TIDMHSBA
RNS Number : 2817D
HSBC Holdings PLC
18 February 2020
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Pillar 3 Disclosures at 31 December 2019 continued...
The Incremental Risk Charge
The incremental risk charge ('IRC') measures the default and
migration risk of issuers of traded instruments.
IRC risk factors include credit migration, default, product
basis, concentration, hedge mismatch, recovery rate and liquidity.
The PDs are floored to reflect the lack of historical data on
defaults and a period of stress is used to calibrate the spread
changes for the relevant ratings. The IRC model is validated
quarterly by stressing key model parameters and reviewing the
response of the model.
The IRC is a stand-alone charge generating no diversification
benefit with other charges. IRC relies on a range of liquidity
horizons from three months, corresponding to the regulatory floor,
to one year. A wide range of criteria can indicate the liquidity of
a position. The liquidity horizon for the IRC measure depends on a
set of factors such as issuer features, including rating, sector,
geography and size of positions, including product, maturity and
concentration.
The IRC transition matrices are calibrated using transition and
default data published by three rating agencies (S&P, Moody's
and Fitch) as the starting point, in combination with internal
rules for flooring. The average of the three matrices is computed
for each sector. The PDs are then floored: sovereign PDs are
consistent with IRB, while a 3 basis point floor is applied to
corporates' and banks' PDs.
The IRC correlation matrix is derived from historical CDS
spreads data, covering the latest two-year VaR period. The returns
estimation window is set equal to either three or 12 months,
depending on the liquidity horizon of each obligor. First, each
obligor is mapped to six sector/rating categories; then the
correlation matrix is obtained by computing the arithmetic mean of
correlations for each category.
IRC increased during the first half of the year, driven mainly
by exposures to the U.S., Japan and Brazil sovereigns. After
peaking in Q3, IRC decreased mainly as a result of the Rates
business actively reducing our exposures arising from U.S.
government debt asset swaps.
Structural foreign exchange exposures
Structural foreign exchange exposures represent net investments
in subsidiaries, branches and associates whose functional currency
is not the US dollar. An entity's functional currency is normally
that of the primary economic environment in which it operates.
Exchange differences on structural exposures are recognised in
'Other comprehensive income'. We use the US dollar as our
presentation currency in our consolidated financial statements
because the US dollar and currencies linked to it form the major
currency bloc in which we transact and fund our business.
Our consolidated balance sheet is, therefore, affected by
exchange differences between the US dollar and all the non-US
dollar functional currencies of underlying subsidiaries.
Our structural foreign exchange exposures are managed with the
primary objective of ensuring, where practical, that our
consolidated capital ratios and the capital ratios of individual
banking subsidiaries are largely protected from the effect of
changes in exchange rates. We hedge structural foreign exchange
exposures only in limited circumstances.
Details of our structural foreign exchange exposures are
provided in the Market risk section, on page 136 of the Annual
Report and Accounts 2019.
Interest rate risk in the banking
book
Interest rate risk in the banking book ('IRRBB') is the
potential adverse impact of changes in interest rates on earnings
and capital. The component of IRRBB that can be economically
neutralised in the market is transferred to BSM to manage, in
accordance with internal transfer pricing rules. In its management
of IRRBB, the Group aims to balance mitigating the effect of future
interest rate movements, which could reduce net interest income
against the cost of hedging. The monitoring of the projected net
interest income and economic value of equity sensitivity under
varying interest rate scenarios is a key part of this.
More details on our IRRBB and the net interest income
sensitivity may be found on page 136 and page 140 of the Annual
Report and Accounts 2019.
Prudent valuation adjustment
HSBC has documented policies and maintains systems and controls
for the calculation of the prudent valuation adjustment ('PVA').
Prudent value represents a conservative estimate with a 90% degree
of certainty of a price that would be received to sell an asset or
paid to transfer a liability in orderly transactions occurring
between market participants at the balance sheet date. HSBC's
methodology addresses fair value uncertainties arising from a
number of sources: market price uncertainty, bid-offer uncertainty,
model risk, concentration, administrative costs, unearned credit
spreads and investing and funding costs.
Table 64: Prudential valuation adjustments (PV1)
Of which: Of which:
in the in the
Interest trading banking
Equity rates FX Credit Commodities Total book book
$m $m $m $m $m $m $m $m
-----------
Closeout uncertainty 260 361 47 137 5 810 606 204
- of which:
Mid-market value 198 135 19 57 4 413 312 101
Closeout cost 20 91 9 8 1 129 115 14
Concentration 42 135 19 72 - 268 179 89
--------------------------- ------ -------- ------ ----------- ----- --------- ---------
Early termination - - - 4 - 4 4 -
Model risk 25 85 6 9 - 125 122 3
Operational risk 22 28 3 9 - 62 50 12
Investing and funding
costs - 56 - 2 - 58 58 -
Unearned credit spreads - 90 4 8 - 102 102 -
Future administrative
costs - 1 - 7 - 8 8 -
Other - - - - - - - -
Total adjustment
at 31 Dec 2019 307 621 60 176 5 1,169 950 219
--------------------------- ------ -------- ------ ----------- ----- --------- ---------
Closeout uncertainty,
of which: 196 360 29 149 2 736 470 266
------
- of which:
Mid-market value 127 98 4 54 - 283 127 156
Closeout cost 21 94 10 9 2 136 123 13
Concentration 48 168 15 86 - 317 220 97
------ -------- ------ ----------- ----- --------- ---------
Early termination - - - 5 - 5 5 -
Model risk 21 116 4 5 - 146 146 -
Operational risk 15 29 2 11 - 57 39 18
Investing and funding
costs - 95 1 2 - 98 98 -
Unearned credit spreads 1 90 7 19 3 120 120 -
Future administrative
costs - 5 - 4 - 9 9 -
Other - - - - - - - -
Total adjustment
at 31 Dec 2018 233 695 43 195 5 1,171 887 284
--------------------------- ------ -------- ------ ----------- ----- --------- ---------
The net PVA charge was broadly unchanged due to some offsetting
movements, notably:
-- a $130m increase in mid-market value notably driven by
deferral of day one profits which are no longer eligible to offset
any additional valuation adjustment following an EBA statement;
-- offset by a $110m reduction in other additional valuation
adjustments, driven by a reduction in underlying exposures and
reduced spreads.
The types of financial instruments for which the highest PVA is
observed include (i) multi callable interest rate derivatives, (ii)
asset backed securities and valuation adjustments related to
non-collateralised derivatives.
Non-financial risk
Non-financial risk is the risk to achieving our strategy or
objectives as a result of inadequate or failed internal processes,
people and systems, or from external events. Sound non-financial
risk management is central to achieving good outcomes for our
customers. Non-financial risk is relevant to every aspect of our
business and is managed through the operational risk management
framework ('ORMF'). It covers a wide spectrum of issues, such as
resilience risk, financial crime and fraud, regulatory compliance,
reporting and tax risk, legal risk, model risk, people risk and
failure in other principle risk processing. Losses arising from
breaches of regulation and law, unauthorised activities, error,
omission, inefficiency, fraud, systems failure or external events
all fall within the definition of non-financial risk.
Operational risk capital requirements
Operational risk is part of non-financial risk. Table
65
reports our operational risk capital requirements by region and
global business.
Table 65: Operational risk RWAs
------------------ --------------------
31 Dec 2019 31 Dec 2018
Capital Capital
RWAs required RWAs required
$bn $bn $bn $bn
-------------------------------------- ------- --------- ------- -----------
By global business 92.8 7.4 91.1 7.3
-------------------------------------- ---------
Retail Banking and Wealth Management 30.2 2.4 27.3 2.2
Commercial Banking 25.9 2.1 24.3 1.9
Global Banking and Markets 30.8 2.5 31.5 2.5
Global Private Banking 2.8 0.2 2.8 0.2
Corporate Centre 3.1 0.2 5.2 0.5
-------------------------------------- ------- --------- ------- ---------
By geographical region 92.8 7.4 91.1 7.3
------- --------- ------- ---------
Europe 24.5 2.0 27.3 2.2
Asia 45.2 3.6 39.5 3.2
Middle East and North Africa 6.2 0.5 6.8 0.5
North America 11.9 0.9 11.7 0.9
Latin America 5.0 0.4 5.8 0.5
-------------------------------------- ------- --------- ------- ---------
Organisation and responsibilities
Responsibility for managing non-financial risk lies with our
people. During 2019, we continued to strengthen our approach to
managing non-financial risk as set out in the ORMF. The framework
sets out our approach to governance and risk appetite. It provides
a single view of non-financial risks that matter the most and
associated controls. The enhancement and embedding of the risk
appetite framework for non-financial risk, and the improvement of
the consistency of the adoption of the end-to-end risk and control
assessment processes were a particular focus in 2019. While there
remains more to do, we made progress in strengthening the control
environment and the management of non-financial risk.
Activity to strengthen the three lines of defence model
continued to be a key focus in 2019. The first line of defence owns
the risk and is accountable for identifying, assessing, managing
key existing and emerging risks. The second line of defence sets
the policy and control standards to manage risks, and provides
advice and guidance to support these policies. It also challenges
the first line to ensure it is managing risk effectively. The third
line of defence is Internal Audit, which provides independent
assurance to the Board and management that our risk management
approach and processes are designed and operating effectively.
The Non-Financial Risk Management Board ('NFRMB') is a formal
governance committee established to provide strategic direction and
oversight of the management of non-financial risk and is a
sub-committee of the Group Risk Management Meeting ('GRMM').
Operational risk is organised as a specific risk discipline
within Global Risk and is headed by the Group Head of Operational
Risk. The Group Head of Operational Risk is responsible for
establishing and maintaining the ORMF, as well as monitoring the
level of operational losses and the effectiveness of the internal
control environment supported by their second line of defence
functions. The Group Head of Operational Risk is accountable to the
Group Chief Risk Officer in respect of this element of the overall
enterprise-wide risk management framework.
Measurement and monitoring
We have codified our ORMF in a high-level standard, supplemented
by detailed policies. These policies explain our approach to
identifying, assessing, monitoring and controlling non-financial
risk, and give guidance on mitigating actions to be taken when
weaknesses are identified.
Monitoring non-financial risk exposure against risk appetite on
a regular basis, and setting out our risk acceptance process,
drives risk awareness in a more forward-looking manner. This
assists management in determining whether further action is
required.
Risk scenario analysis across material legal entities provides a
top down, forward-looking assessment of risks to help determine
whether they are being effectively managed within our risk appetite
or whether further management action is required. In each of our
subsidiaries, business managers are responsible for maintaining an
appropriate level of internal control, commensurate with the scale
and nature of operations. They are responsible for identifying and
assessing risks, designing controls and monitoring the
effectiveness of these controls. The ORMF helps managers to fulfil
these responsibilities by defining a standard risk assessment
methodology and providing a tool for the systematic reporting of
operational loss data.
Risk and control assessment approach
Non-financial risk and control assessments are performed by
individual business units and functions. The risk and control
assessment process is designed to provide business areas and
functions with a forward-looking view of non-financial risks, an
assessment of the effectiveness of controls, and a tracking
mechanism for action plans so that they can proactively manage
non-financial risks within acceptable levels. Appropriate means of
mitigation and controls are considered. These include:
-- making specific changes to strengthen the internal control environment; and
-- investigating whether cost-effective insurance cover is available to mitigate the risk.
Recording
We use a Group-wide risk management system to record the results
of our non-financial risk management process. Non-financial risk
and control assessments, as described above, are input and
maintained by business units. Business management monitors and
follows up the progress of documented action plans. Operational
risk losses are entered into the Group-wide risk management system
and reported to governance on a monthly basis. Loss capture
thresholds are in line with industry standards.
Liquidity
Strategies and processes
HSBC has an internal liquidity and funding risk management
framework ('LFRF'), which aims to allow it to withstand very severe
liquidity stresses. It is designed to be adaptable to changing
business models, markets and regulations. The management of
liquidity and funding is primarily undertaken locally (by country)
in our operating entities in compliance with the Group's LFRF, and
with practices and limits set by the GMB through the RMM and
approved by the Board. Our general policy is that each defined
operating entity should be self-sufficient in funding its own
activities.
The key aspects of the internal LFRF which is used to ensure
that HSBC maintains an appropriate overall liquidity risk profile
are:
-- each entity must manage liquidity and funding risk on a
stand-alone basis without reliance on other members of the group or
central banks, unless pre-approved;
-- minimum liquidity coverage ratio ('LCR') requirement; and
-- minimum net stable funding ratio ('NSFR') requirement or other appropriate metric.
The internal LFRF and the risk tolerance limits were approved by
the Group Risk Committee and the Board on the basis of
recommendations made by the RMM.
Structure and organisation
Asset, Liability and Capital Management ('ALCM') teams are
responsible for the application of the LFRF at a local operating
entity level. The elements of the LFRF are underpinned by a robust
governance framework, the two major elements of which are:
-- Group, regional and entity level asset and liability management committees ('ALCOs'); and
-- an internal liquidity adequacy assessment process ('ILAAP')
used to validate risk tolerance and set risk appetite.
All operating entities and Group are required to prepare an
internal liquidity adequacy assessment ('ILAA') document at an
appropriate frequency. The final objective of the ILAA, approved by
the relevant Board of Directors, is to verify that the entity and
subsidiaries maintain liquidity resources which are adequate in
both amount and quality at all times, ensuring that there is no
significant risk that its liabilities cannot be met as they fall
due, maintaining a prudent funding profile.
Management of liquidity and funding risk
Liquidity coverage ratio
The LCR aims to ensure that a bank has sufficient unencumbered
high-quality liquid assets ('HQLA') to meet its liquidity needs in
a 30 calendar day liquidity stress scenario. For the calculation of
the LCR, HSBC follows the EU Regulation LCR Delegated Act
2015/61.
Net stable funding ratio
HSBC uses the NSFR or other appropriate metric as a basis for
ensuring operating entities raise sufficient stable funding to
support their business activities. The NSFR or other appropriate
metric requires institutions to maintain a minimum amount of stable
funding based on assumptions of asset liquidity.
Currency mismatch in the LCR
The Group's internal liquidity and funding risk management
framework requires all operating entities to monitor the LCR for
material currencies. Limits are set to ensure that outflows can be
met, given assumptions on stressed capacity in the FX swap
markets.
Governance
ALCM teams apply the LFRF at both an individual entity and Group
level. Regional and local ALCM teams are responsible for the
implementation of Group-wide and local regulatory policy at a legal
entity level. Balance Sheet Management ('BSM') has responsibility
for cash and liquidity management.
Liquidity Risk Management carry out independent review,
challenge and assurance of the appropriateness of the risk
management activities undertaken by ALCM and BSM. Their work
includes setting control standards, advice on policy
implementation, and review and challenge of reporting.
Internal Audit provide independent assurance that risk is
managed effectively.
More details on the concentration of funding and liquidity
sources may be found on page 133 of the Annual Report and Accounts
2019.
Table 66: Level and components of HSBC Group consolidated liquidity
coverage ratio (LIQ1)
Quarter ended Quarter ended Quarter ended Quarter ended
31 Dec 2019 30 Sep 2019 30 Jun 2019 31 Mar 2019
Total Total Total Total Total Total Total Total
unweighted weighted unweighted weighted unweighted weighted unweighted weighted
value value value value value value value value
$m $m $m $m $m $m $m $m
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Number of data points
used in the calculation
of averages 12 12 12 12
------------------------------------------------------------
High quality liquid
assets
------------------------------------------------------------
Total high quality
liquid assets ('HQLA') 542,436 543,249 548,045 540,986
------------------------------------------------------------
Cash outflows
------------------------------------------------------------ ---------- ----------
Retail deposits and
small business funding 747,510 77,146 741,029 76,814 740,337 76,875 739,011 76,577
---------- ----------
- of which:
stable deposits 304,474 15,224 293,281 14,651 286,926 14,293 286,380 14,225
less stable deposits 441,819 61,548 446,634 61,820 452,473 62,297 451,828 62,116
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ----------
Unsecured wholesale
funding 643,185 303,439 635,166 298,301 622,518 291,807 612,755 286,357
---------- ---------- ---------- ----------
* operational deposits (all counterparties) and
deposits in networks of cooperative banks 200,638 48,996 200,875 48,992 198,169 48,206 195,587 47,487
------------------------------------------------------------
* non-operational deposits (all counterparties) 427,855 239,751 420,574 235,592 411,775 231,027 406,102 227,804
------------------------------------------------------------
- unsecured debt 14,692 14,692 13,717 13,717 12,574 12,574 11,066 11,066
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ----------
Secured wholesale
funding 11,532 12,737 13,249 13,181
---------- ----------
Additional requirements 310,100 89,589 306,075 88,533 305,290 88,350 308,002 90,119
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
* outflows related to derivative exposures and other
collateral requirements 39,394 39,011 38,254 37,849 38,540 37,906 40,395 39,588
* outflows related to loss of funding on debt products - - - - - - - -
------------------------------------------------------------
* credit and liquidity facilities 270,706 50,578 267,821 50,684 266,750 50,444 267,607 50,531
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ----------
Other contractual
funding obligations 88,055 37,881 92,249 38,326 96,962 37,942 97,645 36,037
Other contingent funding
obligations 464,319 12,375 425,446 12,222 390,535 12,471 359,989 12,510
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total cash outflows 531,962 526,933 520,694 514,781
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Cash inflows
------------------------------------------------------------ ---------- ----------
Secured lending transactions
(including reverse
repos) 307,567 32,831 310,390 34,147 303,143 36,126 295,235 38,746
---------- ----------
Inflows from fully
performing exposures 102,549 70,653 105,650 73,971 110,404 79,002 112,583 81,523
Other cash inflows 114,166 48,542 111,556 48,084 101,067 46,246 93,069 45,893
(Difference between
total weighted inflows
and total weighted
outflows arising from
transactions in third
countries where there
are transfer restrictions
or which are denominated
in non-convertible
currencies) - - - -
(Excess inflows from
a related specialised
credit institution) - - - -
---------- ------ ---------- ------ ---------- ------
Total cash inflows 524,282 152,026 527,596 156,202 514,614 161,374 500,887 166,162
------------------------------------------------------------ ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Fully exempt inflows - - - - - - - -
Inflows Subject to
90% Cap - - - - - - - -
Inflows Subject to
75% Cap 493,752 152,026 497,429 156,202 484,373 161,374 467,328 166,162
---------- ---------- ---------- ---------- ---------- ----------
Liquidity coverage
ratio (Adjusted value)
Liquidity Buffer 542,436 543,249 548,045 540,986
Total net cash outflows 379,936 370,731 359,320 348,619
---------- ---------- ---------- ---------- ----------
Liquidity coverage
ratio (%) 142.8% 146.5% 152.5% 155.2%
------------------------------------------------------------ ---------- ------ ---------- ------ ---------- ------ ---------- ------
Analysis of on-balance sheet encumbered and unencumbered assets
and off-balance sheet collateral
On-balance sheet encumbered and unencumbered assets
The table on the following page summarises the total on-balance
sheet assets capable of supporting future funding and collateral
needs, and shows the extent to which they are currently pledged for
this purpose. This disclosure aims to facilitate an understanding
of available and unrestricted assets that could be used to support
potential future funding and collateral needs.
Off-balance sheet collateral
The fair value of assets accepted as collateral that we are
permitted to sell or repledge in the absence of default was $468bn
at 31 December 2019 (2018: $483bn). The fair value of any such
collateral actually sold or repledged was $295bn (2018: $329bn). We
are obliged to return equivalent securities. These transactions are
conducted under terms that are usual and customary to standard
reverse repo, stock borrowing and derivative transactions.
The fair value of collateral received and re-pledged in relation
to reverse repos, stock borrowing and derivatives is reported on a
gross basis. The related balance sheet receivables and payables are
reported on a net basis where required under IFRS offset criteria.
As a consequence of reverse repo, stock borrowing and derivative
transactions where the collateral received could be sold or
re-pledged but had not been, we held $173bn (2018: $154bn) of
unencumbered collateral available to support potential future
funding and collateral needs at 31 December 2019.
Under the terms of our current collateral obligations under
derivative contracts (which are ISDA compliant CSA contracts and
contracts entered into for pension obligations), and based on an
estimate of the positions at 31 December 2019, we calculate that we
could be required to post additional collateral of up to $0.2bn
(2018: $0.2bn) in the event of a one-notch downgrade in third-party
agencies' credit rating of HSBC's debt. This would increase to
$0.4bn (2018: $0.4bn) in the event of a two-notch downgrade.
For further details on liquidity and funding risk management,
see page 131 onwards of the Annual Report and Accounts 2019.
Table 67: Analysis of on-balance sheet encumbered and unencumbered
assets
Assets encumbered
as a result of
transactions with
counterparties
other than central Unencumbered assets not
banks positioned at central banks
Assets
positioned Reverse
at central repos/stock
As a banks Assets Other borrowing Assets
result (i.e. readily assets receivables that
of As a result pre-positioned available capable and cannot
covered of plus for of being derivative be
bonds securitisations Other encumbered) encumbrance encumbered assets encumbered Total
$m $m $m $m $m $m $m $m $m
Cash and balances
at central banks - - - 244 151,247 39 - 2,569 154,099
Items in the
course of collection
from other banks - - - - - - - 4,956 4,956
------- --------------- ------- -------------- ----------- ---------- -----------
Hong Kong Government
certificates
of indebtedness - - - - - - - 38,380 38,380
------------------------------------------------- ------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Trading assets - - 58,310 3,440 159,552 10,019 21,349 1,601 254,271
* treasury and other eligible bills - - 1,650 2,354 17,215 531 - 39 21,789
* debt securities - - 32,034 1,086 90,783 2,088 - 52 126,043
* equity securities - - 24,626 - 51,534 2,648 - 19 78,827
* loans and advances to banks - - - - 20 1,797 5,538 1,047 8,402
* loans and advances to customers - - - - - 2,955 15,811 444 19,210
------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Financial assets
designated and
otherwise mandatorily
measured at
fair value through
profit or loss - - 1,145 - 2,507 4,896 642 34,437 43,627
* treasury and other eligible bills - - 629 - - - - 32 661
* debt securities - - - - 266 179 - 6,107 6,552
* equity securities - - 1 - 2,182 1,086 - 27,670 30,939
* loans and advances to banks and customers - - - - 59 3,227 642 628 4,556
* other assets - - 515 - - 404 - - 919
------------------------------------------------- ------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Derivatives - - - - - - 242,995 - 242,995
Loans and advances
to banks - - 85 2,920 1,337 44,318 - 20,543 69,203
Loans and advances
to customers 7,471 7,812 3,328 53,343 15,815 909,677 53 39,244 1,036,743
------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Reverse repurchase
agreements -
non-trading - - - - - - 240,862 - 240,862
------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Financial investments - 405 25,517 19,503 321,651 4,957 - 71,279 443,312
* treasury and other eligible bills - 405 564 9,000 93,486 1,228 - 836 105,519
* debt securities - - 24,953 10,503 227,665 3,013 - 69,661 335,795
* equity securities - - - - 500 716 - 697 1,913
- other instruments - - - - - - - 85 85
------------------------------------------------- ------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Prepayments,
accrued income
and other assets - 17 49,580 398 4,444 27,736 - 54,505 136,680
Current tax
assets - - - - - - - 755 755
Interest in
associates and
joint ventures - - - - 14 24,029 - 431 24,474
Goodwill and
intangible assets - - - - - - - 20,163 20,163
------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Deferred tax - - - - - - - 4,632 4,632
------------------------------------------------- ------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
At 31 Dec 2019 7,471 8,234 137,965 79,848 656,567 1,025,671 505,901 293,495 2,715,152
------------------------------------------------- ------- --------------- ------- -------------- ----------- ---------- ----------- ---------- ---------
Table 67: Analysis of on-balance sheet encumbered and unencumbered
assets (continued)
Assets encumbered
as a result
of transactions
with counterparties
other than central Unencumbered assets not
banks positioned at central banks
Assets
positioned
at central Reverse
banks repos/stock
As a (i.e. Assets Other borrowing Assets
result As a pre- readily assets receivables that
of result positioned available capable and cannot
covered of plus for of being derivative be
bonds securitisations Other encumbered) encumbrance encumbered assets encumbered Total
$m $m $m $m $m $m $m $m $m
------- --------------- ------- ----------- ----------- ---------- ----------- ---------- -----------
Cash and balances
at central banks - - - 493 155,813 24 - 6,513 162,843
Items in the
course of collection
from other banks - - - - - - - 5,787 5,787
Hong Kong Government
certificates
of indebtedness - - - - - - - 35,859 35,859
------------------------------------------------- ------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Trading assets - - 68,877 3,221 137,589 8,493 18,279 1,671 238,130
* treasury and other eligible bills - - 2,367 2,357 17,707 209 - 34 22,674
- debt securities - - 44,000 864 83,640 1,803 - 232 130,539
- equity securities - - 22,510 - 36,242 2,070 - 74 60,896
- loans and
advances to
banks - - - - - 2,768 6,753 904 10,425
* loans and advances to customers - - - - - 1,643 11,526 427 13,596
------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Financial assets
designated and
otherwise mandatorily
measured at
fair value through
profit or loss - - 1,177 - 2,135 7,601 605 29,593 41,111
* treasury and other eligible bills - - 627 - - - - 43 670
- debt securities - - - - 297 4 - 6,246 6,547
- equity securities - - - - 1,676 1,035 - 22,638 25,349
* loans and advances to banks and customers - - - - 162 6,331 605 619 7,717
- other assets - - 550 - - 231 - 47 828
------------------------------------------------- ------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Derivatives - - - - - - 207,825 - 207,825
Loans and advances
to banks - - 170 2,367 1,947 45,992 - 21,691 72,167
Loans and advances
to customers 6,621 7,653 4,036 58,737 15,867 847,301 28 41,453 981,696
------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Reverse repurchase
agreements -
non-trading - - - - - - 242,804 - 242,804
------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Financial investments - 670 28,723 21,310 285,374 5,157 - 66,199 407,433
* treasury and other eligible bills - 276 1,079 5,377 88,556 1,235 - 798 97,321
- debt securities - 394 27,644 15,933 196,436 3,466 - 64,485 308,358
- equity securities - - - - 382 456 - 819 1,657
- other investments - - - - - - - 97 97
------------------------------------------------- ------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Prepayments,
accrued income
and other assets - 3 35,407 88 3,609 33,060 - 38,404 110,571
Current tax
assets - - - - - - - 684 684
Interest in
associates and
joint ventures - - - - 15 21,994 - 398 22,407
Goodwill and
intangible assets - - - - - - - 24,357 24,357
------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Deferred tax - - - - - - - 4,450 4,450
------------------------------------------------- ------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
At 31 Dec 2018 6,621 8,326 138,390 86,216 602,349 969,622 469,541 277,059 2,558,124
------------------------------------------------- ------- --------------- ------- ----------- ----------- ---------- ----------- ---------- ---------
Other risks
Non-trading book exposures in equities
At 31 December
2019
, we had equity investments in the non-trading book of $
5.9
bn (
2018
: $5.0bn). These consist of investments held for the purposes
shown in Table
68
.
We make investments in private equity primarily through managed
funds that are subject to limits on the amount of investment. We
risk-assess these commitments to ensure that industry and
geographical concentrations remain within acceptable levels for the
portfolio as a whole, and perform regular reviews to substantiate
the valuation of the investments within the portfolio.
Exchange traded investments amounted to $0.5bn (2018: $0.7bn),
with the remainder being unlisted. These investments are held at
fair value in line with market prices.
On a regulatory consolidation basis, the net realised gain from
disposal of equity securities amounted to $0.1bn (2018: $0.1bn).
Unrealised gains on FVOCI equities of $0.6bn at 31 December 2019
were fully recognised in CET1.
Details of our accounting policy for equity investments measured
at FVOCI and the valuation of financial instruments may be found on
page 244 of the Annual Report and Accounts 2019. A detailed
description of the valuation techniques applied to private equity
may be found on page 269 of the Annual Report and Accounts
2019.
Table 68: Non-trading book equity
investments
Mandatorily
Fair value measured
through at fair
other value
comprehensive through
income profit
(FVOCI) and loss Total
$bn $bn $bn
Private equity
holdings - 2.4 2.4
Investment to
facilitate ongoing
business (1) 2.0 1.3 3.3
-------------------------
Other strategic
investments - 0.2 0.2
------------------------- -------------- ----------- -----
At 31 Dec 2019 2.0 3.9 5.9
------------------------- -------------- ----------- -----
Private equity
holdings - 1.9 1.9
-------------------------
Investment to
facilitate ongoing
business 1.7 1.1 2.8
------------------------- -------------- ----------- -----
Other strategic
investments - 0.3 0.3
------------------------- -------------- ----------- -----
At 31 Dec 2018 1.7 3.3 5.0
------------------------- -------------- ----------- -----
1 Includes holdings in government-sponsored enterprises and local stock exchanges.
Risk management of insurance operations
We operate an integrated bancassurance model that provides
insurance products principally for customers with whom we have a
banking relationship.
The insurance contracts we sell relate to the underlying needs
of our banking customers, which we can identify from our
point-of-sale contacts and customer knowledge. The majority of
sales are of savings and investment products and term and credit
life contracts.
By focusing largely on personal and small- and medium-sized
enterprises ('SMEs') lines of business, we are able to optimise
volumes and diversify individual insurance risks.
We choose to manufacture these insurance products in HSBC
subsidiaries based on an assessment of operational scale and risk
appetite. Manufacturing insurance allows us to retain the risks and
rewards associated with writing insurance contracts by keeping part
of the underwriting profit and investment income within the
Group.
We have life insurance manufacturing subsidiaries in Argentina,
mainland China, France, Hong Kong, Malaysia, Malta, Mexico,
Singapore and the UK. We also have a life insurance manufacturing
associate in India.
Where we do not have the risk appetite or operational scale to
be an effective insurance manufacturer, we engage with a handful of
leading external insurance companies in order to provide insurance
products to our customers through our banking network and direct
channels. These arrangements are generally structured with our
exclusive strategic partners and earn the Group a combination of
commissions, fees and a share of profits. We distribute insurance
products in all of our geographical regions.
Insurance products are sold through all global businesses, but
predominantly by RBWM and CMB through our branches and direct
channels worldwide.
The risk profile of our insurance manufacturing businesses is
measured using an economic capital approach. Assets and liabilities
are measured on a market value basis, and a capital requirement is
defined to ensure that there is a less than one-in-200 chance of
insolvency over a one-year time horizon, given the risks to which
the businesses are exposed. The methodology for the economic
capital calculation is largely aligned to the pan-European Solvency
II insurance capital regulations.
Subsidiaries engaged in insurance activities are excluded from
the regulatory consolidation by excluding assets, liabilities and
post-acquisition reserves, leaving the investment of these
insurance subsidiaries to be recorded at cost and deducted from
CET1 subject to thresholds (amounts below the thresholds are
risk-weighted).
Further details of the management of financial risks and
insurance risk arising from the insurance operations are provided
on page 146 of the Annual Report and Accounts 2019.
Climate change risk
Climate change can create physical risks such as severe weather
events of increasing severity and/or frequency. Transition risk, in
the context of climate change, is the possibility that a customer's
ability to meet its financial obligations will deteriorate due to
the global movement from a high-carbon economy to a low-carbon
economy.
We are a signatory to the disclosure recommendations by the
Financial Stability Board's Task Force on Climate-related Financial
Disclosures.
Refer to page 22 of the Annual Report and Accounts 2019 for our
disclosure under the framework.
Appendix I
Additional tables
Credit risk
Table 69 sets out IRB exposures by obligor grade for central
governments and central banks, institutions and corporates, all of
which are assessed using our 23-grade CRR master scale. We
benchmark the master scale against the ratings of external rating
agencies. Each CRR band is associated with an external rating grade
by reference to long-run default rates for that grade, represented
by the average of issuer-weighted historical default rates. The
correspondence between the agency long-run default rates and the PD
ranges of our master scale is obtained by matching a smoothed curve
based on those default rates with our master scale reference PDs.
This association between internal and external ratings is
indicative and may vary over time. In these tables, the ratings of
S&P are cited for illustration purposes, although we also
benchmark against other agencies' ratings in an equivalent
manner.
Table 69: Wholesale IRB exposure - by obligor grade
Central governments
and central banks Institutions Corporates(2)
Average Average Average
net Undrawn Mapped net Undrawn Mapped net Undrawn Mapped
Default PD carrying commit- external carrying commit- external carrying commit- external
risk CRR range values(1) ments rating values(1) ments rating values(1) ments rating
% $bn $bn $bn $bn $bn $bn
0.000
to AAA to
Minimal 0.1 0.010 214.4 0.9 AA 2.5 - AAA 0.4 - -
--------------
0.011
to AA- to AA+ to AAA
1.1 0.028 70.1 1.2 A+ 34.5 2.2 AA 32.1 20.2 to AA
--------------
0.029
to A to
1.2 0.053 25.0 0.3 A- 13.6 1.5 AA- 67.4 44.6 AA-
--------------
0.054
to A+ to A+ to
Low 2.1 0.095 9.7 0.3 BBB+ 11.0 2.7 A 91.5 60.8 A
--------------
0.096
to
2.2 0.169 9.6 - BBB 11.9 3.6 A- 109.2 62.7 A-
--------------
0.170
to
Satisfactory 3.1 0.285 2.4 0.3 BBB- 4.0 1.2 BBB+ 123.9 71.4 BBB+
--------------
0.286
to
3.2 0.483 2.1 - BBB- 2.4 0.3 BBB 120.8 57.4 BBB
--------------
0.484
to
3.3 0.740 3.0 0.3 BB+/BB 1.3 0.1 BBB- 108.3 46.9 BBB-
--------------
0.741
to
Fair 4.1 1.022 1.4 - BB- 0.9 0.3 BB+ 77.0 35.3 BB+
--------------
1.023
to
4.2 1.407 0.5 0.1 B+ 0.5 0.1 BB 60.6 24.7 BB
--------------
1.408
to
4.3 1.927 3.1 - B+ 0.2 0.1 BB- 47.5 21.0 BB-
--------------
1.928
to
Moderate 5.1 2.620 1.5 - B+ 0.1 - BB- 84.7 31.4 BB-
--------------
2.621
to
5.2 3.579 - - B - - B+ 25.9 12.6 B+
--------------
3.580
to
5.3 4.914 0.2 - B - - B 19.8 9.7 B
--------------
4.915
to
Significant 6.1 6.718 - 0.1 B- - - B- 10.7 4.5 B-
--------------
6.719
to
6.2 8.860 0.4 0.1 B- - - B- 6.1 1.8 B-
--------------
8.861
to
High 7.1 11.402 - - B- - - CCC+ 4.1 1.7 CCC+
--------------
11.403
to
7.2 15.000 - - CCC+ 0.1 0.1 CCC+ 1.9 0.5 CCC+
--------------
15.001
Special to
Management 8.1 22.000 0.1 - CCC+ - - CCC 2.6 1.4 CCC
--------------
22.001
to CCC- CCC-
8.2 50.000 0.1 - CCC - - to CC 0.7 0.5 to CC
--------------
50.001
to CCC-
8.3 99.999 0.3 - to C - - C 0.2 0.1 C
--------------
Default 9/10 100.000 - - Default - - Default 4.0 0.9 Default
-------------- ---- ------- --------- --------- ----------
At 31 Dec 2019 343.9 3.6 83.0 12.2 999.4 510.1
--------- ------- --------- --------- ------- --------- --------- ------- ----------
0.000
to
Minimal 0.1 0.010 182.6 1.0 AAA 2.4 - AAA - -
--------------
0.011
to AA+ to AA+ to AAA to
1.1 0.028 77.4 0.9 AA 32.1 2.1 AA 28.7 12.6 AA
--------------
0.029
to AA- to
1.2 0.053 22.5 0.4 A+ 17.6 1.4 AA- 64.6 39.1 AA-
--------------
0.054
to A+ to A+ to
Low 2.1 0.095 8.1 0.3 A 13.1 2.8 A 89.9 50.3 A
--------------
0.096
to
2.2 0.169 10.6 - A- 11.9 3.3 A- 106.9 73.1 A-
--------------
0.170
to
Satisfactory 3.1 0.285 2.6 - BBB+ 3.1 0.7 BBB+ 125.2 68.9 BBB+
--------------
0.286
to
3.2 0.483 1.9 - BBB 3.7 0.3 BBB 113.8 59.8 BBB
--------------
0.484
to
3.3 0.740 2.8 0.2 BBB- 2.4 0.2 BBB- 104.4 47.5 BBB-
--------------
0.741
to
Fair 4.1 1.022 1.8 0.1 BB+ 0.9 0.2 BB+ 75.9 33.7 BB+
--------------
1.023
to
4.2 1.407 0.3 0.1 BB 0.4 0.2 BB 54.2 28.8 BB
--------------
1.408
to
4.3 1.927 1.5 0.1 BB- 0.3 0.1 BB- 49.4 19.8 BB-
--------------
1.928
to
Moderate 5.1 2.620 2.6 - BB- 0.1 - BB- 82.2 30.8 BB-
--------------
2.621
to
5.2 3.579 - - B+ 0.2 - B+ 24.0 10.1 B+
--------------
3.580
to
5.3 4.914 0.2 - B - - B 19.6 8.5 B
--------------
4.915
to
Significant 6.1 6.718 0.1 - B - - B- 11.7 4.8 B-
--------------
6.719
to
6.2 8.860 0.3 0.1 B- - - B- 6.0 1.9 B-
--------------
8.861
to
High 7.1 11.402 0.1 - CCC+ - - CCC+ 3.1 1.0 CCC+
--------------
11.403
to
7.2 15.000 - - CCC+ 0.1 0.1 CCC+ 2.0 0.6 CCC+
--------------
15.001
Special to
Management 8.1 22.000 - - CCC+ - - CCC 2.5 1.5 CCC
--------------
22.001
to CCC- CCC-
8.2 50.000 - - CCC+ - - to CC 1.0 0.4 to CC
--------------
50.001
to CCC to
8.3 99.999 - - C - - C 0.4 0.2 C
--------------
Default 9/10 100.000 - - Default - - Default 4.3 1.2 Default
-------------- ---- -------
At 31 Dec 2018 315.4 3.2 88.3 11.4 969.8 494.6
----------------------------- --------- ------- --------- --------- ------- --------- --------- ------- ----------
1 Average net carrying value are calculated by aggregating the
net carrying values of the last five quarters and dividing by
five.
2 Corporates excludes specialised lending exposures subject to supervisory slotting approach.
PD, LGD, RWA and exposure by country/territory
The following tables 70. a-c analyse the exposure-weighted
average PD, exposure-weighted average LGD, RWAs and exposure
by location of the lending subsidiary or branch. The tables
exclude specialised lending exposures subject to the supervisory
slotting approach, securitisation exposures and non-credit
obligations.
Table 70.a: PD, LGD, RWA and exposure by country/territory - wholesale
IRB advanced approach
Wholesale IRB advanced approach
Central governments and
All asset classes central banks
-------------------------------------- ---------------------------------------
At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted
average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn
--------------------- -------- ---------- --------- -------- ------
Europe 1.88 35.3 236.7 96.1 0.04 44.9 47.3 4.1
--------- --------- -------- ------ ---------- --------- -------- ----
UK 1.87 35.8 186.9 76.5 0.03 44.7 39.6 2.9
France 2.31 30.2 39.3 17.5 0.03 45.0 0.7 0.1
Asia 0.65 42.9 573.8 176.4 0.03 43.7 208.6 15.9
--------- --------- -------- ------ ---------- --------- -------- ----
Hong Kong 0.64 39.0 317.0 87.6 0.01 42.7 102.5 5.5
Australia 0.53 42.9 27.6 8.2 0.01 45.0 9.5 0.5
Mainland China 0.61 48.6 74.8 28.2 0.02 45.0 27.5 2.0
Singapore 0.41 41.7 45.5 10.5 0.01 44.1 18.6 1.0
Middle East and
North
Africa 0.43 43.9 24.0 7.6 0.40 45.0 18.2 6.0
--------- --------- -------- ------ ---------- --------- -------- ----
North America 0.95 34.0 182.8 66.3 0.01 29.8 59.9 4.9
--------- --------- -------- ------ ---------- --------- -------- ----
US 0.88 32.9 121.3 43.7 0.01 29.8 41.7 3.1
Canada 1.15 33.6 57.3 22.1 0.02 29.6 15.1 1.6
Latin America 11.10 44.8 10.2 5.8 11.84 45.0 9.5 5.4
--------------------- --------- --------- -------- ------ ---------- --------- -------- ----
Wholesale IRB advanced approach
Institutions Corporates
------------------------------------ ---------------------------------------
At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted
average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn
----------------------- --------- --------- -------- ---- --------- --------- -------- -------
Europe 0.16 32.5 17.2 3.4 2.56 33.0 172.2 88.6
--------- --------- -------- ---- --------- --------- -------- -----
UK 0.16 27.7 12.8 2.3 2.57 33.9 134.5 71.3
--------- --------- -------- -----
France 0.16 45.1 1.8 0.5 2.46 29.2 36.8 16.9
--------- --------- -------- -----
Asia 0.07 44.7 40.6 5.8 1.13 42.2 324.6 154.7
--------- --------- -------- ---- --------- --------- -------- -----
Hong Kong 0.05 38.5 27.2 3.3 1.06 37.0 187.3 78.8
--------- --------- -------- -----
Australia 0.06 42.5 2.2 0.4 0.91 41.7 15.9 7.3
--------- --------- -------- -----
Mainland China 0.10 46.1 4.3 0.8 1.03 51.1 43.0 25.4
--------- --------- -------- -----
Singapore 0.06 39.9 3.9 0.4 0.79 40.0 23.0 9.1
---- --------- --------- -------- -----
Middle East and North
Africa 0.15 45.0 2.1 0.5 0.74 32.7 3.7 1.1
--------- --------- -------- ---- --------- --------- -------- -----
North America 0.06 41.4 5.8 0.8 1.47 36.4 117.1 60.6
--------- --------- ---- --------- --------- -------- -----
US 0.13 44.4 1.5 0.4 1.37 34.3 78.1 40.2
--------- --------- -------- -----
Canada 0.03 21.4 3.4 0.2 1.69 36.2 38.8 20.3
--------- --------- -------- -----
Latin America 0.42 45.1 0.5 0.3 1.36 31.6 0.2 0.1
----------------------- --------- --------- -------- ---- --------- --------- -------- -----
Table 70.b: PD, LGD, RWA and exposure by country/territory - wholesale
IRB foundation approach
Wholesale IRB foundation approach
Central governments and
All asset classes central banks
-------------------------------------- -----------------------------------------
At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted
average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn
------------------- --------- --------- -------- ------ ------------ --------- -------- ------
Europe 2.04 43.7 38.1 22.7 0.02 45.0 - -
--------- --------- -------- ------ ------------ --------- -------- ----
UK 2.39 40.7 16.1 9.7 - - - -
France 1.21 40.0 1.7 1.1 - - - -
Asia - - - - - - - -
--------- --------- -------- ------ ------------ --------- -------- ----
Hong Kong - - - - - - - -
Australia - - - - - - - -
Mainland China - - - - - - - -
Singapore - - - - - - - -
Middle East and
North
Africa 3.70 43.2 16.9 9.6 0.03 45.0 0.1 -
--------- --------- -------- ------ ------------ --------- -------- ----
North America - - - - - - - -
--------- --------- -------- ------ ------------ --------- -------- ----
US - - - - - - - -
Canada - - - - - - - -
Latin America - - - - - - - -
------------------- --------- --------- -------- ------ ------------ --------- -------- ----
Wholesale IRB foundation approach
Institutions Corporates
------------------------------------ --------------------------------------
At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted
average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn
----------------------- --------- --------- -------- ---- --------- --------- -------- ------
Europe 0.14 45.0 0.1 - 2.05 43.7 38.0 22.7
--------- --------- -------- ---- --------- --------- -------- ----
UK 0.13 45.0 - - 2.39 40.7 16.1 9.7
France - - - - 1.21 40.0 1.7 1.1
Asia - - - - - - - -
--------- --------- -------- ---- --------- --------- -------- ----
Hong Kong - - - - - - - -
Australia - - - - - - - -
Mainland China - - - - - - - -
Singapore - - - - - - - -
Middle East and North
Africa 0.07 45.0 0.6 0.2 3.86 43.1 16.2 9.4
--------- --------- -------- ---- --------- --------- -------- ----
North America - - - - - - - -
--------- --------- -------- ---- --------- --------- -------- ----
US - - - - - - - -
Canada - - - - - - - -
Latin America - - - - - - - -
----------------------- --------- --------- -------- ---- --------- --------- -------- ----
Table 70.c: PD, LGD, RWA and exposure by country/territory
- retail IRB approach
--------- --------- -------- ------
Retail IRB approach
Retail secured
by mortgages on
Retail secured by mortgages immovable property
All asset classes on immovable property non-SME SME
------------------------------------- ------------------------------------- --------------------------------------
At 31 Dec 2019 At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted weighted weighted
average average Exposure average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn % % $bn $bn
----------- --------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ------
Europe 1.56 28.1 234.7 30.4 1.05 15.3 152.9 7.9 6.38 34.5 2.6 1.5
--------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ----
UK 1.35 31.2 200.3 26.9 0.95 15.4 149.6 7.3 4.25 36.8 2.0 1.1
France 3.42 13.1 26.5 3.3 6.01 13.9 3.3 0.6 13.91 26.4 0.6 0.4
Asia 0.88 28.9 192.3 36.1 0.83 10.7 123.0 24.1 0.77 11.4 0.5 -
--------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ----
Hong Kong 0.76 33.7 150.4 31.7 0.59 10.0 85.8 19.9 0.77 11.4 0.5 -
Australia 0.89 10.0 18.8 1.1 0.89 10.0 18.8 1.1 - - - -
Mainland
China - - - - - - - - - - - -
Singapore 0.80 14.1 11.8 1.3 0.94 19.6 7.2 1.0 - - - -
Middle
East and
North
Africa - - - - - - - - - - - -
--------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ----
North
America 2.75 39.7 46.6 11.3 2.74 32.6 39.8 8.4 0.88 18.4 0.3 -
--------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ----
US 4.85 60.8 22.9 8.7 5.36 51.0 17.7 6.3 - - - -
Canada 0.72 19.3 23.8 2.6 0.64 17.8 22.1 2.1 0.88 18.4 0.3 -
Latin
America - - - - - - - - - - - -
----------- --------- --------- -------- ----- --------- --------- -------- ----- --------- --------- -------- ----
Retail IRB approach
Retail QRRE Other SME Other non-SME
------------------------------------ ------------------------------------ --------------------------------------
At 31 Dec 2019 At 31 Dec 2019 At 31 Dec 2019
Exposure- Exposure- Exposure- Exposure- Exposure- Exposure-
weighted weighted weighted weighted weighted weighted
average average Exposure average average Exposure average average Exposure
PD LGD value RWAs PD LGD value RWAs PD LGD value RWAs
% % $bn $bn % % $bn $bn % % $bn $bn
----------- --------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ------
Europe 1.69 79.3 34.9 7.6 9.93 66.8 5.8 4.5 1.86 26.7 38.6 8.9
--------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ----
UK 1.69 79.3 34.9 7.6 8.05 81.4 4.1 3.9 2.99 79.5 9.7 7.0
France 32.83 77.5 - - 14.53 31.3 1.7 0.6 1.83 11.2 20.9 1.7
Asia 1.02 96.7 40.7 9.1 0.28 26.9 0.1 - 0.86 10.6 27.9 2.9
--------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ----
Hong Kong 1.02 96.7 40.7 9.1 0.28 26.9 0.1 - 0.91 11.6 23.3 2.7
Australia - - - - - - - - - - - -
Mainland
China - - - - - - - - - - - -
Singapore - - - - - - - - 0.59 5.6 4.6 0.3
Middle
East and
North
Africa - - - - - - - - - - - -
--------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ----
North
America 2.64 91.7 4.7 2.1 3.31 51.2 0.3 0.2 3.39 67.0 1.6 0.6
--------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ----
US 2.65 93.6 4.4 1.9 - - - - 5.45 96.7 0.8 0.5
--------- --------- -------- ----
Canada 2.38 63.8 0.3 0.1 3.31 51.2 0.3 0.2 1.15 34.6 0.8 0.2
Latin
America - - - - - - - - - - - -
----------- --------- --------- -------- ---- --------- --------- -------- ---- --------- --------- -------- ----
Table 71: Retail IRB exposure - by internal PD band
At 31 Dec 2019 At 31 Dec 2018
Average Average
net carrying Undrawn net carrying Undrawn
PD range values(1) commitments values(1) commitments
% $bn $bn $bn $bn
Retail SME exposure secured
by mortgages on immovable
property 3.6 0.3 3.2 0.3
------------------------------------------- ------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 1.1 0.1 1.0 0.1
0.484 to
Band 2 1.022 0.7 0.1 0.6 0.1
1.023 to
Band 3 4.914 1.3 0.1 1.2 0.1
4.915 to
Band 4 8.860 0.3 - 0.2 -
8.861 to
Band 5 15.000 0.1 - 0.1 -
15.001 to
Band 6 50.000 - - - -
50.001 to
Band 7 100.000 0.1 - 0.1 -
------------------------------- ---------- ------------- ------------ ------------- ------------
Retail non-SME exposure
secured by mortgages on
immovable property 298.9 17.4 280.9 17.3
------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 252.0 15.8 234.9 15.5
0.484 to
Band 2 1.022 22.2 0.8 21.4 1.0
1.023 to
Band 3 4.914 18.7 0.7 17.7 0.7
4.915 to
Band 4 8.860 1.9 - 2.4 -
8.861 to
Band 5 15.000 0.6 0.1 0.5 -
15.001 to
Band 6 50.000 1.3 - 1.6 0.1
50.001 to
Band 7 100.000 2.2 - 2.4 -
------------------------------- ---------- ------------- ------------ ------------- ------------
Qualifying revolving retail
exposure 135.1 117.8 129.1 111.6
------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 107.1 101.9 102.7 95.0
0.484 to
Band 2 1.022 12.0 8.1 11.5 8.1
1.023 to
Band 3 4.914 13.0 6.7 12.3 7.5
4.915 to
Band 4 8.860 1.5 0.6 1.4 0.6
8.861 to
Band 5 15.000 0.6 0.2 0.5 0.2
15.001 to
Band 6 50.000 0.6 0.2 0.5 0.2
50.001 to
Band 7 100.000 0.3 0.1 0.2 -
------------------------------- ---------- ------------- ------------ ------------- ------------
Other retail SME exposure 7.8 4.3 8.7 3.8
------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 1.3 1.1 1.2 0.9
0.484 to
Band 2 1.022 1.2 0.9 1.4 0.9
1.023 to
Band 3 4.914 3.8 1.7 4.3 1.6
4.915 to
Band 4 8.860 0.8 0.3 1.0 0.2
8.861 to
Band 5 15.000 0.3 0.1 0.3 0.1
15.001 to
Band 6 50.000 0.3 0.1 0.3 0.1
50.001 to
Band 7 100.000 0.1 0.1 0.2 -
------------------------------- ---------- ------------- ------------ ------------- ------------
Other retail non-SME exposure 62.6 27.4 54.8 15.9
------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 39.4 22.7 34.1 12.4
0.484 to
Band 2 1.022 10.7 2.2 9.1 1.6
1.023 to
Band 3 4.914 10.4 2.4 9.6 1.7
4.915 to
Band 4 8.860 1.2 0.1 1.1 0.1
8.861 to
Band 5 15.000 0.4 - 0.4 -
15.001 to
Band 6 50.000 0.2 - 0.2 -
50.001 to
Band 7 100.000 0.3 - 0.3 0.1
------------------------------- ---------- ------------- ------------ ------------- ------------
Total retail exposure 508.0 167.3 476.7 149.0
------------- ------------ ------------- ------------
0.000 to
Band 1 0.483 400.9 141.7 373.9 124.0
0.484 to
Band 2 1.022 46.8 12.1 44.0 11.7
1.023 to
Band 3 4.914 47.2 11.6 45.1 11.6
4.915 to
Band 4 8.860 5.7 1.0 6.1 0.9
8.861 to
Band 5 15.000 2.0 0.4 1.8 0.3
15.001 to
Band 6 50.000 2.4 0.3 2.6 0.4
50.001 to
Band 7 100.000 3.0 0.2 3.2 0.1
------------------------------- ---------- ------------- ------------ ------------- ------------
1 Average net carrying values are calculated by aggregating the
net carrying values of the last five quarters and dividing by
five.
Table 72: IRB expected loss and CRAs - by exposure class
CRA
Charge
Expected for the
loss Balances year
$bn $bn $bn
--- --------------------------------------------- ---------- ---------- ----------
1 Total IRB approach
--- --------------------------------------------- ---------- ---------- ----------
2 Central governments and central banks 0.6 0.1 -
-------- -------- --------
3 Institutions - - -
-------- -------- --------
4 Corporates 5.5 4.3 1.0
--------------------------------------------- -------- -------- --------
5 Retail 2.6 2.0 1.1
-------- -------- --------
- secured by mortgages on immovable property
SME 0.1 0.1 -
- secured by mortgages on immovable property
non-SME 0.8 0.2 -
- qualifying revolving retail 0.9 1.0 0.6
- other SME 0.4 0.3 0.2
- other non-SME 0.4 0.4 0.3
-------- -------- --------
6 Total at 31 Dec 2019 8.7 6.4 2.1
--- --------------------------------------------- -------- -------- --------
1 Total IRB approach
--- --------------------------------------------- ---------- ---------- ----------
2 Central governments and central banks 0.1 0.1 -
3 Institutions - - -
4 Corporates 5.0 4.1 0.5
---------------------------------------------
5 Retail 2.4 1.8 0.9
- secured by mortgages on immovable property
SME 0.1 0.1 0.1
- secured by mortgages on immovable property
non-SME 0.8 0.3 -
- qualifying revolving retail 0.7 0.7 0.4
- other SME 0.4 0.3 0.2
- other non-SME 0.4 0.4 0.2
6 Total at 31 Dec 2018 7.5 6.0 1.4
--- --------------------------------------------- -------- -------- --------
1 Total IRB approach
--- --------------------------------------------- ---------- ---------- ----------
2 Central governments and central banks 0.1 - -
3 Institutions - - -
4 Corporates 5.3 4.2 0.7
---------------------------------------------
5 Retail 2.5 1.0 0.3
- secured by mortgages on immovable property
non-SME 0.8 0.3 -
- qualifying revolving retail 0.8 0.2 0.2
- other SME 0.5 0.3 -
- other non-SME 0.4 0.2 0.1
6 Total at 31 Dec 2017 7.9 5.2 1.0
--- --------------------------------------------- -------- -------- --------
Table 73: Credit risk RWAs - by geographical region
RWAs
North Latin
Europe Asia MENA America America Total
$bn $bn $bn $bn $bn $bn
IRB advanced approach 138.1 218.3 7.6 82.8 5.8 452.6
- central governments and central banks 4.1 15.9 6.0 4.9 5.4 36.3
- institutions 3.4 5.8 0.5 0.8 0.3 10.8
- corporates 100.2 160.5 1.1 65.8 0.1 327.7
- total retail 30.4 36.1 - 11.3 - 77.8
---------------------------------------------- ------ ----- ---- -------- -------- -----
IRB securitisation positions 3.5 0.2 - - - 3.7
IRB non-credit obligation assets 4.6 4.9 0.9 2.0 0.9 13.3
IRB foundation approach 22.7 - 9.6 - - 32.3
---------------------------------------------- ------ ----- ---- -------- -------- -----
- institutions - - 0.2 - - 0.2
- corporates 22.7 - 9.4 - - 32.1
------ ----- ---- -------- -------- -----
Standardised approach 39.4 68.5 29.9 13.7 23.2 174.7
- central governments and central banks 3.5 1.9 0.5 4.3 1.0 11.2
- regional governments or local authorities - - 0.9 - 0.7 1.6
- public sector entities - - - - - -
- institutions 0.1 0.1 0.6 - 0.1 0.9
- corporates 15.1 17.0 20.1 5.0 15.3 72.5
- retail 1.1 5.4 3.7 0.9 3.3 14.4
- secured by mortgages on immovable property 3.3 5.5 1.4 0.6 1.2 12.0
- exposures in default 0.8 0.5 1.9 0.3 0.6 4.1
- items associated with particularly high
risk 7.2 - 0.1 0.5 0.1 7.9
- securitisation positions 2.3 1.3 - 0.8 0.2 4.6
- claims in the form of CIU 0.4 - - - - 0.4
- equity 2.9 32.0 0.2 1.0 0.2 36.3
- other items 2.7 4.8 0.5 0.3 0.5 8.8
------ ----- ---- -------- -------- -----
Total at 31 Dec 2019 208.3 291.9 48.0 98.5 29.9 676.6
---------------------------------------------- ------ ----- ---- -------- -------- -----
IRB advanced approach 150.3 216.2 7.3 86.5 7.9 468.2
- central governments and central banks 4.2 15.1 5.0 5.4 7.2 36.9
- institutions 4.5 7.6 0.5 1.1 0.5 14.2
- corporates 113.2 162.0 1.8 67.9 0.2 345.1
- total retail 28.4 31.5 - 12.1 - 72.0
---------------------------------------------- ----- ----- ---- ----- ---- -----
IRB securitisation positions 5.6 0.2 - 0.5 - 6.3
----- ----- ---- ----- ---- -----
IRB non-credit obligation assets 3.5 4.7 0.6 1.3 0.7 10.8
IRB foundation approach 21.0 - 9.5 - - 30.5
---------------------------------------------- ----- ----- ---- ----- ---- -----
- institutions - - 0.2 - - 0.2
- corporates 21.0 - 9.3 - - 30.3
----- ----- ---- ----- ---- -----
Standardised approach 39.0 70.8 29.6 14.8 21.1 175.3
- central governments and central banks 3.6 1.7 0.6 5.4 1.2 12.5
- regional governments or local authorities - - 0.8 - 0.5 1.3
- public sector entities - - - - - -
- institutions 0.2 0.2 0.8 - - 1.2
- corporates 18.4 20.3 20.4 5.9 14.2 79.2
- retail 0.9 6.3 3.7 0.9 3.0 14.8
- secured by mortgages on immovable property 2.4 6.3 1.2 0.5 0.9 11.3
- exposures in default 1.0 0.5 1.4 0.3 0.6 3.8
- items associated with particularly high
risk 6.3 - 0.1 0.4 0.1 6.9
- securitisation positions 0.6 1.4 - - 0.1 2.1
- claims in the form of CIU 0.6 - - - - 0.6
- equity 2.8 30.6 0.2 1.1 0.3 35.0
- other items 2.2 3.5 0.4 0.3 0.2 6.6
---------------------------------------------- ----- ----- ---- ----- ---- -----
Total at 31 Dec 2018 219.4 291.9 47.0 103.1 29.7 691.1
---------------------------------------------- ----- ----- ---- ----- ---- -----
Table 74: Standardised exposure - by credit quality step
At 31 Dec 2019 At 31 Dec 2018
Original Exposure Original Exposure
exposure(1) value RWAs^ exposure(1) value RWAs^
$bn $bn $bn $bn $bn $bn
Central governments and central
banks
Credit quality step 1 171.3 180.5 158.0 166.3
Credit quality step 2 0.3 0.2 0.3 0.2
Credit quality step 3 0.4 0.4 0.4 0.5
Credit quality step 4 - - - -
--------------------------------- ------------ -------- ------------ --------
Credit quality step 5 - - - -
--------------------------------- ------------ --------
Credit quality step unrated 4.6 4.4 5.0 5.0
-------- ----- ------------ -------- -------
176.6 185.5 11.2 163.7 172.0 12.5
--------------------------------- ------------ -------- ----- ------------ -------- -----
Institutions
Credit quality step 1 0.3 0.4 0.4 0.4
Credit quality step 2 0.9 0.2 2.5 1.5
------------ --------
Credit quality step 3 0.7 0.6 - -
--------------------------------- ------------ --------
Credit quality step 4 - - 0.1 0.1
--------------------------------- ------------ --------
Credit quality step 5 0.1 0.1 - -
------------ --------
Credit quality step unrated 0.4 0.3 0.2 0.2
------------ -------- ----- ------------ -------- -------
2.4 1.6 0.9 3.2 2.2 1.2
--------------------------------- ------------ -------- ----- ------------ -------- -----
Corporates
Credit quality step 1 1.6 4.0 1.9 3.6
Credit quality step 2 3.7 2.7 5.2 3.4
Credit quality step 3 2.4 1.7 5.4 3.6
Credit quality step 4 2.6 1.8 2.2 1.6
Credit quality step 5 0.6 0.4 1.2 0.7
Credit quality step 6 0.6 0.3 0.2 0.1
Credit quality step unrated 148.9 65.9 163.9 71.1
------------ -------- ----- ------------ -------- -------
160.4 76.8 72.5 180.0 84.1 79.2
--------------------------------- ------------ -------- ----- ------------ -------- -----
1 Figures presented on an 'obligor basis'.
^ Figures have been prepared on an IFRS 9 transitional basis.
Table 75: Specialised lending on slotting approach (CR10)
On-balance Off-balance
sheet sheet Exposure Expected
amount amount Risk weight amount RWAs loss
------------------ --------------------
Regulatory
categories Remaining maturity $bn $bn % $bn $bn $bn
------------------ -------------------- ----------- ----------- -------- ---- --------
Category 1
- Strong Less than 2.5 years 15.6 2.6 50 16.7 8.4 -
------------------ -------------------- -----------
Equal to or more
than 2.5 years 11.5 2.3 70 12.5 8.7 0.1
Category 2
- Good Less than 2.5 years 3.6 0.3 70 3.7 2.6 -
------------------ --------------------
Equal to or more
than 2.5 years 2.0 0.8 90 2.3 2.1 -
Category 3
- Satisfactory Less than 2.5 years 0.5 - 115 0.5 0.5 -
------------------ --------------------
Equal to or more
than 2.5 years 0.1 - 115 0.1 0.1 -
Category 4
- Weak Less than 2.5 years 0.1 - 250 0.1 0.2 -
------------------ --------------------
Equal to or more
than 2.5 years - - 250 - - -
Category 5
- Default Less than 2.5 years 0.5 - - 0.8 - 0.4
------------------ -------------------- -----------
Equal to or more
than 2.5 years - - - 0.1 - -
---------- ----------- ----------- -------- ---- --------
Total at 31
Dec 2019 Less than 2.5 years 20.3 2.9 21.8 11.7 0.4
------------------ -------------------- ---------- ----------- ----------- -------- ---- --------
Equal to or more
than 2.5 years 13.6 3.1 15.0 10.9 0.1
---------- ----------- ----------- -------- ---- --------
Category 1
- Strong Less than 2.5 years 14.8 2.7 50 15.9 8.0 -
------------------ --------------------
Equal to or more
than 2.5 years 11.7 2.6 70 12.7 8.8 0.1
Category 2
- Good Less than 2.5 years 2.7 0.4 70 2.9 2.0 -
------------------
Equal to or more
than 2.5 years 2.0 0.5 90 2.2 2.0 -
Category 3
- Satisfactory Less than 2.5 years 0.4 - 115 0.4 0.5 -
------------------
Equal to or more
than 2.5 years 0.5 0.1 115 0.5 0.6 -
Category 4
- Weak Less than 2.5 years 0.1 - 250 0.1 0.1 -
------------------
Equal to or more
than 2.5 years - - 250 - 0.1 -
Category 5
- Default Less than 2.5 years 0.3 - - 0.5 - 0.2
------------------
Equal to or more
than 2.5 years 0.1 - - 0.1 - 0.1
---------- ----------- ----------- -------- ---- --------
Total at 31
Dec 2018 Less than 2.5 years 18.3 3.1 19.8 10.6 0.2
------------------ -------------------- ---------- ----------- ----------- -------- ---- --------
Equal to or more
than 2.5 years 14.3 3.2 15.5 11.5 0.2
--------------------------------------- ---------- ----------- ----------- -------- ---- --------
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions(^)
PD scale $bn $bn % $bn % % years $bn % $bn $bn
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- ---------------
AIRB -
Central
government
and
central banks
0.00 to <0.15 328.5 2.6 42.9 329.6 0.02 269 41.6 2.10 26.1 8 -
0.15 to <0.25 2.0 0.3 2.6 2.0 0.22 11 45.0 1.40 0.8 38 -
0.25 to <0.50 2.3 - 20.0 2.3 0.37 12 45.0 1.20 1.1 50 -
0.50 to <0.75 2.4 0.3 60.6 2.6 0.63 15 45.0 1.10 1.6 64 -
0.75 to <2.50 5.6 0.2 31.1 5.4 1.39 21 44.5 1.20 4.8 89 -
2.50 to
<10.00 0.5 0.2 0.2 0.1 7.58 8 7.8 3.30 - 31 -
10.00 to
<100.00 1.5 - - 1.5 75.00 5 45.0 1.00 1.9 130 0.6
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- ---------------
Sub-total 342.8 3.6 40.1 343.5 0.37 341 41.7 2.10 36.3 11 0.6 0.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
AIRB -
Institutions
0.00 to <0.15 56.7 9.9 32.4 59.6 0.05 2,520 37.1 1.40 7.9 13 -
-------------- ----------
0.15 to <0.25 2.9 1.2 27.4 3.3 0.22 290 33.7 1.00 1.0 30 -
0.25 to <0.50 1.3 0.3 56.5 1.5 0.37 145 41.3 1.10 0.7 48 -
0.50 to <0.75 0.8 0.1 3.8 0.8 0.63 102 45.0 1.40 0.6 82 -
0.75 to <2.50 0.8 0.6 28.6 0.9 1.14 177 28.3 2.10 0.5 59 -
2.50 to
<10.00 - - 36.7 0.1 3.60 25 45.3 0.90 0.1 125 -
10.00 to
<100.00 - 0.1 17.9 - 15.75 19 45.8 1.90 - 216 -
100.00
(Default) - - - - 100.00 1 45.8 1.00 - 10 -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- ---------------
Sub-total 62.5 12.2 32.0 66.2 0.09 3,279 37.0 1.40 10.8 16 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
AIRB -
Corporate
- Specialised
Lending
(excluding
Slotting)(1)
0.00 to <0.15 2.1 1.2 39.5 2.5 0.10 40 20.5 3.30 0.4 17 -
--------------
0.15 to <0.25 1.8 0.8 32.0 2.0 0.22 44 29.3 3.80 0.8 40 -
0.25 to <0.50 1.1 0.6 40.1 1.2 0.37 31 27.0 3.50 0.5 43 -
0.50 to <0.75 1.1 0.2 52.6 1.0 0.63 24 26.1 3.70 0.6 53 -
0.75 to <2.50 1.2 0.7 51.5 1.4 1.40 35 28.3 3.10 1.0 74 -
2.50 to
<10.00 0.6 - 69.2 0.5 4.51 13 25.3 3.30 0.4 85 -
10.00 to
<100.00 0.1 - 57.5 0.1 18.28 4 12.3 2.50 0.1 64 -
100.00
(Default) 0.2 0.1 66.2 0.2 100.00 12 19.5 4.50 0.3 129 -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- ---------------
Sub-total 8.2 3.6 41.8 8.9 3.45 203 25.4 3.50 4.1 46 - 0.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
AIRB -
Corporate
- Other
0.00 to <0.15 107.4 171.5 36.0 212.1 0.08 10,842 40.7 2.10 45.5 21 0.1
--------------
0.15 to <0.25 50.0 64.0 36.4 83.8 0.22 9,967 38.8 2.00 32.2 38 0.1
0.25 to <0.50 55.4 51.0 32.9 75.3 0.37 11,148 36.6 2.10 35.3 47 0.1
0.50 to <0.75 54.1 40.5 31.6 63.2 0.63 10,296 35.0 2.00 35.7 57 0.1
0.75 to <2.50 142.5 101.3 30.0 132.2 1.36 41,384 37.0 1.90 103.4 78 0.7
2.50 to
<10.00 34.7 25.8 33.0 32.7 4.31 11,505 38.7 1.90 38.8 119 0.6
10.00 to
<100.00 5.0 3.7 39.1 4.9 17.34 1,812 33.1 1.90 7.6 156 0.3
100.00
(Default) 4.2 0.6 35.8 4.4 100.00 2,246 46.1 1.80 2.5 57 2.4
--------------
Sub-total 453.3 458.4 34.1 608.6 1.56 99,200 38.4 2.00 301.0 49 4.4 3.4
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
Wholesale
AIRB
- Total at
31
Dec 2019(2) 929.2 477.8 34.2 1,089.6 1.09 103,023 39.3 2.00 365.5 34 5.0 3.6
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
(continued)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions^
PD scale $bn $bn % $bn % % years $bn % $bn $bn
---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -------------
AIRB -
Secured
by
mortgages
on
immovable
property
SME
0.00 to
<0.15 0.4 - 46.0 0.3 0.06 1,196 11.8 - - 4 -
0.15 to
<0.25 0.1 - 36.2 0.1 0.21 2,192 32.7 - - 13 -
0.25 to
<0.50 0.6 - 41.6 0.6 0.35 6,785 27.0 - 0.1 15 -
0.50 to
<0.75 0.3 0.1 38.7 0.4 0.62 5,423 33.1 - 0.1 27 -
0.75 to
<2.50 1.0 0.2 37.8 1.0 1.44 13,167 33.6 - 0.5 48 -
2.50 to
<10.00 0.7 0.1 38.4 0.8 4.54 7,098 30.8 - 0.6 81 -
10.00 to
<100.00 0.1 - 37.9 0.1 17.47 1,117 31.1 - 0.1 135 -
100.00
(Default) 0.1 - 66.0 0.1 100.00 1,042 33.8 - 0.1 85 0.1
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --------
Sub-total 3.3 0.4 38.9 3.4 5.03 38,020 29.5 - 1.5 45 0.1 0.1
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
AIRB -
Secured
by
mortgages
on
immovable
property
non-SME
0.00 to
<0.15 191.2 11.1 88.0 204.8 0.07 1,110,935 15.7 - 14.8 7 -
0.15 to
<0.25 33.4 1.7 88.4 35.1 0.21 136,145 16.2 - 4.6 13 -
0.25 to
<0.50 27.3 3.0 40.4 28.7 0.35 126,980 17.2 - 5.2 18 -
0.50 to
<0.75 14.1 0.4 91.6 14.6 0.59 56,837 14.9 - 2.8 19 -
0.75 to
<2.50 21.1 1.0 76.6 22.0 1.36 99,412 13.1 - 5.9 27 0.1
2.50 to
<10.00 6.1 0.1 97.0 6.3 4.42 27,562 11.3 - 2.4 38 -
10.00 to
<100.00 1.8 0.1 99.3 1.9 23.22 16,032 20.1 - 2.4 129 0.1
100.00
(Default) 2.3 - 77.9 2.3 100.00 17,845 23.8 - 2.3 98 0.6
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --------
Sub-total 297.3 17.4 79.3 315.7 1.18 1,591,748 15.7 - 40.4 13 0.8 0.2
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
AIRB -
Qualifying
revolving
retail
exposures
0.00 to
<0.15 5.8 72.5 49.4 41.4 0.06 13,492,492 89.4 - 1.8 4 -
0.15 to
<0.25 1.3 15.7 49.0 8.9 0.20 2,827,957 92.5 - 1.0 11 -
0.25 to
<0.50 2.5 14.2 41.9 8.4 0.36 2,155,649 90.3 - 1.5 18 -
0.50 to
<0.75 2.9 5.3 48.2 5.4 0.61 1,012,194 87.4 - 1.4 26 -
0.75 to
<2.50 6.1 7.8 47.9 9.8 1.43 1,894,368 86.0 - 4.7 48 0.1
2.50 to
<10.00 3.7 1.8 63.8 4.8 4.91 887,239 84.2 - 5.3 111 0.2
10.00 to
<100.00 1.0 0.4 65.2 1.2 30.09 315,052 84.3 - 2.6 209 0.4
100.00
(Default) 0.3 - 25.3 0.3 100.00 151,301 77.9 - 0.5 195 0.2
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --------
Sub-total 23.6 117.7 48.5 80.2 1.40 22,736,252 88.8 - 18.8 23 0.9 1.0
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
AIRB -
Other
SME
0.00 to
<0.15 0.1 0.4 31.5 0.2 0.09 99,557 73.9 - - 14 -
0.15 to
<0.25 - 0.3 37.6 0.1 0.23 76,713 85.0 - - 31 -
0.25 to
<0.50 0.2 0.5 48.4 0.4 0.38 135,359 76.5 - 0.2 40 -
0.50 to
<0.75 0.2 0.5 58.2 0.5 0.64 126,958 67.2 - 0.2 46 -
0.75 to
<2.50 1.1 1.2 54.9 1.7 1.60 327,051 68.3 - 1.2 69 -
2.50 to
<10.00 1.7 1.1 49.6 2.5 4.85 183,343 59.7 - 1.9 80 0.1
10.00 to
<100.00 0.4 0.1 61.3 0.5 20.11 75,895 76.8 - 0.7 141 0.1
100.00
(Default) 0.3 0.1 77.9 0.3 100.00 19,210 44.3 - 0.5 138 0.2
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --------
Sub-total 4.0 4.2 50.3 6.2 9.41 1,044,086 65.3 - 4.7 76 0.4 0.3
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
AIRB -
Other
non-SME
0.00 to
<0.15 15.1 14.7 15.8 17.7 0.07 675,819 12.5 - 0.7 4 -
0.15 to
<0.25 8.1 3.7 39.7 9.9 0.20 529,201 24.7 - 1.2 12 -
0.25 to
<0.50 12.2 4.4 24.8 13.5 0.37 459,987 19.0 - 1.6 13 -
0.50 to
<0.75 7.9 1.8 22.8 8.4 0.62 246,120 22.6 - 1.7 20 -
0.75 to
<2.50 13.2 1.7 9.7 13.5 1.31 490,546 24.9 - 4.1 30 -
2.50 to
<10.00 3.5 1.1 23.7 3.9 4.27 238,724 34.0 - 2.0 52 0.1
10.00 to
<100.00 0.8 - 16.4 0.9 23.85 96,236 42.5 - 0.7 86 0.1
100.00
(Default) 0.3 - 59.5 0.3 100.00 36,471 48.4 - 0.4 114 0.2
Sub-total 61.1 27.4 20.9 68.1 1.48 2,773,104 21.0 - 12.4 18 0.4 0.4
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
Retail AIRB
-
Total at 31
Dec
2019 389.3 167.1 47.3 473.6 1.40 28,183,210 29.6 - 77.8 16 2.6 2.0
------------ ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- -------- -----------
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
(continued)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions(^)
PD scale $bn $bn % $bn % % years $bn % $bn $bn
FIRB -
Central
government
and
central banks
0.00 to <0.15 - - 75.0 0.1 0.03 1 45.0 3.60 - 20 -
0.15 to <0.25 - - - - - - - - - - -
0.25 to <0.50 - - - - - - - - - - -
0.50 to <0.75 - - - - - - - - - - -
0.75 to <2.50 - - - - - - - - - - -
2.50 to
<10.00 - - - - - - - - - - -
10.00 to
<100.00 - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- ---------------
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --------
Sub-total - - 75.0 0.1 0.03 1 45.0 3.60 - 20 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- -------------
FIRB -
Institutions
0.00 to <0.15 0.7 - 29.3 0.6 0.08 2 45.0 2.70 0.2 25 -
0.15 to <0.25 - - 40.9 - 0.22 1 45.0 2.40 - 48 -
0.25 to <0.50 - - 16.9 - 0.37 1 45.0 0.10 - 36 -
0.50 to <0.75 - - - - - - - - - - -
0.75 to <2.50 - - - - - - - - - - -
2.50 to
<10.00 - - - - - - - - - - -
10.00 to
<100.00 - - - - - - - - - - -
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- ---------------
Sub-total 0.7 - 31.3 0.6 0.08 4 45.0 2.70 0.2 26 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- -------------
FIRB -
Corporate
- Other
0.00 to <0.15 10.2 15.5 38.5 17.0 0.08 1,357 44.1 2.10 4.1 24 -
0.15 to <0.25 4.8 6.5 39.9 7.0 0.22 1,431 43.8 2.40 3.3 47 -
0.25 to <0.50 4.6 5.8 28.4 6.1 0.37 1,905 42.8 1.90 3.5 56 -
0.50 to <0.75 4.5 6.8 33.7 6.7 0.63 1,676 39.0 1.60 4.2 63 -
0.75 to <2.50 10.7 10.0 21.4 12.1 1.32 5,329 43.1 1.60 10.8 89 0.1
2.50 to
<10.00 3.7 2.9 20.6 3.7 4.60 1,239 42.4 1.60 4.9 133 0.1
10.00 to
<100.00 0.6 0.5 21.4 0.7 13.62 186 43.7 1.40 1.3 197 -
100.00
(Default) 0.8 0.2 20.7 0.9 100.00 435 43.7 2.10 - - 0.4
Sub-total 39.9 48.2 32.1 54.2 2.59 13,558 42.9 1.90 32.1 59 0.6 0.5
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- -------------
FIRB - Total
at 31 Dec
2019 40.6 48.2 32.1 54.9 2.55 13,563 43.0 1.90 32.3 59 0.6 0.5
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- -------- -------------
^ Figures have been prepared on an IFRS 9 transitional basis.
1 Slotting exposures are disclosed in Table 75: Specialised lending on slotting approach (CR10).
2 The Wholesale AIRB Total includes non-credit obligation assets
amounting to $62.4 bn of original exposure and EAD, and $13.3bn of
RWAs.
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
(continued)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions
PD scale $bn $bn % $bn % % years $bn % $bn $bn
AIRB -
Central
government
and
central banks
0.00 to <0.15 313.5 2.7 52.6 315.6 0.02 258 42.4 2.10 26.0 8 -
0.15 to <0.25 2.5 - 18.2 2.5 0.22 10 45.0 1.80 1.1 42 -
0.25 to <0.50 2.1 - 98.9 2.3 0.37 14 45.1 1.30 1.1 50 -
0.50 to <0.75 3.3 0.2 78.3 3.4 0.63 16 45.0 1.10 2.2 64 -
0.75 to <2.50 6.8 0.2 70.8 6.6 1.72 22 45.0 1.20 6.4 97 0.1
2.50 to
<10.00 0.4 0.1 41.0 - 7.49 9 45.1 4.60 0.1 210 -
10.00 to
<100.00 - - - - - - - - - - -
---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --------
Sub-total 328.6 3.2 55.0 330.4 0.06 329 42.5 2.10 36.9 11 0.1 0.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -----------
AIRB -
Institutions
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
0.00 to <0.15 60.7 9.7 39.3 65.0 0.05 2,574 39.5 1.40 9.3 14 -
0.15 to <0.25 3.1 0.7 22.0 3.3 0.22 323 44.7 0.90 1.2 37 -
0.25 to <0.50 2.6 0.3 59.1 2.2 0.37 182 41.5 1.20 1.1 52 -
0.50 to <0.75 1.4 0.2 45.8 1.4 0.63 140 41.5 1.30 1.1 74 -
0.75 to <2.50 1.2 0.5 50.6 1.5 1.10 242 45.1 1.20 1.4 96 -
2.50 to
<10.00 0.1 - 24.7 - 6.19 22 46.4 0.80 - 169 -
---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
10.00 to
<100.00 - 0.1 25.6 - 13.00 17 55.0 1.00 0.1 253 -
---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --------
100.00
(Default) - - - - 100.00 1 64.8 1.00 - 807 -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
Sub-total 69.1 11.5 39.2 73.4 0.11 3,501 39.9 1.40 14.2 19 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -----------
AIRB -
Corporate
- Specialised
Lending
(excluding
Slotting)(1)
-------------- ---------- ----------- ------- -------- ------- -------- ------- --------
0.00 to <0.15 1.8 1.3 38.0 2.1 0.10 409 30.4 3.40 0.6 27 -
0.15 to <0.25 1.9 0.4 33.4 2.0 0.22 418 28.6 3.40 0.7 37 -
0.25 to <0.50 0.6 0.3 35.8 0.7 0.37 188 28.9 4.40 0.4 55 -
0.50 to <0.75 1.3 0.2 34.4 1.0 0.63 261 24.5 3.50 0.5 51 -
0.75 to <2.50 1.2 0.5 49.7 1.5 1.38 397 32.1 3.80 1.3 91 -
2.50 to
<10.00 0.6 0.1 51.1 0.5 5.34 136 27.4 3.20 0.5 101 -
10.00 to
<100.00 0.3 0.1 48.1 0.3 24.05 73 23.2 3.40 0.4 130 -
100.00
(Default) 0.1 0.1 87.5 0.2 100.00 105 37.9 4.80 0.5 258 0.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -------------
Sub-total 7.8 3.0 41.3 8.3 3.68 1,987 29.1 3.60 4.9 59 0.1 0.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -----------
AIRB -
Corporate
- Other
-------------- -------
0.00 to <0.15 109.3 160.4 38.0 212.4 0.08 10,036 41.1 2.20 48.2 23 0.1
0.15 to <0.25 49.8 62.5 37.6 81.1 0.22 10,191 39.1 2.00 31.2 38 0.1
0.25 to <0.50 51.1 54.7 33.9 73.3 0.37 10,304 37.3 2.10 35.4 48 0.1
0.50 to <0.75 56.9 42.1 33.8 69.9 0.63 10,348 34.3 1.90 39.5 57 0.2
0.75 to <2.50 146.2 102.1 32.2 137.6 1.37 42,602 37.6 2.00 111.3 81 0.7
2.50 to
<10.00 30.5 23.2 35.7 29.8 4.10 11,510 38.0 2.00 34.3 115 0.5
10.00 to
<100.00 5.1 3.3 43.0 4.5 19.20 1,967 38.6 2.00 8.3 185 0.3
100.00
(Default) 4.2 0.9 46.6 4.5 100.00 2,473 46.0 1.90 9.9 221 1.9
--------------
Sub-total 453.1 449.2 35.9 613.1 1.55 99,431 38.7 2.10 318.1 52 3.9 3.1
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- -------- -----------
Wholesale AIRB
- Total at 31
Dec 2018(2) 915.5 466.9 36.1 1,082.1 0.98 105,248 39.9 2.00 384.9 37 4.1 3.3
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
(continued)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions
PD scale $bn $bn % $bn % % years $bn % $bn $bn
AIRB -
Secured
by
mortgages
on
immovable
property
SME
0.00 to
<0.15 0.3 - 31.4 0.3 0.08 1,321 16.2 - - 4 -
0.15 to
<0.25 0.2 - 39.8 0.2 0.21 2,557 29.5 - - 12 -
0.25 to
<0.50 0.4 0.1 35.2 0.4 0.36 6,478 28.8 - 0.1 16 -
0.50 to
<0.75 0.3 0.1 44.5 0.3 0.61 5,000 32.2 - 0.1 27 -
0.75 to
<2.50 0.9 0.2 33.8 1.0 1.47 13,728 35.2 - 0.5 51 -
2.50 to
<10.00 0.8 0.1 40.2 0.9 4.57 7,963 31.2 - 0.7 82 -
10.00 to
<100.00 0.1 - 39.8 0.1 17.19 1,312 31.6 - 0.1 138 -
100.00
(Default) 0.1 - 55.7 0.1 100.00 1,266 33.9 - 0.3 227 0.1
------------ ---------- ----------- ------- -------- ---------- ------- -------- -------- -------------
Sub-total 3.1 0.5 37.5 3.3 5.78 39,625 30.8 - 1.8 54 0.1 0.1
------------ ---------- ----------- -------- ---------- -------- -------- -----------
AIRB -
Secured
by
mortgages
on
immovable
property
non-SME
------------
0.00 to
<0.15 172.1 11.4 89.8 185.9 0.06 1,066,724 15.4 - 12.4 7 -
0.15 to
<0.25 27.7 1.3 81.6 28.9 0.20 122,304 15.7 - 3.6 13 -
0.25 to
<0.50 24.5 2.9 43.8 25.8 0.35 117,856 17.4 - 4.6 18 -
0.50 to
<0.75 10.5 0.3 92.3 10.9 0.58 51,235 11.2 - 1.8 16 -
0.75 to
<2.50 23.8 1.2 79.7 24.9 1.26 105,656 18.1 - 7.5 30 0.1
2.50 to
<10.00 5.8 0.2 96.7 6.0 4.51 27,556 11.7 - 2.3 39 -
10.00 to
<100.00 2.1 0.1 97.4 2.2 25.15 18,895 21.1 - 3.0 138 0.1
100.00
(Default) 2.3 - 76.1 2.3 100.00 18,777 24.6 - 2.0 89 0.6
------------ ---------- ----------- ------- -------- ---------- ------- -------- -------- -------------
Sub-total 268.8 17.4 81.0 286.9 1.31 1,529,003 15.7 - 37.2 13 0.8 0.3
------------ ---------- ----------- -------- ---------- -------- -------- -----------
AIRB -
Qualifying
revolving
retail
exposures
------------
0.00 to
<0.15 5.4 70.8 49.3 40.1 0.07 13,591,739 91.3 - 1.8 4 -
0.15 to
<0.25 1.4 12.5 47.9 7.3 0.21 2,415,087 93.5 - 0.8 11 -
0.25 to
<0.50 2.2 12.1 43.1 7.4 0.36 1,989,811 92.3 - 1.3 18 -
0.50 to
<0.75 2.2 5.0 48.8 4.6 0.61 987,590 92.1 - 1.2 26 -
0.75 to
<2.50 5.9 9.0 46.5 10.1 1.42 2,052,818 90.0 - 4.8 48 0.1
2.50 to
<10.00 3.2 1.8 62.0 4.3 4.74 890,646 89.0 - 4.8 112 0.2
10.00 to
<100.00 0.9 0.3 66.5 1.1 28.46 294,570 89.4 - 2.4 216 0.3
100.00
(Default) 0.1 - 22.8 0.1 100.00 72,485 79.6 - 0.2 160 0.1
------------ ---------- ----------- ------- -------- ---------- ------- -------- -------- -------------
Sub-total 21.3 111.5 48.5 75.0 1.17 22,294,746 91.3 - 17.3 23 0.7 0.7
------------ ---------- ----------- -------- ---------- -------- -------- -----------
AIRB -
Other
SME
------------ ---------- ----------- -------- ---------- -------- -------- -------------
0.00 to
<0.15 0.1 0.3 35.0 0.2 0.09 98,383 75.0 - - 14 -
0.15 to
<0.25 - 0.2 38.3 0.1 0.22 72,510 80.8 - - 29 -
0.25 to
<0.50 0.1 0.4 48.7 0.3 0.38 124,508 74.4 - 0.1 39 -
0.50 to
<0.75 0.2 0.5 63.4 0.5 0.63 155,864 68.4 - 0.2 46 -
0.75 to
<2.50 1.1 1.2 58.7 1.8 1.60 358,362 66.9 - 1.3 67 -
2.50 to
<10.00 1.8 1.0 69.1 2.6 4.87 181,027 59.5 - 2.1 80 0.1
10.00 to
<100.00 0.4 0.2 48.6 0.5 19.39 79,791 73.9 - 0.6 133 0.1
100.00
(Default) 0.3 - 96.8 0.3 100.00 15,015 38.7 - 0.5 160 0.2
------------ ---------- ----------- ------- -------- ---------- ------- -------- -------- -------------
Sub-total 4.0 3.8 57.8 6.3 9.05 1,085,460 64.1 - 4.8 76 0.4 0.3
------------ ---------- ----------- -------- ---------- -------- -------- -----------
AIRB -
Other
non-SME
------------
0.00 to
<0.15 8.1 6.3 30.7 10.6 0.08 574,137 18.7 - 0.6 5 -
0.15 to
<0.25 6.5 3.5 36.4 8.1 0.21 491,674 27.8 - 1.1 13 -
0.25 to
<0.50 6.6 2.6 28.4 7.5 0.37 386,099 30.4 - 1.5 20 -
0.50 to
<0.75 4.9 1.4 24.9 5.3 0.60 196,811 28.2 - 1.2 24 -
0.75 to
<2.50 7.9 0.9 17.1 8.2 1.35 421,600 35.4 - 3.5 43 -
2.50 to
<10.00 3.8 1.1 23.0 4.1 4.39 246,174 32.8 - 2.1 51 0.1
10.00 to
<100.00 0.6 0.1 15.7 0.7 25.06 92,869 45.5 - 0.6 92 0.1
100.00
(Default) 0.3 0.1 7.7 0.3 100.00 40,274 43.9 - 0.3 103 0.2
------------
Sub-total 38.7 16.0 29.6 44.8 1.91 2,449,638 28.3 - 10.9 24 0.4 0.4
------------ ---------- ----------- ------- -------- ---------- ------- -------- -------- -----------
Retail AIRB
-
Total at 31
Dec
2018 335.9 149.2 50.5 416.3 1.50 27,398,472 31.5 - 72.0 17 2.4 1.8
Table 76: IRB - Credit risk exposures by portfolio and PD range (CR6)
(continued)
Original
on-balance Off-balance EAD Value
sheet sheet post-CRM Number adjustments
gross exposures Average and Average of Average Average RWA Expected and
exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWAs density loss provisions
PD scale $bn $bn % $bn % % years $bn % $bn $bn
FIRB -
Central
government
and
central banks
0.00 to <0.15 - - - 0.1 0.03 1 45.0 4.60 - 25 -
0.15 to <0.25 - - - - - - - - - - -
0.25 to <0.50 - - - - - - - - - - -
0.50 to <0.75 - - - - - - - - - - -
0.75 to <2.50 - - - - - - - - - - -
2.50 to
<10.00 - - - - - - - - - - -
10.00 to
<100.00 - - - - - - - - - - -
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ------- -------- -------------
Sub-total - - - 0.1 0.03 1 45.0 4.60 - 25 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ------- -------- -----------
FIRB -
Institutions
-------------- -------
0.00 to <0.15 0.5 - 23.5 0.6 0.10 2 45.0 2.70 0.2 33 -
0.15 to <0.25 - - 63.3 0.1 0.22 1 45.0 3.60 - 60 -
0.25 to <0.50 - - 1.1 - 0.37 1 45.0 0.10 - 36 -
0.50 to <0.75 - - - - - - - - - - -
0.75 to <2.50 - - - - - - - - - - -
2.50 to
<10.00 - - - - - - - - - - -
10.00 to
<100.00 - - - - - - - - - - -
100.00
(Default) - - - - - - - - - - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ------- -------- -------------
Sub-total 0.5 - 40.6 0.7 0.12 4 45.0 2.80 0.2 35 - -
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ------- -------- -----------
FIRB -
Corporate
- Other
-------------- -------
0.00 to <0.15 9.9 13.5 46.4 16.3 0.08 1,186 44.5 2.20 4.0 24 -
0.15 to <0.25 3.5 5.9 33.5 5.4 0.22 1,269 44.4 2.30 2.5 47 -
0.25 to <0.50 4.0 4.8 33.1 5.4 0.37 1,594 44.1 1.70 3.0 55 -
0.50 to <0.75 4.8 5.6 29.9 6.0 0.63 1,573 45.5 1.80 4.4 74 -
0.75 to <2.50 9.5 10.1 22.5 11.5 1.37 4,387 43.9 1.70 10.8 93 0.1
2.50 to
<10.00 3.0 2.1 22.8 3.2 4.59 1,050 43.4 1.80 4.4 140 0.1
10.00 to
<100.00 0.5 0.2 37.3 0.6 17.09 166 44.3 1.70 1.2 207 -
100.00
(Default) 0.8 0.2 23.3 0.9 100.00 348 44.4 1.90 - - 0.4
Sub-total 36.0 42.4 33.9 49.3 2.72 11,573 44.4 1.90 30.3 61 0.6 0.5
-------------- ---------- ----------- ------- -------- ------- -------- ------- -------- -------- -----------
FIRB - Total
at 31 Dec
2018 36.5 42.4 33.9 50.1 2.67 11,578 44.4 1.90 30.5 61 0.6 0.5
---------- ----------- ------- -------- ------- -------- ------- -------- ------- -------- -----------
1 Slotting exposures are disclosed in Table 75: Specialised lending on slotting approach (CR10).
2 The Wholesale AIRB Total includes non-credit obligation assets
amounting to $56.9bn of original exposure and EAD, and $10.8bn of
RWAs.
Counterparty credit risk
Table 77: Counterparty credit risk - RWAs by exposure class, product
and geographical region
RWAs
North Latin Capital
Europe Asia MENA America America Total required
Footnotes $bn $bn $bn $bn $bn $bn $bn
By exposure class
IRB advanced approach 20.3 7.3 0.5 6.0 0.3 34.4 2.7
- central governments and
central banks 0.4 0.1 0.2 0.1 0.1 0.9 0.1
- institutions 7.9 2.2 0.1 1.0 0.2 11.4 0.9
- corporates 12.0 5.0 0.2 4.9 - 22.1 1.7
------ ---- ---- -------- -------- ----- ---------
IRB foundation approach 2.0 - 0.2 - - 2.2 0.2
- corporates 2.0 - 0.2 - - 2.2 0.2
---------
Standardised approach 0.3 0.6 0.4 - 1.1 2.4 0.2
- central governments and
central banks - - - - - - -
- institutions - - - - 0.1 0.1 -
- corporates 0.3 0.6 0.4 - 1.0 2.3 0.2
------ ---- ---- -------- -------- ----- ---------
CVA advanced 1 1.6 0.7 - 0.8 - 3.1 0.2
CVA standardised 1 0.2 - 0.2 0.2 0.3 0.9 0.1
------ ---- ---- -------- -------- ----- ---------
CCP standardised 0.7 0.1 - 0.3 - 1.1 0.1
------ ---- ---- -------- -------- ----- ---------
At 31 Dec 2019 25.1 8.7 1.3 7.3 1.7 44.1 3.5
------ ---- ---- -------- -------- ----- ---------
By product
Derivatives (OTC and exchange
traded derivatives) 17.1 5.9 0.8 4.6 1.2 29.6 2.4
------ ---- ---- -------- -------- ----- ---------
SFTs 5.0 1.0 0.3 1.5 0.2 8.0 0.6
------ ---- ---- -------- -------- ----- ---------
Other 2 0.8 1.0 - 0.1 - 1.9 0.2
------ ---- ---- -------- -------- ----- ---------
CVA advanced 1 1.6 0.7 - 0.8 - 3.1 0.2
------ ---- ---- -------- -------- ----- ---------
CVA standardised 1 0.2 - 0.2 0.2 0.3 0.9 0.1
------ ---- ---- -------- -------- ----- ---------
CCP default funds 3 0.4 0.1 - 0.1 - 0.6 -
------ ---- ---- -------- -------- ----- ---------
At 31 Dec 2019 25.1 8.7 1.3 7.3 1.7 44.1 3.5
------ ---- ---- -------- -------- ----- ---------
By exposure class
IRB advanced approach 21.7 7.2 0.4 6.7 0.4 36.4 3.0
- central governments and
central banks 0.5 0.1 0.3 0.8 0.2 1.9 0.2
- institutions 8.3 2.8 - 0.9 0.2 12.2 1.0
- corporates 12.9 4.3 0.1 5.0 - 22.3 1.8
IRB foundation approach 1.7 - 0.2 - - 1.9 0.1
- corporates 1.7 - 0.2 - - 1.9 0.1
Standardised approach 0.4 0.5 0.3 - 0.8 2.0 0.1
- central governments and
central banks - - - - - - -
- institutions - - - - 0.1 0.1 -
- corporates 0.4 0.5 0.3 - 0.7 1.9 0.1
CVA advanced 1 2.8 1.1 - 1.0 - 4.9 0.4
CVA standardised 1 0.1 0.3 0.1 0.3 0.2 1.0 0.1
CCP standardised 0.6 0.2 - 0.3 - 1.1 0.1
At 31 Dec 2018 27.3 9.3 1.0 8.3 1.4 47.3 3.8
By product
Derivatives (OTC and exchange
traded derivatives) 16.5 5.9 0.6 4.5 1.0 28.5 2.3
SFTs 6.8 0.6 0.3 2.4 0.2 10.3 0.8
Other 2 0.9 1.3 - - - 2.2 0.2
CVA advanced 1 2.8 1.1 - 1.0 - 4.9 0.4
CVA standardised 1 0.1 0.3 0.1 0.3 0.2 1.0 0.1
CCP default funds 3 0.2 0.1 - 0.1 - 0.4 -
At 31 Dec 2018 27.3 9.3 1.0 8.3 1.4 47.3 3.8
1 The RWA impact due to the CVA capital charge is calculated
based on the exposures under the IRB and standardised approaches.
No additional exposures are taken into account.
2 Includes free deliveries not deducted from regulatory capital.
3 Default fund contributions are cash balances posted to CCPs by
all members. These cash balances are not included in the total
reported exposure.
Table 78: IRB - CCR exposures by portfolio and PD scale (CCR4)
EAD Average Number Average Average RWA
post-CRM PD of obligors LGD maturity RWAs density
PD scale $bn % % years $bn %
AIRB - Central Government
and Central Banks
0.00 to <0.15 10.5 0.02 97 44.6 0.93 0.6 6
--------- ------- ------------ ------- --------- ---- --------
0.15 to <0.25 0.2 0.22 12 45.0 1.22 0.1 35
--------- ------- ------------ ------- --------- ---- --------
0.25 to <0.50 - 0.37 7 45.0 2.01 - 59
--------- ------- ------------ ------- --------- ---- --------
0.50 to <0.75 - 0.63 1 45.0 2.35 - 80
--------- ------- ------------ ------- --------- ---- --------
0.75 to <2.50 0.3 1.64 6 45.0 1.77 0.3 104
--------- ------- ------------ ------- --------- ---- --------
2.50 to <10.00 - 6.65 2 33.8 7.00 - 195
--------- ------- ------------ ------- --------- ---- --------
10.00 to <100.00 - - - - - - -
--------- ------- ------------ ------- --------- ---- --------
100.00 (Default) - - - - - - -
--------- ------- ------------ ------- --------- ---- --------
Sub-total 11.0 0.07 125 44.7 0.96 1.0 9
--------- ------- ------------ ------- --------- ---- --------
AIRB - Institutions
0.00 to <0.15 41.0 0.07 4,551 44.4 1.20 8.5 21
--------- ------- ------------ ------- --------- ---- --------
0.15 to <0.25 3.0 0.22 409 44.9 1.60 1.4 48
--------- ------- ------------ ------- --------- ---- --------
0.25 to <0.50 0.7 0.37 85 46.2 1.50 0.4 65
--------- ------- ------------ ------- --------- ---- --------
0.50 to <0.75 0.3 0.63 62 42.8 1.10 0.3 79
--------- ------- ------------ ------- --------- ---- --------
0.75 to <2.50 0.4 1.21 130 45.1 2.10 0.4 107
--------- ------- ------------ ------- --------- ---- --------
2.50 to <10.00 0.1 4.91 29 47.6 1.10 0.1 151
--------- ------- ------------ ------- --------- ---- --------
10.00 to <100.00 - 12.23 8 46.1 2.90 - 229
--------- ------- ------------ ------- --------- ---- --------
100.00 (Default) - 100.00 1 45.0 1.00 - 365
--------- ------- ------------ ------- --------- ---- --------
Sub-total 45.5 0.12 5,275 44.6 1.20 11.1 24
--------- ------- ------------ ------- --------- ---- --------
AIRB - Corporates
0.00 to <0.15 30.5 0.07 5,498 44.1 1.80 6.8 22
--------- ------- ------------ ------- --------- ---- --------
0.15 to <0.25 9.7 0.22 1,962 45.7 1.59 4.1 42
--------- ------- ------------ ------- --------- ---- --------
0.25 to <0.50 3.9 0.37 1,039 46.0 1.46 2.2 57
--------- ------- ------------ ------- --------- ---- --------
0.50 to <0.75 3.1 0.63 941 43.0 1.88 2.5 80
--------- ------- ------------ ------- --------- ---- --------
0.75 to <2.50 5.2 1.34 3,493 46.3 1.41 5.3 102
--------- ------- ------------ ------- --------- ---- --------
2.50 to <10.00 0.8 3.95 549 48.7 1.73 1.2 152
--------- ------- ------------ ------- --------- ---- --------
10.00 to <100.00 - 18.17 63 48.0 1.62 - 230
--------- ------- ------------ ------- --------- ---- --------
100.00 (Default) - 100.00 13 39.6 1.96 - -
--------- ------- ------------ ------- --------- ---- --------
Sub-total 53.2 0.37 13,558 44.7 1.70 22.1 42
--------- ------- ------------ ------- --------- ---- --------
AIRB - Retail Other
0.00 to <0.15 - 0.04 212 0.9 - - -
--------- ------- ------------ ------- --------- ---- --------
0.15 to <0.25 - 0.23 10 1.8 - - 1
--------- ------- ------------ ------- --------- ---- --------
0.25 to <0.50 - 0.38 52 2.2 - - 2
--------- ------- ------------ ------- --------- ---- --------
0.50 to <0.75 - 0.62 22 1.8 - - 2
--------- ------- ------------ ------- --------- ---- --------
0.75 to <2.50 - 1.24 22 1.5 - - 3
--------- ------- ------------ ------- --------- ---- --------
2.50 to <10.00 - 2.82 2 3.0 - - 4
--------- ------- ------------ ------- --------- ---- --------
10.00 to <100.00 - 96.57 1 83.6 - - 29
--------- ------- ------------ ------- --------- ---- --------
100.00 (Default) - - - - - - -
--------- ------- ------------ ------- --------- ---- --------
Sub-total - 0.64 321 1.6 - - 1
--------- ------- ------------ ------- --------- ---- --------
AIRB - Total at 31 Dec
2019 109.7 0.19 19,279 49.0 1.30 34.2 31
--------- ------- ------------ ------- --------- ---- --------
FIRB - Corporates
0.00 to <0.15 3.7 0.07 1,188 45.0 1.98 0.8 22
--------- ------- ------------ ------- --------- ---- --------
0.15 to <0.25 0.6 0.22 156 45.0 1.59 0.2 41
--------- ------- ------------ ------- --------- ---- --------
0.25 to <0.50 0.5 0.37 166 45.0 1.29 0.3 55
--------- ------- ------------ ------- --------- ---- --------
0.50 to <0.75 0.2 0.63 119 45.0 1.21 0.1 72
--------- ------- ------------ ------- --------- ---- --------
0.75 to <2.50 0.6 1.41 516 45.0 1.80 0.6 101
--------- ------- ------------ ------- --------- ---- --------
2.50 to <10.00 0.1 4.86 129 45.0 2.59 0.2 162
--------- ------- ------------ ------- --------- ---- --------
10.00 to <100.00 - 10.08 14 45.0 1.03 - 200
--------- ------- ------------ ------- --------- ---- --------
100.00 (Default) - 100.00 5 45.0 1.08 - -
--------- ------- ------------ ------- --------- ---- --------
FIRB - Total at 31 Dec
2019 5.7 0.44 2,293 45.0 1.85 2.2 39
Total (all portfolios)
at 31 Dec 2019 115.4 0.25 21,572 44.7 1.58 36.4 32
--------- ------- ------------ ------- --------- ---- --------
Table 78: IRB - CCR exposures by portfolio and PD scale (CCR4) (continued)
EAD Average Number Average Average RWA
post-CRM PD of obligors LGD maturity RWAs density
PD scale $bn % % years $bn %
AIRB - Central Government
and Central Banks
0.00 to <0.15 10.1 0.02 90 44.9 0.95 0.5 5
--------- -------- ------------ ------- --------- ----- --------
0.15 to <0.25 0.1 0.22 12 45.0 3.07 0.1 54
--------- -------- ------------ ------- --------- ----- --------
0.25 to <0.50 0.1 0.37 6 44.8 3.36 0.1 74
--------- -------- ------------ ------- --------- ----- --------
0.50 to <0.75 0.1 0.63 1 45.0 1.00 - 60
--------- -------- ------------ ------- --------- ----- --------
0.75 to <2.50 1.2 2.25 7 45.0 1.29 1.2 100
--------- -------- ------------ ------- --------- ----- --------
2.50 to <10.00 - 7.85 1 45.0 5.00 - 218
--------- -------- ------------ ------- --------- ----- --------
10.00 to <100.00 - - - - - - -
--------- -------- ------------ ------- --------- ----- --------
100.00 (Default) - - - - - - -
--------- -------- ------------ ------- --------- ----- --------
Sub-total 11.6 0.22 117 45.0 1.02 1.9 17
--------- -------- ------------ ------- --------- ----- --------
AIRB - Institutions
0.00 to <0.15 40.5 0.06 4,629 44.3 1.17 7.9 19
--------- -------- ------------ ------- --------- ----- --------
0.15 to <0.25 3.5 0.22 477 43.9 1.40 1.6 46
--------- -------- ------------ ------- --------- ----- --------
0.25 to <0.50 1.7 0.37 75 45.0 1.19 0.9 50
--------- -------- ------------ ------- --------- ----- --------
0.50 to <0.75 0.7 0.63 64 44.9 1.06 0.4 67
--------- -------- ------------ ------- --------- ----- --------
0.75 to <2.50 0.4 1.37 106 46.2 2.08 0.5 117
--------- -------- ------------ ------- --------- ----- --------
2.50 to <10.00 0.1 4.94 20 44.9 1.60 0.1 149
--------- -------- ------------ ------- --------- ----- --------
10.00 to <100.00 0.4 12.98 12 55.0 1.20 0.8 241
--------- -------- ------------ ------- --------- ----- --------
100.00 (Default) - 100.00 1 45.0 1.00 - -
--------- -------- ------------ ------- --------- ----- --------
Sub-total 47.3 0.21 5,384 44.7 1.18 12.2 26
--------- -------- ------------ ------- --------- ----- --------
AIRB - Corporates
0.00 to <0.15 30.2 0.07 4,934 43.5 1.71 6.4 21
--------- -------- ------------ ------- --------- ----- --------
0.15 to <0.25 6.7 0.22 1,796 46.9 1.75 3.2 48
--------- -------- ------------ ------- --------- ----- --------
0.25 to <0.50 3.8 0.37 1,029 44.6 1.69 2.1 56
--------- -------- ------------ ------- --------- ----- --------
0.50 to <0.75 3.8 0.63 1,018 43.8 1.23 2.8 73
--------- -------- ------------ ------- --------- ----- --------
0.75 to <2.50 6.3 1.34 7,375 46.1 1.38 6.6 104
--------- -------- ------------ ------- --------- ----- --------
2.50 to <10.00 0.7 3.92 569 46.9 1.62 1.1 150
--------- -------- ------------ ------- --------- ----- --------
10.00 to <100.00 0.1 21.77 61 43.6 1.34 0.1 237
--------- -------- ------------ ------- --------- ----- --------
100.00 (Default) - 100.00 17 41.1 2.60 - -
--------- -------- ------------ ------- --------- ----- --------
Sub-total 51.6 0.42 16,799 44.4 1.64 22.3 43
--------- -------- ------------ ------- --------- ----- --------
AIRB - Total at 31 Dec
2018 110.5 0.28 22,300 49.2 1.38 36.4 33
--------- -------- ------------ ------- --------- ----- --------
FIRB - Corporates
0.00 to <0.15 2.5 0.07 522 37.9 1.73 0.6 24
--------- -------- ------------ ------- --------- ----- --------
0.15 to <0.25 0.4 0.22 146 45.0 1.78 0.2 42
--------- -------- ------------ ------- --------- ----- --------
0.25 to <0.50 0.2 0.37 130 45.0 1.66 0.1 59
--------- -------- ------------ ------- --------- ----- --------
0.50 to <0.75 0.2 0.63 84 45.0 0.82 0.1 74
--------- -------- ------------ ------- --------- ----- --------
0.75 to <2.50 0.7 1.59 533 45.0 1.56 0.8 105
--------- -------- ------------ ------- --------- ----- --------
2.50 to <10.00 0.1 5.00 82 45.0 2.20 0.1 155
--------- -------- ------------ ------- --------- ----- --------
10.00 to <100.00 - 11.95 11 45.0 1.03 - 192
--------- -------- ------------ ------- --------- ----- --------
100.00 (Default) - 100.00 7 45.0 1.02 - -
--------- -------- ------------ ------- --------- ----- --------
FIRB - Total at 31 Dec
2018 4.1 0.54 1,515 45.0 1.82 1.9 45
--------- -------- ------------ ------- --------- ----- --------
Total (all portfolios)
at 31 Dec 2018 114.6 0.32 23,815 44.6 1.40 38.3 33
--------- -------- ------------ ------- --------- ----- --------
Appendix II
Countercyclical capital buffer
The table below discloses the geographical distribution of
credit exposures relevant to the calculation of the countercyclical
buffer under Article 440 of the Regulation (EU) 575/2013. Countries
or territories that have a CCyB requirement or have an own funds
requirement of greater than 0.7% or that are material in nature are
disclosed below.
Table 79: Geographical distribution of credit exposures relevant for
the calculation of the countercyclical capital buffer
General credit Trading Securitisation
exposures book exposures exposures Own funds requirements
Sum
of Share
long/short of which: of which: of total
positions General Trading of which: own
for Internal credit book Securitis-ation funds CCyB
SA IRB SA models SA IRB exposures exposures exposures Total require-ments rate
Country $m $m $m $m $m $m $m $m $m $m % %
Argentina 2,076 891 - 1 - - 234 1 - 235 0.5
---------- -------- -------------
Australia 1,279 34,400 - 133 593 2,007 834 12 20 866 1.7
---------- -------- -------------
Bulgaria 1 16 - 2 - - 1 - - 1 - 0.50%
---------- -------- -------------
Canada 780 63,475 - 65 185 - 1,930 4 2 1,936 3.7
---------- -------- -------------
China 23,925 62,450 - 2,083 385 34 5,570 55 7 5,632 10.8
---------- -------- -------------
Czech
Republic 376 177 - - - - 34 1 - 35 0.1 1.50%
---------- -------- -------------
Denmark 2 2,440 - 62 - - 46 6 - 52 0.1 1.00%
---------- -------- -------------
Egypt 2,369 1,155 - - - - 201 - - 201 0.4
---------- -------- -------------
France 6,446 56,575 - 324 480 1,083 1,857 19 17 1,893 3.6 0.25%
---------- -------- -------------
Germany 1,072 18,958 - 601 250 287 892 12 8 912 1.8
---------- -------- -------------
Hong Kong 22,237 358,306 - 375 - - 9,983 24 - 10,007 19.2 2.00%
---------- -------- -------------
India 3,656 14,961 - 1,295 1,251 - 939 45 80 1,064 2.0
---------- -------- -------------
Iceland - 3 - 4 - - - 3 - 3 - 1.75%
---------- -------- -------------
Indonesia 1,136 6,637 - 116 - - 507 14 - 521 1.0
---------- -------- -------------
Ireland 711 7,843 8 190 466 108 309 9 13 331 0.6 1.00%
---------- -------- -------------
Lithuania 2 2 - - - - - - - - - 1.00%
---------- -------- -------------
Luxembourg 1,389 6,110 - 121 200 - 373 6 6 385 0.7
---------- --------
Malaysia 3,449 13,244 1 6 - - 714 8 - 722 1.4
---------- --------
Malta 3,591 433 - - - - 166 - - 166 0.3
---------- --------
Mexico 21,964 3,041 45 132 777 - 1,536 9 17 1,562 3.0
---------- --------
Netherlands 2,223 9,579 - 444 948 617 578 11 25 614 1.2
---------- --------
Norway 4 1,895 - 1 - - 79 27 - 106 0.2 2.50%
---------- --------
Saudi Arabia 18,001 3,934 - 45 - - 1,329 12 - 1,341 2.6
---------- --------
Singapore 2,502 31,078 - 168 - - 935 14 - 949 1.8
---------- --------
Slovakia 70 36 - 1 - - 7 - - 7 - 1.50%
---------- -------- -------------
Sweden 5 1,614 - 114 - - 62 4 - 66 0.1 2.50%
---------- --------
Taiwan,
Province
Of China 1,498 12,834 - 168 - - 367 3 - 370 0.7
Turkey 4,303 1,004 - 24 - - 329 2 - 331 0.6
------- --------- ---------- -------- --------- --------- --------------- -------------
United Arab
Emirates 4,858 17,883 - 60 - - 879 14 - 893 1.7
United
Kingdom 11,151 361,417 - 2,916 5,087 13,934 9,805 96 321 10,222 19.6 1.00%
------- --------- ---------- -------- --------- --------- --------------- -------------
United
States 9,663 129,560 - 349 4,601 1,649 5,488 76 110 5,674 10.9
------- --------- ---------- -------- --------- --------- --------------- -------------
Other
countries 23,779 87,237 18 1,922 1,109 491 4,766 202 40 5,008 9.7
------- --------- ---------- -------- --------- --------- --------------- -------------
Total 174,518 1,309,188 72 11,722 16,332 20,210 50,750 689 666 52,105 100.00
------- --------- ---------- -------- --------- --------- --------------- -------------
Table 80: Countercyclical capital buffer
2019
Total Risk Exposure Amount ($m) 843,395
Institution specific countercyclical capital buffer rate 0.61%
Institution specific countercyclical capital buffer requirement
($m) 5,145
Appendix III
Asset encumbrance
Table 81: A - Assets(1)
Carrying amount Fair value Carrying amount Fair value
of encumbered of encumbered of unencumbered of unencumbered
assets assets assets assets
of which: of which:
notionally notionally
eligible eligible of which: of which:
EHQLA EHQLA EHQLA EHQLA
Total and HQLA Total and HQLA Total and HQLA Total and HQLA
$m $m $m $m $m $m $m $m
Assets of the
reporting
010 institution 184,780 89,788 2,431,667 508,154
Equity
030 instruments 21,394 6,225 - - 53,307 9,555 - -
040 Debt securities 92,917 83,563 92,781 83,441 434,933 335,877 429,779 331,896
* of which:
050 - covered bonds 407 404 407 404 8,651 8,617 8,651 8,617
- asset-backed
060 securities 340 - 340 - 4,917 - 4,941
- issued by
general
070 governments 72,234 71,317 72,234 71,317 257,347 231,365 257,090 231,134
- issued by
financial
080 corporations 7,948 1,178 7,948 1,178 94,890 15,080 94,845 15,080
- issued by
non-financial
090 corporations 1,880 214 1,880 214 14,481 4,761 14,168 4,658
120 Other assets 70,469 - 1,943,427 162,722
Table 81: B - Collateral received(1)
Unencumbered
Fair value of encumbered Fair value of collateral
collateral received received or own debt
or own debt securities securities issued
issued available for encumbrance
of which:
notionally
eligible Of which:
EHQLA and EHQLA and
Total HQLA Total HQLA
$m $m $m $m
Collateral received by the
130 reporting institution 269,782 216,763 244,994 147,920
140 Loans on demand - - 24 -
150 Equity instruments 23,675 8,811 16,624 6,284
160 Debt securities 245,440 207,952 206,899 141,636
- of which:
----
170 - covered bonds 6 - 25 -
----
180 - asset-backed securities 17,973 389 1,765
----
190 - issued by general governments 207,476 196,387 162,884 129,241
----
200 - issued by financial corporations 12,196 6,012 23,290 5,800
----
210 - issued by non-financial corporations 7,295 5,164 16,948 6,595
----
Loans and advances other than
220 loans on demand - - 14,222 -
----
230 Other collateral received 667 - 7,225 -
----
Own debt securities issued
other than own covered bonds
240 or ABSs - - - -
----
Own covered bonds and ABSs
241 issued and not yet pledged 8,913 -
----
Total assets, collateral received
250 and own debt securities issued 454,562 306,551
----
Table 81: C - Encumbered assets/collateral received and associated
liabilities(1)
Assets, collateral
received and own
debt securities
Matching liabilities, issued other than
contingent liabilities covered bonds and
or securities lent ABSs encumbered
$m $m
Carrying amount of selected financial
010 liabilities 256,771 375,413
1 The values in these tables are the average of quarterly data
points in the year.
Importance of encumbrance
We are a deposit-led bank and hence the majority of our funding
is from customer current accounts and customer savings deposits
payable on demand or at short notice. Given this structural
unsecured funding position, we have little requirement to fund
ourselves in secured markets, and therefore our overall low level
of encumbrance reflects this position. However, we do provide
collateralised financing services to clients as part of our
GB&M business model, providing cash financing or specific
securities, and these result in off-balance sheet encumbrance. The
other sources that contribute to encumbrance are securities pledged
in derivative transactions, mostly for hedging purposes, issuance
of asset-backed securities, and covered bond programmes. HSBC
Holdings ALCO reviews the asset encumbrance of the institution as a
whole quarterly and any events changing the asset encumbrance level
are examined.
For details on balance sheet encumbered and unencumbered assets,
please refer to table 67.
Appendix IV
Summary of disclosures withheld
448(a) Key assumptions (including Assumptions regarding fixed
assumptions regarding loan term loan repayments and term
prepayments and behaviour behaviouralisation of non-maturity
of non-maturity deposits) deposits and capital drive
on their exposure to interest HSBC's structural interest
rate risk on positions not rates positioning and market
included in the trading book. hedging requirements.
These assumptions are proprietary
and their disclosure could
give key business strategy
information to our competitors.
Other Information
Abbreviations
The following abbreviated terms are used throughout this
document.
Currencies
$ United States dollar
A
ABCP Asset-backed commercial
paper
ABS(1) Asset-backed security
AIRB(1) Advanced internal ratings
based approach
ALCM Asset, Liability and Capital
Management
ALCO Asset and Liability Management
Committee
AT1 capital Additional tier 1 capital
AVA Additional value adjustment
B
BCBS Basel Committee on Banking
Supervision
BoE Bank of England
BSM Balance Sheet Management
C
CCF Credit conversion factor
CCP(1) Central counterparty
CCR(1) Counterparty credit risk
CCyB(1) Countercyclical capital
buffer
CDS(1) Credit default swap
CET1(1) Common equity tier 1
CIU Collective investment undertakings
CRA Credit risk adjustment
CRD IV(1) Capital Requirements Regulation
and Directive
CRE(1) Commercial real estate
CRM(1) Credit risk mitigation/mitigant
CRR(1) Customer risk rating
CRR II Revised Capital Requirements
Regulation, as implemented
CRO Chief Risk Officer
CSA(1) Credit Support Annex
CVA(1) Credit valuation adjustment
D
D-SIB Domestic systemically important
bank
E
EAD(1) Exposure at default
EBA European Banking Authority
EC European Commission
ECA Export Credit Agency
ECAI External Credit Assessment
Institution
ECL(1) Expected credit losses
EEA European Economic Area
EL(1) Expected loss
EHQLA Extremely high-quality liquid
assets
EU European Union
F
FIRB(1) Foundation internal ratings
based approach
Fitch Fitch Ratings
FPC(1) Financial Policy Committee
(UK)
FRTB Fundamental Review of the
Trading book
FSB Financial Stability Board
FSVC Financial System Vulnerabilities
Committee
FVOCI(1) Fair value through other
comprehensive income
G
GAC Group Audit Committee
GB&M Global Banking and Markets,
a global business
GMB Group Management Board
GPB Global Private Banking,
a global business
GRC Group Risk Committee
Group HSBC Holdings together with
its subsidiary undertakings
G-SIB(1) Global systemically important
bank
G-SII Global systemically important
institution
H
HKMA Hong Kong Monetary Authority
Hong Kong The Hong Kong Special Administrative
Region of the People's Republic
of China
HQLA High-quality liquid assets
HSBC HSBC Holdings together with
its subsidiary undertakings
I
IAA Internal Assessment Approach
ICAAP(1) Internal Capital Adequacy
Assessment Process
ICG Individual capital guidance
ICR Individual capital requirement
IFRSs International Financial
Reporting Standards
ILAA Individual Liquidity Adequacy
Assessment
IMA(1) Internal Models Approach
IMM(1) Internal Model Method
IRB(1) Internal ratings based approach
IRRBB Interest rate risk in the
banking book
IRC Incremental risk charge
L
LCR(1) Liquidity Coverage Ratio
LFRF Liquidity and Funding Risk
Framework
LGD(1) Loss given default
Libor London interbank offered
rate
M
MDB Multilateral Development
Bank
MENA Middle East and North Africa
MOC Model Oversight Committee
Moody's Moody's Investor Service
MPE Multiple point of entry
MREL Minimum requirements for
own funds and eligible liabilities
MRM Model Risk Management
N
NCOA Non-credit obligation asset
NPL Non-performing loans
NSFR(1) Net Stable Funding Ratio
O
ORMF Operational risk management
framework
OTC(1) Over-the-counter
P
PD(1) Probability of default
PFE Potential future exposure
PIT Point-in-time
POCI Purchased or originated
credit impaired loans
PPE Property, plant and equipment
PRA(1) Prudential Regulation Authority
(UK)
PVA Prudent valuation adjustment
Q
QCCP Qualifying Central Counterparty
R
RAF Resolvability Assessment
Framework
RAS Risk appetite statement
RBM(1) Ratings Based Method
RBWM Retail Bank and Wealth Management,
a global business
Retail Retail internal ratings
IRB(1) based approach
RMM Risk Management Meeting
of the GMB
RNIV Risks not in VaR
RWA(1) Risk-weighted asset
S
SA/STD(1) Standardised approach
SA-CCR Standardised approach for
counterparty credit risk
S&P Standard and Poor's rating
agency
SFM Supervisory Formula Method
SFT Securities Financing Transactions
SIC Securities Investment Conduit
SME Small- and medium-sized
enterprise
SPE(1) Special Purpose Entity
SRB(1) Systemic Risk Buffer
SREP Supervisory Review and Evaluation
Process
SSFA/SFA Simplified supervisory formula
approach
SVaR Stressed Value at risk
T
TLAC(1) Total loss absorbing capital
TTC Through-the-cycle
T1 capital(1) Tier 1 capital
T2 capital(1) Tier 2 capital
U
UK United Kingdom
US United States
V
VaR(1) Value at risk
1 Full definition included in the Glossary published on HSBC website www.hsbc.com
Cautionary statement regarding forward-
looking statements
The
Pillar 3 Disclosures at 31 December
2019
contain certain forward-looking statements with respect to
HSBC's financial condition, results of operations, capital position
and business.
Statements that are not historical facts, including statements
about HSBC's beliefs and expectations, are forward-looking
statements. Words such as 'expects', 'targets', 'anticipates',
'intends', 'plans', 'believes', 'seeks', 'estimates', 'potential'
and 'reasonably possible', variations of these words and similar
expressions are intended to identify forward-looking statements.
These statements are based on current plans, estimates and
projections, and therefore undue reliance should not be placed on
them. Forward-looking statements speak only as of the date they are
made. HSBC makes no commitment to revise or update any
forward-looking statements to reflect events or circumstances
occurring or existing after the date of any forward-looking
statements.
Written and/or oral forward-looking statements may also be made
in the periodic reports to the US Securities and Exchange
Commission, summary financial statements to shareholders, proxy
statements, offering circulars and prospectuses, press releases and
other written materials, and in oral statements made by HSBC's
Directors, officers or employees to third parties, including
financial analysts.
Forward-looking statements involve inherent risks and
uncertainties. Readers are cautioned that a number of factors could
cause actual results to differ, in some instances materially, from
those anticipated or implied in any forward-looking statement.
These include, but are not limited to:
-- Changes in general economic conditions in the markets in
which we operate, such as continuing or deepening recessions and
fluctuations in employment beyond those factored into consensus
forecasts; changes in foreign exchange rates and interest rates,
including the accounting impact resulting from financial reporting
in respect of hyperinflationary economies; volatility in equity
markets; lack of liquidity in wholesale funding markets;
illiquidity and downward price pressure in national real estate
markets; adverse changes in central banks' policies with respect to
the provision of liquidity support to financial markets; heightened
market concerns over sovereign creditworthiness in over-indebted
countries; adverse changes in the funding status of public or
private defined benefit pensions; and consumer perception as to the
continuing availability of credit and price competition in the
market segments we serve; and deviations from the market and
economic assumptions that form the basis for our ECL
measurements;
-- Changes in government policy and regulation, including the
monetary, interest rate and other policies of central banks and
other regulatory authorities; initiatives to change the size, scope
of activities and interconnectedness of financial institutions in
connection with the implementation of stricter regulation of
financial institutions in key markets worldwide; revised capital
and liquidity benchmarks which could serve to deleverage bank
balance sheets and lower returns available from the current
business model and portfolio mix; imposition of levies or taxes
designed to change business mix and risk appetite; the practices,
pricing or responsibilities of financial institutions serving their
consumer markets; expropriation, nationalisation, confiscation of
assets and changes in legislation relating to foreign ownership;
changes in bankruptcy legislation in the principal markets in which
we operate and the consequences thereof; general changes in
government policy that may significantly influence investor
decisions; extraordinary government actions as a result of current
market turmoil; other unfavourable political or diplomatic
developments producing social instability or legal uncertainty
which in turn may affect demand for our products and services; the
costs, effects and outcomes of product regulatory reviews, actions
or litigation, including any additional compliance requirements;
and the effects of competition in the markets where we operate
including increased competition from non-bank financial services
companies, including securities firms; and
-- Factors specific to HSBC, including our success in adequately
identifying the risks we face, such as the incidence of loan losses
or delinquency, and managing those risks (through account
management, hedging and other techniques). Effective risk
management depends on, among other things, our ability through
stress testing and other techniques to prepare for events that
cannot be captured by the statistical models it uses; and our
success in addressing operational, legal and regulatory, and
litigation challenges; and other risks and uncertainties we
identify in 'top and emerging risks' on pages 73 to 81 of the
Annual Report and Accounts 2019.
Contacts
Enquiries relating to HSBC's strategy or operations may be
directed to:
Richard O'Connor Mark Phin
Global Head of Investor Relations Head of Asia Pacific Investor Relations
HSBC Holdings plc The Hongkong and Shanghai Banking
8 Canada Square Corporation Limited
London E14 5HQ 1 Queen's Road Central
United Kingdom Hong Kong
Telephone: +44 (0) 20 7991 6590 Telephone: +852 2822 4908
Email: investorrelations@hsbc.com Email: investorrelations@hsbc.com.hk
This information is provided by RNS, the news service of the
London Stock Exchange. RNS is approved by the Financial Conduct
Authority to act as a Primary Information Provider in the United
Kingdom. Terms and conditions relating to the use and distribution
of this information may apply. For further information, please
contact rns@lseg.com or visit www.rns.com.
END
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