APS 330 Pillar 3 Disclosure at 31 December 2023

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



12
th
February 2024

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





APS 330 Pillar 3 Disclosure at 31 December 2023

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure as at 31 December 2023.
This has been approved for distribution by ANZ’s Continuous Disclosure Committee.

Yours faithfully




Simon Pordage
Company Secretary
Australia and New Zealand Banking Group Limited

AS AT 31 DECEMBER 2023
APS 330: PUBLIC DISCLOSURE
202
3
BASEL III
PILLAR 3
DISCLOSURE

1






















































Important notice

This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure
obligations under the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public
Disclosure.

ANZ Basel III Pillar 3 Disclosure December 2023


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

2

3

4



Dec 23 Sep 23 Jun 23
Risk Weighted Assets $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 60,097 62,668 62,268
Residential Mortgage
1
99,709 96,290 91,431
Retail SME 9,835 9,684 9,922
Qualifying Revolving Retail 3,299 3,243 3,287
Other Retail 1,680 1,644 1,686
Credit risk weighted assets subject to Advanced IRB approach 174,620 173,529 168,594

Subject to Foundation IRB approach
Corporate 34,931 34,819 35,103
Sovereign 10,674 10,252 10,211
Financial Institutions 29,823 30,875 31,684
Credit risk weighted assets subject to Foundation IRB approach 75,428 75,946 76,998

Credit Risk Specialised Lending exposures subject to slotting approach
2
3,370 3,369 3,257

Subject to Standardised approach
Corporate 4,702 5,611 4,775
Sovereign 71 165 150
Residential Mortgage 2,199 2,065 1,962
Other Retail 92 44 45
Other Assets 3,516 3,255 3,637
Credit risk weighted assets subject to Standardised approach 10,580 11,140 10,569

Credit Valuation Adjustment and Qualifying Central Counterparties 4,564 4,000 3,987

Credit risk weighted assets relating to securitisation exposures 2,453 2,395 2,294

Exposures of New Zealand banking subsidiaries
3
74,105 78,662 77,256

Total credit risk weighted assets 345,120 349,041 342,955

Market risk weighted assets 11,471 10,264 13,429
Operational risk weighted assets
4
43,274 42,319 42,319
Interest rate risk in the banking book (IRRBB) risk weighted assets 27,118 31,703 34,799
RWA adjustment for the IRB capital floor 1,865 - -
Total Risk Weighted Assets 428,848 433,327 433,502















1
While APRA approved ANZ’s Australian Mortgages LGD model for regulatory capital purposes, a $9.6 billion RWA overlay has been
applied pending recalibration of the model.
2
Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from the
asset being financed and includes project finance and object finance.
3
Includes $14.5 billion credit RWA in supervisory overlays resulting from risk weight floors required by RBNZ. Refer to September 2023
ANZ NZ Disclosure Statement for details, noting that the supervisory adjustment for corporate exposures footnoted on page 97 of that
document has been removed for the December 2023 quarter.
4
Includes a $6.25 billion operational risk RWA overlay ($500 million capital), subject to APRA’s acceptance of ANZ’s satisfactory
remediation of matters identified through the Self-Assessments into Governance, Culture and Accountability.

ANZ Basel III Pillar 3 Disclosure December 2023


3
Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets
5



Dec 23 Sep 23 Jun 23
Capital Floor $M $M $M
Risk weighted assets under the standardised approach
Credit Risk
5
536,769 544,739 537,000
Market risk weighted assets 11,471 10,264 13,429
Operational risk weighted assets 43,274 42,319 42,319
Interest rate risk in the banking book (IRRBB) risk weighted assets n/a n/a n/a
Total Risk Weighted Assets 591,514 597,322 592,748
Risk weighted assets prior to application of floor
Credit Risk 345,120 349,041 342,955
Market risk weighted assets 11,471 10,264 13,429
Operational risk weighted assets 43,274 42,319 42,319
Interest rate risk in the banking book (IRRBB) risk weighted assets 27,118 31,703 34,799
Total Risk Weighted Assets 426,983 433,327 433,502
Capital floor at 72.5% 428,848 433,058 429,742
Capital floor adjustment 1,865 - -

Capital ratios (%) Dec 23 Sep 23 Jun 23
Level 2 Common Equity Tier 1 capital ratio 13.1% 13.3% 13.5%
Level 2 Tier 1 capital ratio 15.0% 15.2% 15.4%
Level 2 Total capital ratio 20.6% 21.0% 21.1%

Basel III APRA level 2 CET1 Dec 23 Sep 23 Jun 23
Common Equity Tier 1 Capital 55,992 57,794 58,576
Total Risk Weighted Assets 428,848 433,327 433,502
Common Equity Tier 1 capital ratio 13.1% 13.3% 13.5%

Basel III APRA level 1 Extended licensed entity CET1 Dec 23 Sep 23 Jun 23
Common Equity Tier 1 Capital 46,184 48,417 49,277
Total Risk Weighted Assets 365,402 367,093 365,486
Common Equity Tier 1 capital ratio 12.6% 13.2% 13.5%

Credit Risk Weighted Assets (CRWA)
6
:
Credit RWA for 31 December 2023 totalled $345.1 billion, a $3.9 billion decrease quarter on quarter. The main drivers
of this reduction include:

 Data, models and methodology (-$6.5 billion)
o continued refinement in processes, data and associated methodology treatments post implementation of
revised Capital reforms rules post 1 January 2023 (-$5.1 billion);
o net reduction of Credit RWA following implementation of a new model relating to NZ rural exposures and
the removal of the associated RBNZ supervisory adjustment for corporate exposures (-$3.0 billion); and
partially offset by
o an increase in Australian Home Loans which is largely an artifact of the current PD model’s response to
changes in product packages sold to ANZ customers. A new model which addresses this has been submitted
for Regulatory approval (+$1.5 billion).
 Foreign exchange and other movements (-$2.6 billion).

 Portfolio Risk (-$0.1 billion), where a small increase in Australia Home Loans due to a moderate increase in
delinquency and loss given default profile was more than offset by reductions in other businesses.

 Volume growth (+$5.3 billion) across the Institutional business (+$3.0 billion), Australia Retail (+$1.7 billion) and
Australia Commercial (+$1.1 billion).

Market Risk, Operational Risk and IRRBB RWA:
IRRBB RWA decreased $4.6 billion primarily due to an improvement in Embedded Losses.
Traded Market Risk RWA increased $1.2 billion over the quarter, mainly driven by an increase in Stress VaR and
Specific risk.
Operational Risk RWA increased $1.0 billion due to improved financial performance of the bank in the FY23 financial
year.


5
RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach
is $127.8 billion when calculated under the standardised approach.
6
The attribution of CRWA movements requires assumptions and judgement; different assumptions could lead to different attributions.

ANZ Basel III Pillar 3 Disclosure December 2023


4
Table 4 Credit risk exposures

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

Table 4(a) part (i): Period end and average Exposure at Default
7



Dec 23
Risk
Weighted
Assets
Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 60,097 131,684 135,850 3 3
Residential Mortgage 99,709 343,147 340,313 4 4
Retail SME 9,835 16,778 16,644 12 14
Qualifying Revolving Retail 3,299 12,850 12,834 15 21
Other Retail 1,680 1,546 1,552 7 13
Total Advanced IRB approach 174,620 506,005 507,193 41 55

Subject to Foundation IRB approach
Corporate 34,931 94,557 93,953 (10) -
Sovereign 10,674 245,191 237,327 - -
Financial Institution 29,823 104,984 106,731 (10) -
Total Foundation IRB approach 75,428 444,732 438,011 (20) -

Specialised Lending Exposures
Sub
ject to Supervisory Slotting
3,370 4,144 4,082 - -

Subject to Standardised approach
Corporate 4,702 5,362 5,895 (2) 2
Sovereign 71 71 118 - -
Residential Mortgage 2,199 2,400 2,335 - 1
Other Retail 92 64 48 - -
Other Assets 3,516 9,610 7,765 - -
Total Standardised approach 10,580 17,507 16,161 (2) 3

Credit Valuation Adjustment and
Qualifying Central Counterparties
4,564 6,868 6,952 - -

Exposures of New Zealand banking
subsidiaries
74,105 198,014 197,609 8 10

Total 342,667 1,177,270 1,170,008 27 68






7
Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three
month period.

ANZ Basel III Pillar 3 Disclosure December 2023


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


Sep 23
Risk
Weighted
Assets

Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 62,668 140,016 136,576 7 6
Residential Mortgage 96,290 337,478 331,073 4 6
Retail SME 9,684 16,510 16,754 14 21
Qualifying Revolving Retail 3,243 12,817 12,957 12 21
Other Retail 1,644 1,557 1,588 5 19
Total Advanced IRB approach 173,529 508,378 498,948 42 73

Subject to Foundation IRB approach
Corporate 34,819 93,349 97,242 1 -
Sovereign 10,252 229,463 250,808 - -
Financial Institution 30,875 108,478 108,886 - -
Total Foundation IRB approach 75,946 431,290 456,936 1 -

Specialised Lending Exposures
Sub
ject to Supervisory Slotting
3,369 4,019 4,169 - -



Subject to Standardised approach
Corporate 5,611 6,428 5,978 (3) 3
Sovereign 165 165 126 - -
Residential Mortgage 2,065 2,269 2,140 (1) 2
Other Retail 44 32 28 - 4
Other Assets 3,255 5,920 6,900 - -
Total Standardised approach 11,140 14,814 15,172 (4) 9

Credit Valuation Adjustment and
Qualifying Central Counterparties
4,000 7,035 6,624 - -

Exposures of New Zealand banking
subsidiaries
78,662 197,204 196,249 20 21

Total 346,646 1,162,740 1,178,098 59 103

ANZ Basel III Pillar 3 Disclosure December 2023


6
Table 4(a) part (i): Period end and average Exposure at Default (continued)


Jun 23
Risk
Weighted
Assets
Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 62,268 134,652 133,894 - 4
Residential Mortgage 91,431 331,543 328,107 6 6
Retail SME 9,922 16,913 16,955 11 27
Qualifying Revolving Retail 3,287 12,937 13,017 14 22
Other Retail 1,686 1,589 1,604 6 15
Total Advanced IRB approach 168,594 497,634 493,577 37 74

Subject to Foundation IRB approach
Corporate 35,103 94,763 97,949 16 -
Sovereign 10,211 240,942 256,548 - -
Financial Institution 31,684 108,452 108,873 (1) -
Total Foundation IRB approach 76,998 444,157 463,370 15 -

Specialised Lending 3,257 4,004 4,161 - -



Subject to Standardised approach
Corporate 4,775 5,472 5,499 (7) 1
Sovereign 150 150 119 - -
Residential Mortgage 1,962 2,158 2,085 2 -
Other Retail 45 33 29 2 2
Other Assets 3,637 5,894 6,887 - -
Total Standardised approach 10,569 13,707 14,619 (3) 3

Credit Valuation Adjustment and
Qualifying Central Counterparties
3,987 7,379 6,796 - -

Exposures of New Zealand banking
subsidiaries
77,256 191,698 193,496 15 44

Total 340,661 1,158,579 1,176,019 64 121

ANZ Basel III Pillar 3 Disclosure December 2023


7

Table 4(a) part (ii): Exposure at Default by portfolio type
8



Average for the
quarter ended
Dec 23 Sep 23 Jun 23 Dec 23
Portfolio Type $M $M $M $M
Cash 144,994 137,316 149,726 141,155
Contingents liabilities, commitments, and other off-
balance sheet exposures
161,566 171,361 168,706 166,464
Derivatives 45,322 46,577 47,980 45,950
Settlement Balances 19 15 58 17
Investment Securities 104,298 93,560 83,420 98,929
Net Loans, Advances & Acceptances 689,528 684,917 676,177 687,224
Other assets 9,772 9,589 12,834 9,681
Trading Securities 21,771 19,405 19,678 20,588
Total exposures 1,177,270 1,162,740 1,158,579 1,170,008






8
Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three
month period.

ANZ Basel III Pillar 3 Disclosure December 2023


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


Dec 23
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

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

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 707 164 11

273 97 3 3
Residential Mortgage 2,622 166 10

124 43 4 4
Retail SME 400 109 18

94 62 12 14
Qualifying Revolving Retail 35 27 15

- - 15 21
Other Retail 41 38 7

20 19 7 13
Total Advanced IRB approach 3,805 504 61

511 221 41 55



Foundation IRB approach


Corporate 225 45 (10)

225 45 (10) -
Sovereign - - -

- - - -
Financial Institution 4 1 (10)

1 1 (10) -
Total Foundation IRB approach 229 46 (20)

226 46 (20) -



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach


Corporate 118 37 (4)

38 26 (2) 2
Residential Mortgage 73 11 -

12 8 - 1
Other Retail 5 1 -

5 1 - -
Total Standardised approach 196 49 (4)

55 35 (2) 3



Exposures of New Zealand
bankin
g subsidiaries
1,311 142 16

326 59 8 10



Total 5,541 741 53

1,118 361 27 68

ANZ Basel III Pillar 3 Disclosure December 2023


9
Table 4(b): Non-Performing Facilities, Provisions and Write-offs (continued)


Sep 23
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

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

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 640 161 7

281 101 7 6
Residential Mortgage 2,363 160 (15)

119 43 4 6
Retail SME 385 102 11

95 61 14 21
Qualifying Revolving Retail 34 27 13

- - 12 21
Other Retail 41 38 3

22 20 5 19
Total Advanced IRB approach 3,463 488 19

517 225 42 73



Foundation IRB approach


Corporate 242 50 (2)

232 50 1 -
Sovereign - - -

- - - -
Financial Institution 4 1 -

2 1 - -
Total Foundation IRB approach 246 51 (2)
BLANK
234 51 1 -



Specialised Lending Subject to
Supervisory Slotting
- - -
BLANK
- - - -



Standardised approach


Corporate 127 43 (8)

41 30 (3) 3
Residential Mortgage 81 11 -

15 9 (1) 2
Other Retail 6 1 -

6 1 - 4
Total Standardised approach 214 55 (8)

62 40 (4) 9



Exposures of New Zealand
banking subsidiaries
1,098 136 17

271 60 20 21



Total 5,021 730 26
BLANK
1,084 376 59 103

ANZ Basel III Pillar 3 Disclosure December 2023


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


Jun 23
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

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

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 603 167 (3)

287 109 - 4
Residential Mortgage 2,250 180 8

122 44 6 6
Retail SME 393 111 9

104 68 11 27
Qualifying Revolving Retail 35 25 13

- - 14 22
Other Retail 46 44 7

27 24 6 15
Total Advanced IRB approach 3,327 527 34
BLANK
540 245 37 74

BLANK

Foundation IRB approach
BLANK

Corporate 127 46 19

72 44 16 -
Sovereign - - -

- - - -
Financial Institution 10 2 (2)

3 1 (1) -
Total Foundation IRB approach 137 48 17
BLANK
75 45 15 -

BLANK

Specialised Lending Subject to
Supervisory Slotting
- - -
BLANK
- - - -

BLANK

Standardised approach
BLANK

Corporate 174 54 (13)

63 35 (7) 1
Residential Mortgage 79 13 2

17 10 2 -
Other Retail 8 2 2

8 1 2 2
Total Standardised approach 261 69 (9)
BLANK
88 46 (3) 3

BLANK

Exposures of New Zealand
banking subsidiaries
860 136 25

142 59 15 44

BLANK

Total 4,585 780 67
BLANK
845 395 64 121

ANZ Basel III Pillar 3 Disclosure December 2023


11
Table 4(c): Specific Provision Balance and Provisions held against performing exposures
9



Dec 23
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 380 3,646 4,026
Individually Assessed Provisions 361 - 361
Total Provision for Credit Impairment 741 3,646 4,387


Sep 23
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 354 3,678 4,032
Individually Assessed Provisions 376 - 376
Total Provision for Credit Impairment 730 3,678 4,408


Jun 23
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 385 3,657 4,042
Individually Assessed Provisions 395 - 395
Total Provision for Credit Impairment 780 3,657 4,437






9
Due to definitional differences, there is a variation in the split between ANZ’s Individual Provision and Collective Provision for
accounting purposes and the Specific Provision and Provisions held against performing exposures for regulatory purposes. This does
not impact total provisions, and essentially relates to the classification of collectively assessed provisions on defaulted accounts. The
disclosures in this document are based on Individual Provision and Collective Provision, for ease of comparison with other published
results.

ANZ Basel III Pillar 3 Disclosure December 2023


12
Table 5 Securitisation

Table 5(a) part (i): Banking Book - Summary of current period’s activity by underlying asset type and
facility
10


Dec 23
Original value
securitised

Securitisation activity by underlying
asset type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised
gain or loss on
sale
$M
Residential mortgage (45) (25) - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (45) (25) - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities 450
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (28)
Other 14
Total 436


Sep 23
Original value
securitised

Securitisation activity by underlying
asset type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised
gain or loss on
sale
$M
Residential mortgage (105) 266 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (105) 266 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities 1,000
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (629)
Other 1
Total 372






10
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure December 2023


13
Jun 23
Original value securitised
Securitisation activity by underlying
asset type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised
gain or loss on
sale
$M
Residential mortgage (51) 115 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (51) 115 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities -
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (376)
Other 1
Total (375)



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

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

ANZ Basel III Pillar 3 Disclosure December 2023


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


Dec 23 Sep 23 Jun 23
Securitisation exposure type - On balance
sheet
$M $M $M
Liquidity facilities - - -
Funding facilities 10,560 9,886 9,306
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,041 2,070 2,323
Protection provided - - -
Other 142 92 60
Total 12,743 12,048 11,689


Dec 23 Sep 23 Jun 23
Securitisation exposure type - Off Balance
Sheet
$M $M $M
Liquidity facilities 9 10 10
Funding facilities 2,705 3,191 2,843
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 2,714 3,201 2,853


Dec 23 Sep 23 Jun 23
Total Securitisation exposure type $M $M $M
Liquidity facilities 9 10 10
Funding facilities 13,265 13,077 12,149
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,041 2,070 2,323
Protection provided - - -
Other 142 92 60
Total 15,457 15,249 14,542




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

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

ANZ Basel III Pillar 3 Disclosure December 2023


15

Table 18 Leverage ratio

The Leverage Ratio requirements are part of the Basel Committee on Banking Supervision (BCBS) Basel III capital
framework. It is a simple, non-risk based supplement or backstop to the current risk based capital requirements and
is intended to restrict the build-up of excessive leverage in the banking system.

Consistent with the BCBS definition, APRA’s Leverage Ratio compares Tier 1 Capital to the Exposure Measure
(expressed as a percentage) as defined by APS 110: Capital Adequacy. APRA requires ADIs authorised to use the
internal ratings based approach to credit risk to maintain a minimum leverage ratio of 3.5% from January 2023.

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




Dec 23 Sep 23 Jun 23 Dec 22
Capital and total exposures $M $M $M $M
20 Tier 1 capital 64,150 66,026 66,770 64,009
21 Total exposures 1,251,015 1,224,719 1,212,920 1,210,057
Leverage ratio
22 Basel III leverage ratio 5.1% 5.4% 5.5% 5.3%

ANZ Basel III Pillar 3 Disclosure December 2023


16
Table 20 Liquidity Coverage Ratio disclosure template


Dec 23 Sep 23

Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Total
Unweighted
Value
$M
Total
Weighted
Value
$M
Liquid assets, of which:
 

 
1 High-quality liquid assets (HQLA) 276,438 265,713
2 Alternative liquid assets (ALA) - -
3 Reserve Bank of New Zealand (RBNZ) securities 1,549 2,192
Cash outflows
4 Retail deposits and deposits from small business
customers
267,462 26,214 263,220 25,517
5 of which: stable deposits 119,012 5,951 117,575 5,879
6 of which: less stable deposits 148,450 20,263 145,645 19,638
7 Unsecured wholesale funding 295,062 161,517 281,002 146,698
8 of which: operational deposits (all counterparties)
and deposits in networks for cooperative banks
94,533 22,808 93,536 22,553
9 of which: non-operational deposits (all
counterparties)
186,996 125,176 174,870 111,549
10 of which: unsecured debt 13,533 13,533 12,596 12,596
11 Secured wholesale funding 1,585 5,405
12 Additional requirements 192,408 69,052 195,559 70,639
13 of which: outflows related to derivatives exposures
and other collateral requirements
44,394 44,394 48,206 48,206
14 of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 148,014 24,658 147,353 22,433
16 Other contractual funding obligations 8,180 - 7,764 -
17 Other contingent funding obligations 125,419 8,614 118,609 8,024
18 Total cash outflows 266,982 256,283
Cash inflows
19 Secured lending (e.g. reverse repos) 28,595 1,157 28,360 1,549
20 Inflows from fully performing exposures 27,485 19,305 24,954 17,190
21 Other cash inflows 32,418 32,418 36,016 36,016
22 Total cash inflows 88,498 52,880 89,330 54,755
23 Total liquid assets 277,987 267,905
24 Total net cash outflows 214,102 201,528
25 Liquidity Coverage Ratio (%) 129.8% 132.9%
Number of data points used (simple average) BLANK 65 65

ANZ Basel III Pillar 3 Disclosure December 2023


17
Liquidity Risk Overview, Management and Control Responsibilities
Liquidity risk is the risk that the Group is either:
 unable to meet its payment obligations (including repaying depositors or maturing wholesale debt) when they
fall due; or
 does not have the appropriate amount, tenor and composition of funding and liquidity to fund increases in its
assets.

Management of liquidity and funding risks are overseen by the Group Asset and Liability Committee (GALCO). The
Group’s liquidity and funding risks are governed by a set of principles approved by the Board Risk Committee (BRC)
and include:
 maintaining the ability to meet all payment obligations in the immediate term;
 ensuring that the Group has the ability to meet ‘survival horizons’ under a range of ANZ specific, and general
market, liquidity stress scenarios, at a country and Group-wide level, to meet cash flow obligations over the
short to medium term;
 maintaining strength in the Group’s balance sheet structure to ensure long term resilience in the liquidity and
funding risk profile;
 ensuring the liquidity management framework is compatible with local regulatory requirements;
 preparing daily liquidity reports and scenario analysis to quantify the Group’s positions;
 targeting a diversified funding base to avoid undue concentrations by investor type, maturity, market source
and currency;
 holding a portfolio of high quality liquid assets to protect against adverse funding conditions and to support day-
to-day operations; and
 establishing detailed contingency plans to cover different liquidity crisis events.

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

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

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

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

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

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

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

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

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

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

Liquidity Coverage Ratio (LCR)
ANZBGL Group’s average LCR for the 3 months to 31 December 2023 was 129.8% (30 September 2023: 132.9%)
with total liquid assets exceeding net cash outflows by an average of $63.9 billion. Through the period the LCR has
remained within the range 124% to 138%. The liquid asset portfolio was made up of on average 58% ($161.7
billion) cash and central bank reserves and 37% ($103.6 billion) HQLA1 securities with the remaining mainly
consisting of HQLA2 securities.

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

The main contributors to net cash outflows were modelled outflows associated with the bank’s corporate and retail
deposit portfolios, offset by inflows from maturing loans. While cash outflows associated with derivatives are
material, these are effectively offset by derivative cash inflows. Modelled outflows are also included for market
valuation changes of derivatives based on the past 24 months largest 30-day movements in collateral balances.

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

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

The Group’s liquidity and funding management includes monitoring of liquidity across the Group, specifically for:
 Individual countries, including any local regulatory requirements.
 Consolidated ANZBGL Group Level 1 and 2 LCR
 AUD only LCR for Australia as well as Group Level
Other contingent funding obligations include outflows for revocable credit and liquidity facilities, trade finance related
obligations, buybacks of domestic Australian debt securities and other contractual outflows such as interest
payments.

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Glossary

ADI Authorised Deposit-taking Institution.

Basel III Credit Valuation
Adjustment (CVA) capital
charge

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


Collectively Assessed
Provision for Credit
Impairment


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

Credit exposure


The aggregate of all claims, commitments and contingent liabilities arising from
on- and off-balance sheet transactions (in the banking book and trading book)
with the counterparty or group of related counterparties.


Credit risk

The risk of financial loss resulting from the failure of ANZ’s customers and
counterparties to honour or perform fully the terms of a loan or contract.


Credit Valuation Adjustment
(CVA)



Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value
to take into account the impact of counterparty credit quality. The methodology
calculates the present value of expected losses over the life of the financial
instrument as a function of probability of default, loss given default, expected
credit risk exposure and an asset correlation factor. Impaired derivatives are also
subject to a CVA.

Days past due

The number of days a credit obligation is overdue, commencing on the date that
the arrears or excess occurs and accruing for each completed calendar day
thereafter.

Exposure at Default (EAD) Exposure At Default is defined as the expected facility exposure at the date of
default.

Impaired assets (IA)




Facilities are classified as impaired when there is doubt as to whether the
contractual amounts due, including interest and other payments, will be met in a
timely manner. Impaired assets include impaired facilities, and impaired
derivatives. Impaired derivatives have a credit valuation adjustment (CVA), which
is a market assessment of the credit risk of the relevant counterparties.

Impaired loans (IL)

Impaired loans comprise of drawn facilities where the customer’s status is defined
as impaired.

Individual provision charge
(IPC)


Individual provision charge is the amount of expected credit losses on financial
instruments assessed for impairment on an individual basis (as opposed to on a
collective basis). It takes into account expected cash flows over the lives of those
financial instruments.

Individually Assessed
Provisions for Credit
Impairment





Individually assessed provisions for credit impairment are calculated in accordance
with AASB 9 Financial Instruments (AASB 9). They are assessed on a case-by-
case basis for all individually managed impaired assets taking into consideration
factors such as the realisable value of security (or other credit mitigants), the likely
return available upon liquidation or bankruptcy, legal uncertainties, estimated
costs involved in recovery, the market price of the exposure in secondary markets
and the amount and timing of expected receipts and recoveries.

Market risk



The risk to ANZ’s earnings arising from changes in interest rates, currency
exchange rates and credit spreads, or from fluctuations in bond, commodity or
equity prices. ANZ has grouped market risk into two broad categories to facilitate
the measurement, reporting and control of market risk:


Traded market risk - the risk of loss from changes in the value of financial
instruments due to movements in price factors for physical and derivative trading
positions. Trading positions arise from transactions where ANZ acts as principal
with clients or with the market.

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Non-traded market risk (or balance sheet risk) - comprises interest rate risk in the
banking book and the risk to the AUD denominated value of ANZ’s capital and
earnings due to foreign exchange rate movements.

Operational risk

The risk of loss resulting from inadequate or failed internal controls or from
external events, including legal risk but excluding reputation risk.

Past due facilities



Facilities where a contractual payment has not been met or the customer is outside
of contractual arrangements are deemed past due. Past due facilities include those
operating in excess of approved arrangements or where scheduled repayments
are outstanding but do not include impaired assets.

Qualifying Central
Counterparties (QCCP)

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

Recoveries

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

Restructured items




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

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

Securitisation risk


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

Write-Offs




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

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