Hey,
Just did this exact process on the weekend. As the only day we could make the transaction was a Saturday, I located the only ANZ branch open on a Saturday (Sydney Airport) and went with the seller to bank the cheque there.
As Staz said, will need a copy of the letter from Esanda (or equivalent) later, to confirm.
Make sure the payout figure is obtained only a few days <at the most> before the exchange occurs , as the amount is continually updated, and you don't want to pay 99% of the amount owing to the finance company because the account won't get closed as there's still an amount outstanding, even if it's 5c. The finance company will usually provide a date at which time the payout figure expires.