Company: WEBNF
Filing Date: 2025-11-04
Form Type: 20-F
Source: 0001104659-25-105894
Chunk: 95

Company: WESTPAC BANKING CORP
Filing Date: 2025-11-04
Form: 20-F
Item: Item 14
Chunk 95
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    2025                                                    ​    2024                                                 
​                              ​    ​        ​    Maximum    ​    Minimum    ​    Average   ​    ​        ​    Maximum    ​    Minimum    ​    Average
% (increase)/decrease in NII        As at        exposure        exposure        exposure        As at        exposure        exposure        exposure
Consolidated                   1.05                  1.63            0.57            1.23   1.84                  1.84            0.97            1.42
Parent Entity                  ​    0.46             1.21            0.16            0.80   1.40                  1.43            0.59            1.03
​
Value at Risk - IRRBB
The table below depicts internal VaR for IRRBB1:
​

     ​         ​      ​     ​     ​     ​     ​    ​       ​      ​      ​     ​     ​     ​     ​    ​       ​   
------------------------------------------------------------------------------------------------------------------
​              ​    2025                                          ​    2024                                       
$m                  As at        High        Low        Average        As at        High        Low        Average
Consolidated   96.2             101.7       67.5           85.7   77.7              80.6       37.5           50.0
​
As at 30 September 2025 the Value at Risk – IRRBB for the Parent Entity was $104 million (2024: $77 million).
Risk mitigation
IRRBB stems from the ordinary course of banking activities, including structural interest rate risk (the mismatch between the duration of assets and liabilities) and capital management.
Westpac hedges its exposure to such interest rate risk using derivatives. Further details on Westpac’s hedge accounting are discussed in Note 20.
The same controls used to monitor traded market risk allow management to monitor and manage IRRBB.
Structural FX risk
Structural FX risk results from the generation of foreign currency denominated earnings and from Westpac’s capital deployed in offshore branches and subsidiaries, where it is denominated in currencies other than Australian dollars. As exchange rates move, the Australian dollar equivalent of offshore earnings and capital is subject to change that could introduce significant variability to the Bank’s reported financial results and capital ratios. 
Note 20 includes details on the net investment hedges related to