# ANZ Basel III Pillar 3 Disclosure

## 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

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

| Risk Weighted Assets | Jun 24 \$M | Mar 24 \$M | Dec 23 \$M |
| :--- | :--- | :--- | :--- |
| **Subject to Advanced Internal Rating Based (IRB) approach** | | | |
| Corporate | 60,486 | 60,362 | 60,097 |
| Residential Mortgage¹ | 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 approach²** | **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 subsidiaries³** | **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 assets⁴ | 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.

## Table 3 Capital adequacy - Capital Ratios and Risk Weighted Assets (continued)

| Capital Floor | Jun 24 \$M | Mar 24 \$M | Dec 23 \$M |
| :--- | :--- | :--- | :--- |
| **Risk weighted assets under the standardised approach** | | | |
| Credit Risk⁵ | 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).
    * 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.
    * 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.

## 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 Default⁷

| | 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 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Subject to Advanced IRB approach** | | | | | |
| 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.

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

| | Risk Weighted Assets \$M | Exposure at Default \$M | Mar 24 Average Exposure at Default for three months \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Subject to Advanced IRB approach** | | | | | |
| 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** |

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

| | Risk Weighted Assets \$M | Exposure at Default \$M | Dec 23 Average Exposure at Default for three months \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Subject to Advanced IRB approach** | | | | | |
| 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 Subject 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** |

### Table 4(a) part (ii): Exposure at Default by portfolio types⁸

| Portfolio Type | Jun 24 \$M | Mar 24 \$M | Dec 23 \$M | Average for the quarter ended Jun 24 \$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.

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

| | **Non-performing exposures** | **Individually provisioned exposures** |
| :--- | :--- | :--- |
| | Exposure \$M | Specific provision balance \$M | Specific provision charge for three months \$M | Exposure \$M | Individual provision balance \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| **Jun 24** | | | | | | | |
| **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 | 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(b): Non-Performing Facilities, Provisions and Write-offs (continued)

| | **Non-performing exposures** | **Individually provisioned exposures** |
| :--- | :--- | :--- |
| | Exposure \$M | Specific provision balance \$M | Specific provision charge for three months \$M | Exposure \$M | Individual provision balance \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| **Mar 24** | | | | | | | |
| **Advanced IRB approach** | | | | | | | |
| 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) | - | 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** |

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

| | **Non-performing exposures** | **Individually provisioned exposures** |
| :--- | :--- | :--- |
| | Exposure \$M | Specific provision balance \$M | Specific provision charge for three months \$M | Exposure \$M | Individual provision balance \$M | Individual provision charge for three months \$M | Write-offs for three months \$M |
| **Dec 23** | | | | | | | |
| **Advanced IRB approach** | | | | | | | |
| 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 banking subsidiaries** | 1,311 | 142 | 16 | 326 | 59 | 8 | 10 |
| **Total** | **5,541** | **741** | **53** | **1,118** | **361** | **27** | **68** |

## Table 4(c): Specific Provision Balance and Provisions held against performing exposures⁹

| | 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** |
| **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.

## Table 5 Securitisation

### Table 5(a) part (i): Banking Book - Summary of current period's activity by underlying asset type and facility¹⁰

| Securitisation activity by underlying asset type | ANZ Originated \$M | **Original value securitised** | | Recognised gain or loss on sale \$M | Notional amount \$M |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | | ANZ Self Securitised \$M | ANZ Sponsored \$M | | |
| **Jun 24** | | | | | |
| Residential mortgage | (36) | 100 | - | - | 255 |
| Credit cards and other personal loans | - | - | - | - | - |
| Auto and equipment finance | - | - | - | - | - |
| Commercial loans | - | - | - | - | - |
| Other | - | - | - | - | - |
| **Total** | **(36)** | **100** | **-** | **-** | **259** |
| **Securitisation activity by facility provided** | | | | | |
| Liquidity facilities | | | | | |
| Funding facilities | | | | | |
| Underwriting facilities | | | | | |
| Lending facilities | | | | | |
| Credit enhancements | | | | | |
| Holdings of securities (excluding trading book) | | | | | 255 |
| Other | | | | | 4 |
| **Total** | | | | | **259** |
| **Securitisation activity by underlying asset type** | ANZ Originated \$M | **Original value securitised** | | Recognised gain or loss on sale \$M | Notional amount \$M |
| | | ANZ Self Securitised \$M | ANZ Sponsored \$M | | |
| **Mar 24** | | | | | |
| Residential mortgage | (44) | 110 | - | - | 490 |
| Credit cards and other personal loans | - | - | - | - | - |
| Auto and equipment finance | - | - | - | - | - |
| Commercial loans | - | - | - | - | - |
| Other | - | - | - | - | - |
| **Total** | **(44)** | **110** | **-** | **-** | **309** |
| **Securitisation activity by facility provided** | | | | | |
| Liquidity facilities | | | | | |
| Funding facilities | | | | | |
| Underwriting facilities | | | | | |
| Lending facilities | | | | | |
| Credit enhancements | | | | | |
| Holdings of securities (excluding trading book) | | | | | (181) |
| Other | | | | | 1 |
| **Total** | | | | | **309** |

| Securitisation activity by underlying asset type | ANZ Originated \$M | **Dec 23 Original value securitised** | | Recognised gain or loss on sale \$M | Notional amount \$M |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | | ANZ Self Securitised \$M | ANZ Sponsored \$M | | |
| Residential mortgage | (45) | (25) | - | - | - |
| Credit cards and other personal loans | - | - | - | - | - |
| Auto and equipment finance | - | - | - | - | - |
| Commercial loans | - | - | - | - | - |
| Other | - | - | - | - | - |
| **Total** | **(45)** | **(25)** | **-** | **-** | **436** |
| **Securitisation activity by facility provided** | | | | | |
| Liquidity facilities | | | | | |
| Funding facilities | | | | | |
| Underwriting facilities | | | | | 450 |
| Lending facilities | | | | | - |
| Credit enhancements | | | | | - |
| Holdings of securities (excluding trading book) | | | | | (29) |
| Other | | | | | 14 |
| **Total** | | | | | **436** |

¹⁰ Activity represents net movement in outstanding.

### 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 | Jun 24 \$M | Mar 24 \$M | Dec 23 \$M |
| :--- | :--- | :--- | :--- |
| Liquidity facilities | 10,550 | 9,558 | 10,560 |
| Funding facilities | - | - | - |
| 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** |

| Securitisation exposure type - Off Balance Sheet | Jun 24 \$M | Mar 24 \$M | Dec 23 \$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** |

| Total Securitisation exposure type | Jun 24 \$M | Mar 24 \$M | Dec 23 \$M |
| :--- | :--- | :--- | :--- |
| Liquidity facilities | 8 | 8 | 9 |
| Funding facilities | 13,889 | 13,653 | 13,265 |
| Underwriting facilities | - | - | - |
| Lending facilities | - | - | - |
| Credit enhancements | 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.

## 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 \$M | Mar 24 \$M | Dec 23 \$M | Sep 23 \$M |
| :--- | :--- | :--- | :--- | :--- |
| **Capital and total exposures** | | | | |
| 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% |

## Table 20 Liquidity Coverage Ratio disclosure template

| | Total Unweighted Value \$M | Jun 24 Total Weighted Value \$M | Total Unweighted Value \$M | Mar 24 Total Weighted Value \$M |
| :--- | :--- | :--- | :--- | :--- |
| **Liquid assets, of which:** | | | | |
| 1 High-quality liquid assets (HQLA) | 254,418 | | 283,202 | |
| 2 Alternative liquid assets (ALA) | 2,578 | | 2,252 | |
| 3 Reserve Bank of New Zealand (RBNZ) securities | | | | |
| **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) | 65 | | 64 | |

## 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 | monitoring and review | activate contingency funding plans |
| liquidity limits | Management actions not requiring business rationalisation | management actions for altering asset and liability behaviour |
| early warning indicators | | |

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

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 | customer balance sheet growth |
| annual funding plan as part of the ANZBGL Group's planning process | changes in wholesale funding including: targeted funding volumes; markets; investors; tenors; and currencies for senior, secured, subordinated, hybrid transactions and market conditions |
| forecasting in light of actual results as a calibration to the annual plan | |

#### 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.

***

# Glossary

| Term | Definition |
| :--- | :--- |
| 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. |
| Operational risk | 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. 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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