Australia and New Zealand Banking : APS 330 Pillar 3 Disclosure at 30 September 2020

9 November 2020

Market Announcements Office

ASX Limited

Level 4

20 Bridge Street

SYDNEY NSW 2000

APS 330 Pillar 3 Disclosure at 30 September 2020

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure at 30 September 2020.

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

Australia and New Zealand Banking Group Limited ABN 11 005 357 522

ANZ Centre Melbourne, Level 9A, 833 Collins Street, Docklands VIC 3008

2020

BASEL III PILLAR 3

DISCLOSURE

AS AT 30 SEPTEMBER 2020

APS 330: PUBLIC DISCLOSURE

ANZ Basel III Pillar 3 Disclosure

September 2020

Important notice

This document has been prepared by Australia and New Zealand Banking Group Limited (ANZ) to meet its disclosure obligations under the Australian P r u d e n t i a l Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

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ANZ Basel III Pillar 3 Disclosure	September 2020
Table of Contents1
Chapter 1 - Introduction ...............................................................................................................................	3
Purpose of this document..................................................................................................................	3
Chapter 2 - Risk appetite and governance ......................................................................................................	4
Risk types	......................................................................................................................................	4
Risk appetite framework ...................................................................................................................	5
Risk management governance ...........................................................................................................	5
Chapter 3 - Capital reporting and measurement ..............................................................................................	8
Chapter 4 - Capital and capital adequacy ........................................................................................................	9
Table 1	Capital disclosure template ................................................................................................	9
Table 2	Main features of capital instruments ..................................................................................	19
Table 6	Capital adequacy.............................................................................................................	19
Chapter 5 - Credit risk .................................................................................................................................	23
Table 7	Credit risk - General disclosures .......................................................................................	23
Table 8	Credit risk - Disclosures for portfolios subject to the Standardised approach and
	supervisory risk weights in the IRB approach ......................................................................	39
Table 9	Credit risk - Disclosures for portfolios subject to Advanced IRB approaches............................	40
Table 10	Credit risk mitigation disclosures .......................................................................................	50
Table 11	General disclosures for derivative and counterparty credit risk .............................................	55
Chapter 6 - Securitisation ...........................................................................................................................	59
Table 12	Banking Book - Securitisation disclosures ...........................................................................	62
	Trading Book - Securitisation disclosures............................................................................	69
Chapter 7 - Market risk................................................................................................................................	70
Table 13	Market risk - Standard approach.......................................................................................	70
Table 14	Market risk - Internal models approach..............................................................................	71
Chapter 8 - Operational risk..........................................................................................................................	75
Table 15	Operational risk ..............................................................................................................	75
Chapter 9 - Equities ...................................................................................................................................	79
Table 16	Equities - Disclosures for banking book positions ................................................................	79
Chapter 10 - Interest Rate Risk in the Banking Book .......................................................................................	81
Table 17	Interest Rate Risk in the Banking Book ..............................................................................	81
Chapter 11 - Leverage and Liquidity Coverage Ratio........................................................................................	84
Table 18	Leverage Ratio ................................................................................................................	84
Table 19	Summary comparison of accounting assets vs. leverage ratio exposure measure ....................	85
Table 20	Liquidity Coverage Ratio disclosure template ......................................................................	86
Table 21	NSFR disclosure template .................................................................................................	87
Glossary.....................................................................................................................................................		89

1 Each table reference adopted in this document aligns to those required by APS 330 to be disclosed at full year.

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