Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites
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PILLAR 3 REPORT<br />
SECURITISATION<br />
Trading book summary of on and off-balance sheet securitisation by exposure type 1<br />
31 <strong>March</strong> <strong>2013</strong> On balance sheet<br />
Off balance Total Exposure<br />
$m Securitisation retained Securitisation purchased sheet at Default<br />
Securities 215 528 - 743<br />
Liquidity facilities - - - -<br />
Funding facilities - - - -<br />
Underw riting facilities - - - -<br />
Lending facilities - - - -<br />
Warehouse facilities - - - -<br />
Credit enhancements - - - -<br />
Basis Sw ap - - 44 44<br />
Other derivatives - - 359 359<br />
Total 215 528 403 1,146<br />
30 September 2012 On balance sheet<br />
Off balance Total Exposure<br />
$m Securitisation retained Securitisation purchased sheet at Default<br />
Securities 38 602 - 640<br />
Liquidity facilities - - - -<br />
Funding facilities - - - -<br />
Underw riting facilities - - - -<br />
Lending facilities - - - -<br />
Warehouse facilities - - - -<br />
Credit enhancements - - - -<br />
Basis Sw ap - - 68 68<br />
Other derivatives - - 405 405<br />
Total 38 602 473 1,113<br />
31 <strong>March</strong> 2012 On balance sheet<br />
Off balance Total Exposure<br />
$m Securitisation retained Securitisation purchased sheet at Default<br />
Securities 51 3,385 - 3,436<br />
Liquidity facilities - - - -<br />
Funding facilities - - - -<br />
Underw riting facilities - - - -<br />
Lending facilities - - - -<br />
Warehouse facilities - - - -<br />
Credit enhancements - - - -<br />
Basis Sw ap - - 54 54<br />
Other derivatives - - 444 444<br />
Total 51 3,385 498 3,934<br />
Trading book securitisation exposure subject to specific risk<br />
There is no Trading book securitisation exposure subject to specific risk for 31 <strong>March</strong> <strong>2013</strong>.<br />
Trading book securitisation exposure subject to APS120 specific risk by risk weight band<br />
There is no Trading book securitisation exposure subject to APS120 specific risk for 31 <strong>March</strong> <strong>2013</strong>.<br />
Trading book capital requirements for securitisation exposures subject to internal models<br />
approach (IMA) by risk classification<br />
There is no Trading book capital requirement for securitisation subject to IMA for 31 <strong>March</strong> <strong>2013</strong>.<br />
1 EAD associated with Trading book securitisation is not included in the EAD by Major Type on page 26. Trading book securitisation exposure is captured<br />
and risk weighted under APS116.<br />
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