Investor Presentaiton
Risk weighted assets.
Risk weighted assets (RWA) ($bn)
15.1
1.2
(0.8)
477.6
•
460.0
2.4
(0.3)
436.7
3Q22: $15.8bn
4Q22: ($0.7bn)
Up $17.7bn¹ or 3.8%
Sep-21 Mar-22
Credit
risk
risk
Market IRRBB Operational Other Sep-22
risk
Movement in credit risk weighted assets ($bn)
Improved credit quality metrics, partly offset by
an overlay for the mortgage RWA floor
Growth in mortgages, corporate
and business lending
359.7
357.3
(4.1)
4.7
1.3
0.5
362.1
Capital, funding and liquidity
•
•
RWA up $17.7bn over 2H22
IRRBB RWA up $15.1bn (36bps impact on capital) mainly from a
higher regulatory embedded loss from increased market rates, in
particular in 2 and 3 year swap rates. An embedded loss occurs as
Westpac's equity is invested over a three year investment horizon
compared to the regulatory investment term of one year
Credit RWA increased $2.4bn (6bps impact on capital) mainly from
higher exposures across residential mortgages and corporates
IRRBB RWA¹ ($bn)
Embedded loss/(gain)
Optionality and basis risk
Repricing and yield curve risk
3y Swap rate (in %)
4.05
11
12
1.28
16
3.63
43
43
2.60
236
27
20
157
17
Up $2.4bn or 0.7%
3
0.52
19
24
21
13
10
8
(4)
(1)
Sep-21
Mar-22
Credit
quality
Lending
Counterparty
FX
Sep-22
credit and translation
mark-to-market
Sep-21
Dec-21
Mar-22
Jun-22
Sep-22
1 Chart may not add due to rounding.
risk
88
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