Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

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