Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

More documents

Recommendations

Info

PILLAR 3 REPORT EQUITY RISK Equity risk is defined as the potential for financial loss arising from movements in equity values. The disclosures in this section exclude investments in equities made by Westpac subsidiaries outside the regulatory Level 2 group. Structure and organisation Any changes to the portfolio and transactional limits for Westpac’s direct equity investments are approved under delegated authority from the Westpac Board. The BRMC also approves the Equity Risk Management framework. Approach Westpac has established a comprehensive set of policies defining the management of equity risk. These policies are reviewed and approved annually. Risk mitigation Westpac does not use financial instruments to mitigate its exposure to equities in the banking book. Banking book positions Equity underwriting and warehousing risk - As a financial intermediary Westpac underwrites listed and unlisted equities. Equity warehousing activities require the acquisition of assets in anticipation of refinancing through a combination of senior, mezzanine and capital market debt and listed, unlisted and privately placed equity. Investment securities - Westpac undertakes, as part of the ordinary course of business, certain investments in strategic equity holdings and over time the nature of underlying investments will vary. Measurement of equity securities - Equity securities are generally carried at their fair value. Fair value for equities that have a quoted market price (in an active market) is determined based upon current bid prices. If a market for a financial asset is not active, fair value is determined based upon a valuation technique. This includes the use of recent arms-length transactions, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants to price similar instruments. In the event that the fair value of an unlisted security cannot be measured reliably, these investments are measured at cost. Where the investment is held for long term strategic purposes, these investments are accounted for either as available for sale, with changes in fair value being recognised in equity, or at fair value through profit and loss. Other related matters For the periods reported the book value of certain unlisted investments are measured at cost because the fair value cannot be reliably measured. These investments represent minority interests in companies for which active markets do not exist and quote prices are not available. For all other equity exposures book value equals fair value. Fair value should not differ to the listed stock price. Should a listed stock price not be available, it is estimated using the techniques referred to above. Risk reporting Westpac manages equity risk in two ways, VaR limits and investment limits: A VaR limit (in conjunction with structural limits) is used to manage equity risk in the equity trading business in Financial Markets. This limit is a sub-limit of the BRMC approved VaR limit for Financial Markets trading activities; and Investment exposures are reported monthly. 72
PILLAR 3 REPORT EQUITY RISK Book value of listed equity exposures by industry classification 31 March 30 September 31 March $m 2013 2012 2012 Business services - - - Property - - 26 Finance and insurance 126 222 179 Construction - - - Mining - - - Total 126 222 205 Book value of unlisted equity exposures by industry classification 31 March 30 September 31 March $m 2013 2012 2012 Business services 21 21 24 Property - - - Finance and insurance 162 109 137 Construction 45 45 45 Mining - - - Total 228 175 206 Gains/losses 31 March 30 September 31 March $m 2013 2012 2012 Cumulative realised gains (losses) 46 44 45 Total unrealised gains (losses) through profit & loss 50 62 47 Total unrealised gains (losses) through equity 77 81 52 Total latent revaluation gains (losses) - - - Amounts included in Tier 1 / Tier 2 capital 127 99 70 73
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 9 and 10:
Page 11 and 12:
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 21 and 22: PILLAR 3 REPORT CREDIT RISK MANAGEM
Page 23 and 24: PILLAR 3 REPORT CREDIT RISK MANAGEM
Page 25 and 26: 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: PILLAR 3 REPORT OPERATIONAL RISK We
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
show all

Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?