Australia and New Zealand Banking : APS 330 Pillar 3 Disclosure at 31 March 2021

5 May 2021

Market Announcements Office

ASX Limited

Level 4

20 Bridge Street

SYDNEY NSW 2000

APS 330 Pillar 3 Disclosure at 31 March 2021

Australia and New Zealand Banking Group Limited (ANZ) today releases its APS 330 Pillar 3 Disclosure at 31 March 2021.

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

2021

BASEL III PILLAR 3

DISCLOSURE

AS AT 31 MARCH 2021

APS 330: PUBLIC DISCLOSURE

ANZ Basel III Pillar 3 Disclosure

March 2021

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 DisclosureMarch 2021

Table of Contents1

Chapter 1	- Introduction ....................................................................................................	3
Purpose of this document.............................................................................................	3
Chapter 2	- Capital and capital adequacy .............................................................................	4
Table	1	Capital disclosure template ...........................................................................	5
Table	2	Main features of capital instruments ............................................................	14
Table	6	Capital adequacy.......................................................................................	15
Chapter 3	- Credit risk.....................................................................................................	17
Table	7	Credit risk - General disclosures .................................................................	17
Table	8	Credit risk - Disclosures for portfolios subject to the Standardised approach
		and supervisory risk weights in the IRB approach ..........................................	30
Table	9	Credit risk - Disclosures for portfolios subject to Advanced IRB approaches......	31
Table	10	Credit risk mitigation disclosures .................................................................	39
Table	11	General disclosures for derivatives and counterparty credit risk.......................	42
Chapter 4	- Securitisation ................................................................................................	44
Table	12	Banking Book - Securitisation disclosures .....................................................	44
		Trading Book - Securitisation disclosures......................................................	51
Chapter 5	- Market risk ...................................................................................................	52
Table	13	Market risk - Standard approach.................................................................	52
Table	14	Market risk - Internal models approach........................................................	53
Chapter 6	- Equities .......................................................................................................	55
Table	16	Equities - Disclosures for banking book positions ..........................................	56
Chapter 7	- Interest Rate Risk in the Banking Book .............................................................	57
Table	17	Interest Rate Risk in the Banking Book ........................................................	57
Chapter 8	- Leverage and Liquidity Ratio ...........................................................................	58
Table	18	Leverage Ratio ..........................................................................................	58
Table	19	Summary comparison of accounting assets vs. leverage ratio exposure
		measure..................................................................................................	59
Table	20	Liquidity Coverage Ratio.............................................................................	60
Table	21	NSFR disclosure template ...........................................................................	61
Glossary.........................................................................................................................		63

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

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ANZ Basel III Pillar 3 Disclosure

March 2021

Chapter 1 - Introduction

Purpose of this document

This document has been prepared in accordance with the Australian Prudential Regulation Authority (APRA) ADI Prudential Standard (APS) 330: Public Disclosure.

APS 330 mandates the release to the investment community and general public of information relating to capital adequacy and risk management practices. APS 330 was established to implement Pillar 3 of the Basel Committee on Banking Supervision's framework for bank capital adequacy2. In simple terms, the Basel framework consists of three mutually reinforcing 'Pillars':

Pillar 1		Pillar 2				Pillar 3
Minimum capital requirement	Supervisory review process		Market discipline
Minimum capital requirements for	Firm-wide risk oversight, Internal	Regular disclosure to the market of
Credit Risk, Operational Risk, Market	Capital	Adequacy	Assessment	qualitative	and quantitative	aspects
Risk and Interest Rate Risk in the	Process	(ICAAP), consideration of	of	risk	management,	capital
Banking Book	additional risks, capital buffers and	adequacy and underlying risk metrics
	targets and risk concentrations, etc.

APS 330 requires the publication of various levels of information on a quarterly, semi-annual and annual basis. This document is the semi-annual disclosure.

Basel in ANZ

In December 2007, ANZ received accreditation for the most advanced approaches permitted under Basel for credit risk and operational risk, complementing its accreditation for market risk. Effective January 2013, ANZ adopted APRA requirements for Basel III with respect to the measurement and monitoring of regulatory capital.

Verification of disclosures

These Pillar 3 disclosures have been verified in accordance with Board approved policy, including ensuring consistency with information contained in ANZ's Financial Report and in Pillar 1 returns provided to APRA. In addition, ANZ's external auditor has performed an agreed upon procedure review with respect to these disclosures.

Comparison to ANZ's Financial Reporting

These disclosures have been produced in accordance with regulatory capital adequacy concepts and rules, rather than with accounting policies adopted in ANZ's financial reports. As such, there are different areas of focus and measures in some common areas of disclosures. These differences are most pronounced in the credit risk disclosures, for instance:

• The principal method for measuring the amount at risk is Exposure at Default (EAD), which is the estimated amount of exposure likely to be owed on a credit obligation at the time of default. Under the Advanced Internal Ratings Based (AIRB) approach in APS 113 Capital Adequacy: Internal Ratings-based Approach to Credit Risk, banks are accredited to provide their own estimates of EAD for all exposures (drawn, commitments or contingents) reflecting the current balance as well as the likelihood of additional drawings prior to default.
• Loss Given Default (LGD) is an estimate of the amount of losses expected in the event of default. LGD is essentially calculated as the amount at risk (EAD) less expected net recoveries from realisation of collateral as well as any post default repayments of principal and interest.
• Most credit risk disclosures split ANZ's portfolio into regulatory asset classes, which span different areas of ANZ's internal divisional and business unit organisational structure.

Unless otherwise stated, all amounts are rounded to AUD millions.

2 Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, 2004.

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