WBC - Westpac

[Snoopy]

Westpac averaged Risk Weighted Assets EOFY2019 ($m)

Asset Categories	Risk Weighted Assets {A}	Exposure at Default {B}	Averaged Risk Weighted Factor {A}/{B}
Corporate	74,807	139,173	0.54

From p13 https://www.westpac.com.au/content/d...ember_2019.pdf

Corporate loans carry an RWA value of:

$74,807m/$139,173m = 0.54.

Comparing that 'averaged' figure to the table (below) it looks like the 'typical' loan might be thought of as "A" grade.

From page 7 https://www.bis.org/bcbs/publ/d424_hlsummary.pdf

External rating of General Corporate Counterparty	RWA Factor
AAA to AA-	20%
A+ to A-	50%
BBB+ to BBB-	75%
BB+ to BB-	100%
Below BB-	150%
Unrated	100%

Yet even quite respected NZX listed businesses seem to have a significantly lower credit rating than that.

Contact Energy BBB
Sky City BBB-
Skellerup (?)
Spark A-
Turners Automotive Group (No rating)

I have trouble thinking how an 'averaged portfolio of corporate debt' can have an averaged Risk Weighted Asset factor just shy of grade 'A'.

SNOOPY