Company: WEBNF
Filing Date: 2025-11-04
Form Type: 20-F
Source: 0001104659-25-105894
Chunk: 93

Company: WESTPAC BANKING CORP
Filing Date: 2025-11-04
Form: 20-F
Item: Item 14
Chunk 93
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 613,309   ​      67,988
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21.3.  Market risk21.3.1. Value-at-RiskWestpac uses VaR as one of the mechanisms for controlling both traded and non-traded market risk.
VaR is a statistical estimate of the potential loss in earnings over a specified period of time and to a given level of confidence based on historical market movements. The confidence level indicates the probability that the loss will not exceed the VaR estimate on any given day.
VaR seeks to take account of all material market variables that may cause a change in the value of the portfolio, including interest rates, FX rates, price changes, volatility and the correlations between these variables. Daily monitoring of current exposures and VaR and structural concentration limit utilisation is conducted independently by the Market Risk unit. These limits are supplemented by escalation triggers for material profit or loss, and stress testing of risks beyond the 99% confidence interval.
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The key parameters of VaR are:   ​   Traded market risk   ​   Non-traded market risk
Holding period                                    1 day                       1 year
Confidence level                                    99%   ​                      99%
Period of historical data used                   1 year   ​                  6 years
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WESTPAC GROUP 2025 ANNUAL REPORT
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NOTES TO THE FINANCIAL STATEMENTS

Note 21.Risk management, funding and liquidity risk and market risk (Continued)
21.3.2. Traded market riskThe following table depicts the aggregate VaR, by risk type:

              ​                  ​     ​     ​    ​    ​      ​      ​     ​     ​    ​    ​       ​      ​     ​     ​    ​    ​       ​   
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Consolidated and Parent Entity    ​                           2025    ​                            2024    ​                            2023
$m                                    High       Low       Average        High       Low        Average        High       Low        Average
Interest rate risk                    16.7       4.3           8.6        21.2       5.4           10.8        21.8       7.2           11.0
FX risk                                4.4       1.1           2.1         7.3       0.9