Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

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PILLAR 3 REPORT CREDIT RISK EXPOSURES Sovereign portfolio by external credit rating 31 March 2013 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default Default Expected Loss Assets Weight AAA 9,036 329 10,346 0.02% 6% - 269 3% AA 14,119 1,643 16,650 0.03% 8% - 722 4% A 888 413 1,301 0.07% 19% - 150 12% BBB 499 165 664 0.28% 54% 2 345 52% BB 95 122 217 1.12% 55% 1 232 107% B - - - - - - - - Other - - - - - - - - Subtotal 24,637 2,672 29,178 0.04% 9% 3 1,718 6% Default - - - NA - - - - Total 24,637 2,672 29,178 0.04% 9% 3 1,718 6% 30 September 2012 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default Default Expected Loss Assets Weight AAA 9,324 404 11,220 0.02% 6% - 305 3% AA 19,826 1,914 22,963 0.03% 8% 1 609 3% A 861 305 1,166 0.07% 20% - 136 12% BBB 344 128 472 0.25% 49% 1 207 44% BB 58 275 333 1.01% 55% 1 280 84% B - - - - - - - - Other - - - - - - - - Subtotal 30,413 3,026 36,154 0.04% 9% 3 1,537 4% Default - - - NA - - - - Total 30,413 3,026 36,154 0.04% 9% 3 1,537 4% 31 March 2012 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default DefaultExpected Loss Assets Weight AAA 10,207 585 10,792 0.02% 6% - 303 3% AA 19,087 1,713 20,800 0.03% 8% 1 569 3% A 802 315 1,117 0.07% 19% - 132 12% BBB 354 175 529 0.24% 46% 1 220 42% BB 59 156 215 1.35% 50% 1 183 85% B - - - - - - - - Other - - - - - - - - Subtotal 30,509 2,944 33,453 0.04% 9% 3 1,407 4% Default - - - NA - - - - Total 30,509 2,944 33,453 0.04% 9% 3 1,407 4% 1 Outstandings are balances that were drawn down as at the reporting date and include certain off-balance sheet items. 2 Committed undrawn balances are committed exposures that were not drawn down as at the reporting date. 42
PILLAR 3 REPORT CREDIT RISK EXPOSURES Bank portfolio by external credit rating 31 March 2013 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default Default Expected Loss Assets Weight AAA 1,432 - 1,432 0.02% 32% - 261 18% AA 13,374 49 13,423 0.05% 57% 4 4,104 31% A 13,640 282 13,922 0.07% 53% 5 4,246 31% BBB 1,787 17 1,804 0.21% 32% 1 508 28% BB 390 - 390 0.62% 22% 1 130 33% B - - - - - - - - Other - - - - - - - - Subtotal 30,623 348 30,971 0.07% 52% 11 9,249 30% Default 4 - 4 NA 100% 3 7 184% Total 30,627 348 30,975 0.09% 52% 14 9,256 30% 30 September 2012 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default Default Expected Loss Assets Weight AAA 1,121 - 1,121 0.02% 25% - 134 12% AA 10,740 113 10,853 0.05% 57% 3 2,634 24% A 16,599 377 16,976 0.07% 55% 7 4,868 29% BBB 1,836 69 1,905 0.20% 29% 1 488 26% BB 172 - 172 0.58% 22% - 55 32% B - - - - - - - - Other - - - - - - - - Subtotal 30,468 559 31,027 0.07% 53% 11 8,179 26% Default 4 - 4 NA 100% 3 4 100% Total 30,472 559 31,031 0.08% 53% 14 8,183 26% 31 March 2012 Committed Exposure Probability Loss Given Regulatory Risk Weighted Average Risk $m Outstandings 1 Undraw n 2 at Default of Default Default Expected Loss Assets Weight AAA 92 - 92 0.02% 24% - 8 9% AA 5,503 57 5,560 0.05% 53% 1 1,109 20% A 13,793 784 14,577 0.06% 51% 5 3,807 26% BBB 1,311 107 1,418 0.24% 38% 1 533 38% BB 285 1 286 1.14% 28% 1 157 55% B - - - - - - - - Other - - - - - - - - Subtotal 20,984 949 21,933 0.08% 50% 8 5,614 26% Default 4 - 4 NA 90% 4 - - Total 20,988 949 21,937 0.10% 50% 12 5,614 26% 1 Outstandings are balances that were drawn down as at the reporting date and include certain off-balance sheet items. 2 Committed undrawn balances are committed exposures that were not drawn down as at the reporting date. 43
Page 1 and 2: WESTPAC GROUP PILLAR 3 REPORT MARCH
Page 3 and 4: PILLAR 3 REPORT EXECUTIVE SUMMARY B
Page 5 and 6: PILLAR 3 REPORT INTRODUCTION Westpa
Page 7 and 8: PILLAR 3 REPORT CONTROLLING AND MAN
Page 13 and 14: PILLAR 3 REPORT GROUP STRUCTURE Wes
Page 15 and 16: PILLAR 3 REPORT CAPITAL OVERVIEW Ca
Page 17 and 18: PILLAR 3 REPORT CAPITAL OVERVIEW 12
Page 19 and 20: PILLAR 3 REPORT CREDIT RISK MANAGEM
Page 25 and 26: PILLAR 3 REPORT CREDIT RISK EXPOSUR
Page 41: PILLAR 3 REPORT CREDIT RISK EXPOSUR
Page 51 and 52: PILLAR 3 REPORT CREDIT RISK MITIGAT
Page 53 and 54: PILLAR 3 REPORT COUNTERPARTY CREDIT
Page 55 and 56: PILLAR 3 REPORT SECURITISATION A se
Page 57 and 58: PILLAR 3 REPORT SECURITISATION Cons
Page 59 and 60: PILLAR 3 REPORT SECURITISATION Bank
Page 61 and 62: PILLAR 3 REPORT SECURITISATION Bank
Page 63 and 64: PILLAR 3 REPORT SECURITISATION Trad
Page 65 and 66: PILLAR 3 REPORT SECURITISATION Trad
Page 67 and 68: PILLAR 3 REPORT MARKET RISK Risk mi
Page 69 and 70: PILLAR 3 REPORT MARKET RISK Back-te
Page 71 and 72: PILLAR 3 REPORT OPERATIONAL RISK We
Page 73 and 74: PILLAR 3 REPORT EQUITY RISK Book va
Page 75 and 76: PILLAR 3 REPORT INTEREST RATE RISK
Page 77 and 78: PILLAR 3 REPORT APPENDIX I - APS330
Page 79 and 80: PILLAR 3 REPORT APPENDIX II - REGUL
Page 81 and 82: PILLAR 3 REPORT APPENDIX III - CAPI
Page 87 and 88: PILLAR 3 REPORT APPENDIX IV - REGUL
Page 89 and 90: PILLAR 3 REPORT APPENDIX IV - REGUL
Page 91 and 92: PILLAR 3 REPORT GLOSSARY Term Actua
Page 93 and 94:
PILLAR 3 REPORT GLOSSARY Internal a
Page 95 and 96:
PILLAR 3 REPORT GLOSSARY Trading bo
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