Contents
|
|
|
Page
|
Introduction
|
2
|
Regulatory framework for disclosures
|
2
|
Pillar 3 disclosures
|
2
|
Highlights
|
2
|
Regulatory developments
|
3
|
Key metrics
|
4
|
Capital
|
5
|
Approach and policy
|
5
|
Risk-weighted assets
|
6
|
Minimum requirement for own funds and eligible
liabilities
|
8
|
Additional risk management disclosure
|
9
|
Capital
and liquidity
|
9
|
Prudent
valuation adjustment
|
9
|
Credit risk
|
9
|
Non-financial risk
|
9
|
Market risk
|
10
|
Abbreviations
|
12
|
Cautionary statement regarding forward-looking
statements
|
13
|
Contacts
|
Richard
O'Connor
Global
Head of Investor Relations
HSBC
Holdings plc
8
Canada Square
London
E14 5HQ
United
Kingdom
|
Mark
Phin
Head of
Asia Pacific Investor Relations
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: [email protected]
|
Email: [email protected]
|
Introduction
|
Regulatory framework for disclosures
|
Pillar 3 disclosures
|
Highlights
|
Regulatory developments
|
Key metrics
|
||||||||||||
Key
metrics (KM1/IFRS9-FL)
|
||||||||||||
|
|
|
At
|
|||||||||
|
|
|
31 Mar
|
31 Dec
|
30 Sep
|
30 Jun
|
31 Mar
|
|||||
Ref*
|
|
Footnotes
|
2020
|
2019
|
2019
|
2019
|
2019
|
|||||
|
Available capital ($bn)
|
1
|
|
|
|
|
|
|||||
1
|
Common equity tier 1 ('CET1') capital
|
|
125.2
|
|
124.0
|
|
123.8
|
|
126.9
|
|
125.8
|
|
2
|
CET1 capital as if IFRS 9 transitional arrangements had not been
applied
|
|
124.5
|
|
123.1
|
|
122.9
|
|
126.0
|
|
124.9
|
|
3
|
Tier 1 capital
|
|
149.2
|
|
148.4
|
|
149.7
|
|
152.8
|
|
151.8
|
|
4
|
Tier 1 capital as if IFRS 9 transitional arrangements had not been
applied
|
|
148.5
|
|
147.5
|
|
148.8
|
|
151.9
|
|
150.9
|
|
5
|
Total capital
|
|
174.0
|
|
172.2
|
|
175.1
|
|
178.3
|
|
177.8
|
|
6
|
Total capital as if IFRS 9 transitional arrangements had not been
applied
|
|
173.3
|
|
171.3
|
|
174.2
|
|
177.4
|
|
176.9
|
|
|
Risk-weighted assets ('RWAs') ($bn)
|
|
|
|
|
|
|
|||||
7
|
Total RWAs
|
|
857.1
|
|
843.4
|
|
865.2
|
|
886.0
|
|
879.5
|
|
8
|
Total RWAs as if IFRS 9 transitional arrangements had not been
applied
|
|
856.7
|
|
842.9
|
|
864.7
|
|
885.5
|
|
878.9
|
|
|
Capital ratios (%)
|
1
|
|
|
|
|
|
|||||
9
|
CET1
|
|
14.6
|
|
14.7
|
|
14.3
|
|
14.3
|
|
14.3
|
|
10
|
CET1 as if IFRS 9 transitional arrangements had not been
applied
|
|
14.5
|
|
14.6
|
|
14.2
|
|
14.2
|
|
14.2
|
|
11
|
Tier 1
|
|
17.4
|
|
17.6
|
|
17.3
|
|
17.2
|
|
17.3
|
|
12
|
Tier 1 as if IFRS 9 transitional arrangements had not been
applied
|
|
17.3
|
|
17.5
|
|
17.2
|
|
17.2
|
|
17.2
|
|
13
|
Total capital
|
|
20.3
|
|
20.4
|
|
20.2
|
|
20.1
|
|
20.2
|
|
14
|
Total capital as if IFRS 9 transitional arrangements had not been
applied
|
|
20.2
|
|
20.3
|
|
20.1
|
|
20.0
|
|
20.1
|
|
|
Additional CET1 buffer requirements as a percentage of RWAs
(%)
|
|
|
|
|
|
|
|||||
|
Capital conservation buffer requirement
|
|
2.50
|
|
2.50
|
|
2.50
|
|
2.50
|
|
2.50
|
|
|
Countercyclical buffer requirement
|
|
0.22
|
|
0.61
|
|
0.69
|
|
0.68
|
|
0.67
|
|
|
Bank G-SIB and/or D-SIB additional requirements
|
|
2.00
|
|
2.00
|
|
2.00
|
|
2.00
|
|
2.00
|
|
|
Total bank CET1 specific buffer requirements
|
|
4.72
|
|
5.11
|
|
5.19
|
|
5.18
|
|
5.17
|
|
|
Total capital requirement (%)
|
2
|
|
|
|
|
|
|||||
|
Total capital requirement
|
|
11.0
|
|
11.0
|
|
11.0
|
|
11.0
|
|
11.0
|
|
|
CET1 available after meeting the bank's minimum capital
requirements
|
|
8.4
|
|
8.5
|
|
8.1
|
|
8.1
|
|
8.1
|
|
|
Leverage ratio
|
3
|
|
|
|
|
|
|||||
15
|
Total leverage ratio exposure measure ($bn)
|
|
2,782.7
|
|
2,726.5
|
|
2,708.2
|
|
2,786.5
|
|
2,735.2
|
|
16
|
Leverage ratio (%)
|
|
5.3
|
|
5.3
|
|
5.4
|
|
5.4
|
|
5.4
|
|
17
|
Leverage ratio as if IFRS 9 transitional arrangements had not been
applied (%)
|
|
5.2
|
|
5.3
|
|
5.4
|
|
5.3
|
|
5.4
|
|
|
Liquidity coverage ratio ('LCR')
|
4
|
|
|
|
|
|
|||||
|
Total high-quality liquid assets ($bn)
|
|
617.2
|
|
601.4
|
|
513.2
|
|
532.8
|
|
535.4
|
|
|
Total net cash outflow ($bn)
|
|
395.0
|
|
400.5
|
|
378.0
|
|
391.0
|
|
374.8
|
|
|
LCR ratio (%)
|
|
156.3
|
|
150.2
|
|
135.8
|
|
136.3
|
|
142.9
|
|
Capital
|
Approach and policy
|
Own
funds disclosure
|
|||||
|
|
At
|
|||
|
|
31 Mar
|
31 Dec
|
||
|
|
2020
|
2019
|
||
Ref
|
|
$m
|
$m
|
||
6
|
Common equity tier 1 capital before regulatory
adjustments
|
162,229
|
|
153,280
|
|
28
|
Total regulatory adjustments to common equity tier 1
|
(37,011
|
)
|
(29,314
|
)
|
29
|
Common equity tier 1 capital
|
125,218
|
|
123,966
|
|
36
|
Additional tier 1 capital before regulatory
adjustments
|
24,086
|
|
24,453
|
|
43
|
Total regulatory adjustments to additional tier 1
capital
|
(60
|
)
|
(60
|
)
|
44
|
Additional tier 1 capital
|
24,026
|
|
24,393
|
|
45
|
Tier 1 capital
|
149,244
|
|
148,359
|
|
51
|
Tier 2 capital before regulatory adjustments
|
26,113
|
|
25,192
|
|
57
|
Total regulatory adjustments to tier 2 capital
|
(1,400
|
)
|
(1,401
|
)
|
58
|
Tier 2 capital
|
24,713
|
|
23,791
|
|
59
|
Total capital
|
173,957
|
|
172,150
|
|
Risk-weighted assets
|
||||||||
Overview
of RWAs (OV1)
|
||||||||
|
|
|
31 Mar
|
31 Dec
|
31 Mar
|
|||
|
|
|
2020
|
2019
|
2020
|
|||
|
|
|
RWAs
|
RWAs
|
Capital requirement1
|
|||
Ref
|
|
Footnotes
|
$bn
|
$bn
|
$bn
|
|||
1
|
Credit risk (excluding counterparty credit risk)
|
|
631.9
|
|
624.3
|
|
50.6
|
|
2
|
- standardised approach
|
|
119.9
|
|
126.1
|
|
9.6
|
|
3
|
- foundation internal ratings based ('IRB')
approach
|
|
101.2
|
|
32.3
|
|
8.1
|
|
4
|
- advanced IRB approach
|
|
410.8
|
|
465.9
|
|
32.9
|
|
6
|
Counterparty credit risk
|
|
47.3
|
|
43.9
|
|
3.8
|
|
7
|
- mark-to-market
|
|
23.2
|
|
20.6
|
|
1.9
|
|
10
|
- internal model method ('IMM')
|
|
20.0
|
|
18.7
|
|
1.6
|
|
11
|
- risk exposure amount for contributions to the default fund
of a central counterparty
|
|
0.6
|
|
0.6
|
|
-
|
|
12
|
- credit valuation adjustment
|
|
3.5
|
|
4.0
|
|
0.3
|
|
13
|
Settlement risk
|
|
0.2
|
|
0.2
|
|
-
|
|
14
|
Securitisation exposures in the non-trading book
|
|
10.4
|
|
8.3
|
|
0.8
|
|
15
|
- IRB method
|
|
-
|
|
1.8
|
|
-
|
|
17
|
- IRB internal assessment approach
|
|
-
|
|
0.6
|
|
-
|
|
18
|
- standardised approach
|
|
-
|
|
1.3
|
|
-
|
|
14a
|
- exposures subject to the new securitisation
framework
|
2
|
10.4
|
|
4.6
|
|
0.8
|
|
19
|
Market risk
|
|
34.8
|
|
29.9
|
|
2.8
|
|
20
|
- standardised approach
|
|
8.8
|
|
7.8
|
|
0.7
|
|
21
|
- internal models approach ('IMA')
|
|
26.0
|
|
22.1
|
|
2.1
|
|
23
|
Operational risk
|
|
89.2
|
|
92.8
|
|
7.1
|
|
25
|
- standardised approach
|
|
89.2
|
|
92.8
|
|
7.1
|
|
27
|
Amounts below the thresholds for deduction (subject to 250% risk
weight)
|
|
43.3
|
|
44.0
|
|
3.5
|
|
29
|
Total
|
|
857.1
|
|
843.4
|
|
68.6
|
|
RWAs
by geographical region
|
|||||||||||||
|
|
Europe
|
Asia
|
MENA
|
NorthAmerica
|
LatinAmerica
|
Total
|
||||||
|
Footnotes
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
||||||
Credit
risk
|
|
206.9
|
|
296.6
|
|
49.5
|
|
106.7
|
|
25.9
|
|
685.6
|
|
Counterparty
credit risk
|
|
25.1
|
|
10.5
|
|
1.4
|
|
9.2
|
|
1.3
|
|
47.5
|
|
Market
risk
|
1
|
25.8
|
|
21.9
|
|
2.1
|
|
5.6
|
|
1.5
|
|
34.8
|
|
Operational
risk
|
|
22.8
|
|
44.5
|
|
6.1
|
|
11.6
|
|
4.2
|
|
89.2
|
|
At 31 Mar 2020
|
|
280.6
|
|
373.5
|
|
59.1
|
|
133.1
|
|
32.9
|
|
857.1
|
|
RWA
movement by geographical region by key driver
|
|||||||||||||||||
|
Credit risk, counterparty credit risk and operational
risk
|
|
|
||||||||||||||
|
Europe
|
Asia
|
MENA
|
NorthAmerica
|
LatinAmerica
|
Market risk
|
Total RWAs
|
||||||||||
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
||||||||||
RWAs at 1 Jan 2020
|
257.9
|
|
345.9
|
|
55.5
|
|
117.6
|
|
36.6
|
|
29.9
|
|
843.4
|
|
|||
Asset size
|
7.7
|
|
9.4
|
|
1.9
|
|
10.5
|
|
1.7
|
|
4.6
|
|
35.8
|
|
|||
Asset quality
|
(0.9
|
)
|
2.5
|
|
0.2
|
|
2.7
|
|
(0.2
|
)
|
-
|
|
4.3
|
|
|||
Model updates
|
(0.6
|
)
|
0.5
|
|
-
|
|
-
|
|
-
|
|
-
|
|
(0.1
|
)
|
|||
Methodology
and policy
|
2.2
|
|
(1.0
|
)
|
(0.2
|
)
|
(0.7
|
)
|
(0.6
|
)
|
0.3
|
|
-
|
|
|||
Foreign exchange movements
|
(11.5
|
)
|
(5.7
|
)
|
(0.4
|
)
|
(2.6
|
)
|
(6.1
|
)
|
-
|
|
(26.3
|
)
|
|||
Total RWA movement
|
(3.1
|
)
|
5.7
|
|
1.5
|
|
9.9
|
|
(5.2
|
)
|
4.9
|
|
13.7
|
|
|||
RWAs at 31 Mar 2020
|
254.8
|
|
351.6
|
|
57.0
|
|
127.5
|
|
31.4
|
|
34.8
|
|
857.1
|
|
|||
RWA flow statements of credit risk exposures under
IRB approach1 (CR8)
|
|||||||||||||||||
|
|
RWAs
|
Capitalrequirement
|
||||||||||||||
Ref
|
|
$bn
|
$bn
|
||||||||||||||
1
|
RWAs at 1 Jan 2020
|
498.2
|
|
39.9
|
|
||||||||||||
2
|
Asset size
|
24.0
|
|
1.9
|
|
||||||||||||
3
|
Asset quality
|
4.5
|
|
0.4
|
|
||||||||||||
4
|
Model updates
|
0.5
|
|
-
|
|
||||||||||||
5
|
Methodology and policy
|
0.7
|
|
0.1
|
|
||||||||||||
7
|
Foreign exchange movements
|
(15.9
|
)
|
(1.3
|
)
|
||||||||||||
9
|
RWAs at 31 Mar 2020
|
512.0
|
|
41.0
|
|
RWA
flow statements of counterparty credit risk exposures under the IMM
(CCR7)
|
|||||
|
|
RWAs
|
Capital requirement
|
||
Ref
|
|
$bn
|
$bn
|
||
1
|
RWAs
at 1 Jan 2020
|
21.8
|
|
1.7
|
|
2
|
Asset size
|
2.1
|
|
0.2
|
|
5
|
Methodology and policy
|
(1.0
|
)
|
(0.1
|
)
|
9
|
RWAs at 31 Mar 2020
|
22.9
|
|
1.8
|
|
RWA
flow statements of market risk exposures under the IMA
(MR2-B)
|
|||||||||||||
|
|
VaR
|
Stressed VaR
|
IRC
|
Other
|
Total RWAs
|
Capital requirement
|
||||||
Ref
|
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
$bn
|
||||||
1
|
RWAs
at 1 Jan 2020
|
5.3
|
|
8.0
|
|
6.6
|
|
2.2
|
|
22.1
|
|
1.8
|
|
2
|
Movement in risk levels
|
0.5
|
|
0.6
|
|
2.6
|
|
0.2
|
|
3.9
|
|
0.3
|
|
8
|
RWAs at 31 Mar 2020
|
5.8
|
|
8.6
|
|
9.2
|
|
2.4
|
|
26.0
|
|
2.1
|
|
Minimum requirement for own
funds and eligible liabilities
|
Key
metrics of the resolution groups (KM2)
|
|
|
||||||||||||||||||
|
|
Resolution groups
|
||||||||||||||||||
|
|
European1
|
Asian2
|
US3
|
||||||||||||||||
|
|
At 31 Mar 2020
|
At 31 Dec 2019
|
At
30 Sep
2019
|
At
30 Jun
2019
|
At 31 Mar 2020
|
At 31 Dec 2019
|
At
30 Sep
2019
|
At
30 Jun
2019
|
At 31 Mar 2020
|
At 31 Dec 2019
|
At
30 Sep
2019
|
At
30 Jun
2019
|
|||||||
1
|
Total loss absorbing capacity ('TLAC') available ($bn)
|
98.5
|
94.6
|
95.5
|
|
97.3
|
|
96.0
|
98.8
|
97.2
|
|
97.0
|
|
30.5
|
29.8
|
30.2
|
|
31.7
|
|
|
1a
|
Fully loaded ECL accounting model TLAC available ($bn)
|
98.4
|
94.4
|
95.3
|
|
97.1
|
|
96.0
|
98.8
|
97.2
|
|
97.0
|
|
30.4
|
N/A
|
N/A
|
N/A
|
|||
2
|
Total RWAs at the level of the resolution group ($bn)
|
299.6
|
297.4
|
316.8
|
|
321.1
|
|
374.8
|
366.1
|
370.6
|
|
371.1
|
|
140.4
|
128.7
|
139.0
|
|
140.8
|
|
|
3
|
TLAC as a percentage of RWA (row1/row2) (%)
|
32.9
|
31.8
|
30.1
|
|
30.3
|
|
25.6
|
27.0
|
26.2
|
|
26.1
|
|
21.7
|
23.2
|
21.7
|
|
22.5
|
|
|
3a
|
Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model RWA (%)
|
32.8
|
31.8
|
30.1
|
|
30.2
|
|
25.6
|
27.0
|
26.2
|
|
26.1
|
|
21.7
|
N/A
|
N/A
|
N/A
|
|||
4
|
Leverage exposure measure at the level of the resolution group
($bn)
|
1,163
|
1,167
|
1,133
|
|
1,176
|
|
1,055
|
1,036
|
1,025
|
|
1,041
|
|
367
|
|
332
|
373
|
|
363
|
|
5
|
TLAC as a percentage of leverage exposure measure (row1/row4)
(%)
|
8.5
|
8.1
|
8.4
|
|
8.3
|
|
9.1
|
9.5
|
9.5
|
|
9.3
|
|
8.3
|
9.0
|
8.1
|
|
8.8
|
|
|
5a
|
Fully loaded ECL accounting model TLAC as a percentage of fully
loaded ECL accounting model leverage exposure measure
(%)
|
8.5
|
8.1
|
8.4
|
|
8.3
|
|
9.1
|
9.5
|
9.5
|
|
9.3
|
|
N/A
|
N/A
|
N/A
|
N/A
|
|||
6a
|
Does the subordination exemption in the antepenultimate paragraph
of section 11 of the FSB TLAC term sheet apply?
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
|||||||
6b
|
Does the subordination exemption in the penultimate paragraph of
section 11 of the FSB TLAC term sheet apply?
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
No
|
|||||||
6c
|
If the
capped subordination exemption applies, the amount of funding
issued that ranks pari
passu with excluded liabilities and that is recognised
as external TLAC, divided by funding issued that
ranks pari
passu with excluded liabilities and that would be
recognised as external TLAC if no cap was applied (%)
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Additional risk management
disclosure
|
Capital and liquidity
|
Prudent valuation adjustment
|
Credit risk
|
Non-financial risk
|
Market risk
|
IMA values for trading portfolios
(MR3)1
|
|||||
|
|
At
|
|||
|
|
31 Mar 2020
|
31 Dec 2019
|
||
|
|
$m
|
$m
|
||
VaR (10 day 99%)
|
|
|
|||
1
|
Maximum value
|
176.2
|
|
185.2
|
|
2
|
Average value
|
136.0
|
|
149.3
|
|
3
|
Minimum value
|
108.8
|
|
116.8
|
|
4
|
Period end
|
176.2
|
|
128.0
|
|
Stressed VaR (10 day 99%)
|
|
|
|||
5
|
Maximum value
|
197.7
|
|
222.8
|
|
6
|
Average value
|
161.2
|
|
172.3
|
|
7
|
Minimum value
|
138.1
|
|
133.1
|
|
8
|
Period end
|
170.3
|
|
222.8
|
|
Incremental risk charge (99.9%)
|
|
|
|||
9
|
Maximum value
|
734.4
|
|
1,076.9
|
|
10
|
Average value
|
611.3
|
|
706.2
|
|
11
|
Minimum value
|
525.8
|
|
448.9
|
|
12
|
Period end
|
734.4
|
|
465.8
|
|
Comparison of VaR estimates with
gains/losses1
|
VaR back-testing exceptions against actual profit and loss
($m)
|
VaR back-testing exceptions against hypothetical profit and loss
($m)
|
Abbreviations
|
1Q20
|
First quarter of 2020
|
4Q19
|
Fourth quarter of 2019
|
$
|
United
States dollar
|
|
|
A
|
|
AIRB1
|
Advanced internal ratings based approach
|
ALCM
|
Asset,
Liability and Capital Management
|
AT1
capital
|
Additional
tier 1 capital
|
AVA
|
Additional value adjustment
|
|
|
B
|
|
BCBS
|
Basel
Committee on Banking Supervision
|
BoE
|
Bank of
England
|
|
|
C
|
|
CCR1
|
Counterparty
credit risk
|
CCyB1
|
Countercyclical
capital buffer
|
CECL
|
Current expected credit losses
|
CET11
|
Common
equity tier 1
|
CRM1
|
Credit
risk mitigation/mitigant
|
CRD
IV1
|
Capital
Requirements Regulation and Directive
|
CRR1
|
Customer
risk rating
|
CRR II
|
Revised
Capital Requirements Regulation, as implemented
|
CVA1
|
Credit
valuation adjustment
|
|
|
D
|
|
D-SIB
|
Domestic systemically important bank
|
E
|
|
EAD1
|
Exposure
at default
|
EBA
|
European
Banking Authority
|
EC
|
European
Commission
|
ECA
|
Export Credit Agency
|
ECAI
|
External
Credit Assessment Institution
|
ECL1
|
Expected
credit losses
|
EEA
|
European
Economic Area
|
EL1
|
Expected
loss
|
EU
|
European
Union
|
|
|
F
|
|
FCA
|
Financial Conduct Authority
|
FIRB1
|
Foundation internal ratings based approach
|
Fitch
|
Fitch
Ratings
|
FPC1
|
Financial
Policy Committee (UK)
|
FRTB
|
Fundamental
Review of the Trading book
|
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
|
HQLA
|
High-quality
liquid assets
|
HSBC
|
HSBC
Holdings together with its subsidiary undertakings
|
|
|
I
|
|
IAA
|
Internal
Assessment Approach
|
ICAAP1
|
Internal
Capital Adequacy Assessment Process
|
IFRSs
|
International
Financial Reporting Standards
|
ILAA
|
Individual Liquidity Adequacy Assessment
|
IMA1
|
Internal
Models Approach
|
IMM1
|
Internal
Model Method
|
IRB1
|
Internal
ratings based approach
|
IRRBB
|
Interest
rate risk in the banking book
|
IRC
|
Incremental
risk charge
|
|
|
L
|
|
LCR1
|
Liquidity
Coverage Ratio
|
LGD1
|
Loss
given default
|
|
|
M
|
|
MENA
|
Middle
East and North Africa
|
Moody's
|
Moody's
Investor Service
|
MPE
|
Multiple point of entry
|
MREL
|
Minimum
requirements for own funds and eligible liabilities
|
|
|
N
|
|
NCOA
|
Non-credit
obligation asset
|
NPL
|
Non-performing loans
|
|
|
O
|
|
ORMF
|
Operational
risk management framework
|
OTC1
|
Over-the-counter
|
|
|
P
|
|
PD1
|
Probability
of default
|
PFE
|
Potential
future exposure
|
PRA1
|
Prudential
Regulation Authority (UK)
|
PVA
|
Prudent
valuation adjustment
|
|
|
Q
|
|
QCCP
|
Qualifying
Central Counterparty
|
|
|
R
|
|
RBM1
|
Ratings
Based Method
|
RBWM
|
Retail
Bank and Wealth Management, a global business
|
Retail
IRB1
|
Retail
internal ratings based approach
|
RMM
|
Risk
Management Meeting of the GMB
|
RNIV
|
Risks
not in VaR
|
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
|
SFM
|
Supervisory
Formula Method
|
SFT
|
Securities
Financing Transactions
|
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 capital
|
T1
capital1
|
Tier 1
capital
|
T2
capital1
|
Tier 2
capital
|
|
|
U
|
|
UK
|
United
Kingdom
|
US
|
United States
|
|
|
V
|
|
VaR1
|
Value
at risk
|
Cautionary statement regarding
forward-looking statements
|
HSBC
Holdings plc
|
|
|
|
|
By:
|
|
Name:
Aileen Taylor
|
|
Title:
Group Company Secretary and Chief Governance Officer
|
|
|
|
Date:
11 May
2020
|