.38%
As at 30 September 2021
Strong 25,072 142 - - 25,214
Satisfactory 3,734 1,037 - - 4,771
Weak 12 100 - - 112
Defaulted - - 32 23 55
Gross undrawn and contingent facilities 28,818 1,279 32 23 30,152
Allowance for ECL included in other provisions (refer to Note 9) (64) (39) (4) (15) (122)
Net undrawn and contingent facilities
28,754 1,240 28 8 30,030
Coverage ratio
0.22% 3.05% 12.50% 65.22% 0.40%
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
21
12. FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
Fair value hierarchy
The Banking Group categorises assets and liabilities carried at fair value into a fair value hierarchy as required by NZ IFRS 13 Fair Value Measurement
based on the observability of inputs used to measure the fair value:
• Level 1 – valuations based on quoted prices (unadjusted) in active markets for identical assets or liabilities;
• Level 2 – valuations using inputs other than quoted prices included within Level 1 that are observable for a similar asset or liability, either directly
or indirectly; and
• Level 3 – valuations where significant unobservable inputs are used to measure the fair value of the asset or liability.
The following table presents assets and liabilities carried at fair value in accordance with the fair value hierarchy:
Fair value measurements
Quoted market price
(Level 1)
Using observable inputs
(Level 2)
Using unobservable
inputs (Level 3)
Total
31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21
NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Assets
Trading securities
6,003
8,276
1,815
1,309
-
-
7,818
9,585
Derivative financial instruments
84
19
8,916
9,284
-
1
9,000
9,304
Investment securities
10,014
11,925
276
-
1
1
10,291
11,926
Total 16,101
20,220
11,007
10,593
1
2
27,109
30,815
Liabilities
Deposits and other borrowings - - 4,892 4,433 - - 4,892 4,433
Derivative financial instruments
5 5 8,367 7,722 4 - 8,376 7,727
Other financial liabilities
478
676
-
-
-
-
478
676
Total 483
681
13,259
12,155
4
-
13,746
12,836
Financial assets and financial liabilities not measured at fair value
Below is a comparison of the carrying amounts as reported on the balance sheet and fair values of financial asset and financial liability categories other
than those categories where the carrying amount is at fair value or considered a reasonable approximation of fair value.
The fair values below have been calculated using discounted cash flow techniques where contractual future cash flows of the instrument are
discounted using discount rates incorporating wholesale market rates or market borrowing rates of debt with similar maturities or a yield curve
appropriate for the remaining term to maturity.
Carrying amount Fair value
31 Mar 22 30 Sep 21 31 Mar 22 30 Sep 21
NZ$m NZ$m NZ$m NZ$m
Financial assets
Net loans and advances
1
146,121
140,756
144,943
140,703
Total
146,121
140,756
144,943
140,703
Financial liabilities
Deposits and other borrowings
2
133,812 128,706 133,725 128,726
Debt issuances
1
19,097 21,502 19,221 21,902
Total
152,909
150,208
152,946
150,628
1 Fair value hedging is applied to certain financial instruments within these categories. The resulting fair value adjustments mean that the carrying value differs from the amortised cost.
2 Excludes commercial paper (Note 8 deposits and other borrowings) designated at fair value through profit or loss.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
NOTES TO THE INTERIM FINANCIAL STATEMENTS
22
13. COMMITMENTS AND CONTINGENT LIABILITIES
31 Mar 22 30 Sep 21
Credit related commitments and contingencies NZ$m NZ$m
Contract amount of:
Undrawn facilities
28,380
27,420
Guarantees and letters of credit 1,187 1,181
Performance related contingencies 1,664 1,551
Total 31,231
30,152
The Banking Group guarantees the performance of customers by issuing standby letters of credit and guarantees to third parties, including its
Ultimate Parent Bank. The risk involved is essentially the same as the credit risk involved in extending loan facilities to customers, therefore these
transactions are subjected to the same credit origination, portfolio management and collateral requirements for customers applying for loans. As the
facilities may expire without being drawn upon, the notional amounts do not necessarily reflect future cash requirements.
OTHER CONTINGENT LIABILITIES
There are outstanding court proceedings, claims and possible claims for and against the Banking Group. Where relevant, expert legal advice has been
obtained and, in the light of such advice, provisions (refer to Note 9 other provisions) and/or disclosures as deemed appropriate have been made. In
some instances we have not disclosed the estimated financial impact of the individual items either because it is not practicable to do so or because
such disclosure may prejudice seriously the interests of the Banking Group.
REGULATORY AND CUSTOMER EXPOSURES
In recent years there has been an increase in the number of matters on which the Banking Group engages with its regulators. There have also been
significant increases in the nature and scale of regulatory investigations, surveillance and reviews, civil and criminal enforcement actions (whether by
court action or otherwise), formal and informal inquiries, regulatory supervisory activities and the quantum of fines issued by regulators, particularly
against financial institutions both in New Zealand and globally. The Banking Group has received various notices and requests for information from its
regulators as part of both industry-wide and Banking Group-specific reviews, and has also made disclosures to its re gulators at its own instigation. The
nature of these interactions can be wide ranging and, for example, may include a range of matters including responsible lending practices, regulated
lending requirements, product suitability and distribution, interest and fees and the entitlement to charge them, customer remediation, wealth advice,
insurance distribution, pricing, competition, conduct in financial markets and financial transactions, capital market transactions, anti-money laundering
and counter-terrorism financing obligations, reporting and disclosure obligations and product disclosure documentation. There may be exposures to
customers which are additional to any regulatory exposures. These could
include class actions, individual claims or customer remediation or
compensation activities. The outcomes and total costs associated with such reviews and possible exposures remain uncertain.
The Bank self-identified three prescribed transaction reporting (PTR) matters to the RBNZ, where transaction reports had not been filed within the
prescribed timeframe. The RBNZ has informed the Bank that it considers one of these matters (related to 6,409 transaction reports of a certain SWIFT
message type) to be a material breach, and the other two to be minor breaches, of the Anti-Money Laundering and Countering Financing of Terrorism
(AML/CFT) Act 2009 relating to PTR. These matters have been referred to the RBNZ’s enforcement team for review. The potential outcome of these
matters remains uncertain at this time.
LOAN INFORMATION LITIGATION
In September 2021, representative proceedings were brought against the Bank, alleging breaches of disclosure requirements under consumer credit
legislation in respect of variation letters sent to certain loan customers. The Bank is defending the allegations. The proceedings are still at an early
stage. A hearing of the plaintiff’s application for leave to bring representative proceedings is scheduled for May 2022.
WARRANTIES AND INDEMNITIES
The Banking Group has provided warranties, indemnities and other commitments in favour of the purchaser in connection with various disposals of
businesses and assets and other transactions, covering a range of matters and risks. It is exposed to potential claims under those warranties,
indemnities and commitments.
REVIEWS UNDER SECTION 95 OF THE RESERVE BANK OF NEW ZEALAND ACT 1989 (RBNZ ACT)
Following a RBNZ notice under section 95 of the RBNZ Act in July 2019, the Bank obtained two external reviews. The first review was on the Bank’s
compliance with certain aspects of the RBNZ Banking Supervision Handbook document Capital Adequacy Framework (Internal Models Based
Approach) (BS2B) (Capital Adequacy Review), and the second review was on the effectiveness of the Bank’s directors’ attestation and assurance
framework (Attestation Review).
A summary of the final Attestation Review was published in March 2022. The report found that the Bank has taken appropriate steps to address the
recommendations from the 2019 Attestation Review report. The review noted that there has been a marked uplift in the overall capabilities within the
Bank in respect to the attestation process, with heightened focus and scrutiny from management, executives and the Bank’s board. The review also
noted while there are elements of the framework still in the process of being embedded, the key changes recommended in the 2019 Attestation
Review report have been appropriately addressed.
The final Capital Adequacy Review was completed in December 2021. The report found that the Bank had made significant progress to address non-
compliance issues and improvement items identified by the 2019 Capital Adequacy Review report. In particular, all non-compliant capital models have
been submitted to the RBNZ for approval. As at 31 March 2022, all but three non-compliant models have been approved by RBNZ.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
23
14. SUBSEQUENT EVENTS
The Overseas Banking Group intends to lodge a formal application with APRA, the Federal Treasurer and other applicable regulators to establish a
non-operating holding company and create distinct banking and non-banking groups within the organisation. Following preliminary discussions,
APRA has advised they have no in -principle objection to the proposed restructure. The Overseas Banking Group has also consulted other key
Australian and New Zealand regulators and to date has not received any objections. Consultation and engagement remains ongoing. Further
information about the proposal can be found at http://shareholder.anz.com
.
There have been no other significant events from 31 March 2022 to the date of signing the financial statements.
24
REGISTERED BANK
DISCLOSURES
This section contains the additional disclosures required by the
Registered Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014.
Section Order reference Page
B1. General disclosures Schedule 3 25
B2. Additional financial disclosures Schedule 5 27
B3. Asset quality Schedule 7 32
B4. Capital adequacy under the internal models based approach, Schedule 11 37
and regulatory liquidity ratios
B5. Concentration of credit exposures to individual counterparties Schedule 13 44
B6. Insurance business Schedule 16 44
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
25
B1. GENERAL DISCLOSURES
Guarantees
The Bank has guaranteed the payment of interest and principal of covered bonds issued by its subsidiary ANZ New Zealand (Int’l) Limited. This
obligation is guaranteed by ANZNZ Covered Bond Trust Limited (the Covered Bond Guarantor), solely in its capacity as trustee of ANZNZ Covered
Bond Trust. The Covered Bond Guarantor’s address for service is Level 16, SAP Tower, 151 Queen Street, Auckland 1010, New Zealand. The Covered
Bond Guarantor is not a member of the Banking Group and has no credit ratings applicable to its long term senior unsecured obligations. The covered
bonds have been assigned a long term rating of Aaa and AAA by Moody’s Investors Service and Fitch Ratings respectively. Refer to page 18 for further
details, and to page 27 for the amount of assets of the ANZ Covered Bond Trust pledged as security for covered bonds.
No other material obligations of the Bank are guaranteed as at 6 May 2022.
Changes in the Bank’s Board of Directors
Maile Carnegie resigned as a Non-Executive Director on 11 April 2022. As at 6 May 2022, there have been no other changes to the Directors of the
Bank since 30 September 2021, the balance date of the last full year disclosure statement.
Auditors
KPMG, 18 Viaduct Harbour Avenue, Auckland, New Zealand.
Conditions of registration
Changes to the Bank’s conditions of registration
The Bank’s conditions of registration have been amended to:
• implement the new Banking Prudential Requirements (BPRs) which implement the capital review decisions (effective 1 October 2021);
• include further changes on high loan-to-valuation residential mortgage lending to investors (effective 1 November 2021); and
• increase the minimum core funding ratio to 75% (effective 1 January 2022).
Material non-compliance with conditions of registration: Condition of registration 1B – non-compliance with BPR120: Capital adequacy process requirements
As first reported in the disclosure statement for the year ended 30 September 2019, the Bank has not complied with condition of registration 1B in
relation to the implementation of changes to 17 rating models and processes that were not approved by RBNZ. Applying the last RBNZ approved
methodologies to the affected exposures as at 30 September 2019 would have decreased Risk Weighted Assets (RWA) by NZ$47 million (0.05%) in
aggregate, which was not sufficient to affect the reported capital ratios.
As at 31 March 2022, all non-compliant models had been submitted to RBNZ for approval, with all but three approved. The final model was submitted
to RBNZ on 16 December 2021. The three remaining unapproved models and the initial dates of non-compliance are:
• Bank rating – 2008
• Project and structured finance - 2009
• Commercial property: special purpose asset investment - 2011
The Bank’s model compendium required under Part E1.5 of BPR120 was non-compliant as it included unapproved model changes. An updated model
compendium was submitted to RBNZ in April 2021, and RBNZ confirmed the compendium as being compliant in October 2021.
Other matters relevant to the conditions of registration
There are other matters currently under review where there may be more than one valid interpretation of the respective policy wording or
requirement. Where there may be some uncertainty about the interpretation the Bank has applied, where appropriate it has sought guidance from,
and will be liaising with, RBNZ on these matters.
Pending proceedings or arbitration
A description of any pending legal proceedings or arbitration concerning any member of the Banking Group that may have a material adverse effect
on the Bank or the Banking Group is included in Note 13 commitments and contingent liabilities.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
26
Credit rating
The Bank has three credit ratings, which are applicable to its long-term senior unsecured obligations which are payable in New Zealand in New
Zealand dollars.
As at 6 May 2022, the Bank’s credit ratings are:
Rating agency Credit rating Qualification
S&P Global Ratings AA- Outlook Stable
Fitch Ratings A+ Outlook Stable
Moody’s Investors Service A1 Outlook Stable
Other material matters
New RBNZ capital requirements
RBNZ has released new bank capital adequacy requirements applying to New Zealand locally incorporated registered banks, which are set out in
RBNZ’s Banking Prudential Requirements documents. The new capital adequacy requirements are being implemented in stages during a transition
period from October 2021 to July 2028. The key requirements are:
• The Banking Group’s total capital requirement will increase to 18% of RWA, including tier 1 capital of at least 16% of RWA. Up to 2.5% of the tier 1
capital requirement can be made up of additional tier 1 (AT1) capital, with the remainder of the tier 1 requirement made up of common equity
tier 1 (CET1) capital. The increased capital ratios requirement will be implemented progressively from 1 July 2022 to 1 July 2028. AT1 capital must
consist of perpetual preference shares, which may be redeemable. The total capital requirement can also include tier 2 capital of up to 2% of
RWA. Tier 2 capital must consist of long-term subordinated debt.
• The tier 1 capital requirement will include a CET1 prudential capital buffer of 9% of RWA. This will include: a 2% domestic, systemically important
bank capital buffer; a 1.5% 'early-set' counter-cyclical capital buffer (which can be temporarily reduced to 0% following a financial crisis, or
temporarily increased to prevent asset price bubbles from developing); and a 5.5% capital conservation buffer.
• Contingent capital instruments will no longer be treated as eligible regulatory capital. As at 30 September 2021, the Bank had approximately
NZ$2,741 million of AT1 instruments that will progressively lose eligible regulatory capital treatment over a six and a half year transition period
from 1 January 2022 to 1 July 2028, should these instruments remain outstanding. The Bank re deemed NZ$500 million of these AT1 instruments
in December 2021, and has NZ$2,241 million on issue as at 31 March 2022.
• As an internal ratings based approach accredited bank, the Banking Group’s RWA outcomes will be increased to approximately 90% of what
would be calculated under the standardised approach. This will be achieved by applying an 85% output floor, which took effect on 1 January
2022, and increasing the credit RWA scalar from 1.06 to 1.20 from 1 October 2022.
• RBNZ has proposed requiring internal ratings based approach accredited banks to report RWA, and resulting capital ratios, using both the
internal models and the standardised approaches from 30 September 2022. RBNZ’s consultation process is in progress as at 6 May 2022.
RBNZ’s reforms will result in a material increase in the level of capital that the Banking Group is required to hold. The reforms could have a material
impact on the Banking Group and its business, including on its capital allocation and business planning.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
27
B2. ADDITIONAL FINANCIAL DISCLOSURES
Additional information on the balance sheet
As at 31 March 2022
NZ$m
Total interest earning and discount bearing assets
176,281
Total interest and discount bearing liabilities
138,840
Total amounts due from related entities
6,087
Total amounts due to related entities
8,020
Assets charged as security for liabilities
The following disclosure excludes the amounts presented as collateral paid and received on the balance sheet that relate to derivative liabilities and
derivative assets respectively. The terms and conditions of those collateral agreements are included in the standard Credit Support Annex that forms
part of the International Swaps and Derivatives Association Master Agreement under which most of our derivatives are executed.
Assets charged as security for liabilities include the following types of instruments:
• securities provided as collateral for repurchase transactions. These transactions are governed by standard industry agreements;
• specified residential mortgages provided as security for notes and bonds issued to investors as part of the Banking Group’s covered bond
programmes; and
• collateral provided to the RBNZ under the Term Lending Facility (TLF) and Funding for Lending Programme (FLP).
The carrying amounts of assets pledged as security are as follows:
As at 31 March 2022
NZ$m
Securities sold under agreements to repurchase
427
Residential mortgages pledged as security for repurchase agreements with RBNZ
2,165
Total assets of the ANZNZ Covered Bond Trust pledged as security for covered bonds
9,877
Additional information on the income statement
The amounts of net trading gains or losses and other fair value adjustments are included in Note 2 other operating income. The Banking Group does
not have any loans and advances designated at fair value through profit or loss. Other operating income for the purposes of the Order comprises net
fee and commission income, and all other items of other income (all in Note 2 other operating income).
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
28
Additional information on concentrations of credit risk
Analysis of financial assets by industry is based on Australian and New Zealand Standard Industrial Classification (ANZSIC) codes. The significant
categories shown are the level one New Zealand Standard Industry Output Categories (NZSIOC), except that Agriculture is shown separately as
required by the Order.
Composition of financial instruments that give rise to credit risk by industry group are presented below:
Loans and
advances
Other
financial
assets
Off-balance
sheet credit
related
commitments Total
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m
New Zealand residents
Agriculture 15,912 3 1,272 17,187
Forestry and fishing, agriculture services 658 1 121 780
Manufacturing 2,457 92 1,824 4,373
Electricity, gas, water and waste services 933 312 1,573 2,818
Construction 1,201 1 853 2,055
Wholesale trade
1,357 71 2,172 3,600
Retail trade and accommodation
2,655 8 761 3,424
Transport, postal and warehousing
991 51 782 1,824
Finance and insurance services
1,070 15,026 1,867 17,963
Public administration and safety
1
317 9,874 806 10,997
Rental, hiring & real estate services
38,631 1,597 3,073 43,301
Professional, scientific, technical, administrative and support services
823 3 450 1,276
Households
75,052 4 13,761 88,817
All other New Zealand residents
2
2,109 114 1,823 4,046
Subtotal 144,166 27,157 31,138 202,461
Overseas
Finance and insurance services
81 12,885 93 13,059
Households
1,348 - - 1,348
All other non-NZ residents
698 85 - 783
Subtotal 2,127 12,970 93 15,190
Gross subtotal 146,293 40,127 31,231 217,651
Allowance for ECL
(573) - (119) (692)
Subtotal 145,720 40,127 31,112 216,959
Unearned income
(34) - - (34)
Capitalised brokerage and other origination costs
435 - - 435
Maximum exposure to credit risk 146,121 40,127 31,112 217,360
1 Public administration and safety includes exposures to local government administration and central government administration, defence and public safety.
2 Other includes exposures to mining, information media and telecommunications, education and training, health care and social assistance and arts, recreation and other services.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
29
Additional information on concentrations of funding
Analysis of funding liabilities by industry is based on ANZSIC codes. The significant categories shown are the level one NZSIOC.
As at 31 March 2022 Note NZ$m
Funding composition
Customer deposits 8
129,371
Wholesale funding
Debt issuances
19,097
Certificates of deposit and commercial paper
7,063
Other borrowings 2,270
Total wholesale funding
28,430
Total funding 157,801
Customer deposits by industry - New Zealand residents
Agriculture, forestry and fishing 4,786
Manufacturing
2,970
Construction
2,830
Wholesale trade
2,597
Retail trade and accommodation
2,425
Financial and insurance services 12,539
Rental, hiring and real estate services
4,352
Professional, scientific, technical, administrative and support services
6,860
Public administration and safety 1,758
Arts, recreation and other services
2,171
Households
71,053
All other New Zealand residents
1
5,721
120,062
Customer deposits by industry - overseas
Households
8,739
All other non-NZ residents
570
9,309
Total customer deposits
129,371
Wholesale funding (financial and insurance services industry)
New Zealand
8,254
Overseas
20,176
Total wholesale funding 28,430
Total funding
157,801
Concentrations of funding by geography
New Zealand
128,316
Australia 1,030
United States
12,883
Europe 8,837
Other countries
6,735
Total funding
157,801
1 Other includes mining; electricity, gas, water and waste services; transport, postal and warehousing; information media and telecommunications; education and training; health care and
social assistance.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
30
Additional information on interest rate sensitivity
The following table represents the interest rate sensitivity of the Banking Group's assets, liabilities and off-balance sheet instruments by showing the
periods in which these instruments may reprice, that is, when interest rates applicable to each asset or liability can be changed.
Total
Up to
3 months
Over 3 to
6 months
Over 6 to
12 months
Over 1 to
2 years
Over
2 years
Not bearing
interest
1
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Assets
Cash and cash equivalents 11,178 10,929 - - - - 249
Settlement balances receivable
913 - - - - - 913
Collateral paid 612 612 - - - - -
Trading securities 7,818 1,478 528 272 505 5,035 -
Derivative financial instruments 9,000 - - - - - 9,000
Investment securities 10,291 12 - 307 1,404 8,567 1
Net loans and advances 146,121 67,168 15,279 24,434 23,912 15,839 (511)
Other financial assets
500 - - - - - 500
Total financial assets
186,433 80,199 15,807 25,013 25,821 29,441 10,152
Liabilities
Settlement balances payable
4,592 2,619 - - - - 1,973
Collateral received
1,070 1,070 - - - - -
Deposits and other borrowings
138,704 89,824 12,833 10,002 1,666 1,017 23,362
Derivative financial instruments
8,376 - - - - - 8,376
Debt issuances
19,097 1,286 1,276 1,079 5,439 10,017 -
Lease liabilities
234 11 11 21 80 111 -
Other financial liabilities
806 478 - - - - 328
Total financial liabilities
172,879 95,288 14,120 11,102 7,185 11,145 34,039
Hedging instruments - (6,666) 15,123 364 (4,888) (3,933) -
Interest sensitivity gap
13,554 (21,755) 16,810 14,275 13,748 14,363 (23,887)
1 Excludes non-coupon bearing discount financial assets and financial liabilities which are shown as repricing on their maturity date.
Additional information on liquidity risk
Maturity analysis of financial liabilities
The table below provides residual contractual maturity analysis of financial liabilities at 31 March 2022 within relevant maturity groupings. All
outstanding debt issuances are profiled on the earliest date on which the Banking Group may be required to pay. The amounts represent principal
and interest cash flows – so they may differ from equivalent amounts reported on the balance sheet.
On
demand
Less than
3 months
3 to 12
months
1 to 5
years
After
5 years Total
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m NZ$m NZ$m
Settlement balances payable
3,579 1,019 - - - 4,598
Collateral received - 1,070 - - - 1,070
Deposits and other borrowings
87,482 24,337 23,201 4,472 - 139,492
Derivative financial liabilities (trading) - 8,286 - - - 8,286
Debt issuances
1
- 25 2,618 13,215 4,733 20,591
Lease liabilities
- 13 38 180 30 261
Other financial liabilities - 112 16 257 408 793
Derivative financial instruments
(balance sheet management)
- gross inflows
- 726 1,454 5,298 298 7,776
- gross outflows - (724) (1,524) (5,154) (235) (7,637)
1 Any callable wholesale debt instruments have been included at their next call date.
At 31 March 2022, NZ$31,231 million of its credit related commitments and contingent liabilities mature in less than 1 year, based on the earliest date
on which the Banking Group may be required to pay.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
31
Liquidity portfolio management
The Banking Group holds a diversified portfolio of cash and high quality liquid securities primarily to support liquidity risk management. The size of the
Banking Group’s liquidity portfolio is determined with consideration of the amount required to meet the requirements of its internal and regulatory
liquidity scenario metrics.
As at 31 March 2022 NZ$m
Central and local government bonds
8,172
Government treasury bills
909
Certificates of deposit
838
Other bonds
7,896
Securities eligible to be accepted as collateral in repurchase transactions
17,815
Cash and balances with central banks
10,346
Total liquidity portfolio 28,161
Assets held in the Banking Group’s liquidity portfolio include short term cash held with RBNZ, New Zealand Government securities, securities issued by
supranational agencies, securities issued by highly rated banks and securities issued by State Owned Enterprises, Local Authorities and highly rated
New Zealand domestic corporates.
The Bank also held unencumbered internal residential mortgage backed securities (RMBS) which would be accepted as collateral by RBNZ in
repurchase transactions. These holdings would entitle the Bank to enter into repurchase transactions with RBNZ with a value of NZ$10,790 million at
31 March 2022.
RBNZ Term Lending Facility (TLF) and Funding for Lending Programme (FLP)
• Between May 2020 and July 2021, RBNZ made funds available under the TLF to promote lending to businesses. The TLF is a five-year secured
funding facility for New Zealand banks at a fixed rate of 0.25%.
• In November 2020, RBNZ announced the FLP which aims to lower the cost of borrowing for New Zealand businesses and households. The FLP is
a three-year secured funding facility for New Zealand banks at a floating rate of the New Zealand Official Cash Rate (OCR). New Zealand banks
can obtain initial funding of up to 4% of their lending to New Zealand resident households, non-financial businesses and non-profit institutions
serving households as at 31 October 2020 (eligible loans). An additional allocation of up to 2% of eligible loans is available, subject to certain
conditions. The Bank’s initial allocation is NZ$5,223 million and its additional allocation is NZ$2,611 million. The additional allocation is available
until 6 December 2022, and the initial allocation is available until 6 June 2022.
As at 31 March 2022, the Bank had drawn NZ$300 million under the TLF and NZ$1,500 million under the FLP. These amounts are included in securities
sold under repurchase agreements in Note 8 deposits and other borrowings.
Reconciliation of mortgage related amounts
As at 31 March 2022
Note NZ$m
Term loans - housing
1
5
102,798
Less: housing loans made to corporate customers
(1,333)
On-balance sheet residential mortgage exposures subject to the IRB approach (per asset quality and LVR analysis) B3, B4
101,465
Add: off-balance sheet residential mortgage exposures subject to the IRB approach (per asset quality and LVR analysis) B3, B4
9,315
Total residential mortgage exposures subject to the IRB approach (per LVR analysis)
B4
110,780
1 Term loans – housing includes loans secured over residential property for owner-occupier, residential property investment and business purposes.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
32
B3. ASSET QUALITY
This section should be read in conjunction with the estimates, assumptions and judgements included in Note 1 about our interim financial
statements, Note 6 allowance for expected credit losses and Note 11 credit risk.
Movements in components of loss allowance – total
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
Net loans and advances - total NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2021 155 314 56 60 585
Transfer between stages
16 (12) (1) (3) -
New and increased provisions (net of collective provision releases)
(8) (10) 1 39 22
Write-backs - - - (22) (22)
Recoveries of amounts previously written off - - - (17) (17)
Credit impairment charge / (release)
8 (22) - (3) (17)
Bad debts written-off (excluding recoveries)
- - - (15) (15)
Add back recoveries of amounts previously written off
- - - 17 17
Discount unwind
- - - 3 3
As at 31 March 2022 163 292 56 62 573
Off-balance sheet credit related commitments - total
As at 1 October 2021 64 39 4 15 122
Transfer between stages
5 (5) - - -
New and increased provisions (net of collective provision releases) (4) 2 - (1) (3)
Credit impairment charge / (release)
1 (3) - (1) (3)
As at 31 March 2022 65 36 4 14 119
Impacts of changes in gross financial assets on loss allowances - total
Gross loans and advances - total
As at 1 October 2021 133,993 6,201 618 155 140,967
Net transfers in to each stage 109 582 93 2 786
Amounts drawn from new or existing facilities 21,870 607 15 90 22,582
Additions 21,979 1,189 108 92 23,368
Net transfers out of each stage
(675) (97) (13) (1) (786)
Amounts repaid
(16,094) (930) (136) (81) (17,241)
Deletions
(16,769) (1,027) (149) (82) (18,027)
Amounts written off
- - - (15) (15)
As at 31 March 2022 139,203 6,363 577 150 146,293
Loss allowance as at 31 March 2022 163 292 56 62 573
Off-balance sheet credit related commitments - total
As at 1 October 2021 28,818 1,279 32 23 30,152
Net transfers in to each stage
39 18 3 10 70
New and increased facilities and drawn amounts repaid 6,052 84 3 (3) 6,136
Additions 6,091 102 6 7 6,206
Net transfers out of each stage (20) (50) - - (70)
Reduced facilities and amounts drawn (4,841) (186) (22) (8) (5,057)
Deletions (4,861) (236) (22) (8) (5,127)
As at 31 March 2022 30,048 1,145 16 22 31,231
Loss allowance as at 31 March 2022 65 36 4 14 119
Explanation of how changes in the gross carrying amounts of gross loans and advances contributed to changes in loss allowance
Overall, loss allowances are 0.39% of gross balances as at 31 March 2022, down from 0.41% as at 30 September 2021. The NZ$15 million (2.1%)
decrease in loss allowances was driven by a decrease in the proportion of gross balances in Stage 2 and Stage 3, and changes in the forward looking
economic scenarios as described in Note 6 allowance for expected credit losses.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
33
Movements in components of loss allowance - residential mortgages
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
Net loans and advances - residential mortgages NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2021 23 53 17 9 102
Transfer between stages 6 (7) 1 - -
New and increased provisions (net of collective provision releases) - 16 5 2 23
Write-backs - - - (1) (1)
Recoveries of amounts previously written off
- - - - -
Credit impairment charge
6 9 6 1 22
Bad debts written-off (excluding recoveries)
- - - - -
Add back recoveries of amounts previously written off
- - - - -
Discount unwind
- - - - -
As at 31 March 2022 29 62 23 10 124
Off-balance sheet credit related commitments - residential mortgages
As at 1 October 2021 - - - - -
Transfer between stages
- - - - -
New and increased provisions (net of collective provision releases) - - - - -
Credit impairment charge / (release)
- - - - -
As at 31 March 2022 - - - - -
Impacts of changes in gross financial assets on loss allowances - residential mortgages
Gross loans and advances - residential mortgages
As at 1 October 2021 94,857 1,846 356 19 97,078
Net transfers in to each stage - 578 86 - 664
Amounts drawn from new or existing facilities 14,872 273 - 3 15,148
Additions
14,872 851 86 3 15,812
Net transfers out of each stage
(663) - - (1) (664)
Amounts repaid
(10,477) (232) (46) (6) (10,761)
Deletions
(11,140) (232) (46) (7) (11,425)
Amounts written off
- - - - -
As at 31 March 2022 98,589 2,465 396 15 101,465
Loss allowance as at 31 March 2022 29 62 23 10 124
Off-balance sheet credit related commitments - residential mortgages
As at 1 October 2021 9,040 40 1 - 9,081
Net transfers in to each stage
- 17 - - 17
New and increased facilities and drawn amounts repaid 1,521 7 - - 1,528
Additions 1,521 24 - - 1,545
Net transfers out of each stage (17) - - - (17)
Reduced facilities and amounts drawn (1,288) (6) - - (1,294)
Deletions (1,305) (6) - - (1,311)
As at 31 March 2022 9,256 58 1 - 9,315
Loss allowance as at 31 March 2022 - - - - -
Explanation of how changes in the gross carrying amounts of residential mortgages contributed to changes in loss allowance
The NZ$22 million (21.6%) in crease in loss allowances on residential mortgage exposures is driven by a combination of these increases in gross
balances, including an increases in the proportion of gross balances in Stage 2 and Stage 3, and changes in the forward looking economic scenarios as
described in Note 6 allowance for expected credit losses. Overall loss allowances and individually impaired exposures remain low, reflecting that
approximately 94% of on-balance sheet residential mortgage exposures have loan to valuation ratios not exceeding 80% (refer to page 41).
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
34
Movements in components of loss allowance - other retail exposures
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
Net loans and advances - other retail exposures NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2021 10 49 17 6 82
Transfer between stages 5 (5) - - -
New and increased provisions (net of collective provision releases) (4) 1 2 15 14
Write-backs - - - (1) (1)
Recoveries of amounts previously written off
- - - (6) (6)
Credit impairment charge / (release)
1 (4) 2 8 7
Bad debts written-off (excluding recoveries)
- - - (13) (13)
Add back recoveries of amounts previously written off
- - - 6 6
Discount unwind
- - - - -
As at 31 March 2022 11 45 19 7 82
Off-balance sheet credit related commitments - other retail exposures
As at 1 October 2021 15 12 3 - 30
Transfer between stages
3 (3) - - -
New and increased provisions (net of collective provision releases) (4) 1 - - (3)
Credit impairment charge / (release)
(1) (2) - - (3)
As at 31 March 2022 14 10 3 - 27
Impacts of changes in gross financial assets on loss allowances - other retail exposures
Gross loans and advances - other retail exposures
As at 1 October 2021 2,271 132 34 9 2,446
Net transfers in to each stage - 4 7 1 12
Amounts drawn from new or existing facilities 250 15 4 16 285
Additions
250 19 11 17 297
Net transfers out of each stage
(12) - - - (12)
Amounts repaid
(332) (29) (11) (2) (374)
Deletions
(344) (29) (11) (2) (386)
Amounts written off
- - - (13) (13)
As at 31 March 2022 2,177 122 34 11 2,344
Loss allowance as at 31 March 2022 11 45 19 7 82
Off-balance sheet credit related commitments - other retail exposures
As at 1 October 2021 5,091 38 13 - 5,142
Net transfers in to each stage
- 1 2 - 3
New and increased facilities and drawn amounts repaid 143 3 2 - 148
Additions 143 4 4 - 151
Net transfers out of each stage (3) - - - (3)
Reduced facilities and amounts drawn (299) (7) (7) - (313)
Deletions (302) (7) (7) - (316)
As at 31 March 2022 4,932 35 10 - 4,977
Loss allowance as at 31 March 2022 14 10 3 - 27
Explanation of how changes in the gross carrying amounts of other retail exposures contributed to changes in loss allowance
The NZ$3 million (2.7%) decrease in loss allowances is primarily driven by a decrease in the amount of gross balances in Stage 2.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
35
Movements in components of loss allowance - corporate exposures
1
Stage 3
Stage 1 Stage 2
Collectively
assessed
Individually
assessed Total
Net loans and advances - corporate exposures NZ$m NZ$m NZ$m NZ$m NZ$m
As at 1 October 2021 122 212 22 45 401
Transfer between stages 5 - (2) (3) -
New and increased provisions (net of collective provision releases) (4) (27) (6) 22 (15)
Write-backs - - - (20) (20)
Recoveries of amounts previously written off
- - - (11) (11)
Credit impairment charge / (release)
1 (27) (8) (12) (46)
Bad debts written-off (excluding recoveries)
- - - (2) (2)
Add back recoveries of amounts previously written off
- - - 11 11
Discount unwind
- - - 3 3
As at 31 March 2022 123 185 14 45 367
Off-balance sheet credit related commitments - corporate exposures
As at 1 October 2021 49 27 1 15 92
Transfer between stages
2 (2) - - -
New and increased provisions (net of collective provision releases) - 1 - (1) -
Credit impairment charge / (release)
2 (1) - (1) -
As at 31 March 2022 51 26 1 14 92
Impacts of changes in gross financial assets on loss allowances - corporate exposures
Gross loans and advances - corporate exposures
As at 1 October 2021 36,865 4,223 228 127 41,443
Net transfers in to each stage 109 - - 1 110
Amounts drawn from new or existing facilities 6,748 319 11 71 7,149
Additions
6,857 319 11 72 7,259
Net transfers out of each stage
- (97) (13) - (110)
Amounts repaid
(5,285) (669) (79) (73) (6,106)
Deletions
(5,285) (766) (92) (73) (6,216)
Amounts written off
- - - (2) (2)
As at 31 March 2022 38,437 3,776 147 124 42,484
Loss allowance as at 31 March 2022 123 185 14 45 367
Off-balance sheet credit related commitments - corporate exposures
As at 1 October 2021 14,687 1,201 18 23 15,929
Net transfers in to each stage
39 - 1 10 50
New and increased facilities and drawn amounts repaid 4,388 74 1 (3) 4,460
Additions 4,427 74 2 7 4,510
Net transfers out of each stage - (50) - - (50)
Reduced facilities and amounts drawn (3,254) (173) (15) (8) (3,450)
Deletions (3,254) (223) (15) (8) (3,500)
As at 31 March 2022 15,860 1,052 5 22 16,939
Loss allowance as at 31 March 2022 51 26 1 14 92
1 Also includes all other non-retail exposure classes in net loans and advances and off balance sheet credit related commitments to reconcile to the respective totals for the Banking Group.
Explanation of how changes in the gross carrying amounts of corporate exposures contributed to changes in loss allowance
The NZ$34 million (6.9%) decrease in loss allowances is primarily driven by a decrease in the proportion of gross balances in Stage 2 and Stage 3, and
the release of temporary adjustments partially offset by changes in the forward looking economic scenarios as described in Note 6 allowance for
expected credit losses.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
36
Past due assets and other asset quality information
Residential
mortgages
Other retail
exposures
Corporate
exposures Total
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m
Past due assets
Less than 30 days past due 415 67 252 734
At least 30 days but less than 60 days past due 148 12 68 228
At least 60 days but less than 90 days past due 94 5 5 104
At least 90 days past due
367 22 7 396
Total past due but not individually impaired 1,024 106 332 1,462
Other asset quality information
Undrawn facilities with impaired customers - - 22 22
Other assets under administration
2 1 - 3
The Banking Group does not have any loans and advances designated at fair value.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
37
B4. CAPITAL ADEQUACY UNDER THE INTERNAL MODELS BASED APPROACH, AND REGULATORY
LIQUIDITY RATIOS
RBNZ capital ratios
Banking Group
Bank
(Solo Consolidated)
As at 31 March RBNZ minimum 2022 2021
2022 2021
Common equity tier 1 capital 4.5% 12.4% 13.1% 12.2% 12.7%
Tier 1 capital 6.0% 14.5% 15.9% 14.3% 15.5%
Total capital 8.0% 15.1% 15.9% 14.9% 15.5%
Prudential capital buffer ratio 2.5% 7.1% 7.9% n/a n/a
Capital
As at 31 March 2022 NZ$m
Tier 1 capital
Common equity tier 1 (CET1) capital
Paid up ordinary shares issued by the Bank
11,588
Retained earnings (net of appropriations)
5,133
Accumulated other comprehensive income and other disclosed reserves
1
7
Less deductions from common equity tier 1 capital
Goodwill and intangible assets, net of associated deferred tax liabilities
(3,103)
Deferred tax assets less deferred tax liabilities relating to temporary differences
(353)
Cash flow hedge reserve
15
Defined benefit superannuation plan surplus
(8)
Expected losses to the extent greater than total eligible allowances for impairment
(62)
Common equity tier 1 capital
13,217
Additional tier 1 (AT1) capital
Retained earnings of the Bonus Bonds Scheme
2
19
Transitional AT1 capital instruments
Preference shares
3
300
NZD 1,003m ANZ New Zealand Internal Capital Notes (ANZ NZ ICN)
4
1,003
NZD 938m ANZ New Zealand Internal Capital Notes (ANZ NZ ICN2)
4
938
Less deductions from additional tier 1 capital
Surplus retained earnings of the Bonus Bonds Scheme
2
(19)
Additional tier 1 capital
2,241
Total tier 1 capital
15,458
Tier 2 capital
NZD 600m subordinated notes
4
600
Eligible impairment allowance in excess of expected loss
4
Tier 2 capital
604
Total capital
16,062
1 Includes the investment securities revaluation reserve of NZ$22 million less the cash flow hedging reserve of NZ$15 million as at 31 March 2022.
2 Bonus Bonds Scheme (the Scheme) is not consolidated on the balance sheet under NZ GAAP but its retained earnings are included in AT1 capital for capital adequacy purposes, subject to
a cap of 8.5% of the consolidated RWA that relate to the Scheme, as set out in BPR110: Capital Definitions.
3 Classified as equity on the balance sheet under NZ GAAP.
4 Classified as a liability on the balance sheet under NZ GAAP.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
38
Capital requirements of the Banking Group
Total
exposure
after credit
risk
mitigation
Risk
weighted
exposure or
implied risk
weighted
exposure
1
Total capital
requirement
As at 31 March 2022 NZ$m NZ$m NZ$m
Total credit risk
212,932 64,664 5,173
Operational risk
n/a 11,385 911
Market risk
n/a 6,352 508
Supervisory adjustment
2
n/a 23,867 1,910
Total n/a 106,268 8,502
1 The calculation of risk weighted credit exposures includes a scalar of 1.06 in accordance with the Bank's Conditions of Registration.
2 The supervisory adjustment includes RWA of NZ$5,079 million for corporate exposures, NZ$13,780 million for residential mortgage exposures and NZ$5,008 million for a standardised floor
adjustment.
Capital structure
Ordinary shares– CET1 capital
All ordinary shares share equally in dividends and any proceeds available to ordinary shareholders on winding up of the Bank. On a show of hands
every member who is present at a meeting in person or by proxy or by representative is entitled to one vote, and upon a poll every member shall
have one vote for each share held.
Transitional AT1 capital instruments
Certain instruments issued by the Bank qualify as transitional AT1 capital instruments and are subject to phase-out under BPR110. Fixing the base at
the aggregate nominal amount of such instruments outstanding as at 30 September 2021 (NZ$2,741 million), their recognition is capped at 87.5% of
that base from 1 January 2022; 75% from 1 January 2023; 62.5% from 1 January 2024; 50% from 1 January 2025; 37.5% from 1 January 2026; 25% from 1
January 2027; 12.5% from 1 January 2028; and from 1 July 2028 onwards these instruments will not be included in regulatory capital.
Preference shares – transitional AT1 capital instrument
All preference shares were issued by the Bank to the Immediate Parent Company and do not carry any voting rights. The preference shares are wholly
classified as equity instruments as there is no contractual obligation for the Bank to either deliver cash or another financial instrument or to exchange
financial instruments on a potentially unfavourable basis.
The key terms of the preference shares are as follows:
Dividends are payable at the discretion of the directors of the Bank and are non-cumulative. The Bank must not resolve to pay any dividend or make
any other distribution on its ordinary shares until the next preference dividend payment date if the dividend on the preference shares is not paid.
Should the Bank elect to pay a dividend, the dividend is based on a floating rate equal to the aggregate of the New Zealand 6 month bank bill rate
plus a 325 basis point margin, multiplied by one minus the New Zealand company tax rate, with dividend payments due on 1 March and 1 September
each year.
The preference shares are redeemable, subject to prior written approval of the RBNZ, by the Bank providing notice in writing to holders of the
preference shares. As a result of being transitional AT1 instruments subject to phase-out under RBNZ’s new capital requirements, the Bank has
determined that a regulatory event has occurred in respect of the preference shares. The occurrence of a regulatory event means that the Bank may
choose to redeem the preference shares at its discretion. As at 6 May 2022, no decision has been made on whether the Bank will redeem the
preference shares.
The preference shares may be redeemed for nil consideration should a non-viability trigger event occur.
In the event of liquidation, holders of preference shares are entitled to available subscribed capital per share, pari passu with all holders of existing
preference shares and AT1 capital notes but in priority to all holders of ordinary shares. They have no entitlement to participate in further distribution
of profits or assets.
AT1 capital notes – transitional AT1 capital instruments
AT1 capital notes are fully paid convertible non-cumulative perpetual subordinated notes. Holders of AT1 capital notes do not have any right to vote
in general meetings of the Bank.
AT1 capital notes are classified as debt given there are circumstances beyond the Bank’s control where the principal is converted into a variable
number of ordinary shares of the Bank.
Interest payments on the AT1 capital notes are non-cumulative and subject to the is suer’s absolute discretion and certain payment conditions
(including regulatory requirements).
Where specified, AT1 capital notes provide the Bank with an early redemption or conversion option on a specified date and in certain other
circumstances (such as a tax or regulatory event). Early redemption is subject to RBNZ’s prior written approval.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
39
Each of the AT1 capital notes will immediately convert into a variable number of ordinary shares of the Bank based on the net assets per share in the
Bank’s most re cently published Disclosure Statement if:
• the Banking Group’s, common equity tier 1 capital ratio is equal to or less than 5.125% - known as a Common Equity Capital Trigger Event; or
• RBNZ directs the Bank to convert or write-off the notes or a statutory manager is appointed to the Bank and decides that the Bank must convert
or write-off the notes.
Where specified, AT1 capital notes mandatorily convert into a variable number of ordinary shares of the Bank (based on the net assets per share in the
Bank’s most recently published Disclosure Statement):
• on a specified mandatory conversion date; or
• on an earlier date under certain circumstances as set out in the terms.
However, the mandatory conversion is deferred for a specified period if certain conversion tests are not met.
As a result of being transitional AT1 instruments subject to phase-out under RBNZ’s new capital requirements, the Bank has determined that a
regulatory event has occurred in respect of these notes. The occurrence of a regulatory event means that the Bank may choose to redeem any of the
AT1 capital notes at its discretion. A redemption of the AT1 capital notes is subject to certain conditions, including regulatory approvals. As at 6 May
2022, no decision has been made on whether the Bank will redeem the AT1 capital notes.
The table below shows the key details of the AT1 capital notes on issue at 31 March 2022:
ANZ NZ ICN ANZ NZ ICN2
Issue date 5 March 2015 15 June 2016
Issue amount NZ$1,003 million NZ$938 million
Face value NZ$100 NZ$100
Interest frequency Semi-annually in arrears Semi-annually in arrears
Interest rate
Floating rate: (New Zealand
6 month Bank Bill rate +
3.8%)
Floating rate: (New Zealand
6 month Bank Bill rate +
6.29%)
Issuer's early redemption or conversion option 24 March 2023
15 June 2026 and each 5th
anniversary
Mandatory conversion date 24 March 2025 n/a
Common equity capital trigger event Yes Yes
Non-viability trigger event Yes Yes
Tier 2 capital
Tier 2 capital notes are fully paid unsecured subordinated notes. As at 31 March 2022 the notes carried an A- credit rating from S&P Global Ratings.
Interest payments are subject to the Bank being solvent at the time of, and immediately following, the payment. Unpaid interest accumulates, and will
be paid at the earlier of when the Bank is solvent again or at maturity. The Bank may repay the notes early on the dates specified below, or in certain
other circumstances (such as a tax or regulatory event). Early repayment is subject to certain conditions, including approval from RBNZ.
Issue date 17 September 2021
Issue amount and carrying value Issue amount: NZ$600 million; Carrying value (net of issue costs): NZ$594 million
Face value
NZ$1
Interest frequency
Quarterly in arrears
Interest rate
Fixed at 2.999% p.a. until 17 September 2026. Resets on 17 September 2026 to a floating
rate: New Zealand 3 month Bank bill rate + 1.25%
Issuer's early redemption
17 September 2026 or any interest payment date thereafter
Maturity
17 September 2031
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
40
Credit risk subject to the Internal Ratings Based (IRB) approach
IRB credit exposures by exposure class and customer credit rating
Probability
of default Total value
Exposure
at default
Exposure-
weighted
LGD used
for the
capital
calculation
Exposure-
weighted
risk weight
Risk
weighted
assets
Minimum
capital
requirement
As at 31 March 2022 % NZ$m NZ$m % % NZ$m NZ$m
Corporate
0 - 2 0.05 73,607 6,863 62 32 2,315 185
3 - 4
0.31 46,628 24,374 37 41 10,621 850
5
1.00 13,396 10,837 32 55 6,270 502
6
2.22 2,654 2,444 33 73 1,890 151
7 - 8
16.20 1,261 1,181 39 165 2,066 165
Default
100.00 247 244 36 80 208 17
Total corporate exposures
1
1.47 137,793 45,943 40 48 23,370 1,870
Residential mortgages
0 - 3 0.20 41,211 41,605 12 5 2,361 189
4
0.44 44,960 45,095 19 15 7,403 592
5
0.88 21,216 21,288 24 31 7,087 567
6
1.96 2,808 2,811 25 59 1,751 140
7 - 8
4.88 165 165 25 86 152 12
Default
100.00 420 421 13 6 28 2
Total residential mortgages exposures
2
0.86 110,780 111,385 18 16 18,782 1,502
Other retail
0 - 2 0.10 539 541 77 49 283 23
3 - 4
0.23 4,014 4,060 77 54 2,327 186
5
0.99 1,448 1,484 79 79 1,236 99
6
2.79 573 600 83 109 690 55
7 - 8
8.42 700 726 87 137 1,054 84
Default
100.00 47 47 81 48 24 2
Total other retail exposures 2.00 7,321 7,458 79 71 5,614 449
Total credit risk exposures subject
to the IRB approach
3
1.08 255,894 164,786 27 27 47,766 3,821
1 The supervisory adjustment on page 38 includes NZ$5,079 million of RWA for corporate exposures. This increases the pre-scalar exposure–weighted risk weight to 58% and the minimum
capital requirement to NZ$2,276 million.
2 The supervisory adjustment on page 38 includes NZ$13,780 million of RWA for residential mortgage exposures. This increases the pre-scalar exposure-weighted risk weight to 28% and the
minimum capital requirement to NZ$2,604 million.
3 The supervisory adjustment on page 38 of NZ$23,867 million of RWA (including NZ$5,008 million for a standardised floor) increases the pre-scalar IRB exposure-weighted risk weight to 41%
and the related minimum capital requirement to NZ$5,731 million.
IRB credit exposures include the following undrawn commitments and other off-balance sheet contingent liabilities:
Total value
Exposure
at default
As at 31 March 2022 NZ$m NZ$m
Undrawn commitments and other off-balance sheet contingent liabilities
Corporate 13,319 12,463
Residential mortgages 9,315 9,763
Other retail 4,977 5,058
Counterparty credit risk on derivatives and securities financing transactions
Corporate 92,247 1,369
Residential mortgages - -
Other retail - -
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
41
Additional mortgage information
As required by RBNZ, LVRs are calculated as the current exposure secured by a residential mortgage divided by the Banking Group's valuation of the
security property at origination of the exposure. Off-balance sheet exposures include undrawn and partially drawn residential mortgage loans as well
as commitments to lend. Commitments to lend are formal offers for housing lending which have been accepted by the customer.
On-
balance
sheet
Off-
balance
sheet Total
As at 31 March 2022 NZ$m NZ$m NZ$m
LVR range
Does not exceed 60%
55,011 6,803 61,814
Exceeds 60% and not 70% 20,063 1,151 21,214
Exceeds 70% and not 80% 20,269 1,070 21,339
Does not exceed 80%
95,343 9,024 104,367
Exceeds 80% and not 90%
4,496 105 4,601
Exceeds 90%
1,626 186 1,812
Total 101,465 9,315 110,780
Specialised lending subject to the slotting approach
Total
exposures
after
credit risk
mitigation
Risk
weight
Risk
weighted
assets
Minimum
Pillar 1
capital
requirement
As at 31 March 2022 NZ$m % NZ$m NZ$m
On-balance sheet exposures
Strong
6,526 70 4,842 387
Good
5,471 90 5,219 418
Satisfactory
302 115 368 29
Weak
93 250 249 21
Default
47 - - -
Exposure
at default
Average
risk weight
Risk
weighted
assets
Minimum
Pillar 1
capital
requirement
As at 31 March 2022 NZ$m % NZ$m NZ$m
Off-balance sheet exposures
Undrawn commitments and other off-balance sheet exposures 1,550 84 1,379 110
The supervisory categories of specialised lending above are associated with specific risk-weights. These categories broadly correspond to the
following external credit assessments using S&P Global Ratings' rating scale, Strong: BBB- or better, Good: BB+ or BB, Satisfactory: BB- or B+ and Weak:
B to C-.
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
42
Credit risk exposures subject to the standardised approach
Total
exposure
after
credit risk
mitigation
Average
risk
weight
Risk
weighted
exposure
Minimum
Pillar 1
capital
requirement
As at 31 March 2022
NZ$m % NZ$m NZ$m
On-balance sheet exposures
Cash and gold bullion
185 - - -
Sovereign and central banks
18,630 - - -
Multilateral development banks and other international organisations
4,339 - - -
Public sector entities
1,639 20 348 28
Banks
2,257 44 1,041 83
Corporate
61 104 67 5
Residential mortgages - - - -
Past due assets - - - -
Other assets 1,182 100 1,253 100
Total
exposure
or
principal
amount
Average
credit
conversion
factor
Credit
equivalent
amount
Average
risk
weight
Risk
weighted
exposure
Minimum
Pillar 1
capital
requirement
As at 31 March 2022 NZ$m % NZ$m % NZ$m NZ$m
Off-balance sheet exposures
Total off balance sheet exposures subject to the standardised
approach
1,903 53 1,000 56 594 48
Counterparty credit risk for counterparties subject to the
standardised approach
Foreign exchange contracts
239,778 n/a 2,526 24 633 51
Interest rate contracts
1,727,957 n/a 2,012 15 317 25
Other
1
1,387 n/a 325 29 584 47
1 Risk weighted exposure includes an additional NZ$483 million for credit valuation adjustment.
Credit risk mitigation
Information on the total value of exposures covered by financial guarantees and eligible financial collateral is not disclosed, as the effect of these
guarantees and collateral on the underlying credit risk exposures is not considered to be material.
For portfolios subject to
the standardised approach:
total value of exposures
covered by eligible financial
collateral (after haircut)
For all portfolios:
total value of exposures
covered by guarantees
or credit derivatives
1
As at 31 March 2022 NZ$m NZ$m
Exposure class
Sovereign - -
Bank - -
Corporate (including specialised lending) - 435
Residential mortgage - -
Other - -
1 Covered by guarantees where the presence of the guarantees was judged to reduce the underlying credit risk of the exposures.
Equity exposures
Exposure
at default
Risk
weight
Risk
weighted
exposure
Minimum
Pillar 1
capital
requirement
As at 31 March 2022 NZ$m % NZ$m NZ$m
Equity holdings (not deducted from capital) that are publicly traded
- 300 - -
All other equity holdings (not deducted from capital)
1 400 5 -
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
43
Operational risk
As required by its conditions of registration, the Banking Group uses the standardised approach to the calculation of its operational risk capital
requirement. As at 31 March 2022, the Banking Group had an implied risk weighted exposure of NZ$11,385 million for operational risk and an
operational risk capital requirement of NZ$911 million.
Market risk
The aggregate market risk exposures below have been calculated in accordance with BPR140: Market Risk. The peak end-of-day market risk exposures
are for the six months ended 31 March 2022.
Implied risk weighted
exposure Aggregate capital charge
Period end Peak Period end Peak
As at 31 March 2022 NZ$m NZ$m NZ$m NZ$m
Interest rate risk
6,305 7,398 504 592
Foreign currency risk 46 84 4 7
Equity risk 1 1 - -
Capital for other material risks
The Banking Group has an Internal Capital Adequacy Assessment Process (ICAAP) which complies with the requirements of the Bank's Conditions of
Registration. Under the Banking Group's ICAAP it identifies and measures all "other material risks", which are those material risks that are not explicitly
captured in the calculation of the Banking Group's tier 1 and total capital ratios. The other material risks identified by the Banking Group include fixed
asset risk and deferred acquisition cost risk. As at 31 March 2022, the Banking Group's internal capital allocation for these other material risks is NZ$326
million (March 2021: NZ$330 million, updated from NZ$274 million for revised methodology).
Information about Ultimate Parent Bank and Overseas Banking Group
APRA Basel III capital ratios
Overseas Banking Group
Ultimate Parent Bank
(Extended Licensed Entity)
As at 31 March 2022 2021 2022 2021
Common equity tier 1 capital
11.5%
12.4%
11.1%
12.2%
Tier 1 capital
13.2%
14.3%
13.1%
14.2%
Total capital
16.6%
18.3%
17.1%
18.6%
The Ultimate Parent Bank and the Overseas Banking Group are required to hold minimum capital as determined by APRA, which is at least equal to
that specified under the Basel III capital framework.
APRA has authorised the Ultimate Parent Bank and the Overseas Banking Group to use:
• the Advanced Internal Ratings Based (AIRB) methodology for calculation of credit risk weighted assets. Where the Overseas Banking Group is not
accredited to use the AIRB methodology the Overseas Banking Group applies the standardised approach.
• the Advanced Measurement Approach (AMA) for the operational risk weighted asset equivalent.
The Overseas Banking Group exceeded the minimum capital requirements set by APRA as at 31 March 2022 and for the comparative prior periods.
The Overseas Banking Group is required to publicly disclose Pillar 3 financial information as at 31 March 2022. The Overseas Banking Group’s Pillar 3
disclosure document for the quarter ended 31 March 2022, in accordance with APS 330: Public Disclosure of Prudential Information, discloses capital
adequacy ratios and other prudential information. This document can be accessed at the website anz.com.
Regulatory liquidity ratios
RBNZ requires banks to hold minimum amounts of liquid assets to help ensure that they are effectively managing their liquidity risks. The mismatch
ratio is a measure of a bank’s liquid assets, adjusted for expected cash inflows and outflows during a 1-month or 1-week period of stress. It is expressed
as a ratio over the bank’s total funding. The Banking Group must maintain its 1-month and 1-week mismatch ratios above zero on a daily basis. The 1-
month and 1-week mismatch ratios are averaged over the quarter.
RBNZ requires banks to get a minimum amount of funding from stable sources called core funding. From 1 January 2022, the minimum amount of
core funding was increased from 50% to 75% of a bank’s total loans. The Banking Group must maintain its core funding ratio above the regulatory
minimum on a daily basis. This measure of the core funding ratio is averaged over the quarter.
For the three months ended 31 Mar 22 31 Dec 21
Quarterly average 1-week mismatch ratio 7.6% 8.7%
Quarterly average 1-month mismatch ratio 7.0% 7.9%
Quarterly average core funding ratio
91.4%
91.3%
ANZ BANK NEW ZEALAND LIMITED UNAUDITED
REGISTERED BANK DISCLOSURES
44
B5. CONCENTRATION OF CREDIT EXPOSURES TO INDIVIDUAL COUNTERPARTIES
The Banking Group measures its concentration of credit exposures to individual counterparties at the reporting date on the basis of actual exposures.
Peak end-of-day aggregate credit exposures are measured on the basis of internal limits that were not materially exceeded between the reporting
date for the previous disclosure statement and the reporting date for the Disclosure Statement.
The exposure information in the table below excludes exposures to:
• connected persons (i.e. other members of the Overseas Banking Group and Directors of the Bank);
• the central government or central bank of any country with a long-term credit rating of A- or A3 or above, or its equivalent; and
• any supranational or quasi-sovereign agency with a long-term credit rating of A- or A3 or above, or its equivalent.
As at
Peak end of
day over 6
months to
31 Mar 22 31 Mar 22
Exposures to banks
Total number of exposures to banks that are greater than 10% of CET1 capital
- 1
with a long-term credit rating of A- or A3 or above, or its equivalent
- 1
- 10% to less than 15% of CET1 capital
- 1
with a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent - -
Exposures to non-banks
Total number of exposures to non-banks that are greater than 10% of CET1 capital
2 2
with a long-term credit rating of A- or A3 or above, or its equivalent
2 2
- 10% to less than 15% of CET1 capital
2 2
with a long-term credit rating of at least BBB- or Baa3, or its equivalent, and at most BBB+ or Baa1, or its equivalent
- -
B6. INSURANCE BUSINESS
As at 31 March 2022, the Banking Group does not conduct any insurance business.
ANZ BANK NEW ZEALAND LIMITED
DIRECTORS' STATEMENT
45
As at the date on which this Disclosure Statement is signed, after due enquiry, each Director believes that:
• The Disclosure Statement contains all the information that is required by the Registered Bank Disclosure Statements (New Zealand Incorporated
Registered Banks) Order 2014; and
• The Disclosure Statement is not false or misleading.
Over the six months ended 31 March 2022, after due enquiry, each Director believes that:
• ANZ Bank New Zealand Limited has complied in all material respects with each condition of registration that applied during that period
except
as noted on page 25
1
;
• Credit exposures to connected persons were not contrary to the interests of the Banking Group; and
• ANZ Bank New Zealand Limited had systems in place to monitor and control adequately the Banking Group’s material risks, including credit risk,
concentration of credit risk, interest rate risk, currency risk, equity risk, liquidity risk, operational risk and other business risks, and that those
systems were being properly applied.
1. In accordance with the Order, ANZ Bank New Zealand Limited has complied in all material respects with each of its conditions of registration that applied during the period if the RBNZ has
not published any information about a breach on its website, and has not notified ANZ Bank New Zealand Limited of any material breach.
This Disclosure Statement is dated, and has been signed by all Directors of the Bank on, 6 May 2022.
Shayne Elliott
Alison Gerry
Rt Hon Sir John Key, GNZM AC
Scott St John
Mark Verbiest
Antonia Watson
Joan Withers
ANZ BANK NEW ZEALAND LIMITED
INDEPENDENT AUDITOR’S REVIEW REPORT
46
TO THE SHAREHOLDER OF ANZ BANK NEW ZEALAND LIMITED
REPORT ON THE HALF YEAR DISCLOSURE STATEMENT
REPORT ON THE INTERIM FINANCIAL STATEMENTS AND REGISTERED BANK DISCLOSURES IN SECTIONS B2, B3,
B5, B6
BASIS FOR CONCLUSION
A review of the half year disclosure statement in accordance with NZ SRE 2410 Review of Financial Statements Performed by the Independent Auditor of
the Entity (NZ SRE 2410) is a limited assurance engagement. The auditor performs procedures, consisting of making enquiries, primarily of persons
responsible for financial and accounting matters, and applying analytical and other re view procedures.
As the auditor of the Banking Group, NZ SRE 2410 requires that we comply with the ethical requirements relevant to the audit of the annual financial
statements.
Our firm has also provided other services to the Banking Group in relation to review of regulatory returns, internal controls reports, prospectus
assurance, agreed upon procedures and other assurance engagements. Subject to certain restrictions, partners and employees of our firm may also
deal with the Banking Group on normal terms within the ordinary course of trading activities of the business of the Banking Group. These matters
have not impaired our independence as reviewer of the Banking Group. The firm has no other relationship with, or interest in, the Banking Group.
EMPHASIS OF MATTER – NON-COMPLIANCE WITH CERTAIN CONDITIONS OF REGISTRATION
We draw attention to section B1 of the half year disclosure statement, in which the Banking Group discloses that it has identified non-compliance with
aspects of its Conditions of Registration relating to capital adequacy.
Further details of the matters relating to capital adequacy are described below in our qualified review conclusion on the registered bank disclosures in
section B4 relating to capital adequacy and regulatory liquidity ratios.
Our conclusion on the interim financial statements and registered bank disclosures in sections B2, B3, B5, and B6 is not modified in respect of these
matters.
RESPONSIBILITIES OF THE DIRECTORS FOR THE INTERIM FINANCIAL STATEMENTS AND REGISTERED BANK
DISCLOSURES IN SECTIONS B1, B2, B3, B5, AND B6
The Directors, on behalf of the Banking Group, are responsible for:
• the preparation and fair presentation of the interim financial statements and registered bank disclosures in accordance with IAS 34, NZ IAS 34
and Schedules 3, 5, 7, 13, 16 and 18 of the Order;
• implementing necessary internal controls to enable the preparation of interim financial statements that are fairly presented and free from
material misstatement, whether due to fraud or error; and
• assessing the ability to continue as a going concern. This includes disclosing, as applicable, matters related to going concern and using the
going concern basis of accounting unless they either intend to liquidate or to cease operations, or have no realistic alternative but to do so.
CONCLUSION
Based on our review of the interim financial statements and the registered bank disclosures (together referred to as ‘the half year disclosure
statement’) of ANZ Bank New Zealand Limited and its subsidiaries (the Banking Group) on pages 4 to 44, nothing has come to our attention that
causes us to believe that:
• the interim financial statements on pages 4 to 23 do not present fairly in accordance with NZ IAS 34 Interim Financial Reporting and IAS 34
Interim Financial Reporting, in all material respects, the Banking Group’s financial position as at 31 March 2022 and its financial performance
and cash flows for the six month period ended on that date; and
• the registered bank disclosures in sections B2, B3, B5 and B6 disclosed in accordance with Schedules 5, 7, 13, 16 and 18 of the Registered
Bank Disclosure Statements (New Zealand Incorporated Registered Banks) Order 2014 (as amended) (the Order) respectively, do not fairly
state, in all material respects, the matters to which they relate in accordance with those schedules.
We have completed a review of the accompanying half year disclosure statement which comprises:
• the interim financial statements formed of:
• the consolidated balance sheet as at 31 March 2022;
• the consolidated income statement, statements of comprehensive income, changes in equity and cash flows for the six month period
then ended; and
• notes, including a summary of significant accounting policies and other explanatory information.
• the registered bank disclosures prescribed in Schedules 5, 7, 13, 16 and 18 of the Order.
INDEPENDENT AUDITOR’S REPORT
47
AUDITOR’S RESPONSIBILITIES FOR THE REVIEW OF THE INTERIM FINANCIAL STATEMENTS AND REGISTERED
BANK DISCLOSURES IN SECTIONS B2, B3, B5, AND B6
Our responsibility is to express a conclusion on the interim financial statements and registered bank disclosure statements in sections B2, B3, B5, and
B6 based on our review. We conducted our review in accordance with NZ SRE 2410. NZ SRE 2410 requires us to conclude whether anything has come
to attention that causes us to believe that:
• the interim financial statements do not present fairly in all material respects the Banking Group’s financial position as at 31 March 2022 and its
financial performance and cash flows for the six month period ended on that date;
• the interim financial statements do not, in all material respects, comply with IAS 34 and NZ IAS 34; and
• the registered bank disclosures in sections B2, B3, B5 and B6 does not, fairly state, in all material respects, the matters to which it relates in
accordance with Schedules 5, 7, 13, 16 and 18 of the Order.
The procedures performed in a review are substantially less than those performed in an audit conducted in accordance with International Standards
on Auditing (New Zealand). Accordingly we do not express an audit opinion on the interim financial statements and the registered bank disclosures in
sections B2, B3, B5, and B6. This description forms part of our independent review report.
REPORT ON THE REGISTERED BANK DISCLOSURES IN SECTION B4 RELATING TO CAPITAL ADEQUACY AND
REGULATORY LIQUIDITY RATIOS (SECTION B4)
BASIS FOR QUALIFIED CONCLUSION ON THE REGISTERED BANK DISCLOSURES IN SECTION B4
A review of the registered bank disclosures in section B4 in accordance with NZ SRE 2410 Review of Financial Statements Performed by the Independent
Auditor of the Entity (NZSRE 2410) is a limited assurance engagement. The auditor performs procedures, consisting of making enquiries, primarily of
persons responsible for financial and accounting matters, and applying analytical and other review procedures. Our responsibilities under that
standard are further described in the ‘Auditor’s Responsibilities for the review of the registered bank disclosures in section B4’ section of our report.
As the auditor of the Banking Group, NZ SRE 2410 requires that we comply with the ethical requirements relevant to the audit of the annual financial
statements.
As described in section B1, the Banking Group has identified that it was not compliant with Condition of Registration 1B in relation to the operation of
versions of the following rating models and processes, which were not approved by the Reserve Bank of New Zealand (in some cases since 2008):
• Bank Rating;
• Project and Structured Finance; and
• Commercial Property: Special Purpose Asset Investment.
In this respect, the Capital Adequacy Ratios disclosed in section B4 of the half year disclosure statement have not been disclosed in accordance with
Schedule 11 of the Order, with section B1 disclosing the Banking Group’s calculation of the corresponding impact on risk weighted assets. The
Banking Group has remediated these models and submitted all affected models to the Reserve Bank of New Zealand for approval.
The above matters do not affect the Regulatory Liquidity information, which is also disclosed in section B4.
RESPONSIBILITIES OF THE DIRECTORS FOR THE REGISTERED BANK DISCLOSURES IN SECTION B4
The Directors, on behalf of the Banking Group, are responsible for the preparation and fair presentation of the registered bank disclosures in section B4
of the half year disclosure statement in accordance with the registered bank’s Conditions of Registration, the Reserve Bank of New Zealand’s Banking
Prudential Requirements and Schedule 11 of the Order.
AUDITOR’S RESPONSIBILITIES FOR THE REVIEW OF THE REGISTERED BANK DISCLOSURES IN SECTION B4
Our responsibility is to express a conclusion on the
registered bank disclosures in section B4 based on our review. We conducted our review in
accordance with NZ SRE 2410 issued by the New Zealand External Reporting Board. NZ SRE 2410 requires us to conclude whether anything has come
to our attention that causes us to believe that the registered bank disclosures in section B4 is not, in all material respects, disclosed in accordance with
Schedule 11 of the Order.
The procedures performed in a review are substantially less than those performed in an audit conducted in accordance with International Standards
on Auditing (New Zealand). Accordingly we do not express an audit opinion on the registered bank disclosures in section B4. This description forms
part of our independent review report.
QUALIFIED REVIEW CONCLUSION
We have reviewed the registered bank disclosures, as disclosed in section B4 of the half year disclosure statement for the six month period ended
31 March 2022, which are required to be disclosed in accordance with Schedule 11 of the Order.
Based on our review, with the exception of the matter described below, nothing has come to our attention that causes us to believe that the
information relating to Capital Adequacy and Regulatory Liquidity Ratios, disclosed in section B4 of the half year disclosure statement, is not, in all
material respects disclosed in accordance with Schedule 11 of the Order.
ANZ BANK NEW ZEALAND LIMITED
INDEPENDENT AUDITOR’S REVIEW REPORT
48
USE OF THIS INDEPENDENT REVIEW REPORT
This independent review report is made solely to the shareholder of the Banking Group. Our review work has been undertaken so that we might state
to the shareholder those matters we are required to state to them in the independent review report and for no other purpose. To the fullest extent
permitted by law, we do not accept or assume responsibility to anyone other than the shareholder as a body for our review work, this independent
review report, or any of the opinions we have formed.
KPMG
Auckland
6 May 2022
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