Westpac Group Pillar 3 Report March 2013 - Iguana IR Sites

PILLAR 3 REPORT
APPENDIX I - APS330 QUANTITATIVE REQUIREMENTS
Table 10: Market Risk –
disclosures for ADIs using
the standardised approach
Table 11: Market Risk –
disclosures for ADIs using
the internal models
approach for trading
portfolios
Table 13: Equities –
disclosures for banking
book positions
(q)
(r)
(s)
(t) part i
(t) part ii
(u) part i
(u) part ii
(u) part iii
(v)
(w) part i
(w) part ii
(b)
Summary of securitisation activity by asset type
Aggregate amount of exposures securitised by
Westpac and subject to APS116
Summary of on and off-balance sheet
securitisation
Securitisation exposure retained or purchase
subject to internal models approach (IMA)
specific risk
Securitisation exposure retained or purchased
subject to APS120 for Specific risk by risk weight
band
Capital requirements for securitisation exposure
subject to internal models approach (IMA)
Capital requirements for securitisation regulatory
capital approaches by risk weight band
Securitisation exposures deducted from capital
Securitisation subject to early amortisation
treatment
Aggregate resecuritisation exposures retain or
purchased subject to credit risk mitigation
Resecuritisation exposure to guarantors
Market Risk regulatory capital and risk weighted
assets
(d) VaR by risk type 68
(b) to (c)
(b) to (c)
(d) to (e)
Book value of listed equity exposures by industry
classification
Book value of unlisted equity exposures by
industry classification
Gains/losses
63
63
64
64
64
64
65
65
65
65
65
67
73
73
73
Table 14: Interest Rate
Risk in the Banking Book
(b)
Effect of sudden upward and downward
movement in interest rates
75
78