Company: WEBNF
Filing Date: 2025-11-04
Form Type: 20-F
Source: 0001104659-25-105894
Chunk: 94

Company: WESTPAC BANKING CORP
Filing Date: 2025-11-04
Form: 20-F
Item: Item 14
Chunk 94
---
 2.4        14.2       1.1            4.3
Equity risk                            0.0       0.0           0.0         0.0       0.0            0.0         0.1       0.0            0.0
Commodity risk                         1.2       0.3           0.5         1.7       0.6            1.2         3.5       0.9            2.0
Other market risksa                    7.4       2.3           4.3        10.1       1.9            5.4         9.4       3.2            6.0
Diversification effect                 n/a       n/a         (5.8)         n/a       n/a          (6.9)         n/a       n/a          (8.1)
Net market risk                       17.9       6.6           9.7        23.4       6.8           12.9        31.8       8.8           15.2
​

a.   Includes prepayment risk and credit spread risk (exposure to movements in generic credit rating bands).
------------------------------------------------------------------------------------------------------------
21.3.3. Non-traded market riskNon-traded market risk includes Interest Rate Risk in the Banking Book (IRRBB) – the risk to net interest income or the economic value on banking book items as a result of interest rate changes.
Net interest income (NII) sensitivity is monitored using the Net interest income-at-Risk (NaR) model. The NaR model combines the underlying balance sheet data with assumptions about runoffs, new business, and expected repricing behaviour. This simulates a series of potential NII outcomes, over a one year time horizon subject to 100 basis point shift up and down from the current market interest rates in Australia and New Zealand.
Net interest income-at-Risk
The following table depicts potential NII outcomes assuming a worst case outcome between a 100 basis point rate shock up or down with a 12 month time horizon (expressed as a percentage of reported NII):
​

             ​                 ​      ​     ​       ​       ​       ​       ​       ​       ​      ​     ​       ​       ​       ​       ​       ​    
------------------------------------------------------------------------------------------------------------------------------------------------------
​                              ​