1Q17 Capital, Funding‌‌‌‌‌‌‌‌‌‌

& Asset Quality Update

21 February 2017

This document should be read in conjunction with Westpac's Pillar 3 Report December 2016, incorporating the requirements of APS330.

All comparisons in this document refer to

31 December 2016 compared to 30 September 2016 (unless otherwise stated)

CET1 capital ratio remains above preferred range (8.75%-9.25%)

  • Common equity Tier 1 (CET1) capital ratio 9.26% at 31 December 2016

  • Reduction in CET1 capital ratio over the quarter consistent with normal pattern associated with timing of dividend payment

  • Modest RWA growth: Credit RWA down $1.0bn (-0.3%), non-credit RWA up $2.4bn (+4.6%)

  • Internationally comparable1 CET1 capital ratio 14.5% at 31 December 2016 - top quartile of banks globally

Asset quality sound, provisioning remains strong

  • Credit risk metrics remain near cyclical lows

  • Level of impaired assets stable

  • Stressed assets to TCE2 5bps lower at 1.15%

  • Provision cover remains high

  • Australian mortgage delinquencies unchanged over quarter, although higher in WA

Strong funding/ liquidity position

  • Estimated net stable funding ratio (NSFR) >105%

  • Liquidity coverage ratio 138%, well positioned for lower CLF3 from 1 January 2017

  • Well progressed on FY17 term funding, $14.8bn raised year to date

1 Internationally comparable methodology aligns with the APRA study titled 'International Capital Comparison Study' of 13 July 2015. 2 Total committed exposure. 3 Committed Liquidity Facility.

Key capital ratios (%)

Mar-16

Sep-16

Dec-16

CET1 capital ratio

10.5

9.5

9.3

Additional Tier 1 capital

1.6

1.7

1.6

Tier 1 capital ratio

12.1

11.2

10.9

Tier 2 capital

1.9

1.9

2.5

Total regulatory capital ratio

14.0

13.1

13.4

CET1 capital ratio (internationally comparable2)

14.7

14.4

14.5

Risk weighted assets (RWA) ($bn)

363

4103

411

Leverage ratio (APRA)

5.0

5.2

5.0

Leverage ratio (internationally comparable2)

5.8

5.9

5.7

Common equity Tier 1 (CET1) capital ratio (%)

%

Preferred CET1 capital ratio range 8.75% - 9.25%

11

10

9 8.8

9.0

8.8

9.0

10.5

9.510.2

10.1

9.5

9.3

8 8.3

7

8.3

8.4

Regulatory minimum plus regulatory capital buffers 8.0%

Includes:

6 • Capital conservation buffer

  • Domestic systemically important

    bank capital buffer and

  • Countercyclical buffer1

5

Dec-16

Jun-16

Dec-15

Jun-15

Dec-14

Jun-14

Dec-13

4

Regulatory capital buffers 3.5% Regulatory minimum 4.5%

1 Countercyclical buffer currently set at nil for Australia and New Zealand. 2 Internationally comparable methodology aligns with the APRA study titled 'International Capital Comparison Study' of 13 July 2015. 3 APRA's revision to the calculation of RWA for Australian residential mortgages, which came into effect on 1 July 2016 increased RWA by $43bn (reduced CET1 capital ratio by 110bps).

CET1 capital ratio (%) RWA movements ($bn)

2016 final dividend (-76bps) and DRP

10.5 (+8bps)

1Q17 earnings and other movements

Lower derivative RWA, improved credit quality and modelling changes1, partially offset by growth and FX impacts

Update to modelled loss

Increase mostly associated with steepening of the

yield curve

9.5(0.7)

0.5

9.3

410.1

(1.0)

(1.7)

scenarios

(1.7)

5.2

0.6

411.5

Primarily from lower interest rate exposure

Mar-16

Sep-16

Other

Dec-16

Sep-16

Credit risk

Market risk

IRRBB

Other

Dec-16

Up $1.4bn or 0.3%

Net dividend

Operational risk

1 RWA modelling changes includes mortgage RWA changes and updates to risk parameters for corporate and business lending.

Westpac Banking Corporation published this content on 21 February 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 21 February 2017 01:12:08 UTC.

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