Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

PILLAR 3 REPORT
MARKET RISK
VaR by risk type
31 March 2013
$m High
For the 6 months ended
Low Average Period end
Interest rate risk 27.0 10.1 17.3 17.7
Foreign exchange risk 4.5 0.5 1.8 2.4
Equity risk 0.8 0.1 0.2 0.3
Commodity risk 4.0 1.2 2.1 3.4
Other market risks 8.6 6.5 7.5 7.7
Diversification benefit NA NA (10.2) (14.9)
Net market risk 1 26.8 12.5 18.8 16.6
30 September 2012
$m High
For the 6 months ended
Low Average Period end
Interest rate risk 23.5 10.5 17.1 18.6
Foreign exchange risk 7.5 0.8 2.6 1.4
Equity risk 1.1 0.2 0.6 0.3
Commodity risk 2.4 1.0 1.7 1.3
Other market risks 20.7 7.8 15.2 8.0
Diversification benefit NA NA (10.6) (10.7)
Net market risk 1 38.9 16.8 26.6 18.8
31 March 2012
$m High
For the 6 months ended
Low Average Period end
Interest rate risk 29.0 14.8 19.7 16.5
Foreign exchange risk 8.0 1.6 4.1 4.4
Equity risk 1.8 0.4 0.5 0.4
Commodity risk 5.1 1.8 3.2 1.9
Other market risks 21.6 14.9 18.0 17.2
Diversification benefit NA NA (14.4) (9.6)
Net market risk 1 41.1 25.7 31.1 30.8
1 The Highs (Lows) by risk types will likely be determined by different days in the period. As such, the sum of these figures will not reflect the High (Low)
net market risk, which reflects the highest (lowest) aggregate risk position in the period.
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