Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
Westpac has been flooring risk-weights on retail exposures to prepare for tighter capital requirements from the Australian Prudential Regulation Authority (Apra) and a roll-off of Covid support measures, with overlays inflating risk-weighted assets (RWAs) by A$9.4 billion ($7.1 billion) as of end-September.
The bank first floored risk density – the ratio of RWAs to exposures at default (EAD) – on internally-modelled residential mortgages at 23.8% in the three months to end-March, later rising
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