# 2024 Basel III Pillar 3 Disclosure

As at 31 December 2024
APS 330: Public Disclosure

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**Important notice**

This document has been prepared by ANZ Bank HoldCo as the head of ANZ's Level 2 Banking Group (ANZ) to meet its disclosure obligations under the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

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# ANZ Basel III Pillar 3 Disclosure $\quad$ December 2024

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

| | Dec 24 \$M | Sep 24 \$M | Jun 24 \$M |
| :--- | ---: | ---: | ---: |
| **Risk Weighted Assets** | | | |
| **Subject to Advanced Internal Rating Based (IRB) approach** | | | |
| Corporate | 69,262 | 62,853 | 60,486 |
| Residential Mortgage¹ | 92,768 | 90,924 | 95,387 |
| Retail SME | 9,602 | 9,724 | 10,005 |
| Qualifying Revolving Retail | 3,181 | 3,235 | 3,314 |
| Other Retail | 1,621 | 1,624 | 1,675 |
| **Credit risk weighted assets subject to Advanced IRB approach** | **176,434** | **168,360** | **170,867** |
| **Subject to Foundation IRB approach** | | | |
| Corporate | 38,463 | 33,275 | 35,130 |
| Sovereign | 11,611 | 11,119 | 11,041 |
| Financial Institutions | 32,906 | 29,821 | 29,843 |
| **Credit risk weighted assets subject to Foundation IRB approach** | **82,980** | **74,215** | **76,014** |
| **Credit Risk Specialised Lending exposures subject to slotting approach²** | **5,077** | **4,242** | **3,762** |
| **Subject to Standardised approach** | | | |
| Corporate | 13,510 | 14,699 | 4,955 |
| Sovereign | 301 | 81 | 247 |
| Bank | 91 | 80 | - |
| Residential Mortgage | 22,181 | 21,987 | 1,941 |
| Other Retail | 211 | 219 | 93 |
| Other Assets | 3,971 | 4,046 | 3,834 |
| **Credit risk weighted assets subject to Standardised approach** | **40,265** | **41,112** | **11,070** |
| **Credit Valuation Adjustment and Qualifying Central Counterparties** | **5,439** | **3,847** | **5,052** |
| **Credit risk weighted assets relating to securitisation exposures** | **2,393** | **2,452** | **2,556** |
| **Exposures of New Zealand banking subsidiaries** | **66,857** | **66,957** | **66,118** |
| **Total credit risk weighted assets** | **379,444** | **361,185** | **335,439** |
| Market risk weighted assets | 8,938 | 7,823 | 9,314 |
| Operational risk weighted assets³ | 50,648 | 49,650 | 43,274 |
| Interest rate risk in the banking book (IRRBB) risk weighted assets | 22,029 | 23,052 | 24,855 |
| RWA adjustment for the IRB capital floor | 11,375 | 4,872 | 20,331 |
| **Total Risk Weighted Assets** | **472,434** | **446,582** | **433,213** |

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

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

| Capital Floor | Dec 24 \$M | Sep 24 \$M | Jun 24 \$M |
| :--- | ---: | ---: | ---: |
| **Risk weighted assets under the standardised approach** | | | |
| Credit Risk⁴ | 592,047 | 558,503 | 544,947 |
| Market risk weighted assets | 8,938 | 7,823 | 9,314 |
| Operational risk weighted assets | 50,648 | 49,650 | 43,274 |
| Interest rate risk in the banking book (IRRBB) risk weighted assets | n/a | n/a | n/a |
| **Total Risk Weighted Assets** | **651,633** | **615,976** | **597,535** |
| **Risk weighted assets prior to application of floor** | | | |
| Credit Risk | 379,444 | 361,185 | 335,439 |
| Market risk weighted assets | 8,938 | 7,823 | 9,314 |
| Operational risk weighted assets | 50,648 | 49,650 | 43,274 |
| Interest rate risk in the banking book (IRRBB) risk weighted assets | 22,029 | 23,052 | 24,855 |
| **Total Risk Weighted Assets** | **461,059** | **441,710** | **412,882** |
| Capital floor at 72.5% | 472,434 | 446,582 | 433,213 |
| Capital floor adjustment | 11,375 | 4,872 | 20,331 |
| **Capital ratios (%)** | **Dec 24** | **Sep 24** | **Jun 24** |
| Level 2 Common Equity Tier 1 capital ratio | 11.5% | 12.2% | 13.3% |
| Level 2 Tier 1 capital ratio | 13.3% | 14.0% | 15.2% |
| Level 2 Total capital ratio | 19.6% | 20.6% | 21.5% |
| **Basel III APRA level 2 CET1** | **Dec 24** | **Sep 24** | **Jun 24** |
| Common Equity Tier 1 Capital | 54,333 | 54,469 | 57,576 |
| Total Risk Weighted Assets | 472,434 | 446,582 | 433,213 |
| Common Equity Tier 1 capital ratio | 11.5% | 12.2% | 13.3% |
| **Basel III APRA level 1 Extended licensed entity CET1** | **Dec 24** | **Sep 24** | **Jun 24** |
| Common Equity Tier 1 Capital | 46,000 | 46,934 | 48,047 |
| Total Risk Weighted Assets | 398,015 | 372,364 | 372,917 |
| Common Equity Tier 1 capital ratio | 11.6% | 12.6% | 12.9% |

**Credit Risk Weighted Assets (CRWA):**

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

**Market Risk, IRRBB and Operational Risk RWA:**
* Traded Market Risk RWA increase \$1.1 billion mainly driven by increase in Stressed VaR.
* IRRBB RWA decreased \$1.0 billion primarily due to an improvement in Embedded Losses.
* Operational Risk RWA increased \$1.0 billion due to annual refresh as per APS 115 prudential requirements and improved financial performance of the bank in the FY24 financial year.

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

# 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 Default⁵

| Subject to Advanced IRB approach | Risk Weighted Assets \$M | Exposure at Default \$M | Average Exposure at Default for three months \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| :--- | ---: | ---: | ---: | ---: | ---: |
| Corporate | 69,262 | 143,293 | 139,574 | - | 11 |
| Residential Mortgage | 92,768 | 361,972 | 359,424 | 5 | 7 |
| Retail SME | 9,602 | 16,848 | 16,970 | 17 | 21 |
| Qualifying Revolving Retail | 3,181 | 12,700 | 12,712 | 7 | 21 |
| Other Retail | 1,621 | 1,456 | 1,472 | 7 | 13 |
| **Total Advanced IRB approach** | **176,434** | **536,269** | **530,151** | **36** | **73** |
| **Subject to Foundation IRB approach** | | | | | |
| Corporate | 38,463 | 102,297 | 95,229 | (18) | - |
| Sovereign | 11,611 | 247,933 | 237,459 | - | - |
| Financial Institution | 32,906 | 126,348 | 117,298 | - | - |
| **Total Foundation IRB approach** | **82,980** | **476,578** | **449,986** | **(18)** | **-** |
| **Specialised Lending Exposures Subject to Supervisory Slotting** | **5,077** | **6,603** | **5,999** | **-** | **-** |
| **Subject to Standardised approach** | | | | | |
| Corporate | 13,510 | 17,437 | 17,989 | 7 | - |
| Sovereign | 301 | 12,027 | 11,911 | - | - |
| Bank | 91 | 400 | 400 | - | - |
| Residential Mortgage | 22,181 | 63,471 | 63,039 | - | - |
| Other Retail | 211 | 228 | 233 | - | 1 |
| Other Assets | 3,971 | 11,449 | 10,370 | - | - |
| **Total Standardised approach** | **40,265** | **105,011** | **103,941** | **7** | **1** |
| **Credit Valuation Adjustment and Qualifying Central Counterparties** | **5,439** | **10,831** | **9,880** | | |
| **Exposures of New Zealand banking subsidiaries** | **66,857** | **196,737** | **195,909** | **10** | **9** |
| **Total** | **377,051** | **1,332,029** | **1,295,867** | **35** | **83** |

⁵ Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three month period.

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

| Subject to Advanced IRB approach | Risk Weighted Assets \$M | Exposure at Default \$M | Average Exposure at Default for three months \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| :--- | ---: | ---: | ---: | ---: | ---: |
| Corporate | 62,853 | 135,855 | 134,594 | 15 | 10 |
| Residential Mortgage | 90,924 | 356,875 | 354,388 | 3 | 5 |
| Retail SME | 9,724 | 17,092 | 17,260 | 21 | 19 |
| Qualifying Revolving Retail | 3,235 | 12,724 | 12,748 | 13 | 22 |
| Other Retail | 1,624 | 1,488 | 1,526 | 7 | 14 |
| **Total Advanced IRB approach** | **168,360** | **524,034** | **520,516** | **59** | **70** |
| **Subject to Foundation IRB approach** | | | | | |
| Corporate | 33,275 | 88,161 | 90,711 | (20) | 11 |
| Sovereign | 11,119 | 226,985 | 224,228 | - | - |
| Financial Institution | 29,821 | 108,248 | 109,224 | - | - |
| **Total Foundation IRB approach** | **74,215** | **423,394** | **424,162** | **(20)** | **11** |
| **Specialised Lending Exposures Subject to Supervisory Slotting** | **4,242** | **5,394** | **5,035** | **-** | **-** |
| **Subject to Standardised approach** | | | | | |
| Corporate | 14,699 | 18,541 | 12,044 | 15 | 7 |
| Sovereign | 81 | 11,794 | 6,020 | - | - |
| Bank | 80 | 399 | 1,263 | - | - |
| Residential Mortgage | 21,987 | 62,608 | 31,337 | (1) | - |
| Other Retail | 219 | 237 | 4,249 | (1) | - |
| Other Assets | 4,046 | 9,292 | 12,769 | - | 7 |
| **Total Standardised approach** | **41,112** | **102,871** | **67,682** | **13** | **7** |
| **Credit Valuation Adjustment and Qualifying Central Counterparties** | **3,847** | **8,930** | **8,870** | | |
| **Exposures of New Zealand banking subsidiaries** | **66,957** | **195,082** | **194,678** | **27** | **10** |
| **Total** | **358,733** | **1,259,705** | **1,220,944** | **79** | **98** |

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

| Subject to Advanced IRB approach | Risk Weighted Assets \$M | Exposure at Default \$M | Average Exposure at Default for three months \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| :--- | ---: | ---: | ---: | ---: | ---: |
| Corporate | 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 | - | 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** |

## Table 4(a) part (ii): Exposure at Default by portfolio types

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

⁶ Average Exposure at Default for quarter is calculated as the simple average of the balances at the start and the end of each three month period.

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

| | **Dec 24** | | | **Dec 24** | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Non-performing exposures** | **Exposure balance \$M** | **Specific provision charge for three months \$M** | | **Individually provisioned exposures** | **Exposure \$M** | **Individual provision balance \$M** | **Individual provision charge for three months \$M** | **Write-offs for three months \$M** |
| **Advanced IRB approach** | | | | | | | | |
| Corporate | 794 | 141 | (4) | 135 | 48 | - | 11 |
| Residential Mortgage | 3,673 | 187 | 7 | 139 | 33 | 5 | 7 |
| Retail SME | 473 | 141 | 19 | 121 | 84 | 17 | 21 |
| Qualifying Revolving Retail | 37 | 28 | 6 | 7 | 21 | - | 13 |
| Other Retail | 43 | 44 | 7 | 21 | 21 | 7 | 13 |
| **Total Advanced IRB approach** | **5,020** | **541** | **35** | **416** | **186** | **36** | **73** |
| **Foundation IRB approach** | | | | | | | | |
| Corporate | 30 | 15 | (18) | 29 | 15 | (18) | - |
| Sovereign | - | - | - | - | - | - | - |
| Financial Institution | 2 | 1 | - | 1 | 1 | - | - |
| **Total Foundation IRB approach** | **32** | **15** | **(18)** | **30** | **15** | **(18)** | **-** |
| **Specialised Lending Subject to Supervisory Slotting** | - | - | - | - | - | - | - |
| **Standardised approach** | | | | | | | | |
| Corporate | 291 | 46 | 13 | 148 | 38 | 7 | - |
| Residential Mortgage | 655 | 19 | (1) | 22 | 7 | - | 1 |
| Other Retail | 5 | 2 | - | 5 | 2 | - | - |
| **Total Standardised approach** | **951** | **67** | **12** | **175** | **47** | **7** | **1** |
| **Exposures of New Zealand banking subsidiaries** | **1,520** | **155** | **8** | **327** | **59** | **10** | **9** |
| **Total** | **7,523** | **778** | **37** | **948** | **307** | **35** | **83** |

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

| | **Sep 24** | | | **Sep 24** | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Non-performing exposures** | **Exposure balance \$M** | **Specific provision charge for three months \$M** | | **Individually provisioned exposures** | **Exposure \$M** | **Individual provision balance \$M** | **Individual provision charge for three months \$M** | **Write-offs for three months \$M** |
| **Advanced IRB approach** | | | | | | | | |
| Corporate | 945 | 155 | 23 | 151 | 57 | 15 | 10 |
| Residential Mortgage | 3,520 | 187 | 9 | 135 | 35 | 3 | 5 |
| Retail SME | 465 | 139 | 25 | 119 | 83 | 21 | 19 |
| Qualifying Revolving Retail | 36 | 28 | 12 | 13 | 22 | - | 22 |
| Other Retail | 42 | 44 | 9 | 21 | 20 | 7 | 14 |
| **Total Advanced IRB approach** | **5,008** | **553** | **78** | **426** | **195** | **59** | **70** |
| **Foundation IRB approach** | | | | | | | | |
| Corporate | 30 | 14 | (21) | 29 | 14 | (20) | 11 |
| Sovereign | 1 | - | - | - | - | - | - |
| Financial Institution | - | - | - | 1 | 1 | - | - |
| **Total Foundation IRB approach** | **31** | **14** | **(22)** | **30** | **14** | **(20)** | **11** |
| **Specialised Lending Subject to Supervisory Slotting** | - | - | - | - | - | - | - |
| **Standardised approach** | | | | | | | | |
| Corporate | 266 | 35 | 12 | 107 | 30 | 15 | 7 |
| Residential Mortgage | 652 | 14 | 1 | 20 | 5 | (1) | - |
| Other Retail | 34 | 2 | (1) | 5 | 2 | - | - |
| **Total Standardised approach** | **952** | **51** | **12** | **132** | **37** | **13** | **7** |
| **Exposures of New Zealand banking subsidiaries** | **1,489** | **160** | **22** | **319** | **62** | **27** | **10** |
| **Total** | **7,480** | **778** | **90** | **907** | **308** | **79** | **98** |

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

| | **Jun 24** | | | **Jun 24** | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Non-performing exposures** | **Exposure balance \$M** | **Specific provision charge for three months \$M** | | **Individually provisioned exposures** | **Exposure \$M** | **Individual provision balance \$M** | **Individual provision charge for three months \$M** | **Write-offs for three months \$M** |
| **Advanced IRB approach** | | | | | | | | |
| Corporate | 831 | 143 | 17 | 124 | 52 | (12) | 4 |
| Residential Mortgage | 3,294 | 178 | 9 | 117 | 34 | 6 | - |
| Retail SME | 479 | 130 | 19 | 115 | 77 | 15 | 11 |
| Qualifying Revolving Retail | 39 | 29 | 17 | - | 16 | - | 24 |
| Other Retail | 42 | 43 | 12 | 21 | 21 | 11 | 15 |
| **Total Advanced IRB approach** | **4,685** | **523** | **74** | **377** | **184** | **30** | **60** |
| **Foundation IRB approach** | | | | | | | | |
| Corporate | 76 | 39 | (10) | 75 | 39 | (10) | - |
| Sovereign | - | - | - | - | - | - | - |
| Financial Institution | 2 | 1 | - | 1 | 1 | - | - |
| **Total Foundation IRB approach** | **78** | **40** | **(9)** | **76** | **39** | **(10)** | **-** |
| **Specialised Lending Subject to Supervisory Slotting** | - | - | - | - | - | - | - |
| **Standardised approach** | | | | | | | | |
| Corporate | 74 | 30 | (3) | 26 | 22 | (2) | 1 |
| Residential Mortgage | 76 | 8 | - | 11 | 5 | - | 2 |
| Other Retail | 5 | 4 | - | 5 | 4 | - | - |
| **Total Standardised approach** | **155** | **42** | **(3)** | **42** | **31** | **(2)** | **3** |
| **Exposures of New Zealand banking subsidiaries** | **1,320** | **149** | **(5)** | **277** | **47** | **9** | **9** |
| **Total** | **6,238** | **754** | **57** | **772** | **301** | **27** | **72** |

## Table 4(c): Specific Provision Balance and Provisions held against performing exposures⁷

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

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

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

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

# Table 5 Securitisation

## Table 5(a) part (i): Banking Book - Summary of current period's activity by underlying asset type and facility⁸

| Securitisation activity by underlying asset type | ANZ Originated \$M | Dec 24 | | | |
| :--- | ---: | ---: | ---: | :--- | :--- |
| | | Original value securitised ANZ Self Securitised \$M | ANZ Sponsored \$M | Recognised gain or loss on sale \$M |
| Residential mortgage | (357) | (89) | - | - |
| Credit cards and other personal loans | - | - | - | - |
| Auto and equipment finance | - | - | - | - |
| Commercial loans | - | - | - | - |
| Other | - | - | - | - |
| **Total** | **(357)** | **(89)** | **-** | **-** |

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

| Securitisation activity by underlying asset type | ANZ Originated \$M | Sep 24 | | | |
| :--- | ---: | ---: | ---: | :--- | :--- |
| | | Original value securitised ANZ Self Securitised \$M | ANZ Sponsored \$M | Recognised gain or loss on sale \$M |
| Residential mortgage | 2,882 | 11,567 | - | - |
| Credit cards and other personal loans | - | - | - | - |
| Auto and equipment finance | - | - | - | - |
| Commercial loans | - | - | - | - |
| Other | - | - | - | - |
| **Total** | **2,882** | **11,567** | **-** | **-** |

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

⁸ Activity represents net movement in outstanding.

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

| Securitisation activity by underlying asset type | ANZ Originated \$M | Jun 24 | | | |
| :--- | ---: | ---: | ---: | :--- | :--- |
| | | Original value securitised 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 | 255 |
| Holdings of securities (excluding trading book) | 4 |
| Other | - |
| **Total** | **259** |

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

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

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

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

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

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

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

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

# 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.

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

# Liquidity Risk

## Liquidity Risk Overview, Management and Control Responsibilities

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

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

The Group operates under a non-operating holding company structure whereby:
* Australia and New Zealand Banking Group Limited's (ANZBGL's) liquidity risk management framework remains unchanged and continues to operate its own liquidity and funding program, governance frameworks and reporting regime reflecting its authorised deposit-taking institution (ADI) operations;
* ANZ Group Holdings Limited (ANZGHL), the parent entity, has no material liquidity risk given the structure and nature of the balance sheet; and
* ANZ Non-Bank Group is not expected to have separate funding arrangements and will rely on ANZGHL for funding.

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

## Key Areas of Measurement for Liquidity Risk

### Scenario modelling of funding sources

The Group's liquidity risk appetite is defined by a range of regulatory and internal liquidity metrics mandated by the ANZBGL Board. The metrics cover a range of scenarios of varying duration and level of severity.

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

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

### Liquid assets

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

## Liquidity crisis contingency planning

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

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

| Ongoing business management | Early signs/ mild stress | Severe stress |
| :--- | :--- | :--- |
| establish crisis/severity levels | monitoring and review | activate contingency funding plans |
| liquidity limits | management actions not | management actions for altering |
| early warning indicators | requiring business | asset and liability behaviour |
| | rationalisation | |

Assigned responsibility for internal and external communications and the appropriate timing to communicate.

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

## Group Funding

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

**Funding plans prepared**
* 3 year strategic plan prepared annually
* annual funding plan as part of the Group's planning process
* forecasting in light of actual results as a calibration to the annual plan

**Considerations in preparing funding plans**
* customer balance sheet growth
* changes in wholesale funding including: targeted funding volumes; markets; investors; tenors; and currencies for senior, secured, subordinated, hybrid transactions and market conditions
* liquidity stress testing

## Liquidity Coverage Ratio (LCR)

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

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

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

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

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

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

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

## Table 20 Liquidity Coverage Ratio disclosure template

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

# Glossary

| Term | Definition |
| :--- | :--- |
| **ADI** | Authorised Deposit-taking Institution. |
| **ANZ Bank Group** | ANZ BH Pty Ltd and each of its subsidiaries, including ANZBGL and ANZ Bank New Zealand |
| **ANZ Non-Bank Group** | ANZ NBH Pty Ltd and each of its subsidiaries, including beneficial interests in the 1835i trusts and non-controlling interests in the Worldline merchant acquiring joint venture, and ANZ Group Services Pty Ltd. |
| **Basel III Credit Valuation Adjustment (CVA) capital charge** | CVA charge is an additional capital requirement under Basel III for bilateral derivative exposures. Derivatives not cleared through a central exchange/counterparty are subject to this additional capital charge and also receive normal CRWA treatment under Basel II principles. |
| **Collectively Assessed Provision for Credit Impairment** | Collectively assessed provisions for credit impairment represent the Expected Credit Loss (ECL) calculated in accordance with AASB 9 Financial Instruments (AASB 9). These incorporate forward looking information and do not require an actual loss event to have occurred for an impairment provision to be recognised. |
| **Credit exposure** | The aggregate of all claims, commitments and contingent liabilities arising from on- and off-balance sheet transactions (in the banking book and trading book) with the counterparty or group of related counterparties. |
| **Credit risk** | The risk of financial loss resulting from the failure of ANZ's customers and counterparties to honour or perform fully the terms of a loan or contract. |
| **Credit Valuation Adjustment (CVA)** | Over the life of a derivative instrument, ANZ uses a CVA model to adjust fair value to take into account the impact of counterparty credit quality. The methodology calculates the present value of expected losses over the life of the financial instrument as a function of probability of default, loss given default, expected credit risk exposure and an asset correlation factor. Impaired derivatives are also subject to a CVA. |
| **Days past due** | The number of days a credit obligation is overdue, commencing on the date that the arrears or excess occurs and accruing for each completed calendar day thereafter. |
| **Exposure at Default (EAD)** | Exposure At Default is defined as the expected facility exposure at the date of default. |
| **Impaired assets (IA)** | Facilities are classified as impaired when there is doubt as to whether the contractual amounts due, including interest and other payments, will be met in a timely manner. Impaired assets include impaired facilities, and impaired derivatives. Impaired derivatives have a credit valuation adjustment (CVA), which is a market assessment of the credit risk of the relevant counterparties. |
| **Impaired loans (IL)** | Impaired loans comprise of drawn facilities where the customer's status is defined as impaired. |
| **Individual provision charge (IPC)** | Individual provision charge is the amount of expected credit losses on financial instruments assessed for impairment on an individual basis (as opposed to on a collective basis). It takes into account expected cash flows over the lives of those financial instruments. |
| **Individually Assessed Provisions for Credit Impairment** | Individually assessed provisions for credit impairment are calculated in accordance with AASB 9 Financial Instruments (AASB 9). They are assessed on a case-by-case basis for all individually managed impaired assets taking into consideration factors such as the realisable value of security (or other credit mitigants), the likely return available upon liquidation or bankruptcy, legal uncertainties, estimated costs involved in recovery, the market price of the exposure in secondary markets and the amount and timing of expected receipts and recoveries. |
| **Market risk** | The risk to ANZ's earnings arising from changes in interest rates, currency exchange rates and credit spreads, or from fluctuations in bond, commodity or equity prices. ANZ has grouped market risk into two broad categories to facilitate the measurement, reporting and control of market risk: |
| | Traded market risk - the risk of loss from changes in the value of financial instruments due to movements in price factors for physical and derivative trading positions. |
| | Trading positions arise from transactions where ANZ acts as principal with clients or with the market. |
| | Non-traded market risk (or balance sheet risk) - comprises interest rate risk in the banking book and the risk to the AUD denominated value of ANZ's capital and earnings due to foreign exchange rate movements. |
| **Operational risk** | The risk of loss resulting from inadequate or failed internal controls or from external events, including legal risk but excluding reputation risk. |
| **Past due facilities** | Facilities where a contractual payment has not been met or the customer is outside of contractual arrangements are deemed past due. Past due facilities include those operating in excess of approved arrangements or where scheduled repayments are outstanding but do not include impaired assets. |
| **Qualifying Central Counterparties (QCCP)** | QCCP is a central counterparty which is an entity that interposes itself between counterparties to derivative contracts. Trades with QCCP attract a more favorable risk weight calculation. |
| **Recoveries** | Payments received and taken to profit for the current period for the amounts written off in prior financial periods. |
| **Restructured items** | Restructured items comprise facilities in which the original contractual terms have been modified for reasons related to the financial difficulties of the customer. Restructuring may consist of reduction of interest, principal or other payments legally due, or an extension in maturity materially beyond those typically offered to new facilities with similar risk. |
| **Risk Weighted Assets (RWA)** | Assets (both on and off-balance sheet) are risk weighted according to each asset's inherent potential for default and what the likely losses would be in the case of default. In the case of non asset backed risks (i.e. market and operational risk), RWA is determined by multiplying the capital requirements for those risks by 12.5. |
| **Securitisation risk** | The risk of credit related losses greater than expected due to a securitisation failing to operate as anticipated, or of the values and risks accepted or transferred, not emerging as expected. |
| **Write-Offs** | Facilities are written off against the related provision for impairment when they are assessed as partially or fully uncollectable, and after proceeds from the realisation of any collateral have been received. Where individual provisions recognised in previous periods have subsequently decreased or are no longer required, such impairment losses are reversed in the current period income statement. |

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