Contents | ||
Page | ||
Regulatory framework for disclosures | 3 | |
Pillar 3 disclosures | 3 | |
Regulatory developments | 3 | |
Structure of the regulatory group | 4 | |
Capital and RWAs | 7 | |
Own funds | 7 | |
Leverage ratio | 9 | |
Capital buffers | 11 | |
Pillar 1 minimum capital requirements and RWA flow | 11 | |
Credit risk | 14 | |
Credit quality of assets | 14 | |
Defaulted exposures | 14 | |
Risk mitigation | 14 | |
Counterparty credit risk | 24 | |
Securitisation | 28 | |
Market risk | 33 | |
Other information | 36 | |
Abbreviations | 36 | |
Cautionary statement regarding forward-looking statements | 37 | |
Contacts | 37 |
Tables | |||
Page | |||
1 | Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation | 5 | |
2 | Own funds disclosure | 7 | |
3 | Summary reconciliation of accounting assets and leverage ratio exposures | 9 | |
4 | Leverage ratio common disclosure | 9 | |
5 | Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) | 10 | |
6 | Overview of RWAs | 12 | |
7 | RWA flow statements of credit risk exposures under IRB | 12 | |
8 | RWA flow statements of CCR exposures under the IMM | 13 | |
9 | RWA flow statements of market risk exposures under the IMA | 13 | |
10 | Credit quality of assets | 14 | |
11 | Changes in stock of defaulted loans and debt securities | 14 | |
12 | Standardised approach – credit conversion factor (‘CCF’) and credit risk mitigation (‘CRM’) effects | 15 | |
13 | Standardised approach – exposures by asset classes and risk weights | 16 | |
14 | IRB – Credit risk exposures by portfolio and PD range | 17 | |
15 | IRB – Effect on RWA of credit derivatives used as CRM techniques | 23 | |
16 | Specialised lending | 23 | |
17 | Analysis of counterparty credit risk (‘CCR’) exposure by approach (excluding centrally cleared exposures) | 24 | |
18 | Credit valuation adjustment (‘CVA’) capital charge | 24 | |
19 | Standardised approach – CCR exposures by regulatory portfolio and risk weights | 24 | |
20 | IRB – CCR exposures by portfolio and PD scale | 25 | |
21 | Composition of collateral for CCR exposure | 27 | |
22 | Exposures to central counterparties | 27 | |
23 | Credit derivatives exposures | 28 | |
24 | Securitisation exposures in the non-trading book | 28 | |
25 | Securitisation exposures in the trading book | 29 | |
26 | Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as sponsor | 29 | |
27 | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor | 31 | |
28 | Market risk under standardised approach | 33 | |
29 | Market risk under IMA | 33 | |
30 | IMA values for trading portfolios | 34 |
2 | HSBC Holdings plc |
Regulatory framework for disclosures |
Pillar 3 disclosures |
Regulatory developments |
• | a second consultation regarding the identification and management of step-in risk; |
• | the interim regulatory treatment and transitional requirements for International Financial Reporting Standard 9, Financial Instruments (‘IFRS 9’) provisions; |
• | the final Phase 2 Pillar 3 standards; and |
• | a consultation to revise the global systemically important banks (‘G-SIB’) assessment framework. |
HSBC Holdings plc | 3 |
Structure of the regulatory group |
4 | HSBC Holdings plc |
Table 1: Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation | |||||||||
Accounting balance sheet | Deconsolidation of insurance/ other entities | Consolidation of banking associates | Regulatory balance sheet | ||||||
Ref | $m | $m | $m | $m | |||||
Assets | |||||||||
Cash and balances at central banks | 163,353 | (43 | ) | 1,177 | 164,487 | ||||
Items in the course of collection from other banks | 7,129 | — | 26 | 7,155 | |||||
Hong Kong Government certificates of indebtedness | 31,943 | — | — | 31,943 | |||||
Trading assets | 320,037 | (334 | ) | 2 | 319,705 | ||||
Financial assets designated at fair value | 27,937 | (27,239 | ) | — | 698 | ||||
Derivatives | 229,719 | (143 | ) | 56 | 229,632 | ||||
Loans and advances to banks | 86,633 | (1,798 | ) | 1,390 | 86,225 | ||||
Loans and advances to customers | 919,838 | (3,303 | ) | 12,919 | 929,454 | ||||
– of which: impairment allowances on IRB portfolios | h | (4,884 | ) | — | — | (4,884 | ) | ||
Reverse repurchase agreements – non-trading | 196,834 | 424 | 1,642 | 198,900 | |||||
Financial investments | 385,378 | (58,605 | ) | 2,959 | 329,732 | ||||
Assets held for sale | 2,301 | — | — | 2,301 | |||||
– of which: impairment allowances on IRB portfolios | h | (115 | ) | — | — | (115 | ) | ||
Capital invested in insurance and other entities | — | 2,406 | — | 2,406 | |||||
Prepayments, accrued income and other assets | 70,592 | (3,491 | ) | 330 | 67,431 | ||||
– of which: retirement benefit assets | i | 7,036 | — | — | 7,036 | ||||
Current tax assets | 1,054 | (39 | ) | — | 1,015 | ||||
Interests in associates and joint ventures | 21,071 | (350 | ) | (3,826 | ) | 16,895 | |||
– of which: positive goodwill on acquisition | e | 500 | (14 | ) | — | 486 | |||
Goodwill and intangible assets | e | 22,653 | (6,888 | ) | — | 15,765 | |||
Deferred tax assets | f | 5,971 | 199 | 2 | 6,172 | ||||
Total assets at 30 Jun 2017 | 2,492,443 | (99,204 | ) | 16,677 | 2,409,916 | ||||
Liabilities and equity | |||||||||
Hong Kong currency notes in circulation | 31,943 | — | — | 31,943 | |||||
Deposits by banks | 64,230 | (107 | ) | 559 | 64,682 | ||||
Customer accounts | 1,311,958 | (45 | ) | 15,100 | 1,327,013 | ||||
Repurchase agreements – non-trading | 145,306 | — | — | 145,306 | |||||
Items in the course of transmission to other banks | 7,799 | — | — | 7,799 | |||||
Trading liabilities | 202,401 | 819 | — | 203,220 | |||||
Financial liabilities designated at fair value | 93,163 | (6,256 | ) | — | 86,907 | ||||
– of which: | |||||||||
included in tier 1 | m | 437 | — | — | 437 | ||||
included in tier 2 | n, q | 24,182 | — | — | 24,182 | ||||
Derivatives | 223,413 | 3 | 55 | 223,471 | |||||
Debt securities in issue | 63,289 | (2,787 | ) | 324 | 60,826 | ||||
Liabilities of disposal groups held for sale | 620 | — | — | 620 | |||||
Accruals, deferred income and other liabilities | 42,724 | 1,207 | 499 | 44,430 | |||||
Current tax liabilities | 1,186 | (47 | ) | — | 1,139 | ||||
Liabilities under insurance contracts | 81,147 | (81,147 | ) | — | — | ||||
Provisions | 4,379 | (18 | ) | 140 | 4,501 | ||||
– of which: credit-related contingent liabilities and contractual commitments on IRB portfolios | h | 217 | — | — | 217 | ||||
Deferred tax liabilities | 1,886 | (1,070 | ) | — | 816 | ||||
Subordinated liabilities | 21,213 | 1 | — | 21,214 | |||||
– of which: | |||||||||
included in tier 1 | k, m | 1,800 | — | — | 1,800 | ||||
included in tier 2 | n, o, q | 19,413 | — | — | 19,413 | ||||
Total liabilities at 30 Jun 2017 | 2,296,657 | (89,447 | ) | 16,677 | 2,223,887 | ||||
Called up share capital | a | 10,188 | — | — | 10,188 | ||||
Share premium account | a, k | 12,069 | — | — | 12,069 | ||||
Other equity instruments | j, k | 20,830 | — | — | 20,830 | ||||
Other reserves | c, g | 4,472 | 1,564 | — | 6,036 | ||||
Retained earnings | b, c | 140,837 | (10,584 | ) | — | 130,253 | |||
Total shareholders’ equity | 188,396 | (9,020 | ) | — | 179,376 | ||||
Non-controlling interests | d, l, m, p | 7,390 | (737 | ) | — | 6,653 | |||
– of which: non-cumulative preference shares issued by subsidiaries included in tier 1 capital | m | 270 | — | — | 270 | ||||
Total equity at 30 Jun 2017 | 195,786 | (9,757 | ) | — | 186,029 | ||||
Total liabilities and equity at 30 Jun 2017 | 2,492,443 | (99,204 | ) | 16,677 | 2,409,916 |
HSBC Holdings plc | 5 |
Table 1: Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation (continued) | |||||||||
Accounting balance sheet | Deconsolidation of insurance/ other entities | Consolidation of banking associates | Regulatory balance sheet | ||||||
Ref | $m | $m | $m | $m | |||||
Assets | |||||||||
Cash and balances at central banks | 128,009 | (27 | ) | 1,197 | 129,179 | ||||
Items in the course of collection from other banks | 5,003 | — | 26 | 5,029 | |||||
Hong Kong Government certificates of indebtedness | 31,228 | — | — | 31,228 | |||||
Trading assets | 235,125 | (198 | ) | 1 | 234,928 | ||||
Financial assets designated at fair value | 24,756 | (24,481 | ) | — | 275 | ||||
Derivatives | 290,872 | (145 | ) | 77 | 290,804 | ||||
Loans and advances to banks | 88,126 | (1,845 | ) | 922 | 87,203 | ||||
Loans and advances to customers | 861,504 | (3,307 | ) | 12,897 | 871,094 | ||||
– of which: impairment allowances on IRB portfolios | h | (5,096 | ) | — | — | (5,096 | ) | ||
Reverse repurchase agreements – non-trading | 160,974 | 344 | 1,444 | 162,762 | |||||
Financial investments | 436,797 | (54,904 | ) | 3,500 | 385,393 | ||||
Assets held for sale | 4,389 | (7 | ) | — | 4,382 | ||||
– of which: | |||||||||
goodwill and intangible assets | e | 1 | — | — | 1 | ||||
impairment allowances on IRB portfolios | h | (146 | ) | — | — | (146 | ) | ||
Capital invested in insurance and other entities | — | 2,214 | — | 2,214 | |||||
Prepayments, accrued income and other assets | 59,520 | (3,066 | ) | 306 | 56,760 | ||||
– of which: retirement benefit assets | i | 4,714 | — | — | 4,714 | ||||
Current tax assets | 1,145 | (118 | ) | — | 1,027 | ||||
Interests in associates and joint ventures | 20,029 | — | (4,195 | ) | 15,834 | ||||
– of which: positive goodwill on acquisition | e | 488 | — | (475 | ) | 13 | |||
Goodwill and intangible assets | e | 21,346 | (6,651 | ) | 481 | 15,176 | |||
Deferred tax assets | f | 6,163 | 176 | 5 | 6,344 | ||||
Total assets at 31 Dec 2016 | 2,374,986 | (92,015 | ) | 16,661 | 2,299,632 | ||||
Liabilities and equity | |||||||||
Hong Kong currency notes in circulation | 31,228 | — | — | 31,228 | |||||
Deposits by banks | 59,939 | (50 | ) | 441 | 60,330 | ||||
Customer accounts | 1,272,386 | (44 | ) | 14,997 | 1,287,339 | ||||
Repurchase agreements – non-trading | 88,958 | — | — | 88,958 | |||||
Items in course of transmission to other banks | 5,977 | — | — | 5,977 | |||||
Trading liabilities | 153,691 | 643 | 1 | 154,335 | |||||
Financial liabilities designated at fair value | 86,832 | (6,012 | ) | — | 80,820 | ||||
– of which: | |||||||||
included in tier 1 | m | 411 | — | — | 411 | ||||
included in tier 2 | n, q | 23,172 | — | — | 23,712 | ||||
Derivatives | 279,819 | 193 | 64 | 280,076 | |||||
Debt securities in issue | 65,915 | (3,547 | ) | 662 | 63,030 | ||||
Liabilities of disposal groups held for sale | 2,790 | — | — | 2,790 | |||||
Accruals, deferred income and other liabilities | 41,501 | 1,810 | 495 | 43,806 | |||||
Current tax liabilities | 719 | (26 | ) | — | 693 | ||||
Liabilities under insurance contracts | 75,273 | (75,273 | ) | — | — | ||||
Provisions | 4,773 | (18 | ) | — | 4,755 | ||||
– of which: credit-related contingent liabilities and contractual commitments on IRB portfolios | h | 267 | — | — | 267 | ||||
Deferred tax liabilities | 1,623 | (981 | ) | 1 | 643 | ||||
Subordinated liabilities | 20,984 | 1 | — | 20,985 | |||||
– of which: | |||||||||
included in tier 1 | k, m | 1,754 | — | — | 1,754 | ||||
included in tier 2 | n, o, q | 18,652 | — | — | 18,652 | ||||
Total liabilities at 31 Dec 2016 | 2,192,408 | (83,304 | ) | 16,661 | 2,125,765 | ||||
Called up share capital | a | 10,096 | — | — | 10,096 | ||||
Share premium account | a, k | 12,619 | — | — | 12,619 | ||||
Other equity instruments | j, k | 17,110 | — | — | 17,110 | ||||
Other reserves | c, g | (1,234 | ) | 1,735 | — | 501 | |||
Retained earnings | b, c | 136,795 | (9,442 | ) | — | 127,353 | |||
Total shareholders’ equity | 175,386 | (7,707 | ) | — | 167,679 | ||||
Non-controlling interests | d, l, m, p | 7,192 | (1,004 | ) | — | 6,188 | |||
– of which: non-cumulative preference shares issued by subsidiaries included in tier 1 capital | m | 260 | — | — | 260 | ||||
Total equity at 31 Dec 2016 | 182,578 | (8,711 | ) | — | 173,867 | ||||
Total liabilities and equity at 31 Dec 2016 | 2,374,986 | (92,015 | ) | 16,661 | 2,299,632 |
6 | HSBC Holdings plc |
Capital and RWAs |
Table 2: Own funds disclosure | ||||||||
At 30 Jun 2017 | CRD IV prescribed residual amount | Final CRD IV text | ||||||
Ref* | Ref† | $m | $m | $m | ||||
Common equity tier 1 (‘CET1’) capital: instruments and reserves | ||||||||
1 | Capital instruments and the related share premium accounts | 20,852 | 20,852 | |||||
– ordinary shares | a | 20,852 | 20,852 | |||||
2 | Retained earnings | b | 124,203 | 124,203 | ||||
3 | Accumulated other comprehensive income (and other reserves) | c | 6,757 | 6,757 | ||||
5 | Minority interests (amount allowed in consolidated CET1) | d | 4,496 | 4,496 | ||||
5a | Independently reviewed interim net profits net of any foreseeable charge or dividend | b | 3,718 | 3,718 | ||||
6 | Common equity tier 1 capital before regulatory adjustments | 160,026 | 160,026 | |||||
Common equity tier 1 capital: regulatory adjustments | ||||||||
7 | Additional value adjustments | (1,201 | ) | (1,201 | ) | |||
8 | Intangible assets (net of related deferred tax liability) | e | (16,114 | ) | (16,114 | ) | ||
10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) | f | (1,476 | ) | (1,476 | ) | ||
11 | Fair value reserves related to gains or losses on cash flow hedges | g | 55 | 55 | ||||
12 | Negative amounts resulting from the calculation of expected loss amounts | h | (3,426 | ) | (3,426 | ) | ||
14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | 2,656 | 2,656 | |||||
15 | Defined-benefit pension fund assets | i | (5,513 | ) | (5,513 | ) | ||
16 | Direct and indirect holdings of own CET1 instruments | (40 | ) | (40 | ) | |||
19 | Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) | (6,058 | ) | (6,058 | ) | |||
28 | Total regulatory adjustments to common equity tier 1 | (31,117 | ) | — | (31,117 | ) | ||
29 | Common equity tier 1 capital | 128,909 | — | 128,909 | ||||
Additional tier 1 (‘AT1’) capital: instruments | ||||||||
30 | Capital instruments and the related share premium accounts | 14,979 | — | 14,979 | ||||
31 | – classified as equity under IFRSs | j | 14,979 | — | 14,979 | |||
33 | Amount of qualifying items and the related share premium accounts subject to phase out from AT1 | k | 6,621 | (6,621 | ) | — | ||
34 | Qualifying tier 1 capital included in consolidated AT1 capital (including minority interests not included in CET1) issued by subsidiaries and held by third parties | l, m | 2,095 | (1,917 | ) | 178 | ||
35 | – of which: instruments issued by subsidiaries subject to phase out | m | 1,584 | (1,584 | ) | — | ||
36 | Additional tier 1 capital before regulatory adjustments | 23,695 | (8,538 | ) | 15,157 | |||
Additional tier 1 capital: regulatory adjustments | ||||||||
37 | Direct and indirect holdings of own AT1 instruments | (60 | ) | (60 | ) | |||
41b | Residual amounts deducted from AT1 capital with regard to deduction from tier 2 (‘T2’) capital during the transitional period | (50 | ) | 50 | — | |||
– direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities | (50 | ) | 50 | — | ||||
43 | Total regulatory adjustments to additional tier 1 capital | (110 | ) | 50 | (60 | ) | ||
44 | Additional tier 1 capital | 23,585 | (8,488 | ) | 15,097 | |||
45 | Tier 1 capital (T1 = CET1 + AT1) | 152,494 | (8,488 | ) | 144,006 | |||
Tier 2 capital: instruments and provisions | ||||||||
46 | Capital instruments and the related share premium accounts | n | 16,849 | 16,849 | ||||
47 | Amount of qualifying items and the related share premium accounts subject to phase out from T2 | o | 4,746 | (4,746 | ) | — |
HSBC Holdings plc | 7 |
Table 2: Own funds disclosure (continued) | ||||||||
At 30 Jun 2017 | CRD IV prescribed residual amount | Final CRD IV text | ||||||
Ref* | Ref† | $m | $m | $m | ||||
48 | Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in CET1 or AT1) issued by subsidiaries and held by third parties | p, q | 10,290 | (10,223 | ) | 67 | ||
49 | – of which: instruments issued by subsidiaries subject to phase out | q | 10,236 | (10,236 | ) | — | ||
51 | Tier 2 capital before regulatory adjustments | 31,885 | (14,969 | ) | 16,916 | |||
Tier 2 capital: regulatory adjustments | ||||||||
52 | Direct and indirect holdings of own T2 instruments | (40 | ) | (40 | ) | |||
55 | Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | (447 | ) | (50 | ) | (497 | ) | |
57 | Total regulatory adjustments to tier 2 capital | (487 | ) | (50 | ) | (537 | ) | |
58 | Tier 2 capital | 31,398 | (15,019 | ) | 16,379 | |||
59 | Total capital (TC = T1 + T2) | 183,892 | (23,507 | ) | 160,385 | |||
60 | Total risk-weighted assets | 876,118 | — | 876,118 | ||||
Capital ratios and buffers | ||||||||
61 | Common equity tier 1 | 14.7% | 14.7% | |||||
62 | Tier 1 | 17.4% | 16.4% | |||||
63 | Total capital | 21.0% | 18.3% | |||||
64 | Institution specific buffer requirement | 2.70% | ||||||
65 | – capital conservation buffer requirement | 1.25% | ||||||
66 | – countercyclical buffer requirement | 0.20% | ||||||
67a | – Global Systemically Important Institution (‘G-SII’) buffer | 1.25% | ||||||
68 | Common equity tier 1 available to meet buffers | 8.6% | ||||||
Amounts below the threshold for deduction (before risk weighting) | ||||||||
72 | Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) | 4,213 | ||||||
73 | Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) | 13,497 | ||||||
75 | Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability) | 5,765 | ||||||
Applicable caps on the inclusion of provisions in tier 2 | ||||||||
77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach | 2,267 | ||||||
79 | Cap for inclusion of credit risk adjustments in T2 under IRB approach | 3,015 | ||||||
Capital instruments subject to phase out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022) | ||||||||
82 | Current cap on AT1 instruments subject to phase out arrangements | 8,652 | ||||||
83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 1,526 | ||||||
84 | Current cap on T2 instruments subject to phase out arrangements | 14,982 | ||||||
85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | 6,056 |
* | The references identify the lines prescribed in the European Banking Authority (‘EBA’) template. Lines represented in this table are those lines which are applicable and where there is a value. |
† | The references (a) – (q) identify balance sheet components on page 5 which are used in the calculation of regulatory capital. |
8 | HSBC Holdings plc |
Table 3: Summary reconciliation of accounting assets and leverage ratio exposures | |||||
At | |||||
30 Jun | 31 Dec | ||||
2017 | 2016 | ||||
Ref* | $bn | $bn | |||
1 | Total assets as per published financial statements | 2,492.4 | 2,375.0 | ||
Adjustments for: | |||||
2 | – entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | (82.5 | ) | (75.4 | ) |
4 | – derivative financial instruments | (106.0 | ) | (158.6 | ) |
5 | – securities financing transactions (‘SFTs’) | 12.5 | 10.1 | ||
6 | – off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 239.9 | 223.1 | ||
7 | – other | (23.3 | ) | (19.8 | ) |
8 | Total leverage ratio exposure | 2,533.0 | 2,354.4 |
* | The references identify the lines prescribed in the EBA template. Lines represented in this table are those lines which are applicable and where there is a value. |
Table 4: Leverage ratio common disclosure | |||||
At | |||||
30 Jun | 31 Dec | ||||
2017 | 2016 | ||||
Ref* | $bn | $bn | |||
On-balance sheet exposures (excluding derivatives and SFTs) | |||||
1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 1,967.6 | 1,844.4 | ||
2 | (Asset amounts deducted in determining tier 1 capital) | (33.8 | ) | (34.4 | ) |
3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) | 1,933.8 | 1,810.0 | ||
Derivative exposures | |||||
4 | Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 29.3 | 43.7 | ||
5 | Add-on amounts for potential future exposure (‘PFE’) associated with all derivatives transactions (mark-to-market method) | 120.5 | 110.2 | ||
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to IFRSs | 5.1 | 5.9 | ||
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (26.0 | ) | (30.6 | ) |
8 | (Exempted central counterparty (‘CCP’) leg of client-cleared trade exposures) | (12.8 | ) | (4.1 | ) |
9 | Adjusted effective notional amount of written credit derivatives | 167.5 | 216.4 | ||
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (160.0 | ) | (209.3 | ) |
11 | Total derivative exposures | 123.6 | 132.2 | ||
Securities financing transaction exposures | |||||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 317.8 | 266.6 | ||
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (94.5 | ) | (87.9 | ) |
14 | Counterparty credit risk exposure for SFT assets | 12.4 | 10.4 | ||
16 | Total securities financing transaction exposures | 235.7 | 189.1 | ||
Other off-balance sheet exposures | |||||
17 | Off-balance sheet exposures at gross notional amount | 781.4 | 757.7 | ||
18 | (Adjustments for conversion to credit equivalent amounts) | (541.5 | ) | (534.6 | ) |
19 | Total off-balance sheet exposures | 239.9 | 223.1 | ||
Capital and total exposures | |||||
20 | Tier 1 capital | 144.0 | 127.3 | ||
21 | Total leverage ratio exposure | 2,533.0 | 2,354.4 | ||
22 | Leverage ratio (%) | 5.7 | 5.4 | ||
EU-23 | Choice of transitional arrangements for the definition of the capital measure | Fully phased in | Fully phased in |
* | The references identify the lines prescribed in the EBA template. Lines represented in this table are those which are applicable and where there is a value. |
HSBC Holdings plc | 9 |
Table 5: Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) | |||||
At | |||||
30 Jun | 31 Dec | ||||
2017 | 2016 | ||||
Ref* | $bn | $bn | |||
EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures) | 1,967.6 | 1,844.4 | ||
EU-2 | – trading book exposures | 296.3 | 267.5 | ||
EU-3 | – banking book exposures | 1,671.3 | 1,576.9 | ||
’banking book exposures’ comprises: | |||||
EU-4 | covered bonds | 1.4 | 1.1 | ||
EU-5 | exposures treated as sovereigns | 488.2 | 504.4 | ||
EU-6 | exposures to regional governments, multilateral development banks (‘MDBs’), international organisations and public sector entities not treated as sovereigns | 8.3 | 6.0 | ||
EU-7 | institutions | 78.0 | 67.6 | ||
EU-8 | secured by mortgages of immovable properties | 266.4 | 254.6 | ||
EU-9 | retail exposures | 85.0 | 84.6 | ||
EU-10 | corporate | 555.1 | 532.4 | ||
EU-11 | exposures in default | 11.3 | 12.4 | ||
EU-12 | other exposures (e.g. equity, securitisations and other non-credit obligation assets) | 177.6 | 113.8 |
* | The references identify the lines prescribed in the EBA template. Lines represented in this table are those lines which are applicable and where there is a value. |
10 | HSBC Holdings plc |
Risk category | Scope of permissible approaches | Approach adopted by HSBC | ||
Credit risk | The Basel Committee’s framework applies three approaches of increasing sophistication to the calculation of Pillar 1 credit risk capital requirements. The most basic level, the standardised approach, requires banks to use external credit ratings to determine the risk weightings applied to rated counterparties. Other counterparties are grouped into broad categories and standardised risk weightings are applied to these categories. The next level, the foundation IRB (‘FIRB’) approach, allows banks to calculate their credit risk capital requirements on the basis of their internal assessment of a counterparty’s probability of default (‘PD’), but subjects their quantified estimates of EAD and loss given default (‘LGD’) to standard supervisory parameters. Finally, the advanced IRB (‘AIRB’) approach allows banks to use their own internal assessment in both determining PD and quantifying EAD and LGD. | For consolidated Group reporting, we have adopted the advanced IRB approach for the majority of our business. Some portfolios remain on the standardised or foundation IRB approaches: • pending the issuance of local regulations or model approval;• following supervisory prescription of a non-advanced approach; or• under exemptions from IRB treatment. | ||
Counterparty credit risk | Four approaches to calculating CCR and determining exposure values are defined by the Basel Committee: mark-to-market, original exposure, standardised and Internal Model Method (‘IMM’). These exposure values are used to determine capital requirements under one of the credit risk approaches: standardised, foundation IRB or advanced IRB. | We use the mark-to-market and IMM approaches for CCR. Details of the IMM permission we have received from the PRA can be found in the Financial Services Register on the PRA website. Our aim is to increase the proportion of positions on IMM over time. | ||
Equity | For the non-trading book, equity exposures can be assessed under standardised or IRB approaches. | For Group reporting purposes, all non-trading book equity exposures are treated under the standardised approach. | ||
Securitisation | Basel specifies two approaches for calculating credit risk requirements for securitisation positions in non-trading books: the standardised approach and the IRB approach, which incorporates the Ratings Based Method (‘RBM’), the Internal Assessment Approach (‘IAA’) and the Supervisory Formula Method (‘SFM’). Securitisation positions in the trading book are treated within the market risk framework, using the CRD IV standard rules. | For the majority of the non-trading book securitisation positions we use the IRB approach, and within this principally the RBM, with lesser amounts on the IAA and the SFM. We also use the standardised approach for an immaterial amount of non-trading book positions. We follow the CRD IV standard rules for the securitisation positions in the trading book. | ||
Market risk | Market risk capital requirements can be determined under either the standard rules or the Internal Models Approach (‘IMA’). The latter involves the use of internal value at risk (‘VaR’) models to measure market risks and determine the appropriate capital requirement. In addition to the VaR models, other internal models include Stressed VaR (‘SVaR’), Incremental Risk Charge (‘IRC’) and Comprehensive Risk Measure. | The market risk capital requirement is measured using internal market risk models, where approved by the PRA, or under the standard rules. Our internal market risk models comprise VaR, stressed VaR and IRC. Non-proprietary details of the scope of our IMA permission are available in the Financial Services Register on the PRA website. We are in compliance with the requirements set out in Articles 104 and 105 of the Capital Requirements Regulation. | ||
Operational risk | The Basel Committee allows firms to calculate their operational risk capital requirement under the basic indicator approach, the standardised approach or the advanced measurement approach. | We currently use the standardised approach in determining our operational risk capital requirement. We have in place an operational risk model that is used for economic capital calculation purposes. |
HSBC Holdings plc | 11 |
Table 6: Overview of RWAs | |||||||
At | |||||||
30 Jun | 31 Mar | 30 Jun | |||||
2017 | 2017 | 2017 | |||||
RWAs | RWAs | Capital1 requirements | |||||
$bn | $bn | $bn | |||||
1 | Credit risk (excluding counterparty credit risk) | 601.9 | 592.8 | 48.2 | |||
2 | – standardised approach | 130.2 | 122.5 | 10.4 | |||
3 | – foundation IRB approach | 26.9 | 26.0 | 2.2 | |||
4 | – advanced IRB approach | 444.8 | 444.3 | 35.6 | |||
6 | Counterparty credit risk | 61.5 | 61.2 | 4.9 | |||
7 | – mark-to-market | 36.7 | 36.3 | 2.9 | |||
10 | – internal model method | 10.0 | 9.9 | 0.8 | |||
11 | – risk exposure amount for contributions to the default fund of a central counterparty | 0.7 | 0.7 | 0.1 | |||
12 | – credit valuation adjustment | 14.1 | 14.3 | 1.1 | |||
13 | Settlement risk | 0.3 | 0.2 | — | |||
14 | Securitisation exposures in the non-trading book | 22.7 | 21.3 | 1.8 | |||
15 | – IRB ratings based method | 19.7 | 18.5 | 1.6 | |||
16 | – IRB supervisory formula method | 0.2 | 0.2 | — | |||
17 | – IRB internal assessment approach | 1.6 | 1.5 | 0.1 | |||
18 | – standardised approach | 1.2 | 1.1 | 0.1 | |||
19 | Market risk | 43.6 | 38.9 | 3.5 | |||
20 | – standardised approach | 3.8 | 4.8 | 0.3 | |||
21 | – internal models approach | 39.8 | 34.1 | 3.2 | |||
23 | Operational risk | 98.0 | 98.0 | 7.9 | |||
25 | – standardised approach | 98.0 | 98.0 | 7.9 | |||
27 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 48.1 | 45.5 | 3.8 | |||
29 | Total | 876.1 | 857.9 | 70.1 |
1 | ‘Capital requirements’ here and in all tables where the term is used, represents the Pillar 1 capital charge at 8% of RWAs. |
Table 7: RWA flow statements of credit risk exposures under the IRB approach1, 2 | ||||||||
Three months to | ||||||||
30 Jun | 31 Mar | 30 Jun | ||||||
2017 | 2017 | 2017 | ||||||
RWAs | RWAs | Capital requirements | ||||||
$bn | $bn | $bn | ||||||
1 | RWAs at the beginning of the period | 470.3 | 468.5 | 37.6 | ||||
2 | Asset size | 0.7 | 2.0 | 0.1 | ||||
3 | Asset quality | (4.1 | ) | — | (0.3 | ) | ||
4 | Model updates | 0.7 | — | 0.1 | ||||
5 | Methodology and policy | (2.5 | ) | 1.2 | (0.2 | ) | ||
6 | Acquisitions and disposals | (1.5 | ) | (5.7 | ) | (0.1 | ) | |
7 | Foreign exchange movements | 8.1 | 4.3 | 0.6 | ||||
9 | RWAs at the end of the period | 471.7 | 470.3 | 37.8 |
1 | This table includes RWA initiatives of $12.1bn allocated across the RWA flow layers to which they relate. |
2 | Securitisation positions are not included in this table. |
12 | HSBC Holdings plc |
• | $4.1bn as a result of improvements in asset quality and lending growth in lower risk portfolios. |
• | $2.5bn in methodology and policy movements mainly as a result of management initiatives. |
Table 8: RWA flow statements of CCR exposures under the IMM1 | ||||||||
Three months to | ||||||||
30 Jun | 31 Mar | 30 Jun | ||||||
2017 | 2017 | 2017 | ||||||
RWAs | RWAs | Capital requirements | ||||||
$bn | $bn | $bn | ||||||
1 | RWAs at the beginning of the period | 14.3 | 14.4 | 1.1 | ||||
2 | Asset size | 0.7 | (0.4 | ) | 0.1 | |||
3 | Asset quality | (0.2 | ) | (0.2 | ) | — | ||
4 | Model updates | — | 1.0 | — | ||||
5 | Methodology and policy | (0.7 | ) | (0.5 | ) | (0.1 | ) | |
9 | RWAs at the end of the period | 14.1 | 14.3 | 1.1 |
1 | This table includes RWA initiatives of $0.9bn allocated across the RWA flow layers to which they relate. |
Table 9: RWA flow statements of market risk exposures under the IMA1 | ||||||||||||||
VaR | Stressed VaR | IRC | Other | Total RWAs1 | Total capital requirements | |||||||||
$bn | $bn | $bn | $bn | $bn | $bn | |||||||||
1 | RWAs at 1 Apr 2017 | 9.5 | 12.3 | 10.1 | 2.2 | 34.1 | 2.7 | |||||||
2 | Movement in risk levels | 0.4 | 1.9 | 1.7 | 2.5 | 6.5 | 0.5 | |||||||
3 | Model updates/changes | (1.6 | ) | (0.2 | ) | — | — | (1.8 | ) | (0.1 | ) | |||
4 | Methodology and policy | 0.5 | 0.5 | — | — | 1.0 | 0.1 | |||||||
8 | RWAs at 30 Jun 2017 | 8.8 | 14.5 | 11.8 | 4.7 | 39.8 | 3.2 | |||||||
1 | RWAs at 1 Jan 2017 | 8.7 | 15.8 | 9.5 | 2.5 | 36.5 | 2.9 | |||||||
2 | Movement in risk levels | 0.8 | (3.5 | ) | 0.6 | (0.3 | ) | (2.4 | ) | (0.2 | ) | |||
3 | Model updates/changes | — | — | — | — | — | — | |||||||
4 | Methodology and policy | — | — | — | — | — | — | |||||||
8 | RWAs at 31 Mar 2017 | 9.5 | 12.3 | 10.1 | 2.2 | 34.1 | 2.7 |
1 | This table includes RWA initiatives of $0.7bn allocated across the RWA flow layers to which they relate. |
HSBC Holdings plc | 13 |
Credit risk |
Table 10: Credit quality of assets | |||||||||||||||||
At | |||||||||||||||||
30 Jun 2017 | 31 Dec 2016 | ||||||||||||||||
Gross carrying values of | Allowances/ impairments | Net values (a+b-c) | Gross carrying values of | Allowances/impairments | Net values (a+b-c) | ||||||||||||
Defaulted exposures | Non-defaulted exposures | Defaulted exposures | Non- defaulted exposures | ||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||
1 | Loans | 16.6 | 1,198.9 | 8.0 | 1,207.5 | 17.9 | 1,067.8 | 8.3 | 1,077.4 | ||||||||
2 | Debt securities | — | 279.6 | — | 279.6 | — | 377.4 | — | 377.4 | ||||||||
3 | Off-balance sheet exposures | 1.9 | 743.8 | 0.2 | 745.5 | 1.5 | 735.0 | 0.3 | 736.2 | ||||||||
4 | Total | 18.5 | 2,222.3 | 8.2 | 2,232.6 | 19.4 | 2,180.2 | 8.6 | 2,191.0 |
Table 11: Changes in stock of defaulted loans and debt securities | ||||||
6 months to | 12 months to | |||||
30 Jun | 31 Dec | |||||
2017 | 2016 | |||||
Footnote | $bn | $bn | ||||
1 | Defaulted loans and debt securities at the beginning of the period | 17.9 | 22.7 | |||
2 | Loans and debt securities that have defaulted since the last reporting period | 3.2 | 8.6 | |||
3 | Returned to non-defaulted status | (1.2 | ) | (1.5 | ) | |
4 | Amounts written off | (1.1 | ) | (2.8 | ) | |
5 | Other changes | 1 | (0.1 | ) | (5.1 | ) |
7 | Repayments | (2.1 | ) | (4.0 | ) | |
6 | Defaulted loans and debt securities at the end of the period | 16.6 | 17.9 |
1 | Other changes include foreign exchange and assets held for sale in default. |
14 | HSBC Holdings plc |
Table 12: Standardised approach – credit conversion factor (‘CCF’) and credit risk mitigation (‘CRM’) effects | |||||||||||||
Exposures before CCF and CRM | Exposures post-CCF and CRM | RWAs and RWA density | |||||||||||
On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | RWAs | RWA density | ||||||||
$bn | $bn | $bn | $bn | $bn | % | ||||||||
Asset classes1 | |||||||||||||
1 | Central governments or central banks | 170.3 | 0.9 | 174.5 | 0.8 | 14.8 | 8 | ||||||
2 | Regional governments or local authorities | 2.6 | 0.3 | 2.6 | — | 0.9 | 33 | ||||||
3 | Public sector entities | 0.1 | 0.1 | 0.1 | — | 0.1 | 100 | ||||||
4 | Multilateral development banks | 0.2 | — | 0.2 | — | — | 7 | ||||||
5 | International organisations | 2.2 | — | 2.2 | — | — | — | ||||||
6 | Institutions | 2.6 | — | 2.4 | — | 1.1 | 48 | ||||||
7 | Corporates | 90.7 | 78.7 | 74.9 | 12.1 | 81.6 | 94 | ||||||
8 | Retail | 23.0 | 45.7 | 21.7 | 0.4 | 16.3 | 74 | ||||||
9 | Secured by mortgages on immovable property | 26.6 | 1.0 | 26.6 | 0.2 | 9.7 | 36 | ||||||
10 | Exposures in default | 3.4 | 0.3 | 3.3 | 0.1 | 4.3 | 128 | ||||||
11 | Higher-risk categories | 2.4 | 1.8 | 2.4 | 1.7 | 6.2 | 150 | ||||||
14 | Collective investment undertakings | 0.6 | — | 0.6 | — | 0.6 | 100 | ||||||
15 | Equity | 16.2 | — | 16.2 | — | 36.4 | 224 | ||||||
16 | Other items | 13.0 | — | 13.0 | — | 6.3 | 49 | ||||||
17 | Total at 30 Jun 2017 | 353.9 | 128.8 | 340.7 | 15.3 | 178.3 | 50 | ||||||
1 | Central governments or central banks | 161.9 | 1.5 | 166.2 | 1.1 | 14.7 | 9 | ||||||
2 | Regional governments or local authorities | 2.9 | 0.3 | 2.9 | — | 0.9 | 32 | ||||||
3 | Public sector entities | — | — | — | — | — | — | ||||||
4 | Multilateral development banks | 0.2 | — | 0.2 | — | — | 5 | ||||||
5 | International organisations | 2.7 | — | 2.7 | — | — | — | ||||||
6 | Institutions | 2.2 | — | 2.1 | — | 1.0 | 46 | ||||||
7 | Corporates | 80.2 | 79.9 | 66.3 | 12.1 | 75.0 | 96 | ||||||
8 | Retail | 22.7 | 44.2 | 21.6 | 0.4 | 16.3 | 74 | ||||||
9 | Secured by mortgages on immovable property | 25.5 | 0.8 | 25.5 | 0.2 | 9.3 | 36 | ||||||
10 | Exposures in default | 3.2 | 0.4 | 3.2 | 0.1 | 4.3 | 130 | ||||||
11 | Higher-risk categories | 2.1 | 1.4 | 2.1 | 1.3 | 5.1 | 150 | ||||||
14 | Collective investment undertakings | 0.5 | — | 0.5 | — | 0.5 | 100 | ||||||
15 | Equity | 15.2 | — | 15.2 | — | 33.6 | 221 | ||||||
16 | Other items | 9.5 | — | 9.5 | — | 4.7 | 50 | ||||||
17 | Total at 31 Dec 2016 | 328.8 | 128.5 | 318.0 | 15.2 | 165.4 | 50 |
1 | Securitisation positions are not included in this table. |
HSBC Holdings plc | 15 |
Table 13: Standardised approach – exposures by asset classes and risk weights | |||||||||||||||||||||||||||
Risk weight (‘RW’) | 0% | 2% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | Deducted | Total credit exposure amount (post-CCF and post-CRM) | of which unrated | ||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||||
Asset classes1 | |||||||||||||||||||||||||||
1 | Central governments or central banks | 169.2 | — | — | — | 0.1 | — | — | 0.2 | — | 5.8 | — | 175.3 | 5.8 | |||||||||||||
2 | Regional governments or local authorities | — | — | 1.7 | — | 0.7 | — | — | 0.2 | — | — | — | 2.6 | 1.4 | |||||||||||||
3 | Public sector entities | — | — | — | — | — | — | — | 0.1 | — | — | — | 0.1 | — | |||||||||||||
4 | Multilateral development banks | 0.1 | — | 0.1 | — | — | — | — | — | — | — | — | 0.2 | 0.2 | |||||||||||||
5 | International organisations | 2.2 | — | — | — | — | — | — | — | — | — | — | 2.2 | — | |||||||||||||
6 | Institutions | — | 0.1 | 0.4 | — | 1.6 | — | — | 0.3 | — | — | — | 2.4 | 0.3 | |||||||||||||
7 | Corporates | — | — | 3.7 | 0.2 | 4.0 | 0.1 | — | 78.5 | 0.5 | — | — | 87.0 | 72.5 | |||||||||||||
8 | Retail | — | — | — | — | — | — | 22.1 | — | — | — | — | 22.1 | 22.1 | |||||||||||||
9 | Secured by mortgages on immovable property | — | — | — | 26.2 | — | — | — | 0.6 | — | — | — | 26.8 | 26.8 | |||||||||||||
10 | Exposures in default | — | — | — | — | — | — | — | 1.4 | 2.0 | — | — | 3.4 | 3.4 | |||||||||||||
11 | Higher-risk categories | — | — | — | — | — | — | — | — | 4.1 | — | — | 4.1 | 4.1 | |||||||||||||
14 | Collective investment undertakings | — | — | — | — | — | — | — | 0.6 | — | — | — | 0.6 | 0.6 | |||||||||||||
15 | Equity | — | — | — | — | — | — | — | 2.8 | — | 13.4 | — | 16.2 | 16.2 | |||||||||||||
16 | Other items | 1.0 | — | 7.1 | — | — | — | — | 4.9 | — | — | — | 13.0 | 13.0 | |||||||||||||
17 | Total at 30 Jun 2017 | 172.5 | 0.1 | 13.0 | 26.4 | 6.4 | 0.1 | 22.1 | 89.6 | 6.6 | 19.2 | — | 356.0 | 166.4 | |||||||||||||
1 | Central governments or central banks | 160.4 | — | 0.8 | — | 0.3 | — | — | 0.2 | — | 5.6 | — | 167.3 | 5.7 | |||||||||||||
2 | Regional governments or local authorities | 0.2 | — | 1.8 | — | 0.7 | — | — | 0.2 | — | — | — | 2.9 | 0.3 | |||||||||||||
3 | Public sector entities | — | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
4 | Multilateral development banks | 0.1 | — | 0.1 | — | — | — | — | — | — | — | — | 0.2 | 0.2 | |||||||||||||
5 | International organisations | 2.7 | — | — | — | — | — | — | — | — | — | 2.7 | — | ||||||||||||||
6 | Institutions | — | 0.1 | 0.8 | — | 0.7 | — | — | 0.5 | — | — | — | 2.1 | 0.3 | |||||||||||||
7 | Corporates | — | — | 2.1 | 0.2 | 2.7 | 0.1 | — | 72.6 | 0.7 | — | — | 78.4 | 67.9 | |||||||||||||
8 | Retail | — | — | — | — | — | — | 22.0 | — | — | — | — | 22.0 | 22.0 | |||||||||||||
9 | Secured by mortgages on immovable property | — | — | — | 25.2 | — | — | — | 0.5 | — | — | — | 25.7 | 25.7 | |||||||||||||
10 | Exposures in default | — | — | — | — | — | — | — | 1.3 | 2.0 | — | — | 3.3 | 3.3 | |||||||||||||
11 | Higher-risk categories | — | — | — | — | — | — | — | — | 3.4 | — | — | 3.4 | 3.4 | |||||||||||||
14 | Collective investment undertakings | — | — | — | — | — | — | — | 0.5 | — | — | — | 0.5 | 0.5 | |||||||||||||
15 | Equity | — | — | — | — | — | — | — | 2.9 | — | 12.3 | — | 15.2 | 15.2 | |||||||||||||
16 | Other items | 0.7 | — | 5.1 | — | — | — | — | 3.7 | — | — | — | 9.5 | 9.5 | |||||||||||||
17 | Total at 31 Dec 2016 | 164.1 | 0.1 | 10.7 | 25.4 | 4.4 | 0.1 | 22.0 | 82.4 | 6.1 | 17.9 | — | 333.2 | 154.0 |
1 | Securitisation positions are not included in this table. |
16 | HSBC Holdings plc |
Table 14: IRB – Credit risk exposures by portfolio and PD range1 | |||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and provisions | ||||||||||
PD scale | $bn | $bn | % | $bn | % | % | years | $bn | % | $bn | $bn | ||||||||||
AIRB – Central government and central banks | |||||||||||||||||||||
0.00 to <0.15 | 304.1 | 2.6 | 51.8 | 305.5 | 0.02 | 356 | 42.6 | 2.03 | 25.0 | 8 | — | ||||||||||
0.15 to <0.25 | 2.4 | — | 78.2 | 2.5 | 0.22 | 12 | 42.9 | 1.82 | 1.0 | 40 | — | ||||||||||
0.25 to <0.50 | 2.4 | — | 39.9 | 2.4 | 0.37 | 16 | 45.0 | 1.29 | 1.2 | 50 | — | ||||||||||
0.50 to <0.75 | 0.6 | — | 0.3 | 0.6 | 0.63 | 8 | 45.0 | 1.43 | 0.4 | 67 | — | ||||||||||
0.75 to <2.50 | 3.9 | 0.1 | 27.7 | 3.8 | 1.44 | 27 | 45.0 | 1.32 | 3.5 | 92 | — | ||||||||||
2.50 to <10.00 | 1.8 | — | 40.9 | 1.8 | 3.06 | 11 | 45.0 | 1.02 | 2.2 | 122 | — | ||||||||||
10.00 to <100.00 | — | 0.2 | — | — | 10.00 | 2 | 50.0 | 1.00 | — | — | — | ||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | ||||||||||
Sub-total | 315.2 | 2.9 | 49.7 | 316.6 | 0.06 | 432 | 42.7 | 2.01 | 33.3 | 11 | — | — | |||||||||
AIRB – Institutions | |||||||||||||||||||||
0.00 to <0.15 | 71.8 | 9.7 | 46.4 | 76.3 | 0.05 | 2,635 | 40.1 | 1.42 | 11.7 | 15 | — | ||||||||||
0.15 to <0.25 | 3.5 | 1.4 | 47.2 | 4.2 | 0.22 | 418 | 45.7 | 1.03 | 1.7 | 40 | — | ||||||||||
0.25 to <0.50 | 3.0 | 0.3 | 28.8 | 3.1 | 0.37 | 276 | 45.5 | 0.77 | 1.8 | 58 | — | ||||||||||
0.50 to <0.75 | 1.2 | 0.4 | 39.8 | 1.4 | 0.63 | 155 | 45.3 | 0.85 | 1.0 | 71 | — | ||||||||||
0.75 to <2.50 | 1.5 | 0.8 | 65.0 | 2.0 | 1.02 | 323 | 45.4 | 1.01 | 1.8 | 90 | — | ||||||||||
2.50 to <10.00 | — | — | 65.8 | — | 4.80 | 48 | 54.2 | 0.90 | 0.1 | — | — | ||||||||||
10.00 to <100.00 | 0.1 | 0.2 | 17.9 | 0.1 | 17.40 | 45 | 48.7 | 0.98 | 0.3 | 300 | — | ||||||||||
100.00 (Default) | — | — | — | — | 100.00 | 2 | 45.0 | 2.50 | — | — | — | ||||||||||
Sub-total | 81.1 | 12.8 | 46.7 | 87.1 | 0.13 | 3,902 | 40.8 | 1.36 | 18.4 | 21 | — | — | |||||||||
AIRB – Corporate – Specialised Lending (excluding Slotting)2 | |||||||||||||||||||||
0.00 to <0.15 | 0.7 | 1.4 | 40.4 | 1.4 | 0.11 | 393 | 25.8 | 2.71 | 0.3 | 21 | — | ||||||||||
0.15 to <0.25 | 2.3 | 0.3 | 47.5 | 2.3 | 0.22 | 569 | 30.9 | 3.54 | 0.9 | 39 | — | ||||||||||
0.25 to <0.50 | 0.8 | 0.3 | 47.8 | 1.0 | 0.37 | 312 | 31.7 | 3.87 | 0.5 | 50 | — | ||||||||||
0.50 to <0.75 | 0.9 | 0.1 | 49.3 | 1.0 | 0.63 | 271 | 22.2 | 4.08 | 0.5 | 50 | — | ||||||||||
0.75 to <2.50 | 1.5 | 0.7 | 46.4 | 1.8 | 1.33 | 461 | 30.2 | 3.09 | 1.3 | 72 | — | ||||||||||
2.50 to <10.00 | 0.3 | — | 33.6 | 0.3 | 5.71 | 136 | 23.0 | 4.27 | 0.3 | 100 | — | ||||||||||
10.00 to <100.00 | 0.6 | 0.2 | 44.7 | 0.6 | 20.87 | 176 | 22.0 | 2.15 | 0.7 | 117 | — | ||||||||||
100.00 (Default) | 0.2 | 0.1 | 64.8 | 0.2 | 100.00 | 108 | 42.1 | 3.20 | 0.3 | 150 | 0.1 | ||||||||||
Sub-total | 7.3 | 3.1 | 44.2 | 8.6 | 4.88 | 2,426 | 28.4 | 3.32 | 4.8 | 56 | 0.1 | 0.1 | |||||||||
AIRB – Corporate – Other | |||||||||||||||||||||
0.00 to <0.15 | 95.4 | 144.9 | 38.3 | 182.1 | 0.08 | 9,941 | 39.0 | 2.24 | 40.6 | 22 | 0.1 | ||||||||||
0.15 to <0.25 | 43.1 | 57.2 | 36.8 | 71.3 | 0.22 | 9,339 | 39.6 | 2.00 | 27.8 | 39 | 0.1 | ||||||||||
0.25 to <0.50 | 46.3 | 48.5 | 35.4 | 70.5 | 0.37 | 10,100 | 39.2 | 2.06 | 35.1 | 50 | 0.1 | ||||||||||
0.50 to <0.75 | 39.8 | 38.0 | 34.0 | 51.0 | 0.63 | 9,253 | 38.2 | 1.97 | 31.1 | 61 | 0.1 | ||||||||||
0.75 to <2.50 | 134.0 | 95.1 | 32.6 | 135.0 | 1.36 | 42,719 | 37.1 | 1.96 | 106.5 | 79 | 0.7 | ||||||||||
2.50 to <10.00 | 33.1 | 26.7 | 34.3 | 31.0 | 4.28 | 11,536 | 38.7 | 1.95 | 36.4 | 117 | 0.5 | ||||||||||
10.00 to <100.00 | 4.7 | 3.6 | 40.4 | 4.8 | 19.13 | 2,182 | 38.3 | 1.90 | 8.2 | 171 | 0.3 | ||||||||||
100.00 (Default) | 5.3 | 1.1 | 43.0 | 5.8 | 100.00 | 2,320 | 46.1 | 2.14 | 5.9 | 102 | 2.3 | ||||||||||
Sub-total | 401.7 | 415.1 | 36.1 | 551.5 | 1.94 | 97,390 | 38.6 | 2.07 | 291.6 | 53 | 4.2 | 3.3 | |||||||||
Wholesale AIRB – Total at 30 Jun 20173 | 861.5 | 433.9 | 36.5 | 1,020.0 | 1.19 | 104,150 | 40.1 | 2.00 | 360.8 | 35 | 4.3 | 3.4 |
HSBC Holdings plc | 17 |
Table 14: IRB – Credit risk exposures by portfolio and PD range (continued)1 | ||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and 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 | 0.1 | 100.0 | 0.4 | 0.07 | 1,243 | 10.6 | — | — | — | — | |||||||||
0.15 to <0.25 | 0.1 | — | 100.0 | 0.1 | 0.17 | 166 | 16.7 | — | — | — | — | |||||||||
0.25 to <0.50 | 0.2 | — | 72.3 | 0.2 | 0.32 | 966 | 16.0 | — | — | — | — | |||||||||
0.50 to <0.75 | 0.1 | — | 100.0 | 0.1 | 0.62 | 521 | 26.0 | — | — | — | — | |||||||||
0.75 to <2.50 | 0.3 | — | 96.4 | 0.3 | 1.61 | 1,705 | 27.6 | — | 0.2 | 33 | — | |||||||||
2.50 to <10.00 | 0.4 | — | 101.7 | 0.4 | 5.15 | 1,952 | 24.2 | — | 0.1 | 25 | — | |||||||||
10.00 to <100.00 | 0.1 | — | 80.2 | 0.1 | 16.65 | 367 | 26.6 | — | — | — | — | |||||||||
100.00 (Default) | — | — | 99.4 | — | 100.00 | 120 | 24.3 | — | — | — | — | |||||||||
Sub-total | 1.5 | 0.1 | 98.4 | 1.6 | 3.92 | 7,040 | 20.8 | — | 0.3 | 19 | — | — | ||||||||
AIRB – Secured by mortgages on immovable property non-SME | ||||||||||||||||||||
0.00 to <0.15 | 148.0 | 13.4 | 92.5 | 163.8 | 0.06 | 915,452 | 14.3 | — | 8.8 | 5 | — | |||||||||
0.15 to <0.25 | 25.4 | 1.2 | 81.6 | 26.6 | 0.21 | 105,077 | 16.3 | — | 2.8 | 11 | — | |||||||||
0.25 to <0.50 | 22.9 | 2.5 | 44.2 | 24.1 | 0.37 | 104,912 | 18.3 | — | 4.0 | 17 | — | |||||||||
0.50 to <0.75 | 11.7 | 0.3 | 100.3 | 12.1 | 0.61 | 52,845 | 15.8 | — | 2.1 | 17 | — | |||||||||
0.75 to <2.50 | 22.3 | 1.2 | 63.3 | 23.1 | 1.33 | 104,933 | 17.8 | — | 6.8 | 29 | 0.1 | |||||||||
2.50 to <10.00 | 6.1 | 0.2 | 93.7 | 6.3 | 4.76 | 29,784 | 13.9 | — | 3.0 | 48 | — | |||||||||
10.00 to <100.00 | 2.0 | 0.1 | 98.6 | 2.1 | 25.85 | 22,083 | 22.4 | — | 3.0 | 143 | 0.1 | |||||||||
100.00 (Default) | 3.2 | — | 64.8 | 3.2 | 100.00 | 27,716 | 33.7 | — | 1.5 | 47 | 1.1 | |||||||||
Sub-total | 241.6 | 18.9 | 83.8 | 261.3 | 1.77 | 1,362,802 | 15.6 | — | 32.0 | 12 | 1.3 | 0.4 | ||||||||
AIRB – Qualifying revolving retail exposures | ||||||||||||||||||||
0.00 to <0.15 | 4.7 | 66.8 | 47.2 | 36.2 | 0.07 | 12,980,596 | 93.6 | — | 1.6 | 4 | — | |||||||||
0.15 to <0.25 | 1.3 | 12.6 | 43.8 | 6.7 | 0.21 | 2,233,716 | 94.7 | — | 0.7 | 10 | — | |||||||||
0.25 to <0.50 | 2.1 | 9.5 | 43.0 | 6.1 | 0.37 | 1,808,489 | 93.4 | — | 1.1 | 18 | — | |||||||||
0.50 to <0.75 | 1.9 | 4.0 | 49.9 | 3.8 | 0.60 | 1,090,090 | 93.5 | — | 1.0 | 26 | — | |||||||||
0.75 to <2.50 | 5.4 | 6.7 | 48.2 | 8.6 | 1.39 | 2,120,633 | 91.5 | — | 4.1 | 48 | 0.1 | |||||||||
2.50 to <10.00 | 2.9 | 1.5 | 59.3 | 3.7 | 4.81 | 756,679 | 90.0 | — | 4.2 | 114 | 0.2 | |||||||||
10.00 to <100.00 | 0.8 | 0.3 | 56.0 | 0.9 | 29.47 | 271,805 | 91.8 | — | 2.0 | 222 | 0.4 | |||||||||
100.00 (Default) | 0.1 | — | 6.8 | 0.1 | 100.00 | 31,687 | 82.7 | — | 0.1 | 100 | — | |||||||||
Sub-total | 19.2 | 101.4 | 46.7 | 66.1 | 1.12 | 21,293,695 | 93.2 | — | 14.8 | 22 | 0.7 | 0.3 | ||||||||
AIRB – Other SME | ||||||||||||||||||||
0.00 to <0.15 | 0.1 | 0.1 | 42.4 | 0.2 | 0.09 | 91,261 | 56.5 | — | — | — | — | |||||||||
0.15 to <0.25 | 0.2 | 0.2 | 50.3 | 0.2 | 0.22 | 70,839 | 60.5 | — | 0.1 | 50 | — | |||||||||
0.25 to <0.50 | 0.3 | 0.4 | 50.9 | 0.5 | 0.38 | 131,336 | 62.3 | — | 0.2 | 40 | — | |||||||||
0.50 to <0.75 | 0.4 | 0.6 | 69.0 | 0.9 | 0.63 | 165,665 | 58.7 | — | 0.3 | 33 | — | |||||||||
0.75 to <2.50 | 2.1 | 1.3 | 62.0 | 2.9 | 1.58 | 404,217 | 58.7 | — | 1.5 | 55 | — | |||||||||
2.50 to <10.00 | 2.5 | 0.7 | 78.8 | 3.1 | 4.83 | 204,675 | 53.4 | — | 2.0 | 65 | 0.1 | |||||||||
10.00 to <100.00 | 0.5 | 0.2 | 51.5 | 0.6 | 17.82 | 84,419 | 70.4 | — | 0.7 | 117 | 0.1 | |||||||||
100.00 (Default) | 0.6 | 0.1 | 95.5 | 0.7 | 100.00 | 19,812 | 39.1 | — | — | — | 0.4 | |||||||||
Sub-total | 6.7 | 3.6 | 63.9 | 9.1 | 10.64 | 1,172,224 | 56.4 | — | 4.8 | 53 | 0.6 | 0.3 | ||||||||
AIRB – Other non-SME | ||||||||||||||||||||
0.00 to <0.15 | 9.0 | 6.4 | 33.8 | 11.7 | 0.07 | 445,575 | 21.5 | — | 0.7 | 6 | — | |||||||||
0.15 to <0.25 | 6.1 | 3.4 | 35.5 | 7.7 | 0.21 | 358,094 | 29.0 | — | 1.1 | 14 | — | |||||||||
0.25 to <0.50 | 5.7 | 2.4 | 28.6 | 6.6 | 0.37 | 313,570 | 30.8 | — | 1.4 | 21 | — | |||||||||
0.50 to <0.75 | 4.2 | 1.4 | 28.6 | 4.7 | 0.60 | 173,653 | 27.1 | — | 1.1 | 23 | — | |||||||||
0.75 to <2.50 | 9.0 | 0.8 | 26.9 | 9.4 | 1.38 | 337,011 | 25.0 | — | 3.0 | 33 | — | |||||||||
2.50 to <10.00 | 2.6 | 1.0 | 23.7 | 2.9 | 4.32 | 192,322 | 35.1 | — | 1.7 | 59 | — | |||||||||
10.00 to <100.00 | 0.5 | — | 9.8 | 0.5 | 24.30 | 75,477 | 47.1 | — | 0.6 | 120 | 0.1 | |||||||||
100.00 (Default) | 0.3 | 0.1 | 5.0 | 0.3 | 100.00 | 54,536 | 43.3 | — | 0.1 | 33 | 0.2 | |||||||||
Sub-total | 37.4 | 15.5 | 31.6 | 43.8 | 1.85 | 1,950,238 | 27.0 | — | 9.7 | 22 | 0.3 | 0.2 | ||||||||
Retail AIRB – Total at 30 Jun 2017 | 306.4 | 139.5 | 50.5 | 381.9 | 1.89 | 25,785,999 | 31.3 | — | 61.6 | 16 | 2.9 | 1.2 |
18 | HSBC Holdings plc |
Table 14: IRB – Credit risk exposures by portfolio and PD range (continued)1 | ||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and 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 | 5.00 | — | — | — | |||||||||
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 | 5.00 | — | — | — | — | ||||||||
FIRB – Institutions | ||||||||||||||||||||
0.00 to <0.15 | — | — | 49.3 | 0.2 | 0.08 | — | 45.0 | 1.95 | — | — | — | |||||||||
0.15 to <0.25 | 0.2 | — | 75.1 | 0.1 | 0.22 | — | 45.0 | 1.54 | 0.1 | 100 | — | |||||||||
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 | 0.2 | — | 50.6 | 0.3 | 0.16 | — | 45.0 | 1.73 | 0.1 | 33 | — | — | ||||||||
FIRB – Corporate – Other | ||||||||||||||||||||
0.00 to <0.15 | 8.8 | 13.4 | 41.4 | 14.3 | 0.08 | 1,148 | 44.9 | 2.29 | 3.7 | 26 | — | |||||||||
0.15 to <0.25 | 3.3 | 5.7 | 43.5 | 5.8 | 0.22 | 1,272 | 44.5 | 2.10 | 2.6 | 45 | — | |||||||||
0.25 to <0.50 | 4.5 | 5.9 | 35.6 | 6.5 | 0.37 | 1,391 | 44.2 | 1.85 | 3.6 | 55 | — | |||||||||
0.50 to <0.75 | 2.8 | 4.4 | 27.5 | 4.0 | 0.63 | 1,024 | 42.9 | 2.06 | 2.8 | 70 | — | |||||||||
0.75 to <2.50 | 8.4 | 8.4 | 27.0 | 10.4 | 1.34 | 3,196 | 43.1 | 1.69 | 9.3 | 89 | 0.1 | |||||||||
2.50 to <10.00 | 2.6 | 1.8 | 29.7 | 3.0 | 4.61 | 825 | 43.2 | 1.97 | 4.2 | 140 | 0.1 | |||||||||
10.00 to <100.00 | 0.3 | 0.3 | 31.1 | 0.4 | 18.69 | 182 | 42.4 | 1.17 | 0.6 | 150 | — | |||||||||
100.00 (Default) | 0.5 | 0.1 | 23.3 | 0.6 | 100.00 | 286 | 44.8 | 1.13 | — | — | 0.2 | |||||||||
Sub-total | 31.2 | 40.0 | 35.6 | 45.0 | 2.16 | 9,324 | 44.0 | 2.00 | 26.8 | 60 | 0.4 | 0.4 | ||||||||
FIRB – Total at 30 Jun 2017 | 31.4 | 40.0 | 35.7 | 45.4 | 2.15 | 9,325 | 44.0 | 2.00 | 26.9 | 59 | 0.4 | 0.4 |
1 | Securitisation positions are not included in this table. |
2 | Slotting exposures are disclosed in Table 16: Specialised lending. |
3 | The Wholesale AIRB Total includes Non-credit obligation assets (‘NCOA’) amounting to $56.2bn of Original exposure and EAD, and $12.7bn of RWAs. |
HSBC Holdings plc | 19 |
Table 14: IRB – Credit risk exposures by portfolio and PD range (continued)1 | ||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and provisions | |||||||||
PD scale | $bn | $bn | % | $bn | % | % | years | $bn | % | $bn | $bn | |||||||||
AIRB – Central government and central banks | ||||||||||||||||||||
0.00 to <0.15 | 326.6 | 1.9 | 60.5 | 327.7 | 0.02 | 417 | 42.9 | 2.05 | 26.0 | 8 | — | |||||||||
0.15 to <0.25 | 2.2 | — | 27.5 | 2.3 | 0.22 | 19 | 43.9 | 1.48 | 0.8 | 37 | — | |||||||||
0.25 to <0.50 | 2.0 | — | 42.3 | 2.0 | 0.37 | 33 | 43.5 | 1.36 | 0.9 | 49 | — | |||||||||
0.50 to <0.75 | 0.5 | — | 50.1 | 0.5 | 0.63 | 15 | 45.0 | 1.49 | 0.4 | 69 | — | |||||||||
0.75 to <2.50 | 3.7 | 0.1 | 26.7 | 3.7 | 1.35 | 35 | 45.0 | 1.27 | 3.4 | 91 | — | |||||||||
2.50 to <10.00 | 3.2 | — | 76.5 | 3.2 | 3.49 | 20 | 45.0 | 1.07 | 3.9 | 123 | 0.1 | |||||||||
10.00 to <100.00 | — | — | 50.2 | — | 10.00 | 4 | 47.0 | 0.55 | — | 189 | — | |||||||||
100.00 (Default) | — | — | — | — | 100.00 | 11 | 88.0 | 5.00 | — | — | — | |||||||||
Sub-total | 338.2 | 2.0 | 59.1 | 339.4 | 0.07 | 554 | 43.0 | 2.02 | 35.4 | 10 | 0.1 | |||||||||
AIRB – Institutions | ||||||||||||||||||||
0.00 to <0.15 | 62.5 | 16.3 | 30.5 | 67.7 | 0.05 | 2,772 | 40.2 | 1.34 | 10.2 | 15 | — | |||||||||
0.15 to <0.25 | 2.0 | 2.0 | 26.4 | 2.5 | 0.22 | 384 | 44.7 | 0.72 | 0.9 | 37 | — | |||||||||
0.25 to <0.50 | 2.5 | 0.6 | 30.9 | 2.7 | 0.37 | 278 | 44.9 | 0.69 | 1.5 | 54 | — | |||||||||
0.50 to <0.75 | 0.8 | 0.2 | 53.1 | 0.9 | 0.63 | 175 | 44.7 | 1.15 | 0.7 | 73 | — | |||||||||
0.75 to <2.50 | 1.8 | 1.1 | 28.8 | 1.9 | 1.11 | 270 | 42.2 | 0.98 | 1.6 | 83 | — | |||||||||
2.50 to <10.00 | — | — | 21.7 | — | 4.37 | 57 | 41.7 | 0.37 | — | 161 | — | |||||||||
10.00 to <100.00 | — | 0.2 | 17.4 | — | 26.64 | 44 | 53.2 | 1.53 | 0.1 | 307 | — | |||||||||
100.00 (Default) | — | — | — | — | 100.00 | 5 | 45.0 | 2.54 | — | 295 | — | |||||||||
Sub-total | 69.6 | 20.4 | 30.1 | 75.7 | 0.12 | 3,985 | 40.6 | 1.29 | 15 | 20 | — | |||||||||
AIRB – Corporate – Specialised Lending (excluding Slotting)2 | ||||||||||||||||||||
0.00 to <0.15 | 0.9 | 0.4 | 62.7 | 1.2 | 0.13 | 614 | 26.5 | 3.43 | 0.3 | 27 | — | |||||||||
0.15 to <0.25 | 0.9 | 0.3 | 45.5 | 1.0 | 0.22 | 659 | 25.4 | 3.85 | 0.4 | 36 | — | |||||||||
0.25 to <0.50 | 0.4 | 0.1 | 58.4 | 0.4 | 0.37 | 296 | 30.7 | 3.73 | 0.2 | 52 | — | |||||||||
0.50 to <0.75 | 0.4 | 0.1 | 31.0 | 0.4 | 0.63 | 250 | 26.0 | 4.29 | 0.2 | 58 | — | |||||||||
0.75 to <2.50 | 0.7 | 0.5 | 34.5 | 0.9 | 1.25 | 523 | 40.2 | 3.63 | 0.9 | 105 | — | |||||||||
2.50 to <10.00 | 0.1 | — | 56.5 | 0.1 | 3.57 | 91 | 26.2 | 4.99 | 0.1 | 102 | — | |||||||||
10.00 to <100.00 | 0.1 | — | 62.0 | 0.1 | 18.58 | 114 | 27.2 | 1.56 | 0.2 | 134 | — | |||||||||
100.00 (Default) | 0.1 | — | 94.7 | 0.1 | 100.00 | 159 | 53.3 | 3.22 | — | 11 | 0.1 | |||||||||
Sub-total | 3.6 | 1.4 | 47.7 | 4.2 | 4.36 | 2,706 | 30.3 | 3.66 | 2.3 | 56 | 0.1 | 0.1 | ||||||||
AIRB – Corporate – Other | ||||||||||||||||||||
0.00 to <0.15 | 105.5 | 144.3 | 37.9 | 186.0 | 0.08 | 10,931 | 38.1 | 2.26 | 41.4 | 22 | 0.1 | |||||||||
0.15 to <0.25 | 39.2 | 55.0 | 38.8 | 67.0 | 0.22 | 9,588 | 39.3 | 2.04 | 26.6 | 40 | 0.1 | |||||||||
0.25 to <0.50 | 45.3 | 48.8 | 36.4 | 69.6 | 0.37 | 10,306 | 39.2 | 2.08 | 34.9 | 50 | 0.1 | |||||||||
0.50 to <0.75 | 43.1 | 38.7 | 33.4 | 55.0 | 0.63 | 9,322 | 37.5 | 1.95 | 33.5 | 61 | 0.1 | |||||||||
0.75 to <2.50 | 120.2 | 89.8 | 31.9 | 123.5 | 1.37 | 42,812 | 37.2 | 2.00 | 99.7 | 81 | 0.6 | |||||||||
2.50 to <10.00 | 32.7 | 27.3 | 34.4 | 31.9 | 4.59 | 11,786 | 36.5 | 1.99 | 36.3 | 114 | 0.5 | |||||||||
10.00 to <100.00 | 5.6 | 4.8 | 39.8 | 6.4 | 19.65 | 2,459 | 36.5 | 2.05 | 11.1 | 174 | 0.5 | |||||||||
100.00 (Default) | 6.0 | 0.8 | 51.5 | 6.4 | 100.00 | 2,583 | 41.9 | 2.24 | 6.0 | 93 | 2.5 | |||||||||
Sub-total | 397.6 | 409.5 | 36.2 | 545.8 | 2.15 | 99,787 | 38.1 | 2.10 | 289.5 | 53 | 4.5 | 3.4 | ||||||||
Wholesale AIRB – Total at 31 Dec 20163 | 860.94 | 433.3 | 36.0 | 1,017.0 | 1.27 | 107,032 | 40.0 | 2.00 | 354.3 | 36 | 4.7 | 3.5 |
20 | HSBC Holdings plc |
Table 14: IRB – Credit risk exposures by portfolio and PD range (continued)1 | ||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and 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 | — | 100.0 | 0.4 | 0.07 | 1,249 | 10.5 | — | — | 2 | — | |||||||||
0.15 to <0.25 | 0.1 | — | 100.0 | 0.1 | 0.17 | 200 | 17.9 | — | — | 7 | — | |||||||||
0.25 to <0.50 | 0.2 | — | 37.7 | 0.1 | 0.32 | 1,012 | 16.4 | — | — | 10 | — | |||||||||
0.50 to <0.75 | 0.1 | 0.1 | 100.0 | 0.1 | 0.63 | 585 | 26.0 | — | — | 19 | — | |||||||||
0.75 to <2.50 | 0.3 | — | 95.0 | 0.3 | 1.63 | 1,792 | 28.9 | — | 0.1 | 29 | — | |||||||||
2.50 to <10.00 | 0.4 | — | 102.3 | 0.4 | 5.26 | 1,928 | 24.4 | — | 0.2 | 32 | — | |||||||||
10.00 to <100.00 | 0.1 | — | 86.0 | 0.1 | 17.47 | 414 | 26.5 | — | — | 50 | — | |||||||||
100.00 (Default) | — | — | 97.8 | — | 100.00 | 138 | 26.2 | — | — | 48 | — | |||||||||
Sub-total | 1.5 | 0.1 | 97.7 | 1.5 | 4.01 | 7,318 | 21.1 | — | 0.3 | 21 | — | — | ||||||||
AIRB – Secured by mortgages on immovable property non-SME | ||||||||||||||||||||
0.00 to <0.15 | 137.7 | 11.5 | 92.3 | 151.4 | 0.06 | 900,158 | 14.1 | — | 8.0 | 5 | — | |||||||||
0.15 to <0.25 | 24.4 | 1.1 | 81.0 | 25.5 | 0.21 | 106,945 | 16.5 | — | 2.7 | 11 | — | |||||||||
0.25 to <0.50 | 22.0 | 2.3 | 43.8 | 23.1 | 0.37 | 120,044 | 22.0 | — | 4.6 | 20 | — | |||||||||
0.50 to <0.75 | 12.0 | 0.4 | 96.0 | 12.4 | 0.61 | 56,427 | 15.9 | — | 2.2 | 18 | — | |||||||||
0.75 to <2.50 | 23.1 | 1.1 | 61.8 | 23.9 | 1.33 | 129,916 | 22.0 | — | 8.8 | 37 | 0.1 | |||||||||
2.50 to <10.00 | 6.4 | 0.2 | 93.6 | 6.6 | 4.76 | 36,051 | 20.0 | — | 4.7 | 71 | 0.1 | |||||||||
10.00 to <100.00 | 2.2 | 0.1 | 98.3 | 2.3 | 27.26 | 24,716 | 27.4 | — | 3.9 | 171 | 0.2 | |||||||||
100.00 (Default) | 3.8 | — | 78.5 | 3.8 | 100.00 | 35,131 | 39.7 | — | 1.6 | 42 | 1.5 | |||||||||
Sub-total | 231.6 | 16.7 | 82.9 | 249.0 | 2.14 | 1,409,388 | 16.6 | — | 36.5 | 15 | 1.9 | 0.5 | ||||||||
AIRB – Qualifying revolving retail exposures | ||||||||||||||||||||
0.00 to <0.15 | 4.9 | 62.5 | 47.4 | 34.4 | 0.07 | 11,894,411 | 93.7 | — | 1.5 | 4 | — | |||||||||
0.15 to <0.25 | 1.3 | 12.0 | 44.0 | 6.5 | 0.21 | 1,824,704 | 95.0 | — | 0.8 | 11 | — | |||||||||
0.25 to <0.50 | 2.1 | 9.0 | 42.9 | 5.9 | 0.37 | 1,732,829 | 93.3 | — | 1.0 | 17 | — | |||||||||
0.50 to <0.75 | 2.0 | 4.0 | 50.2 | 3.9 | 0.60 | 1,069,619 | 93.4 | — | 1.0 | 26 | — | |||||||||
0.75 to <2.50 | 5.5 | 6.6 | 47.3 | 8.6 | 1.39 | 1,991,102 | 91.4 | — | 4.0 | 48 | 0.1 | |||||||||
2.50 to <10.00 | 2.9 | 1.4 | 57.8 | 3.7 | 4.78 | 679,874 | 89.9 | — | 4.2 | 112 | 0.2 | |||||||||
10.00 to <100.00 | 0.8 | 0.3 | 55.7 | 0.9 | 28.87 | 268,254 | 91.7 | — | 2.1 | 219 | 0.3 | |||||||||
100.00 (Default) | 0.1 | — | 6.3 | 0.1 | 100.00 | 26,142 | 36.0 | — | 0.1 | 148 | — | |||||||||
Sub-total | 19.6 | 95.8 | 46.8 | 64.0 | 1.14 | 19,486,935 | 93.1 | — | 14.7 | 23 | 0.6 | 0.2 | ||||||||
AIRB – Other SME | ||||||||||||||||||||
0.00 to <0.15 | 0.1 | 0.1 | 67.4 | 0.2 | 0.10 | 82,891 | 39.9 | — | — | 9 | — | |||||||||
0.15 to <0.25 | 0.2 | 0.2 | 53.4 | 0.3 | 0.22 | 91,588 | 61.2 | — | 0.1 | 22 | — | |||||||||
0.25 to <0.50 | 0.3 | 0.4 | 51.2 | 0.6 | 0.38 | 141,288 | 63.1 | — | 0.2 | 32 | — | |||||||||
0.50 to <0.75 | 0.4 | 0.5 | 66.5 | 0.8 | 0.63 | 157,268 | 58.0 | — | 0.3 | 38 | — | |||||||||
0.75 to <2.50 | 2.0 | 1.3 | 60.8 | 2.8 | 1.58 | 427,912 | 58.8 | — | 1.5 | 55 | — | |||||||||
2.50 to <10.00 | 2.3 | 0.8 | 69.9 | 2.8 | 4.90 | 201,537 | 53.6 | — | 1.8 | 64 | 0.1 | |||||||||
10.00 to <100.00 | 0.5 | 0.1 | 70.1 | 0.6 | 17.66 | 69,516 | 66.6 | — | 0.6 | 106 | 0.1 | |||||||||
100.00 (Default) | 0.6 | 0.1 | 94.5 | 0.6 | 100.00 | 21,873 | 39.5 | — | — | 3 | 0.3 | |||||||||
Sub-total | 6.4 | 3.5 | 63.4 | 8.7 | 10.84 | 1,193,873 | 56.1 | — | 4.5 | 52 | 0.5 | 0.3 | ||||||||
AIRB – Other non-SME | ||||||||||||||||||||
0.00 to <0.15 | 9.5 | 6.1 | 34.4 | 11.9 | 0.07 | 442,581 | 20.0 | — | 0.5 | 5 | — | |||||||||
0.15 to <0.25 | 6.0 | 2.7 | 35.8 | 7.3 | 0.20 | 393,748 | 31.2 | — | 1.0 | 14 | — | |||||||||
0.25 to <0.50 | 5.4 | 2.9 | 29.6 | 6.3 | 0.36 | 276,509 | 29.9 | — | 1.2 | 19 | — | |||||||||
0.50 to <0.75 | 4.0 | 1.2 | 29.1 | 4.5 | 0.60 | 176,642 | 29.3 | — | 1.1 | 24 | — | |||||||||
0.75 to <2.50 | 8.7 | 0.6 | 31.7 | 9.1 | 1.37 | 345,838 | 28.9 | — | 3.2 | 35 | — | |||||||||
2.50 to <10.00 | 2.8 | 1.0 | 26.8 | 3.2 | 4.31 | 188,614 | 39.5 | — | 1.9 | 61 | 0.1 | |||||||||
10.00 to <100.00 | 0.7 | — | 17.1 | 0.8 | 25.11 | 79,970 | 65.7 | — | 1.1 | 138 | 0.1 | |||||||||
100.00 (Default) | 0.4 | — | 52.1 | 0.5 | 100.00 | 58,697 | 55.4 | — | 0.1 | 13 | 0.3 | |||||||||
Sub-total | 37.5 | 14.5 | 32.6 | 43.6 | 2.26 | 1,962,599 | 28.7 | — | 10.1 | 23 | 0.5 | 0.3 | ||||||||
Retail AIRB – Total at 31 Dec 2016 | 296.6 | 130.6 | 50.3 | 366.8 | 2.19 | 24,060,113 | 32.3 | — | 66.1 | 18 | 3.5 | 1.3 |
HSBC Holdings plc | 21 |
Table 14: IRB – Credit risk exposures by portfolio and PD range (continued)1 | ||||||||||||||||||||
Original on-balance sheet gross exposure | Off-balance sheet exposures pre-CCF | Average CCF | EAD post-CRM and post-CCF | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | Expected loss | Value adjustments and 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 | 0.04 | 1 | 45.0 | 5.00 | — | 32 | — | |||||||||
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 | 0.04 | 1 | 45.0 | 5.00 | — | 32 | — | — | ||||||||
FIRB – Institutions | ||||||||||||||||||||
0.00 to <0.15 | 0.1 | — | 45.2 | 0.1 | 0.06 | 2 | 45.0 | 2.75 | — | 23 | — | |||||||||
0.15 to <0.25 | — | — | 20.7 | — | 0.22 | — | 45.0 | 3.82 | — | 62 | — | |||||||||
0.25 to <0.50 | 0.1 | — | 75.0 | 0.2 | 0.37 | 1 | 45.0 | 1.71 | 0.1 | 55 | — | |||||||||
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 | 0.2 | — | 46.6 | 0.3 | 0.26 | 3 | 45.0 | 2.09 | 0.1 | 43 | — | — | ||||||||
FIRB – Corporate – Other | ||||||||||||||||||||
0.00 to <0.15 | 8.6 | 12.2 | 40.5 | 13.5 | 0.09 | 1,316 | 44.6 | 2.45 | 3.8 | 28 | — | |||||||||
0.15 to <0.25 | 3.1 | 5.7 | 39.2 | 5.3 | 0.22 | 1,303 | 44.9 | 2.22 | 2.4 | 46 | — | |||||||||
0.25 to <0.50 | 4.5 | 5.2 | 32.2 | 6.1 | 0.37 | 1,549 | 42.8 | 1.96 | 3.5 | 57 | — | |||||||||
0.50 to <0.75 | 3.3 | 5.2 | 30.9 | 4.9 | 0.63 | 1,140 | 43.4 | 1.98 | 3.6 | 72 | — | |||||||||
0.75 to <2.50 | 6.7 | 9.7 | 26.5 | 9.0 | 1.35 | 2,817 | 43.1 | 1.67 | 8.3 | 91 | 0.1 | |||||||||
2.50 to <10.00 | 2.3 | 2.2 | 28.2 | 2.8 | 4.65 | 1,312 | 42.9 | 1.90 | 3.8 | 138 | 0.1 | |||||||||
10.00 to <100.00 | 0.2 | 0.2 | 15.2 | 0.3 | 15.99 | 180 | 41.4 | 0.90 | 0.4 | 175 | — | |||||||||
100.00 (Default) | 0.4 | 0.1 | 45.8 | 0.5 | 100.00 | 414 | 44.9 | 1.43 | — | — | 0.2 | |||||||||
Sub-total | 29.1 | 40.5 | 33.9 | 42.4 | 1.95 | 10,031 | 43.8 | 2.07 | 25.8 | 61 | 0.4 | 0.4 | ||||||||
FIRB – Total at 31 Dec 2016 | 29.3 | 40.5 | 34.0 | 42.8 | 1.94 | 10,035 | 43.8 | 2.1 | 25.9 | 61 | 0.4 | 0.4 |
1 | Securitisation positions are not included in this table. |
2 | Slotting exposures are disclosed in Table 16: Specialised lending. |
3 | The Wholesale AIRB Total includes NCOA amounting to $51.9bn of EAD, and $12.1bn of RWAs. |
4 | $51.9bn of Original on-balance sheet gross exposure has been added to the Wholesale AIRB Total for 31 Dec 2016. |
22 | HSBC Holdings plc |
Table 15: IRB – Effect on RWA of credit derivatives used as CRM techniques | |||||||
At | |||||||
30 Jun 2017 | 31 Dec 2016 | ||||||
Pre-credit derivatives RWAs | Actual RWAs | Pre-credit derivatives RWAs | Actual RWAs | ||||
$bn | $bn | $bn | $bn | ||||
1 | Exposures under FIRB | 0.5 | 0.5 | 0.3 | 0.3 | ||
6 | Corporates – other | 0.5 | 0.5 | 0.3 | 0.3 | ||
7 | Exposures under AIRB1 | 172.5 | 171.4 | 159.7 | 158.6 | ||
8 | Central governments and central banks | 5.8 | 5.8 | 5.9 | 5.9 | ||
9 | Institutions | 4.7 | 4.7 | 2.7 | 2.7 | ||
11 | Corporates – specialised lending | 18.3 | 18.3 | 14.4 | 14.4 | ||
12 | Corporates – other | 115.1 | 114.0 | 105.2 | 104.1 | ||
14 | Retail – Secured by real estate non-SMEs | 13.8 | 13.8 | 18.4 | 18.4 | ||
15 | Retail – Qualifying revolving | 5.4 | 5.4 | 4.4 | 4.4 | ||
16 | Retail – Other SMEs | 4.0 | 4.0 | 3.0 | 3.0 | ||
17 | Retail – Other non-SMEs | 5.4 | 5.4 | 5.7 | 5.7 | ||
20 | Total | 173.0 | 171.9 | 160.0 | 158.9 |
1 | Securitisation positions are not included in this table. |
Table 16: Specialised lending1 | ||||||||||||||
On-balance sheet amount | Off-balance sheet amount | Risk weight | Exposure amount | RWAs | Expected loss | |||||||||
Regulatory categories | Regulatory maturity | |||||||||||||
$bn | $bn | % | $bn | $bn | $bn | |||||||||
Category 1 | Less than 2.5 years | 11.8 | 1.5 | 50 | 12.8 | 6.4 | — | |||||||
Equal to or more than 2.5 years | 12.1 | 1.5 | 70 | 13.0 | 9.0 | 0.2 | ||||||||
Category 2 | Less than 2.5 years | 3.5 | 0.3 | 70 | 3.6 | 2.5 | — | |||||||
Equal to or more than 2.5 years | 2.6 | 0.2 | 90 | 2.7 | 2.4 | — | ||||||||
Category 3 | Less than 2.5 years | 0.4 | — | 115 | 0.4 | 0.5 | — | |||||||
Equal to or more than 2.5 years | 0.8 | — | 115 | 0.8 | 0.9 | — | ||||||||
Category 4 | Less than 2.5 years | 0.1 | — | 250 | 0.2 | 0.4 | — | |||||||
Equal to or more than 2.5 years | 0.1 | — | 250 | 0.1 | 0.3 | — | ||||||||
Category 5 | Less than 2.5 years | 0.6 | — | — | 0.8 | — | 0.4 | |||||||
Equal to or more than 2.5 years | 0.3 | — | — | 0.3 | — | 0.1 | ||||||||
Total at 30 Jun 2017 | Less than 2.5 years | 16.4 | 1.8 | 17.8 | 9.8 | 0.4 | ||||||||
Equal to or more than 2.5 years | 15.9 | 1.7 | 16.9 | 12.6 | 0.3 | |||||||||
Category 1 | Less than 2.5 years | 9.1 | 1.5 | 50 | 9.9 | 5.0 | — | |||||||
Equal to or more than 2.5 years | 12.6 | 1.5 | 70 | 13.7 | 9.5 | 0.1 | ||||||||
Category 2 | Less than 2.5 years | 2.9 | 0.4 | 70 | 3.1 | 2.1 | — | |||||||
Equal to or more than 2.5 years | 2.8 | 0.1 | 90 | 2.8 | 2.5 | — | ||||||||
Category 3 | Less than 2.5 years | 0.5 | — | 115 | 0.5 | 0.6 | — | |||||||
Equal to or more than 2.5 years | 0.9 | — | 115 | 0.9 | 1.0 | — | ||||||||
Category 4 | Less than 2.5 years | 0.3 | — | 250 | 0.3 | 0.8 | — | |||||||
Equal to or more than 2.5 years | 0.1 | — | 250 | 0.1 | 0.3 | — | ||||||||
Category 5 | Less than 2.5 years | 0.5 | — | — | 0.8 | — | 0.5 | |||||||
Equal to or more than 2.5 years | 0.3 | — | — | 0.4 | — | 0.2 | ||||||||
Total at 31 Dec 2016 | Less than 2.5 years | 13.3 | 1.9 | 14.6 | 8.5 | 0.5 | ||||||||
Equal to or more than 2.5 years | 16.7 | 1.6 | 17.9 | 13.3 | 0.3 |
1 | High volatility commercial real estate (‘HVCRE’) exposures are not included in the above table. The value of exposures under HVCRE was nil at 30 Jun 2017 (31 Dec 2016: $0.6bn). |
HSBC Holdings plc | 23 |
Counterparty credit risk |
Table 17: Analysis of counterparty credit risk (‘CCR’) exposure by approach (excluding centrally cleared exposures) | ||||||||||||||
Replacement cost | Potential future exposure | EEPE | Alpha used for computing regulatory EAD | EAD post-CRM | RWAs | |||||||||
Footnote | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | SA-CCR | 1 | 20.8 | 46.3 | — | — | 67.1 | 27.4 | ||||||
2 | Internal Model Method | — | — | 17.0 | 1.4 | 23.8 | 10.0 | |||||||
4 | Comprehensive Approach for credit risk mitigation | — | — | — | — | 47.3 | 8.9 | |||||||
6 | Total at 30 Jun 2017 | 20.8 | 46.3 | 17.0 | 1.4 | 138.2 | 46.3 | |||||||
1 | SA-CCR | 1 | 27.5 | 43.5 | — | — | 71.0 | 28.0 | ||||||
2 | Internal Model Method | — | — | 19.9 | 1.4 | 27.9 | 10.9 | |||||||
4 | Comprehensive Approach for credit risk mitigation | — | — | — | — | 38.3 | 7.3 | |||||||
6 | Total at 31 Dec 2016 | 27.5 | 43.5 | 19.9 | 1.4 | 137.2 | 46.2 |
1 | Prior to the implementation of SA-CCR, exposures reported here will be those under the mark-to-market method. |
Table 18: Credit valuation adjustment (‘CVA’) capital charge | |||||||||
At | |||||||||
30 Jun 2017 | 31 Dec 2016 | ||||||||
EAD post-CRM | RWAs | EAD post-CRM | RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Total portfolios subject to the Advanced CVA capital charge | 10.3 | 4.1 | 12.8 | 3.5 | ||||
2 | – VaR component (including the 3 × multiplier) | — | 0.7 | — | 0.8 | ||||
3 | – stressed VaR component (including the 3 × multiplier) | — | 3.4 | — | 2.7 | ||||
4 | All portfolios subject to the Standardised CVA capital charge | 39.6 | 10.0 | 41.6 | 10.9 | ||||
5 | Total subject to the CVA capital charge | 49.9 | 14.1 | 54.4 | 14.4 |
Table 19: Standardised approach – CCR exposures by regulatory portfolio and risk weights | ||||||||||||||||||||
Risk weight | 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | Total credit exposure | Of which unrated | ||||||||||
Central governments and central banks | 6.7 | — | — | — | — | — | — | — | 6.7 | 5.6 | ||||||||||
Institutions | — | — | — | 0.1 | — | — | — | — | 0.1 | 0.1 | ||||||||||
Corporates | — | — | — | 0.1 | — | 2.3 | — | — | 2.4 | 2.0 | ||||||||||
Total at 30 Jun 2017 | 6.7 | — | — | 0.2 | — | 2.3 | — | — | 9.2 | 7.7 | ||||||||||
Central governments and central banks | 7.3 | — | — | — | — | — | — | — | 7.3 | 4.3 | ||||||||||
Institutions | — | — | — | 0.2 | — | — | — | — | 0.2 | 0.2 | ||||||||||
Corporates | — | — | — | 0.1 | — | 2.5 | — | — | 2.6 | 2.3 | ||||||||||
Total at 31 Dec 2016 | 7.3 | — | — | 0.3 | — | 2.5 | — | — | 10.1 | 6.8 |
24 | HSBC Holdings plc |
Table 20: IRB – CCR exposures by portfolio and PD scale | |||||||||||
EAD post-CRM | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | |||||
PD scale | $bn | % | % | years | $bn | % | |||||
AIRB – Central Government and Central Banks | |||||||||||
0.00 to <0.15 | 11.1 | 0.04 | 99 | 45.0 | 1.17 | 0.9 | 8 | ||||
0.15 to <0.25 | 0.1 | 0.22 | 10 | 45.0 | 4.23 | 0.1 | 66 | ||||
0.25 to <0.50 | 0.1 | 0.37 | 5 | 45.0 | 0.22 | 0.1 | 38 | ||||
0.50 to <0.75 | — | 0.63 | 5 | 45.0 | 1.01 | — | 64 | ||||
0.75 to <2.50 | 0.3 | 1.76 | 5 | 45.0 | 1.12 | 0.3 | 98 | ||||
2.50 to <10.00 | 0.3 | 3.05 | 1 | 45.0 | 0.36 | 0.3 | — | ||||
10.00 to <100.00 | — | — | — | — | — | — | — | ||||
100.00 (Default) | — | — | — | — | — | — | — | ||||
Sub-total | 11.9 | 0.16 | 125 | 45.0 | 1.17 | 1.7 | 14 | ||||
AIRB – Institutions | |||||||||||
0.00 to <0.15 | 52.4 | 0.06 | 3,405 | 40.1 | 1.09 | 11.1 | 21 | ||||
0.15 to <0.25 | 6.2 | 0.22 | 299 | 46.4 | 1.44 | 3.1 | 50 | ||||
0.25 to <0.50 | 2.1 | 0.37 | 134 | 45.0 | 1.14 | 1.2 | 58 | ||||
0.50 to <0.75 | 0.3 | 0.63 | 84 | 45.0 | 2.77 | 0.3 | 100 | ||||
0.75 to <2.50 | 0.6 | 1.23 | 121 | 45.1 | 1.83 | 0.7 | 113 | ||||
2.50 to <10.00 | 0.1 | 4.82 | 28 | 36.4 | 0.86 | 0.1 | 158 | ||||
10.00 to <100.00 | 0.1 | 22.98 | 23 | 33.0 | 1.79 | 0.2 | 284 | ||||
100.00 (Default) | — | — | — | — | — | — | — | ||||
Sub-total | 61.8 | 0.14 | 4,094 | 45.2 | 1.31 | 16.7 | 27 | ||||
AIRB – Corporates | |||||||||||
0.00 to <0.15 | 30.8 | 0.08 | 5,696 | 44.6 | 1.87 | 7.5 | 24 | ||||
0.15 to <0.25 | 6.3 | 0.22 | 1,845 | 45.6 | 1.75 | 3.1 | 49 | ||||
0.25 to <0.50 | 3.7 | 0.37 | 1,116 | 46.4 | 2.18 | 2.5 | 67 | ||||
0.50 to <0.75 | 3.0 | 0.63 | 970 | 43.0 | 1.54 | 2.4 | 81 | ||||
0.75 to <2.50 | 6.1 | 1.31 | 2,737 | 46.0 | 1.36 | 6.5 | 107 | ||||
2.50 to <10.00 | 0.8 | 4.09 | 644 | 47.5 | 1.63 | 1.3 | 161 | ||||
10.00 to <100.00 | 0.1 | 25.10 | 103 | 47.1 | 1.83 | 0.2 | 244 | ||||
100.00 (Default) | 0.1 | 100.00 | 30 | 45.0 | 4.28 | — | — | ||||
Sub-total | 50.9 | 0.56 | 13,141 | 45.2 | 1.81 | 23.5 | 46 | ||||
Total at 30 Jun 2017 | 124.6 | 0.32 | 17,360 | 45.1 | 1.50 | 41.9 | 34 | ||||
FIRB – Corporates | |||||||||||
0.00 to <0.15 | 2.6 | 0.08 | 552 | 38.9 | 1.78 | 0.7 | 27 | ||||
0.15 to <0.25 | 0.3 | 0.22 | 155 | 45.0 | 2.02 | 0.1 | 46 | ||||
0.25 to <0.50 | 0.2 | 0.37 | 172 | 45.0 | 1.74 | 0.1 | 57 | ||||
0.50 to <0.75 | 0.1 | 0.63 | 101 | 45.0 | 1.67 | 0.1 | 77 | ||||
0.75 to <2.50 | 0.5 | 1.42 | 327 | 45.0 | 1.96 | 0.5 | 107 | ||||
2.50 to <10.00 | 0.1 | 3.77 | 81 | 45.0 | 1.79 | 0.1 | 136 | ||||
10.00 to <100.00 | — | 16.16 | 11 | 45.0 | 1.06 | — | 193 | ||||
100.00 (Default) | — | 100.00 | 7 | 45.0 | 1.11 | — | — | ||||
Total at 30 Jun 2017 | 3.8 | 0.43 | 1,406 | 45.0 | 2.08 | 1.6 | 43 | ||||
Total (all portfolios) at 30 Jun 2017 | 128.4 | 0.32 | 18,766 | 45.1 | 1.52 | 43.5 | 34 |
HSBC Holdings plc | 25 |
Table 20: IRB – CCR exposures by portfolio and PD scale (continued) | ||||||||||||||
EAD post-CRM | Average PD | Number of obligors | Average LGD | Average maturity | RWAs | RWA density | ||||||||
PD scale | $bn | % | % | years | $bn | % | ||||||||
AIRB – Central Government and Central Banks | ||||||||||||||
0.00 to <0.15 | 11.7 | 0.04 | 104 | 45.3 | 1.00 | 1.1 | 8 | |||||||
0.15 to <0.25 | 0.2 | 0.22 | 4 | 45.0 | 1.00 | 0.1 | 32 | |||||||
0.25 to <0.50 | — | 0.37 | 5 | 45.0 | 0.20 | — | 38 | |||||||
0.50 to <0.75 | — | 0.63 | 5 | 45.0 | 0.20 | — | 55 | |||||||
0.75 to <2.50 | — | 1.34 | 12 | 41.2 | 2.80 | — | 111 | |||||||
2.50 to <10.00 | 0.4 | 4.20 | 3 | 45.0 | 0.90 | 0.5 | — | |||||||
10.00 to <100.00 | — | — | — | — | — | — | — | |||||||
100.00 (Default) | — | — | — | — | — | — | — | |||||||
Sub-total | 12.3 | 0.19 | 133 | 45.3 | 1.00 | 1.7 | 13 | |||||||
AIRB – Institutions | ||||||||||||||
0.00 to <0.15 | 48.5 | 0.06 | 3,473 | 45.2 | 1.30 | 10.8 | 22 | |||||||
0.15 to <0.25 | 5.9 | 0.22 | 295 | 46.9 | 1.60 | 3.0 | 51 | |||||||
0.25 to <0.50 | 1.6 | 0.37 | 133 | 45.0 | 1.40 | 0.9 | 61 | |||||||
0.50 to <0.75 | 0.7 | 0.63 | 69 | 45.0 | 0.60 | 0.5 | 70 | |||||||
0.75 to <2.50 | 0.6 | 1.07 | 144 | 45.1 | 1.50 | 0.6 | 104 | |||||||
2.50 to <10.00 | 0.1 | 4.64 | 31 | 45.0 | 2.30 | 0.1 | 186 | |||||||
10.00 to <100.00 | 0.1 | 28.13 | 17 | 53.4 | 2.10 | 0.2 | 329 | |||||||
100.00 (Default) | — | — | — | — | — | — | — | |||||||
Sub-total | 57.5 | 0.14 | 4,162 | 45.3 | 1.40 | 16.1 | 28 | |||||||
AIRB – Corporates | ||||||||||||||
0.00 to <0.15 | 30.9 | 0.07 | 5,839 | 41.6 | 1.90 | 7.5 | 24 | |||||||
0.15 to <0.25 | 7.3 | 0.22 | 1,870 | 46.3 | 1.90 | 3.7 | 51 | |||||||
0.25 to <0.50 | 3.4 | 0.37 | 1,131 | 47.1 | 1.70 | 2.1 | 62 | |||||||
0.50 to <0.75 | 3.3 | 0.63 | 968 | 43.3 | 1.40 | 2.6 | 79 | |||||||
0.75 to <2.50 | 5.7 | 1.35 | 3,112 | 46.3 | 1.40 | 6.1 | 107 | |||||||
2.50 to <10.00 | 0.7 | 4.24 | 693 | 47.6 | 1.70 | 1.2 | 171 | |||||||
10.00 to <100.00 | 0.1 | 24.67 | 121 | 49.9 | 2.00 | 0.3 | 300 | |||||||
100.00 (Default) | 0.1 | 100.00 | 46 | 45.4 | 4.20 | — | — | |||||||
Sub-total | 51.5 | 0.66 | 13,780 | 43.8 | 1.80 | 23.5 | 46 | |||||||
Total at 31 Dec 2016 | 121.3 | 0.34 | 18,075 | 44.5 | 1.50 | 41.3 | 34 | |||||||
FIRB – Corporates | ||||||||||||||
0.00 to <0.15 | 4.2 | 0.06 | 553 | 45.0 | 1.90 | 0.9 | 23 | |||||||
0.15 to <0.25 | 0.3 | 0.22 | 137 | 45.0 | 2.20 | 0.1 | 48 | |||||||
0.25 to <0.50 | 0.3 | 0.37 | 160 | 45.0 | 1.70 | 0.2 | 58 | |||||||
0.50 to <0.75 | 0.4 | 0.63 | 96 | 45.0 | 1.70 | 0.3 | 73 | |||||||
0.75 to <2.50 | 0.3 | 1.35 | 496 | 45.0 | 2.20 | 0.3 | 108 | |||||||
2.50 to <10.00 | — | 4.61 | 79 | 45.0 | 2.00 | 0.1 | 151 | |||||||
10.00 to <100.00 | — | 13.52 | 10 | 45.0 | 1.00 | — | 218 | |||||||
100.00 (Default) | — | 100.00 | 7 | 45.0 | 1.20 | — | — | |||||||
Total at 31 Dec 2016 | 5.5 | 0.20 | 1,538 | 45.0 | 1.91 | 1.9 | 35 | |||||||
Total (all portfolios) at 31 Dec 2016 | 126.8 | 0.33 | 19,613 | 44.5 | 1.52 | 43.2 | 34 |
26 | HSBC Holdings plc |
Table 21: Composition of collateral for CCR exposure | |||||||||||||
Collateral used in derivative transactions | Collateral used in SFTs | ||||||||||||
Fair value of collateral received | Fair value of posted collateral | Fair value of collateral received | Fair value of posted collateral | ||||||||||
Segregated | Unsegregated | Segregated | Unsegregated | ||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Cash – domestic currency | — | 5.5 | 1.6 | 3.6 | 49.0 | 83.4 | ||||||
2 | Cash – other currencies | — | 38.7 | 4.2 | 33.3 | 219.8 | 280.1 | ||||||
3 | Domestic sovereign debt | — | 4.7 | — | 5.7 | 69.1 | 53.2 | ||||||
4 | Other sovereign debt | — | 5.2 | — | 8.3 | 227.0 | 191.1 | ||||||
5 | Government agency debt | — | 0.3 | — | 0.3 | 10.5 | 10.8 | ||||||
6 | Corporate bonds | — | 0.5 | — | — | 35.9 | 16.7 | ||||||
7 | Equity securities | — | 0.2 | — | — | 52.8 | 42.0 | ||||||
8 | Other collateral | — | — | — | 0.2 | 1.0 | 0.3 | ||||||
9 | Total at 30 Jun 2017 | — | 55.1 | 5.8 | 51.4 | 665.1 | 677.6 | ||||||
1 | Cash – domestic currency | — | 5.2 | 2.0 | 3.0 | 42.9 | 73.1 | ||||||
2 | Cash – other currencies | — | 38.9 | 4.7 | 32.4 | 148.7 | 227.5 | ||||||
3 | Domestic sovereign debt | — | 4.2 | — | 7.1 | 64.5 | 49.1 | ||||||
4 | Other sovereign debt | — | 8.9 | — | 9.4 | 186.7 | 131.9 | ||||||
5 | Government agency debt | — | 0.3 | — | 0.2 | 7.8 | 2.3 | ||||||
6 | Corporate bonds | — | 0.4 | — | — | 23.7 | 11.1 | ||||||
7 | Equity securities | — | — | — | — | 39.5 | 34.4 | ||||||
8 | Other collateral | — | 0.1 | — | 0.2 | 2.0 | 7.6 | ||||||
9 | Total at 31 Dec 2016 | — | 58.0 | 6.7 | 52.3 | 515.8 | 537.0 |
Table 22: Exposures to central counterparties | |||||||||
At | |||||||||
30 Jun 2017 | 31 Dec 2016 | ||||||||
EAD post-CRM | RWAs | EAD post-CRM | RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Exposures to QCCPs (total) | 39.2 | 1.3 | 34.0 | 1.2 | ||||
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions) | 26.0 | 0.5 | 20.7 | 0.4 | ||||
3 | – OTC derivatives | 13.7 | 0.3 | 10.4 | 0.2 | ||||
4 | – exchange-traded derivatives | 10.5 | 0.2 | 7.2 | 0.1 | ||||
5 | – securities financing transactions | 1.8 | — | 3.1 | 0.1 | ||||
6 | – netting sets where cross-product netting has been approved | — | — | — | — | ||||
7 | Segregated initial margin | 5.8 | — | 6.7 | — | ||||
8 | Non-segregated initial margin | 7.4 | 0.1 | 6.6 | 0.1 | ||||
9 | Pre-funded default fund contributions | — | 0.7 | — | 0.7 | ||||
11 | Exposures to non-QCCPs (total) | — | — | 0.3 | 0.4 | ||||
12 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions) | — | — | 0.3 | 0.4 | ||||
13 | – OTC derivatives | — | — | 0.3 | 0.4 | ||||
14 | – exchange-traded derivatives | — | — | — | — | ||||
15 | – securities financing transactions | — | — | — | — | ||||
16 | – netting sets where cross-product netting has been approved | — | — | — | — |
HSBC Holdings plc | 27 |
Table 23: Credit derivatives exposures | |||||||||
At | |||||||||
30 Jun 2017 | 31 Dec 2016 | ||||||||
Protection bought | Protection sold | Protection bought | Protection sold | ||||||
Footnote | $bn | $bn | $bn | $bn | |||||
Credit derivative products used for own credit portfolio – notionals | 5.6 | 2.7 | 4.6 | 1.9 | |||||
– index credit default swaps | 5.6 | 2.7 | 4.6 | 1.9 | |||||
– total return swaps | — | — | — | — | |||||
Credit derivative products used for intermediation – notionals | 1 | 178.5 | 167.4 | 226.9 | 214.4 | ||||
– index credit default swaps | 171.6 | 154.9 | 214.6 | 207.4 | |||||
– total return swaps | 6.9 | 12.5 | 12.3 | 7.0 | |||||
Total credit derivative notionals | 184.1 | 170.1 | 231.5 | 216.3 | |||||
Fair values | |||||||||
Positive fair value (asset) | 1.4 | 2.6 | 2.3 | 2.9 | |||||
Negative fair value (liability) | (2.7 | ) | (1.7 | ) | (3.1 | ) | (2.7 | ) |
1 | This is where we act as an intermediary for our clients, enabling them to take a position in the underlying securities. This does not increase risk for HSBC. |
Securitisation |
Table 24: Securitisation exposures in the non-trading book | ||||||||||||||||||||
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | ||||||||||||||||||
Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | ||||||||||||
Footnote | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
1 | Retail (total) | 1.2 | — | 1.2 | 17.2 | — | 17.2 | 5.9 | — | 5.9 | ||||||||||
2 | – residential mortgage | — | — | — | — | — | — | 3.2 | — | 3.2 | ||||||||||
3 | – credit card | — | — | — | — | — | — | 0.6 | — | 0.6 | ||||||||||
4 | – other retail exposures | — | — | — | 17.2 | — | 17.2 | 2.1 | — | 2.1 | ||||||||||
5 | – re-securitisation | 1.2 | — | 1.2 | — | — | — | — | — | — | ||||||||||
6 | Wholesale (total) | — | 4.7 | 4.7 | 5.3 | — | 5.3 | 2.7 | — | 2.7 | ||||||||||
7 | – loans to corporates | — | 4.7 | 4.7 | 0.1 | — | 0.1 | — | — | — | ||||||||||
8 | – commercial mortgage | — | — | — | — | — | — | 1.8 | — | 1.8 | ||||||||||
9 | – lease and receivables | — | — | — | 0.8 | — | 0.8 | 0.4 | — | 0.4 | ||||||||||
10 | – other wholesale | — | — | — | — | — | — | 0.4 | — | 0.4 | ||||||||||
11 | – re-securitisation | — | — | — | 4.4 | — | 4.4 | 0.1 | — | 0.1 | ||||||||||
Total at 30 Jun 2017 | 1.2 | 4.7 | 5.9 | 22.5 | — | 22.5 | 8.6 | — | 8.6 | |||||||||||
1 | Retail (total) | 1.3 | — | 1.3 | 17.3 | — | 17.3 | 2.7 | — | 2.7 | ||||||||||
2 | – residential mortgage | — | — | — | 0.1 | — | 0.1 | 2.3 | — | 2.3 | ||||||||||
3 | – credit card | — | — | — | — | — | — | — | — | — | ||||||||||
4 | – other retail exposures | — | — | — | 17.2 | — | 17.2 | 0.4 | — | 0.4 | ||||||||||
5 | – re-securitisation | 1 | 1.3 | — | 1.3 | — | — | — | — | — | — | |||||||||
6 | Wholesale (total) | — | 4.7 | 4.7 | 5.4 | — | 5.4 | 3.8 | — | 3.8 | ||||||||||
7 | – loans to corporates | — | 4.7 | 4.7 | — | — | — | — | — | — | ||||||||||
8 | – commercial mortgage | — | — | — | — | — | — | 2.9 | — | 2.9 | ||||||||||
9 | – lease and receivables | — | — | — | — | — | — | — | — | — | ||||||||||
10 | – other wholesale | — | — | — | — | — | — | 0.8 | — | 0.8 | ||||||||||
11 | – re-securitisation | — | — | — | 5.4 | — | 5.4 | 0.1 | — | 0.1 | ||||||||||
Total at 31 Dec 2016 | 1.3 | 4.7 | 6.0 | 22.7 | — | 22.7 | 6.5 | — | 6.5 |
1 | In the comparative period, $1.2bn of traditional re-securitisation exposure originated by the Group has been reallocated from wholesale to retail. |
28 | HSBC Holdings plc |
Table 25: Securitisation exposures in the trading book | |||||||||||||
At | |||||||||||||
30 Jun 2017 | 31 Dec 2016 | ||||||||||||
Bank acts as investor1 | Bank acts as investor1 | ||||||||||||
Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Retail (total) | 1.6 | — | 1.6 | 1.5 | — | 1.5 | ||||||
2 | – residential mortgage | 0.8 | — | 0.8 | 0.6 | — | 0.6 | ||||||
3 | – credit card | 0.2 | — | 0.2 | — | — | — | ||||||
4 | – other retail exposures | 0.6 | — | 0.6 | 0.9 | — | 0.9 | ||||||
5 | – re-securitisation | — | — | — | — | — | — | ||||||
6 | Wholesale (total) | 0.9 | — | 0.9 | 1.0 | — | 1.0 | ||||||
7 | – loans to corporates | — | — | — | 0.1 | — | 0.1 | ||||||
8 | – commercial mortgage | 0.7 | — | 0.7 | 0.7 | — | 0.7 | ||||||
9 | – lease and receivables | — | — | — | — | — | — | ||||||
10 | – other wholesale | 0.2 | — | 0.2 | 0.1 | — | 0.1 | ||||||
11 | – re-securitisation | — | — | — | 0.1 | — | 0.1 |
1 | HSBC does not act as originator or sponsor for securitisation exposures in the trading book. |
Table 26: Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as sponsor | ||||||||||||||||||||
Exposure values (by risk weight bands) | Exposure values (by regulatory approach) | |||||||||||||||||||
≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to 1,250% RW | 1,250% RW | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 17.5 | 1.6 | 0.2 | 0.2 | 4.2 | 19.4 | — | 0.1 | 4.2 | ||||||||||
3 | Securitisation | 17.5 | 0.4 | 0.1 | 0.1 | — | 18.0 | — | 0.1 | — | ||||||||||
4 | – retail underlying | 16.7 | 0.4 | — | 0.1 | — | 17.2 | — | — | — | ||||||||||
5 | – wholesale | 0.8 | — | 0.1 | — | — | 0.8 | — | 0.1 | — | ||||||||||
6 | Re-securitisation | — | 1.2 | 0.1 | 0.1 | 4.2 | 1.4 | — | — | 4.2 | ||||||||||
7 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | 1.2 | 0.1 | 0.1 | 4.2 | 1.4 | — | — | 4.2 | ||||||||||
9 | Synthetic securitisation | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
10 | Securitisation | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
14 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
1 | Total at 30 Jun 2017 | 21.8 | 1.6 | 0.6 | 0.2 | 4.2 | 24.1 | — | 0.1 | 4.2 | ||||||||||
2 | Traditional securitisation | 16.7 | 2.0 | 0.2 | 0.2 | 4.9 | 18.9 | — | 0.2 | 4.9 | ||||||||||
3 | Securitisation | 16.7 | 0.4 | 0.1 | 0.1 | — | 17.2 | — | 0.2 | — | ||||||||||
4 | – retail underlying | 16.7 | 0.4 | 0.1 | 0.1 | — | 17.2 | — | 0.2 | — | ||||||||||
5 | – wholesale | — | — | — | — | — | — | — | — | — | ||||||||||
6 | Re-securitisation | — | 1.6 | 0.1 | 0.1 | 4.9 | 1.7 | — | — | 4.9 | ||||||||||
7 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | 1.6 | 0.1 | 0.1 | 4.9 | 1.7 | — | — | 4.9 | ||||||||||
9 | Synthetic securitisation | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
10 | Securitisation | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | 4.3 | — | 0.4 | — | — | 4.7 | — | — | — | ||||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
14 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
1 | Total at 31 Dec 2016 | 21.0 | 2.0 | 0.6 | 0.2 | 4.9 | 23.6 | — | 0.2 | 4.9 |
HSBC Holdings plc | 29 |
Table 26: Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as sponsor (continued) | ||||||||||||||||||
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||
IRB RBA (including IAA) | IRB SFA | SA | 1,250% | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | |||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
2 | Traditional securitisation | 3.2 | — | 0.1 | 51.7 | 0.3 | — | — | 1.2 | |||||||||
3 | Securitisation | 2.2 | — | 0.1 | — | 0.2 | — | — | — | |||||||||
4 | – retail underlying | 2.1 | — | — | — | 0.2 | — | — | — | |||||||||
5 | – wholesale | 0.1 | — | 0.1 | — | — | — | — | — | |||||||||
6 | Re-securitisation | 1.0 | — | — | 51.7 | 0.1 | — | — | 1.2 | |||||||||
7 | – senior | — | — | — | — | — | — | — | — | |||||||||
8 | – non-senior | 1.0 | — | — | 51.7 | 0.1 | — | — | 1.2 | |||||||||
9 | Synthetic securitisation | 0.8 | — | — | 0.3 | 0.1 | — | — | — | |||||||||
10 | Securitisation | 0.8 | — | — | 0.3 | 0.1 | — | — | — | |||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | |||||||||
12 | – wholesale | 0.8 | — | — | 0.3 | 0.1 | — | — | — | |||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | |||||||||
14 | – senior | — | — | — | — | — | — | — | — | |||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | |||||||||
1 | Total at 30 Jun 2017 | 4.0 | — | 0.1 | 52.0 | 0.4 | — | — | 1.2 | |||||||||
2 | Traditional securitisation | 2.6 | — | 0.2 | 58.8 | 0.2 | — | — | 1.2 | |||||||||
3 | Securitisation | 1.6 | — | 0.2 | — | 0.1 | — | — | — | |||||||||
4 | – retail underlying | 1.6 | — | 0.2 | — | 0.1 | — | — | — | |||||||||
5 | – wholesale | — | — | — | — | — | — | — | — | |||||||||
6 | Re-securitisation | 1.0 | — | — | 58.8 | 0.1 | — | — | 1.2 | |||||||||
7 | – senior | — | — | — | — | — | — | — | — | |||||||||
8 | – non-senior | 1.0 | — | — | 58.8 | 0.1 | — | — | 1.2 | |||||||||
9 | Synthetic securitisation | 0.9 | — | — | 0.4 | 0.1 | — | — | — | |||||||||
10 | Securitisation | 0.9 | — | — | 0.4 | 0.1 | — | — | — | |||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | |||||||||
12 | – wholesale | 0.9 | — | — | 0.4 | 0.1 | — | — | — | |||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | |||||||||
14 | – senior | — | — | — | — | — | — | — | — | |||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | |||||||||
1 | Total at 31 Dec 2016 | 3.5 | — | 0.2 | 59.2 | 0.3 | — | — | 1.2 |
30 | HSBC Holdings plc |
Table 27: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor | ||||||||||||||||||||
Exposure values (by risk weight bands) | Exposure values (by regulatory approach) | |||||||||||||||||||
≤20% RW | >20% to 50% RW | >50% to 100% RW | >100% to 1,250% RW | 1,250% RW | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 6.6 | 0.4 | 1.5 | — | 0.1 | 7.3 | — | 1.2 | 0.1 | ||||||||||
3 | Securitisation | 6.6 | 0.4 | 1.5 | — | 0.1 | 7.3 | — | 1.2 | 0.1 | ||||||||||
4 | – retail underlying | 4.4 | 0.4 | 1.1 | — | 0.1 | 4.7 | — | 1.2 | 0.1 | ||||||||||
5 | – wholesale | 2.2 | — | 0.4 | — | — | 2.6 | — | — | — | ||||||||||
6 | Re-securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
7 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
9 | Synthetic securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
10 | Securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | — | — | — | — | — | — | — | — | — | ||||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
14 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
1 | Total at 30 Jun 2017 | 6.6 | 0.4 | 1.5 | — | 0.1 | 7.3 | — | 1.2 | 0.1 | ||||||||||
2 | Traditional securitisation | 4.9 | 0.3 | 1.2 | — | 0.1 | 5.6 | — | 0.8 | 0.1 | ||||||||||
3 | Securitisation | 4.9 | 0.2 | 1.1 | — | 0.1 | 5.4 | — | 0.8 | 0.1 | ||||||||||
4 | – retail underlying | 2.5 | 0.1 | — | — | 0.1 | 2.4 | — | 0.1 | 0.1 | ||||||||||
5 | – wholesale | 2.4 | 0.1 | 1.1 | — | — | 3.0 | — | 0.7 | — | ||||||||||
6 | Re-securitisation | — | 0.1 | 0.1 | — | — | 0.2 | — | — | — | ||||||||||
7 | – senior | — | — | 0.1 | — | — | 0.1 | — | — | — | ||||||||||
8 | – non-senior | — | 0.1 | — | — | — | 0.1 | — | — | — | ||||||||||
9 | Synthetic securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
10 | Securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | — | — | — | — | — | — | — | — | — | ||||||||||
13 | Re-securitisation | |||||||||||||||||||
14 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
15 | – non-senior | |||||||||||||||||||
1 | Total at 31 Dec 2016 | 4.9 | 0.3 | 1.2 | — | 0.1 | 5.6 | — | 0.8 | 0.1 |
HSBC Holdings plc | 31 |
Table 27: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (continued) | |||||||||||||||||
RWAs (by regulatory approach) | Capital charge after cap | ||||||||||||||||
IRB RBA (including IAA) | IRB SFA | SA | 1,250% | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | ||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||
2 | Traditional securitisation | 1.2 | — | 1.1 | 1.0 | 0.1 | — | 0.1 | 0.1 | ||||||||
3 | Securitisation | 1.2 | — | 1.1 | 0.8 | 0.1 | — | 0.1 | 0.1 | ||||||||
4 | – retail underlying | 0.5 | — | 1.1 | 0.8 | — | — | 0.1 | 0.1 | ||||||||
5 | – wholesale | 0.7 | — | — | — | 0.1 | — | — | — | ||||||||
6 | Re-securitisation | — | — | — | 0.2 | — | — | — | — | ||||||||
7 | – senior | — | — | — | 0.1 | — | — | — | — | ||||||||
8 | – non-senior | — | — | — | 0.1 | — | — | — | — | ||||||||
9 | Synthetic securitisation | — | — | — | — | — | — | — | — | ||||||||
10 | Securitisation | — | — | — | — | — | — | — | — | ||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | ||||||||
12 | – wholesale | — | — | — | — | — | — | — | — | ||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | ||||||||
14 | – senior | — | — | — | — | — | — | — | — | ||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | ||||||||
1 | Total at 30 Jun 2017 | 1.2 | — | 1.1 | 1.0 | 0.1 | — | 0.1 | 0.1 | ||||||||
2 | Traditional securitisation | 1.2 | — | 0.7 | 1.3 | 0.1 | — | 0.1 | 0.1 | ||||||||
3 | Securitisation | 1.1 | — | 0.7 | 1.1 | 0.1 | — | 0.1 | 0.1 | ||||||||
4 | – retail underlying | 0.3 | — | — | 1.0 | — | — | — | 0.1 | ||||||||
5 | – wholesale | 0.8 | — | 0.7 | 0.1 | 0.1 | — | 0.1 | — | ||||||||
6 | Re-securitisation | 0.1 | — | — | 0.2 | — | — | — | — | ||||||||
7 | – senior | — | — | — | — | — | — | — | — | ||||||||
8 | – non-senior | 0.1 | — | — | 0.2 | — | — | — | — | ||||||||
9 | Synthetic securitisation | — | — | — | — | — | — | — | — | ||||||||
10 | Securitisation | — | — | — | — | — | — | — | — | ||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | ||||||||
12 | – wholesale | — | — | — | — | — | — | — | — | ||||||||
13 | Re-securitisation | — | — | — | — | — | — | — | — | ||||||||
14 | – senior | — | — | — | — | — | — | — | — | ||||||||
15 | – non-senior | — | — | — | — | — | — | — | — | ||||||||
1 | Total at 31 Dec 2016 | 1.2 | — | 0.7 | 1.3 | 0.1 | — | 0.1 | 0.1 |
32 | HSBC Holdings plc |
Market risk |
• | trading portfolios comprise positions arising from market-making; and |
• | non-trading portfolios comprise positions that primarily arise from the interest rate management of our retail and commercial banking assets and liabilities, financial investments designated as available-for-sale (‘AFS’) and held to maturity, and exposures arising from our insurance operations. |
Table 28: Market risk under standardised approach | |||||||
At | |||||||
30 Jun | 31 Dec | 30 Jun | |||||
2017 | 2016 | 2017 | |||||
RWAs | RWAs | Capital requirements | |||||
$bn | $bn | $bn | |||||
Outright products | 2.1 | 3.5 | 0.2 | ||||
1 | – interest rate risk (general and specific) | 1.9 | 1.5 | 0.2 | |||
2 | – equity risk (general and specific) | 0.1 | 1.7 | — | |||
3 | – foreign exchange risk | 0.1 | 0.3 | — | |||
8 | Securitisation | 1.7 | 1.5 | 0.1 | |||
9 | Total | 3.8 | 5.0 | 0.3 |
Table 29: Market risk under IMA | |||||
At 30 Jun 2017 | |||||
RWAs | Capital requirements | ||||
$bn | $bn | ||||
1 | VaR (higher of values a and b) | 8.8 | 0.7 | ||
(a) | Previous day’s VaR | 0.3 | |||
(b) | Average daily VaR | 0.7 | |||
2 | Stressed VaR (higher of values a and b) | 14.5 | 1.2 | ||
(a) | Latest SVaR | 0.5 | |||
(b) | Average SVaR | 1.2 | |||
3 | Incremental risk charge (higher of values a and b) | 11.8 | 0.9 | ||
(a) | Most recent IRC value | 0.9 | |||
(b) | Average IRC value | 0.9 | |||
5 | Other | 4.7 | 0.4 | ||
6 | Total | 39.8 | 3.2 |
HSBC Holdings plc | 33 |
Table 30: IMA values for trading portfolios | |||||
At | |||||
30 Jun | 31 Dec | ||||
2017 | 2016 | ||||
$m | $m | ||||
VaR (10 day 99%) | |||||
1 | Maximum value | 319.0 | 327.1 | ||
2 | Average value | 208.4 | 229.6 | ||
3 | Minimum value | 180.4 | 186.4 | ||
4 | Period end | 201.1 | 215.7 | ||
Stressed VaR (10 day 99%) | |||||
5 | Maximum value | 385.2 | 454.0 | ||
6 | Average value | 324.3 | 389.9 | ||
7 | Minimum value | 198.2 | 269.7 | ||
8 | Period end | 309.4 | 269.7 | ||
Incremental risk charge (99.9%) | |||||
9 | Maximum value | 1,033.3 | 1,100.7 | ||
10 | Average value | 938.5 | 787.0 | ||
11 | Minimum value | 673.4 | 697.3 | ||
12 | Period end | 908.4 | 705.6 |
Chart: Comparison of VaR estimates with gains/losses |
VaR back-testing exceptions against actual profit and loss |
Actual profit and loss | VaR | ||
34 | HSBC Holdings plc |
Chart: Comparison of VaR estimates with gains/losses (continued) |
VaR back-testing exceptions against hypothetical profit and loss |
Hypothetical profit and loss | VaR | ||
HSBC Holdings plc | 35 |
Other information |
Abbreviations |
Currencies | |
$ | United States dollar |
A | |
ABCP | Asset-backed commercial paper |
ABS1 | Asset-backed security |
AFS1 | Available-for-sale |
AIRB | Advanced IRB |
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 |
BoCom | Bank of Communications Co., Limited |
BoE | Bank of England |
BSM | Balance Sheet Management |
C | |
CCB1 | Capital conservation buffer |
CCF1 | Credit conversion factor |
CCP | Central counterparty |
CCR1 | Counterparty credit risk |
CCyB1 | Countercyclical capital buffer |
CDS1 | Credit default swap |
CET11 | Common equity tier 1 |
CIU | Collective investment undertakings |
CML1 | Consumer and Mortgage Lending (US) |
CRA1 | Credit risk adjustment |
CRD IV1 | Capital Requirements Regulation and Directive |
CRE1 | Commercial real estate |
CRM | Credit risk mitigation/mitigant |
CRR1 | Customer risk rating |
CSA1 | Credit Support Annex |
CVA | Credit valuation adjustment |
CVC | Conduct and Values Committee |
E | |
EAD1 | Exposure at default |
EBA | European Banking Authority |
EC | European Commission |
ECA | Export Credit Agency |
ECAI1 | External Credit Assessment Institution |
EEA | European Economic Area |
EL1 | Expected loss |
EU | European Union |
EVE1 | Economic value of equity |
F | |
FFVA | Funding Fair Value Adjustment |
FIRB | Foundation IRB |
Fitch | Fitch Ratings |
FPC1 | Financial Policy Committee (UK) |
FSB | Financial Stability Board |
FSVC | Financial System Vulnerabilities Committee |
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-SIB1 | 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 |
HSBC | HSBC Holdings together with its subsidiary undertakings |
HVCRE | High volatility commercial real estate |
I | |
IAA1 | Internal Assessment Approach |
ICAAP1 | Internal Capital Adequacy Assessment Process |
ICG | Individual capital guidance |
IFRSs | International Financial Reporting Standards |
ILAA | Individual Liquidity Adequacy Assessment |
ILR | Inherent Liquidity Risk |
IMA | Internal Models Approach |
IMM1 | Internal Model Method |
IRB1/RBA | Internal ratings based approach |
IRC1 | Incremental risk charge |
L | |
LCR | Liquidity Coverage Ratio |
LFRF | Liquidity and Funding Risk Framework |
LGD1 | Loss given default |
Libor | London interbank offered rate |
M | |
MDB1 | Multilateral Development Bank |
MENA | Middle East and North Africa |
MOC | Model Oversight Committee |
Moody’s | Moody’s Investor Service |
MREL | Minimum requirements for own funds and eligible liabilities |
N | |
NCOA | Non-credit obligation asset |
NSFR | Net Stable Funding Ratio |
O | |
ORMF | Operational risk management framework |
OTC1 | Over-the-counter |
P | |
PD1 | Probability of default |
PFE1 | Potential future exposure |
PIT1 | Point-in-time |
PRA1 | Prudential Regulation Authority (UK) |
PVA1 | Prudent valuation adjustment |
Q | |
QCCP | Qualifying Central Counterparty |
R | |
RAS | Risk appetite statement |
RBM1 | Ratings Based Method |
RBWM | Retail Banking and Wealth Management, a global business |
Retail IRB1 | Retail internal ratings based approach |
RMM | Risk Management Meeting of the GMB |
36 | HSBC Holdings plc |
RNIV | Risks not in VaR |
RW | Risk weights |
RWA1 | Risk-weighted asset |
S | |
SA/STD1 | Standardised approach |
SA-CCR | Standardised approach for counterparty credit risk |
S&P | Standard and Poor’s rating agency |
SFM1 | Supervisory Formula Method |
SFT1 | Securities Financing Transactions |
SIC | Securities Investment Conduit |
SME | Small- and medium-sized enterprise |
SPE1 | Special Purpose Entity |
SRB1 | Systemic Risk Buffer |
SSFA/SFA | Simplified supervisory formula approach |
SVaR | Stressed value at risk |
T | |
TLAC1 | Total Loss Absorbing Capacity |
TTC1 | Through-the-cycle |
T1 capital | Tier 1 capital |
T2 capital | Tier 2 capital |
U | |
UK | United Kingdom |
V | |
VaR1 | Value at risk |
1 | Full definition included in the Glossary published on HSBC website www.hsbc.com/investor-relations/group-results-and-reporting |
Cautionary statement regarding forward- looking statements |
• | 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; 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 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 discretionary RWA growth and 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, notably compliance with the DPA. |
Contacts |
Group Head of Investor Relations HSBC Holdings plc 8 Canada Square London E14 5HQ United Kingdom | Head of Investor Relations, Asia-Pacific The Hongkong and Shanghai Banking Corporation Limited 1 Queen’s Road Central Hong Kong |
Telephone: +44 (0) 20 7991 6590 | Telephone: +852 2822 4908 |
Email: investorrelations@hsbc.com | Email: investorrelations@hsbc.com.hk |
HSBC Holdings plc | 37 |
HSBC Holdings plc | |
By: | /s/ Iain J Mackay |
Name: Iain J Mackay | |
Title: Group Finance Director |