Australia and New Zealand Banking : APS 330 Pillar 3 Disclosure at 31 December 2020

18 February 2021

Market Announcements Office ASX Limited

Level 4

20 Bridge Street SYDNEY NSW 2000

APS 330 Pillar 3 Disclosure at 31 December 2020

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330

Pillar 3 Disclosure at 31 December 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 31 DECEMBER 2020

APS 330: PUBLIC 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.

1

ANZ Basel III Pillar 3 Disclosure December 2020

Table 3

Capital adequacy - Capital Ratios and Risk Weighted Assets1

Dec 20	Sep 20	Jun 20
Risk Weighted Assets (RWA)	$M	$M	$M
Subject to Advanced Internal Rating Based (IRB) approach
Corporate	132,872	139,415	146,850
Sovereign	7,856	7,545	6,656
Bank	10,893	12,734	14,794
Residential Mortgage	111,842	110,353	109,500
Qualifying Revolving Retail	4,008	4,337	4,705
Other Retail	21,391	21,794	24,279
Credit risk weighted assets subject to Advanced IRB approach	288,862	296,178	306,784
Credit Risk Specialised Lending exposures subject to slotting approach1	38,637	39,001	38,784
Subject to Standardised approach
Corporate	10,072	10,185	12,331
Sovereign	156	220	-
Residential Mortgage	203	210	214
Other Retail	27	33	38
Credit risk weighted assets subject to Standardised approach	10,458	10,648	12,583
Credit Valuation Adjustment and Qualifying Central Counterparties	5,724	7,710	7,786
Credit risk weighted assets relating to securitisation exposures	2,190	2,125	2,096
Other assets	4,351	4,375	4,208
Total credit risk weighted assets	350,222	360,037	372,241
Market risk weighted assets	10,215	8,237	7,609
Operational risk weighted assets	47,372	47,563	46,961
Interest rate risk in the banking book (IRRBB) risk weighted assets	14,202	13,547	9,874
Total Risk Weighted Assets	422,011	429,384	436,685
Capital ratios (%)	Dec 20	Sep 20	Jun 20
Level 2 Common Equity Tier 1 capital ratio	11.7%	11.3%	11.1%
Level 2 Tier 1 capital ratio	13.5%	13.2%	12.9%
Level 2 Total capital ratio	17.3%	16.4%	15.8%
Basel III APRA level 2 CET1	Dec 20	Sep 20	Jun 20
Common Equity Tier 1 Capital	49,334	48,702	48,609
Total Risk Weighted Assets	422,011	429,384	436,685
Common Equity Tier 1 capital ratio	11.7%	11.3%	11.1%
Basel III APRA level 1 Extended licensed entity CET1	Dec 20	Sep 20	Jun 20
Common Equity Tier 1 Capital	44,353	43,904	43,711
Total Risk Weighted Assets	384,857	391,939	396,235
Common Equity Tier 1 capital ratio	11.5%	11.2%	11.0%
Credit Risk Weighted Assets (CRWA)

Total CRWA decreased $9.8 billion (-2.7%) from September 2020 to $350.2 billion at December 2020. The decrease was driven by the Institutional business across Corporate and Bank asset classes from a reduction in exposures combined with the impact of foreign exchange movements. CVA and QCCP RWA reduction driven by additional CVA hedging actions during the quarter.

Market Risk, Operational Risk and IRRBB Risk Weighted Assets (RWA)

Traded Market Risk RWA increased $1.98 billion (24.0%) over the quarter due to increases in 10d VaR and Stressed VaR. IRRBB RWA increased due to greater Repricing and Yield Curve risk.

1 Specialised Lending exposures subject to supervisory slotting approach are those where the main servicing and repayment is from the asset being financed, and includes specified commercial property development/investment lending and project finance.

2