APS 330 Pillar 3 Disclosure at 30 June 2024

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



20
th
August 2024

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





APS 330 Pillar 3 Disclosure at 30 June 2024

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330
Pillar 3 Disclosure as at 30 June 2024.
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 30 JUNE 2024
APS 330: PUBLIC DISCLOSURE
2024
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 June 2024


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

2

3

4



Jun 24 Mar 24 Dec 23
Risk Weighted Assets $M $M $M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate 60,486 60,362 60,097
Residential Mortgage
1
95,387 101,338 99,709
Retail SME 10,005 9,538 9,835
Qualifying Revolving Retail 3,314 3,344 3,299
Other Retail 1,675 1,664 1,680
Credit risk weighted assets subject to Advanced IRB approach 170,867 176,246 174,620

Subject to Foundation IRB approach
Corporate 35,130 35,665 34,931
Sovereign 11,041 10,856 10,674
Financial Institutions 29,843 30,122 29,823
Credit risk weighted assets subject to Foundation IRB approach 76,014 76,643 75,428

Credit Risk Specialised Lending exposures subject to slotting approach
2
3,762 3,579 3,370

Subject to Standardised approach
Corporate 4,955 5,102 4,702
Sovereign 247 171 71
Residential Mortgage 1,941 1,853 2,199
Other Retail 93 92 92
Other Assets 3,834 3,790 3,516
Credit risk weighted assets subject to Standardised approach 11,070 11,008 10,580

Credit Valuation Adjustment and Qualifying Central Counterparties 5,052 5,304 4,564

Credit risk weighted assets relating to securitisation exposures 2,556 2,481 2,453

Exposures of New Zealand banking subsidiaries
3
66,118 73,186 74,105

Total credit risk weighted assets 335,439 348,447 345,120

Market risk weighted assets 9,314 11,863 11,471
Operational risk weighted assets
4
43,274 43,274 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets 24,855 26,200 27,118
RWA adjustment for the IRB capital floor 20,331 2,995 1,865
Total Risk Weighted Assets 433,213 432,779 428,848















1
Includes $12.6 billion in overlays: $3.0 billion for the PD model (new for June 2024 quarter) and $9.6 billion for the LGD 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
Prior period RWA for Exposures of New Zealand banking subsidiaries included $14.2b (March) and $14.5b (December) due to supervisory
overlays resulting from risk weight floors required by RBNZ.
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 June 2024


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



Jun 24 Mar 24 Dec 23
Capital Floor $M $M $M
Risk weighted assets under the standardised approach
Credit Risk
5
544,947 541,800 536,769
Market risk weighted assets 9,314 11,863 11,471
Operational risk weighted assets 43,274 43,274 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets n/a n/a n/a
Total Risk Weighted Assets 597,535 596,937 591,514
Risk weighted assets prior to application of floor
Credit Risk 335,439 348,447 345,120
Market risk weighted assets 9,314 11,863 11,471
Operational risk weighted assets 43,274 43,274 43,274
Interest rate risk in the banking book (IRRBB) risk weighted assets 24,855 26,200 27,118
Total Risk Weighted Assets 412,882 429,784 426,983
Capital floor at 72.5% 433,213 432,779 428,848
Capital floor adjustment 20,331 2,995 1,865

Capital ratios (%) Jun 24 Mar 24 Dec 23
Level 2 Common Equity Tier 1 capital ratio 13.3% 13.5% 13.1%
Level 2 Tier 1 capital ratio 15.2% 15.4% 15.0%
Level 2 Total capital ratio 21.5% 21.9% 20.6%

Basel III APRA level 2 CET1 Jun 24 Mar 24 Dec 23
Common Equity Tier 1 Capital 57,576 58,412 55,992
Total Risk Weighted Assets 433,213 432,779 428,848
Common Equity Tier 1 capital ratio 13.3% 13.5% 13.1%

Basel III APRA level 1 Extended licensed entity CET1 Jun 24 Mar 24 Dec 23
Common Equity Tier 1 Capital 48,047 49,367 46,184
Total Risk Weighted Assets 372,917 370,730 366,762
Common Equity Tier 1 capital ratio 12.9% 13.3% 12.6%

Credit Risk Weighted Assets (CRWA)
6
:
Credit RWA for 30 June totalled $335.4 billion, a $13.0 billion decrease quarter on quarter. The main drivers of this
reduction include:

 Data, models and methodology (-$17.0 billion).

o Implementation of Probability of Default Models for Australia Mortgages, providing a net CRWA reduction
of -$8.9 billion and New Zealand Mortgages, for a net CRWA reduction of -$6.8 billion.
o Continued refinement in processes, data and associated methodology treatments (-$0.9 billion).


 Foreign exchange and other movements (-$1.4 billion).

 Portfolio Risk (+$1.7 billion), with a $1.1 billion increase in Australia Home Loans due to a moderate increase in 90
day + delinquency, in addition to $0.5 billion for Australia Commercial with increased delinquency in Retail SME
portfolios (+$0.4 billion), combined with a small number of Corporate customer downgrades (+$0.1 billion).

 Volume growth (+$3.7 billion) with predominant movements including Institutional business (+$2.2 billion),
Australia Retail (+$1.8 billion), and New Zealand (+$0.3 billion), offset by Australia Commercial (-$0.8 billion).

Market Risk and IRRBB RWA:
Traded Market Risk RWA decreased $2.5 billion over the quarter, mainly driven by decrease in Standard VaR, Stressed
VaR and capital multiplier. IRRBB RWA decreased $1.3 billion primarily due to an improvement in Embedded Losses.

Capital Floor adjustment:
The above decreases in Credit, Market and IRRBB RWA contributed to a $17.3 billion increase in the June 2024 quarter
Capital Floor Adjustment. Further detail on the Capital Floor Adjustment increase is provided in the ‘Update on capital
position’ ASX announcement and conference call on 8 August 2024, available on ANZ’s Shareholder Centre at
www.anz.com/shareholder/centre/investor-toolkit/anz-updates.



5
RWA for residential mortgages for the Group excluding New Zealand banking subsidiaries exposures measured under the IRB approach
is $131.3 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 June 2024


4

Operational Risk:
The Basel III APRA level 1 Extended licensed entity CET1 Total Risk Weighted Assets and CET 1 capital ratio have been
adjusted for prior periods, March 2024 and December 2023 to reflect application of the $500 million Operational Risk
capital overlay to both Level 1 and Level 2 entities.

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



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

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

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

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

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

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

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






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 June 2024


5

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


Mar 24
Risk
Weighted
Assets

Exposure at
Default
Average
Exposure at
Default for
three months
Individual
provision
charge for
three months
Write-offs
for three
months
Subject to Advanced IRB approach $M $M $M $M $M
Corporate 60,362 131,572 131,628 (30) 10
Residential Mortgage 101,338 346,366 344,757 2 6
Retail SME 9,538 16,628 16,703 15 16
Qualifying Revolving Retail 3,344 12,804 12,827 11 22
Other Retail 1,664 1,569 1,558 10 12
Total Advanced IRB approach 176,246 508,939 507,472 8 66

Subject to Foundation IRB approach
Corporate 35,665 93,895 94,226 11 4
Sovereign 10,856 217,936 231,564 - -
Financial Institution 30,122 108,257 106,621 10 -
Total Foundation IRB approach 76,643 420,088 432,410 21 4

Specialised Lending Exposures
Subject to Supervisory Slotting
3,579 4,427 4,286 - -



Subject to Standardised approach
Corporate 5,102 5,805 5,584 (12) -
Sovereign 171 171 121 - -
Residential Mortgage 1,853 2,044 2,222 - -
Other Retail 92 65 64 (1) -
Other Assets 3,790 6,170 7,890 - -
Total Standardised approach 11,008 14,255 15,881 (13) -

Credit Valuation Adjustment and
Qualifying Central Counterparties
5,304 7,451 7,160 - -

Exposures of New Zealand banking
subsidiaries
73,186 195,617 196,815 (5) 8

Total 345,966 1,150,777 1,164,024 11 78

ANZ Basel III Pillar 3 Disclosure June 2024


6

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


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 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

ANZ Basel III Pillar 3 Disclosure June 2024


7

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



Average for the
quarter ended
Jun 24 Mar 24 Dec 23 Jun 24
Portfolio Type $M $M $M $M
Cash 110,001 109,076 144,994 109,539
Contingents liabilities, commitments, and other off-
balance sheet exposures
158,901 161,512 161,566 160,207
Derivatives 49,408 47,653 45,322 48,531
Settlement Balances 10 5 19 8
Investment Securities 119,680 114,318 104,298 116,999
Net Loans, Advances & Acceptances 702,620 692,447 689,528 697,534
Other assets 7,480 9,684 9,772 8,582
Trading Securities 17,836 16,082 21,771 16,959
Total exposures 1,165,936 1,150,777 1,177,270 1,158,357






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 June 2024


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


Jun 24
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

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

Advanced IRB approach $M $M $M

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

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

117 34 - 6
Retail SME 479 130 19

115 77 15 11
Qualifying Revolving Retail 39 29 17

- - 16 24
Other Retail 42 43 12

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

377 184 30 60



Foundation IRB approach


Corporate 76 39 (10)

75 39 (10) -
Sovereign - - -

- - - -
Financial Institution 2 1 1

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

76 39 (10) -



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach - - -

- - - -
Corporate 74 30 (3)

26 22 (2) 1
Residential Mortgage 76 8 -

11 5 - 2
Other Retail 5 4 -

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

42 31 (2) 3



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

277 47 9 9



Total 6,238 754 57

772 301 27 72

ANZ Basel III Pillar 3 Disclosure June 2024


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


Mar 24
Non-performing exposures

Individually provisioned exposures
Exposure

Specific
provision
balance

Specific
provision
charge
for three
months
BLANK
Exposure

Individual
provision
balance

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

Advanced IRB approach $M $M $M

$M $M $M $M
Corporate 593 129 (34)

169 67 (30) 10
Residential Mortgage 3,023 176 14

118 40 2 6
Retail SME 430 115 15

104 67 15 16
Qualifying Revolving Retail 35 28 13

- - 11 22
Other Retail 45 42 13

22 21 10 12
Total Advanced IRB approach 4,126 490 21

413 195 8 66



Foundation IRB approach


Corporate 223 51 11

221 51 11 4
Sovereign - - -

- - - -
Financial Institution 6 1 10

1 1 10 -
Total Foundation IRB approach 229 52 21

222 52 21 4



Specialised Lending Subject to
Supervisory Slotting
- - -

- - - -



Standardised approach


Corporate 88 37 (15)

34 24 (12) -
Residential Mortgage 69 11 -

14 8 - -
Other Retail 6 (3) (1)

5 1 (1) -
Total Standardised approach 163 45 (16)

53 33 (13) -



Exposures of New Zealand
banking subsidiaries
1,495 161 29

241 45 (5) 8



Total 6,013 748 55

929 325 11 78

ANZ Basel III Pillar 3 Disclosure June 2024


10

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


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
Su
pervisory 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 June 2024


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



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


Mar 24
Specific Provision
Balance
$M
Provisions held
against performing
exposures
$M
Total
$M
Collectively Assessed Provisions 423 3,623 4,046
Individually Assessed Provisions 325 - 325
Total Provision for Credit Impairment 748 3,623 4,371


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






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 June 2024


12
Table 5 Securitisation

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


Jun 24
Original value securitised
Securitisation activity by underlying
asset type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised
gain or loss on
sale
$M
Residential mortgage (36) 100 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (36) 100 - -

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


Mar 24
Original value securitised
Securitisation activity by underlying
asset type
ANZ Originated
$M
ANZ Self
Securitised
$M
ANZ Sponsored
$M
Recognised
gain or loss on
sale
$M
Residential mortgage (44) 110 - -
Credit cards and other personal loans - - - -
Auto and equipment finance - - - -
Commercial loans - - - -
Other - - - -
Total (44) 110 - -

Securitisation activity by facility provided Notional
amount
$M
Liquidity facilities -
Funding facilities 490
Underwriting facilities -
Lending facilities -
Credit enhancements -
Holdings of securities (excluding trading book) (181)
Other 1
Total 309




10
Activity represents net movement in outstanding.

ANZ Basel III Pillar 3 Disclosure June 2024


13


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) (29)
Other
14
Total 436



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 June 2024


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


Jun 24 Mar 24 Dec 23
Securitisation exposure type - On balance
sheet
$M $M $M
Liquidity facilities - - -
Funding facilities 10,550 9,558 10,560
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,115 1,859 2,041
Protection provided - - -
Other 105 157 142
Total 12,770 11,574 12,743


Jun 24 Mar 24 Dec 23
Securitisation exposure type - Off Balance
Sheet
$M $M $M
Liquidity facilities 8 8 9
Funding facilities 3,339 4,095 2,705
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) - - -
Protection provided - - -
Other - - -
Total 3,347 4,103 2,714


Jun 24 Mar 24 Dec 23
Total Securitisation exposure type $M $M $M
Liquidity facilities 8 8 9
Funding facilities 13,889 13,653 13,265
Underwriting facilities - - -
Lending facilities - - -
Credit enhancements - - -
Holdings of securities (excluding trading book) 2,115 1,859 2,041
Protection provided - - -
Other 105 157 142
Total 16,117 15,677 15,457




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 June 2024


15
Table 18 Leverage ratio

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

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

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




Jun 24 Mar 24 Dec 23 Sep 23
Capital and total exposures $M $M $M $M
20 Tier 1 capital 65,846 66,709 64,150 66,026
21 Total exposures 1,250,307 1,228,121 1,251,015 1,224,719
Leverage ratio
22 Basel III leverage ratio 5.3% 5.4% 5.1% 5.4%

ANZ Basel III Pillar 3 Disclosure June 2024


16
Table 20 Liquidity Coverage Ratio disclosure template


Jun 24 Mar 24

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

 
1 High-quality liquid assets (HQLA) 254,418 283,202
2 Alternative liquid assets (ALA) - -
3 Reserve Bank of New Zealand (RBNZ) securities 2,578 2,252
Cash outflows
4
Retail deposits and deposits from small business
customers
270,343 26,213 267,776 26,304
5 of which: stable deposits 120,292 6,015 118,921 5,946
6 of which: less stable deposits 150,051 20,198 148,855 20,358
7 Unsecured wholesale funding 274,184 142,869 291,524 157,930
8 of which: operational deposits (all counterparties)
and deposits in networks for cooperative banks
94,516 22,857 94,975 22,936
9 of which: non-operational deposits (all
counterparties)
168,401 108,745 181,844 120,289
10 of which: unsecured debt 11,267 11,267 14,705 14,705
11 Secured wholesale funding 3,558 1,222
12 Additional requirements 190,164 64,793 184,879 64,684
13 of which: outflows related to derivatives exposures
and other collateral requirements
39,999 39,999 41,058 41,058
14 of which: outflows related to loss of funding on debt
products
- - - -
15 of which: credit and liquidity facilities 150,165 24,794 143,821 23,626
16 Other contractual funding obligations 8,144 - 7,801 -
17 Other contingent funding obligations 120,164 8,077 122,236 8,413
18 Total cash outflows 245,510 258,553
Cash inflows
19 Secured lending (e.g. reverse repos) 34,345 883 34,477 1,276
20 Inflows from fully performing exposures 27,783 19,639 26,937 19,136
21 Other cash inflows 29,474 29,474 30,533 30,533
22 Total cash inflows 91,602 49,996 91,947 50,945
23 Total liquid assets 256,996 285,454
24 Total net cash outflows 195,514 207,608
25 Liquidity Coverage Ratio (%) 131.4% 137.5%
Number of data points used (simple average) BLANK 65 64

ANZ Basel III Pillar 3 Disclosure June 2024


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 30 June 2024 was 131.4% (31 March 2024: 137.5%) with total
liquid assets exceeding net cash outflows by an average of $61.5 billion. Through the period the LCR has remained
within the range 127% to 136%. The liquid asset portfolio was made up of on average 45% ($114.8 billion) cash
and central bank reserves and 50% ($127.2 billion) HQLA1 securities, with the remaining mainly consisting of HQLA2
securities.

As per APRA requirements, liquid assets beyond the regulatory minimum are not included in the consolidated 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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