Westpac Banking : WBC 3Q22 Capital, Credit Quality & Funding Update

For personal use only

ASX	Level 18, 275 Kent Street
	Sydney, NSW, 2000
Release

15 AUGUST 2022

WESTPAC 3Q22 CAPITAL, CREDIT QUALITY AND FUNDING UPDATE

Following is Westpac's 3Q22 slides covering capital, credit quality and funding for the three months ended June 2022.

For further information:
Hayden Cooper	Andrew Bowden
Group Head of Media Relations	General Manager Investor Relations
0402 393 619	0438 284 863

This document has been authorised for release by Tim Hartin, Company Secretary.

r personal use only

3Q22

Capital, Credit Quality and Funding Update

This document should be read in conjunction with Westpac's June 2022 Pillar 3 Report. Contents principally covers and compares the 3Q22 and 1H22 quarterly average periods unless otherwise stated. All amounts are in Australian dollars.

FOR THE 3 MONTHS ENDED 30 JUNE 2022

WESTPAC BANKING CORPORATION

ABN 33 007 457 141

Summary

3Q22 Summary.

only		• CET1 capital ratio 10.75% at Jun-22 (11.33% at Mar-22) lower
Capital	from dividend payment (45 bps), higher risk-weighted assets
	(RWA, 42 bps) and higher capital deductions
	• RWA up $18.0bn or 3.9% in 3Q22, mostly from higher interest
		rate risk in the banking book (IRRBB) RWA
use		• Pro forma1 CET1 capital ratio 11.00%
	• Provision cover little changed. Total provisions to credit RWAs
	Credit quality	1.25%, down 5bps over the quarter

• Credit quality improved, stressed assets to TCE 1.06%, 4bps lower than Mar-22
• Mortgage 90+ day delinquencies improved - Australia 0.83% (down 5bps), New Zealand 0.28% (down 2bps)

	Funding and liquidity	• Funding and liquidity strong. LCR 130% and NSFR 123%
	• Deposit to loan ratio 83.1%, compared to 83.5% at Mar-22
1 Reflecting divestments of Westpac Life Insurance, 17bps, (completed 1 August 2022) and Superannuation and Advance Asset Management Limited (AAML) businesses, 8bps, (sales have been announced but are not yet completed).
personal
2	Westpac Group 3Q22 Capital, Credit Quality and Funding Update
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CET1 capital ratio 10.75%, pro forma1 11.00%.

Capital

Level 2 CET1 capital ratio movements (%)Key capital ratios (%)Sep-21 Mar-22 Jun-22

only
														Level 2 CET1 capital ratio	12.32	11.33	10.75
												Additional Tier 1 capital ratio	2.33	2.08	2.02
				See details on				3Q22 cash earnings partly offset by higher
							deductions for capitalised software and
				following page
								other regulatory deductions						Tier 1 capital ratio	14.65	13.41	12.77
																		Tier 2 capital ratio	4.21	4.30	4.40
11.33		(0.45)													Total regulatory capital ratio	18.86	17.71	17.17
use					(0.42)		0.29	10.75	0.25	11.00			Risk weighted assets
							437	460	478
																(RWA) ($bn)
																Leverage ratio	5.99	5.60	5.35
personal																	Level 1 CET1 capital ratio2	12.59	11.23	10.59
																Internationally comparable ratios3
																			Leverage ratio	6.6	6.1	5.8
																			(internationally comparable)
																			CET1 capital ratio
																			18.2	17.4	17.1
																			(internationally comparable)
		Mar-22	1H22	RWA	Other		Jun-22	Asset	Pro forma
					dividend							sales1		Jun-22

1 R flecting divestments of Westpac Life Insurance, 17bps, (completed 1 August 2022) and Superannuation and AAML businesses, 8bps, (sales have been announced but are not yet completed). 2 The difference between the Level 1 CET1 capital ratio and Level 2 CET capital ratio is mainly due to APRA's treatment of the equity investment in Westpac New Zealand Limited under APS111. 3 Internationally comparable methodology aligns with the APRA study titled 'International Capital Comparison Study' dated 13 July 2015.

3	Westpac Group 3Q22 Capital, Credit Quality and Funding Update
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Increased risk weighted assets mostly from higher IRRBB RWA. Capital

Risk weighted assets (RWA) ($bn)

Commentary

15.8

-

(0.6)

478.0

•

RWA up $18.0bn over 3Q22

• IRRBB RWA up $15.8bn (37bps impact on capital) mainly

460.0

2.6

0.2

from a higher regulatory embedded loss from increased

market interest rates. An embedded loss occurs as

436.7

Westpac's equity is invested over a three year investment

only

Up $18.0bn or 3.9%

horizon compared to the regulatory investment term of one

year

• Credit RWA increased $2.6bn (6bps impact on capital)

Sep-21Mar-22 Credit

Market IRRBB

Operational

Other

Jun-22

mainly from higher exposures across residential

risk

risk

risk

mortgages, specialised lending and corporates

useMovement in credit risk weighted assets ($bn)

personal

Growth in mortgages, specialised

Improved credit quality metrics and

model changes across corporate and

lending and corporates

business exposures

357.3

359.7

5.1

(3.0)

0.4

0.1

362.3

Up $2.6bn or 0.7%

Sep-21

Mar-22

Exposures

Credit quality and

FX translation

Conterparty credit and

Jun-22

model changes

mark-to-market risk

4 Westpac Group 3Q22 Capital, Credit Quality and Funding Update

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