Contents | |
Page | |
Introduction | |
Highlights | |
Key metrics | |
Pillar 3 disclosures | |
Regulatory developments | |
Risk management | |
Capital and RWAs | |
Capital management | |
Own funds | |
Leverage | |
Pillar 1 minimum capital requirements and RWA flow | |
Minimum requirement for own funds and eligible liabilities | |
Pillar 2 and ICAAP | |
Credit risk | |
Counterparty credit risk | |
Securitisation | |
Market risk | |
Non-financial risk | |
Liquidity | |
Other risks | |
Appendices | |
Appendix I – Additional tables | |
Appendix II – Countercyclical capital buffer | |
Appendix III – Asset encumbrance | |
Appendix IV – Summary of disclosures withheld | |
Other Information | |
Abbreviations | |
Cautionary statement regarding forward-looking statements | |
Contacts |
1 | HSBC Holdings plc Pillar 3 2019 |
Tables |
Ref | Page | |||
1 | Key metrics (KM1/IFRS9-FL) | a | 4 | |
2 | Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation | 9 | ||
3 | Principal entities with a different regulatory and accounting scope of consolidation (LI3) | 10 | ||
4 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories (LI1) | 11 | ||
5 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements (LI2) | a | 12 | |
6 | Own funds disclosure | b | 13 | |
7 | Leverage ratio common disclosure (LRCom) | b | 15 | |
8 | Summary reconciliation of accounting assets and leverage ratio exposures (LRSum) | a | 16 | |
9 | Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (LRSpl) | b | 16 | |
10 | Overview of RWAs (OV1) | b | 18 | |
11 | RWA flow statements of credit risk exposures under the IRB approach (CR8) | 18 | ||
12 | RWA flow statements of CCR exposures under IMM (CCR7) | 19 | ||
13 | RWA flow statements of market risk exposures under IMA (MR2-B) | 19 | ||
14 | Key metrics of the resolution groups (KM2) | 20 | ||
15 | TLAC composition (TLAC1) | 21 | ||
16 | HSBC Holdings plc creditor ranking (TLAC3) | 22 | ||
17 | HSBC UK Bank plc creditor ranking (TLAC2) | 22 | ||
18 | HSBC Bank plc creditor ranking (TLAC2) | 23 | ||
19 | HSBC Asia Holdings Ltd creditor ranking (TLAC3) | 23 | ||
20 | The Hongkong and Shanghai Banking Corporation Ltd creditor ranking (TLAC2) | 23 | ||
21 | Hang Seng Bank Ltd creditor ranking (TLAC2) | 24 | ||
22 | HSBC North America Holdings Inc. creditor ranking (TLAC3) | 24 | ||
23 | Credit risk exposure – summary (CRB-B) | a | 27 | |
24 | Credit quality of exposures by exposure classes and instruments (CR1-A) | 28 | ||
25 | Credit quality of exposures by industry or counterparty types (CR1-B) | 30 | ||
26 | Credit quality of exposures by geography (CR1-C) | 31 | ||
27 | Changes in stock of general and specific credit risk adjustments (CR2-A) | 31 | ||
28 | Changes in stock of defaulted loans and debt securities (CR2-B) | 32 | ||
29 | Credit quality of forborne exposures | 32 | ||
30 | Credit quality of performing and non-performing exposures by past due days | 33 | ||
31 | Collateral obtained by taking possession and execution processes | 33 | ||
32 | Performing and non-performing exposures and related provisions | 34 | ||
33 | Amount of past due unimpaired and credit-impaired exposures by geographical region | 34 | ||
34 | Geographical breakdown of exposures (CRB-C) | 35 | ||
35 | Concentration of exposures by industry or counterparty types (CRB-D) | 37 | ||
36 | Maturity of on-balance sheet exposures (CRB-E) | 39 | ||
37 | Credit risk mitigation techniques – overview (CR3) | 41 | ||
38 | Standardised approach – credit conversion factor (‘CCF’) and credit risk mitigation (‘CRM’) effects (CR4) | b | 41 | |
39 | Credit risk mitigation techniques – IRB and Standardised | 42 | ||
40 | IRB – Effect on RWA of credit derivatives used as CRM techniques (CR7) | 42 | ||
41 | Standardised approach – exposures by asset class and risk weight (CR5) | b | 43 | |
42 | Wholesale IRB credit risk models | 46 | ||
43 | IRB models – estimated and actual values (wholesale) | 47 | ||
44 | Retail IRB risk rating systems | 48 | ||
45 | IRB models – estimated and actual values (retail) | 50 | ||
46 | Wholesale IRB exposure – back-testing of probability of default (PD) per portfolio (CR9) | 51 | ||
47 | Retail IRB exposure – back-testing of probability of default (PD) per portfolio (CR9) | 53 | ||
48 | Analysis of counterparty credit risk exposure by approach (excluding centrally cleared exposures) (CCR1) | 55 | ||
49 | Credit valuation adjustment (CVA) capital charge (CCR2) | 56 | ||
50 | Standardised approach – CCR exposures by regulatory portfolio and risk weights (CCR3) | 56 | ||
51 | Impact of netting and collateral held on exposure values (CCR5-A) | 56 | ||
52 | Composition of collateral for CCR exposure (CCR5-B) | 56 | ||
53 | Credit derivatives exposures (CCR6) | 57 | ||
54 | Exposures to central counterparties (CCR8) | 57 | ||
55 | Securitisation exposure – movement in the year | 59 | ||
56 | Securitisation – asset values and impairments | 60 | ||
57 | Securitisation exposures in the non-trading book (SEC1) | 60 | ||
58 | Securitisation exposures in the trading book (SEC2) | 61 | ||
59.i | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as originator or sponsor (under the pre-existing framework) (SEC3) | 61 | ||
59.ii | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as originator or sponsor (under the new framework) (SEC3) | 62 | ||
60.i | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the pre-existing framework) (SEC4) | 63 | ||
60.ii | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the new framework) (SEC4) | 63 | ||
61 | Market risk under standardised approach (MR1) | 64 | ||
62 | Market risk under IMA (MR2-A) | 64 | ||
63 | IMA values for trading portfolios (MR3) | 67 | ||
64 | Prudential valuation adjustments (PV1) | 69 | ||
65 | Operational risk RWAs | 70 | ||
66 | Level and components of HSBC Group consolidated liquidity coverage ratio (LIQ1) | 72 | ||
67 | Analysis of on-balance sheet encumbered and unencumbered assets | 73 | ||
68 | Non-trading book equity investments | 75 | ||
69 | Wholesale IRB exposure – by obligor grade | 76 | ||
70 | PD, LGD, RWA and exposure by country/territory | 77 | ||
71 | Retail IRB exposure – by internal PD band | 80 | ||
72 | IRB expected loss and CRAs – by exposure class | b | 81 | |
73 | Credit risk RWAs – by geographical region | b | 82 | |
74 | Standardised exposure – by credit quality step | a | 83 | |
75 | Specialised lending on slotting approach (CR10) | 83 | ||
76 | IRB – Credit risk exposures by portfolio and PD range (CR6) | a | 84 | |
77 | Counterparty credit risk – RWAs by exposure class, product and geographical region | 90 | ||
78 | IRB – CCR exposures by portfolio and PD scale (CCR4) | 91 | ||
79 | Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer | 93 | ||
80 | Countercyclical capital buffer | 93 | ||
81 | A – Assets | 94 | ||
81 | B – Collateral received | 94 | ||
81 | C – Encumbered assets/collateral received and associated liabilities | 94 |
Introduction |
Highlights |
Common equity tier 1 ($bn and %)1 |
Leverage ratio and exposure ($bn and %)3 |
Risk-weighted assets by risk type and global business ($bn) |
$843.4bn |
Credit risk |
Counterparty credit risk |
Market risk |
Operational risk |
Commercial Banking |
Global Banking and Markets |
Retail Banking and Wealth Management |
Global Private Banking |
Corporate Centre |
Common equity tier 1 ratio movement, % |
3 | HSBC Holdings plc Pillar 3 2019 |
Key metrics |
Table 1: Key metrics (KM1/IFRS9-FL) | ||||||||||||
At | ||||||||||||
31 Dec | 30 Sep | 30 Jun | 31 Mar | 31 Dec | ||||||||
Ref* | Footnotes | 2019 | 2019 | 2019 | 2019 | 2018 | ||||||
Available capital ($bn) | 1 | |||||||||||
1 | Common equity tier 1 (‘CET1’) capital | ^ | 124.0 | 123.8 | 126.9 | 125.8 | 121.0 | |||||
2 | CET1 capital as if IFRS 9 transitional arrangements had not been applied | 123.1 | 122.9 | 126.0 | 124.9 | 120.0 | ||||||
3 | Tier 1 capital | ^ | 148.4 | 149.7 | 152.8 | 151.8 | 147.1 | |||||
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 147.5 | 148.8 | 151.9 | 150.9 | 146.1 | ||||||
5 | Total regulatory capital | ^ | 172.2 | 175.1 | 178.3 | 177.8 | 173.2 | |||||
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 171.3 | 174.2 | 177.4 | 176.9 | 172.2 | ||||||
Risk-weighted assets (‘RWAs’) ($bn) | ||||||||||||
7 | Total RWAs | 843.4 | 865.2 | 886.0 | 879.5 | 865.3 | ||||||
8 | Total RWAs as if IFRS 9 transitional arrangements had not been applied | 842.9 | 864.7 | 885.5 | 878.9 | 864.7 | ||||||
Capital ratios (%) | 1 | |||||||||||
9 | CET1 | ^ | 14.7 | 14.3 | 14.3 | 14.3 | 14.0 | |||||
10 | CET1 as if IFRS 9 transitional arrangements had not been applied | 14.6 | 14.2 | 14.2 | 14.2 | 13.9 | ||||||
11 | Tier 1 | ^ | 17.6 | 17.3 | 17.2 | 17.3 | 17.0 | |||||
12 | Tier 1 as if IFRS 9 transitional arrangements had not been applied | 17.5 | 17.2 | 17.2 | 17.2 | 16.9 | ||||||
13 | Total capital | ^ | 20.4 | 20.2 | 20.1 | 20.2 | 20.0 | |||||
14 | Total capital as if IFRS 9 transitional arrangements had not been applied | 20.3 | 20.1 | 20.0 | 20.1 | 19.9 | ||||||
Additional CET1 buffer requirements as a percentage of RWA (%) | ||||||||||||
Capital conservation buffer requirement | 2.50 | 2.50 | 2.50 | 2.50 | 1.88 | |||||||
Countercyclical buffer requirement | 0.61 | 0.69 | 0.68 | 0.67 | 0.56 | |||||||
Bank G-SIB and/or D-SIB additional requirements | 2.00 | 2.00 | 2.00 | 2.00 | 1.50 | |||||||
Total of bank CET1 specific buffer requirements | 5.11 | 5.19 | 5.18 | 5.17 | 3.94 | |||||||
Total capital requirement (%) | 2 | |||||||||||
Total capital requirement | 11.0 | 11.0 | 11.0 | 11.0 | 10.9 | |||||||
CET1 available after meeting the bank’s minimum capital requirements | 8.5 | 8.1 | 8.1 | 8.1 | 7.9 | |||||||
Leverage ratio | 3 | |||||||||||
15 | Total leverage ratio exposure measure ($bn) | 2,726.5 | 2,708.2 | 2,786.5 | 2,735.2 | 2,614.9 | ||||||
16 | Leverage ratio (%) | ^ | 5.3 | 5.4 | 5.4 | 5.4 | 5.5 | |||||
17 | Leverage ratio as if IFRS 9 transitional arrangements had not been applied (%) | 5.3 | 5.4 | 5.3 | 5.4 | 5.5 | ||||||
Liquidity Coverage Ratio (‘LCR’) | 4 | |||||||||||
Total high-quality liquid assets ($bn) | 601.4 | 513.2 | 532.8 | 535.4 | 567.2 | |||||||
Total net cash outflow ($bn) | 400.5 | 378.0 | 391.0 | 374.8 | 368.7 | |||||||
LCR ratio (%) | 150.2 | 135.8 | 136.3 | 142.9 | 153.8 |
* | The references in this and subsequent tables identify the lines prescribed in the EBA template where applicable and where there is a value. |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Effective 30 June 2019, the capital figures and ratios are reported in accordance with the revised Capital Requirements Regulation and Directive, as implemented (‘CRR II’). Prior period capital figures and ratios are reported on a Capital Requirements Regulation and Directive (‘CRD IV’) transitional basis. |
2 | Total capital requirement is defined as the sum of Pillar 1 and Pillar 2A capital requirements set by the Prudential Regulation Authority (‘PRA’). Our Pillar 2A requirement at 31 December 2019, as per the PRA’s Individual Capital Requirement based on a point in time assessment, was 3.0% of RWAs, of which 1.7% was met by CET1. The minimum requirements represent the total capital requirement to be met by CET1. |
3 | Effective 30 June 2019, the leverage ratio is calculated using the CRR II end point basis for capital. Prior period leverage ratios are calculated on the CRD IV end point basis for capital. |
4 | The EU's regulatory transitional arrangements for IFRS 9 ‘Financial instruments’ in article 473a of the Capital Requirements Regulation do not apply to liquidity coverage measures. LCR is calculated as at the end of each period rather than using average values. |
• | the increase in loan loss allowances on day one of IFRS 9 adoption; and |
• | any subsequent increase in expected credit losses (‘ECL’) in the non-credit-impaired book thereafter. |
Pillar 3 disclosures |
• | Credit risk (refer to page 120 of the Annual Report and Accounts 2019) |
• | Capital and liquidity risk (refer to page 166 of the Annual Report and Accounts 2019) |
• | Market risk (refer to page 171 of the Annual Report and Accounts 2019) |
• | Resilience risk (refer to page 179 of the Annual Report and Accounts 2019) |
• | Regulatory compliance risk (refer to page 180 of the Annual Report and Accounts 2019) |
• | Financial crime and fraud risk (refer to page 181 of the Annual Report and Accounts 2019) |
• | Model risk (refer to page 182 of the Annual Report and Accounts 2019) |
• | Insurance manufacturing operations risk (refer to page 182 of the Annual Report and Accounts 2019) |
Regulatory developments |
5 | HSBC Holdings plc Pillar 3 2019 |
Risk management |
Our risk management framework |
Stress testing |
Global Risk function |
Risk management and internal control systems |
7 | HSBC Holdings plc Pillar 3 2019 |
Risk measurement and reporting systems |
Risk analytics and model governance |
Linkage to the Annual Report and Accounts 2019 |
Table 2: 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 | 154,099 | (26 | ) | 299 | 154,372 | ||||
Items in the course of collection from other banks | 4,956 | — | — | 4,956 | |||||
Hong Kong Government certificates of indebtedness | 38,380 | — | — | 38,380 | |||||
Trading assets | 254,271 | (822 | ) | — | 253,449 | ||||
Financial assets designated and otherwise mandatorily measured at fair value through profit or loss | 43,627 | (33,839 | ) | 604 | 10,392 | ||||
– of which: debt securities eligible as tier 2 issued by Group Financial Sector Entities (‘FSEs’) that are outside the regulatory scope of consolidation | r | — | 602 | — | 602 | ||||
Derivatives | 242,995 | (14 | ) | 93 | 243,074 | ||||
Loans and advances to banks | 69,203 | (1,309 | ) | 1,316 | 69,210 | ||||
Loans and advances to customers | 1,036,743 | (776 | ) | 12,004 | 1,047,971 | ||||
– of which: lending eligible as tier 2 to Group FSEs outside the regulatory scope of consolidation | r | — | 392 | — | 392 | ||||
expected credit losses on IRB portfolios | h | (6,703 | ) | — | — | (6,703 | ) | ||
Reverse repurchase agreements – non-trading | 240,862 | (42 | ) | 127 | 240,947 | ||||
Financial investments | 443,312 | (66,551 | ) | 4,485 | 381,246 | ||||
– of which: lending eligible as tier 2 to Group FSEs outside the regulatory scope of consolidation | r | — | 367 | — | 367 | ||||
Capital invested in insurance and other entities | — | 2,304 | — | 2,304 | |||||
Prepayments, accrued income and other assets | 136,680 | (6,636 | ) | 588 | 130,632 | ||||
– of which: retirement benefit assets | j | 8,280 | — | — | 8,280 | ||||
Current tax assets | 755 | — | — | 755 | |||||
Interests in associates and joint ventures | 24,474 | (430 | ) | (4,836 | ) | 19,208 | |||
– of which: positive goodwill on acquisition | e | 486 | (13 | ) | — | 473 | |||
Goodwill and intangible assets | e | 20,163 | (9,131 | ) | 1,222 | 12,254 | |||
Deferred tax assets | f | 4,632 | 159 | 14 | 4,805 | ||||
Total assets at 31 Dec 2019 | 2,715,152 | (117,113 | ) | 15,916 | 2,613,955 |
Liabilities and equity | |||||||||
Hong Kong currency notes in circulation | 38,380 | — | — | 38,380 | |||||
Deposits by banks | 59,022 | (12 | ) | 372 | 59,382 | ||||
Customer accounts | 1,439,115 | 2,596 | 14,277 | 1,455,988 | |||||
Repurchase agreements – non-trading | 140,344 | — | — | 140,344 | |||||
Items in course of transmission to other banks | 4,817 | — | — | 4,817 | |||||
Trading liabilities | 83,170 | 59 | — | 83,229 | |||||
Financial liabilities designated at fair value | 164,466 | (4,225 | ) | — | 160,241 | ||||
– of which: | |||||||||
included in tier 1 | n | 419 | — | — | 419 | ||||
included in tier 2 | o, q, i | 10,130 | — | — | 10,130 | ||||
Derivatives | 239,497 | 27 | 127 | 239,651 | |||||
– of which: debit valuation adjustment | i | 95 | — | — | 95 | ||||
Debt securities in issue | 104,555 | (2,246 | ) | — | 102,309 | ||||
Accruals, deferred income and other liabilities | 118,156 | (2,695 | ) | 819 | 116,280 | ||||
Current tax liabilities | 2,150 | (45 | ) | 148 | 2,253 | ||||
Liabilities under insurance contracts | 97,439 | (97,439 | ) | — | — | ||||
Provisions | 3,398 | (11 | ) | 46 | 3,433 | ||||
– of which: credit-related contingent liabilities and contractual commitments on IRB portfolios | h | 357 | — | — | 357 | ||||
Deferred tax liabilities | 3,375 | (1,337 | ) | 9 | 2,047 | ||||
Subordinated liabilities | 24,600 | 2 | 118 | 24,720 | |||||
– of which: | |||||||||
included in tier 1 | l, n | 1,825 | — | — | 1,825 | ||||
included in tier 2 | o, q | 21,071 | — | — | 21,071 | ||||
Total liabilities at 31 Dec 2019 | 2,522,484 | (105,326 | ) | 15,916 | 2,433,074 | ||||
Equity | |||||||||
Called up share capital | a | 10,319 | — | — | 10,319 | ||||
Share premium account | a, l | 13,959 | — | — | 13,959 | ||||
Other equity instruments | k | 20,871 | — | — | 20,871 | ||||
Other reserves | c, g | 2,127 | 1,913 | — | 4,040 | ||||
Retained earnings | b, c | 136,679 | (12,595 | ) | — | 124,084 | |||
Total shareholders’ equity | 183,955 | (10,682 | ) | — | 173,273 | ||||
Non-controlling interests | d, m, n, p | 8,713 | (1,105 | ) | — | 7,608 | |||
Total equity at 31 Dec 2019 | 192,668 | (11,787 | ) | — | 180,881 | ||||
Total liabilities and equity at 31 Dec 2019 | 2,715,152 | (117,113 | ) | 15,916 | 2,613,955 |
† | The references (a)–(r) identify balance sheet components that are used in the calculation of regulatory capital in Table 6: Own funds disclosure on page 13. |
9 | HSBC Holdings plc Pillar 3 2019 |
Table 3: Principal entities with a different regulatory and accounting scope of consolidation (LI3) | ||||||
At 31 Dec 2019 | ||||||
Principal activities | Method of accounting consolidation | Method of regulatory consolidation | ||||
Footnotes | Proportional consolidation | Neither consolidated nor deducted | Deducted from capital subject to thresholds | |||
Principal associates | ||||||
The Saudi British Bank | Banking services | Equity | l | |||
Principal insurance entities excluded from the regulatory consolidation | ||||||
HSBC Life (International) Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Assurances Vie (France) | Life insurance manufacturing | Fully consolidated | l | |||
Hang Seng Insurance Company Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Insurance (Singapore) Pte Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Life (UK) Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Life Insurance Company Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Life Assurance (Malta) Ltd | Life insurance manufacturing | Fully consolidated | l | |||
HSBC Seguros S.A. (Mexico) | Life insurance manufacturing | Fully consolidated | l | |||
Principal SPEs excluded from the regulatory consolidation | 1 | |||||
Metrix Portfolio Distribution plc | Securitisation | Fully consolidated | l | |||
Neon Portfolio Distribution DAC | Securitisation | Fully consolidated | l | |||
Regency Assets Ltd | Securitisation | Fully consolidated | l |
1 | These SPEs issued no or de minimis share capital. |
Table 4: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with | ||||||||||||||
regulatory risk categories (LI1) | ||||||||||||||
Carrying value of items | ||||||||||||||
Carrying values as reported in published financial statements | Carrying values under scope of regulatory consolidation1 | Subject to the credit risk framework | Subject to the counter-party credit risk framework2 | Subject to the securitisation framework3 | Subject to the market risk framework | Subject to deduction from capital or not subject to regulatory capital requirements | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||
Assets | ||||||||||||||
Cash and balances at central banks | 154.1 | 154.4 | 154.4 | — | — | — | — | |||||||
Items in the course of collection from other banks | 5.0 | 5.0 | 5.0 | — | — | — | — | |||||||
Hong Kong Government certificates of indebtedness | 38.4 | 38.4 | 38.4 | — | — | — | — | |||||||
Trading assets | 254.3 | 253.4 | 1.2 | 21.3 | — | 253.4 | — | |||||||
Financial assets designated and otherwise mandatorily measured at fair value | 43.6 | 10.4 | 4.2 | 3.9 | 2.3 | — | — | |||||||
Derivatives | 243.0 | 243.1 | — | 242.0 | 1.1 | 243.1 | — | |||||||
Loans and advances to banks | 69.2 | 69.2 | 68.5 | — | 0.7 | — | — | |||||||
Loans and advances to customers | 1,036.7 | 1,048.0 | 1,021.5 | 2.9 | 23.6 | — | — | |||||||
Reverse repurchase agreements – non-trading | 240.9 | 240.9 | — | 240.9 | — | — | — | |||||||
Financial investments | 443.3 | 381.2 | 381.2 | — | — | — | — | |||||||
Capital invested in insurance and other entities | — | 2.3 | 1.5 | — | — | — | 0.8 | |||||||
Prepayments, accrued income and other assets | 136.7 | 130.6 | 47.1 | 55.6 | — | 14.8 | 19.5 | |||||||
Current tax assets | 0.8 | 0.8 | 0.8 | — | — | — | — | |||||||
Interests in associates and joint ventures | 24.5 | 19.2 | 11.6 | — | — | — | 7.6 | |||||||
Goodwill and intangible assets | 20.1 | 12.3 | — | — | — | — | 12.0 | |||||||
Deferred tax assets | 4.6 | 4.8 | 6.6 | — | — | — | (1.8 | ) | ||||||
Total assets at 31 Dec 2019 | 2,715.2 | 2,614.0 | 1,742.0 | 566.6 | 27.7 | 511.3 | 38.1 | |||||||
Liabilities | ||||||||||||||
Hong Kong currency notes in circulation | 38.4 | 38.4 | — | — | — | — | 38.4 | |||||||
Deposits by banks | 59.0 | 59.4 | — | — | — | — | 59.4 | |||||||
Customer accounts | 1,439.1 | 1,456.0 | — | — | — | — | 1,456.0 | |||||||
Repurchase agreements – non-trading | 140.3 | 140.3 | — | 140.3 | — | — | — | |||||||
Items in course of transmission to other banks | 4.8 | 4.8 | — | — | — | — | 4.8 | |||||||
Trading liabilities | 83.2 | 83.2 | — | 10.3 | — | 83.2 | — | |||||||
Financial liabilities designated at FV | 164.5 | 160.2 | — | — | — | 62.1 | 98.1 | |||||||
Derivatives | 239.5 | 239.7 | — | 239.7 | — | 239.7 | — | |||||||
Debt securities in issue | 104.6 | 102.3 | — | — | — | — | 102.3 | |||||||
Accruals, deferred income, and other liabilities | 118.2 | 116.3 | — | 56.6 | — | — | 59.7 | |||||||
Current tax liabilities | 2.1 | 2.3 | — | — | — | — | 2.3 | |||||||
Liabilities under insurance contract | 97.4 | — | — | — | — | — | — | |||||||
Provisions | 3.4 | 3.4 | 0.6 | — | — | — | 2.8 | |||||||
Deferred tax liabilities | 3.4 | 2.1 | 2.0 | — | — | — | 2.3 | |||||||
Subordinated liabilities | 24.6 | 24.7 | — | — | — | — | 24.7 | |||||||
Total liabilities at 31 Dec 2019 | 2,522.5 | 2,433.1 | 2.6 | 446.9 | — | 385.0 | 1,850.8 |
1 | The amounts shown in the column ‘Carrying values under scope of regulatory consolidation’ do not equal the sum of the amounts shown in the remaining columns of this table for line items ‘Derivatives’, ’Trading assets’ and ‘Prepayments, accrued income and other assets’ as some of the assets in this column are subject to regulatory capital charges for both CCR and market risk. |
2 | The amounts shown in the column ‘Subject to the counterparty credit risk framework’ include both non-trading book and trading book. |
3 | The amounts shown in the column ‘Subject to the securitisation framework’ are non-trading book positions. Trading book securitisation positions are included in the market risk column. |
11 | HSBC Holdings plc Pillar 3 2019 |
Table 5: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (LI2) | |||||||||
Of which items subject to: | |||||||||
Total | Credit risk framework | CCR framework | Securitisation framework | ||||||
Footnotes | $bn | $bn | $bn | $bn | |||||
Carrying value of assets within scope of regulatory consolidation | 1 | 2,575.9 | 1,742.0 | 566.6 | 27.7 | ||||
Carrying value of liabilities within scope of regulatory consolidation | 1 | 582.3 | 2.6 | 446.9 | — | ||||
Net carrying value within scope of regulatory consolidation | 1,993.6 | 1,739.4 | 119.7 | 27.7 | |||||
Off-balance sheet amounts and potential future exposure for counterparty risk | 865.5 | 275.6 | 52.9 | 11.2 | |||||
Differences in netting rules | 4.1 | 10.1 | (6.0 | ) | — | ||||
Differences due to financial collateral on standardised approach | (5.2 | ) | (5.2 | ) | — | — | |||
Differences due to expected credit losses on IRB approach | 6.5 | 6.5 | — | — | |||||
Differences due to EAD modelling and other differences | 5.3 | 7.7 | — | (2.4 | ) | ||||
Differences due to credit risk mitigation | (10.8 | ) | — | (10.8 | ) | — | |||
Exposure values considered for regulatory purposes at 31 Dec 2019 | 2,859.0 | 2,034.1 | 155.8 | 36.5 |
1 | Excludes amounts subject to deduction from capital or not subject to regulatory capital requirements. |
Capital and RWAs |
Capital management |
Own funds |
Table 6: Own funds disclosure | ||||||
At 31 Dec At | ||||||
31 Dec 2019 | 31 Dec 2018 | |||||
Ref* | Ref † | $m | $m | |||
Common equity tier 1 (‘CET1’) capital: instruments and reserves | ||||||
1 | Capital instruments and the related share premium accounts | 22,873 | 22,384 | |||
– ordinary shares | a | 22,873 | 22,384 | |||
2 | Retained earnings | b | 127,188 | 121,180 | ||
3 | Accumulated other comprehensive income (and other reserves) | c | 1,735 | 3,368 | ||
5 | Minority interests (amount allowed in consolidated CET1) | d | 4,865 | 4,854 | ||
5a | Independently reviewed interim net profits net of any foreseeable charge or dividend | b | (3,381 | ) | 3,697 | |
6 | Common equity tier 1 capital before regulatory adjustments | 153,280 | 155,483 | |||
Common equity tier 1 capital: regulatory adjustments | ||||||
7 | Additional value adjustments1 | (1,327 | ) | (1,180 | ) | |
8 | Intangible assets (net of related deferred tax liability) | e | (12,372 | ) | (17,323 | ) |
10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) | f | (1,281 | ) | (1,042 | ) |
11 | Fair value reserves related to gains or losses on cash flow hedges | g | (41 | ) | 135 | |
12 | Negative amounts resulting from the calculation of expected loss amounts | h | (2,424 | ) | (1,750 | ) |
14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | i | 2,450 | 298 | ||
15 | Defined benefit pension fund assets | j | (6,351 | ) | (6,070 | ) |
16 | Direct and indirect holdings of own CET1 instruments2 | (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)3 | (7,928 | ) | (7,489 | ) | |
28 | Total regulatory adjustments to common equity tier 1 | (29,314 | ) | (34,461 | ) | |
29 | Common equity tier 1 capital | 123,966 | 121,022 | |||
Additional tier 1 (‘AT1’) capital: instruments | ||||||
30 | Capital instruments and the related share premium accounts | 20,871 | 22,367 | |||
31 | – classified as equity under IFRSs | k | 20,871 | 22,367 | ||
33 | Amount of qualifying items and the related share premium accounts subject to phase out from AT1 | l | 2,305 | 2,297 |
13 | HSBC Holdings plc Pillar 3 2019 |
Table 6: Own funds disclosure (continued) | ||||||
At | ||||||
31 Dec 2019 | 31 Dec 2018 | |||||
Ref* | Ref † | $m | $m | |||
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 | m, n | 1,277 | 1,516 | ||
35 | – of which: instruments issued by subsidiaries subject to phase out | n | 1,218 | 1,298 | ||
36 | Additional tier 1 capital before regulatory adjustments | 24,453 | 26,180 | |||
Additional tier 1 capital: regulatory adjustments | ||||||
37 | Direct and indirect holdings of own AT1 instruments2 | (60 | ) | (60 | ) | |
43 | Total regulatory adjustments to additional tier 1 capital | (60 | ) | (60 | ) | |
44 | Additional tier 1 capital | 24,393 | 26,120 | |||
45 | Tier 1 capital (T1 = CET1 + AT1) | 148,359 | 147,142 | |||
Tier 2 capital: instruments and provisions | ||||||
46 | Capital instruments and the related share premium accounts | o | 20,525 | 20,249 | ||
– of which: instruments grandfathered under CRR II | 7,067 | N/A | ||||
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 parties4 | p, q | 4,667 | 6,480 | ||
49 | – of row 48: instruments issued by subsidiaries subject to phase out | q | 2,251 | 1,585 | ||
– of row 48: instruments issued by subsidiaries grandfathered under CRR II | 1,452 | N/A | ||||
51 | Tier 2 capital before regulatory adjustments | 25,192 | 26,729 | |||
Tier 2 capital: regulatory adjustments | ||||||
52 | Direct and indirect holdings of own T2 instruments2 | (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) | r | (1,361 | ) | (593 | ) |
57 | Total regulatory adjustments to tier 2 capital | (1,401 | ) | (633 | ) | |
58 | Tier 2 capital | 23,791 | 26,096 | |||
59 | Total capital (TC = T1 + T2) | 172,150 | 173,238 | |||
60 | Total risk-weighted assets | 843,395 | 865,318 | |||
Capital ratios and buffers | ||||||
61 | Common equity tier 1 | 14.7% | 14.0% | |||
62 | Tier 1 | 17.6% | 17.0% | |||
63 | Total capital | 20.4% | 20.0% | |||
64 | Institution specific buffer requirement | 5.11% | 3.94% | |||
65 | – capital conservation buffer requirement | 2.50% | 1.88% | |||
66 | – counter-cyclical buffer requirement | 0.61% | 0.56% | |||
67a | – Global Systemically Important Institution (‘G-SII’) buffer | 2.00% | 1.50% | |||
68 | Common equity tier 1 available to meet buffers | 8.5% | 7.9% | |||
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) | 2,938 | 2,534 | |||
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) | 13,189 | 12,851 | |||
75 | Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability) | 4,529 | 4,956 | |||
Applicable caps on the inclusion of provisions in tier 2 | ||||||
77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach | 2,163 | 2,200 | |||
79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 3,128 | 3,221 | |||
Capital instruments subject to phase-out arrangements (only applicable until 1 Jan 2022) | ||||||
82 | Current cap on AT1 instruments subject to phase out arrangements | 5,191 | 6,921 | |||
83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 122 | — | |||
84 | Current cap on T2 instruments subject to phase out arrangements | 2,737 | 5,131 |
† | The references (a) – (r) identify balance sheet components in Table 2: Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation on page 9 which are used in the calculation of regulatory capital. |
1 | Additional value adjustments are deducted from CET1. These are calculated on all assets measured at fair value. |
2 | The deduction for holdings of own CET1, T1 and T2 instruments is set by the PRA. |
3 | The threshold deduction for significant investments is drawn from numerous lines of the balance sheet and includes: investments in insurance subsidiaries and non-consolidated associates, other CET1 equity held in financial institutions, and connected funding of a capital nature. |
4 | Eligible instruments issued by subsidiaries previously reported in row 46 ‘Capital instruments and the related share premium accounts’ are now reported here. For comparative purposes, 2018 data have been re-presented to reflect this change. |
• | capital generation of $6.0bn through profits |
• | a fall in the deduction for intangible assets of $4.9bn. This was primarily due to $7.3bn of goodwill impairment, partly offset by an increase in internally generated software; |
• | a $1.5bn increase in FVOCI reserve; and |
• | favourable foreign currency translation differences of $1.0bn. |
• | dividends and scrip of $9.0bn; |
• | share buy-back of $1.0bn; and |
• | an increase in the deduction for excess expected loss $0.7bn. |
Leverage |
Table 7: Leverage ratio common disclosure (LRCom) | ||||||
At 31 Dec | ||||||
2019^ | 2018 | |||||
Ref* | Footnotes | $bn | $bn | |||
On-balance sheet exposures (excluding derivatives and SFT) | ||||||
1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 2,119.1 | 2,012.5 | |||
2 | (Asset amounts deducted in determining tier 1 capital) | (30.5 | ) | (33.8 | ) | |
3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) | 2,088.6 | 1,978.7 | |||
Derivative exposures | ||||||
4 | Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 53.5 | 44.2 | |||
5 | Add-on amounts for potential future exposure (‘PFE’) associated with all derivatives transactions (mark-to-market method) | 162.1 | 154.1 | |||
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to IFRSs | 8.3 | 5.9 | |||
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (43.1 | ) | (21.5 | ) | |
8 | (Exempted central counterparty (‘CCP’) leg of client-cleared trade exposures) | (53.2 | ) | (38.0 | ) | |
9 | Adjusted effective notional amount of written credit derivatives | 159.4 | 160.9 | |||
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (150.4 | ) | (153.4 | ) | |
11 | Total derivative exposures | 136.6 | 152.2 | |||
Securities financing transaction exposures | ||||||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 1 | 451.0 | 429.8 | ||
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | 1 | (196.1 | ) | (184.5 | ) |
14 | Counterparty credit risk exposure for SFT assets | 10.7 | 11.3 | |||
16 | Total securities financing transaction exposures | 265.6 | 256.6 | |||
Other off-balance sheet exposures | ||||||
17 | Off-balance sheet exposures at gross notional amount | 865.5 | 829.8 | |||
18 | (Adjustments for conversion to credit equivalent amounts) | (629.8 | ) | (602.4 | ) | |
19 | Total off-balance sheet exposures | 235.7 | 227.4 | |||
Capital and total exposures | ||||||
20 | Tier 1 capital | 144.8 | 143.5 | |||
21 | Total leverage ratio exposure | 2,726.5 | 2,614.9 | |||
22 | Leverage ratio (%) | 5.3 | 5.5 | |||
EU-23 | Choice of transitional arrangements for the definition of the capital measure | Fully phased-in | Fully phased-in |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | At 31 December 2018, netting of $180.9bn relating to SFT assets was recognised. This had no impact on the total leverage ratio exposure. Comparatives have been restated. |
15 | HSBC Holdings plc Pillar 3 2019 |
Table 8: Summary reconciliation of accounting assets and leverage ratio exposures (LRSum) | |||||
At 31 Dec | |||||
2019 | 2018 | ||||
Ref* | $bn | $bn | |||
1 | Total assets as per published financial statements | 2,715.2 | 2,558.1 | ||
Adjustments for: | |||||
2 | – entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | (101.2 | ) | (89.5 | ) |
4 | – derivative financial instruments | (106.4 | ) | (55.6 | ) |
5 | – securities financing transactions (‘SFT’) | 2.8 | (5.1 | ) | |
6 | – off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 235.7 | 227.4 | ||
7 | – other | (19.6 | ) | (20.4 | ) |
8 | Total leverage ratio exposure | 2,726.5 | 2,614.9 |
Table 9: Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (LRSpl) | |||||
At 31 Dec | |||||
2019 | 2018 | ||||
Ref* | $bn | $bn | |||
EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) | 2,076.0 | 1,991.0 | ||
EU-2 | – trading book exposures | 230.8 | 218.5 | ||
EU-3 | – banking book exposures | 1,845.2 | 1,772.5 | ||
’banking book exposures’ comprises: | |||||
EU-4 | covered bonds | 2.6 | 1.6 | ||
EU-5 | exposures treated as sovereigns | 539.3 | 507.3 | ||
EU-6 | exposures to regional governments, multilateral development banks (‘MDB’), international organisations and public sector entities not treated as sovereigns | 9.4 | 9.3 | ||
EU-7 | institutions | 59.3 | 66.8 | ||
EU-8 | secured by mortgage of immovable property | 330.4 | 300.0 | ||
EU-9 | retail exposures | 106.2 | 82.8 | ||
EU-10 | corporate | 603.2 | 614.3 | ||
EU-11 | exposures in default | 9.9 | 9.1 | ||
EU-12 | other exposures (e.g. equity, securitisations and other non-credit obligation assets) | 184.9 | 181.3 |
Pillar 1 minimum capital requirements and RWA flow |
Risk category | Scope of permissible approaches | Approach adopted by HSBC | |
Credit risk | The Basel 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 determining PD and in quantifying EAD and LGD. | For consolidated Group reporting, we have adopted the AIRB approach for the majority of our business. Some portfolios remain on the standardised or FIRB 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 Basel: mark-to-market, original exposure, standardised and internal model method (‘IMM’). These exposure values are used to determine capital requirements under one of the three approaches to credit risk: standardised, FIRB or AIRB. | 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. On 1 January 2019, the new securitisation framework came into force in the EU for new transactions. This framework prescribes the following approaches: • internal ratings-based approach (‘SEC-IRBA’);• external ratings-based approach (‘SEC-ERBA’);• internal assessment approach (‘IAA’); and• standardised approach (‘SEC-SA’).From 1 January 2020, all transactions will be subject to the new framework. | 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. Our exposures subject to the new framework in 2019 include exposures under SEC-IRBA,SEC-ERBA, IAA and SEC-SA. | |
Market risk | Market risk capital requirements are calculated using a combination of standard rules and 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. The internal model approach also includes stressed VaR (‘SVaR’) and incremental risk charge (‘IRC’). HSBC does not use or need a Comprehensive Risk Model (‘CRM’). | 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 regarding i) rules and procedures for inclusion of positions within trading books and ii) application of prudent valuation adjustments to trading book positions. | |
Operational risk | Basel 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. |
17 | HSBC Holdings plc Pillar 3 2019 |
Table 10: Overview of RWAs (OV1) | |||||||
At | |||||||
31 Dec | 30 Sep | 31 Dec | |||||
2019 | 2019 | 2019 | |||||
RWAs | RWAs | Capital required | |||||
$bn | $bn | $bn | |||||
1 | Credit risk (excluding counterparty credit risk) | 624.3 | 636.6 | 50.0 | |||
2 | – standardised approach | 126.1 | 129.3 | 10.1 | |||
3 | – foundation IRB approach | 32.3 | 31.0 | 2.6 | |||
4 | – advanced IRB approach | 465.9 | 476.3 | 37.3 | |||
6 | Counterparty credit risk | 43.9 | 49.6 | 3.5 | |||
7 | – mark-to-market | 20.6 | 23.4 | 1.7 | |||
10 | – internal model method | 18.7 | 20.4 | 1.5 | |||
11 | – risk exposure amount for contributions to the default fund of a central counterparty | 0.6 | 0.5 | — | |||
12 | – credit valuation adjustment | 4.0 | 5.3 | 0.3 | |||
13 | Settlement risk | 0.2 | 0.2 | — | |||
14 | Securitisation exposures in the non-trading book | 8.3 | 6.9 | 0.7 | |||
15 | – IRB ratings based method | 1.8 | 2.2 | 0.1 | |||
17 | – IRB internal assessment approach | 0.6 | 1.0 | 0.1 | |||
18 | – standardised approach | 1.3 | 1.3 | 0.1 | |||
14a | – exposures subject to the new securitisation framework1 | 4.6 | 2.4 | 0.4 | |||
19 | Market risk | 29.9 | 36.9 | 2.4 | |||
20 | – standardised approach | 7.8 | 8.1 | 0.6 | |||
21 | – internal models approach | 22.1 | 28.8 | 1.8 | |||
23 | Operational risk | 92.8 | 91.1 | 7.4 | |||
25 | – standardised approach | 92.8 | 91.1 | 7.4 | |||
27 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 44.0 | 43.9 | 3.5 | |||
29 | Total | 843.4 | 865.2 | 67.5 |
1 | On 1 January 2019, a new securitisation framework came into force in the EU for new transactions. Existing positions are subject to ‘grandfathering’ provisions and will transfer to the new framework on 1 January 2020. Our exposures subject to the approaches under the new framework at 31 December 2019 include $1.7bn under the external ratings-based approach, $5.2bn under the internal ratings-based approach, $7.1bn under the internal assessment approach, and $5.8bn under the standardised approach. |
Table 11: RWA flow statements of credit risk exposures under the IRB approach¹ (CR8) | |||||
RWAs | Capital required | ||||
$bn | $bn | ||||
1 | At 1 Oct 2019 | 507.3 | 40.6 | ||
2 | Asset size | (11.8 | ) | (0.9 | ) |
3 | Asset quality | (2.2 | ) | (0.2 | ) |
4 | Model updates | (3.1 | ) | (0.2 | ) |
5 | Methodology and policy | (6.0 | ) | (0.5 | ) |
7 | Foreign exchange movements | 14.0 | 1.1 | ||
9 | At 31 Dec 2019 | 498.2 | 39.9 |
1 | Securitisation positions are not included in this table. |
• | an $11.8bn asset size reduction in RWAs largely due to active portfolio management; |
• | a $6.0bn fall in RWAs due to methodology and policy changes - reflecting securitisation transactions, risk parameter refinements and improved collateral recognition; and |
• | a $3.1bn decrease in RWAs from model updates, mainly to our global corporate model. |
Table 12: RWA flow statements of CCR exposures under IMM (CCR7) | |||||
RWAs | Capital required | ||||
$bn | $bn | ||||
1 | At 1 Oct 2019 | 25.0 | 2.0 | ||
2 | Asset size | (2.7 | ) | (0.3 | ) |
3 | Asset quality | (0.1 | ) | — | |
4 | Model updates | (0.1 | ) | — | |
5 | Methodology and policy | (0.3 | ) | — | |
9 | At 31 Dec 2019 | 21.8 | 1.7 |
Table 13: RWA flow statements of market risk exposures under IMA (MR2-B) | |||||||||||||
VaR | Stressed VaR | IRC | Other | Total RWAs | Total capital required | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | At 1 Oct 2019 | 6.0 | 8.6 | 10.6 | 3.6 | 28.8 | 2.3 | ||||||
2 | Movement in risk levels | (0.6 | ) | (0.5 | ) | (4.0 | ) | (0.7 | ) | (5.8 | ) | (0.4 | ) |
4 | Methodology and policy | (0.1 | ) | (0.1 | ) | — | (0.7 | ) | (0.9 | ) | (0.1 | ) | |
8 | At 31 Dec 2019 | 5.3 | 8.0 | 6.6 | 2.2 | 22.1 | 1.8 |
Minimum requirement for own funds and eligible liabilities |
Resolution group | Resolution entity | Material entity/subgroup |
European resolution group | HSBC Holdings plc | HSBC UK Holdings Limited |
HSBC Bank plc | ||
HSBC UK Bank plc | ||
HSBC France | ||
Asian resolution group | HSBC Asia Holdings Limited | The Hongkong and Shanghai Banking Corporation Limited |
Hang Seng Bank Limited | ||
US resolution group | HSBC North America Holdings Inc | N/A |
19 | HSBC Holdings plc Pillar 3 2019 |
• | 16% of the Group’s consolidated RWAs; |
• | 6% of the Group’s consolidated leverage exposure; and |
• | the sum of all loss-absorbing capacity requirements and other capital requirements relating to Group entities or sub-groups. |
• | 18% of the Group’s consolidated RWAs; |
• | 6.75% of the Group’s consolidated leverage exposure; and |
• | the sum of all loss-absorbing capacity requirements and other capital requirements relating to other Group entities or sub-groups. |
Table 14: Key metrics of the resolution groups (KM2) | |||||||||||||||||||||
Resolution groups | |||||||||||||||||||||
European1 | Asian2 | US3 | |||||||||||||||||||
At 31 Dec 2019 | At 30 Sep 2019 | At 30 Jun 2019 | At 31 Dec 2019 | At 30 Sep 2019 | At 30 Jun 2019 | At 31 Dec 2019 | At 30 Sep 2019 | At 30 Jun 2019 | |||||||||||||
1 | Total loss absorbing capacity ('TLAC') available ($m) | 94,583 | 95,474 | 97,256 | 98,753 | 97,244 | 97,040 | 29,843 | 30,184 | 31,739 | |||||||||||
1a | Fully loaded ECL accounting model TLAC available ($m) | 94,439 | 95,282 | 97,055 | 98,753 | 97,244 | 97,040 | N/A | N/A | N/A | |||||||||||
2 | Total RWA at the level of the resolution group ($m) | 297,431 | 316,766 | 321,149 | 366,076 | 370,590 | 371,100 | 128,705 | 139,016 | 140,762 | |||||||||||
3 | TLAC as a percentage of RWA (row1/row2) (%) | 31.8 | 30.1 | 30.3 | 27.0 | 26.2 | 26.1 | 23.2 | 21.7 | 22.5 | |||||||||||
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%) | 31.8 | 30.1 | 30.2 | 27.0 | 26.2 | 26.1 | N/A | N/A | N/A | |||||||||||
4 | Leverage exposure measure at the level of the resolution group ($m) | 1,166,576 | 1,132,679 | 1,176,134 | 1,036,243 | 1,024,554 | 1,041,168 | 331,869 | 372,556 | 362,621 | |||||||||||
5 | TLAC as a percentage of leverage exposure measure (row1/row4) (%) | 8.1 | 8.4 | 8.3 | 9.5 | 9.5 | 9.3 | 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 (%) | 8.1 | 8.4 | 8.3 | 9.5 | 9.5 | 9.3 | 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 | |||||||||||
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 | |||||||||||
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 |
1 | The European resolution group reports in accordance with CRR II. Unless otherwise stated, all figures are calculated using the EU's regulatory transitional arrangements for IFRS 9 in article 473a of the Capital Requirements Regulation. |
2 | Reporting for the Asian resolution group follows the Hong Kong Monetary Authority (‘HKMA’) regulatory rules. IFRS 9 has been implemented but no regulatory transitional arrangements apply. |
3 | Reporting for the US resolution group is prepared in accordance with local regulatory rules. The US accounting standard for current expected credit losses ('CECL') corresponding to IFRS 9 is not yet effective. Leverage exposure and ratio are calculated under the US supplementary leverage ratio rules. |
Table 15: TLAC composition (TLAC1) | ||||||||||||||||||||
At 31 Dec 2019 | At 30 June 2019 | |||||||||||||||||||
Group1 | Resolution group | Group1 | Resolution group | |||||||||||||||||
European1 | Asian2 | US3 | European1 | Asian2 | US3 | |||||||||||||||
Regulatory capital elements of TLAC and adjustments ($m) | ||||||||||||||||||||
Common equity tier 1 capital before adjustments | 123,966 | 110,263 | 63,156 | 16,753 | 126,949 | 116,222 | 61,561 | 18,649 | ||||||||||||
Deduction of CET1 exposures between MPE resolution groups and other group entities | — | 100,028 | — | — | — | 102,699 | — | — | ||||||||||||
1 | Common equity tier 1 capital ('CET1') | 123,966 | 10,235 | 63,156 | 16,753 | 126,949 | 13,523 | 61,561 | 18,649 | |||||||||||
2 | Additional tier 1 capital ('AT1') before TLAC adjustments | 24,393 | 23,515 | 5,855 | 2,240 | 25,878 | 25,089 | 5,837 | 2,240 | |||||||||||
4 | Other adjustments | — | 6,673 | — | — | — | 7,940 | — | — | |||||||||||
5 | AT1 instruments eligible under the TLAC framework (row 2 minus row 3 minus row 4) | 24,393 | 16,842 | 5,855 | 2,240 | 25,878 | 17,149 | 5,837 | 2,240 | |||||||||||
6 | Tier 2 capital ('T2') before TLAC adjustments | 23,791 | 24,957 | 7,892 | 4,643 | 25,432 | 25,167 | 8,074 | 5,503 | |||||||||||
7 | Amortised portion of T2 instruments where remaining maturity > 1 year | 579 | 579 | — | — | 1,257 | 302 | — | — | |||||||||||
8 | T2 capital ineligible as TLAC as issued out of subsidiaries to third parties | — | — | 400 | — | — | — | 400 | — | |||||||||||
9 | Other adjustments | 164 | 8,087 | — | 1,793 | — | 7,947 | — | 2,653 | |||||||||||
10 | T2 instruments eligible under the TLAC framework (row 6 plus row 7 minus row 8 minus row 9) | 24,206 | 17,449 | 7,492 | 2,850 | 26,689 | 17,522 | 7,674 | 2,850 | |||||||||||
11 | TLAC arising from regulatory capital | 172,566 | 44,526 | 76,503 | 21,843 | 179,516 | 48,194 | 75,072 | 23,739 | |||||||||||
Non-regulatory capital elements of TLAC ($m) | ||||||||||||||||||||
12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 81,192 | 50,057 | 22,257 | 8,000 | 80,046 | 49,062 | 21,970 | 8,000 | |||||||||||
17 | TLAC arising from non-regulatory capital instruments before adjustments | 81,192 | 50,057 | 22,257 | 8,000 | 80,046 | 49,062 | 21,970 | 8,000 | |||||||||||
Non-regulatory capital elements of TLAC: adjustments ($m) | ||||||||||||||||||||
18 | TLAC before deductions | 253,757 | 94,583 | 98,760 | 29,843 | 259,562 | 97,256 | 97,042 | 31,739 | |||||||||||
19 | Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC | — | — | 7 | — | — | — | 2 | — | |||||||||||
20 | Deduction of investments in own other TLAC liabilities | 80 | — | — | — | 43 | — | — | — | |||||||||||
21 | Other adjustments to TLAC | — | — | — | — | — | — | — | — | |||||||||||
22 | TLAC after deductions (row 18 minus row 19 minus row 20 minus row 21) | 253,677 | 94,583 | 98,753 | 29,843 | 259,519 | 97,256 | 97,040 | 31,739 | |||||||||||
Risk-weighted assets and leverage exposure measure for TLAC purposes ($m) | ||||||||||||||||||||
23 | Total risk-weighted assets | 843,395 | 297,431 | 366,076 | 128,705 | 885,971 | 321,149 | 371,100 | 140,762 | |||||||||||
24 | Leverage exposure measure | 2,726,542 | 1,166,576 | 1,036,243 | 331,869 | 2,786,468 | 1,176,134 | 1,041,168 | 362,621 | |||||||||||
TLAC ratios and buffers (%) | ||||||||||||||||||||
25 | TLAC (as a percentage of risk-weighted assets) | 30.1% | 31.8% | 27.0% | 23.2% | 29.3% | 30.3% | 26.1% | 22.5% | |||||||||||
26 | TLAC (as a percentage of leverage exposure) | 9.3% | 8.1% | 9.5% | 9.0% | 9.3% | 8.3% | 9.3% | 8.8% | |||||||||||
27 | CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements4 | 8.5% | N/A | N/A | 5.2% | 8.1% | N/A | N/A | 4.5% | |||||||||||
28 | Institution-specific buffer requirement expressed as a percentage of risk-weighted assets | 5.1% | N/A | N/A | 2.5% | 5.2% | N/A | N/A | 2.5% | |||||||||||
29 | – of which: capital conservation buffer requirement | 2.5% | N/A | N/A | 2.5% | 2.5% | N/A | N/A | 2.5% | |||||||||||
30 | – of which: bank specific countercyclical buffer requirement | 0.6% | N/A | N/A | N/A | 0.7% | N/A | N/A | N/A | |||||||||||
31 | – of which: higher loss absorbency (G-SIB) requirement | 2.0% | N/A | N/A | N/A | 2.0% | N/A | N/A | N/A |
1 | The Group and European resolution group reports in accordance with CRR II. Unless otherwise stated all figures are calculated using the EU's regulatory transitional arrangements for IFRS 9 in article 473a. Investments by the European resolution group in the regulatory capital or TLAC of other group companies are deducted from the corresponding form of capital in rows 1, 4 & 9. Buffer requirements are reported as ‘Not applicable’ as none have yet been set for the European resolution group. |
2 | Reporting for the Asian resolution group follows HKMA regulatory rules. IFRS 9 has been implemented but no regulatory transitional arrangements apply. |
3 | Reporting for the US resolution group is prepared in accordance with local regulatory rules. The US accounting standard for current expected credit losses ('CECL') corresponding to IFRS 9 is not yet effective. Leverage exposure and ratio are calculated under the US supplementary leverage ratio rules. Other adjustments for the US resolution group relate to allowances for loan and lease losses that are not TLAC eligible and Tier 2 instruments that currently do not qualify as TLAC. Under the US Final TLAC rules, in addition to the risk-weighted assets component of the TLAC requirement, the US resolution group is subject to an external 2.5% TLAC buffer that is similar to the capital conservation buffer. |
4 | For the Group, minimum capital requirement is defined as the sum of Pillar 1 and Pillar 2A capital requirements set by the PRA. The minimum requirements represent the total capital requirement to be met by CET1. |
21 | HSBC Holdings plc Pillar 3 2019 |
Table 16: HSBC Holdings plc creditor ranking (TLAC3) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
(most junior) | (most senior) | |||||||||||
1 | Description of creditor ranking | Footnotes | Ordinary shares1 | Preference shares and AT1 instruments | Subordinated notes | Senior notes and other pari passu liabilities | ||||||
2 | Total capital and liabilities net of credit risk mitigation | 10,319 | 23,633 | 20,816 | 82,234 | 137,002 | ||||||
3 | – of row 2 that are excluded liabilities | 2 | — | — | — | 412 | 412 | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 10,319 | 23,633 | 20,816 | 81,822 | 136,590 | ||||||
5 | – of row 4 that are potentially eligible as TLAC | 10,319 | 23,633 | 20,816 | 80,031 | 134,799 | ||||||
6 | – of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | 15,658 | 15,658 | ||||||
7 | – of row 5 with 2 years ≤ residual maturity < 5 years | — | — | 2,000 | 30,341 | 32,341 | ||||||
8 | – of row 5 with 5 years ≤ residual maturity < 10 years | — | — | 7,525 | 27,290 | 34,815 | ||||||
9 | – of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 10,391 | 6,742 | 17,133 | ||||||
10 | – of row 5 that are perpetual securities | 10,319 | 23,633 | 900 | — | 34,852 |
1 | Excludes the value of share premium and reserves attributable to ordinary shareholders. |
2 | Excluded liabilities are defined in CRR II Article 72a (2). The balance mainly relates to accruals for service company recharges. |
Table 17: HSBC UK Bank plc creditor ranking (TLAC2) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
Footnotes | (most junior) | (most senior) | ||||||||||
1 | Is the resolution entity the creditor/investor? | 1 | No | No | No | No | ||||||
2 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | Subordinated loans | Senior subordinated loans | |||||||
3 | Total capital and liabilities net of credit risk mitigation | — | 2,903 | 3,881 | 8,619 | 15,403 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | — | 2,903 | 3,881 | 8,619 | 15,403 | ||||||
6 | – of row 5 that are eligible as TLAC | — | 2,903 | 3,881 | 8,619 | 15,403 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | — | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | 1,700 | 4,627 | 6,327 | ||||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 2,181 | 3,992 | 6,173 | ||||||
11 | – of row 6 that are perpetual securities | — | 2,903 | — | — | 2,903 |
1 | The entity’s capital and TLAC are owned by HSBC UK Holdings Limited. |
Table 18: HSBC Bank plc creditor ranking (TLAC2) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
Footnotes | (most junior) | (most senior) | ||||||||||
1 | Is the resolution entity the creditor/investor? | 1 | No | No | No | No | ||||||
2 | Description of creditor ranking | Ordinary shares2 | Third Dollar preference shares and AT1 instruments | Undated primary capital notes | Subordinated notes and subordinated loans | |||||||
3 | Total capital and liabilities net of credit risk mitigation | 1,054 | 5,203 | 1,550 | 18,381 | 26,188 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 1,054 | 5,203 | 1,550 | 18,381 | 26,188 | ||||||
6 | – of row 5 that are eligible as TLAC | 1,054 | 5,203 | 1,550 | 18,381 | 26,188 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | 450 | 450 | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | 11,003 | 11,003 | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | — | 3,391 | 3,391 | ||||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | — | 2,215 | 2,215 | ||||||
11 | – of row 6 that are perpetual securities | 1,054 | 5,203 | 1,550 | 1,322 | 9,129 |
1 | The entity’s ordinary shares are owned by HSBC UK Holdings Limited. Other instruments are either owned by HSBC UK Holdings Limited or by third parties. |
2 | Excludes the value of share premium and reserves attributable to ordinary shareholders. |
Table 19: HSBC Asia Holdings Ltd creditor ranking¹ (TLAC3) | |||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | ||||||||||
1 | 2 | 3 | 4 | ||||||||
(most junior) | (most senior) | ||||||||||
1 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | Tier 2 instruments | LAC loans | ||||||
2 | Total capital and liabilities net of credit risk mitigation | 56,587 | 5,700 | 1,780 | 21,177 | 85,244 | |||||
3 | – of row 2 that are excluded liabilities | — | — | — | — | — | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 56,587 | 5,700 | 1,780 | 21,177 | 85,244 | |||||
5 | – of row 4 that are potentially eligible as TLAC | 56,587 | 5,700 | 1,780 | 21,177 | 85,244 | |||||
6 | – of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | |||||
7 | – of row 5 with 2 years ≤ residual maturity < 5 years | — | — | — | 9,828 | 9,828 | |||||
8 | – of row 5 with 5 years ≤ residual maturity < 10 years | — | — | — | 9,349 | 9,349 | |||||
9 | – of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 1,780 | 2,000 | 3,780 | |||||
10 | – of row 5 that are perpetual securities | 56,587 | 5,700 | — | — | 62,287 |
1 | The entity’s capital and TLAC are held by HSBC Holdings plc. |
2 | Excludes the value of share premium and reserves attributable to ordinary shareholders. |
Table 20: The Hongkong and Shanghai Banking Corporation Ltd creditor ranking (TLAC2) | |||||||||||||
Creditor ranking ($m) | Sum of 1 to 5 | ||||||||||||
1 | 2 | 3 | 4 | 5 | |||||||||
(most junior) | (most senior) | ||||||||||||
1 | Is the resolution entity the creditor/investor? | Yes | Yes | No1 | Yes | Yes | |||||||
2 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | Primary capital notes | Tier 2 instruments | LAC loans | |||||||
3 | Total capital and liabilities net of credit risk mitigation | 22,125 | 5,700 | 400 | 1,780 | 21,177 | 51,182 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 22,125 | 5,700 | 400 | 1,780 | 21,177 | 51,182 | ||||||
6 | – of row 5 that are eligible as TLAC | 22,125 | 5,700 | — | 1,780 | 21,177 | 50,782 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | — | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | 9,828 | 9,828 | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | — | — | 9,349 | 9,349 | ||||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | — | 1,780 | 2,000 | 3,780 | ||||||
11 | – of row 6 that are perpetual securities | 22,125 | 5,700 | — | — | — | 27,825 |
1 | The company’s primary capital notes are held by third parties. |
2 | Excludes the value of share premium and reserves attributable to ordinary shareholders. |
23 | HSBC Holdings plc Pillar 3 2019 |
Table 21: Hang Seng Bank Ltd creditor ranking (TLAC2) | ||||||||||
Creditor ranking ($m) | Sum of 1 to 3 | |||||||||
1 | 2 | 3 | ||||||||
Footnotes | (most junior) | (most senior) | ||||||||
1 | Is the resolution entity the creditor/investor? | 1 | No | No | No | |||||
2 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | LAC loans | ||||||
3 | Total capital and liabilities net of credit risk mitigation | 1,240 | 1,500 | 2,503 | 5,243 | |||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | |||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 1,240 | 1,500 | 2,503 | 5,243 | |||||
6 | – of row 5 that are eligible as TLAC | 1,240 | 1,500 | 2,503 | 5,243 | |||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | |||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | |||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | 2,103 | 2,103 | |||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 400 | 400 | |||||
11 | – of row 6 that are perpetual securities | 1,240 | 1,500 | — | 2,740 |
1 | 62.14% of Hang Seng Bank Limited’s ordinary share capital is owned by The Hongkong and Shanghai Banking Corporation Limited. Hang Seng Bank Limited’s other TLAC eligible securities are directly held by The Hongkong and Shanghai Banking Corporation Limited. |
2 | Excludes the value of reserves attributable to ordinary shareholders. |
Table 22: HSBC North America Holdings Inc. creditor ranking¹ (TLAC3) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
(most junior) | (most senior) | |||||||||||
1 | Description of creditor ranking | Footnotes | Common stock2 | Preferred stock | Subordinated loans | Senior unsecured loans and other pari passu liabilities | ||||||
2 | Total capital and liabilities net of credit risk mitigation | — | 2,240 | 2,850 | 8,333 | 13,423 | ||||||
3 | – of row 2 that are excluded liabilities | 3 | — | — | — | 183 | 183 | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | — | 2,240 | 2,850 | 8,150 | 13,240 | ||||||
5 | – of row 4 that are potentially eligible as TLAC | — | 2,240 | 2,850 | 8,000 | 13,090 | ||||||
6 | – of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | ||||||
7 | – of row 5 with 2 years ≤ residual maturity < 5 years | — | — | — | 3,500 | 3,500 | ||||||
8 | – of row 5 with 5 years ≤ residual maturity < 10 years | — | — | 2,850 | 4,500 | 7,350 | ||||||
9 | – of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | — | — | — | ||||||
10 | – of row 5 that are perpetual securities | — | 2,240 | — | — | 2,240 |
1 | The entity’s capital and TLAC are held by HSBC Overseas Holdings (UK) Limited. |
2 | The nominal value of common stock is $2. This excludes the value of share premium and reserves attributable to ordinary shareholders. |
3 | Excluded liabilities consists of ‘unrelated liabilities’ as defined in the Final US TLAC rules. This mainly represents accrued employee benefit obligations. |
Pillar 2 and ICAAP |
• | remain sufficient to support our risk profile and outstanding commitments; |
• | meet current regulatory requirements, and that HSBC is well placed to meet those expected in the future; |
• | allow the group to remain adequately capitalised in the event of a severe economic downturn stress scenario; and |
• | remain consistent with our strategic and operational goals, and our shareholder and investor expectations. |
25 | HSBC Holdings plc Pillar 3 2019 |
Credit risk |
Overview and responsibilities |
The principal objectives of our credit risk management function are: • to maintain across HSBC a strong culture of responsible lending and a robust credit risk policy and control framework;• to both partner and challenge our businesses in defining, implementing and continually re-evaluating our credit risk appetite under actual and stress scenario conditions; and• to ensure there is independent, expert scrutiny of credit risks, their costs and their mitigation. |
Credit risk management |
Table 23: Credit risk exposure – summary (CRB-B) | ||||||||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2018 | |||||||||||||||||||||
Net carrying values | Average net carrying values3 | RWAs^ | Capital required | RWA density | Net carrying values | Average net carrying values3 | RWAs^ | Capital required | RWA density | |||||||||||||
Footnotes | $bn | $bn | $bn | $bn | % | $bn | $bn | $bn | $bn | % | ||||||||||||
IRB advanced approach | 1,935.3 | 1,892.4 | 452.6 | 36.2 | 29 | 1,844.5 | 1,812.1 | 468.2 | 37.4 | 32 | ||||||||||||
– central governments and central banks | 346.3 | 343.9 | 36.3 | 2.9 | 11 | 331.7 | 315.4 | 36.9 | 3.0 | 11 | ||||||||||||
– institutions | 74.7 | 82.4 | 10.8 | 0.9 | 16 | 80.6 | 88.0 | 14.2 | 1.1 | 19 | ||||||||||||
– corporates | 1 | 959.9 | 958.1 | 327.7 | 26.2 | 50 | 948.9 | 932.0 | 345.1 | 27.5 | 52 | |||||||||||
– total retail | 554.4 | 508.0 | 77.8 | 6.2 | 16 | 483.3 | 476.7 | 72.0 | 5.8 | 17 | ||||||||||||
Secured by mortgages on immovable property SME | 3.6 | 3.6 | 1.5 | 0.1 | 45 | 3.5 | 3.2 | 1.8 | 0.1 | 54 | ||||||||||||
Secured by mortgages on immovable property non-SME | 314.5 | 298.9 | 40.4 | 3.2 | 13 | 285.9 | 280.9 | 37.2 | 3.0 | 13 | ||||||||||||
Qualifying revolving retail | 140.3 | 135.1 | 18.8 | 1.5 | 23 | 132.1 | 129.1 | 17.3 | 1.4 | 23 | ||||||||||||
Other SME | 7.9 | 7.8 | 4.7 | 0.4 | 76 | 7.5 | 8.7 | 4.8 | 0.4 | 76 | ||||||||||||
Other non-SME | 88.1 | 62.6 | 12.4 | 1.0 | 18 | 54.3 | 54.8 | 10.9 | 0.9 | 24 | ||||||||||||
IRB securitisation positions | 20.2 | 25.0 | 3.7 | 0.3 | 19 | 29.7 | 31.0 | 6.3 | 0.5 | 21 | ||||||||||||
IRB non-credit obligation assets | 62.4 | 60.1 | 13.3 | 1.1 | 21 | 56.9 | 59.2 | 10.8 | 0.9 | 19 | ||||||||||||
IRB foundation approach | 88.3 | 82.1 | 32.3 | 2.6 | 59 | 78.4 | 76.5 | 30.5 | 2.4 | 61 | ||||||||||||
– central governments and central banks | — | — | — | — | 20 | — | — | — | — | 25 | ||||||||||||
– institutions | 0.7 | 0.6 | 0.2 | — | 26 | 0.5 | 0.3 | 0.2 | — | 35 | ||||||||||||
– corporates | 87.6 | 81.5 | 32.1 | 2.6 | 59 | 77.9 | 76.2 | 30.3 | 2.4 | 61 | ||||||||||||
Standardised approach | 525.3 | 518.3 | 174.7 | 14.0 | 45 | 501.8 | 501.9 | 175.3 | 14.1 | 48 | ||||||||||||
– central governments and central banks | 176.9 | 164.5 | 11.2 | 0.9 | 6 | 163.9 | 182.5 | 12.5 | 1.0 | 7 | ||||||||||||
– regional governments or local authorities | 8.9 | 7.9 | 1.6 | 0.1 | 18 | 7.3 | 5.7 | 1.3 | 0.1 | 19 | ||||||||||||
– public sector entities | 16.6 | 14.1 | — | — | — | 12.2 | 7.6 | — | — | — | ||||||||||||
– multilateral development banks | 0.1 | 0.1 | — | — | — | 0.2 | 0.2 | — | — | 2 | ||||||||||||
– international organisations | 1.6 | 1.5 | — | — | — | 1.6 | 2.0 | — | — | — | ||||||||||||
– institutions | 2.4 | 2.8 | 0.9 | 0.1 | 58 | 3.4 | 3.0 | 1.2 | 0.1 | 52 | ||||||||||||
– corporates | 159.8 | 181.4 | 72.5 | 5.8 | 94 | 179.4 | 168.4 | 79.2 | 6.3 | 94 | ||||||||||||
– retail | 70.7 | 67.0 | 14.4 | 1.2 | 74 | 63.8 | 66.2 | 14.8 | 1.2 | 74 | ||||||||||||
– secured by mortgages on immovable property | 33.4 | 32.1 | 12.0 | 1.0 | 37 | 32.0 | 30.3 | 11.3 | 0.9 | 37 | ||||||||||||
– exposures in default | 3.4 | 3.1 | 4.1 | 0.3 | 114 | 3.0 | 3.0 | 3.8 | 0.3 | 117 | ||||||||||||
– items associated with particularly high risk | 5.5 | 5.3 | 7.9 | 0.6 | 150 | 4.8 | 4.2 | 6.9 | 0.6 | 150 | ||||||||||||
– securitisation positions | 16.3 | 8.1 | 4.6 | 0.4 | 28 | 2.7 | 2.5 | 2.1 | 0.2 | 82 | ||||||||||||
– collective investment undertakings (‘CIU’) | 0.4 | 0.5 | 0.4 | — | 100 | 0.6 | 0.6 | 0.6 | 0.1 | 100 | ||||||||||||
– equity exposures | 2 | 16.4 | 16.2 | 36.3 | 2.9 | 220 | 15.6 | 13.2 | 35.0 | 2.8 | 223 | |||||||||||
– other items | 12.9 | 13.7 | 8.8 | 0.7 | 68 | 11.3 | 12.5 | 6.6 | 0.5 | 58 | ||||||||||||
Total | 2,631.5 | 2,577.9 | 676.6 | 54.2 | 33 | 2,511.3 | 2,480.7 | 691.1 | 55.3 | 35 |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Corporates includes specialised lending exposures which are reported in more detail in Table 75: Specialised lending on slotting approach (CR10). |
2 | Equity exposures include investments that are risk weighted at 250%. |
3 | Average net carrying values are calculated by aggregating net carrying values of the last five quarters and dividing by five. |
27 | HSBC Holdings plc Pillar 3 2019 |
Credit quality |
Table 24: Credit quality of exposures by exposure classes and instruments¹ (CR1-A) | |||||||||||||
Gross carrying values of | Specific credit risk adjustments | Write-offs in the year2 | Credit risk adjustment charges of the period2 | Net carrying values | |||||||||
Defaulted exposures | Non-defaulted exposures | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Central governments and central banks | — | 346.4 | 0.1 | — | — | 346.3 | ||||||
2 | Institutions | — | 75.4 | — | — | — | 75.4 | ||||||
3 | Corporates | 6.9 | 1,044.9 | 4.3 | 0.9 | 1.0 | 1,047.5 | ||||||
4 | – of which: specialised lending | 1.1 | 50.8 | 0.5 | — | — | 51.4 | ||||||
6 | Retail | 3.4 | 553.0 | 2.0 | 0.8 | 1.1 | 554.4 | ||||||
7 | – Secured by real estate property | 2.4 | 316.0 | 0.3 | — | — | 318.1 | ||||||
8 | SMEs | 0.1 | 3.6 | 0.1 | — | — | 3.6 | ||||||
9 | Non-SMEs | 2.3 | 312.4 | 0.2 | — | — | 314.5 | ||||||
10 | – Qualifying revolving retail | 0.3 | 141.0 | 1.0 | 0.4 | 0.6 | 140.3 | ||||||
11 | – Other retail | 0.7 | 96.0 | 0.7 | 0.4 | 0.5 | 96.0 | ||||||
12 | SMEs | 0.4 | 7.8 | 0.3 | 0.2 | 0.2 | 7.9 | ||||||
13 | Non-SMEs | 0.3 | 88.2 | 0.4 | 0.2 | 0.3 | 88.1 | ||||||
15 | Total IRB approach | 10.3 | 2,019.7 | 6.4 | 1.7 | 2.1 | 2,023.6 | ||||||
16 | Central governments and central banks | — | 176.9 | — | — | — | 176.9 | ||||||
17 | Regional governments or local authorities | — | 8.9 | — | — | — | 8.9 | ||||||
18 | Public sector entities | — | 16.6 | — | — | — | 16.6 | ||||||
19 | Multilateral development banks | — | 0.1 | — | — | — | 0.1 | ||||||
20 | International organisations | — | 1.6 | — | — | — | 1.6 | ||||||
21 | Institutions | — | 2.4 | — | — | — | 2.4 | ||||||
22 | Corporates | 3.7 | 160.3 | 2.0 | 0.5 | 0.2 | 162.0 | ||||||
24 | Retail | 1.0 | 71.7 | 1.4 | 0.7 | 0.8 | 71.3 | ||||||
25 | – of which: SMEs | — | 1.3 | 0.1 | — | — | 1.2 | ||||||
26 | Secured by mortgages on immovable property | 0.7 | 33.5 | 0.2 | — | — | 34.0 | ||||||
27 | – of which: SMEs | — | 0.1 | — | — | — | 0.1 | ||||||
28 | Exposures in default | 5.4 | — | 2.0 | 1.2 | 1.0 | 3.4 | ||||||
29 | Items associated with particularly high risk | 0.1 | 5.4 | — | — | — | 5.5 | ||||||
32 | Collective investment undertakings (‘CIU’) | — | 0.4 | — | — | — | 0.4 | ||||||
33 | Equity exposures | — | 16.4 | — | — | — | 16.4 | ||||||
34 | Other exposures | — | 12.9 | — | — | — | 12.9 | ||||||
35 | Total standardised approach | 5.5 | 507.1 | 3.6 | 1.2 | 1.0 | 509.0 | ||||||
36 | Total at 31 Dec 2019 | 15.8 | 2,526.8 | 10.0 | 2.9 | 3.1 | 2,532.6 | ||||||
– of which: loans | 14.6 | 1,274.0 | 9.4 | 2.9 | 3.1 | 1,279.2 | |||||||
– of which: debt securities | — | 377.4 | 0.1 | — | — | 377.3 | |||||||
– of which: off-balance sheet exposures | 1.2 | 837.5 | 0.5 | — | — | 838.2 |
Table 24: Credit quality of exposures by exposure classes and instruments¹ (CR1-A) (continued) | |||||||||||||
Gross carrying values of | Specific credit risk adjustments | Write-offs in the year2 | Credit risk adjustment charges of the period2 | Net carrying values | |||||||||
Defaulted exposures | Non-defaulted exposures | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Central governments and central banks | — | 331.8 | 0.1 | — | — | 331.7 | ||||||
2 | Institutions | — | 81.1 | — | — | — | 81.1 | ||||||
3 | Corporates | 6.9 | 1,024.0 | 4.1 | 0.8 | 0.5 | 1,026.8 | ||||||
4 | – of which: specialised lending | 0.8 | 49.3 | 0.4 | — | 0.1 | 49.7 | ||||||
6 | Retail | 3.3 | 481.8 | 1.8 | 0.7 | 0.9 | 483.3 | ||||||
7 | – Secured by real estate property | 2.5 | 287.3 | 0.4 | — | 0.1 | 289.4 | ||||||
8 | SMEs | 0.1 | 3.5 | 0.1 | — | 0.1 | 3.5 | ||||||
9 | Non-SMEs | 2.4 | 283.8 | 0.3 | — | — | 285.9 | ||||||
10 | – Qualifying revolving retail | 0.1 | 132.7 | 0.7 | 0.3 | 0.4 | 132.1 | ||||||
11 | – Other retail | 0.7 | 61.8 | 0.7 | 0.4 | 0.4 | 61.8 | ||||||
12 | SMEs | 0.3 | 7.5 | 0.3 | 0.2 | 0.2 | 7.5 | ||||||
13 | Non-SMEs | 0.4 | 54.3 | 0.4 | 0.2 | 0.2 | 54.3 | ||||||
15 | Total IRB approach | 10.2 | 1,918.7 | 6.0 | 1.5 | 1.4 | 1,922.9 | ||||||
16 | Central governments and central banks | — | 163.9 | — | — | — | 163.9 | ||||||
17 | Regional governments or local authorities | — | 7.3 | — | — | — | 7.3 | ||||||
18 | Public sector entities | — | 12.2 | — | — | — | 12.2 | ||||||
19 | Multilateral development banks | — | 0.2 | — | — | — | 0.2 | ||||||
20 | International organisations | — | 1.6 | — | — | — | 1.6 | ||||||
21 | Institutions | — | 3.4 | — | — | — | 3.4 | ||||||
22 | Corporates | 3.3 | 180.0 | 2.1 | 0.3 | 0.4 | 181.2 | ||||||
24 | Retail | 1.1 | 64.9 | 1.5 | 0.7 | 0.5 | 64.5 | ||||||
25 | – of which: SMEs | — | 1.2 | — | — | — | 1.2 | ||||||
26 | Secured by mortgages on immovable property | 0.6 | 32.1 | 0.2 | — | — | 32.5 | ||||||
27 | – of which: SMEs | — | 0.1 | — | — | — | 0.1 | ||||||
28 | Exposures in default | 5.1 | — | 2.1 | 1.0 | 0.8 | 3.0 | ||||||
29 | Items associated with particularly high risk | 0.1 | 4.7 | — | — | — | 4.8 | ||||||
32 | Collective investment undertakings (‘CIU’) | — | 0.6 | — | — | — | 0.6 | ||||||
33 | Equity exposures | — | 15.6 | — | — | — | 15.6 | ||||||
34 | Other exposures | — | 11.3 | — | — | — | 11.3 | ||||||
35 | Total standardised approach | 5.1 | 497.8 | 3.8 | 1.0 | 0.9 | 499.1 | ||||||
36 | Total at 31 Dec 2018 | 15.3 | 2,416.5 | 9.8 | 2.5 | 2.3 | 2,422.0 | ||||||
– of which: loans | 13.7 | 1,233.4 | 9.1 | 2.5 | 2.3 | 1,238.0 | |||||||
– of which: debt securities | — | 348.5 | — | — | — | 348.5 | |||||||
– of which: off-balance sheet exposures | 1.6 | 798.7 | 0.6 | — | — | 799.7 |
1 | Securitisation positions and non-credit obligation assets are not included in this table. |
2 | Presented on a year-to-date basis. |
29 | HSBC Holdings plc Pillar 3 2019 |
Table 25: Credit quality of exposures by industry or counterparty types¹, ² (CR1-B) | ||||||||||||||
Gross carrying values of | ||||||||||||||
Defaulted exposures | Non-defaulted exposures | Specific credit risk adjustments | Write-offs in the year3 | Credit risk adjustment charges of the period3 | Net carrying values | |||||||||
$bn | $bn | $bn | $bn | $bn | $bn | |||||||||
1 | Agriculture | 0.3 | 9.7 | 0.2 | — | — | 9.8 | |||||||
2 | Mining & oil extraction | 0.4 | 41.1 | 0.3 | — | — | 41.2 | |||||||
3 | Manufacturing | 1.8 | 261.3 | 1.4 | 0.6 | 0.8 | 261.7 | |||||||
4 | Utilities | 0.2 | 32.2 | 0.1 | 0.1 | — | 32.3 | |||||||
5 | Water supply | — | 3.4 | — | — | — | 3.4 | |||||||
6 | Construction | 1.2 | 46.1 | 0.6 | 0.2 | 0.1 | 46.7 | |||||||
7 | Wholesale & retail trade | 2.1 | 204.3 | 1.3 | 0.3 | 0.3 | 205.1 | |||||||
8 | Transportation & storage | 0.4 | 44.6 | 0.2 | — | — | 44.8 | |||||||
9 | Accommodation & food services | 0.3 | 29.0 | 0.1 | 0.1 | 0.1 | 29.2 | |||||||
10 | Information & communication | — | 16.8 | 0.1 | — | — | 16.7 | |||||||
11 | Financial & insurance | 0.4 | 535.0 | 0.3 | — | 0.1 | 535.1 | |||||||
12 | Real estate | 1.2 | 196.0 | 0.7 | — | 0.1 | 196.5 | |||||||
13 | Professional activities | 0.1 | 28.0 | 0.1 | — | — | 28.0 | |||||||
14 | Administrative service | 2.0 | 154.9 | 0.9 | — | 0.1 | 156.0 | |||||||
15 | Public admin & defence | 0.2 | 214.1 | 0.2 | — | (0.2 | ) | 214.1 | ||||||
16 | Education | — | 3.6 | — | — | — | 3.6 | |||||||
17 | Human health & social work | 0.2 | 7.1 | 0.1 | — | — | 7.2 | |||||||
18 | Arts & entertainment | — | 7.0 | — | 0.1 | — | 7.0 | |||||||
19 | Other services | 0.2 | 17.6 | 0.1 | — | 0.1 | 17.7 | |||||||
20 | Personal | 4.8 | 631.6 | 3.3 | 1.5 | 1.6 | 633.1 | |||||||
21 | Extra-territorial bodies | — | 43.4 | — | — | — | 43.4 | |||||||
22 | Total at 31 Dec 2019 | 15.8 | 2,526.8 | 10.0 | 2.9 | 3.1 | 2,532.6 | |||||||
1 | Agriculture | 0.3 | 8.6 | 0.1 | — | — | 8.8 | |||||||
2 | Mining & oil extraction | 0.5 | 40.9 | 0.3 | 0.1 | (0.1 | ) | 41.1 | ||||||
3 | Manufacturing | 2.0 | 255.6 | 1.4 | 0.4 | 0.3 | 256.2 | |||||||
4 | Utilities | 0.1 | 31.5 | 0.2 | — | — | 31.4 | |||||||
5 | Water supply | — | 3.6 | — | — | — | 3.6 | |||||||
6 | Construction | 1.4 | 39.8 | 0.6 | — | 0.2 | 40.6 | |||||||
7 | Wholesale & retail trade | 2.2 | 203.4 | 1.3 | 0.3 | 0.4 | 204.3 | |||||||
8 | Transportation & storage | 0.4 | 45.0 | 0.2 | — | 0.1 | 45.2 | |||||||
9 | Accommodation & food services | 0.4 | 27.2 | 0.2 | — | — | 27.4 | |||||||
10 | Information & communication | — | 18.8 | 0.1 | — | 0.1 | 18.7 | |||||||
11 | Financial & insurance | 0.3 | 531.4 | 0.2 | 0.1 | (0.1 | ) | 531.5 | ||||||
12 | Real estate | 1.0 | 189.3 | 0.6 | — | 0.2 | 189.7 | |||||||
13 | Professional activities | 0.2 | 28.5 | 0.1 | — | 0.1 | 28.6 | |||||||
14 | Administrative service | 1.1 | 146.3 | 0.9 | 0.1 | 0.1 | 146.5 | |||||||
15 | Public admin & defence | 0.4 | 192.0 | 0.4 | — | — | 192.0 | |||||||
16 | Education | — | 3.5 | — | — | — | 3.5 | |||||||
17 | Human health & social work | 0.2 | 6.9 | 0.1 | — | — | 7.0 | |||||||
18 | Arts & entertainment | — | 8.5 | — | — | — | 8.5 | |||||||
19 | Other services | 0.2 | 13.0 | 0.1 | — | — | 13.1 | |||||||
20 | Personal | 4.6 | 572.8 | 3.0 | 1.5 | 1.0 | 574.4 | |||||||
21 | Extra-territorial bodies | — | 49.9 | — | — | — | 49.9 | |||||||
22 | Total at 31 Dec 2018 | 15.3 | 2,416.5 | 9.8 | 2.5 | 2.3 | 2,422.0 |
1 | Securitisation positions and non-credit obligation assets are not included in this table. |
2 | The industry classifications of this disclosure have been revised. 31 December 2018 data has been restated to be on a consistent basis with the current year. |
Table 26: Credit quality of exposures by geography1 (CR1-C) | |||||||||||||
Gross carrying values of | |||||||||||||
Defaulted exposures | Non-defaulted exposures | Specific credit risk adjustments | Write-offs in the year2 | Credit risk adjustment charges of the period2 | Net carrying values | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Europe | 7.1 | 811.5 | 3.8 | 1.1 | 1.2 | 814.8 | ||||||
2 | – United Kingdom | 4.6 | 505.5 | 2.7 | 0.8 | 1.0 | 507.4 | ||||||
3 | – France | 1.2 | 136.5 | 0.6 | 0.1 | 0.2 | 137.1 | ||||||
4 | – Other countries | 1.3 | 169.5 | 0.5 | 0.2 | — | 170.3 | ||||||
5 | Asia | 2.5 | 1,056.3 | 2.3 | 0.6 | 0.8 | 1,056.5 | ||||||
6 | – Hong Kong | 0.7 | 531.7 | 0.9 | 0.2 | 0.4 | 531.5 | ||||||
7 | – China | 0.3 | 163.3 | 0.4 | 0.1 | 0.2 | 163.2 | ||||||
8 | – Singapore | 0.2 | 76.5 | 0.2 | — | 0.1 | 76.5 | ||||||
9 | – Australia | 0.2 | 59.4 | 0.1 | — | — | 59.5 | ||||||
10 | – Other countries | 1.1 | 225.4 | 0.7 | 0.3 | 0.1 | 225.8 | ||||||
11 | MENA | 3.5 | 145.2 | 2.1 | 0.4 | 0.1 | 146.6 | ||||||
12 | North America | 1.9 | 439.8 | 0.7 | 0.2 | 0.3 | 441.0 | ||||||
13 | – United States of America | 1.2 | 311.0 | 0.4 | 0.2 | 0.2 | 311.8 | ||||||
14 | – Canada | 0.3 | 112.5 | 0.2 | — | 0.1 | 112.6 | ||||||
15 | – Other countries | 0.4 | 16.3 | 0.1 | — | — | 16.6 | ||||||
16 | Latin America | 0.8 | 60.3 | 1.1 | 0.6 | 0.7 | 60.0 | ||||||
17 | Other geographical areas | — | 13.7 | — | — | — | 13.7 | ||||||
18 | Total at 31 Dec 2019 | 15.8 | 2,526.8 | 10.0 | 2.9 | 3.1 | 2,532.6 | ||||||
1 | Europe | 6.7 | 780.1 | 3.8 | 0.9 | 1.0 | 783.0 | ||||||
2 | – United Kingdom | 4.1 | 474.2 | 2.4 | 0.8 | 0.9 | 475.9 | ||||||
3 | – France | 1.0 | 127.2 | 0.6 | 0.1 | — | 127.6 | ||||||
4 | – Other countries | 1.6 | 178.7 | 0.8 | — | 0.1 | 179.5 | ||||||
5 | Asia | 2.8 | 1,001.7 | 2.1 | 0.6 | 0.8 | 1,002.4 | ||||||
6 | – Hong Kong | 0.9 | 497.5 | 0.7 | 0.3 | 0.1 | 497.7 | ||||||
7 | – China | 0.3 | 157.3 | 0.3 | 0.1 | 0.2 | 157.3 | ||||||
8 | – Singapore | 0.2 | 71.9 | 0.2 | — | 0.1 | 71.9 | ||||||
9 | – Australia | 0.2 | 52.5 | 0.2 | — | — | 52.5 | ||||||
10 | – Other countries | 1.2 | 222.5 | 0.7 | 0.2 | 0.4 | 223.0 | ||||||
11 | MENA | 2.9 | 137.3 | 2.3 | 0.3 | 0.3 | 137.9 | ||||||
12 | North America | 2.0 | 419.4 | 0.6 | 0.2 | (0.1 | ) | 420.8 | |||||
13 | – United States of America | 1.3 | 295.1 | 0.3 | 0.1 | — | 296.1 | ||||||
14 | – Canada | 0.2 | 107.5 | 0.2 | 0.1 | — | 107.5 | ||||||
15 | – Other countries | 0.5 | 16.8 | 0.1 | — | (0.1 | ) | 17.2 | |||||
16 | Latin America | 0.9 | 62.9 | 1.0 | 0.5 | 0.3 | 62.8 | ||||||
17 | Other geographical areas | — | 15.1 | — | — | — | 15.1 | ||||||
18 | Total at 31 Dec 2018 | 15.3 | 2,416.5 | 9.8 | 2.5 | 2.3 | 2,422.0 |
1 | Amounts shown by geographical region and country/territory in this table are based on the country/territory of residence of the counterparty. Securitisation positions and non-credit obligation assets are not included in this table. |
2 | Presented on a year-to-date basis. |
Table 27: Changes in stock of general and specific credit risk adjustments (CR2-A) | ||||||||||
Twelve months to 31 Dec | ||||||||||
2019 | 2018 | |||||||||
Accumulated specific credit risk adjustments | Accumulated general credit risk adjustments | Accumulated specific credit risk adjustments | Accumulated general credit risk adjustments | |||||||
Footnotes | $bn | $bn | $bn | $bn | ||||||
1 | Opening balance at the beginning of the period | 9.8 | — | 10.4 | — | |||||
2 | Increases due to amounts set aside for estimated loan losses during the period | 1 | 3.1 | — | 2.3 | — | ||||
4 | Decreases due to amounts taken against accumulated credit risk adjustments | (2.9 | ) | — | (2.5 | ) | — | |||
6 | Impact of exchange rate differences | — | — | (0.4 | ) | — | ||||
9 | Closing balance at the end of the period | 10.0 | — | 9.8 | — | |||||
10 | Recoveries on credit risk adjustments recorded directly to the statement of profit or loss | 0.4 | — | 0.4 | — |
1 | Following adoption of IFRS 9 ‘Financial Instruments’, the movement due to amounts set aside for estimated loan losses during the period has been reported on a net basis. |
31 | HSBC Holdings plc Pillar 3 2019 |
Table 28: Changes in stock of defaulted loans and debt securities (CR2-B) | ||||||
Twelve months to 31 Dec | ||||||
2019 | 2018 | |||||
Gross carrying value | Gross carrying value | |||||
Footnotes | $bn | $bn | ||||
1 | Defaulted loans and debt securities at the beginning of the period | 13.7 | 15.1 | |||
2 | Loans and debt securities that have defaulted since the last reporting period | 6.5 | 5.7 | |||
3 | Returned to non-defaulted status | (1.0 | ) | (1.3 | ) | |
4 | Amounts written off | (2.9 | ) | (2.5 | ) | |
5 | Other changes | 1 | (0.1 | ) | (0.8 | ) |
7 | Repayments | (1.6 | ) | (2.5 | ) | |
6 | Defaulted loans and debt securities at the end of the period | 14.6 | 13.7 |
1 | Other changes include foreign exchange movements and changes in assets held for sale in default. |
Non-performing and forborne exposures |
• | the forborne exposure must have been considered to be performing for a ‘probation period’ of at least two years; |
• | regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period; and |
• | no exposure to the debtor is more than 30 days past due at the end of the probation period. |
Table 29: Credit quality of forborne exposures | |||||||||||||||||||
Gross carrying amount/nominal amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received on forborne exposures | |||||||||||||||||
Performing forborne | Non-performing forborne | On performing forborne exposures | On non-performing forborne exposures | Total | Of which forborne non-performing exposures | ||||||||||||||
Total | Of which defaulted | Of which impaired | |||||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
At 31 Dec 2019 | |||||||||||||||||||
1 | Loans and advances | 1.7 | 5.7 | 5.7 | 5.7 | — | (1.8 | ) | 3.2 | 2.4 | |||||||||
2 | Central banks | — | — | — | — | — | — | — | — | ||||||||||
3 | General governments | — | — | — | — | — | — | — | — | ||||||||||
4 | Credit institutions | — | — | — | — | — | — | — | — | ||||||||||
5 | Other financial corporations | — | — | — | — | — | — | — | — | ||||||||||
6 | Non-financial corporations | 1.7 | 3.5 | 3.5 | 3.5 | — | (1.4 | ) | 1.8 | 1.0 | |||||||||
7 | Households | — | 2.2 | 2.2 | 2.2 | — | (0.4 | ) | 1.4 | 1.4 | |||||||||
8 | Debt securities | — | — | — | — | — | — | — | — | ||||||||||
9 | Loan commitments given | — | 0.1 | 0.1 | 0.1 | — | — | 0.1 | 0.1 | ||||||||||
10 | Total | 1.7 | 5.8 | 5.8 | 5.8 | — | (1.8 | ) | 3.3 | 2.5 |
Table 30: Credit quality of performing and non-performing exposures by past due days | ||||||||||||||||||||||||||
Gross carrying amount/nominal amount1 | ||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | |||||||||||||||||||||||||
Total | Not past due or past due ≤ 30 days | Past due > 30 days ≤ 90 days | Total | Unlikely to pay but not past due or past due ≤ 90 days | Past due > 90 days ≤ 180 days | Past due > 180 days ≤ 1 year | Past due > 1 year ≤ 2 years | Past due > 2 years ≤ 5 years | Past due > 5 years ≤ 7 years | Past due > 7 years | of which: defaulted | |||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||||
At 31 Dec 2019 | ||||||||||||||||||||||||||
1 | Loans and advances | 1,535.0 | 1,533.2 | 1.8 | 14.6 | 7.4 | 2.8 | 0.8 | 1.1 | 1.7 | 0.3 | 0.5 | 14.6 | |||||||||||||
2 | Central banks | 191.7 | 191.7 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
3 | General governments | 9.9 | 9.9 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
4 | Credit institutions | 126.0 | 126.0 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
5 | Other financial corporations | 238.5 | 238.4 | 0.1 | 0.3 | 0.3 | — | — | — | — | — | — | 0.3 | |||||||||||||
6 | Non-financial corporations | 537.6 | 537.2 | 0.4 | 9.5 | 4.8 | 1.9 | 0.3 | 0.8 | 1.1 | 0.2 | 0.4 | 9.5 | |||||||||||||
8 | Households | 431.3 | 430.0 | 1.3 | 4.8 | 2.3 | 0.9 | 0.5 | 0.3 | 0.6 | 0.1 | 0.1 | 4.8 | |||||||||||||
9 | Debt securities | 381.2 | 381.2 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
10 | Central banks | 66.9 | 66.9 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
11 | General governments | 229.9 | 229.9 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
12 | Credit institutions | 36.8 | 36.8 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
13 | Other financial corporations | 41.0 | 41.0 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
14 | Non-financial corporations | 6.6 | 6.6 | — | — | — | — | — | — | — | — | — | — | |||||||||||||
15 | Off-balance-sheet exposures | 709.5 | N/A | N/A | 1.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1.2 | |||||||||||||
16 | Central banks | 0.1 | N/A | N/A | — | N/A | N/A | N/A | N/A | N/A | N/A | N/A | — | |||||||||||||
17 | General governments | 2.7 | N/A | N/A | — | N/A | N/A | N/A | N/A | N/A | N/A | N/A | — | |||||||||||||
18 | Credit institutions | 56.3 | N/A | N/A | — | N/A | N/A | N/A | N/A | N/A | N/A | N/A | — | |||||||||||||
19 | Other financial corporations | 54.9 | N/A | N/A | — | N/A | N/A | N/A | N/A | N/A | N/A | N/A | — | |||||||||||||
20 | Non-financial corporations | 373.1 | N/A | N/A | 1.0 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1.0 | |||||||||||||
21 | Households | 222.4 | N/A | N/A | 0.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 0.2 | |||||||||||||
22 | Total | 2,625.7 | 1,914.4 | 1.8 | 15.8 | 7.4 | 2.8 | 0.8 | 1.1 | 1.7 | 0.3 | 0.5 | 15.8 |
Table 31: Collateral obtained by taking possession and execution processes | |||||
At 31 Dec 2019 | |||||
Collateral obtained by taking possession | |||||
Value at initial recognition | Accumulated negative changes | ||||
$bn | $bn | ||||
1 | Property, plant and equipment (PP&E) | — | — | ||
2 | Other than PP&E | 0.1 | — | ||
3 | Residential immovable property | 0.1 | — | ||
8 | Total | 0.1 | — |
• | stage 1: These financial assets are unimpaired and without a significant increase in credit risk. A 12-month allowance for ECL is recognised; |
• | stage 2: A significant increase in credit risk has been experienced on these financial assets since initial recognition. A lifetime ECL is recognised; |
• | stage 3: There is objective evidence of impairment and the financial assets are therefore considered to be in default or otherwise credit impaired. A lifetime ECL is recognised. |
• | Purchased or originated credit-impaired (‘POCI’): Financial assets purchased or originated at a deep discount are seen to reflect incurred credit losses. A lifetime ECL is recognised. These exposures are included in stage 3 in table 32 below. |
33 | HSBC Holdings plc Pillar 3 2019 |
Table 32: Performing and non-performing exposures and related provisions | |||||||||||||||||||||||||||||||
Gross carrying amount/nominal amount1 | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions | Accu-mulated partial write-off | Collaterals and financial guarantees received | ||||||||||||||||||||||||||||
Performing exposures | Non-performing exposures | Performing exposures | Non-performing exposures | On perfor-ming expo- sures | On non-perfo-rming expo- sures | ||||||||||||||||||||||||||
of which stage 1 | of which stage 2 | of which stage 2 | of which stage 3 | of which stage 1 | of which stage 2 | of which stage 2 | of which stage 3 | ||||||||||||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||||||
At 31 Dec 2019 | |||||||||||||||||||||||||||||||
1 | Loans and advances | 1,535.0 | 1,448.0 | 82.0 | 14.6 | — | 14.6 | (3.8 | ) | (1.4 | ) | (2.5 | ) | (5.5 | ) | — | (5.5 | ) | (0.5 | ) | 931.4 | 5.6 | |||||||||
2 | Central banks | 191.7 | 190.4 | 1.3 | — | — | — | — | — | — | — | — | — | — | 8.3 | — | |||||||||||||||
3 | General governments | 9.9 | 9.3 | 0.6 | — | — | — | — | — | — | — | — | — | — | 2.1 | — | |||||||||||||||
4 | Credit institutions | 126.0 | 125.8 | 0.1 | — | — | — | — | — | — | — | — | — | — | 83.9 | — | |||||||||||||||
5 | Other financial corporations | 238.5 | 229.4 | 5.2 | 0.3 | — | 0.3 | (0.1 | ) | (0.1 | ) | (0.1 | ) | (0.2 | ) | — | (0.2 | ) | — | 169.3 | — | ||||||||||
6 | Non-financial corporations | 537.6 | 477.7 | 59.2 | 9.5 | — | 9.5 | (1.7 | ) | (0.7 | ) | (1.0 | ) | (4.1 | ) | — | (4.1 | ) | (0.2 | ) | 295.0 | 2.7 | |||||||||
8 | Households | 431.3 | 415.4 | 15.6 | 4.8 | — | 4.8 | (2.0 | ) | (0.6 | ) | (1.4 | ) | (1.2 | ) | — | (1.2 | ) | (0.3 | ) | 372.8 | 2.9 | |||||||||
9 | Debt securities | 381.2 | 379.6 | 0.4 | — | — | — | (0.1 | ) | — | (0.1 | ) | — | — | — | — | 19.3 | — | |||||||||||||
10 | Central banks | 66.9 | 66.8 | 0.1 | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||
11 | General governments | 229.9 | 229.0 | 0.2 | — | — | — | (0.1 | ) | — | (0.1 | ) | — | — | — | — | 6.3 | — | |||||||||||||
12 | Credit institutions | 36.8 | 36.8 | 0.1 | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||
13 | Other financial corporations | 41.0 | 40.6 | — | — | — | — | — | — | — | — | — | — | — | 13.0 | — | |||||||||||||||
14 | Non-financial corporations | 6.6 | 6.4 | — | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||
15 | Off-balance-sheet exposures | 709.5 | 614.6 | 24.0 | 1.2 | — | 1.2 | (0.4 | ) | (0.1 | ) | (0.2 | ) | (0.2 | ) | — | (0.1 | ) | 117.5 | 0.1 | |||||||||||
16 | Central banks | 0.1 | 0.1 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||
17 | General governments | 2.7 | 1.7 | 0.1 | — | — | — | — | — | — | — | — | — | 0.3 | — | ||||||||||||||||
18 | Credit institutions | 56.3 | 52.6 | — | — | — | — | — | — | — | — | — | — | 0.4 | — | ||||||||||||||||
19 | Other financial corporations | 54.9 | 51.2 | 1.4 | — | — | — | (0.1 | ) | — | — | — | — | — | 6.9 | — | |||||||||||||||
20 | Non-financial corporations | 373.1 | 288.2 | 20.9 | 1.0 | — | 1.0 | (0.3 | ) | (0.1 | ) | (0.2 | ) | (0.2 | ) | — | (0.1 | ) | 60.6 | 0.1 | |||||||||||
21 | Households | 222.4 | 220.8 | 1.6 | 0.2 | — | 0.2 | — | — | — | — | — | — | 49.3 | — | ||||||||||||||||
22 | Total | 2,625.7 | 2,442.2 | 106.4 | 15.8 | — | 15.8 | (4.3 | ) | (1.5 | ) | (2.8 | ) | (5.7 | ) | — | (5.6 | ) | (0.5 | ) | 1,068.2 | 5.7 |
Table 33: Amount of past due unimpaired and credit-impaired exposures by geographical region | ||||||||||||
Europe | Asia | MENA | North America | Latin America | Total | |||||||
At 31 Dec 2019 | $bn | $bn | $bn | $bn | $bn | $bn | ||||||
Past due | 4.2 | 5.0 | 3.2 | 2.1 | 1.2 | 15.7 | ||||||
– personal | 2.1 | 2.7 | 0.7 | 1.5 | 0.6 | 7.6 | ||||||
– corporate and commercial | 2.1 | 1.7 | 2.5 | 0.5 | 0.5 | 7.3 | ||||||
– financial | — | 0.6 | — | 0.1 | 0.1 | 0.8 | ||||||
At 31 Dec 2018 | ||||||||||||
Past due | 5.0 | 5.2 | 3.3 | 2.3 | 1.3 | 17.1 | ||||||
– personal | 2.1 | 2.6 | 0.8 | 1.5 | 0.6 | 7.6 | ||||||
– corporate and commercial | 2.9 | 2.4 | 2.3 | 0.8 | 0.7 | 9.1 | ||||||
– financial | — | 0.2 | 0.2 | — | — | 0.4 |
Concentration risk |
Table 34: Geographical breakdown of exposures (CRB-C) | |||||||||||||||||||||
Net carrying values1,2 | |||||||||||||||||||||
Europe | Of which: | Asia | Of which: | ||||||||||||||||||
United Kingdom | France | Other countries | Hong Kong | China | Singapore | Australia | Other countries | ||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
IRB approach exposure classes | |||||||||||||||||||||
1 | Central governments and central banks | 3.7 | 0.1 | — | 3.6 | 172.0 | 54.1 | 28.7 | 15.8 | 8.9 | 64.5 | ||||||||||
2 | Institutions | 23.4 | 12.5 | 1.6 | 9.3 | 34.7 | 4.1 | 12.2 | 2.5 | 4.1 | 11.8 | ||||||||||
3 | Corporates | 308.1 | 169.0 | 47.4 | 91.7 | 461.0 | 216.3 | 85.6 | 32.8 | 24.6 | 101.7 | ||||||||||
4 | Retail | 243.3 | 214.1 | 26.6 | 2.6 | 251.6 | 202.2 | 5.9 | 12.3 | 17.3 | 13.9 | ||||||||||
6 | Total IRB approach | 578.5 | 395.7 | 75.6 | 107.2 | 919.3 | 476.7 | 132.4 | 63.4 | 54.9 | 191.9 | ||||||||||
Standardised approach exposure classes | — | ||||||||||||||||||||
7 | Central governments and central banks | 172.1 | 99.4 | 50.5 | 22.2 | 0.9 | 0.4 | — | — | 0.1 | 0.4 | ||||||||||
8 | Regional governments or local authorities | 2.8 | — | — | 2.8 | — | — | — | — | — | — | ||||||||||
9 | Public sector entities | 16.6 | — | 2.9 | 13.7 | — | — | — | — | — | — | ||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | ||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | — | ||||||||||
12 | Institutions | 1.0 | 0.1 | 0.8 | 0.1 | 0.1 | — | 0.1 | — | — | — | ||||||||||
13 | Corporates | 23.0 | 2.8 | 3.6 | 16.6 | 53.7 | 32.3 | 5.7 | 4.9 | 2.6 | 8.2 | ||||||||||
14 | Retail | 3.1 | 1.3 | 0.3 | 1.5 | 45.0 | 11.7 | 4.8 | 7.5 | 1.8 | 19.2 | ||||||||||
15 | Secured by mortgages on immovable property | 7.6 | 2.4 | 1.0 | 4.2 | 16.7 | 3.6 | 8.0 | 0.6 | 0.1 | 4.4 | ||||||||||
16 | Exposures in default | 0.6 | 0.1 | 0.1 | 0.4 | 0.4 | 0.1 | — | — | — | 0.3 | ||||||||||
17 | Items associated with particularly high risk | 3.4 | 1.1 | 0.9 | 1.4 | — | — | — | — | — | — | ||||||||||
20 | Collective investment undertakings (‘CIU’) | 0.4 | 0.4 | — | — | — | — | — | — | — | — | ||||||||||
21 | Equity exposures | 1.7 | 1.1 | 0.5 | 0.1 | 13.4 | 1.8 | 11.4 | 0.1 | — | 0.1 | ||||||||||
22 | Other exposures | 4.0 | 3.0 | 0.9 | 0.1 | 7.0 | 4.9 | 0.8 | — | — | 1.3 | ||||||||||
23 | Total standardised approach | 236.3 | 111.7 | 61.5 | 63.1 | 137.2 | 54.8 | 30.8 | 13.1 | 4.6 | 33.9 | ||||||||||
24 | Total at 31 Dec 2019 | 814.8 | 507.4 | 137.1 | 170.3 | 1,056.5 | 531.5 | 163.2 | 76.5 | 59.5 | 225.8 |
Table 34: Geographical breakdown of exposures (CRB-C) | |||||||||||||||||
Net carrying values1,2 | |||||||||||||||||
MENA | North America | Of which: | Latin America | Other | Total | ||||||||||||
United States of America | Canada | Other countries | |||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||
IRB approach exposure classes | |||||||||||||||||
1 | Central governments and central banks | 20.4 | 129.3 | 108.4 | 20.8 | 0.1 | 8.9 | 12.0 | 346.3 | ||||||||
2 | Institutions | 6.2 | 10.3 | 2.1 | 8.2 | — | 0.8 | — | 75.4 | ||||||||
3 | Corporates | 48.5 | 223.1 | 159.3 | 55.6 | 8.2 | 6.8 | — | 1,047.5 | ||||||||
4 | Retail | 3.5 | 55.8 | 27.4 | 25.1 | 3.3 | 0.2 | — | 554.4 | ||||||||
6 | Total IRB approach | 78.6 | 418.5 | 297.2 | 109.7 | 11.6 | 16.7 | 12.0 | 2,023.6 | ||||||||
Standardised approach exposure classes | |||||||||||||||||
7 | Central governments and central banks | 1.7 | 1.7 | 1.6 | 0.1 | — | 0.5 | — | 176.9 | ||||||||
8 | Regional governments or local authorities | 5.0 | — | — | — | — | 1.1 | — | 8.9 | ||||||||
9 | Public sector entities | — | — | — | — | — | — | — | 16.6 | ||||||||
10 | Multilateral development banks | — | — | — | — | — | — | 0.1 | 0.1 | ||||||||
11 | International organisations | — | — | — | — | — | — | 1.6 | 1.6 | ||||||||
12 | Institutions | 1.3 | — | — | — | — | — | — | 2.4 | ||||||||
13 | Corporates | 44.8 | 10.6 | 7.6 | 0.7 | 2.3 | 27.7 | — | 159.8 | ||||||||
14 | Retail | 8.7 | 4.6 | 2.3 | 1.9 | 0.4 | 9.3 | — | 70.7 | ||||||||
15 | Secured by mortgages on immovable property | 3.9 | 1.8 | 0.6 | 0.1 | 1.1 | 3.4 | — | 33.4 | ||||||||
16 | Exposures in default | 1.6 | 0.3 | — | — | 0.3 | 0.5 | — | 3.4 | ||||||||
17 | Items associated with particularly high risk | 0.2 | 1.8 | 0.9 | — | 0.9 | 0.1 | — | 5.5 | ||||||||
20 | Collective investment undertakings (‘CIU’) | — | — | — | — | — | — | — | 0.4 | ||||||||
21 | Equity exposures | 0.2 | 1.0 | 1.0 | — | — | 0.1 | — | 16.4 | ||||||||
22 | Other exposures | 0.6 | 0.7 | 0.6 | 0.1 | — | 0.6 | — | 12.9 | ||||||||
23 | Total standardised approach | 68.0 | 22.5 | 14.6 | 2.9 | 5.0 | 43.3 | 1.7 | 509.0 | ||||||||
24 | Total at 31 Dec 2019 | 146.6 | 441.0 | 311.8 | 112.6 | 16.6 | 60.0 | 13.7 | 2,532.6 |
35 | HSBC Holdings plc Pillar 3 2019 |
Table 34: Geographical breakdown of exposures (CRB-C) (continued) | |||||||||||||||||||||
Net carrying values1,2 | |||||||||||||||||||||
Europe | Of which: | Asia | Of which: | ||||||||||||||||||
United Kingdom | France | Other countries | Hong Kong | China | Singapore | Australia | Other countries | ||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
IRB approach exposure classes | |||||||||||||||||||||
1 | Central governments and central banks | 4.3 | 0.4 | 0.1 | 3.8 | 172.4 | 52.9 | 29.7 | 15.4 | 7.2 | 67.2 | ||||||||||
2 | Institutions | 23.1 | 8.7 | 1.8 | 12.6 | 40.8 | 7.0 | 13.9 | 2.6 | 4.4 | 12.9 | ||||||||||
3 | Corporates | 307.9 | 171.7 | 47.2 | 89.0 | 440.9 | 207.9 | 79.8 | 32.2 | 22.9 | 98.1 | ||||||||||
4 | Retail | 228.1 | 201.0 | 25.1 | 2.0 | 199.9 | 161.5 | 5.4 | 6.8 | 13.8 | 12.4 | ||||||||||
6 | Total IRB approach | 563.4 | 381.8 | 74.2 | 107.4 | 854.0 | 429.3 | 128.8 | 57.0 | 48.3 | 190.6 | ||||||||||
Standardised approach exposure classes | |||||||||||||||||||||
7 | Central governments and central banks | 158.6 | 82.7 | 45.3 | 30.6 | 0.8 | 0.5 | — | — | 0.1 | 0.2 | ||||||||||
8 | Regional governments or local authorities | 2.7 | — | — | 2.7 | — | — | — | — | — | — | ||||||||||
9 | Public sector entities | 12.1 | — | 0.2 | 11.9 | — | — | — | — | — | — | ||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | ||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | — | ||||||||||
12 | Institutions | 1.0 | — | 0.9 | 0.1 | 0.2 | 0.1 | — | — | — | 0.1 | ||||||||||
13 | Corporates | 27.3 | 2.9 | 4.2 | 20.2 | 69.3 | 45.3 | 5.5 | 7.8 | 2.0 | 8.7 | ||||||||||
14 | Retail | 3.0 | 1.2 | 0.4 | 1.4 | 40.2 | 10.5 | 3.8 | 6.6 | 1.9 | 17.4 | ||||||||||
15 | Secured by mortgages on immovable property | 5.5 | 1.4 | 0.8 | 3.3 | 18.8 | 6.2 | 7.5 | 0.4 | 0.2 | 4.5 | ||||||||||
16 | Exposures in default | 0.6 | 0.1 | — | 0.5 | 0.4 | 0.1 | — | — | — | 0.3 | ||||||||||
17 | Items associated with particularly high risk | 2.9 | 1.3 | 0.5 | 1.1 | — | — | — | — | — | — | ||||||||||
20 | Collective investment undertakings (‘CIU’) | 0.6 | 0.6 | — | — | — | — | — | — | — | — | ||||||||||
21 | Equity exposures | 1.5 | 0.9 | 0.5 | 0.1 | 12.5 | 1.5 | 10.8 | 0.1 | — | 0.1 | ||||||||||
22 | Other exposures | 3.8 | 3.0 | 0.6 | 0.2 | 6.2 | 4.2 | 0.9 | — | — | 1.1 | ||||||||||
23 | Total standardised approach | 219.6 | 94.1 | 53.4 | 72.1 | 148.4 | 68.4 | 28.5 | 14.9 | 4.2 | 32.4 | ||||||||||
24 | Total at 31 Dec 2018 | 783.0 | 475.9 | 127.6 | 179.5 | 1,002.4 | 497.7 | 157.3 | 71.9 | 52.5 | 223.0 |
Table 34: Geographical breakdown of exposures (CRB-C) (continued) | |||||||||||||||||
Net carrying values1,2 | |||||||||||||||||
MENA | North America | Of which: | Latin America | Other | Total | ||||||||||||
United States of America | Canada | Other countries | |||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||
IRB approach exposure classes | |||||||||||||||||
1 | Central governments and central banks | 17.1 | 111.9 | 89.2 | 22.7 | — | 12.8 | 13.2 | 331.7 | ||||||||
2 | Institutions | 6.3 | 10.2 | 1.9 | 8.0 | 0.3 | 0.6 | 0.1 | 81.1 | ||||||||
3 | Corporates | 45.8 | 223.2 | 162.8 | 51.8 | 8.6 | 9.0 | — | 1,026.8 | ||||||||
4 | Retail | 2.4 | 52.6 | 27.8 | 22.3 | 2.5 | 0.3 | — | 483.3 | ||||||||
6 | Total IRB approach | 71.6 | 397.9 | 281.7 | 104.8 | 11.4 | 22.7 | 13.3 | 1,922.9 | ||||||||
Standardised approach exposure classes | |||||||||||||||||
7 | Central governments and central banks | 1.7 | 2.2 | 2.1 | 0.1 | — | 0.6 | — | 163.9 | ||||||||
8 | Regional governments or local authorities | 3.7 | — | — | — | — | 0.9 | — | 7.3 | ||||||||
9 | Public sector entities | — | — | — | — | — | 0.1 | — | 12.2 | ||||||||
10 | Multilateral development banks | — | — | — | — | — | — | 0.2 | 0.2 | ||||||||
11 | International organisations | — | — | — | — | — | — | 1.6 | 1.6 | ||||||||
12 | Institutions | 2.1 | — | — | — | — | 0.1 | — | 3.4 | ||||||||
13 | Corporates | 44.7 | 12.3 | 8.4 | 0.8 | 3.1 | 25.8 | — | 179.4 | ||||||||
14 | Retail | 8.7 | 2.9 | 0.7 | 1.7 | 0.5 | 9.0 | — | 63.8 | ||||||||
15 | Secured by mortgages on immovable property | 3.4 | 1.7 | 0.6 | 0.1 | 1.0 | 2.6 | — | 32.0 | ||||||||
16 | Exposures in default | 1.1 | 0.4 | 0.1 | — | 0.3 | 0.5 | — | 3.0 | ||||||||
17 | Items associated with particularly high risk | 0.2 | 1.6 | 0.8 | — | 0.8 | 0.1 | — | 4.8 | ||||||||
20 | Collective investment undertakings (‘CIU’) | — | — | — | — | — | — | — | 0.6 | ||||||||
21 | Equity exposures | 0.2 | 1.2 | 1.1 | — | 0.1 | 0.2 | — | 15.6 | ||||||||
22 | Other exposures | 0.5 | 0.6 | 0.6 | — | — | 0.2 | — | 11.3 | ||||||||
23 | Total standardised approach | 66.3 | 22.9 | 14.4 | 2.7 | 5.8 | 40.1 | 1.8 | 499.1 | ||||||||
24 | Total at 31 Dec 2018 | 137.9 | 420.8 | 296.1 | 107.5 | 17.2 | 62.8 | 15.1 | 2,422.0 |
1 | Amounts shown by geographical region and country/territory in this table are based on the country/territory of residence of the counterparty. |
2 | Securitisation positions and non-credit obligation assets are not included in this table. |
Table 35: Concentration of exposures by industry or counterparty types¹ (CRB-D) | |||||||||||||||||||||||
Agriculture | Mining/oil extraction | Manufac-turing | Utilities | Water supply | Construction | Whole-sale & retail trade | Trans-portation & storage | Accom-modation & food services | Infor-mation & commun-ication | Financial & insurance | |||||||||||||
Net carrying values1 | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
1 | Central governments and central banks | — | — | 0.1 | 0.5 | — | — | 0.1 | 0.1 | — | — | 150.2 | |||||||||||
2 | Institutions | — | 0.5 | 0.3 | 0.4 | — | 0.1 | 0.1 | 0.2 | — | 0.1 | 69.9 | |||||||||||
3 | Corporates | 7.7 | 35.3 | 234.6 | 27.7 | 3.1 | 38.0 | 181.8 | 41.1 | 25.5 | 14.3 | 111.9 | |||||||||||
4 | Retail | 1.0 | — | 0.8 | — | — | 0.3 | 1.4 | 0.2 | 0.4 | 0.1 | 4.8 | |||||||||||
6 | Total IRB approach | 8.7 | 35.8 | 235.8 | 28.6 | 3.1 | 38.4 | 183.4 | 41.6 | 25.9 | 14.5 | 336.8 | |||||||||||
7 | Central governments and central banks | — | — | — | — | — | — | — | — | — | 0.1 | 132.0 | |||||||||||
8 | Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | 0.3 | |||||||||||
9 | Public sector entities | — | — | 0.1 | — | — | — | — | — | — | — | 13.6 | |||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | 0.1 | |||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | — | — | |||||||||||
12 | Institutions | — | — | — | — | — | — | — | — | — | — | 2.4 | |||||||||||
13 | Corporates | 1.0 | 5.4 | 25.0 | 3.7 | 0.3 | 7.8 | 21.3 | 3.0 | 3.1 | 2.1 | 15.6 | |||||||||||
14 | Retail | 0.1 | — | 0.4 | — | — | — | 0.2 | 0.2 | — | — | — | |||||||||||
15 | Secured by mortgages on immovable property | — | — | — | — | — | 0.3 | — | — | 0.1 | — | 0.1 | |||||||||||
16 | Exposures in default | — | — | 0.4 | — | — | 0.2 | 0.2 | — | 0.1 | — | 0.1 | |||||||||||
17 | Items associated with particularly high risk | — | — | — | — | — | — | — | — | — | — | 4.8 | |||||||||||
20 | Collective investment undertakings (‘CIU’) | — | — | — | — | — | — | — | — | — | — | 0.4 | |||||||||||
21 | Equity exposures | — | — | — | — | — | — | — | — | — | — | 16.2 | |||||||||||
22 | Other exposures | — | — | — | — | — | — | — | — | — | — | 12.7 | |||||||||||
23 | Total STD approach | 1.1 | 5.4 | 25.9 | 3.7 | 0.3 | 8.3 | 21.7 | 3.2 | 3.3 | 2.2 | 198.3 | |||||||||||
24 | Total at 31 Dec 2019 | 9.8 | 41.2 | 261.7 | 32.3 | 3.4 | 46.7 | 205.1 | 44.8 | 29.2 | 16.7 | 535.1 |
Table 35: Concentration of exposures by industry or counterparty types (CRB-D) | |||||||||||||||||||||||
Real estate | Professional activities | Adminis-trative services | Public admin & defence | Education | Human health & social work | Arts & enter-tainment | Other services | Personal | Extra-territorial bodies | Total | |||||||||||||
Net carrying values1 | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
1 | Central governments and central banks | — | — | — | 164.8 | — | 0.2 | — | 0.3 | — | 30.0 | 346.3 | |||||||||||
2 | Institutions | 0.2 | — | — | 1.9 | 0.1 | 0.2 | — | — | — | 1.4 | 75.4 | |||||||||||
3 | Corporates | 180.7 | 26.4 | 87.3 | 2.6 | 3.1 | 5.7 | 6.3 | 14.0 | 0.4 | — | 1,047.5 | |||||||||||
4 | Retail | 0.8 | — | 15.9 | — | 0.3 | 0.2 | 0.1 | 0.2 | 527.9 | — | 554.4 | |||||||||||
6 | Total IRB approach | 181.7 | 26.4 | 103.2 | 169.3 | 3.5 | 6.3 | 6.4 | 14.5 | 528.3 | 31.4 | 2,023.6 | |||||||||||
7 | Central governments and central banks3 | — | — | — | 33.5 | — | — | — | 1.5 | — | 9.8 | 176.9 | |||||||||||
8 | Regional governments or local authorities | — | — | — | 8.6 | — | — | — | — | — | — | 8.9 | |||||||||||
9 | Public sector entities | — | — | — | 2.2 | — | — | — | 0.1 | — | 0.6 | 16.6 | |||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | 0.1 | |||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | 1.6 | 1.6 | |||||||||||
12 | Institutions | — | — | — | — | — | — | — | — | — | — | 2.4 | |||||||||||
13 | Corporates | 13.0 | 1.5 | 51.0 | 0.5 | 0.1 | 0.8 | 0.6 | 1.6 | 2.4 | — | 159.8 | |||||||||||
14 | Retail | — | — | 0.2 | — | — | — | — | — | 69.6 | — | 70.7 | |||||||||||
15 | Secured by mortgages on immovable property | 1.1 | — | 0.2 | — | — | — | — | — | 31.6 | — | 33.4 | |||||||||||
16 | Exposures in default | 0.1 | 0.1 | 1.0 | — | — | — | — | — | 1.2 | — | 3.4 | |||||||||||
17 | Items associated with particularly high risk | 0.6 | — | 0.1 | — | — | — | — | — | — | — | 5.5 | |||||||||||
20 | Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | 0.4 | |||||||||||
21 | Equity exposures | — | — | 0.1 | — | — | 0.1 | — | — | — | — | 16.4 | |||||||||||
22 | Other exposures | — | — | 0.2 | — | — | — | — | — | — | — | 12.9 | |||||||||||
23 | Total STD approach | 14.8 | 1.6 | 52.8 | 44.8 | 0.1 | 0.9 | 0.6 | 3.2 | 104.8 | 12.0 | 509.0 | |||||||||||
24 | Total at 31 Dec 2019 | 196.5 | 28.0 | 156.0 | 214.1 | 3.6 | 7.2 | 7.0 | 17.7 | 633.1 | 43.4 | 2,532.6 |
37 | HSBC Holdings plc Pillar 3 2019 |
Table 35: Concentration of exposures by industry or counterparty types¹ (CRB-D) (continued) | |||||||||||||||||||||||
Agriculture | Mining/oil extraction | Manufac-turing | Utilities | Water supply | Construction | Wholesale & retail trade | Trans-portation & storage | Accom-modation & food services | Infor-mation & commun-ication | Financial & insurance | |||||||||||||
Net carrying values1 | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
1 | Central governments and central banks | — | — | — | 0.4 | — | — | — | — | — | — | 140.2 | |||||||||||
2 | Institutions | — | 0.2 | — | 0.4 | — | — | — | — | — | — | 80.1 | |||||||||||
3 | Corporates | 6.8 | 35.4 | 228.6 | 26.5 | 3.6 | 32.5 | 181.0 | 40.6 | 23.7 | 16.6 | 120.2 | |||||||||||
4 | Retail | 1.0 | — | 0.8 | — | — | 0.2 | 1.4 | 0.3 | 0.4 | — | 0.2 | |||||||||||
6 | Total IRB approach | 7.8 | 35.6 | 229.4 | 27.3 | 3.6 | 32.7 | 182.4 | 40.9 | 24.1 | 16.6 | 340.7 | |||||||||||
7 | Central governments and central banks | — | — | — | — | — | — | — | — | — | — | 126.3 | |||||||||||
8 | Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | 0.3 | |||||||||||
9 | Public sector entities | — | — | — | — | — | — | — | — | — | — | 10.4 | |||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | 0.2 | |||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | — | — | |||||||||||
12 | Institutions | — | — | — | — | — | — | — | — | — | — | 3.4 | |||||||||||
13 | Corporates | 0.9 | 5.5 | 26.1 | 4.1 | — | 7.5 | 21.4 | 4.1 | 3.2 | 2.1 | 18.0 | |||||||||||
14 | Retail | 0.1 | — | 0.2 | — | — | — | 0.2 | 0.1 | — | — | 0.6 | |||||||||||
15 | Secured by mortgages on immovable property | — | — | — | — | — | 0.1 | — | — | — | — | 0.1 | |||||||||||
16 | Exposures in default | — | — | 0.5 | — | — | 0.2 | 0.3 | 0.1 | 0.1 | — | 0.1 | |||||||||||
17 | Items associated with particularly high risk | — | — | — | — | — | 0.1 | — | — | — | — | 4.2 | |||||||||||
20 | Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | 0.6 | |||||||||||
21 | Equity exposures | — | — | — | — | — | — | — | — | — | — | 15.6 | |||||||||||
22 | Other exposures | — | — | — | — | — | — | — | — | — | — | 11.0 | |||||||||||
23 | Total STD approach | 1.0 | 5.5 | 26.8 | 4.1 | — | 7.9 | 21.9 | 4.3 | 3.3 | 2.1 | 190.8 | |||||||||||
24 | Total at 31 Dec 2018 | 8.8 | 41.1 | 256.2 | 31.4 | 3.6 | 40.6 | 204.3 | 45.2 | 27.4 | 18.7 | 531.5 |
Real estate | Professional activities | Adminis- trative services | Public admin & defence | Education | Human health & social work | Arts & entertainment | Other services | Personal | Extra-territorial bodies | Total | |||||||||||||
Net carrying values1 | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
1 | Central governments and central banks | — | — | — | 154.5 | — | 0.3 | — | 0.2 | — | 36.1 | 331.7 | |||||||||||
2 | Institutions | — | — | — | 0.2 | 0.1 | — | — | — | — | 0.1 | 81.1 | |||||||||||
3 | Corporates | 173.4 | 26.5 | 80.7 | 2.6 | 2.9 | 5.5 | 7.6 | 11.5 | 0.6 | — | 1,026.8 | |||||||||||
4 | Retail | 1.0 | — | 0.4 | — | 0.1 | 0.2 | 0.2 | 0.1 | 477.0 | — | 483.3 | |||||||||||
6 | Total IRB approach | 174.4 | 26.5 | 81.1 | 157.3 | 3.1 | 6.0 | 7.8 | 11.8 | 477.6 | 36.2 | 1,922.9 | |||||||||||
7 | Central governments and central banks | — | — | — | 26.2 | — | — | — | — | — | 11.4 | 163.9 | |||||||||||
8 | Regional governments or local authorities | — | — | — | 7.0 | — | — | — | — | — | — | 7.3 | |||||||||||
9 | Public sector entities | — | — | — | 1.0 | 0.1 | — | — | — | — | 0.7 | 12.2 | |||||||||||
10 | Multilateral development banks | — | — | — | — | — | — | — | — | — | — | 0.2 | |||||||||||
11 | International organisations | — | — | — | — | — | — | — | — | — | 1.6 | 1.6 | |||||||||||
12 | Institutions | — | — | — | — | — | — | — | — | — | — | 3.4 | |||||||||||
13 | Corporates | 14.3 | 2.1 | 64.4 | 0.5 | 0.3 | 1.0 | 0.7 | 1.1 | 2.1 | — | 179.4 | |||||||||||
14 | Retail | 0.1 | — | 0.2 | — | — | — | — | 0.1 | 62.2 | — | 63.8 | |||||||||||
15 | Secured by mortgages on immovable property | 0.5 | — | — | — | — | — | — | — | 31.3 | — | 32.0 | |||||||||||
16 | Exposures in default | 0.1 | — | 0.3 | — | — | — | — | 0.1 | 1.2 | — | 3.0 | |||||||||||
17 | Items associated with particularly high risk | 0.3 | — | 0.2 | — | — | — | — | — | — | — | 4.8 | |||||||||||
20 | Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | 0.6 | |||||||||||
21 | Equity exposures | — | — | — | — | — | — | — | — | — | — | 15.6 | |||||||||||
22 | Other exposures | — | — | 0.3 | — | — | — | — | — | — | — | 11.3 | |||||||||||
23 | Total STD approach | 15.3 | 2.1 | 65.4 | 34.7 | 0.4 | 1.0 | 0.7 | 1.3 | 96.8 | 13.7 | 499.1 | |||||||||||
24 | Total at 31 Dec 2018 | 189.7 | 28.6 | 146.5 | 192.0 | 3.5 | 7.0 | 8.5 | 13.1 | 574.4 | 49.9 | 2,422.0 |
1 | The industry classifications of this disclosure have been revised. 31 December 2018 data have been restated to be on a consistent basis with the current year. |
2 | Securitisation positions and non-credit obligation assets are not included in this table. |
Table 36: Maturity of on-balance sheet exposures (CRB-E) | |||||||||||||
Net carrying values1 | |||||||||||||
On demand | Less than 1 year | Between 1 and 5 years | More than 5 years | Undated | Total | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
IRB approach exposure classes | |||||||||||||
1 | Central governments and central banks | 39.3 | 136.2 | 105.5 | 61.8 | — | 342.8 | ||||||
2 | Institutions | 11.8 | 27.9 | 22.2 | 1.3 | — | 63.2 | ||||||
3 | Corporates | 51.7 | 191.2 | 232.7 | 56.1 | — | 531.7 | ||||||
4 | Retail | 23.6 | 32.8 | 33.4 | 297.4 | — | 387.2 | ||||||
6 | Total IRB approach | 126.4 | 388.1 | 393.8 | 416.6 | — | 1,324.9 | ||||||
Standardised approach exposure classes | |||||||||||||
7 | Central governments and central banks | 90.9 | 46.0 | 15.9 | 18.6 | 4.6 | 176.0 | ||||||
8 | Regional governments or local authorities | 0.8 | 0.9 | 5.3 | 1.5 | — | 8.5 | ||||||
9 | Public sector entities | — | 2.5 | 9.7 | 4.3 | — | 16.5 | ||||||
10 | Multilateral development banks | — | — | 0.1 | — | — | 0.1 | ||||||
11 | International organisations | — | — | 0.7 | 0.9 | — | 1.6 | ||||||
12 | Institutions | 0.3 | 1.4 | 0.5 | — | — | 2.2 | ||||||
13 | Corporates | 4.3 | 30.7 | 32.1 | 7.8 | — | 74.9 | ||||||
14 | Retail | 7.3 | 1.2 | 7.0 | 4.1 | — | 19.6 | ||||||
15 | Secured by mortgages on immovable property | — | 2.1 | 5.9 | 24.3 | — | 32.3 | ||||||
16 | Exposures in default | 0.3 | 0.7 | 1.4 | 0.8 | — | 3.2 | ||||||
17 | Items associated with particularly high risk | — | 0.2 | 0.6 | 0.1 | 2.2 | 3.1 | ||||||
20 | Collective investment undertakings (‘CIU’) | — | — | — | — | 0.4 | 0.4 | ||||||
21 | Equity exposures | — | — | — | — | 16.4 | 16.4 | ||||||
22 | Other exposures | — | 2.7 | — | 0.4 | 9.1 | 12.2 | ||||||
23 | Total standardised approach | 103.9 | 88.4 | 79.2 | 62.8 | 32.7 | 367.0 | ||||||
24 | Total at 31 Dec 2019 | 230.3 | 476.5 | 473.0 | 479.4 | 32.7 | 1,691.9 | ||||||
IRB approach exposure classes | |||||||||||||
1 | Central governments and central banks | 38.0 | 149.5 | 93.8 | 47.3 | — | 328.6 | ||||||
2 | Institutions | 10.1 | 35.1 | 23.4 | 0.9 | — | 69.5 | ||||||
3 | Corporates | 59.1 | 183.7 | 221.0 | 62.5 | — | 526.3 | ||||||
4 | Retail | 21.5 | 7.3 | 38.0 | 267.3 | — | 334.1 | ||||||
6 | Total IRB approach | 128.7 | 375.6 | 376.2 | 378.0 | — | 1,258.5 | ||||||
Standardised approach exposure classes | |||||||||||||
7 | Central governments and central banks | 75.5 | 50.5 | 22.9 | 8.8 | 5.2 | 162.9 | ||||||
8 | Regional governments or local authorities | 0.8 | 0.9 | 3.9 | 1.4 | — | 7.0 | ||||||
9 | Public sector entities | — | 2.6 | 7.3 | 2.2 | — | 12.1 | ||||||
10 | Multilateral development banks | — | — | 0.2 | — | — | 0.2 | ||||||
11 | International organisations | — | 0.8 | 0.3 | 0.5 | — | 1.6 | ||||||
12 | Institutions | 0.1 | 0.3 | 2.9 | — | — | 3.3 | ||||||
13 | Corporates | 3.9 | 44.0 | 36.5 | 6.6 | — | 91.0 | ||||||
14 | Retail | 6.8 | 2.0 | 7.0 | 4.5 | — | 20.3 | ||||||
15 | Secured by mortgages on immovable property | — | 1.9 | 5.0 | 23.7 | — | 30.6 | ||||||
16 | Exposures in default | 0.3 | 0.9 | 1.1 | 0.5 | — | 2.8 | ||||||
17 | Items associated with particularly high risk | — | 0.1 | 0.7 | 0.1 | 1.6 | 2.5 | ||||||
20 | Collective investment undertakings (‘CIU’) | — | — | — | — | 0.6 | 0.6 | ||||||
21 | Equity exposures | — | — | — | — | 15.6 | 15.6 | ||||||
22 | Other exposures | — | 2.7 | — | 0.2 | 7.6 | 10.5 | ||||||
23 | Total standardised approach | 87.4 | 106.7 | 87.8 | 48.5 | 30.6 | 361.0 | ||||||
24 | Total at 31 Dec 2018 | 216.1 | 482.3 | 464.0 | 426.5 | 30.6 | 1,619.5 |
1 | Securitisation positions and non-credit obligation assets are not included in this table. |
Risk mitigation |
39 | HSBC Holdings plc Pillar 3 2019 |
• | those which reduce the intrinsic PD of an obligor and therefore operate as determinants of PD; and |
• | those which affect the estimated recoverability of obligations and require adjustment of LGD or, in certain limited circumstances, EAD. |
• | Unfunded protection, which includes credit derivatives and guarantees, is reflected through adjustment or determination of PD or LGD. Under the IRB advanced approach, recognition may be through PD or LGD. |
• | Eligible financial collateral under the IRB advanced approach is recognised in LGD models. Under the IRB foundation approach, regulatory LGD values are adjusted. The adjustment to LGD is based on the degree to which the exposure value would be adjusted notionally if the financial collateral comprehensive method were applied. |
• | For all other types of collateral, including real estate, the LGD for exposures under the IRB advanced approach is calculated by models. For IRB foundation, base regulatory LGDs are adjusted depending on the value and type of the asset taken as collateral relative to the exposure. The types of eligible mitigant recognised under the IRB foundation approach are more limited. |
Table 37: Credit risk mitigation techniques – overview (CR3) | |||||||||||
Exposures unsecured: carrying amount | Exposures secured: carrying amount | Exposures secured by collateral | Exposures secured by financial guarantees | Exposures secured by credit derivatives | |||||||
$bn | $bn | $bn | $bn | $bn | |||||||
1 | Loans | 626.0 | 653.2 | 546.1 | 106.6 | 0.5 | |||||
2 | Debt securities | 335.8 | 41.5 | 35.6 | 5.9 | — | |||||
3 | Total at 31 Dec 2019 | 961.8 | 694.7 | 581.7 | 112.5 | 0.5 | |||||
4 | of which: defaulted | 5.3 | 4.2 | 3.7 | 0.5 | — | |||||
1 | Loans | 641.2 | 596.8 | 494.0 | 102.1 | 0.7 | |||||
2 | Debt securities | 316.1 | 32.4 | 27.2 | 5.2 | — | |||||
3 | Total at 31 Dec 2018 | 957.3 | 629.2 | 521.2 | 107.3 | 0.7 | |||||
4 | of which: defaulted | 6.3 | 4.6 | 4.1 | 0.4 | — |
Table 38: Standardised approach – credit conversion factor (‘CCF’) and credit risk mitigation (‘CRM’) effects (CR4) | |||||||||||||||
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 | 175.8 | 0.9 | 183.9 | 1.6 | 11.2 | 6 | ||||||||
2 | Regional governments or local authorities | 8.5 | 0.4 | 8.8 | 0.1 | 1.6 | 18 | ||||||||
3 | Public sector entities | 16.5 | 0.1 | 16.4 | — | — | — | ||||||||
4 | Multilateral development banks | 0.1 | — | 0.1 | — | — | — | ||||||||
5 | International organisations | 1.6 | — | 1.6 | — | — | — | ||||||||
6 | Institutions | 2.2 | 0.2 | 1.5 | 0.1 | 0.9 | 58 | ||||||||
7 | Corporates | 75.0 | 84.9 | 66.3 | 10.5 | 72.5 | 94 | ||||||||
8 | Retail | 19.8 | 51.1 | 19.1 | 0.4 | 14.4 | 74 | ||||||||
9 | Secured by mortgage on immovable property | 32.3 | 1.1 | 32.2 | 0.3 | 12.0 | 37 | ||||||||
10 | Exposures in default | 3.6 | 0.2 | 3.6 | — | 4.1 | 114 | ||||||||
11 | Higher-risk categories | 3.1 | 2.4 | 3.1 | 2.2 | 7.9 | 150 | ||||||||
14 | Collective investment undertakings | 0.4 | — | 0.4 | — | 0.4 | 100 | ||||||||
15 | Equity | 16.5 | — | 16.5 | — | 36.3 | 220 | ||||||||
16 | Other items | 12.2 | 0.7 | 12.2 | 0.7 | 8.8 | 68 | ||||||||
17 | Total at 31 Dec 2019 | 367.6 | 142.0 | 365.7 | 15.9 | 170.1 | 45 | ||||||||
1 | Central governments or central banks | 162.7 | 1.0 | 170.8 | 1.1 | 12.5 | 7 | ||||||||
2 | Regional governments or local authorities | 7.0 | 0.3 | 7.0 | 0.1 | 1.3 | 19 | ||||||||
3 | Public sector entities | 12.1 | 0.1 | 12.0 | — | — | — | ||||||||
4 | Multilateral development banks | 0.2 | — | 0.2 | — | — | 2 | ||||||||
5 | International organisations | 1.6 | — | 1.6 | — | — | — | ||||||||
6 | Institutions | 3.3 | 0.1 | 2.3 | — | 1.2 | 52 | ||||||||
7 | Corporates | 91.2 | 88.3 | 72.0 | 12.2 | 79.2 | 94 | ||||||||
8 | Retail | 20.5 | 43.5 | 19.7 | 0.2 | 14.8 | 74 | ||||||||
9 | Secured by mortgage on immovable property | 30.6 | 1.4 | 30.6 | 0.3 | 11.3 | 37 | ||||||||
10 | Exposures in default | 3.3 | 0.2 | 3.3 | — | 3.8 | 117 | ||||||||
11 | Higher-risk categories | 2.5 | 2.3 | 2.4 | 2.2 | 6.9 | 150 | ||||||||
14 | Collective investment undertakings | 0.6 | — | 0.6 | — | 0.6 | 100 | ||||||||
15 | Equity | 15.7 | — | 15.7 | — | 35.0 | 223 | ||||||||
16 | Other items | 10.5 | 0.8 | 10.5 | 0.8 | 6.6 | 58 | ||||||||
17 | Total at 31 Dec 2018 | 361.8 | 138.0 | 348.7 | 16.9 | 173.2 | 47 |
1 | Securitisation positions are not included in this table. |
41 | HSBC Holdings plc Pillar 3 2019 |
Table 39: Credit risk mitigation techniques – IRB and Standardised | |||||||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2018 | ||||||||||||||||||||
Exposures unsecured: carrying amount | Exposures secured: carrying amount | Secured by: | Exposures unsecured: carrying amount | Exposures secured: carrying amount | Secured by: | ||||||||||||||||
collateral | financial guarantees | credit derivatives | collateral | financial guarantees | credit derivatives | ||||||||||||||||
Footnotes | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
Exposures under the IRB approach | 1 | ||||||||||||||||||||
Central governments and central banks | 309.4 | 36.9 | 35.2 | 1.7 | — | 303.4 | 28.3 | 26.8 | 1.5 | — | |||||||||||
Institutions | 69.9 | 5.5 | 4.7 | 0.8 | — | 75.0 | 6.1 | 4.4 | 1.7 | — | |||||||||||
Corporates | 612.6 | 434.9 | 305.3 | 116.5 | 13.1 | 618.0 | 408.8 | 287.6 | 110.3 | 10.9 | |||||||||||
Retail | 205.6 | 348.8 | 322.0 | 26.8 | — | 192.0 | 291.3 | 267.9 | 23.4 | — | |||||||||||
Securitisation positions | 20.2 | — | — | — | — | 29.7 | — | — | — | — | |||||||||||
Total | 1,217.7 | 826.1 | 667.2 | 145.8 | 13.1 | 1,218.1 | 734.5 | 586.7 | 136.9 | 10.9 | |||||||||||
Exposures under the STD approach | 1 | ||||||||||||||||||||
Central governments and central banks | 2 | 171.7 | 0.6 | 0.1 | 0.5 | — | 157.9 | 0.8 | — | 0.8 | — | ||||||||||
Institutions | 1.6 | 0.8 | — | 0.8 | — | 2.3 | 1.1 | — | 1.1 | — | |||||||||||
Corporates | 117.5 | 42.3 | 32.0 | 10.3 | — | 125.6 | 53.8 | 43.0 | 10.8 | — | |||||||||||
Retail | 69.5 | 1.2 | 1.0 | 0.2 | — | 62.3 | 1.5 | 1.3 | 0.2 | — | |||||||||||
Secured by mortgages on immovable property | 11.8 | 21.6 | 21.5 | 0.1 | — | 9.8 | 22.2 | 22.1 | 0.1 | — | |||||||||||
Exposures in default | 2.7 | 0.7 | 0.6 | 0.1 | — | 2.4 | 0.6 | 0.5 | 0.1 | — | |||||||||||
Items associated with particularly high risk | 3 | 2.0 | 0.1 | — | 0.1 | — | 1.7 | 0.1 | — | 0.1 | — | ||||||||||
Regional governments or local authorities | 8.9 | — | — | — | — | 7.1 | 0.2 | 0.2 | — | — | |||||||||||
Public sector entities | 11.7 | 4.9 | 0.1 | 4.8 | — | 8.2 | 4.0 | — | 4.0 | — | |||||||||||
Securitisation positions | 15.8 | 0.5 | — | — | 0.5 | 2.7 | — | — | — | — | |||||||||||
Total | 413.2 | 72.7 | 55.3 | 16.9 | 0.5 | 380.0 | 84.3 | 67.1 | 17.2 | — |
1 | This table includes both on- and off-balance sheet exposures. |
2 | Deferred tax assets are excluded from the exposure. |
3 | Equities are excluded from the exposure. |
Table 40: IRB – Effect on RWA of credit derivatives used as CRM techniques (CR7) | |||||||||
At 31 Dec | |||||||||
2019 | 2018 | ||||||||
Pre-credit derivatives RWAs | Actual RWAs | Pre-credit derivatives RWAs | Actual RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Exposures under FIRB | 32.3 | 32.3 | 30.5 | 30.5 | ||||
3 | Institutions | 0.2 | 0.2 | 0.2 | 0.2 | ||||
6 | Corporates – other | 32.1 | 32.1 | 30.3 | 30.3 | ||||
7 | Exposures under AIRB | 467.1 | 465.9 | 480.0 | 479.0 | ||||
8 | Central governments and central banks | 36.3 | 36.3 | 36.9 | 36.9 | ||||
9 | Institutions | 10.8 | 10.8 | 14.2 | 14.2 | ||||
11 | Corporates – specialised lending | 26.8 | 26.8 | 27.0 | 27.0 | ||||
12 | Corporates – other | 302.1 | 300.9 | 319.1 | 318.1 | ||||
13 | Retail – Secured by real estate SMEs | 1.5 | 1.5 | 1.8 | 1.8 | ||||
14 | Retail – Secured by real estate non-SMEs | 40.4 | 40.4 | 37.2 | 37.2 | ||||
15 | Retail – Qualifying revolving | 18.8 | 18.8 | 17.3 | 17.3 | ||||
16 | Retail – Other SMEs | 4.7 | 4.7 | 4.8 | 4.8 | ||||
17 | Retail – Other non-SMEs | 12.4 | 12.4 | 10.9 | 10.9 | ||||
19 | Other non-credit obligation assets | 13.3 | 13.3 | 10.8 | 10.8 | ||||
20 | Total | 499.4 | 498.2 | 510.5 | 509.5 |
Global risk |
• | central governments and central banks; |
• | regional governments and local authorities; |
• | institutions; |
• | corporates; |
• | securitisation positions; and |
• | short-term claims on institutions and corporates. |
Credit quality step | Moody’s assessment | S&P’s assessment | Fitch’s assessment | DBRS assessment |
1 | Aaa to Aa3 | AAA to AA– | AAA to AA– | AAA to AAL |
2 | A1 to A3 | A+ to A– | A+ to A– | AH to AL |
3 | Baa1 to Baa3 | BBB+ to BBB– | BBB+ to BBB– | BBBH to BBBL |
4 | Ba1 to Ba3 | BB+ to BB– | BB+ to BB– | BBH to BBL |
5 | B1 to B3 | B+ to B– | B+ to B– | BH to BL |
6 | Caa1 and below | CCC+ and below | CCC+ and below | CCCH and below |
Table 41: Standardised approach – exposures by asset class and risk weight (CR5) | |||||||||||||||||||||||||||
Risk weight (‘RW%’) | 0% | 2% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | Deducted | Exposure amount (post-CCF and 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 | 180.9 | — | 0.1 | — | — | — | — | 0.1 | — | 4.4 | — | 185.5 | 4.4 | |||||||||||||
2 | Regional governments or local authorities | 3.8 | — | 3.9 | — | 0.9 | — | — | 0.3 | — | — | — | 8.9 | 0.3 | |||||||||||||
3 | Public sector entities | 16.4 | — | — | — | — | — | — | — | — | — | — | 16.4 | — | |||||||||||||
4 | Multilateral development banks | 0.1 | — | — | — | — | — | — | — | — | — | — | 0.1 | — | |||||||||||||
5 | International organisations | 1.6 | — | — | — | — | — | — | — | — | — | — | 1.6 | — | |||||||||||||
6 | Institutions | — | — | 0.3 | — | 0.8 | — | — | 0.5 | — | — | — | 1.6 | 0.3 | |||||||||||||
7 | Corporates | — | — | 3.9 | 0.3 | 2.5 | 0.5 | — | 68.0 | 1.6 | — | — | 76.8 | 65.9 | |||||||||||||
8 | Retail | — | — | — | — | — | — | 19.5 | — | — | — | — | 19.5 | 19.5 | |||||||||||||
9 | Secured by mortgage on immovable property | — | — | — | 30.7 | 1.0 | — | — | 0.8 | — | — | — | 32.5 | 32.5 | |||||||||||||
10 | Exposures in default | — | — | — | — | — | — | — | 2.6 | 1.0 | — | — | 3.6 | 3.6 | |||||||||||||
11 | Higher-risk categories | — | — | — | — | — | — | — | — | 5.3 | — | — | 5.3 | 5.3 | |||||||||||||
14 | Collective investment undertakings | — | — | — | — | — | — | — | 0.4 | — | — | — | 0.4 | 0.4 | |||||||||||||
15 | Equity | — | — | — | — | — | — | — | 3.3 | — | 13.2 | — | 16.5 | 16.5 | |||||||||||||
16 | Other items | 0.1 | — | 5.0 | — | — | — | — | 7.8 | — | — | — | 12.9 | 12.9 | |||||||||||||
17 | Total at 31 Dec 2019 | 202.9 | — | 13.2 | 31.0 | 5.2 | 0.5 | 19.5 | 83.8 | 7.9 | 17.6 | — | 381.6 | 161.6 | |||||||||||||
1 | Central governments or central banks | 166.5 | — | 0.2 | — | 0.1 | — | — | 0.1 | — | 5.0 | — | 171.9 | 5.0 | |||||||||||||
2 | Regional governments or local authorities | 2.8 | — | 3.5 | — | 0.5 | — | — | 0.3 | — | — | — | 7.1 | 0.5 | |||||||||||||
3 | Public sector entities | 12.0 | — | — | — | — | — | — | — | — | — | — | 12.0 | — | |||||||||||||
4 | Multilateral development banks | 0.2 | — | — | — | — | — | — | — | — | — | — | 0.2 | — | |||||||||||||
5 | International organisations | 1.6 | — | — | — | — | — | — | — | — | — | — | 1.6 | — | |||||||||||||
6 | Institutions | — | 0.1 | 0.4 | — | 1.4 | — | — | 0.4 | — | — | — | 2.3 | 0.2 | |||||||||||||
7 | Corporates | — | — | 3.6 | 0.3 | 3.4 | 0.5 | — | 75.6 | 0.8 | — | — | 84.2 | 59.1 | |||||||||||||
8 | Retail | — | — | — | — | — | — | 19.9 | — | — | — | — | 19.9 | 19.9 | |||||||||||||
9 | Secured by mortgage on immovable property | — | — | — | 30.2 | — | — | — | 0.7 | — | — | — | 30.9 | 30.9 | |||||||||||||
10 | Exposures in default | — | — | — | — | — | — | — | 2.2 | 1.1 | — | — | 3.3 | 3.3 | |||||||||||||
11 | Higher-risk categories | — | — | — | — | — | — | — | — | 4.6 | — | — | 4.6 | 4.6 | |||||||||||||
14 | Collective investment undertakings | — | — | — | — | — | — | — | 0.6 | — | — | — | 0.6 | 0.6 | |||||||||||||
15 | Equity | — | — | — | — | — | — | — | 2.8 | — | 12.9 | — | 15.7 | 15.7 | |||||||||||||
16 | Other items | — | — | 5.9 | — | — | — | — | 5.4 | — | — | — | 11.3 | 11.3 | |||||||||||||
17 | Total at 31 Dec 2018 | 183.1 | 0.1 | 13.6 | 30.5 | 5.4 | 0.5 | 19.9 | 88.1 | 6.5 | 17.9 | — | 365.6 | 151.1 |
1 | Securitisation positions are not included in this table. |
43 | HSBC Holdings plc Pillar 3 2019 |
• | credit approval and monitoring: IRB models are used in the assessment of customer and portfolio risk in lending decisions; |
• | risk appetite: IRB measures are an important element in identifying risk exposure at customer, sector and portfolio level; |
• | pricing: IRB parameters are used in pricing tools for new transactions and reviews; and |
• | economic capital and portfolio management: IRB parameters are used in the economic capital model that has been implemented across HSBC. |
• | within the next 12 months are recognised for financial instruments in stage 1; and |
• | beyond 12 months are recognised for financial instruments in stages 2 and 3. |
Model | Regulatory capital | IFRS 9 |
PD | • Through the cycle (represents long-run average PD throughout a full economic cycle)• The definition of default includes a backstop of 90+ days past due, although this has been modified to 180+ days past due for some portfolios, particularly UK and US mortgages | • Point in time (based on current conditions, adjusted to take into account estimates of future conditions that will impact PD)• Default backstop of 90+ days past due for all portfolios |
EAD | • Cannot be lower than current balance | • Amortisation captured for term products |
LGD | • Downturn LGD (consistent with losses we would expect to suffer during a severe but plausible economic downturn)• Regulatory floors may apply to mitigate risk of underestimating downturn LGD due to lack of historical data • Discounted using cost of capital• All collection costs included | • Expected LGD (based on estimate of loss given default including the expected impact of future economic conditions such as changes in value of collateral)• No floors• Discounted using the original effective interest rate of the loan• Only costs associated with obtaining/selling collateral included |
Other | • Discounted back from point of default to balance sheet date |
Wholesale risk |
45 | HSBC Holdings plc Pillar 3 2019 |
Table 42: Wholesale IRB credit risk models | |||||||
Portfolio | IRB exposure class | RWA $bn | Component model | Number of material component models | Model description and methodology | Number of years loss data | Regulatory Floors |
Sovereign | Central government and central banks, Institutions, Corporates – Others | 36.3 | PD | 1 | A shadow rating approach that includes macroeconomic and political factors, constrained with expert judgement. | >10 | No |
LGD | 1 | An unsecured model built on assessment of structural factors that influence the country’s long-term economic performance. For unsecured LGD, a floor of 45% is applied. | 8 | Floored at Foundation IRB | |||
EAD | 1 | A cross-classification model that uses both internal data and expert judgement, as well as information on similar exposure types from other asset classes. | 8 | EAD must be at least equal to the current utilisation of the balance at account level | |||
Banking institutions | Institutions | 11.0 | PD | 1 | A statistical model that combines quantitative analysis on financial information with expert inputs and macroeconomic factors. | 10 | PD >0.03% |
LGD | 1 | A quantitative model that produces both downturn and expected LGD. Several securities types are included in the model to recognise collateral in the LGD calculation. For unsecured LGD, a floor of 45% is applied. | 10 | Floored at Foundation IRB | |||
EAD | 1 | A quantitative model that assigns credit conversion factors (‘CCF’) taking into account product types and committed/uncommitted indicator to calculate EAD using current utilisation and available headroom. | 10 | EAD must be at least equal to the current utilisation of the balance at account level | |||
Corporates¹ | Corporates – Other, institutions | 337.2 | |||||
Large corporates | PD | 1 | A statistical model built on 15 years of data. The model uses financial information, macroeconomic information and market-driven data, and is complemented by a qualitative assessment. | 15 | PD >0.03% | ||
Regional corporates | PD | 10 | Corporates that fall below the global large corporate threshold are rated through regional/local PD models, which reflect regional/local circumstances. These models use financial information, behavioural data and qualitative information to derive a statistically built PD. | >10 | |||
Non-banks financial institutions | PD | 10 | Predominantly statistical models that combine quantitative analysis on financial information with expert inputs. | 10 | PD >0.03% | ||
All corporates | LGD | 7 | Regional/local statistical models covering all corporates, including global large corporates, developed using historical loss/recovery data and various data inputs, including collateral information, customer type and geography. | >7 | UK Floored at Foundation IRB | ||
EAD | 5 | Regional/local statistical models covering all corporates, including global large corporates, developed using historical utilisation information and various data inputs, including product type and geography. | >7 | EAD must be at least equal to the current utilisation of the balance at account level |
1 | Excludes specialised lending exposures subject to supervisory slotting approach (see table 75). |
Table 43: IRB models – estimated and actual values (wholesale)¹ | |||||||||||||
PD2 | LGD3 | EAD4 | |||||||||||
Estimated | Actuals | Estimated5 | Actuals5 | Estimated | Actuals | ||||||||
Footnotes | % | % | % | % | % | % | |||||||
2019 | |||||||||||||
– Sovereigns model | 6 | 2.01 | — | — | — | — | — | ||||||
– Banks model | 1.09 | — | — | — | — | — | |||||||
– Corporates models | 7 | 1.53 | 1.05 | 33.23 | 25.37 | 0.42 | 0.31 | ||||||
2018 | |||||||||||||
– Sovereigns model | 6 | 2.37 | — | — | — | — | — | ||||||
– Banks model | 1.31 | — | — | — | — | — | |||||||
– Corporates models | 7 | 1.61 | 0.87 | 30.47 | 16.60 | 0.38 | 0.33 | ||||||
2017 | |||||||||||||
– Sovereigns model | 6 | 2.24 | — | — | — | — | — | ||||||
– Banks model | 1.72 | — | — | — | — | — | |||||||
– Corporates models | 7 | 1.72 | 0.96 | 27.75 | 17.50 | 0.39 | 0.36 |
1 | Data represents an annual view, analysed at 30 September. |
2 | Estimated PD for all models in each asset class, calculated on the total number of obligors covered by the models. Actual numbers are the observed default rate in each asset class for the specified period. |
3 | Estimated and actual LGD represent defaulted populations. Average LGD values are EAD-weighted. |
4 | Expressed as a percentage of total EAD, which includes all defaulted and non-defaulted exposures for the relevant population. |
5 | Estimated LGD represents the EAD weighted average downturn LGD. In the current year, we have changed the methodology of computing actual LGD. Actual LGD represents the actual loss for defaults resolved in period divided by EAD of defaults resolved in the period. Prior period actual LGD has been restated. |
6 | The estimated PD excludes inactive sovereign obligors. |
7 | Covers the combined populations of the global large corporates model, all regional IRB models for large, medium and small corporates, and non-bank financial institutions. The estimated and observed PDs were calculated only for unique obligors. |
Retail risk |
• | For closed-end products without the facility for additional drawdowns, EAD is estimated as the outstanding balance of accounts at the time of observation. |
• | For products with the facility for additional drawdowns, EAD is estimated as the outstanding balance of accounts at the time of observation plus a credit conversion factor applied to the undrawn portion of the facility. |
47 | HSBC Holdings plc Pillar 3 2019 |
Table 44: Retail IRB risk rating systems | |||||||
Portfolio | Exposure class | RWA $bn | Component model | Number of material component models | Model description and methodology | Number of years loss data1 | Applicable Pillar 1 regulatory thresholds and overlays |
UK HSBC residential mortgages | Retail – secured by mortgages on immovable property non-SME | 5.36 | PD | 1 | Statistical model built on internal behavioural data and bureau information. Underlying PIT model is calibrated to the latest observed PD. An adjustment is then applied to generate the long-run PD based on a combination of historical misalignment of the underlying model and expert judgement. | 7–10 | PD floor of 0.03% |
LGD | 1 | Component based model incorporating, ‘possession given default’, ‘predicted shortfall’ and ‘time to possession’. A downturn adjustment is applied to each component including a 30% reduction from peak house valuation and a 10% adjustment to forced sale haircut. | >10 | LGD floor of 10% at portfolio level | |||
EAD | 1 | Logical model that uses the sum of balance at observation plus further unpaid interest that could accrue before default. | 7–10 | EAD must at least be equal to current balance | |||
UK First Direct residential mortgages | Retail – secured by mortgages on immovable property non-SME | 0.80 | PD | 1 | Underlying PIT PD model is a segmented scorecard. An adjustment is then applied based on observed misalignment in the underlying model (with some additional conservatism applied). | 7–10 | PD floor of 0.03% |
LGD | 1 | Component based model incorporating, ‘possession given default’, ‘predicted shortfall’ and ‘time to possession’. A downturn adjustment is applied to each component including a 30% reduction from peak house valuation and a 10% adjustment to forced sale haircut. | >10 | LGD floor of 10% at portfolio level | |||
EAD | 2 | There are two separate EAD models – one for standard capital repayment mortgages and one for offset mortgages which offer a revolving loan facility. | 7–10 | EAD must at least be equal to current balance | |||
UK HSBC credit cards | Retail – qualifying revolving | 3.02 | PD | 1 | Statistical model built on internal behavioural data and bureau information. Underlying PIT model is calibrated to the latest observed PD. An adjustment is then applied to generate the long-run PD based on historical observed misalignment of the underlying model. | 7–10 | PD floor of 0.03% |
LGD | 1 | Statistical model based on forecasting the amount of expected future recoveries, segmented by default status. | 7–10 | ||||
EAD | 1 | Statistical model that directly estimates EAD for different segments of the portfolio using either balance or limit as the key input. | 7–10 | EAD must at least be equal to current balance | |||
UK HSBC personal loans | Retail – other non-SME | 4.75 | PD | 1 | Statistical model built on internal behavioural data and bureau information. Underlying PIT model is calibrated to the latest observed PD. An adjustment is then applied to generate the long-run PD based on historical observed misalignment of the underlying model. | 7–10 | PD floor of 0.03% |
LGD | 1 | Statistical model based on forecasting the amount of expected future recoveries, segmented by default status. | 7–10 | ||||
EAD | 1 | EAD is equal to current balance as this provides a conservative estimate. | 7–10 | EAD must at least be equal to current balance |
Table 44: Retail IRB risk rating systems (continued) | |||||||
Portfolio | Exposure class | RWA $bn | Component model | Number of material component models | Model description and methodology | Number of years loss data1 | Applicable Pillar 1 regulatory thresholds and overlays |
UK business banking | Retail – other SME | 3.28 | PD | 1 | Statistical model built on internal behavioural data and bureau information. Underlying PIT model is calibrated to the latest observed PD. An adjustment is then applied to generate the long run PD based on historical observed misalignment of the underlying model. | 7–10 | PD floor of 0.03% |
LGD | 2 | Two sets of models – one for secured exposures and another for unsecured exposures. The secured model uses the value to loan as a key component for estimation and the unsecured model estimates the amount of future recoveries and undrawn portion. | 7–10 | ||||
EAD | 1 | Statistical model using segmentation according to limit and utilisation and estimation of the undrawn exposure. | 7–10 | EAD must at least be equal to current balance | |||
Hong Kong HSBC personal residential mortgages2 | Retail – secured by mortgages on immovable property non-SME | 12.34 | PD | 2 | Statistical model built on internal behavioural data and bureau information, and calibrated to a long-run default rate. | >10 | PD floor of 0.03% |
LGD | 2 | Statistical model based on estimate of loss incurred over a recovery period derived from historical data with downturn LGD based on the worst observed default rate. | >10 | LGD floor of 10% at portfolio level | |||
EAD | 2 | Rule-based calculation based on current balance, which provides a conservative estimate of EAD. | >10 | EAD must at least be equal to current balance | |||
Hong Kong Hang Seng personal residential mortgages | Retail – secured by mortgages on immovable property non-SME | 7.52 | PD | 2 | Statistical model built on internal behavioural data, and calibrated to a long-run default rate. | >10 | PD floor of 0.03% |
LGD | 2 | Two statistical models and one historical average model based on estimates of loss incurred over a recovery period derived from historical data with a downturn adjustment. | >10 | LGD floor of 10% at portfolio level | |||
EAD | 2 | Rule-based calculation based on current balance, which provides a conservative estimate of EAD. | >10 | EAD must at least be equal to current balance | |||
Hong Kong HSBC credit cards | Retail – qualifying revolving | 4.08 | PD | 1 | Statistical model built on internal behavioural data and bureau information, and calibrated to a long-run default rate. | >10 | PD floor of 0.03% |
LGD | 1 | Statistical model based on forecasting the amount of expected losses. Downturn LGD derived using data from the period with the highest default rate. | >10 | ||||
EAD | 1 | Statistical model that derives a credit utilisation which is used to estimate EAD. | >10 | EAD must at least be equal to current balance | |||
Hong Kong HSBC personal instalment loans | Retail – other non-SME | 1.50 | PD | 1 | Statistical model built on internal behavioural data and bureau information, and calibrated to a long-run default rate. | >10 | PD floor of 0.03% |
LGD | 1 | Statistical model based on forecasting the amount of expected future losses. Downturn LGD derived using data from the period with the highest default rate. | >10 | ||||
EAD | 1 | Statistical model that derives a credit conversion factor to determine the proportion of undrawn limit to be added to the balance at observation. | >10 | EAD must at least be equal to current balance | |||
US HSBC personal first lien residential mortgages3 | Retail – secured by mortgages on immovable property non-SME | 5.04 | PD | 1 | Statistical model built on internal behavioural data and bureau information, and calibrated to a long-run default rate. | >10 | PD floor of 0.03% |
LGD | 1 | Statistical model based on identifying the main risk drivers of loss and recovery and grouping them into homogeneous pools. Downturn LGD is derived based on the peak default rate observed. Additional assumptions and estimations are made on incomplete workouts. | >10 | LGD floor of 10% at portfolio level | |||
EAD | 1 | Rule-based calculation based on current balance which provides a conservative estimate of EAD. | >10 | EAD must at least be equal to current balance |
1 | Defined as the number of years of historical data used in model development and estimation. |
2 | The Hong Kong Monetary Authority (‘HKMA’) applies a risk weight floor of 25% to all residential mortgages booked after 19 May 2017 (previously 15%). |
3 | In US mortgage business, first lien is a primary claim on a property that takes precedence over all subsequent claims and will be paid first from the proceeds in case of the property’s foreclosure sale. |
49 | HSBC Holdings plc Pillar 3 2019 |
• | PD presented is expressed on an obligor count basis consisting of non-defaulted obligors at the time of observation and |
• | LGD and EAD refer to observations for the defaulted population. |
Table 45: IRB models – estimated and actual values (retail)¹ | ||||||||||||
PD | LGD | EAD | ||||||||||
Estimated | Actuals | Estimated | Actuals | Estimated | Actuals | |||||||
% | % | % | % | % | % | |||||||
2019 | ||||||||||||
UK | ||||||||||||
– HSBC residential mortgage | 0.33 | 0.29 | 9.17 | 0.32 | 0.29 | 0.28 | ||||||
– FD residential mortgages | 0.42 | 0.34 | 7.42 | 1.85 | 0.93 | 0.74 | ||||||
– HSBC credit card | 1.06 | 1.05 | 91.29 | 88.58 | 1.51 | 1.48 | ||||||
– HSBC personal loans | 2.54 | 2.19 | 83.61 | 61.79 | 2.26 | 2.10 | ||||||
– Business Banking (Retail SME) | 2.95 | 2.92 | 78.23 | 55.48 | 2.54 | 2.31 | ||||||
Hong Kong | ||||||||||||
– HSBC personal residential mortgage | 0.60 | 0.03 | 1.58 | 1.21 | 0.02 | 0.02 | ||||||
– Hang Seng personal residential mortgage | 0.37 | 0.10 | 4.52 | 1.03 | 0.07 | 0.07 | ||||||
– HSBC credit card | 0.53 | 0.20 | 89.06 | 78.37 | 0.38 | 0.40 | ||||||
– HSBC personal instalment loans | 2.13 | 1.31 | 88.92 | 84.70 | 1.06 | 0.92 | ||||||
US – HSBC personal first lien residential mortgage | 1.54 | 0.54 | 51.01 | 18.24 | 0.30 | 0.29 | ||||||
2018 | ||||||||||||
UK | ||||||||||||
– HSBC residential mortgage | 0.40 | 0.27 | 9.60 | 0.38 | 0.27 | 0.25 | ||||||
– FD residential mortgages | 0.45 | 0.38 | 8.19 | 2.07 | 1.05 | 0.86 | ||||||
– HSBC credit card | 1.01 | 0.97 | 88.75 | 85.15 | 1.42 | 1.40 | ||||||
– HSBC personal loans | 2.13 | 1.88 | 84.84 | 87.97 | 1.83 | 1.75 | ||||||
– Business Banking (Retail SME) | 2.83 | 2.86 | 78.56 | 71.56 | 2.30 | 2.09 | ||||||
Hong Kong | ||||||||||||
– HSBC personal residential mortgage | 0.70 | 0.02 | 2.87 | 1.70 | 0.02 | 0.02 | ||||||
– Hang Seng personal residential mortgage | 0.39 | 0.09 | 5.99 | 0.84 | 0.08 | 0.08 | ||||||
– HSBC credit card | 0.57 | 0.24 | 87.92 | 75.98 | 0.40 | 0.42 | ||||||
– HSBC personal instalment loans | 2.27 | 1.47 | 89.01 | 83.73 | 1.24 | 1.10 | ||||||
US – HSBC personal first lien residential mortgage | 1.71 | 0.69 | 52.06 | 21.69 | 0.43 | 0.42 | ||||||
2017 | ||||||||||||
UK | ||||||||||||
– HSBC residential mortgage | 0.44 | 0.28 | 9.74 | 0.88 | 0.26 | 0.24 | ||||||
– FD residential mortgages | 0.48 | 0.41 | 2.11 | 0.45 | 1.09 | 0.91 | ||||||
– HSBC credit card | 0.92 | 0.77 | 90.86 | 85.68 | 1.10 | 1.07 | ||||||
– HSBC personal loans | 1.94 | 1.62 | 87.77 | 79.90 | 1.58 | 1.50 | ||||||
– Business Banking (Retail SME) | 2.57 | 2.64 | 73.87 | 70.25 | 1.90 | 1.51 | ||||||
Hong Kong | ||||||||||||
– HSBC personal residential mortgage | 0.72 | 0.04 | 1.43 | 0.14 | 0.05 | 0.05 | ||||||
– Hang Seng personal residential mortgage | 0.42 | 0.14 | 5.18 | 0.59 | 0.14 | 0.14 | ||||||
– HSBC credit card | 0.65 | 0.28 | 89.33 | 76.11 | 0.47 | 0.50 | ||||||
– HSBC personal instalment loans | 2.34 | 1.51 | 89.07 | 80.05 | 1.25 | 1.14 | ||||||
US – HSBC personal first lien residential mortgage | 1.91 | 0.80 | 53.27 | 22.22 | 0.37 | 0.36 |
1 | Data represents an annual view, analysed at 30 September. |
Model performance |
• | investigation of model stability; |
• | measuring model performance by comparing the model’s outputs against actual outcomes; and |
• | reviewing model use within the business, e.g. user input data quality, override activity and the assessment of results from key controls around the usage of the rating system as a whole within the overall credit process. |
Table 46: Wholesale IRB exposure – back-testing of probability of default (PD) per portfolio¹ (CR9) | ||||||||||||||
PD range | External rating equivalent (S&P) | External rating equivalent (Moody’s) | External rating equivalent (Fitch) | Weighted average PD % | Arithmetic average PD by obligors % | Number of obligors | Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate % | |||||
End of previous year3 | End of the year | |||||||||||||
2019 | ||||||||||||||
Sovereigns² | ||||||||||||||
0.00 to <0.15 | AAA to A- | Aaa to Baa1 | AAA to BBB+ | 0.02 | 0.04 | 53 | 54 | — | — | — | ||||
0.15 to <0.25 | BBB+ | Baa2 | BBB | 0.22 | 0.22 | 6 | 7 | — | — | — | ||||
0.25 to <0.50 | BBB | Baa3 | BBB- | 0.37 | 0.37 | 8 | 8 | — | — | — | ||||
0.50 to <0.75 | BBB- | Baa3 | BBB- | 0.63 | 0.63 | 7 | 6 | — | — | — | ||||
0.75 to <2.50 | BB+ to BB- | Ba1 to B1 | BB+ to B+ | 2.05 | 1.38 | 21 | 16 | — | — | — | ||||
2.5 to <10.00 | B+ to B- | B2 to Caa1 | B to CCC+ | 5.65 | 4.81 | 21 | 22 | — | — | — | ||||
10.00 to <100.00 | CCC+ to C | Caa1 to C | CCC to C | 36.00 | 17.33 | 6 | 7 | — | — | 1.79 | ||||
Banks | ||||||||||||||
0.00 to <0.15 | AAA to A- | Aaa to Baa1 | AAA to BBB+ | 0.05 | 0.08 | 268 | 287 | — | — | — | ||||
0.15 to <0.25 | BBB+ | Baa2 | BBB | 0.22 | 0.22 | 62 | 71 | — | — | — | ||||
0.25 to <0.50 | BBB | Baa3 | BBB- | 0.37 | 0.37 | 61 | 49 | — | — | — | ||||
0.50 to <0.75 | BBB- | Baa3 | BBB- | 0.63 | 0.63 | 47 | 50 | — | — | — | ||||
0.75 to <2.50 | BB+ to BB- | Ba1 to B1 | BB+ to B+ | 1.11 | 1.31 | 102 | 91 | — | — | — | ||||
2.5 to <10.00 | B+ to B- | B2 to Caa1 | B to CCC+ | 4.17 | 4.59 | 54 | 42 | — | — | 0.09 | ||||
10.00 to <100.00 | CCC+ to C | Caa1 to C | CCC to C | 12.67 | 11.77 | 17 | 24 | — | — | 1.40 | ||||
Corporates | ||||||||||||||
0.00 to <0.15 | AAA to A- | Aaa to Baa1 | AAA to BBB+ | 0.08 | 0.11 | 12,916 | 13,575 | 12 | — | 0.03 | ||||
0.15 to <0.25 | BBB+ | Baa2 | BBB | 0.22 | 0.22 | 12,147 | 12,808 | 19 | — | 0.11 | ||||
0.25 to <0.50 | BBB | Baa3 | BBB- | 0.37 | 0.37 | 11,998 | 12,911 | 24 | — | 0.23 | ||||
0.50 to <0.75 | BBB- | Baa3 | BBB- | 0.63 | 0.63 | 10,844 | 11,926 | 29 | 3 | 0.41 | ||||
0.75 to <2.50 | BB+ to BB- | Ba1 to B1 | BB+ to B+ | 1.38 | 1.42 | 33,473 | 32,750 | 262 | 36 | 0.86 | ||||
2.5 to <10.00 | B+ to B- | B2 to Caa1 | B to CCC+ | 4.15 | 4.25 | 12,978 | 12,999 | 556 | 77 | 3.05 | ||||
10.00 to <100.00 | CCC+ to C | Caa1 to C | CCC to C | 21.94 | 18.42 | 1,571 | 1,723 | 234 | 16 | 13.29 |
51 | HSBC Holdings plc Pillar 3 2019 |
Table 46: Wholesale IRB exposure – back-testing of probability of default (PD) per portfolio¹ (CR9) (continued) | ||||||||||||||
PD range | External rating equivalent (S&P) | External rating equivalent (Moody’s) | External rating equivalent (Fitch) | Weighted average PD % | Arithmetic average PD by obligors % | Number of obligors | Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate % | |||||
End of previous year3 | End of the year | |||||||||||||
2018 | ||||||||||||||
Sovereigns2 | ||||||||||||||
0.00 to <0.15 | AAA to BBB | Aaa to Baa2 | AAA to BBB | 0.02 | 0.04 | 53 | 53 | — | — | — | ||||
0.15 to <0.25 | BBB- | Baa3 | BBB- | 0.22 | 0.22 | 7 | 6 | — | — | — | ||||
0.25 to <0.50 | BBB- | Baa3 | BBB- | 0.37 | 0.37 | 5 | 8 | — | — | — | ||||
0.50 to <0.75 | BB+ to BB | Ba1 to Ba2 | BB+ to BB | 0.63 | 0.63 | 7 | 7 | — | — | — | ||||
0.75 to <2.50 | BB- to B- | Ba3 to B2 | BB- to B- | 1.44 | 1.32 | 23 | 21 | — | — | — | ||||
2.5 to <10.00 | B to B- | B2 to Caa1 | CCC+ to CCC | 3.65 | 4.92 | 21 | 21 | — | — | — | ||||
10.00 to <100.00 | B- to C | Caa1 to C | CCC to C | 10.00 | 18.75 | 8 | 6 | — | — | 1.79 | ||||
Banks | ||||||||||||||
0.00 to <0.15 | AAA to A- | Aaa to Baa1 | AAA to BBB+ | 0.05 | 0.08 | 258 | 268 | — | — | — | ||||
0.15 to <0.25 | BBB+ | Baa2 | BBB | 0.22 | 0.22 | 62 | 62 | — | — | — | ||||
0.25 to <0.50 | BBB | Baa3 | BBB- | 0.37 | 0.37 | 48 | 61 | — | — | — | ||||
0.50 to <0.75 | BBB- | Baa3 | BBB- | 0.63 | 0.63 | 58 | 47 | — | — | — | ||||
0.75 to <2.50 | BB+ to BB- | Ba1 to B1 | BB+ to B+ | 1.15 | 1.36 | 119 | 102 | — | — | — | ||||
2.5 to <10.00 | B+ to B- | B2 to Caa1 | B to CCC+ | 4.10 | 4.54 | 75 | 54 | — | — | 0.17 | ||||
10.00 to <100.00 | CCC+ to C | Caa1 to C | CCC to C | 15.62 | 13.61 | 18 | 17 | — | — | 1.55 | ||||
Corporates | ||||||||||||||
0.00 to <0.15 | AAA to A- | Aaa to Baa1 | AAA to BBB+ | 0.09 | 0.10 | 12,935 | 13,750 | 6 | — | 0.02 | ||||
0.15 to <0.25 | BBB+ | Baa2 | BBB | 0.22 | 0.22 | 12,344 | 12,741 | 4 | — | 0.11 | ||||
0.25 to <0.50 | BBB | Baa3 | BBB- | 0.37 | 0.37 | 12,779 | 12,794 | 9 | — | 0.22 | ||||
0.50 to <0.75 | BBB- | Baa3 | BBB- | 0.63 | 0.63 | 11,153 | 11,616 | 27 | 1 | 0.40 | ||||
0.75 to <2.50 | BB+ to BB- | Ba1 to B1 | BB+ to B+ | 1.35 | 1.44 | 36,542 | 35,581 | 275 | 27 | 0.88 | ||||
2.5 to <10.00 | B+ to B- | B2 to Caa1 | B to CCC+ | 4.23 | 4.32 | 13,712 | 14,023 | 379 | 42 | 2.93 | ||||
10.00 to <100.00 | CCC+ to C | Caa1 to C | CCC to C | 18.81 | 19.65 | 1,814 | 1,762 | 269 | 21 | 12.93 |
1 | Data represents an annual view, analysed at 30 September. |
2 | The CRR to external ratings mapping has been updated for Sovereign portfolios to reflect the current CRR master scale. |
3 | Back-testing is conducted on the basis of the opening count of obligors not in default in each year. Obligors who default during the year are excluded from the opening count for the following year. |
Table 47: Retail IRB exposure – back-testing of probability of default (PD) per portfolio¹ (CR9) | ||||||||||||||
PD range | Weighted average PD | Arithmetic average PD by obligors | Number of obligors | Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate | ||||||||
End of previous year2 | End of the year | |||||||||||||
2019 | ||||||||||||||
Retail – Secured by real estate non-SME | ||||||||||||||
0.00 to <0.15 | 0.06 | 0.06 | 727,744 | 762,489 | 269 | 2 | 0.04 | |||||||
0.15 to <0.25 | 0.19 | 0.19 | 65,933 | 71,284 | 63 | 2 | 0.09 | |||||||
0.25 to <0.50 | 0.35 | 0.35 | 65,548 | 70,656 | 99 | 2 | 0.13 | |||||||
0.50 to <0.75 | 0.59 | 0.59 | 26,743 | 27,154 | 65 | — | 0.21 | |||||||
0.75 to <2.50 | 1.31 | 1.38 | 54,654 | 61,885 | 245 | 2 | 0.38 | |||||||
2.50 to <10.00 | 4.19 | 4.25 | 16,580 | 15,967 | 358 | — | 1.80 | |||||||
10.00 to <100.00 | 26.39 | 21.52 | 6,301 | 3,852 | 1,196 | 16 | 17.19 | |||||||
Retail – qualifying revolving | ||||||||||||||
0.00 to <0.15 | 0.06 | 0.06 | 3,219,726 | 3,328,050 | 1,483 | 67 | 0.05 | |||||||
0.15 to <0.25 | 0.19 | 0.19 | 776,922 | 811,125 | 796 | 31 | 0.10 | |||||||
0.25 to <0.50 | 0.36 | 0.36 | 692,096 | 737,010 | 1,365 | 46 | 0.20 | |||||||
0.50 to <0.75 | 0.61 | 0.62 | 330,981 | 349,945 | 1,174 | 44 | 0.35 | |||||||
0.75 to <2.50 | 1.35 | 1.33 | 717,012 | 755,881 | 6,253 | 196 | 0.81 | |||||||
2.50 to <10.00 | 4.58 | 4.35 | 216,958 | 228,896 | 7,665 | 279 | 3.25 | |||||||
10.00 to <100.00 | 29.90 | 29.24 | 60,952 | 47,671 | 17,756 | 33 | 22.75 | |||||||
Retail – other non-SME | ||||||||||||||
0.00 to <0.15 | 0.13 | 0.13 | 34,493 | 46,360 | 57 | 14 | 0.15 | |||||||
0.15 to <0.25 | 0.18 | 0.17 | 119,005 | 108,191 | 220 | 25 | 0.14 | |||||||
0.25 to <0.50 | 0.39 | 0.39 | 70,521 | 130,566 | 303 | 127 | 0.27 | |||||||
0.50 to <0.75 | 0.58 | 0.58 | 35,026 | 57,295 | 301 | 93 | 0.52 | |||||||
0.75 to <2.50 | 1.33 | 1.34 | 199,214 | 185,914 | 2,631 | 444 | 1.18 | |||||||
2.50 to <10.00 | 4.23 | 4.54 | 77,263 | 61,559 | 3,563 | 265 | 3.70 | |||||||
10.00 to <100.00 | 37.52 | 37.19 | 18,396 | 8,894 | 5,864 | 22 | 34.92 | |||||||
Retail – other SME | ||||||||||||||
0.00 to <0.15 | 0.10 | 0.10 | 59,060 | 57,074 | 29 | — | 0.05 | |||||||
0.15 to <0.25 | 0.21 | 0.20 | 49,952 | 49,148 | 52 | 2 | 0.16 | |||||||
0.25 to <0.50 | 0.39 | 0.38 | 120,086 | 118,700 | 414 | 7 | 0.34 | |||||||
0.50 to <0.75 | 0.61 | 0.61 | 97,307 | 99,368 | 578 | 6 | 0.63 | |||||||
0.75 to <2.50 | 1.51 | 1.34 | 269,122 | 273,060 | 3,736 | 96 | 1.43 | |||||||
2.50 to <10.00 | 4.79 | 4.68 | 159,675 | 155,791 | 7,440 | 212 | 4.06 | |||||||
10.00 to <100.00 | 20.75 | 22.90 | 50,282 | 42,171 | 11,718 | 94 | 17.16 |
53 | HSBC Holdings plc Pillar 3 2019 |
Table 47: Retail IRB exposure – back-testing of probability of default (PD) per portfolio¹ (CR9) (continued) | ||||||||||||||
PD range | Weighted average PD | Arithmetic average PD by obligors | Number of obligors | Defaulted obligors in the year | of which: new defaulted obligors in the year | Average historical annual default rate | ||||||||
End of previous year2 | End of the year | |||||||||||||
2018 | ||||||||||||||
Retail – Secured by real estate non-SME | ||||||||||||||
0.00 to <0.15 | 0.06 | 0.06 | 696,972 | 738,577 | 259 | 3 | 0.03 | |||||||
0.15 to <0.25 | 0.19 | 0.19 | 60,467 | 60,748 | 59 | — | 0.08 | |||||||
0.25 to <0.50 | 0.35 | 0.34 | 65,972 | 64,896 | 98 | 2 | 0.13 | |||||||
0.50 to <0.75 | 0.60 | 0.60 | 26,090 | 24,446 | 59 | — | 0.20 | |||||||
0.75 to <2.50 | 1.33 | 1.35 | 58,184 | 53,707 | 237 | 1 | 0.41 | |||||||
2.50 to <10.00 | 4.33 | 4.32 | 18,547 | 15,669 | 332 | 1 | 1.97 | |||||||
10.00 to <100.00 | 26.08 | 23.26 | 7,612 | 4,883 | 1,254 | 9 | 18.79 | |||||||
Retail – qualifying revolving | ||||||||||||||
0.00 to <0.15 | 0.06 | 0.06 | 3,142,314 | 3,246,838 | 1,492 | 72 | 0.05 | |||||||
0.15 to <0.25 | 0.19 | 0.19 | 727,005 | 756,129 | 747 | 18 | 0.10 | |||||||
0.25 to <0.50 | 0.36 | 0.36 | 660,076 | 690,157 | 1,277 | 38 | 0.20 | |||||||
0.50 to <0.75 | 0.61 | 0.62 | 310,930 | 334,756 | 1,120 | 23 | 0.35 | |||||||
0.75 to <2.50 | 1.35 | 1.32 | 661,414 | 723,761 | 5,871 | 97 | 0.81 | |||||||
2.50 to <10.00 | 4.60 | 4.41 | 205,789 | 224,910 | 7,319 | 78 | 3.11 | |||||||
10.00 to <100.00 | 29.12 | 28.71 | 68,365 | 48,267 | 16,375 | 11 | 21.00 | |||||||
Retail – other non-SME | ||||||||||||||
0.00 to <0.15 | 0.09 | 0.08 | 124,924 | 146,849 | 267 | 7 | 0.15 | |||||||
0.15 to <0.25 | 0.19 | 0.19 | 79,492 | 89,056 | 145 | 5 | 0.14 | |||||||
0.25 to <0.50 | 0.36 | 0.36 | 114,634 | 127,085 | 395 | 23 | 0.27 | |||||||
0.50 to <0.75 | 0.61 | 0.62 | 39,397 | 40,862 | 213 | 13 | 0.52 | |||||||
0.75 to <2.50 | 1.35 | 1.40 | 97,623 | 96,793 | 1,345 | 45 | 1.23 | |||||||
2.50 to <10.00 | 4.52 | 4.82 | 53,464 | 47,449 | 2,108 | 48 | 3.51 | |||||||
10.00 to <100.00 | 41.84 | 40.92 | 15,141 | 7,090 | 5,535 | 6 | 35.84 | |||||||
Retail – other SME | ||||||||||||||
0.00 to <0.15 | 0.10 | 0.10 | 61,271 | 59,701 | 18 | — | 0.06 | |||||||
0.15 to <0.25 | 0.20 | 0.19 | 51,337 | 50,498 | 78 | 1 | 0.18 | |||||||
0.25 to <0.50 | 0.38 | 0.36 | 114,069 | 113,307 | 382 | 3 | 0.38 | |||||||
0.50 to <0.75 | 0.61 | 0.61 | 120,311 | 121,038 | 687 | 4 | 0.69 | |||||||
0.75 to <2.50 | 1.54 | 1.37 | 292,313 | 289,602 | 4,083 | 86 | 1.55 | |||||||
2.50 to <10.00 | 4.86 | 4.80 | 155,113 | 145,309 | 7,558 | 117 | 4.21 | |||||||
10.00 to <100.00 | 19.62 | 22.47 | 49,944 | 42,946 | 11,563 | 29 | 17.07 |
1 | Data represents an annual view, analysed at 30 September. |
2 | Back-testing is conducted on the basis of the opening count of obligors not in default in each year. Obligors who default during the year are excluded from the opening count for the following year. |
Counterparty credit risk |
Counterparty credit risk management |
• | co-variance of exposures; |
• | correlation between exposures and default; |
• | level of volatility/correlation that might coincide with a downturn; |
• | concentration risk; and |
• | model risk. |
Table 48: Analysis of counterparty credit risk exposure by approach (excluding centrally cleared exposures)¹ (CCR1) | |||||||||||||
Replacement cost | Potential future exposure | Effective expected positive exposure | Multiplier | EAD post-CRM | RWAs | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Mark-to-market | 7.6 | 22.5 | — | — | 30.1 | 12.4 | ||||||
4 | Internal Model Method | — | — | 34.8 | 1.4 | 48.7 | 18.7 | ||||||
6 | – of which: derivatives and long settlement transactions2 | — | — | 34.8 | 1.4 | 48.7 | 18.7 | ||||||
9 | Financial collateral comprehensive method (for SFTs) | — | — | — | — | 50.4 | 7.9 | ||||||
11 | Total at 31 Dec 2019 | 7.6 | 22.5 | 34.8 | 1.4 | 129.2 | 39.0 | ||||||
1 | Mark to market | 12.6 | 21.5 | — | — | 34.1 | 13.9 | ||||||
4 | Internal Model Method | — | — | 29.9 | 1.4 | 41.8 | 16.2 | ||||||
6 | – of which: derivatives and long settlement transactions2 | — | — | 29.9 | 1.4 | 41.8 | 16.2 | ||||||
9 | Financial collateral comprehensive method (for SFTs) | — | — | — | — | 49.3 | 10.2 | ||||||
11 | Total at 31 Dec 2018 | 12.6 | 21.5 | 29.9 | 1.4 | 125.2 | 40.3 |
1 | As the Group does not use the original exposure method, notional values are not reported. |
2 | Prior to the implementation of SA-CCR, exposures reported in this row will be those under the mark-to-market method. |
Table 49: Credit valuation adjustment (CVA) capital charge (CCR2) | |||||||||
At 31 Dec 2019 | At 31 Dec 2018 | ||||||||
EAD post-CRM | RWAs | EAD post-CRM | RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Total portfolios subject to the Advanced CVA capital charge | 22.2 | 3.1 | 21.4 | 4.9 | ||||
2 | – VaR component (including the 3 × multiplier) | 0.5 | 0.9 | ||||||
3 | – stressed VaR component (including the 3 × multiplier) | 2.6 | 4.0 | ||||||
4 | All portfolios subject to the Standardised CVA capital charge | 13.6 | 0.9 | 13.6 | 1.0 | ||||
5 | Total subject to the CVA capital charge | 35.8 | 4.0 | 35.0 | 5.9 |
55 | HSBC Holdings plc Pillar 3 2019 |
Table 50: Standardised approach – CCR exposures by regulatory portfolio and risk weights (CCR3) | |||||||||||||||||||||
Risk weight | 0% | 10 | % | 20 | % | 50 | % | 75 | % | 100 | % | 150 | % | Others | Total credit exposure | of which: unrated | |||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
1 | Central governments and central banks | 8.8 | — | — | — | — | — | — | 8.8 | — | |||||||||||
2 | Regional government or local authorities | 2.5 | — | — | — | — | — | — | — | 2.5 | — | ||||||||||
6 | Institutions | — | — | 0.1 | 0.1 | — | — | 0.2 | |||||||||||||
7 | Corporates | — | — | — | — | — | 2.1 | — | — | 2.1 | 1.9 | ||||||||||
Total at 31 Dec 2019 | 11.3 | — | — | 0.1 | — | 2.2 | — | — | 13.6 | 1.9 | |||||||||||
1 | Central governments and central banks | 7.4 | — | 0.1 | — | — | — | — | — | 7.5 | — | ||||||||||
2 | Regional government or local authorities | 1.0 | — | — | — | — | — | — | — | 1.0 | 0.1 | ||||||||||
6 | Institutions | — | — | — | — | — | 0.1 | — | — | 0.1 | — | ||||||||||
7 | Corporates | — | — | — | — | — | 1.9 | — | — | 1.9 | 1.6 | ||||||||||
Total at 31 Dec 2018 | 8.4 | — | 0.1 | — | — | 2.0 | — | — | 10.5 | 1.7 |
Table 51: Impact of netting and collateral held on exposure values (CCR5-A) | |||||||||||
Gross positive fair value or net carrying amount | Netting benefits | Netted current credit exposure | Collateral held | Net credit exposure | |||||||
$bn | $bn | $bn | $bn | $bn | |||||||
1 | Derivatives | 595.4 | 442.8 | 152.6 | 51.9 | 100.7 | |||||
2 | SFTs | 865.1 | — | 865.1 | 814.6 | 50.5 | |||||
4 | Total at 31 Dec 2019 | 1,460.5 | 442.8 | 1,017.7 | 866.5 | 151.2 | |||||
1 | Derivatives | 579.7 | 431.8 | 147.9 | 42.4 | 105.5 | |||||
2 | SFTs | 983.8 | — | 983.8 | 933.1 | 50.7 | |||||
4 | Total at 31 Dec 2018 | 1,563.5 | 431.8 | 1,131.7 | 975.5 | 156.2 |
Table 52: Composition of collateral for CCR exposure (CCR5-B) | |||||||||||||
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 | — | 6.8 | — | 7.8 | 57.4 | 98.6 | ||||||
2 | Cash – other currencies | — | 48.1 | — | 45.3 | 287.4 | 374.1 | ||||||
3 | Domestic sovereign debt | — | 7.3 | 0.5 | 6.4 | 90.4 | 64.7 | ||||||
4 | Other sovereign debt | — | 5.1 | 2.8 | 11.3 | 327.0 | 275.4 | ||||||
5 | Government agency debt | — | 0.2 | — | 0.1 | 6.5 | 1.0 | ||||||
6 | Corporate bonds | — | 1.0 | 0.7 | 0.3 | 47.2 | 10.5 | ||||||
7 | Equity securities | — | 0.2 | 0.2 | — | 39.1 | 40.6 | ||||||
8 | Other collateral | — | 0.2 | 2.8 | 1.6 | 1.7 | 0.2 | ||||||
9 | Total at 31 Dec 2019 | — | 68.9 | 7.0 | 72.8 | 856.7 | 865.1 | ||||||
1 | Cash – domestic currency | — | 5.6 | 1.6 | 4.9 | 75.9 | 118.9 | ||||||
2 | Cash – other currencies | — | 37.6 | 5.5 | 32.6 | 344.1 | 402.0 | ||||||
3 | Domestic sovereign debt | — | 5.5 | — | 5.2 | 107.7 | 84.6 | ||||||
4 | Other sovereign debt | — | 5.8 | — | 9.5 | 352.4 | 323.8 | ||||||
5 | Government agency debt | — | 0.1 | — | 0.2 | 13.4 | 4.4 | ||||||
6 | Corporate bonds | — | 0.7 | — | 0.3 | 36.4 | 16.5 | ||||||
7 | Equity securities | — | — | — | — | 36.8 | 32.3 | ||||||
8 | Other collateral | — | 0.3 | — | 1.2 | 1.4 | 0.5 | ||||||
9 | Total at 31 Dec 2018 | — | 55.6 | 7.1 | 53.9 | 968.1 | 983.0 |
Table 53: Credit derivatives exposures (CCR6) | |||||||||
At 31 Dec | |||||||||
2019 | 2018 | ||||||||
Protection bought | Protection sold | Protection bought | Protection sold | ||||||
Footnotes | $bn | $bn | $bn | $bn | |||||
Notionals | |||||||||
Credit derivative products used for own credit portfolio | |||||||||
– Index credit default swaps | 9.4 | 7.7 | 2.3 | — | |||||
Total notionals used for own credit portfolio | 9.4 | 7.7 | 2.3 | — | |||||
Credit derivative products used for intermediation | 1 | ||||||||
– Index credit default swaps | 160.7 | 142.0 | 168.6 | 154.0 | |||||
– Total return swaps | 15.4 | 9.7 | 14.6 | 6.9 | |||||
Total notionals used for intermediation | 176.1 | 151.7 | 183.2 | 160.9 | |||||
Total credit derivative notionals | 185.5 | 159.4 | 185.5 | 160.9 | |||||
Fair values | |||||||||
– Positive fair value (asset) | 2.4 | 2.3 | 2.6 | 1.2 | |||||
– Negative fair value (liability) | (2.8 | ) | (2.8 | ) | (1.4 | ) | (2.4 | ) |
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. |
Table 54: Exposures to central counterparties (CCR8) | |||||||||
At 31 Dec 2019 | At 31 Dec 2018 | ||||||||
EAD post-CRM | RWAs | EAD post- CRM | RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Exposures to QCCPs (total) | 33.4 | 1.1 | 42.3 | 1.1 | ||||
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions) | 15.2 | 0.3 | 24.8 | 0.5 | ||||
3 | – OTC derivatives | 5.1 | 0.1 | 9.8 | 0.2 | ||||
4 | – exchange-traded derivatives | 5.4 | 0.1 | 9.2 | 0.2 | ||||
5 | – securities financing transactions | 4.7 | 0.1 | 5.8 | 0.1 | ||||
7 | Segregated initial margin | 6.9 | — | 7.1 | — | ||||
8 | Non-segregated initial margin | 11.3 | 0.2 | 10.4 | 0.2 | ||||
9 | Pre-funded default fund contributions | — | 0.6 | — | 0.4 |
• | General wrong-way risk occurs when the probability of counterparty default is positively correlated with general risk factors, for example, where a counterparty is resident and/or incorporated in a higher-risk country and seeks to sell a non-domestic currency in exchange for its home currency. |
• | Specific wrong-way risk occurs in self-referencing transactions. These are transactions in which exposure is driven by capital or financing instruments issued by the counterparty and occurs where exposure from HSBC’s perspective materially increases as the value of the counterparty’s capital or financing instruments referenced in the contract decreases. It is HSBC policy that specific wrong-way transactions are approved on a case-by-case basis. |
57 | HSBC Holdings plc Pillar 3 2019 |
Securitisation |
Securitisation strategy |
Securitisation activity |
• | originator: where we originate the assets being securitised, either directly or indirectly; |
• | sponsor: where we establish and manage a securitisation programme that purchases exposures from third parties; and |
• | investor: where we invest in a securitisation transaction directly or provide derivatives or liquidity facilities to a securitisation. |
Securitisation entity | Description and nature of exposure | Accounting consolidation | Regulatory consolidation | Regulatory treatment |
Solitaire | Asset-backed commercial paper (‘ABCP’) conduit to which a first-loss letter of credit and transaction-specific liquidity facilities are provided | P | P | Look through to risk weights of underlying assets |
Regency | Multi-seller conduit to which senior liquidity facilities and programme-wide credit enhancement are provided | P | O | Exposures (including derivatives and liquidity facilities) are risk-weighted as securitisation positions |
Monitoring of securitisation positions |
Securitisation accounting treatment |
Securitisation regulatory treatment |
Analysis of securitisation exposures |
• | securitisation positions are not backed by revolving exposures other than trade receivables in Regency Assets Limited, which is unchanged from 2018; |
• | facilities are not subject to early amortisation provisions; |
• | $7.2bn positions held as synthetic transactions (2018: $3.2bn); |
• | no assets awaiting securitisation and no material realised losses on securitisation asset disposals during the year; |
• | unrealised losses on asset-backed securities (‘ABS’) in the year amounted to $0.2bn (2018: $0.2bn), which relates to assets within SPEs that are consolidated for regulatory purposes; and |
• | total exposures include off-balance sheet exposure of $11.1bn (2018: $10.9bn), mainly relating to contingent liquidity lines provided to securitisation vehicles where we act as sponsor, with a small amount from derivative exposures where we are an investor. The off-balance sheet exposures are held in the non-trading book and the exposure types are residential mortgages, commercial mortgages, trade receivables and re-securitisations. |
Table 55: Securitisation exposure – movement in the year | ||||||||||
Total at 1 Jan | Movement in year | Total at 31 Dec | ||||||||
As originator | As sponsor | As investor | ||||||||
$bn | $bn | $bn | $bn | $bn | ||||||
Aggregate amount of securitisation exposures | ||||||||||
Residential mortgages | 9.2 | — | (0.6 | ) | 1.1 | 9.7 | ||||
Commercial mortgages | 2.3 | — | — | 0.6 | 2.9 | |||||
Credit Cards | 1.4 | — | (0.7 | ) | 0.9 | 1.6 | ||||
Leasing | 6.0 | — | (1.3 | ) | 1.2 | 5.9 | ||||
Loans to corporates or SMEs | 3.3 | 4.0 | — | — | 7.3 | |||||
Consumer loans | 6.8 | — | (0.5 | ) | 0.8 | 7.1 | ||||
Trade receivables | 5.4 | (0.4 | ) | (0.8 | ) | 0.7 | 4.9 | |||
Other assets | 0.5 | — | — | 0.3 | 0.8 | |||||
Re-securitisations | 0.4 | — | (0.4 | ) | — | — | ||||
2019 | 35.3 | 3.6 | (4.3 | ) | 5.6 | 40.2 |
59 | HSBC Holdings plc Pillar 3 2019 |
Table 56: Securitisation – asset values and impairments | |||||||||||||
2019 | 2018 | ||||||||||||
Underlying assets1 | Securitisation exposures impairment | Underlying assets1 | Securitisation exposures impairment | ||||||||||
Total3 | Impaired and past due | Total3 | Impaired and past due | ||||||||||
Footnotes | $bn | $bn | $bn | $bn | $bn | $bn | |||||||
As originator | 10.7 | — | — | 5.4 | — | — | |||||||
– loans to corporates and SMEs | 10.7 | — | — | 5.0 | — | — | |||||||
– trade receivables | — | — | — | 0.4 | — | — | |||||||
– re-securitisations | 2 | — | — | — | — | — | — | ||||||
As sponsor | 15.6 | 0.2 | — | 19.9 | — | — | |||||||
– residential mortgages | 3.7 | — | — | 4.3 | — | — | |||||||
– commercial mortgages | 0.1 | — | — | 0.1 | — | — | |||||||
– credit cards | — | — | — | 0.7 | — | — | |||||||
– leasing | 4.3 | — | — | 5.6 | — | — | |||||||
– loans to corporates and SMEs | — | — | — | — | — | — | |||||||
– consumer loans | 3.1 | 0.2 | — | 3.6 | — | — | |||||||
– trade receivables | 4.2 | — | — | 5.0 | — | — | |||||||
– re-securitisations | 2 | — | — | — | 0.4 | — | — | ||||||
– other assets | 0.2 | — | — | 0.2 | — | — | |||||||
At 31 Dec | 26.3 | 0.2 | — | 25.3 | — | — |
1 | Securitisation exposures may exceed the underlying asset values when HSBC provides liquidity facilities while also acting as derivative counterparty and a note holder in the SPE. |
2 | The amount of underlying assets reported for re-securitisations denotes the value of collateral within the re-securitisation vehicles. |
3 | As originator and sponsor, all associated underlying assets are held in the non-trading book. These assets are all underlying to traditional securitisations with the exception of ‘loans to corporates and SMEs’, which is underlying to a synthetic securitisation. |
Table 57: Securitisation exposures in the non-trading book (SEC1) | |||||||||||||||||||||
Bank acts as originator | Bank acts as sponsor | Bank acts as investor | |||||||||||||||||||
Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | |||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||
1 | Retail (total) | — | — | — | 11.0 | — | 11.0 | 10.0 | — | 10.0 | |||||||||||
2 | – residential mortgage | — | — | — | 3.7 | — | 3.7 | 4.5 | — | 4.5 | |||||||||||
3 | – credit card | — | — | — | — | — | — | 1.5 | — | 1.5 | |||||||||||
4 | – other retail exposures | — | — | — | 7.3 | — | 7.3 | 4.0 | — | 4.0 | |||||||||||
5 | – re-securitisation | — | — | — | — | — | — | — | — | — | |||||||||||
6 | Wholesale (total) | — | 7.2 | 7.2 | 4.6 | — | 4.6 | 3.7 | — | 3.7 | |||||||||||
7 | – loans to corporates | — | 7.2 | 7.2 | — | — | — | 0.1 | — | 0.1 | |||||||||||
8 | – commercial mortgage | — | — | — | 0.1 | — | 0.1 | 1.9 | — | 1.9 | |||||||||||
9 | – lease and receivables | — | — | — | 4.3 | — | 4.3 | 1.6 | — | 1.6 | |||||||||||
10 | – other wholesale | — | — | — | 0.2 | — | 0.2 | 0.1 | — | 0.1 | |||||||||||
11 | – re-securitisation | — | — | — | — | — | — | — | — | — | |||||||||||
Total at 31 Dec 2019 | — | 7.2 | 7.2 | 15.6 | — | 15.6 | 13.7 | — | 13.7 | ||||||||||||
– of which: | |||||||||||||||||||||
securitisations under the new framework | — | 5.2 | 5.2 | 7.2 | — | 7.2 | 7.3 | — | 7.3 | ||||||||||||
securitisations under the pre-existing framework | — | 2.0 | 2.0 | 8.4 | — | 8.4 | 6.4 | — | 6.4 | ||||||||||||
1 | Retail (total) | 0.4 | — | 0.4 | 13.6 | — | 13.6 | 6.8 | — | 6.8 | |||||||||||
2 | – residential mortgage | — | — | — | 4.3 | — | 4.3 | 3.8 | — | 3.8 | |||||||||||
3 | – credit card | — | — | — | 0.7 | — | 0.7 | 0.5 | — | 0.5 | |||||||||||
4 | – other retail exposures | 0.4 | — | 0.4 | 8.6 | — | 8.6 | 2.5 | — | 2.5 | |||||||||||
5 | – re-securitisation | — | — | — | — | — | — | — | — | — | |||||||||||
6 | Wholesale (total) | — | 3.2 | 3.2 | 6.3 | — | 6.3 | 2.1 | — | 2.1 | |||||||||||
7 | – loans to corporates | — | 3.2 | 3.2 | — | — | — | 0.1 | — | 0.1 | |||||||||||
8 | – commercial mortgage | — | — | — | 0.1 | — | 0.1 | 1.5 | — | 1.5 | |||||||||||
9 | – lease and receivables | — | — | — | 5.6 | — | 5.6 | 0.4 | — | 0.4 | |||||||||||
10 | – other wholesale | — | — | — | 0.2 | — | 0.2 | 0.1 | — | 0.1 | |||||||||||
11 | – re-securitisation | — | — | — | 0.4 | — | 0.4 | — | — | — | |||||||||||
Total at 31 Dec 2018 | 0.4 | 3.2 | 3.6 | 19.9 | — | 19.9 | 8.9 | — | 8.9 |
Table 58: Securitisation exposures in the trading book (SEC2) | |||||||||||||
At | |||||||||||||
31 Dec 2019 | 31 Dec 2018 | ||||||||||||
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) | 2.3 | — | 2.3 | 2.0 | — | 2.0 | ||||||
2 | – residential mortgage | 1.5 | — | 1.5 | 1.1 | — | 1.1 | ||||||
3 | – credit card | 0.1 | — | 0.1 | 0.2 | — | 0.2 | ||||||
4 | – other retail exposures | 0.7 | — | 0.7 | 0.7 | — | 0.7 | ||||||
6 | Wholesale (total) | 1.4 | — | 1.4 | 0.9 | — | 0.9 | ||||||
7 | – loans to corporates | — | — | — | — | — | — | ||||||
8 | – commercial mortgage | 0.9 | — | 0.9 | 0.7 | — | 0.7 | ||||||
9 | – lease and receivables | — | — | — | — | — | — | ||||||
10 | – other wholesale | 0.5 | — | 0.5 | 0.2 | — | 0.2 | ||||||
Total (all portfolios) | 3.7 | — | 3.7 | 2.9 | — | 2.9 | |||||||
– of which: | |||||||||||||
securitisations under the new framework | 3.0 | — | 3.0 | N/A | N/A | N/A | |||||||
securitisations under the pre-existing framework | 0.7 | — | 0.7 | 2.9 | — | 2.9 |
1 | HSBC does not act as originator or sponsor for securitisation exposures in the trading book. |
Table 59.i: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as originator or sponsor (under the pre-existing framework) (SEC3) | ||||||||||||||||||||
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 RBM (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 7.4 | 0.5 | 0.5 | — | — | 7.6 | — | 0.8 | — | ||||||||||
3 | Securitisation | 7.4 | 0.5 | 0.5 | — | — | 7.6 | — | 0.8 | — | ||||||||||
4 | – retail underlying | 5.4 | 0.5 | 0.4 | — | — | 5.5 | — | 0.8 | — | ||||||||||
5 | – wholesale | 2.0 | — | 0.1 | — | — | 2.1 | — | — | — | ||||||||||
6 | Re-securitisation | — | — | — | — | — | — | — | — | — | ||||||||||
7 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
9 | Synthetic securitisation | 1.7 | — | 0.3 | — | — | 2.0 | — | — | — | ||||||||||
10 | Securitisation | 1.7 | — | 0.3 | — | — | 2.0 | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | 1.7 | — | 0.3 | — | — | 2.0 | — | — | — | ||||||||||
1 | Total at 31 Dec 2019 | 9.1 | 0.5 | 0.8 | — | — | 9.6 | — | 0.8 | — | ||||||||||
2 | Traditional securitisation | 19.0 | 0.2 | 0.8 | 0.2 | 0.1 | 19.5 | — | 0.7 | 0.1 | ||||||||||
3 | Securitisation | 19.0 | — | 0.8 | 0.1 | — | 19.2 | — | 0.7 | — | ||||||||||
4 | – retail underlying | 13.2 | — | 0.7 | 0.1 | — | 13.3 | — | 0.7 | — | ||||||||||
5 | – wholesale | 5.8 | — | 0.1 | — | — | 5.9 | — | — | — | ||||||||||
6 | Re-securitisation | — | 0.2 | — | 0.1 | 0.1 | 0.3 | — | — | 0.1 | ||||||||||
7 | – senior | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | 0.2 | — | 0.1 | 0.1 | 0.3 | — | — | 0.1 | ||||||||||
9 | Synthetic securitisation | 2.9 | — | — | 0.3 | — | 3.2 | — | — | — | ||||||||||
10 | Securitisation | 2.9 | — | — | 0.3 | — | 3.2 | — | — | — | ||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | ||||||||||
12 | – wholesale | 2.9 | — | — | 0.3 | — | 3.2 | — | — | — | ||||||||||
1 | Total at 31 Dec 2018 | 21.9 | 0.2 | 0.8 | 0.5 | 0.1 | 22.7 | — | 0.7 | 0.1 |
61 | HSBC Holdings plc Pillar 3 2019 |
Table 59.i: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as originator or sponsor (under the pre-existing framework) (SEC3) (continued) | ||||||||||||||||||
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||
IRB RBM (including IAA) | IRB SFA | SA | 1,250% | IRB RBM (including IAA) | IRB SFA | SA | 1,250% | |||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
2 | Traditional securitisation | 1.0 | — | 0.6 | — | 0.1 | — | — | — | |||||||||
3 | Securitisation | 1.0 | — | 0.6 | — | 0.1 | — | — | — | |||||||||
4 | – retail underlying | 0.6 | — | 0.6 | — | 0.1 | — | — | — | |||||||||
5 | – wholesale | 0.4 | — | — | — | — | — | — | — | |||||||||
6 | Re-securitisation | — | — | — | — | — | — | — | — | |||||||||
7 | – senior | — | — | — | — | — | — | — | — | |||||||||
8 | – non-senior | — | — | — | — | — | — | — | — | |||||||||
9 | Synthetic securitisation | 0.4 | — | — | 0.1 | — | — | — | — | |||||||||
10 | Securitisation | 0.4 | — | — | 0.1 | — | — | — | — | |||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | |||||||||
12 | – wholesale | 0.4 | — | — | 0.1 | — | — | — | — | |||||||||
1 | Total at 31 Dec 2019 | 1.4 | — | 0.6 | 0.1 | 0.1 | — | — | — | |||||||||
2 | Traditional securitisation | 2.5 | — | 0.7 | 1.4 | 0.2 | — | 0.1 | 0.1 | |||||||||
3 | Securitisation | 2.0 | — | 0.7 | 0.6 | 0.2 | — | 0.1 | — | |||||||||
4 | – retail underlying | 1.5 | — | 0.7 | 0.5 | 0.2 | — | 0.1 | — | |||||||||
5 | – wholesale | 0.5 | — | — | 0.1 | — | — | — | — | |||||||||
6 | Re-securitisation | 0.5 | — | — | 0.8 | — | — | — | 0.1 | |||||||||
7 | – senior | — | — | — | — | — | — | — | — | |||||||||
8 | – non-senior | 0.5 | — | — | 0.8 | — | — | — | 0.1 | |||||||||
9 | Synthetic securitisation | 0.8 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
10 | Securitisation | 0.8 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | |||||||||
12 | – wholesale | 0.8 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
1 | Total at 31 Dec 2018 | 3.3 | — | 0.7 | 1.6 | 0.3 | — | 0.1 | 0.1 |
Table 59.ii: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as originator or sponsor (under the new framework) (SEC3) | ||||||||||||||||||||||
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 | SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | |||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||
2 | Traditional securitisation | 4.0 | 2.9 | 0.2 | 0.1 | — | — | — | 7.1 | 0.1 | — | |||||||||||
3 | Securitisation | 4.0 | 2.9 | 0.2 | 0.1 | — | — | — | 7.1 | 0.1 | — | |||||||||||
4 | – retail underlying | 1.8 | 2.6 | 0.2 | 0.1 | — | — | — | 4.6 | 0.1 | — | |||||||||||
5 | – wholesale | 2.2 | 0.3 | — | — | — | — | — | 2.5 | — | — | |||||||||||
9 | Synthetic securitisation | 5.2 | — | — | — | — | 5.2 | — | — | — | — | |||||||||||
10 | Securitisation | 5.2 | — | — | — | — | 5.2 | — | — | — | — | |||||||||||
11 | – retail underlying | — | — | — | — | — | — | — | — | — | — | |||||||||||
12 | – wholesale | 5.2 | — | — | — | — | 5.2 | — | — | — | — | |||||||||||
1 | Total at 31 Dec 2019 | 9.2 | 2.9 | 0.2 | 0.1 | — | 5.2 | — | 7.1 | 0.1 | — |
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||||||
SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | |||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||
2 | Traditional securitisation | — | — | 1.7 | — | — | — | — | 0.1 | — | — | |||||||||||
3 | Securitisation | — | — | 1.7 | — | — | — | — | 0.1 | — | — | |||||||||||
4 | – retail underlying | — | — | 1.2 | — | — | — | — | 0.1 | — | — | |||||||||||
5 | – wholesale | — | — | 0.5 | — | — | — | — | — | — | — | |||||||||||
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 | — | — | — | — | |||||||||||
1 | Total at 31 Dec 2019 | 0.9 | — | 1.7 | — | 0.4 | 0.1 | — | 0.1 | — | — |
Table 60.i: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the pre-existing framework) (SEC4) | ||||||||||||||||||||
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 RBM (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 5.2 | 0.6 | 0.6 | — | — | 5.4 | — | 1.0 | — | ||||||||||
3 | Securitisation | 5.2 | 0.6 | 0.6 | — | — | 5.4 | — | 1.0 | — | ||||||||||
4 | – retail underlying | 3.1 | 0.6 | 0.6 | — | — | 3.3 | — | 1.0 | — | ||||||||||
5 | – wholesale | 2.1 | — | — | — | — | 2.1 | — | — | — | ||||||||||
1 | Total at 31 Dec 2019 | 5.2 | 0.6 | 0.6 | — | — | 5.4 | — | 1.0 | — | ||||||||||
2 | Traditional securitisation | 7.0 | 0.6 | 1.3 | — | — | 6.9 | — | 2.0 | — | ||||||||||
3 | Securitisation | 7.0 | 0.6 | 1.3 | — | — | 6.9 | — | 2.0 | — | ||||||||||
4 | – retail underlying | 5.0 | 0.6 | 1.2 | — | — | 4.8 | — | 2.0 | — | ||||||||||
5 | – wholesale | 2.0 | — | 0.1 | — | — | 2.1 | — | — | — | ||||||||||
1 | Total at 31 Dec 2018 | 7.0 | 0.6 | 1.3 | — | — | 6.9 | — | 2.0 | — |
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||
IRB RBM (including IAA) | IRB SFA | SA | 1,250% | IRB RBM (including IAA) | IRB SFA | SA | 1,250% | |||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
2 | Traditional securitisation | 0.7 | — | 0.7 | 0.2 | 0.1 | — | 0.1 | — | |||||||||
3 | Securitisation | 0.7 | — | 0.7 | 0.2 | 0.1 | — | 0.1 | — | |||||||||
4 | – retail underlying | 0.3 | — | 0.7 | 0.2 | — | — | 0.1 | — | |||||||||
5 | – wholesale | 0.4 | — | — | — | 0.1 | — | — | — | |||||||||
1 | Total at 31 Dec 2019 | 0.7 | — | 0.7 | 0.2 | 0.1 | — | 0.1 | — | |||||||||
2 | Traditional securitisation | 0.9 | — | 1.5 | 0.4 | 0.1 | — | 0.1 | — | |||||||||
3 | Securitisation | 0.9 | — | 1.5 | 0.4 | 0.1 | — | 0.1 | — | |||||||||
4 | – retail underlying | 0.5 | — | 1.5 | 0.3 | — | — | 0.1 | — | |||||||||
5 | – wholesale | 0.4 | — | — | 0.1 | 0.1 | — | — | — | |||||||||
1 | Total at 31 Dec 2018 | 0.9 | — | 1.5 | 0.4 | 0.1 | — | 0.1 | — |
Table 60.ii: Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the new framework) (SEC4) | ||||||||||||||||||||||
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 | SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | |||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||
2 | Traditional securitisation | 6.1 | 0.7 | 0.4 | 0.1 | — | — | 1.7 | — | 5.6 | — | |||||||||||
3 | Securitisation | 6.1 | 0.7 | 0.4 | 0.1 | — | — | 1.7 | — | 5.6 | — | |||||||||||
4 | – retail underlying | 4.6 | 0.7 | 0.2 | 0.1 | — | — | 1.4 | — | 4.2 | — | |||||||||||
5 | – wholesale | 1.5 | — | 0.2 | — | — | — | 0.3 | — | 1.4 | — | |||||||||||
1 | Total at 31 Dec 2019 | 6.1 | 0.7 | 0.4 | 0.1 | — | — | 1.7 | — | 5.6 | — |
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||||||
SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | SEC-IRBA | SEC-ERBA | SEC IAA | SEC-SA | 1,250% | |||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||||
2 | Traditional securitisation | — | 0.5 | — | 1.1 | — | — | — | — | 0.1 | — | |||||||||||
3 | Securitisation | — | 0.5 | — | 1.1 | — | — | — | — | 0.1 | — | |||||||||||
4 | – retail underlying | — | 0.4 | — | 0.9 | — | — | — | — | 0.1 | — | |||||||||||
5 | – wholesale | — | 0.1 | — | 0.2 | — | — | — | — | — | — | |||||||||||
1 | Total at 31 Dec 2019 | — | 0.5 | — | 1.1 | — | — | — | — | 0.1 | — |
63 | HSBC Holdings plc Pillar 3 2019 |
Market risk |
Overview of market risk in global businesses |
• | Trading portfolios: these comprise positions held for client servicing and market-making, with the intention of short-term resale and/or to hedge risks resulting from such positions. |
• | Non-trading portfolios: these comprise positions that primarily arise from the interest rate management of our retail and |
Table 61: Market risk under standardised approach (MR1) | |||||||
At 31 Dec | |||||||
2019 | 2018 | 2019 | |||||
RWAs | RWAs | Capital requirements | |||||
$bn | $bn | $bn | |||||
Outright products | |||||||
1 | Interest rate risk (general and specific) | 2.6 | 2.5 | 0.2 | |||
2 | Equity risk (general and specific) | 0.1 | 0.1 | — | |||
3 | Foreign exchange risk | 3.7 | 1.4 | 0.3 | |||
4 | Commodity risk | 0.1 | — | — | |||
Options | |||||||
6 | Delta-plus method | 0.1 | 0.1 | — | |||
7 | Scenario approach | — | — | — | |||
8 | Securitisation | 1.2 | 1.6 | 0.1 | |||
9 | Total | 7.8 | 5.7 | 0.6 |
Table 62: Market risk under IMA (MR2-A) | |||||||||
2019 | 2018 | ||||||||
RWAs | Capital required | RWAs | Capital required | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | VaR (higher of values a and b) | 5.3 | 0.4 | 7.1 | 0.6 | ||||
(a) | Previous day’s VaR | 0.1 | 0.1 | ||||||
(b) | Average daily VaR1 | 0.4 | 0.6 | ||||||
2 | Stressed VaR (higher of values a and b) | 8.0 | 0.7 | 12.1 | 1.0 | ||||
(a) | Latest SVaR | 0.1 | 0.2 | ||||||
(b) | Average SVaR1 | 0.7 | 1.0 | ||||||
3 | Incremental risk charge (higher of values a and b) | 6.6 | 0.5 | 6.4 | 0.5 | ||||
(a) | Most recent IRC value | 0.5 | 0.4 | ||||||
(b) | Average IRC value1 | 0.5 | 0.5 | ||||||
5 | Other | 2.2 | 0.2 | 4.5 | 0.3 | ||||
6 | Total at 31 Dec | 22.1 | 1.8 | 30.1 | 2.4 |
1 | VaR average values are calculated on a 60 business days basis. SVaR and IRC average values are calculated on a 12-week basis. |
Market risk governance |
Market risk measures |
Risk factor | Description |
Foreign exchange | Risk arising from changes in foreign exchange rates and volatilities. |
Interest rate | Risk arising from changes in the level of interest rates that may impact prices of interest rate sensitive assets such as interest rate swaps. |
Equity | Risk arising from changes in equity prices, volatilities and dividend yields. |
Commodity | Risk arising from changes in commodity prices. |
• | For equity, credit and foreign exchange risk factors, VaR scenarios are calculated on a relative return basis. |
• | For interest rates, a mixed approach is used. The scenarios applied to volatilities are on a relative return basis, whereas the scenarios applied to interest rate curves are calculated using a hybrid of absolute and relative returns. This approach enables the VaR to smoothly adapt to either low or high interest rate environments. |
• | non-linear instruments use a full revaluation approach; and |
• | linear instruments, such as bonds and swaps, use a sensitivity-based approach. |
• | The use of historical data as a proxy for estimating future events may not encompass all potential events, particularly those which are extreme in nature. |
• | The use of a 1-day holding period for risk management purposes of trading and non-trading books assumes that this short period is sufficient to hedge or liquidate all positions. |
• | The use of a 99% confidence level by definition does not take into account losses that might occur beyond this level of confidence. |
• | VaR is calculated on the basis of exposures outstanding at close of business and therefore does not necessarily reflect intra-day exposures. |
• | a profit exception in early January, driven by gains across most asset classes, as interest rates rose and equity markets rebounded; |
• | a profit exception in late January, due mainly to gains from new transactions in the Rates business and lower equity volatilities; |
• | a profit exception in March, driven by increased volatility in some emerging markets currencies and interest rates; |
• | a loss exception in March, attributable to month-end valuation adjustments driven by portfolio and spread changes; |
• | two profit exceptions in early May, arising from new transactions and a number of relatively small gains spread across all asset classes; and |
65 | HSBC Holdings plc Pillar 3 2019 |
• | a profit exception in December, due to gains from multiple desks and spread across all asset classes. |
• | a loss exception in November 2019 driven primarily by the impact of the widening of the credit spread on a high-yield bond holding; and |
• | a profit exception in December, due to gains from multiple desks and spread across all asset classes. |
Comparison of VaR estimates with gains/losses |
VaR back-testing exceptions against actual profit and loss ($m) |
Actual profit and loss | VaR | w | Back-testing profit exception | ||
VaR back-testing exceptions against hypothetical profit and loss ($m) |
Hypothetical profit and loss | VaR | w | Back-testing profit exception | ||
Market risk capital models |
Model component | Confidence level | Liquidity horizon | Model description and methodology | |
VaR | 99 | % | 10 day | Uses most recent two years’ history of daily returns to determine a loss distribution. The result is scaled, using the square root of 10, to provide an equivalent 10-day loss. |
Stressed VaR | 99 | % | 10 day | Stressed VaR is calibrated to a one-year period of stress observed in history. |
IRC | 99.9 | % | 1 year | Uses a multi-factor Gaussian Monte-Carlo simulation, which includes product basis, concentration, hedge mismatch, recovery rate and liquidity as part of the simulation process. A minimum liquidity horizon of three months is applied and is based on a combination of factors, including issuer type, currency and size of exposure. |
Table 63: IMA values for trading portfolios¹ (MR3) | |||||
At 31 Dec | |||||
2019 | 2018 | ||||
$m | $m | ||||
VaR (10 day 99%) | |||||
1 | Maximum value | 185.2 | 210.0 | ||
2 | Average value | 149.3 | 182.9 | ||
3 | Minimum value | 116.8 | 160.3 | ||
4 | Period end | 128.0 | 193.2 | ||
Stressed VaR (10 day 99%) | |||||
5 | Maximum value | 222.8 | 408.5 | ||
6 | Average value | 172.3 | 256.8 | ||
7 | Minimum value | 133.1 | 194.9 | ||
8 | Period end | 222.8 | 408.5 | ||
Incremental risk charge (99.9%) | |||||
9 | Maximum value | 1,076.9 | 743.7 | ||
10 | Average value | 706.2 | 603.9 | ||
11 | Minimum value | 448.9 | 424.9 | ||
12 | Period end | 465.8 | 492.7 |
1 | Comparatives as at 31 December 2018 for averages, maximums and minimums were restated in compliance with EBA guidance. Maximum, average and minimum values are calculated on a six-month basis. |
VaR | Regulatory | Management |
Scope | Regulatory approval (PRA) | Broader population of trading and non-trading book positions |
Confidence interval | 99% | 99% |
Liquidity horizon | 10 day | 1 day |
Data set | Past 2 years | Past 2 years |
• | exposures to credit spread and interest rate risks; |
• | equity correlation and interest rate volatility risks captured in the RNIV framework. |
• | potential market movements employed for stressed VaR calculations are based on a continuous one-year period of stress for the trading portfolio; |
• | the choice of period is based on the assessment at the Group level of the most volatile period in recent history. This is assessed quarterly and changed during 2019 as follows: |
• | to (March 2010 to February 2011) in March 2019; |
• | to (December 2010 to November 2011) in June 2019; |
• | to (July 2007 to July 2008) in September 2019; and |
• | to (April 2016 to March 2017) in December 2019; |
• | it is calculated to a 99% confidence using a 10-day holding period; and |
• | it is based on an actual 10-day holding period, whereas regulatory VaR is based on a one-day holding period scaled to 10 days. |
67 | HSBC Holdings plc Pillar 3 2019 |
Structural foreign exchange exposures |
Interest rate risk in the banking book |
Prudent valuation adjustment |
Table 64: Prudential valuation adjustments (PV1) | ||||||||||||||||
Equity | Interest rates | FX | Credit | Commodities | Total | Of which: in the trading book | Of which: in the banking book | |||||||||
$m | $m | $m | $m | $m | $m | $m | $m | |||||||||
Closeout uncertainty | 260 | 361 | 47 | 137 | 5 | 810 | 606 | 204 | ||||||||
– of which: | ||||||||||||||||
Mid-market value | 198 | 135 | 19 | 57 | 4 | 413 | 312 | 101 | ||||||||
Closeout cost | 20 | 91 | 9 | 8 | 1 | 129 | 115 | 14 | ||||||||
Concentration | 42 | 135 | 19 | 72 | — | 268 | 179 | 89 | ||||||||
Early termination | — | — | — | 4 | — | 4 | 4 | — | ||||||||
Model risk | 25 | 85 | 6 | 9 | — | 125 | 122 | 3 | ||||||||
Operational risk | 22 | 28 | 3 | 9 | — | 62 | 50 | 12 | ||||||||
Investing and funding costs | — | 56 | — | 2 | — | 58 | 58 | — | ||||||||
Unearned credit spreads | — | 90 | 4 | 8 | — | 102 | 102 | — | ||||||||
Future administrative costs | — | 1 | — | 7 | — | 8 | 8 | — | ||||||||
Other | — | — | — | — | — | — | — | — | ||||||||
Total adjustment at 31 Dec 2019 | 307 | 621 | 60 | 176 | 5 | 1,169 | 950 | 219 | ||||||||
Closeout uncertainty, of which: | 196 | 360 | 29 | 149 | 2 | 736 | 470 | 266 | ||||||||
– of which: | ||||||||||||||||
Mid-market value | 127 | 98 | 4 | 54 | — | 283 | 127 | 156 | ||||||||
Closeout cost | 21 | 94 | 10 | 9 | 2 | 136 | 123 | 13 | ||||||||
Concentration | 48 | 168 | 15 | 86 | — | 317 | 220 | 97 | ||||||||
Early termination | — | — | — | 5 | — | 5 | 5 | — | ||||||||
Model risk | 21 | 116 | 4 | 5 | — | 146 | 146 | — | ||||||||
Operational risk | 15 | 29 | 2 | 11 | — | 57 | 39 | 18 | ||||||||
Investing and funding costs | — | 95 | 1 | 2 | — | 98 | 98 | — | ||||||||
Unearned credit spreads | 1 | 90 | 7 | 19 | 3 | 120 | 120 | — | ||||||||
Future administrative costs | — | 5 | — | 4 | — | 9 | 9 | — | ||||||||
Other | — | — | — | — | — | — | — | — | ||||||||
Total adjustment at 31 Dec 2018 | 233 | 695 | 43 | 195 | 5 | 1,171 | 887 | 284 |
• | a $130m increase in mid-market value notably driven by deferral of day one profits which are no longer eligible to offset any additional valuation adjustment following an EBA statement; |
• | offset by a $110m reduction in other additional valuation adjustments, driven by a reduction in underlying exposures and reduced spreads. |
69 | HSBC Holdings plc Pillar 3 2019 |
Non-financial risk |
Operational risk capital requirements |
Table 65: Operational risk RWAs | ||||||||
31 Dec 2019 | 31 Dec 2018 | |||||||
RWAs | Capital required | RWAs | Capital required | |||||
$bn | $bn | $bn | $bn | |||||
By global business | 92.8 | 7.4 | 91.1 | 7.3 | ||||
Retail Banking and Wealth Management | 30.2 | 2.4 | 27.3 | 2.2 | ||||
Commercial Banking | 25.9 | 2.1 | 24.3 | 1.9 | ||||
Global Banking and Markets | 30.8 | 2.5 | 31.5 | 2.5 | ||||
Global Private Banking | 2.8 | 0.2 | 2.8 | 0.2 | ||||
Corporate Centre | 3.1 | 0.2 | 5.2 | 0.5 | ||||
By geographical region | 92.8 | 7.4 | 91.1 | 7.3 | ||||
Europe | 24.5 | 2.0 | 27.3 | 2.2 | ||||
Asia | 45.2 | 3.6 | 39.5 | 3.2 | ||||
Middle East and North Africa | 6.2 | 0.5 | 6.8 | 0.5 | ||||
North America | 11.9 | 0.9 | 11.7 | 0.9 | ||||
Latin America | 5.0 | 0.4 | 5.8 | 0.5 |
Organisation and responsibilities |
Measurement and monitoring |
• | making specific changes to strengthen the internal control environment; and |
• | investigating whether cost-effective insurance cover is available to mitigate the risk. |
Liquidity |
Strategies and processes |
• | each entity must manage liquidity and funding risk on a stand-alone basis without reliance on other members of the group or central banks, unless pre-approved; |
• | minimum net stable funding ratio (‘NSFR’) requirement or other appropriate metric. |
Structure and organisation |
• | Group, regional and entity level asset and liability management committees (‘ALCOs’); and |
• | an internal liquidity adequacy assessment process (‘ILAAP’) used to validate risk tolerance and set risk appetite. |
71 | HSBC Holdings plc Pillar 3 2019 |
Table 66: Level and components of HSBC Group consolidated liquidity coverage ratio (LIQ1) | ||||||||||||||||
Quarter ended 31 Dec 2019 | Quarter ended 30 Sep 2019 | Quarter ended 30 Jun 2019 | Quarter ended 31 Mar 2019 | |||||||||||||
Total unweighted value | Total weighted value | Total unweighted value | Total weighted value | Total unweighted value | Total weighted value | Total unweighted value | Total weighted value | |||||||||
$m | $m | $m | $m | $m | $m | $m | $m | |||||||||
Number of data points used in the calculation of averages | 12 | 12 | 12 | 12 | ||||||||||||
High quality liquid assets | ||||||||||||||||
Total high quality liquid assets (‘HQLA’) | 542,436 | 543,249 | 548,045 | 540,986 | ||||||||||||
Cash outflows | ||||||||||||||||
Retail deposits and small business funding | 747,510 | 77,146 | 741,029 | 76,814 | 740,337 | 76,875 | 739,011 | 76,577 | ||||||||
– of which: | ||||||||||||||||
stable deposits | 304,474 | 15,224 | 293,281 | 14,651 | 286,926 | 14,293 | 286,380 | 14,225 | ||||||||
less stable deposits | 441,819 | 61,548 | 446,634 | 61,820 | 452,473 | 62,297 | 451,828 | 62,116 | ||||||||
Unsecured wholesale funding | 643,185 | 303,439 | 635,166 | 298,301 | 622,518 | 291,807 | 612,755 | 286,357 | ||||||||
– operational deposits (all counterparties) and deposits in networks of cooperative banks | 200,638 | 48,996 | 200,875 | 48,992 | 198,169 | 48,206 | 195,587 | 47,487 | ||||||||
– non-operational deposits (all counterparties) | 427,855 | 239,751 | 420,574 | 235,592 | 411,775 | 231,027 | 406,102 | 227,804 | ||||||||
– unsecured debt | 14,692 | 14,692 | 13,717 | 13,717 | 12,574 | 12,574 | 11,066 | 11,066 | ||||||||
Secured wholesale funding | 11,532 | 12,737 | 13,249 | 13,181 | ||||||||||||
Additional requirements | 310,100 | 89,589 | 306,075 | 88,533 | 305,290 | 88,350 | 308,002 | 90,119 | ||||||||
– outflows related to derivative exposures and other collateral requirements | 39,394 | 39,011 | 38,254 | 37,849 | 38,540 | 37,906 | 40,395 | 39,588 | ||||||||
– outflows related to loss of funding on debt products | — | — | — | — | — | — | — | — | ||||||||
– credit and liquidity facilities | 270,706 | 50,578 | 267,821 | 50,684 | 266,750 | 50,444 | 267,607 | 50,531 | ||||||||
Other contractual funding obligations | 88,055 | 37,881 | 92,249 | 38,326 | 96,962 | 37,942 | 97,645 | 36,037 | ||||||||
Other contingent funding obligations | 464,319 | 12,375 | 425,446 | 12,222 | 390,535 | 12,471 | 359,989 | 12,510 | ||||||||
Total cash outflows | 531,962 | 526,933 | 520,694 | 514,781 | ||||||||||||
Cash inflows | ||||||||||||||||
Secured lending transactions (including reverse repos) | 307,567 | 32,831 | 310,390 | 34,147 | 303,143 | 36,126 | 295,235 | 38,746 | ||||||||
Inflows from fully performing exposures | 102,549 | 70,653 | 105,650 | 73,971 | 110,404 | 79,002 | 112,583 | 81,523 | ||||||||
Other cash inflows | 114,166 | 48,542 | 111,556 | 48,084 | 101,067 | 46,246 | 93,069 | 45,893 | ||||||||
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | — | — | — | — | ||||||||||||
(Excess inflows from a related specialised credit institution) | — | — | — | — | ||||||||||||
Total cash inflows | 524,282 | 152,026 | 527,596 | 156,202 | 514,614 | 161,374 | 500,887 | 166,162 | ||||||||
Fully exempt inflows | — | — | — | — | — | — | — | — | ||||||||
Inflows Subject to 90% Cap | — | — | — | — | — | — | — | — | ||||||||
Inflows Subject to 75% Cap | 493,752 | 152,026 | 497,429 | 156,202 | 484,373 | 161,374 | 467,328 | 166,162 | ||||||||
Liquidity coverage ratio (Adjusted value) | ||||||||||||||||
Liquidity Buffer | 542,436 | 543,249 | 548,045 | 540,986 | ||||||||||||
Total net cash outflows | 379,936 | 370,731 | 359,320 | 348,619 | ||||||||||||
Liquidity coverage ratio (%) | 142.8 | % | 146.5 | % | 152.5 | % | 155.2 | % |
Table 67: Analysis of on-balance sheet encumbered and unencumbered assets | ||||||||||||||||||
Assets encumbered as a result of transactions with counterparties other than central banks | Assets positioned at central banks (i.e. pre-positioned plus encumbered) | Unencumbered assets not positioned at central banks | Total | |||||||||||||||
As a result of covered bonds | As a result of securitisations | Other | Assets readily available for encumbrance | Other assets capable of being encumbered | Reverse repos/stock borrowing receivables and derivative assets | Assets that cannot be encumbered | ||||||||||||
$m | $m | $m | $m | $m | $m | $m | $m | $m | ||||||||||
Cash and balances at central banks | — | — | — | 244 | 151,247 | 39 | — | 2,569 | 154,099 | |||||||||
Items in the course of collection from other banks | — | — | — | — | — | — | — | 4,956 | 4,956 | |||||||||
Hong Kong Government certificates of indebtedness | — | — | — | — | — | — | — | 38,380 | 38,380 | |||||||||
Trading assets | — | — | 58,310 | 3,440 | 159,552 | 10,019 | 21,349 | 1,601 | 254,271 | |||||||||
– treasury and other eligible bills | — | — | 1,650 | 2,354 | 17,215 | 531 | — | 39 | 21,789 | |||||||||
– debt securities | — | — | 32,034 | 1,086 | 90,783 | 2,088 | — | 52 | 126,043 | |||||||||
– equity securities | — | — | 24,626 | — | 51,534 | 2,648 | — | 19 | 78,827 | |||||||||
– loans and advances to banks | — | — | — | — | 20 | 1,797 | 5,538 | 1,047 | 8,402 | |||||||||
– loans and advances to customers | — | — | — | — | — | 2,955 | 15,811 | 444 | 19,210 | |||||||||
Financial assets designated and otherwise mandatorily measured at fair value through profit or loss | — | — | 1,145 | — | 2,507 | 4,896 | 642 | 34,437 | 43,627 | |||||||||
– treasury and other eligible bills | — | — | 629 | — | — | — | — | 32 | 661 | |||||||||
– debt securities | — | — | — | — | 266 | 179 | — | 6,107 | 6,552 | |||||||||
– equity securities | — | — | 1 | — | 2,182 | 1,086 | — | 27,670 | 30,939 | |||||||||
– loans and advances to banks and customers | — | — | — | — | 59 | 3,227 | 642 | 628 | 4,556 | |||||||||
– other assets | — | — | 515 | — | — | 404 | — | — | 919 | |||||||||
Derivatives | — | — | — | — | — | — | 242,995 | — | 242,995 | |||||||||
Loans and advances to banks | — | — | 85 | 2,920 | 1,337 | 44,318 | — | 20,543 | 69,203 | |||||||||
Loans and advances to customers | 7,471 | 7,812 | 3,328 | 53,343 | 15,815 | 909,677 | 53 | 39,244 | 1,036,743 | |||||||||
Reverse repurchase agreements – non-trading | — | — | — | — | — | — | 240,862 | — | 240,862 | |||||||||
Financial investments | — | 405 | 25,517 | 19,503 | 321,651 | 4,957 | — | 71,279 | 443,312 | |||||||||
– treasury and other eligible bills | — | 405 | 564 | 9,000 | 93,486 | 1,228 | — | 836 | 105,519 | |||||||||
– debt securities | — | — | 24,953 | 10,503 | 227,665 | 3,013 | — | 69,661 | 335,795 | |||||||||
– equity securities | — | — | — | — | 500 | 716 | — | 697 | 1,913 | |||||||||
– other instruments | — | — | — | — | — | — | — | 85 | 85 | |||||||||
Prepayments, accrued income and other assets | — | 17 | 49,580 | 398 | 4,444 | 27,736 | — | 54,505 | 136,680 | |||||||||
Current tax assets | — | — | — | — | — | — | — | 755 | 755 | |||||||||
Interest in associates and joint ventures | — | — | — | — | 14 | 24,029 | — | 431 | 24,474 | |||||||||
Goodwill and intangible assets | — | — | — | — | — | — | — | 20,163 | 20,163 | |||||||||
Deferred tax | — | — | — | — | — | — | — | 4,632 | 4,632 | |||||||||
At 31 Dec 2019 | 7,471 | 8,234 | 137,965 | 79,848 | 656,567 | 1,025,671 | 505,901 | 293,495 | 2,715,152 |
73 | HSBC Holdings plc Pillar 3 2019 |
Table 67: Analysis of on-balance sheet encumbered and unencumbered assets (continued) | ||||||||||||||||||
Assets encumbered as a result of transactions with counterparties other than central banks | Assets positioned at central banks (i.e. pre- positioned plus encumbered) | Unencumbered assets not positioned at central banks | Total | |||||||||||||||
As a result of covered bonds | As a result of securitisations | Other | Assets readily available for encumbrance | Other assets capable of being encumbered | Reverse repos/stock borrowing receivables and derivative assets | Assets that cannot be encumbered | ||||||||||||
$m | $m | $m | $m | $m | $m | $m | $m | $m | ||||||||||
Cash and balances at central banks | — | — | — | 493 | 155,813 | 24 | — | 6,513 | 162,843 | |||||||||
Items in the course of collection from other banks | — | — | — | — | — | — | — | 5,787 | 5,787 | |||||||||
Hong Kong Government certificates of indebtedness | — | — | — | — | — | — | — | 35,859 | 35,859 | |||||||||
Trading assets | — | — | 68,877 | 3,221 | 137,589 | 8,493 | 18,279 | 1,671 | 238,130 | |||||||||
– treasury and other eligible bills | — | — | 2,367 | 2,357 | 17,707 | 209 | — | 34 | 22,674 | |||||||||
– debt securities | — | — | 44,000 | 864 | 83,640 | 1,803 | — | 232 | 130,539 | |||||||||
– equity securities | — | — | 22,510 | — | 36,242 | 2,070 | — | 74 | 60,896 | |||||||||
– loans and advances to banks | — | — | — | — | — | 2,768 | 6,753 | 904 | 10,425 | |||||||||
– loans and advances to customers | — | — | — | — | — | 1,643 | 11,526 | 427 | 13,596 | |||||||||
Financial assets designated and otherwise mandatorily measured at fair value through profit or loss | — | — | 1,177 | — | 2,135 | 7,601 | 605 | 29,593 | 41,111 | |||||||||
– treasury and other eligible bills | — | — | 627 | — | — | — | — | 43 | 670 | |||||||||
– debt securities | — | — | — | — | 297 | 4 | — | 6,246 | 6,547 | |||||||||
– equity securities | — | — | — | — | 1,676 | 1,035 | — | 22,638 | 25,349 | |||||||||
– loans and advances to banks and customers | — | — | — | — | 162 | 6,331 | 605 | 619 | 7,717 | |||||||||
– other assets | — | — | 550 | — | — | 231 | — | 47 | 828 | |||||||||
Derivatives | — | — | — | — | — | — | 207,825 | — | 207,825 | |||||||||
Loans and advances to banks | — | — | 170 | 2,367 | 1,947 | 45,992 | — | 21,691 | 72,167 | |||||||||
Loans and advances to customers | 6,621 | 7,653 | 4,036 | 58,737 | 15,867 | 847,301 | 28 | 41,453 | 981,696 | |||||||||
Reverse repurchase agreements – non-trading | — | — | — | — | — | — | 242,804 | — | 242,804 | |||||||||
Financial investments | — | 670 | 28,723 | 21,310 | 285,374 | 5,157 | — | 66,199 | 407,433 | |||||||||
– treasury and other eligible bills | — | 276 | 1,079 | 5,377 | 88,556 | 1,235 | — | 798 | 97,321 | |||||||||
– debt securities | — | 394 | 27,644 | 15,933 | 196,436 | 3,466 | — | 64,485 | 308,358 | |||||||||
– equity securities | — | — | — | — | 382 | 456 | — | 819 | 1,657 | |||||||||
– other investments | — | — | — | — | — | — | — | 97 | 97 | |||||||||
Prepayments, accrued income and other assets | — | 3 | 35,407 | 88 | 3,609 | 33,060 | — | 38,404 | 110,571 | |||||||||
Current tax assets | — | — | — | — | — | — | — | 684 | 684 | |||||||||
Interest in associates and joint ventures | — | — | — | — | 15 | 21,994 | — | 398 | 22,407 | |||||||||
Goodwill and intangible assets | — | — | — | — | — | — | — | 24,357 | 24,357 | |||||||||
Deferred tax | — | — | — | — | — | — | — | 4,450 | 4,450 | |||||||||
At 31 Dec 2018 | 6,621 | 8,326 | 138,390 | 86,216 | 602,349 | 969,622 | 469,541 | 277,059 | 2,558,124 |
Other risks |
Non-trading book exposures in equities |
Table 68: Non-trading book equity investments | ||||||
Fair value through other comprehensive income (FVOCI) | Mandatorily measured at fair value through profit and loss | Total | ||||
$bn | $bn | $bn | ||||
Private equity holdings | — | 2.4 | 2.4 | |||
Investment to facilitate ongoing business1 | 2.0 | 1.3 | 3.3 | |||
Other strategic investments | — | 0.2 | 0.2 | |||
At 31 Dec 2019 | 2.0 | 3.9 | 5.9 | |||
Private equity holdings | — | 1.9 | 1.9 | |||
Investment to facilitate ongoing business | 1.7 | 1.1 | 2.8 | |||
Other strategic investments | — | 0.3 | 0.3 | |||
At 31 Dec 2018 | 1.7 | 3.3 | 5.0 |
1 | Includes holdings in government-sponsored enterprises and local stock exchanges. |
Risk management of insurance operations |
Climate change risk |
75 | HSBC Holdings plc Pillar 3 2019 |
Appendix I |
Additional tables |
Table 69: Wholesale IRB exposure – by obligor grade | ||||||||||||||||||||
Central governments and central banks | Institutions | Corporates2 | ||||||||||||||||||
Default risk | CRR | PD range | Average net carrying values1 | Undrawn commit- ments | Mapped external rating | Average net carrying values1 | Undrawn commit- ments | Mapped external rating | Average net carrying values1 | Undrawn commit- ments | Mapped external rating | |||||||||
% | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||||
Minimal | 0.1 | 0.000 to 0.010 | 214.4 | 0.9 | AAA to AA | 2.5 | — | AAA | 0.4 | — | — | |||||||||
1.1 | 0.011 to 0.028 | 70.1 | 1.2 | AA- to A+ | 34.5 | 2.2 | AA+ to AA | 32.1 | 20.2 | AAA to AA | ||||||||||
1.2 | 0.029 to 0.053 | 25.0 | 0.3 | A to A- | 13.6 | 1.5 | AA- | 67.4 | 44.6 | AA- | ||||||||||
Low | 2.1 | 0.054 to 0.095 | 9.7 | 0.3 | BBB+ | 11.0 | 2.7 | A+ to A | 91.5 | 60.8 | A+ to A | |||||||||
2.2 | 0.096 to 0.169 | 9.6 | — | BBB | 11.9 | 3.6 | A- | 109.2 | 62.7 | A- | ||||||||||
Satisfactory | 3.1 | 0.170 to 0.285 | 2.4 | 0.3 | BBB- | 4.0 | 1.2 | BBB+ | 123.9 | 71.4 | BBB+ | |||||||||
3.2 | 0.286 to 0.483 | 2.1 | — | BBB- | 2.4 | 0.3 | BBB | 120.8 | 57.4 | BBB | ||||||||||
3.3 | 0.484 to 0.740 | 3.0 | 0.3 | BB+/BB | 1.3 | 0.1 | BBB- | 108.3 | 46.9 | BBB- | ||||||||||
Fair | 4.1 | 0.741 to 1.022 | 1.4 | — | BB- | 0.9 | 0.3 | BB+ | 77.0 | 35.3 | BB+ | |||||||||
4.2 | 1.023 to 1.407 | 0.5 | 0.1 | B+ | 0.5 | 0.1 | BB | 60.6 | 24.7 | BB | ||||||||||
4.3 | 1.408 to 1.927 | 3.1 | — | B+ | 0.2 | 0.1 | BB- | 47.5 | 21.0 | BB- | ||||||||||
Moderate | 5.1 | 1.928 to 2.620 | 1.5 | — | B+ | 0.1 | — | BB- | 84.7 | 31.4 | BB- | |||||||||
5.2 | 2.621 to 3.579 | — | — | B | — | — | B+ | 25.9 | 12.6 | B+ | ||||||||||
5.3 | 3.580 to 4.914 | 0.2 | — | B | — | — | B | 19.8 | 9.7 | B | ||||||||||
Significant | 6.1 | 4.915 to 6.718 | — | 0.1 | B- | — | — | B- | 10.7 | 4.5 | B- | |||||||||
6.2 | 6.719 to 8.860 | 0.4 | 0.1 | B- | — | — | B- | 6.1 | 1.8 | B- | ||||||||||
High | 7.1 | 8.861 to 11.402 | — | — | B- | — | — | CCC+ | 4.1 | 1.7 | CCC+ | |||||||||
7.2 | 11.403 to 15.000 | — | — | CCC+ | 0.1 | 0.1 | CCC+ | 1.9 | 0.5 | CCC+ | ||||||||||
Special Management | 8.1 | 15.001 to 22.000 | 0.1 | — | CCC+ | — | — | CCC | 2.6 | 1.4 | CCC | |||||||||
8.2 | 22.001 to 50.000 | 0.1 | — | CCC | — | — | CCC- to CC | 0.7 | 0.5 | CCC- to CC | ||||||||||
8.3 | 50.001 to 99.999 | 0.3 | — | CCC- to C | — | — | C | 0.2 | 0.1 | C | ||||||||||
Default | 9/10 | 100.000 | — | — | Default | — | — | Default | 4.0 | 0.9 | Default | |||||||||
At 31 Dec 2019 | 343.9 | 3.6 | 83.0 | 12.2 | 999.4 | 510.1 | ||||||||||||||
Minimal | 0.1 | 0.000 to 0.010 | 182.6 | 1.0 | AAA | 2.4 | — | AAA | — | — | ||||||||||
1.1 | 0.011 to 0.028 | 77.4 | 0.9 | AA+ to AA | 32.1 | 2.1 | AA+ to AA | 28.7 | 12.6 | AAA to AA | ||||||||||
1.2 | 0.029 to 0.053 | 22.5 | 0.4 | AA- to A+ | 17.6 | 1.4 | AA- | 64.6 | 39.1 | AA- | ||||||||||
Low | 2.1 | 0.054 to 0.095 | 8.1 | 0.3 | A | 13.1 | 2.8 | A+ to A | 89.9 | 50.3 | A+ to A | |||||||||
2.2 | 0.096 to 0.169 | 10.6 | — | A- | 11.9 | 3.3 | A- | 106.9 | 73.1 | A- | ||||||||||
Satisfactory | 3.1 | 0.170 to 0.285 | 2.6 | — | BBB+ | 3.1 | 0.7 | BBB+ | 125.2 | 68.9 | BBB+ | |||||||||
3.2 | 0.286 to 0.483 | 1.9 | — | BBB | 3.7 | 0.3 | BBB | 113.8 | 59.8 | BBB | ||||||||||
3.3 | 0.484 to 0.740 | 2.8 | 0.2 | BBB- | 2.4 | 0.2 | BBB- | 104.4 | 47.5 | BBB- | ||||||||||
Fair | 4.1 | 0.741 to 1.022 | 1.8 | 0.1 | BB+ | 0.9 | 0.2 | BB+ | 75.9 | 33.7 | BB+ | |||||||||
4.2 | 1.023 to 1.407 | 0.3 | 0.1 | BB | 0.4 | 0.2 | BB | 54.2 | 28.8 | BB | ||||||||||
4.3 | 1.408 to 1.927 | 1.5 | 0.1 | BB- | 0.3 | 0.1 | BB- | 49.4 | 19.8 | BB- | ||||||||||
Moderate | 5.1 | 1.928 to 2.620 | 2.6 | — | BB- | 0.1 | — | BB- | 82.2 | 30.8 | BB- | |||||||||
5.2 | 2.621 to 3.579 | — | — | B+ | 0.2 | — | B+ | 24.0 | 10.1 | B+ | ||||||||||
5.3 | 3.580 to 4.914 | 0.2 | — | B | — | — | B | 19.6 | 8.5 | B | ||||||||||
Significant | 6.1 | 4.915 to 6.718 | 0.1 | — | B | — | — | B- | 11.7 | 4.8 | B- | |||||||||
6.2 | 6.719 to 8.860 | 0.3 | 0.1 | B- | — | — | B- | 6.0 | 1.9 | B- | ||||||||||
High | 7.1 | 8.861 to 11.402 | 0.1 | — | CCC+ | — | — | CCC+ | 3.1 | 1.0 | CCC+ | |||||||||
7.2 | 11.403 to 15.000 | — | — | CCC+ | 0.1 | 0.1 | CCC+ | 2.0 | 0.6 | CCC+ | ||||||||||
Special Management | 8.1 | 15.001 to 22.000 | — | — | CCC+ | — | — | CCC | 2.5 | 1.5 | CCC | |||||||||
8.2 | 22.001 to 50.000 | — | — | CCC+ | — | — | CCC- to CC | 1.0 | 0.4 | CCC- to CC | ||||||||||
8.3 | 50.001 to 99.999 | — | — | CCC to C | — | — | C | 0.4 | 0.2 | C | ||||||||||
Default | 9/10 | 100.000 | — | — | Default | — | — | Default | 4.3 | 1.2 | Default | |||||||||
At 31 Dec 2018 | 315.4 | 3.2 | 88.3 | 11.4 | 969.8 | 494.6 |
1 | Average net carrying value are calculated by aggregating the net carrying values of the last five quarters and dividing by five. |
2 | Corporates excludes specialised lending exposures subject to supervisory slotting approach. |
Table 70.a: PD, LGD, RWA and exposure by country/territory – wholesale IRB advanced approach | |||||||||||||||||
Wholesale IRB advanced approach | |||||||||||||||||
All asset classes | Central governments and central banks | ||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | ||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | ||||||||||
Europe | 1.88 | 35.3 | 236.7 | 96.1 | 0.04 | 44.9 | 47.3 | 4.1 | |||||||||
UK | 1.87 | 35.8 | 186.9 | 76.5 | 0.03 | 44.7 | 39.6 | 2.9 | |||||||||
France | 2.31 | 30.2 | 39.3 | 17.5 | 0.03 | 45.0 | 0.7 | 0.1 | |||||||||
Asia | 0.65 | 42.9 | 573.8 | 176.4 | 0.03 | 43.7 | 208.6 | 15.9 | |||||||||
Hong Kong | 0.64 | 39.0 | 317.0 | 87.6 | 0.01 | 42.7 | 102.5 | 5.5 | |||||||||
Australia | 0.53 | 42.9 | 27.6 | 8.2 | 0.01 | 45.0 | 9.5 | 0.5 | |||||||||
Mainland China | 0.61 | 48.6 | 74.8 | 28.2 | 0.02 | 45.0 | 27.5 | 2.0 | |||||||||
Singapore | 0.41 | 41.7 | 45.5 | 10.5 | 0.01 | 44.1 | 18.6 | 1.0 | |||||||||
Middle East and North Africa | 0.43 | 43.9 | 24.0 | 7.6 | 0.40 | 45.0 | 18.2 | 6.0 | |||||||||
North America | 0.95 | 34.0 | 182.8 | 66.3 | 0.01 | 29.8 | 59.9 | 4.9 | |||||||||
US | 0.88 | 32.9 | 121.3 | 43.7 | 0.01 | 29.8 | 41.7 | 3.1 | |||||||||
Canada | 1.15 | 33.6 | 57.3 | 22.1 | 0.02 | 29.6 | 15.1 | 1.6 | |||||||||
Latin America | 11.10 | 44.8 | 10.2 | 5.8 | 11.84 | 45.0 | 9.5 | 5.4 |
Wholesale IRB advanced approach | |||||||||||||||||
Institutions | Corporates | ||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | ||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | ||||||||||
Europe | 0.16 | 32.5 | 17.2 | 3.4 | 2.56 | 33.0 | 172.2 | 88.6 | |||||||||
UK | 0.16 | 27.7 | 12.8 | 2.3 | 2.57 | 33.9 | 134.5 | 71.3 | |||||||||
France | 0.16 | 45.1 | 1.8 | 0.5 | 2.46 | 29.2 | 36.8 | 16.9 | |||||||||
Asia | 0.07 | 44.7 | 40.6 | 5.8 | 1.13 | 42.2 | 324.6 | 154.7 | |||||||||
Hong Kong | 0.05 | 38.5 | 27.2 | 3.3 | 1.06 | 37.0 | 187.3 | 78.8 | |||||||||
Australia | 0.06 | 42.5 | 2.2 | 0.4 | 0.91 | 41.7 | 15.9 | 7.3 | |||||||||
Mainland China | 0.10 | 46.1 | 4.3 | 0.8 | 1.03 | 51.1 | 43.0 | 25.4 | |||||||||
Singapore | 0.06 | 39.9 | 3.9 | 0.4 | 0.79 | 40.0 | 23.0 | 9.1 | |||||||||
Middle East and North Africa | 0.15 | 45.0 | 2.1 | 0.5 | 0.74 | 32.7 | 3.7 | 1.1 | |||||||||
North America | 0.06 | 41.4 | 5.8 | 0.8 | 1.47 | 36.4 | 117.1 | 60.6 | |||||||||
US | 0.13 | 44.4 | 1.5 | 0.4 | 1.37 | 34.3 | 78.1 | 40.2 | |||||||||
Canada | 0.03 | 21.4 | 3.4 | 0.2 | 1.69 | 36.2 | 38.8 | 20.3 | |||||||||
Latin America | 0.42 | 45.1 | 0.5 | 0.3 | 1.36 | 31.6 | 0.2 | 0.1 |
77 | HSBC Holdings plc Pillar 3 2019 |
Table 70.b: PD, LGD, RWA and exposure by country/territory – wholesale IRB foundation approach | |||||||||||||||||
Wholesale IRB foundation approach | |||||||||||||||||
All asset classes | Central governments and central banks | ||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | ||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | ||||||||||
Europe | 2.04 | 43.7 | 38.1 | 22.7 | 0.02 | 45.0 | — | — | |||||||||
UK | 2.39 | 40.7 | 16.1 | 9.7 | — | — | — | — | |||||||||
France | 1.21 | 40.0 | 1.7 | 1.1 | — | — | — | — | |||||||||
Asia | — | — | — | — | — | — | — | — | |||||||||
Hong Kong | — | — | — | — | — | — | — | — | |||||||||
Australia | — | — | — | — | — | — | — | — | |||||||||
Mainland China | — | — | — | — | — | — | — | — | |||||||||
Singapore | — | — | — | — | — | — | — | — | |||||||||
Middle East and North Africa | 3.70 | 43.2 | 16.9 | 9.6 | 0.03 | 45.0 | 0.1 | — | |||||||||
North America | — | — | — | — | — | — | — | — | |||||||||
US | — | — | — | — | — | — | — | — | |||||||||
Canada | — | — | — | — | — | — | — | — | |||||||||
Latin America | — | — | — | — | — | — | — | — |
Wholesale IRB foundation approach | |||||||||||||||||
Institutions | Corporates | ||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | ||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | ||||||||||
Europe | 0.14 | 45.0 | 0.1 | — | 2.05 | 43.7 | 38.0 | 22.7 | |||||||||
UK | 0.13 | 45.0 | — | — | 2.39 | 40.7 | 16.1 | 9.7 | |||||||||
France | — | — | — | — | 1.21 | 40.0 | 1.7 | 1.1 | |||||||||
Asia | — | — | — | — | — | — | — | — | |||||||||
Hong Kong | — | — | — | — | — | — | — | — | |||||||||
Australia | — | — | — | — | — | — | — | — | |||||||||
Mainland China | — | — | — | — | — | — | — | — | |||||||||
Singapore | — | — | — | — | — | — | — | — | |||||||||
Middle East and North Africa | 0.07 | 45.0 | 0.6 | 0.2 | 3.86 | 43.1 | 16.2 | 9.4 | |||||||||
North America | — | — | — | — | — | — | — | — | |||||||||
US | — | — | — | — | — | — | — | — | |||||||||
Canada | — | — | — | — | — | — | — | — | |||||||||
Latin America | — | — | — | — | — | — | — | — |
Table 70.c: PD, LGD, RWA and exposure by country/territory – retail IRB approach | ||||||||||||||||||||||||||
Retail IRB approach | ||||||||||||||||||||||||||
All asset classes | Retail secured by mortgages on immovable property non-SME | Retail secured by mortgages on immovable property SME | ||||||||||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | |||||||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | % | % | $bn | $bn | |||||||||||||||
Europe | 1.56 | 28.1 | 234.7 | 30.4 | 1.05 | 15.3 | 152.9 | 7.9 | 6.38 | 34.5 | 2.6 | 1.5 | ||||||||||||||
UK | 1.35 | 31.2 | 200.3 | 26.9 | 0.95 | 15.4 | 149.6 | 7.3 | 4.25 | 36.8 | 2.0 | 1.1 | ||||||||||||||
France | 3.42 | 13.1 | 26.5 | 3.3 | 6.01 | 13.9 | 3.3 | 0.6 | 13.91 | 26.4 | 0.6 | 0.4 | ||||||||||||||
Asia | 0.88 | 28.9 | 192.3 | 36.1 | 0.83 | 10.7 | 123.0 | 24.1 | 0.77 | 11.4 | 0.5 | — | ||||||||||||||
Hong Kong | 0.76 | 33.7 | 150.4 | 31.7 | 0.59 | 10.0 | 85.8 | 19.9 | 0.77 | 11.4 | 0.5 | — | ||||||||||||||
Australia | 0.89 | 10.0 | 18.8 | 1.1 | 0.89 | 10.0 | 18.8 | 1.1 | — | — | — | — | ||||||||||||||
Mainland China | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||
Singapore | 0.80 | 14.1 | 11.8 | 1.3 | 0.94 | 19.6 | 7.2 | 1.0 | — | — | — | — | ||||||||||||||
Middle East and North Africa | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||
North America | 2.75 | 39.7 | 46.6 | 11.3 | 2.74 | 32.6 | 39.8 | 8.4 | 0.88 | 18.4 | 0.3 | — | ||||||||||||||
US | 4.85 | 60.8 | 22.9 | 8.7 | 5.36 | 51.0 | 17.7 | 6.3 | — | — | — | — | ||||||||||||||
Canada | 0.72 | 19.3 | 23.8 | 2.6 | 0.64 | 17.8 | 22.1 | 2.1 | 0.88 | 18.4 | 0.3 | — | ||||||||||||||
Latin America | — | — | — | — | — | — | — | — | — | — | — | — |
Retail IRB approach | ||||||||||||||||||||||||||
Retail QRRE | Other SME | Other non-SME | ||||||||||||||||||||||||
At 31 Dec 2019 | At 31 Dec 2019 | At 31 Dec 2019 | ||||||||||||||||||||||||
Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | Exposure- weighted average PD | Exposure- weighted average LGD | Exposure value | RWAs | |||||||||||||||
% | % | $bn | $bn | % | % | $bn | $bn | % | % | $bn | $bn | |||||||||||||||
Europe | 1.69 | 79.3 | 34.9 | 7.6 | 9.93 | 66.8 | 5.8 | 4.5 | 1.86 | 26.7 | 38.6 | 8.9 | ||||||||||||||
UK | 1.69 | 79.3 | 34.9 | 7.6 | 8.05 | 81.4 | 4.1 | 3.9 | 2.99 | 79.5 | 9.7 | 7.0 | ||||||||||||||
France | 32.83 | 77.5 | — | — | 14.53 | 31.3 | 1.7 | 0.6 | 1.83 | 11.2 | 20.9 | 1.7 | ||||||||||||||
Asia | 1.02 | 96.7 | 40.7 | 9.1 | 0.28 | 26.9 | 0.1 | — | 0.86 | 10.6 | 27.9 | 2.9 | ||||||||||||||
Hong Kong | 1.02 | 96.7 | 40.7 | 9.1 | 0.28 | 26.9 | 0.1 | — | 0.91 | 11.6 | 23.3 | 2.7 | ||||||||||||||
Australia | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||
Mainland China | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||
Singapore | — | — | — | — | — | — | — | — | 0.59 | 5.6 | 4.6 | 0.3 | ||||||||||||||
Middle East and North Africa | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||
North America | 2.64 | 91.7 | 4.7 | 2.1 | 3.31 | 51.2 | 0.3 | 0.2 | 3.39 | 67.0 | 1.6 | 0.6 | ||||||||||||||
US | 2.65 | 93.6 | 4.4 | 1.9 | — | — | — | — | 5.45 | 96.7 | 0.8 | 0.5 | ||||||||||||||
Canada | 2.38 | 63.8 | 0.3 | 0.1 | 3.31 | 51.2 | 0.3 | 0.2 | 1.15 | 34.6 | 0.8 | 0.2 | ||||||||||||||
Latin America | — | — | — | — | — | — | — | — | — | — | — | — |
79 | HSBC Holdings plc Pillar 3 2019 |
Table 71: Retail IRB exposure – by internal PD band | |||||||||
At 31 Dec 2019 | At 31 Dec 2018 | ||||||||
PD range | Average net carrying values1 | Undrawn commitments | Average net carrying values1 | Undrawn commitments | |||||
% | $bn | $bn | $bn | $bn | |||||
Retail SME exposure secured by mortgages on immovable property | 3.6 | 0.3 | 3.2 | 0.3 | |||||
Band 1 | 0.000 to 0.483 | 1.1 | 0.1 | 1.0 | 0.1 | ||||
Band 2 | 0.484 to 1.022 | 0.7 | 0.1 | 0.6 | 0.1 | ||||
Band 3 | 1.023 to 4.914 | 1.3 | 0.1 | 1.2 | 0.1 | ||||
Band 4 | 4.915 to 8.860 | 0.3 | — | 0.2 | — | ||||
Band 5 | 8.861 to 15.000 | 0.1 | — | 0.1 | — | ||||
Band 6 | 15.001 to 50.000 | — | — | — | — | ||||
Band 7 | 50.001 to 100.000 | 0.1 | — | 0.1 | — | ||||
Retail non-SME exposure secured by mortgages on immovable property | 298.9 | 17.4 | 280.9 | 17.3 | |||||
Band 1 | 0.000 to 0.483 | 252.0 | 15.8 | 234.9 | 15.5 | ||||
Band 2 | 0.484 to 1.022 | 22.2 | 0.8 | 21.4 | 1.0 | ||||
Band 3 | 1.023 to 4.914 | 18.7 | 0.7 | 17.7 | 0.7 | ||||
Band 4 | 4.915 to 8.860 | 1.9 | — | 2.4 | — | ||||
Band 5 | 8.861 to 15.000 | 0.6 | 0.1 | 0.5 | — | ||||
Band 6 | 15.001 to 50.000 | 1.3 | — | 1.6 | 0.1 | ||||
Band 7 | 50.001 to 100.000 | 2.2 | — | 2.4 | — | ||||
Qualifying revolving retail exposure | 135.1 | 117.8 | 129.1 | 111.6 | |||||
Band 1 | 0.000 to 0.483 | 107.1 | 101.9 | 102.7 | 95.0 | ||||
Band 2 | 0.484 to 1.022 | 12.0 | 8.1 | 11.5 | 8.1 | ||||
Band 3 | 1.023 to 4.914 | 13.0 | 6.7 | 12.3 | 7.5 | ||||
Band 4 | 4.915 to 8.860 | 1.5 | 0.6 | 1.4 | 0.6 | ||||
Band 5 | 8.861 to 15.000 | 0.6 | 0.2 | 0.5 | 0.2 | ||||
Band 6 | 15.001 to 50.000 | 0.6 | 0.2 | 0.5 | 0.2 | ||||
Band 7 | 50.001 to 100.000 | 0.3 | 0.1 | 0.2 | — | ||||
Other retail SME exposure | 7.8 | 4.3 | 8.7 | 3.8 | |||||
Band 1 | 0.000 to 0.483 | 1.3 | 1.1 | 1.2 | 0.9 | ||||
Band 2 | 0.484 to 1.022 | 1.2 | 0.9 | 1.4 | 0.9 | ||||
Band 3 | 1.023 to 4.914 | 3.8 | 1.7 | 4.3 | 1.6 | ||||
Band 4 | 4.915 to 8.860 | 0.8 | 0.3 | 1.0 | 0.2 | ||||
Band 5 | 8.861 to 15.000 | 0.3 | 0.1 | 0.3 | 0.1 | ||||
Band 6 | 15.001 to 50.000 | 0.3 | 0.1 | 0.3 | 0.1 | ||||
Band 7 | 50.001 to 100.000 | 0.1 | 0.1 | 0.2 | — | ||||
Other retail non-SME exposure | 62.6 | 27.4 | 54.8 | 15.9 | |||||
Band 1 | 0.000 to 0.483 | 39.4 | 22.7 | 34.1 | 12.4 | ||||
Band 2 | 0.484 to 1.022 | 10.7 | 2.2 | 9.1 | 1.6 | ||||
Band 3 | 1.023 to 4.914 | 10.4 | 2.4 | 9.6 | 1.7 | ||||
Band 4 | 4.915 to 8.860 | 1.2 | 0.1 | 1.1 | 0.1 | ||||
Band 5 | 8.861 to 15.000 | 0.4 | — | 0.4 | — | ||||
Band 6 | 15.001 to 50.000 | 0.2 | — | 0.2 | — | ||||
Band 7 | 50.001 to 100.000 | 0.3 | — | 0.3 | 0.1 | ||||
Total retail exposure | 508.0 | 167.3 | 476.7 | 149.0 | |||||
Band 1 | 0.000 to 0.483 | 400.9 | 141.7 | 373.9 | 124.0 | ||||
Band 2 | 0.484 to 1.022 | 46.8 | 12.1 | 44.0 | 11.7 | ||||
Band 3 | 1.023 to 4.914 | 47.2 | 11.6 | 45.1 | 11.6 | ||||
Band 4 | 4.915 to 8.860 | 5.7 | 1.0 | 6.1 | 0.9 | ||||
Band 5 | 8.861 to 15.000 | 2.0 | 0.4 | 1.8 | 0.3 | ||||
Band 6 | 15.001 to 50.000 | 2.4 | 0.3 | 2.6 | 0.4 | ||||
Band 7 | 50.001 to 100.000 | 3.0 | 0.2 | 3.2 | 0.1 |
1 | Average net carrying values are calculated by aggregating the net carrying values of the last five quarters and dividing by five. |
Table 72: IRB expected loss and CRAs – by exposure class | |||||||
CRA | |||||||
Expected loss | Balances | Charge for the year | |||||
$bn | $bn | $bn | |||||
1 | Total IRB approach | ||||||
2 | Central governments and central banks | 0.6 | 0.1 | — | |||
3 | Institutions | — | — | — | |||
4 | Corporates | 5.5 | 4.3 | 1.0 | |||
5 | Retail | 2.6 | 2.0 | 1.1 | |||
– secured by mortgages on immovable property SME | 0.1 | 0.1 | — | ||||
– secured by mortgages on immovable property non-SME | 0.8 | 0.2 | — | ||||
– qualifying revolving retail | 0.9 | 1.0 | 0.6 | ||||
– other SME | 0.4 | 0.3 | 0.2 | ||||
– other non-SME | 0.4 | 0.4 | 0.3 | ||||
6 | Total at 31 Dec 2019 | 8.7 | 6.4 | 2.1 | |||
1 | Total IRB approach | ||||||
2 | Central governments and central banks | 0.1 | 0.1 | — | |||
3 | Institutions | — | — | — | |||
4 | Corporates | 5.0 | 4.1 | 0.5 | |||
5 | Retail | 2.4 | 1.8 | 0.9 | |||
– secured by mortgages on immovable property SME | 0.1 | 0.1 | 0.1 | ||||
– secured by mortgages on immovable property non-SME | 0.8 | 0.3 | — | ||||
– qualifying revolving retail | 0.7 | 0.7 | 0.4 | ||||
– other SME | 0.4 | 0.3 | 0.2 | ||||
– other non-SME | 0.4 | 0.4 | 0.2 | ||||
6 | Total at 31 Dec 2018 | 7.5 | 6.0 | 1.4 | |||
1 | Total IRB approach | ||||||
2 | Central governments and central banks | 0.1 | — | — | |||
3 | Institutions | — | — | — | |||
4 | Corporates | 5.3 | 4.2 | 0.7 | |||
5 | Retail | 2.5 | 1.0 | 0.3 | |||
– secured by mortgages on immovable property non-SME | 0.8 | 0.3 | — | ||||
– qualifying revolving retail | 0.8 | 0.2 | 0.2 | ||||
– other SME | 0.5 | 0.3 | — | ||||
– other non-SME | 0.4 | 0.2 | 0.1 | ||||
6 | Total at 31 Dec 2017 | 7.9 | 5.2 | 1.0 |
81 | HSBC Holdings plc Pillar 3 2019 |
Table 73: Credit risk RWAs – by geographical region | ||||||||||||
RWAs | ||||||||||||
Europe | Asia | MENA | North America | Latin America | Total | |||||||
$bn | $bn | $bn | $bn | $bn | $bn | |||||||
IRB advanced approach | 138.1 | 218.3 | 7.6 | 82.8 | 5.8 | 452.6 | ||||||
– central governments and central banks | 4.1 | 15.9 | 6.0 | 4.9 | 5.4 | 36.3 | ||||||
– institutions | 3.4 | 5.8 | 0.5 | 0.8 | 0.3 | 10.8 | ||||||
– corporates | 100.2 | 160.5 | 1.1 | 65.8 | 0.1 | 327.7 | ||||||
– total retail | 30.4 | 36.1 | — | 11.3 | — | 77.8 | ||||||
IRB securitisation positions | 3.5 | 0.2 | — | — | — | 3.7 | ||||||
IRB non-credit obligation assets | 4.6 | 4.9 | 0.9 | 2.0 | 0.9 | 13.3 | ||||||
IRB foundation approach | 22.7 | — | 9.6 | — | — | 32.3 | ||||||
– institutions | — | — | 0.2 | — | — | 0.2 | ||||||
– corporates | 22.7 | — | 9.4 | — | — | 32.1 | ||||||
Standardised approach | 39.4 | 68.5 | 29.9 | 13.7 | 23.2 | 174.7 | ||||||
– central governments and central banks | 3.5 | 1.9 | 0.5 | 4.3 | 1.0 | 11.2 | ||||||
– regional governments or local authorities | — | — | 0.9 | — | 0.7 | 1.6 | ||||||
– public sector entities | — | — | — | — | — | — | ||||||
– institutions | 0.1 | 0.1 | 0.6 | — | 0.1 | 0.9 | ||||||
– corporates | 15.1 | 17.0 | 20.1 | 5.0 | 15.3 | 72.5 | ||||||
– retail | 1.1 | 5.4 | 3.7 | 0.9 | 3.3 | 14.4 | ||||||
– secured by mortgages on immovable property | 3.3 | 5.5 | 1.4 | 0.6 | 1.2 | 12.0 | ||||||
– exposures in default | 0.8 | 0.5 | 1.9 | 0.3 | 0.6 | 4.1 | ||||||
– items associated with particularly high risk | 7.2 | — | 0.1 | 0.5 | 0.1 | 7.9 | ||||||
– securitisation positions | 2.3 | 1.3 | — | 0.8 | 0.2 | 4.6 | ||||||
– claims in the form of CIU | 0.4 | — | — | — | — | 0.4 | ||||||
– equity | 2.9 | 32.0 | 0.2 | 1.0 | 0.2 | 36.3 | ||||||
– other items | 2.7 | 4.8 | 0.5 | 0.3 | 0.5 | 8.8 | ||||||
Total at 31 Dec 2019 | 208.3 | 291.9 | 48.0 | 98.5 | 29.9 | 676.6 |
IRB advanced approach | 150.3 | 216.2 | 7.3 | 86.5 | 7.9 | 468.2 | ||||||
– central governments and central banks | 4.2 | 15.1 | 5.0 | 5.4 | 7.2 | 36.9 | ||||||
– institutions | 4.5 | 7.6 | 0.5 | 1.1 | 0.5 | 14.2 | ||||||
– corporates | 113.2 | 162.0 | 1.8 | 67.9 | 0.2 | 345.1 | ||||||
– total retail | 28.4 | 31.5 | — | 12.1 | — | 72.0 | ||||||
IRB securitisation positions | 5.6 | 0.2 | — | 0.5 | — | 6.3 | ||||||
IRB non-credit obligation assets | 3.5 | 4.7 | 0.6 | 1.3 | 0.7 | 10.8 | ||||||
IRB foundation approach | 21.0 | — | 9.5 | — | — | 30.5 | ||||||
– institutions | — | — | 0.2 | — | — | 0.2 | ||||||
– corporates | 21.0 | — | 9.3 | — | — | 30.3 | ||||||
Standardised approach | 39.0 | 70.8 | 29.6 | 14.8 | 21.1 | 175.3 | ||||||
– central governments and central banks | 3.6 | 1.7 | 0.6 | 5.4 | 1.2 | 12.5 | ||||||
– regional governments or local authorities | — | — | 0.8 | — | 0.5 | 1.3 | ||||||
– public sector entities | — | — | — | — | — | — | ||||||
– institutions | 0.2 | 0.2 | 0.8 | — | — | 1.2 | ||||||
– corporates | 18.4 | 20.3 | 20.4 | 5.9 | 14.2 | 79.2 | ||||||
– retail | 0.9 | 6.3 | 3.7 | 0.9 | 3.0 | 14.8 | ||||||
– secured by mortgages on immovable property | 2.4 | 6.3 | 1.2 | 0.5 | 0.9 | 11.3 | ||||||
– exposures in default | 1.0 | 0.5 | 1.4 | 0.3 | 0.6 | 3.8 | ||||||
– items associated with particularly high risk | 6.3 | — | 0.1 | 0.4 | 0.1 | 6.9 | ||||||
– securitisation positions | 0.6 | 1.4 | — | — | 0.1 | 2.1 | ||||||
– claims in the form of CIU | 0.6 | — | — | — | — | 0.6 | ||||||
– equity | 2.8 | 30.6 | 0.2 | 1.1 | 0.3 | 35.0 | ||||||
– other items | 2.2 | 3.5 | 0.4 | 0.3 | 0.2 | 6.6 | ||||||
Total at 31 Dec 2018 | 219.4 | 291.9 | 47.0 | 103.1 | 29.7 | 691.1 |
Table 74: Standardised exposure – by credit quality step | ||||||||||||
At 31 Dec 2019 | At 31 Dec 2018 | |||||||||||
Original exposure1 | Exposure value | RWAs^ | Original exposure1 | Exposure value | RWAs^ | |||||||
$bn | $bn | $bn | $bn | $bn | $bn | |||||||
Central governments and central banks | ||||||||||||
Credit quality step 1 | 171.3 | 180.5 | 158.0 | 166.3 | ||||||||
Credit quality step 2 | 0.3 | 0.2 | 0.3 | 0.2 | ||||||||
Credit quality step 3 | 0.4 | 0.4 | 0.4 | 0.5 | ||||||||
Credit quality step 4 | — | — | — | — | ||||||||
Credit quality step 5 | — | — | — | — | ||||||||
Credit quality step unrated | 4.6 | 4.4 | 5.0 | 5.0 | ||||||||
176.6 | 185.5 | 11.2 | 163.7 | 172.0 | 12.5 | |||||||
Institutions | ||||||||||||
Credit quality step 1 | 0.3 | 0.4 | 0.4 | 0.4 | ||||||||
Credit quality step 2 | 0.9 | 0.2 | 2.5 | 1.5 | ||||||||
Credit quality step 3 | 0.7 | 0.6 | — | — | ||||||||
Credit quality step 4 | — | — | 0.1 | 0.1 | ||||||||
Credit quality step 5 | 0.1 | 0.1 | — | — | ||||||||
Credit quality step unrated | 0.4 | 0.3 | 0.2 | 0.2 | ||||||||
2.4 | 1.6 | 0.9 | 3.2 | 2.2 | 1.2 | |||||||
Corporates | ||||||||||||
Credit quality step 1 | 1.6 | 4.0 | 1.9 | 3.6 | ||||||||
Credit quality step 2 | 3.7 | 2.7 | 5.2 | 3.4 | ||||||||
Credit quality step 3 | 2.4 | 1.7 | 5.4 | 3.6 | ||||||||
Credit quality step 4 | 2.6 | 1.8 | 2.2 | 1.6 | ||||||||
Credit quality step 5 | 0.6 | 0.4 | 1.2 | 0.7 | ||||||||
Credit quality step 6 | 0.6 | 0.3 | 0.2 | 0.1 | ||||||||
Credit quality step unrated | 148.9 | 65.9 | 163.9 | 71.1 | ||||||||
160.4 | 76.8 | 72.5 | 180.0 | 84.1 | 79.2 |
1 | Figures presented on an ‘obligor basis’. |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
Table 75: Specialised lending on slotting approach (CR10) | |||||||||||||
On-balance sheet amount | Off-balance sheet amount | Risk weight | Exposure amount | RWAs | Expected loss | ||||||||
Regulatory categories | Remaining maturity | ||||||||||||
$bn | $bn | % | $bn | $bn | $bn | ||||||||
Category 1 – Strong | Less than 2.5 years | 15.6 | 2.6 | 50 | 16.7 | 8.4 | — | ||||||
Equal to or more than 2.5 years | 11.5 | 2.3 | 70 | 12.5 | 8.7 | 0.1 | |||||||
Category 2 – Good | Less than 2.5 years | 3.6 | 0.3 | 70 | 3.7 | 2.6 | — | ||||||
Equal to or more than 2.5 years | 2.0 | 0.8 | 90 | 2.3 | 2.1 | — | |||||||
Category 3 – Satisfactory | Less than 2.5 years | 0.5 | — | 115 | 0.5 | 0.5 | — | ||||||
Equal to or more than 2.5 years | 0.1 | — | 115 | 0.1 | 0.1 | — | |||||||
Category 4 – Weak | Less than 2.5 years | 0.1 | — | 250 | 0.1 | 0.2 | — | ||||||
Equal to or more than 2.5 years | — | — | 250 | — | — | — | |||||||
Category 5 – Default | Less than 2.5 years | 0.5 | — | — | 0.8 | — | 0.4 | ||||||
Equal to or more than 2.5 years | — | — | — | 0.1 | — | — | |||||||
Total at 31 Dec 2019 | Less than 2.5 years | 20.3 | 2.9 | 21.8 | 11.7 | 0.4 | |||||||
Equal to or more than 2.5 years | 13.6 | 3.1 | 15.0 | 10.9 | 0.1 | ||||||||
Category 1 – Strong | Less than 2.5 years | 14.8 | 2.7 | 50 | 15.9 | 8.0 | — | ||||||
Equal to or more than 2.5 years | 11.7 | 2.6 | 70 | 12.7 | 8.8 | 0.1 | |||||||
Category 2 – Good | Less than 2.5 years | 2.7 | 0.4 | 70 | 2.9 | 2.0 | — | ||||||
Equal to or more than 2.5 years | 2.0 | 0.5 | 90 | 2.2 | 2.0 | — | |||||||
Category 3 – Satisfactory | Less than 2.5 years | 0.4 | — | 115 | 0.4 | 0.5 | — | ||||||
Equal to or more than 2.5 years | 0.5 | 0.1 | 115 | 0.5 | 0.6 | — | |||||||
Category 4 – Weak | Less than 2.5 years | 0.1 | — | 250 | 0.1 | 0.1 | — | ||||||
Equal to or more than 2.5 years | — | — | 250 | — | 0.1 | — | |||||||
Category 5 – Default | Less than 2.5 years | 0.3 | — | — | 0.5 | — | 0.2 | ||||||
Equal to or more than 2.5 years | 0.1 | — | — | 0.1 | — | 0.1 | |||||||
Total at 31 Dec 2018 | Less than 2.5 years | 18.3 | 3.1 | 19.8 | 10.6 | 0.2 | |||||||
Equal to or more than 2.5 years | 14.3 | 3.2 | 15.5 | 11.5 | 0.2 |
83 | HSBC Holdings plc Pillar 3 2019 |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) | ||||||||||||||||||||||||
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 | 328.5 | 2.6 | 42.9 | 329.6 | 0.02 | 269 | 41.6 | 2.10 | 26.1 | 8 | — | |||||||||||||
0.15 to <0.25 | 2.0 | 0.3 | 2.6 | 2.0 | 0.22 | 11 | 45.0 | 1.40 | 0.8 | 38 | — | |||||||||||||
0.25 to <0.50 | 2.3 | — | 20.0 | 2.3 | 0.37 | 12 | 45.0 | 1.20 | 1.1 | 50 | — | |||||||||||||
0.50 to <0.75 | 2.4 | 0.3 | 60.6 | 2.6 | 0.63 | 15 | 45.0 | 1.10 | 1.6 | 64 | — | |||||||||||||
0.75 to <2.50 | 5.6 | 0.2 | 31.1 | 5.4 | 1.39 | 21 | 44.5 | 1.20 | 4.8 | 89 | — | |||||||||||||
2.50 to <10.00 | 0.5 | 0.2 | 0.2 | 0.1 | 7.58 | 8 | 7.8 | 3.30 | — | 31 | — | |||||||||||||
10.00 to <100.00 | 1.5 | — | — | 1.5 | 75.00 | 5 | 45.0 | 1.00 | 1.9 | 130 | 0.6 | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | 342.8 | 3.6 | 40.1 | 343.5 | 0.37 | 341 | 41.7 | 2.10 | 36.3 | 11 | 0.6 | 0.1 | ||||||||||||
AIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 56.7 | 9.9 | 32.4 | 59.6 | 0.05 | 2,520 | 37.1 | 1.40 | 7.9 | 13 | — | |||||||||||||
0.15 to <0.25 | 2.9 | 1.2 | 27.4 | 3.3 | 0.22 | 290 | 33.7 | 1.00 | 1.0 | 30 | — | |||||||||||||
0.25 to <0.50 | 1.3 | 0.3 | 56.5 | 1.5 | 0.37 | 145 | 41.3 | 1.10 | 0.7 | 48 | — | |||||||||||||
0.50 to <0.75 | 0.8 | 0.1 | 3.8 | 0.8 | 0.63 | 102 | 45.0 | 1.40 | 0.6 | 82 | — | |||||||||||||
0.75 to <2.50 | 0.8 | 0.6 | 28.6 | 0.9 | 1.14 | 177 | 28.3 | 2.10 | 0.5 | 59 | — | |||||||||||||
2.50 to <10.00 | — | — | 36.7 | 0.1 | 3.60 | 25 | 45.3 | 0.90 | 0.1 | 125 | — | |||||||||||||
10.00 to <100.00 | — | 0.1 | 17.9 | — | 15.75 | 19 | 45.8 | 1.90 | — | 216 | — | |||||||||||||
100.00 (Default) | — | — | — | — | 100.00 | 1 | 45.8 | 1.00 | — | 10 | — | |||||||||||||
Sub-total | 62.5 | 12.2 | 32.0 | 66.2 | 0.09 | 3,279 | 37.0 | 1.40 | 10.8 | 16 | — | — | ||||||||||||
AIRB – Corporate – Specialised Lending (excluding Slotting)1 | ||||||||||||||||||||||||
0.00 to <0.15 | 2.1 | 1.2 | 39.5 | 2.5 | 0.10 | 40 | 20.5 | 3.30 | 0.4 | 17 | — | |||||||||||||
0.15 to <0.25 | 1.8 | 0.8 | 32.0 | 2.0 | 0.22 | 44 | 29.3 | 3.80 | 0.8 | 40 | — | |||||||||||||
0.25 to <0.50 | 1.1 | 0.6 | 40.1 | 1.2 | 0.37 | 31 | 27.0 | 3.50 | 0.5 | 43 | — | |||||||||||||
0.50 to <0.75 | 1.1 | 0.2 | 52.6 | 1.0 | 0.63 | 24 | 26.1 | 3.70 | 0.6 | 53 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 0.7 | 51.5 | 1.4 | 1.40 | 35 | 28.3 | 3.10 | 1.0 | 74 | — | |||||||||||||
2.50 to <10.00 | 0.6 | — | 69.2 | 0.5 | 4.51 | 13 | 25.3 | 3.30 | 0.4 | 85 | — | |||||||||||||
10.00 to <100.00 | 0.1 | — | 57.5 | 0.1 | 18.28 | 4 | 12.3 | 2.50 | 0.1 | 64 | — | |||||||||||||
100.00 (Default) | 0.2 | 0.1 | 66.2 | 0.2 | 100.00 | 12 | 19.5 | 4.50 | 0.3 | 129 | — | |||||||||||||
Sub-total | 8.2 | 3.6 | 41.8 | 8.9 | 3.45 | 203 | 25.4 | 3.50 | 4.1 | 46 | — | 0.1 | ||||||||||||
AIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 107.4 | 171.5 | 36.0 | 212.1 | 0.08 | 10,842 | 40.7 | 2.10 | 45.5 | 21 | 0.1 | |||||||||||||
0.15 to <0.25 | 50.0 | 64.0 | 36.4 | 83.8 | 0.22 | 9,967 | 38.8 | 2.00 | 32.2 | 38 | 0.1 | |||||||||||||
0.25 to <0.50 | 55.4 | 51.0 | 32.9 | 75.3 | 0.37 | 11,148 | 36.6 | 2.10 | 35.3 | 47 | 0.1 | |||||||||||||
0.50 to <0.75 | 54.1 | 40.5 | 31.6 | 63.2 | 0.63 | 10,296 | 35.0 | 2.00 | 35.7 | 57 | 0.1 | |||||||||||||
0.75 to <2.50 | 142.5 | 101.3 | 30.0 | 132.2 | 1.36 | 41,384 | 37.0 | 1.90 | 103.4 | 78 | 0.7 | |||||||||||||
2.50 to <10.00 | 34.7 | 25.8 | 33.0 | 32.7 | 4.31 | 11,505 | 38.7 | 1.90 | 38.8 | 119 | 0.6 | |||||||||||||
10.00 to <100.00 | 5.0 | 3.7 | 39.1 | 4.9 | 17.34 | 1,812 | 33.1 | 1.90 | 7.6 | 156 | 0.3 | |||||||||||||
100.00 (Default) | 4.2 | 0.6 | 35.8 | 4.4 | 100.00 | 2,246 | 46.1 | 1.80 | 2.5 | 57 | 2.4 | |||||||||||||
Sub-total | 453.3 | 458.4 | 34.1 | 608.6 | 1.56 | 99,200 | 38.4 | 2.00 | 301.0 | 49 | 4.4 | 3.4 | ||||||||||||
Wholesale AIRB – Total at 31 Dec 20192 | 929.2 | 477.8 | 34.2 | 1,089.6 | 1.09 | 103,023 | 39.3 | 2.00 | 365.5 | 34 | 5.0 | 3.6 |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) (continued) | ||||||||||||||||||||||||
Original on-balance 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 | 0.4 | — | 46.0 | 0.3 | 0.06 | 1,196 | 11.8 | — | — | 4 | — | |||||||||||||
0.15 to <0.25 | 0.1 | — | 36.2 | 0.1 | 0.21 | 2,192 | 32.7 | — | — | 13 | — | |||||||||||||
0.25 to <0.50 | 0.6 | — | 41.6 | 0.6 | 0.35 | 6,785 | 27.0 | — | 0.1 | 15 | — | |||||||||||||
0.50 to <0.75 | 0.3 | 0.1 | 38.7 | 0.4 | 0.62 | 5,423 | 33.1 | — | 0.1 | 27 | — | |||||||||||||
0.75 to <2.50 | 1.0 | 0.2 | 37.8 | 1.0 | 1.44 | 13,167 | 33.6 | — | 0.5 | 48 | — | |||||||||||||
2.50 to <10.00 | 0.7 | 0.1 | 38.4 | 0.8 | 4.54 | 7,098 | 30.8 | — | 0.6 | 81 | — | |||||||||||||
10.00 to <100.00 | 0.1 | — | 37.9 | 0.1 | 17.47 | 1,117 | 31.1 | — | 0.1 | 135 | — | |||||||||||||
100.00 (Default) | 0.1 | — | 66.0 | 0.1 | 100.00 | 1,042 | 33.8 | — | 0.1 | 85 | 0.1 | |||||||||||||
Sub-total | 3.3 | 0.4 | 38.9 | 3.4 | 5.03 | 38,020 | 29.5 | — | 1.5 | 45 | 0.1 | 0.1 | ||||||||||||
AIRB – Secured by mortgages on immovable property non-SME | ||||||||||||||||||||||||
0.00 to <0.15 | 191.2 | 11.1 | 88.0 | 204.8 | 0.07 | 1,110,935 | 15.7 | — | 14.8 | 7 | — | |||||||||||||
0.15 to <0.25 | 33.4 | 1.7 | 88.4 | 35.1 | 0.21 | 136,145 | 16.2 | — | 4.6 | 13 | — | |||||||||||||
0.25 to <0.50 | 27.3 | 3.0 | 40.4 | 28.7 | 0.35 | 126,980 | 17.2 | — | 5.2 | 18 | — | |||||||||||||
0.50 to <0.75 | 14.1 | 0.4 | 91.6 | 14.6 | 0.59 | 56,837 | 14.9 | — | 2.8 | 19 | — | |||||||||||||
0.75 to <2.50 | 21.1 | 1.0 | 76.6 | 22.0 | 1.36 | 99,412 | 13.1 | — | 5.9 | 27 | 0.1 | |||||||||||||
2.50 to <10.00 | 6.1 | 0.1 | 97.0 | 6.3 | 4.42 | 27,562 | 11.3 | — | 2.4 | 38 | — | |||||||||||||
10.00 to <100.00 | 1.8 | 0.1 | 99.3 | 1.9 | 23.22 | 16,032 | 20.1 | — | 2.4 | 129 | 0.1 | |||||||||||||
100.00 (Default) | 2.3 | — | 77.9 | 2.3 | 100.00 | 17,845 | 23.8 | — | 2.3 | 98 | 0.6 | |||||||||||||
Sub-total | 297.3 | 17.4 | 79.3 | 315.7 | 1.18 | 1,591,748 | 15.7 | — | 40.4 | 13 | 0.8 | 0.2 | ||||||||||||
AIRB – Qualifying revolving retail exposures | ||||||||||||||||||||||||
0.00 to <0.15 | 5.8 | 72.5 | 49.4 | 41.4 | 0.06 | 13,492,492 | 89.4 | — | 1.8 | 4 | — | |||||||||||||
0.15 to <0.25 | 1.3 | 15.7 | 49.0 | 8.9 | 0.20 | 2,827,957 | 92.5 | — | 1.0 | 11 | — | |||||||||||||
0.25 to <0.50 | 2.5 | 14.2 | 41.9 | 8.4 | 0.36 | 2,155,649 | 90.3 | — | 1.5 | 18 | — | |||||||||||||
0.50 to <0.75 | 2.9 | 5.3 | 48.2 | 5.4 | 0.61 | 1,012,194 | 87.4 | — | 1.4 | 26 | — | |||||||||||||
0.75 to <2.50 | 6.1 | 7.8 | 47.9 | 9.8 | 1.43 | 1,894,368 | 86.0 | — | 4.7 | 48 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.7 | 1.8 | 63.8 | 4.8 | 4.91 | 887,239 | 84.2 | — | 5.3 | 111 | 0.2 | |||||||||||||
10.00 to <100.00 | 1.0 | 0.4 | 65.2 | 1.2 | 30.09 | 315,052 | 84.3 | — | 2.6 | 209 | 0.4 | |||||||||||||
100.00 (Default) | 0.3 | — | 25.3 | 0.3 | 100.00 | 151,301 | 77.9 | — | 0.5 | 195 | 0.2 | |||||||||||||
Sub-total | 23.6 | 117.7 | 48.5 | 80.2 | 1.40 | 22,736,252 | 88.8 | — | 18.8 | 23 | 0.9 | 1.0 | ||||||||||||
AIRB – Other SME | ||||||||||||||||||||||||
0.00 to <0.15 | 0.1 | 0.4 | 31.5 | 0.2 | 0.09 | 99,557 | 73.9 | — | — | 14 | — | |||||||||||||
0.15 to <0.25 | — | 0.3 | 37.6 | 0.1 | 0.23 | 76,713 | 85.0 | — | — | 31 | — | |||||||||||||
0.25 to <0.50 | 0.2 | 0.5 | 48.4 | 0.4 | 0.38 | 135,359 | 76.5 | — | 0.2 | 40 | — | |||||||||||||
0.50 to <0.75 | 0.2 | 0.5 | 58.2 | 0.5 | 0.64 | 126,958 | 67.2 | — | 0.2 | 46 | — | |||||||||||||
0.75 to <2.50 | 1.1 | 1.2 | 54.9 | 1.7 | 1.60 | 327,051 | 68.3 | — | 1.2 | 69 | — | |||||||||||||
2.50 to <10.00 | 1.7 | 1.1 | 49.6 | 2.5 | 4.85 | 183,343 | 59.7 | — | 1.9 | 80 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.4 | 0.1 | 61.3 | 0.5 | 20.11 | 75,895 | 76.8 | — | 0.7 | 141 | 0.1 | |||||||||||||
100.00 (Default) | 0.3 | 0.1 | 77.9 | 0.3 | 100.00 | 19,210 | 44.3 | — | 0.5 | 138 | 0.2 | |||||||||||||
Sub-total | 4.0 | 4.2 | 50.3 | 6.2 | 9.41 | 1,044,086 | 65.3 | — | 4.7 | 76 | 0.4 | 0.3 | ||||||||||||
AIRB – Other non-SME | ||||||||||||||||||||||||
0.00 to <0.15 | 15.1 | 14.7 | 15.8 | 17.7 | 0.07 | 675,819 | 12.5 | — | 0.7 | 4 | — | |||||||||||||
0.15 to <0.25 | 8.1 | 3.7 | 39.7 | 9.9 | 0.20 | 529,201 | 24.7 | — | 1.2 | 12 | — | |||||||||||||
0.25 to <0.50 | 12.2 | 4.4 | 24.8 | 13.5 | 0.37 | 459,987 | 19.0 | — | 1.6 | 13 | — | |||||||||||||
0.50 to <0.75 | 7.9 | 1.8 | 22.8 | 8.4 | 0.62 | 246,120 | 22.6 | — | 1.7 | 20 | — | |||||||||||||
0.75 to <2.50 | 13.2 | 1.7 | 9.7 | 13.5 | 1.31 | 490,546 | 24.9 | — | 4.1 | 30 | — | |||||||||||||
2.50 to <10.00 | 3.5 | 1.1 | 23.7 | 3.9 | 4.27 | 238,724 | 34.0 | — | 2.0 | 52 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.8 | — | 16.4 | 0.9 | 23.85 | 96,236 | 42.5 | — | 0.7 | 86 | 0.1 | |||||||||||||
100.00 (Default) | 0.3 | — | 59.5 | 0.3 | 100.00 | 36,471 | 48.4 | — | 0.4 | 114 | 0.2 | |||||||||||||
Sub-total | 61.1 | 27.4 | 20.9 | 68.1 | 1.48 | 2,773,104 | 21.0 | — | 12.4 | 18 | 0.4 | 0.4 | ||||||||||||
Retail AIRB – Total at 31 Dec 2019 | 389.3 | 167.1 | 47.3 | 473.6 | 1.40 | 28,183,210 | 29.6 | — | 77.8 | 16 | 2.6 | 2.0 |
85 | HSBC Holdings plc Pillar 3 2019 |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) (continued) | ||||||||||||||||||||||||
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 | 0.03 | 1 | 45.0 | 3.60 | — | 20 | — | |||||||||||||
0.15 to <0.25 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.25 to <0.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.50 to <0.75 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.75 to <2.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
2.50 to <10.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | — | — | 75.0 | 0.1 | 0.03 | 1 | 45.0 | 3.60 | — | 20 | — | — | ||||||||||||
FIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 0.7 | — | 29.3 | 0.6 | 0.08 | 2 | 45.0 | 2.70 | 0.2 | 25 | — | |||||||||||||
0.15 to <0.25 | — | — | 40.9 | — | 0.22 | 1 | 45.0 | 2.40 | — | 48 | — | |||||||||||||
0.25 to <0.50 | — | — | 16.9 | — | 0.37 | 1 | 45.0 | 0.10 | — | 36 | — | |||||||||||||
0.50 to <0.75 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.75 to <2.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
2.50 to <10.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | 0.7 | — | 31.3 | 0.6 | 0.08 | 4 | 45.0 | 2.70 | 0.2 | 26 | — | — | ||||||||||||
FIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 10.2 | 15.5 | 38.5 | 17.0 | 0.08 | 1,357 | 44.1 | 2.10 | 4.1 | 24 | — | |||||||||||||
0.15 to <0.25 | 4.8 | 6.5 | 39.9 | 7.0 | 0.22 | 1,431 | 43.8 | 2.40 | 3.3 | 47 | — | |||||||||||||
0.25 to <0.50 | 4.6 | 5.8 | 28.4 | 6.1 | 0.37 | 1,905 | 42.8 | 1.90 | 3.5 | 56 | — | |||||||||||||
0.50 to <0.75 | 4.5 | 6.8 | 33.7 | 6.7 | 0.63 | 1,676 | 39.0 | 1.60 | 4.2 | 63 | — | |||||||||||||
0.75 to <2.50 | 10.7 | 10.0 | 21.4 | 12.1 | 1.32 | 5,329 | 43.1 | 1.60 | 10.8 | 89 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.7 | 2.9 | 20.6 | 3.7 | 4.60 | 1,239 | 42.4 | 1.60 | 4.9 | 133 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.6 | 0.5 | 21.4 | 0.7 | 13.62 | 186 | 43.7 | 1.40 | 1.3 | 197 | — | |||||||||||||
100.00 (Default) | 0.8 | 0.2 | 20.7 | 0.9 | 100.00 | 435 | 43.7 | 2.10 | — | — | 0.4 | |||||||||||||
Sub-total | 39.9 | 48.2 | 32.1 | 54.2 | 2.59 | 13,558 | 42.9 | 1.90 | 32.1 | 59 | 0.6 | 0.5 | ||||||||||||
FIRB – Total at 31 Dec 2019 | 40.6 | 48.2 | 32.1 | 54.9 | 2.55 | 13,563 | 43.0 | 1.90 | 32.3 | 59 | 0.6 | 0.5 |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Slotting exposures are disclosed in Table 75: Specialised lending on slotting approach (CR10). |
2 | The Wholesale AIRB Total includes non-credit obligation assets amounting to $62.4 bn of original exposure and EAD, and $13.3bn of RWAs. |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) (continued) | ||||||||||||||||||||||||
Original on-balance 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 | 313.5 | 2.7 | 52.6 | 315.6 | 0.02 | 258 | 42.4 | 2.10 | 26.0 | 8 | — | |||||||||||||
0.15 to <0.25 | 2.5 | — | 18.2 | 2.5 | 0.22 | 10 | 45.0 | 1.80 | 1.1 | 42 | — | |||||||||||||
0.25 to <0.50 | 2.1 | — | 98.9 | 2.3 | 0.37 | 14 | 45.1 | 1.30 | 1.1 | 50 | — | |||||||||||||
0.50 to <0.75 | 3.3 | 0.2 | 78.3 | 3.4 | 0.63 | 16 | 45.0 | 1.10 | 2.2 | 64 | — | |||||||||||||
0.75 to <2.50 | 6.8 | 0.2 | 70.8 | 6.6 | 1.72 | 22 | 45.0 | 1.20 | 6.4 | 97 | 0.1 | |||||||||||||
2.50 to <10.00 | 0.4 | 0.1 | 41.0 | — | 7.49 | 9 | 45.1 | 4.60 | 0.1 | 210 | — | |||||||||||||
10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | 328.6 | 3.2 | 55.0 | 330.4 | 0.06 | 329 | 42.5 | 2.10 | 36.9 | 11 | 0.1 | 0.1 | ||||||||||||
AIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 60.7 | 9.7 | 39.3 | 65.0 | 0.05 | 2,574 | 39.5 | 1.40 | 9.3 | 14 | — | |||||||||||||
0.15 to <0.25 | 3.1 | 0.7 | 22.0 | 3.3 | 0.22 | 323 | 44.7 | 0.90 | 1.2 | 37 | — | |||||||||||||
0.25 to <0.50 | 2.6 | 0.3 | 59.1 | 2.2 | 0.37 | 182 | 41.5 | 1.20 | 1.1 | 52 | — | |||||||||||||
0.50 to <0.75 | 1.4 | 0.2 | 45.8 | 1.4 | 0.63 | 140 | 41.5 | 1.30 | 1.1 | 74 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 0.5 | 50.6 | 1.5 | 1.10 | 242 | 45.1 | 1.20 | 1.4 | 96 | — | |||||||||||||
2.50 to <10.00 | 0.1 | — | 24.7 | — | 6.19 | 22 | 46.4 | 0.80 | — | 169 | — | |||||||||||||
10.00 to <100.00 | — | 0.1 | 25.6 | — | 13.00 | 17 | 55.0 | 1.00 | 0.1 | 253 | — | |||||||||||||
100.00 (Default) | — | — | — | — | 100.00 | 1 | 64.8 | 1.00 | — | 807 | — | |||||||||||||
Sub-total | 69.1 | 11.5 | 39.2 | 73.4 | 0.11 | 3,501 | 39.9 | 1.40 | 14.2 | 19 | — | — | ||||||||||||
AIRB – Corporate – Specialised Lending (excluding Slotting)1 | ||||||||||||||||||||||||
0.00 to <0.15 | 1.8 | 1.3 | 38.0 | 2.1 | 0.10 | 409 | 30.4 | 3.40 | 0.6 | 27 | — | |||||||||||||
0.15 to <0.25 | 1.9 | 0.4 | 33.4 | 2.0 | 0.22 | 418 | 28.6 | 3.40 | 0.7 | 37 | — | |||||||||||||
0.25 to <0.50 | 0.6 | 0.3 | 35.8 | 0.7 | 0.37 | 188 | 28.9 | 4.40 | 0.4 | 55 | — | |||||||||||||
0.50 to <0.75 | 1.3 | 0.2 | 34.4 | 1.0 | 0.63 | 261 | 24.5 | 3.50 | 0.5 | 51 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 0.5 | 49.7 | 1.5 | 1.38 | 397 | 32.1 | 3.80 | 1.3 | 91 | — | |||||||||||||
2.50 to <10.00 | 0.6 | 0.1 | 51.1 | 0.5 | 5.34 | 136 | 27.4 | 3.20 | 0.5 | 101 | — | |||||||||||||
10.00 to <100.00 | 0.3 | 0.1 | 48.1 | 0.3 | 24.05 | 73 | 23.2 | 3.40 | 0.4 | 130 | — | |||||||||||||
100.00 (Default) | 0.1 | 0.1 | 87.5 | 0.2 | 100.00 | 105 | 37.9 | 4.80 | 0.5 | 258 | 0.1 | |||||||||||||
Sub-total | 7.8 | 3.0 | 41.3 | 8.3 | 3.68 | 1,987 | 29.1 | 3.60 | 4.9 | 59 | 0.1 | 0.1 | ||||||||||||
AIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 109.3 | 160.4 | 38.0 | 212.4 | 0.08 | 10,036 | 41.1 | 2.20 | 48.2 | 23 | 0.1 | |||||||||||||
0.15 to <0.25 | 49.8 | 62.5 | 37.6 | 81.1 | 0.22 | 10,191 | 39.1 | 2.00 | 31.2 | 38 | 0.1 | |||||||||||||
0.25 to <0.50 | 51.1 | 54.7 | 33.9 | 73.3 | 0.37 | 10,304 | 37.3 | 2.10 | 35.4 | 48 | 0.1 | |||||||||||||
0.50 to <0.75 | 56.9 | 42.1 | 33.8 | 69.9 | 0.63 | 10,348 | 34.3 | 1.90 | 39.5 | 57 | 0.2 | |||||||||||||
0.75 to <2.50 | 146.2 | 102.1 | 32.2 | 137.6 | 1.37 | 42,602 | 37.6 | 2.00 | 111.3 | 81 | 0.7 | |||||||||||||
2.50 to <10.00 | 30.5 | 23.2 | 35.7 | 29.8 | 4.10 | 11,510 | 38.0 | 2.00 | 34.3 | 115 | 0.5 | |||||||||||||
10.00 to <100.00 | 5.1 | 3.3 | 43.0 | 4.5 | 19.20 | 1,967 | 38.6 | 2.00 | 8.3 | 185 | 0.3 | |||||||||||||
100.00 (Default) | 4.2 | 0.9 | 46.6 | 4.5 | 100.00 | 2,473 | 46.0 | 1.90 | 9.9 | 221 | 1.9 | |||||||||||||
Sub-total | 453.1 | 449.2 | 35.9 | 613.1 | 1.55 | 99,431 | 38.7 | 2.10 | 318.1 | 52 | 3.9 | 3.1 | ||||||||||||
Wholesale AIRB – Total at 31 Dec 20182 | 915.5 | 466.9 | 36.1 | 1,082.1 | 0.98 | 105,248 | 39.9 | 2.00 | 384.9 | 37 | 4.1 | 3.3 |
87 | HSBC Holdings plc Pillar 3 2019 |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) (continued) | ||||||||||||||||||||
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 | — | 31.4 | 0.3 | 0.08 | 1,321 | 16.2 | — | — | 4 | — | |||||||||
0.15 to <0.25 | 0.2 | — | 39.8 | 0.2 | 0.21 | 2,557 | 29.5 | — | — | 12 | — | |||||||||
0.25 to <0.50 | 0.4 | 0.1 | 35.2 | 0.4 | 0.36 | 6,478 | 28.8 | — | 0.1 | 16 | — | |||||||||
0.50 to <0.75 | 0.3 | 0.1 | 44.5 | 0.3 | 0.61 | 5,000 | 32.2 | — | 0.1 | 27 | — | |||||||||
0.75 to <2.50 | 0.9 | 0.2 | 33.8 | 1.0 | 1.47 | 13,728 | 35.2 | — | 0.5 | 51 | — | |||||||||
2.50 to <10.00 | 0.8 | 0.1 | 40.2 | 0.9 | 4.57 | 7,963 | 31.2 | — | 0.7 | 82 | — | |||||||||
10.00 to <100.00 | 0.1 | — | 39.8 | 0.1 | 17.19 | 1,312 | 31.6 | — | 0.1 | 138 | — | |||||||||
100.00 (Default) | 0.1 | — | 55.7 | 0.1 | 100.00 | 1,266 | 33.9 | — | 0.3 | 227 | 0.1 | |||||||||
Sub-total | 3.1 | 0.5 | 37.5 | 3.3 | 5.78 | 39,625 | 30.8 | — | 1.8 | 54 | 0.1 | 0.1 | ||||||||
AIRB – Secured by mortgages on immovable property non-SME | ||||||||||||||||||||
0.00 to <0.15 | 172.1 | 11.4 | 89.8 | 185.9 | 0.06 | 1,066,724 | 15.4 | — | 12.4 | 7 | — | |||||||||
0.15 to <0.25 | 27.7 | 1.3 | 81.6 | 28.9 | 0.20 | 122,304 | 15.7 | — | 3.6 | 13 | — | |||||||||
0.25 to <0.50 | 24.5 | 2.9 | 43.8 | 25.8 | 0.35 | 117,856 | 17.4 | — | 4.6 | 18 | — | |||||||||
0.50 to <0.75 | 10.5 | 0.3 | 92.3 | 10.9 | 0.58 | 51,235 | 11.2 | — | 1.8 | 16 | — | |||||||||
0.75 to <2.50 | 23.8 | 1.2 | 79.7 | 24.9 | 1.26 | 105,656 | 18.1 | — | 7.5 | 30 | 0.1 | |||||||||
2.50 to <10.00 | 5.8 | 0.2 | 96.7 | 6.0 | 4.51 | 27,556 | 11.7 | — | 2.3 | 39 | — | |||||||||
10.00 to <100.00 | 2.1 | 0.1 | 97.4 | 2.2 | 25.15 | 18,895 | 21.1 | — | 3.0 | 138 | 0.1 | |||||||||
100.00 (Default) | 2.3 | — | 76.1 | 2.3 | 100.00 | 18,777 | 24.6 | — | 2.0 | 89 | 0.6 | |||||||||
Sub-total | 268.8 | 17.4 | 81.0 | 286.9 | 1.31 | 1,529,003 | 15.7 | — | 37.2 | 13 | 0.8 | 0.3 | ||||||||
AIRB – Qualifying revolving retail exposures | ||||||||||||||||||||
0.00 to <0.15 | 5.4 | 70.8 | 49.3 | 40.1 | 0.07 | 13,591,739 | 91.3 | — | 1.8 | 4 | — | |||||||||
0.15 to <0.25 | 1.4 | 12.5 | 47.9 | 7.3 | 0.21 | 2,415,087 | 93.5 | — | 0.8 | 11 | — | |||||||||
0.25 to <0.50 | 2.2 | 12.1 | 43.1 | 7.4 | 0.36 | 1,989,811 | 92.3 | — | 1.3 | 18 | — | |||||||||
0.50 to <0.75 | 2.2 | 5.0 | 48.8 | 4.6 | 0.61 | 987,590 | 92.1 | — | 1.2 | 26 | — | |||||||||
0.75 to <2.50 | 5.9 | 9.0 | 46.5 | 10.1 | 1.42 | 2,052,818 | 90.0 | — | 4.8 | 48 | 0.1 | |||||||||
2.50 to <10.00 | 3.2 | 1.8 | 62.0 | 4.3 | 4.74 | 890,646 | 89.0 | — | 4.8 | 112 | 0.2 | |||||||||
10.00 to <100.00 | 0.9 | 0.3 | 66.5 | 1.1 | 28.46 | 294,570 | 89.4 | — | 2.4 | 216 | 0.3 | |||||||||
100.00 (Default) | 0.1 | — | 22.8 | 0.1 | 100.00 | 72,485 | 79.6 | — | 0.2 | 160 | 0.1 | |||||||||
Sub-total | 21.3 | 111.5 | 48.5 | 75.0 | 1.17 | 22,294,746 | 91.3 | — | 17.3 | 23 | 0.7 | 0.7 | ||||||||
AIRB – Other SME | ||||||||||||||||||||
0.00 to <0.15 | 0.1 | 0.3 | 35.0 | 0.2 | 0.09 | 98,383 | 75.0 | — | — | 14 | — | |||||||||
0.15 to <0.25 | — | 0.2 | 38.3 | 0.1 | 0.22 | 72,510 | 80.8 | — | — | 29 | — | |||||||||
0.25 to <0.50 | 0.1 | 0.4 | 48.7 | 0.3 | 0.38 | 124,508 | 74.4 | — | 0.1 | 39 | — | |||||||||
0.50 to <0.75 | 0.2 | 0.5 | 63.4 | 0.5 | 0.63 | 155,864 | 68.4 | — | 0.2 | 46 | — | |||||||||
0.75 to <2.50 | 1.1 | 1.2 | 58.7 | 1.8 | 1.60 | 358,362 | 66.9 | — | 1.3 | 67 | — | |||||||||
2.50 to <10.00 | 1.8 | 1.0 | 69.1 | 2.6 | 4.87 | 181,027 | 59.5 | — | 2.1 | 80 | 0.1 | |||||||||
10.00 to <100.00 | 0.4 | 0.2 | 48.6 | 0.5 | 19.39 | 79,791 | 73.9 | — | 0.6 | 133 | 0.1 | |||||||||
100.00 (Default) | 0.3 | — | 96.8 | 0.3 | 100.00 | 15,015 | 38.7 | — | 0.5 | 160 | 0.2 | |||||||||
Sub-total | 4.0 | 3.8 | 57.8 | 6.3 | 9.05 | 1,085,460 | 64.1 | — | 4.8 | 76 | 0.4 | 0.3 | ||||||||
AIRB – Other non-SME | ||||||||||||||||||||
0.00 to <0.15 | 8.1 | 6.3 | 30.7 | 10.6 | 0.08 | 574,137 | 18.7 | — | 0.6 | 5 | — | |||||||||
0.15 to <0.25 | 6.5 | 3.5 | 36.4 | 8.1 | 0.21 | 491,674 | 27.8 | — | 1.1 | 13 | — | |||||||||
0.25 to <0.50 | 6.6 | 2.6 | 28.4 | 7.5 | 0.37 | 386,099 | 30.4 | — | 1.5 | 20 | — | |||||||||
0.50 to <0.75 | 4.9 | 1.4 | 24.9 | 5.3 | 0.60 | 196,811 | 28.2 | — | 1.2 | 24 | — | |||||||||
0.75 to <2.50 | 7.9 | 0.9 | 17.1 | 8.2 | 1.35 | 421,600 | 35.4 | — | 3.5 | 43 | — | |||||||||
2.50 to <10.00 | 3.8 | 1.1 | 23.0 | 4.1 | 4.39 | 246,174 | 32.8 | — | 2.1 | 51 | 0.1 | |||||||||
10.00 to <100.00 | 0.6 | 0.1 | 15.7 | 0.7 | 25.06 | 92,869 | 45.5 | — | 0.6 | 92 | 0.1 | |||||||||
100.00 (Default) | 0.3 | 0.1 | 7.7 | 0.3 | 100.00 | 40,274 | 43.9 | — | 0.3 | 103 | 0.2 | |||||||||
Sub-total | 38.7 | 16.0 | 29.6 | 44.8 | 1.91 | 2,449,638 | 28.3 | — | 10.9 | 24 | 0.4 | 0.4 | ||||||||
Retail AIRB – Total at 31 Dec 2018 | 335.9 | 149.2 | 50.5 | 416.3 | 1.50 | 27,398,472 | 31.5 | — | 72.0 | 17 | 2.4 | 1.8 |
Table 76: IRB – Credit risk exposures by portfolio and PD range (CR6) (continued) | ||||||||||||||||||||||||
Original on-balance 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 | 4.60 | — | 25 | — | |||||||||||||
0.15 to <0.25 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.25 to <0.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.50 to <0.75 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.75 to <2.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
2.50 to <10.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | — | — | — | 0.1 | 0.03 | 1 | 45.0 | 4.60 | — | 25 | — | — | ||||||||||||
FIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 0.5 | — | 23.5 | 0.6 | 0.10 | 2 | 45.0 | 2.70 | 0.2 | 33 | — | |||||||||||||
0.15 to <0.25 | — | — | 63.3 | 0.1 | 0.22 | 1 | 45.0 | 3.60 | — | 60 | — | |||||||||||||
0.25 to <0.50 | — | — | 1.1 | — | 0.37 | 1 | 45.0 | 0.10 | — | 36 | — | |||||||||||||
0.50 to <0.75 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
0.75 to <2.50 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
2.50 to <10.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||
Sub-total | 0.5 | — | 40.6 | 0.7 | 0.12 | 4 | 45.0 | 2.80 | 0.2 | 35 | — | — | ||||||||||||
FIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 9.9 | 13.5 | 46.4 | 16.3 | 0.08 | 1,186 | 44.5 | 2.20 | 4.0 | 24 | — | |||||||||||||
0.15 to <0.25 | 3.5 | 5.9 | 33.5 | 5.4 | 0.22 | 1,269 | 44.4 | 2.30 | 2.5 | 47 | — | |||||||||||||
0.25 to <0.50 | 4.0 | 4.8 | 33.1 | 5.4 | 0.37 | 1,594 | 44.1 | 1.70 | 3.0 | 55 | — | |||||||||||||
0.50 to <0.75 | 4.8 | 5.6 | 29.9 | 6.0 | 0.63 | 1,573 | 45.5 | 1.80 | 4.4 | 74 | — | |||||||||||||
0.75 to <2.50 | 9.5 | 10.1 | 22.5 | 11.5 | 1.37 | 4,387 | 43.9 | 1.70 | 10.8 | 93 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.0 | 2.1 | 22.8 | 3.2 | 4.59 | 1,050 | 43.4 | 1.80 | 4.4 | 140 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.5 | 0.2 | 37.3 | 0.6 | 17.09 | 166 | 44.3 | 1.70 | 1.2 | 207 | — | |||||||||||||
100.00 (Default) | 0.8 | 0.2 | 23.3 | 0.9 | 100.00 | 348 | 44.4 | 1.90 | — | — | 0.4 | |||||||||||||
Sub-total | 36.0 | 42.4 | 33.9 | 49.3 | 2.72 | 11,573 | 44.4 | 1.90 | 30.3 | 61 | 0.6 | 0.5 | ||||||||||||
FIRB – Total at 31 Dec 2018 | 36.5 | 42.4 | 33.9 | 50.1 | 2.67 | 11,578 | 44.4 | 1.90 | 30.5 | 61 | 0.6 | 0.5 |
1 | Slotting exposures are disclosed in Table 75: Specialised lending on slotting approach (CR10). |
2 | The Wholesale AIRB Total includes non-credit obligation assets amounting to $56.9bn of original exposure and EAD, and $10.8bn of RWAs. |
89 | HSBC Holdings plc Pillar 3 2019 |
Table 77: Counterparty credit risk – RWAs by exposure class, product and geographical region | |||||||||||||||
RWAs | Capital required | ||||||||||||||
Europe | Asia | MENA | North America | Latin America | Total | ||||||||||
Footnotes | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||
By exposure class | |||||||||||||||
IRB advanced approach | 20.3 | 7.3 | 0.5 | 6.0 | 0.3 | 34.4 | 2.7 | ||||||||
– central governments and central banks | 0.4 | 0.1 | 0.2 | 0.1 | 0.1 | 0.9 | 0.1 | ||||||||
– institutions | 7.9 | 2.2 | 0.1 | 1.0 | 0.2 | 11.4 | 0.9 | ||||||||
– corporates | 12.0 | 5.0 | 0.2 | 4.9 | — | 22.1 | 1.7 | ||||||||
IRB foundation approach | 2.0 | — | 0.2 | — | — | 2.2 | 0.2 | ||||||||
– corporates | 2.0 | — | 0.2 | — | — | 2.2 | 0.2 | ||||||||
Standardised approach | 0.3 | 0.6 | 0.4 | — | 1.1 | 2.4 | 0.2 | ||||||||
– central governments and central banks | — | — | — | — | — | — | — | ||||||||
– institutions | — | — | — | — | 0.1 | 0.1 | — | ||||||||
– corporates | 0.3 | 0.6 | 0.4 | — | 1.0 | 2.3 | 0.2 | ||||||||
CVA advanced | 1 | 1.6 | 0.7 | — | 0.8 | — | 3.1 | 0.2 | |||||||
CVA standardised | 1 | 0.2 | — | 0.2 | 0.2 | 0.3 | 0.9 | 0.1 | |||||||
CCP standardised | 0.7 | 0.1 | — | 0.3 | — | 1.1 | 0.1 | ||||||||
At 31 Dec 2019 | 25.1 | 8.7 | 1.3 | 7.3 | 1.7 | 44.1 | 3.5 | ||||||||
By product | |||||||||||||||
Derivatives (OTC and exchange traded derivatives) | 17.1 | 5.9 | 0.8 | 4.6 | 1.2 | 29.6 | 2.4 | ||||||||
SFTs | 5.0 | 1.0 | 0.3 | 1.5 | 0.2 | 8.0 | 0.6 | ||||||||
Other | 2 | 0.8 | 1.0 | — | 0.1 | — | 1.9 | 0.2 | |||||||
CVA advanced | 1 | 1.6 | 0.7 | — | 0.8 | — | 3.1 | 0.2 | |||||||
CVA standardised | 1 | 0.2 | — | 0.2 | 0.2 | 0.3 | 0.9 | 0.1 | |||||||
CCP default funds | 3 | 0.4 | 0.1 | — | 0.1 | — | 0.6 | — | |||||||
At 31 Dec 2019 | 25.1 | 8.7 | 1.3 | 7.3 | 1.7 | 44.1 | 3.5 | ||||||||
By exposure class | |||||||||||||||
IRB advanced approach | 21.7 | 7.2 | 0.4 | 6.7 | 0.4 | 36.4 | 3.0 | ||||||||
– central governments and central banks | 0.5 | 0.1 | 0.3 | 0.8 | 0.2 | 1.9 | 0.2 | ||||||||
– institutions | 8.3 | 2.8 | — | 0.9 | 0.2 | 12.2 | 1.0 | ||||||||
– corporates | 12.9 | 4.3 | 0.1 | 5.0 | — | 22.3 | 1.8 | ||||||||
IRB foundation approach | 1.7 | — | 0.2 | — | — | 1.9 | 0.1 | ||||||||
– corporates | 1.7 | — | 0.2 | — | — | 1.9 | 0.1 | ||||||||
Standardised approach | 0.4 | 0.5 | 0.3 | — | 0.8 | 2.0 | 0.1 | ||||||||
– central governments and central banks | — | — | — | — | — | — | — | ||||||||
– institutions | — | — | — | — | 0.1 | 0.1 | — | ||||||||
– corporates | 0.4 | 0.5 | 0.3 | — | 0.7 | 1.9 | 0.1 | ||||||||
CVA advanced | 1 | 2.8 | 1.1 | — | 1.0 | — | 4.9 | 0.4 | |||||||
CVA standardised | 1 | 0.1 | 0.3 | 0.1 | 0.3 | 0.2 | 1.0 | 0.1 | |||||||
CCP standardised | 0.6 | 0.2 | — | 0.3 | — | 1.1 | 0.1 | ||||||||
At 31 Dec 2018 | 27.3 | 9.3 | 1.0 | 8.3 | 1.4 | 47.3 | 3.8 | ||||||||
By product | |||||||||||||||
Derivatives (OTC and exchange traded derivatives) | 16.5 | 5.9 | 0.6 | 4.5 | 1.0 | 28.5 | 2.3 | ||||||||
SFTs | 6.8 | 0.6 | 0.3 | 2.4 | 0.2 | 10.3 | 0.8 | ||||||||
Other | 2 | 0.9 | 1.3 | — | — | — | 2.2 | 0.2 | |||||||
CVA advanced | 1 | 2.8 | 1.1 | — | 1.0 | — | 4.9 | 0.4 | |||||||
CVA standardised | 1 | 0.1 | 0.3 | 0.1 | 0.3 | 0.2 | 1.0 | 0.1 | |||||||
CCP default funds | 3 | 0.2 | 0.1 | — | 0.1 | — | 0.4 | — | |||||||
At 31 Dec 2018 | 27.3 | 9.3 | 1.0 | 8.3 | 1.4 | 47.3 | 3.8 |
1 | The RWA impact due to the CVA capital charge is calculated based on the exposures under the IRB and standardised approaches. No additional exposures are taken into account. |
2 | Includes free deliveries not deducted from regulatory capital. |
3 | Default fund contributions are cash balances posted to CCPs by all members. These cash balances are not included in the total reported exposure. |
Table 78: IRB – CCR exposures by portfolio and PD scale (CCR4) | |||||||||||
EAD 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 | 10.5 | 0.02 | 97 | 44.6 | 0.93 | 0.6 | 6 | ||||
0.15 to <0.25 | 0.2 | 0.22 | 12 | 45.0 | 1.22 | 0.1 | 35 | ||||
0.25 to <0.50 | — | 0.37 | 7 | 45.0 | 2.01 | — | 59 | ||||
0.50 to <0.75 | — | 0.63 | 1 | 45.0 | 2.35 | — | 80 | ||||
0.75 to <2.50 | 0.3 | 1.64 | 6 | 45.0 | 1.77 | 0.3 | 104 | ||||
2.50 to <10.00 | — | 6.65 | 2 | 33.8 | 7.00 | — | 195 | ||||
10.00 to <100.00 | — | — | — | — | — | — | — | ||||
100.00 (Default) | — | — | — | — | — | — | — | ||||
Sub-total | 11.0 | 0.07 | 125 | 44.7 | 0.96 | 1.0 | 9 | ||||
AIRB – Institutions | |||||||||||
0.00 to <0.15 | 41.0 | 0.07 | 4,551 | 44.4 | 1.20 | 8.5 | 21 | ||||
0.15 to <0.25 | 3.0 | 0.22 | 409 | 44.9 | 1.60 | 1.4 | 48 | ||||
0.25 to <0.50 | 0.7 | 0.37 | 85 | 46.2 | 1.50 | 0.4 | 65 | ||||
0.50 to <0.75 | 0.3 | 0.63 | 62 | 42.8 | 1.10 | 0.3 | 79 | ||||
0.75 to <2.50 | 0.4 | 1.21 | 130 | 45.1 | 2.10 | 0.4 | 107 | ||||
2.50 to <10.00 | 0.1 | 4.91 | 29 | 47.6 | 1.10 | 0.1 | 151 | ||||
10.00 to <100.00 | — | 12.23 | 8 | 46.1 | 2.90 | — | 229 | ||||
100.00 (Default) | — | 100.00 | 1 | 45.0 | 1.00 | — | 365 | ||||
Sub-total | 45.5 | 0.12 | 5,275 | 44.6 | 1.20 | 11.1 | 24 | ||||
AIRB – Corporates | |||||||||||
0.00 to <0.15 | 30.5 | 0.07 | 5,498 | 44.1 | 1.80 | 6.8 | 22 | ||||
0.15 to <0.25 | 9.7 | 0.22 | 1,962 | 45.7 | 1.59 | 4.1 | 42 | ||||
0.25 to <0.50 | 3.9 | 0.37 | 1,039 | 46.0 | 1.46 | 2.2 | 57 | ||||
0.50 to <0.75 | 3.1 | 0.63 | 941 | 43.0 | 1.88 | 2.5 | 80 | ||||
0.75 to <2.50 | 5.2 | 1.34 | 3,493 | 46.3 | 1.41 | 5.3 | 102 | ||||
2.50 to <10.00 | 0.8 | 3.95 | 549 | 48.7 | 1.73 | 1.2 | 152 | ||||
10.00 to <100.00 | — | 18.17 | 63 | 48.0 | 1.62 | — | 230 | ||||
100.00 (Default) | — | 100.00 | 13 | 39.6 | 1.96 | — | — | ||||
Sub-total | 53.2 | 0.37 | 13,558 | 44.7 | 1.70 | 22.1 | 42 | ||||
AIRB - Retail Other | |||||||||||
0.00 to <0.15 | — | 0.04 | 212 | 0.9 | — | — | — | ||||
0.15 to <0.25 | — | 0.23 | 10 | 1.8 | — | — | 1 | ||||
0.25 to <0.50 | — | 0.38 | 52 | 2.2 | — | — | 2 | ||||
0.50 to <0.75 | — | 0.62 | 22 | 1.8 | — | — | 2 | ||||
0.75 to <2.50 | — | 1.24 | 22 | 1.5 | — | — | 3 | ||||
2.50 to <10.00 | — | 2.82 | 2 | 3.0 | — | — | 4 | ||||
10.00 to <100.00 | — | 96.57 | 1 | 83.6 | — | — | 29 | ||||
100.00 (Default) | — | — | — | — | — | — | — | ||||
Sub-total | — | 0.64 | 321 | 1.6 | — | — | 1 | ||||
AIRB – Total at 31 Dec 2019 | 109.7 | 0.19 | 19,279 | 49.0 | 1.30 | 34.2 | 31 | ||||
FIRB – Corporates | |||||||||||
0.00 to <0.15 | 3.7 | 0.07 | 1,188 | 45.0 | 1.98 | 0.8 | 22 | ||||
0.15 to <0.25 | 0.6 | 0.22 | 156 | 45.0 | 1.59 | 0.2 | 41 | ||||
0.25 to <0.50 | 0.5 | 0.37 | 166 | 45.0 | 1.29 | 0.3 | 55 | ||||
0.50 to <0.75 | 0.2 | 0.63 | 119 | 45.0 | 1.21 | 0.1 | 72 | ||||
0.75 to <2.50 | 0.6 | 1.41 | 516 | 45.0 | 1.80 | 0.6 | 101 | ||||
2.50 to <10.00 | 0.1 | 4.86 | 129 | 45.0 | 2.59 | 0.2 | 162 | ||||
10.00 to <100.00 | — | 10.08 | 14 | 45.0 | 1.03 | — | 200 | ||||
100.00 (Default) | — | 100.00 | 5 | 45.0 | 1.08 | — | — | ||||
FIRB – Total at 31 Dec 2019 | 5.7 | 0.44 | 2,293 | 45.0 | 1.85 | 2.2 | 39 | ||||
Total (all portfolios) at 31 Dec 2019 | 115.4 | 0.25 | 21,572 | 44.7 | 1.58 | 36.4 | 32 |
91 | HSBC Holdings plc Pillar 3 2019 |
Table 78: IRB – CCR exposures by portfolio and PD scale (CCR4) (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 | 10.1 | 0.02 | 90 | 44.9 | 0.95 | 0.5 | 5 | ||||
0.15 to <0.25 | 0.1 | 0.22 | 12 | 45.0 | 3.07 | 0.1 | 54 | ||||
0.25 to <0.50 | 0.1 | 0.37 | 6 | 44.8 | 3.36 | 0.1 | 74 | ||||
0.50 to <0.75 | 0.1 | 0.63 | 1 | 45.0 | 1.00 | — | 60 | ||||
0.75 to <2.50 | 1.2 | 2.25 | 7 | 45.0 | 1.29 | 1.2 | 100 | ||||
2.50 to <10.00 | — | 7.85 | 1 | 45.0 | 5.00 | — | 218 | ||||
10.00 to <100.00 | — | — | — | — | — | — | — | ||||
100.00 (Default) | — | — | — | — | — | — | — | ||||
Sub-total | 11.6 | 0.22 | 117 | 45.0 | 1.02 | 1.9 | 17 | ||||
AIRB – Institutions | |||||||||||
0.00 to <0.15 | 40.5 | 0.06 | 4,629 | 44.3 | 1.17 | 7.9 | 19 | ||||
0.15 to <0.25 | 3.5 | 0.22 | 477 | 43.9 | 1.40 | 1.6 | 46 | ||||
0.25 to <0.50 | 1.7 | 0.37 | 75 | 45.0 | 1.19 | 0.9 | 50 | ||||
0.50 to <0.75 | 0.7 | 0.63 | 64 | 44.9 | 1.06 | 0.4 | 67 | ||||
0.75 to <2.50 | 0.4 | 1.37 | 106 | 46.2 | 2.08 | 0.5 | 117 | ||||
2.50 to <10.00 | 0.1 | 4.94 | 20 | 44.9 | 1.60 | 0.1 | 149 | ||||
10.00 to <100.00 | 0.4 | 12.98 | 12 | 55.0 | 1.20 | 0.8 | 241 | ||||
100.00 (Default) | — | 100.00 | 1 | 45.0 | 1.00 | — | — | ||||
Sub-total | 47.3 | 0.21 | 5,384 | 44.7 | 1.18 | 12.2 | 26 | ||||
AIRB – Corporates | |||||||||||
0.00 to <0.15 | 30.2 | 0.07 | 4,934 | 43.5 | 1.71 | 6.4 | 21 | ||||
0.15 to <0.25 | 6.7 | 0.22 | 1,796 | 46.9 | 1.75 | 3.2 | 48 | ||||
0.25 to <0.50 | 3.8 | 0.37 | 1,029 | 44.6 | 1.69 | 2.1 | 56 | ||||
0.50 to <0.75 | 3.8 | 0.63 | 1,018 | 43.8 | 1.23 | 2.8 | 73 | ||||
0.75 to <2.50 | 6.3 | 1.34 | 7,375 | 46.1 | 1.38 | 6.6 | 104 | ||||
2.50 to <10.00 | 0.7 | 3.92 | 569 | 46.9 | 1.62 | 1.1 | 150 | ||||
10.00 to <100.00 | 0.1 | 21.77 | 61 | 43.6 | 1.34 | 0.1 | 237 | ||||
100.00 (Default) | — | 100.00 | 17 | 41.1 | 2.60 | — | — | ||||
Sub-total | 51.6 | 0.42 | 16,799 | 44.4 | 1.64 | 22.3 | 43 | ||||
AIRB – Total at 31 Dec 2018 | 110.5 | 0.28 | 22,300 | 49.2 | 1.38 | 36.4 | 33 | ||||
FIRB – Corporates | |||||||||||
0.00 to <0.15 | 2.5 | 0.07 | 522 | 37.9 | 1.73 | 0.6 | 24 | ||||
0.15 to <0.25 | 0.4 | 0.22 | 146 | 45.0 | 1.78 | 0.2 | 42 | ||||
0.25 to <0.50 | 0.2 | 0.37 | 130 | 45.0 | 1.66 | 0.1 | 59 | ||||
0.50 to <0.75 | 0.2 | 0.63 | 84 | 45.0 | 0.82 | 0.1 | 74 | ||||
0.75 to <2.50 | 0.7 | 1.59 | 533 | 45.0 | 1.56 | 0.8 | 105 | ||||
2.50 to <10.00 | 0.1 | 5.00 | 82 | 45.0 | 2.20 | 0.1 | 155 | ||||
10.00 to <100.00 | — | 11.95 | 11 | 45.0 | 1.03 | — | 192 | ||||
100.00 (Default) | — | 100.00 | 7 | 45.0 | 1.02 | — | — | ||||
FIRB – Total at 31 Dec 2018 | 4.1 | 0.54 | 1,515 | 45.0 | 1.82 | 1.9 | 45 | ||||
Total (all portfolios) at 31 Dec 2018 | 114.6 | 0.32 | 23,815 | 44.6 | 1.40 | 38.3 | 33 |
Appendix II |
Countercyclical capital buffer |
Table 79: Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer | ||||||||||||||||||||||||||
General credit exposures | Trading book exposures | Securitisation exposures | Own funds requirements | Share of total own funds require-ments | CCyB rate | |||||||||||||||||||||
SA | IRB | Sum of long/short positions for SA | Internal models | SA | IRB | of which: General credit exposures | of which: Trading book exposures | of which: Securitis-ation exposures | Total | |||||||||||||||||
Country | $m | $m | $m | $m | $m | $m | $m | $m | $m | $m | % | % | ||||||||||||||
Argentina | 2,076 | 891 | — | 1 | — | — | 234 | 1 | — | 235 | 0.5 | |||||||||||||||
Australia | 1,279 | 34,400 | — | 133 | 593 | 2,007 | 834 | 12 | 20 | 866 | 1.7 | |||||||||||||||
Bulgaria | 1 | 16 | — | 2 | — | — | 1 | — | — | 1 | — | 0.50 | % | |||||||||||||
Canada | 780 | 63,475 | — | 65 | 185 | — | 1,930 | 4 | 2 | 1,936 | 3.7 | |||||||||||||||
China | 23,925 | 62,450 | — | 2,083 | 385 | 34 | 5,570 | 55 | 7 | 5,632 | 10.8 | |||||||||||||||
Czech Republic | 376 | 177 | — | — | — | — | 34 | 1 | — | 35 | 0.1 | 1.50 | % | |||||||||||||
Denmark | 2 | 2,440 | — | 62 | — | — | 46 | 6 | — | 52 | 0.1 | 1.00 | % | |||||||||||||
Egypt | 2,369 | 1,155 | — | — | — | — | 201 | — | — | 201 | 0.4 | |||||||||||||||
France | 6,446 | 56,575 | — | 324 | 480 | 1,083 | 1,857 | 19 | 17 | 1,893 | 3.6 | 0.25 | % | |||||||||||||
Germany | 1,072 | 18,958 | — | 601 | 250 | 287 | 892 | 12 | 8 | 912 | 1.8 | |||||||||||||||
Hong Kong | 22,237 | 358,306 | — | 375 | — | — | 9,983 | 24 | — | 10,007 | 19.2 | 2.00 | % | |||||||||||||
India | 3,656 | 14,961 | — | 1,295 | 1,251 | — | 939 | 45 | 80 | 1,064 | 2.0 | |||||||||||||||
Iceland | — | 3 | — | 4 | — | — | — | 3 | — | 3 | — | 1.75 | % | |||||||||||||
Indonesia | 1,136 | 6,637 | — | 116 | — | — | 507 | 14 | — | 521 | 1.0 | |||||||||||||||
Ireland | 711 | 7,843 | 8 | 190 | 466 | 108 | 309 | 9 | 13 | 331 | 0.6 | 1.00 | % | |||||||||||||
Lithuania | 2 | 2 | — | — | — | — | — | — | — | — | — | 1.00 | % | |||||||||||||
Luxembourg | 1,389 | 6,110 | — | 121 | 200 | — | 373 | 6 | 6 | 385 | 0.7 | |||||||||||||||
Malaysia | 3,449 | 13,244 | 1 | 6 | — | — | 714 | 8 | — | 722 | 1.4 | |||||||||||||||
Malta | 3,591 | 433 | — | — | — | — | 166 | — | — | 166 | 0.3 | |||||||||||||||
Mexico | 21,964 | 3,041 | 45 | 132 | 777 | — | 1,536 | 9 | 17 | 1,562 | 3.0 | |||||||||||||||
Netherlands | 2,223 | 9,579 | — | 444 | 948 | 617 | 578 | 11 | 25 | 614 | 1.2 | |||||||||||||||
Norway | 4 | 1,895 | — | 1 | — | — | 79 | 27 | — | 106 | 0.2 | 2.50 | % | |||||||||||||
Saudi Arabia | 18,001 | 3,934 | — | 45 | — | — | 1,329 | 12 | — | 1,341 | 2.6 | |||||||||||||||
Singapore | 2,502 | 31,078 | — | 168 | — | — | 935 | 14 | — | 949 | 1.8 | |||||||||||||||
Slovakia | 70 | 36 | — | 1 | — | — | 7 | — | — | 7 | — | 1.50 | % | |||||||||||||
Sweden | 5 | 1,614 | — | 114 | — | — | 62 | 4 | — | 66 | 0.1 | 2.50 | % | |||||||||||||
Taiwan, Province Of China | 1,498 | 12,834 | — | 168 | — | — | 367 | 3 | — | 370 | 0.7 | |||||||||||||||
Turkey | 4,303 | 1,004 | — | 24 | — | — | 329 | 2 | — | 331 | 0.6 | |||||||||||||||
United Arab Emirates | 4,858 | 17,883 | — | 60 | — | — | 879 | 14 | — | 893 | 1.7 | |||||||||||||||
United Kingdom | 11,151 | 361,417 | — | 2,916 | 5,087 | 13,934 | 9,805 | 96 | 321 | 10,222 | 19.6 | 1.00 | % | |||||||||||||
United States | 9,663 | 129,560 | — | 349 | 4,601 | 1,649 | 5,488 | 76 | 110 | 5,674 | 10.9 | |||||||||||||||
Other countries | 23,779 | 87,237 | 18 | 1,922 | 1,109 | 491 | 4,766 | 202 | 40 | 5,008 | 9.7 | |||||||||||||||
Total | 174,518 | 1,309,188 | 72 | 11,722 | 16,332 | 20,210 | 50,750 | 689 | 666 | 52,105 | 100.00 |
Table 80: Countercyclical capital buffer | ||
2019 | ||
Total Risk Exposure Amount ($m) | 843,395 | |
Institution specific countercyclical capital buffer rate | 0.61 | % |
Institution specific countercyclical capital buffer requirement ($m) | 5,145 |
93 | HSBC Holdings plc Pillar 3 2019 |
Appendix III |
Asset encumbrance |
Table 81: A – Assets¹ | |||||||||||||||||
Carrying amount of encumbered assets | Fair value of encumbered assets | Carrying amount of unencumbered assets | Fair value of unencumbered assets | ||||||||||||||
Total | of which: notionally eligible EHQLA and HQLA | Total | of which: notionally eligible EHQLA and HQLA | Total | of which: EHQLA and HQLA | Total | of which: EHQLA and HQLA | ||||||||||
$m | $m | $m | $m | $m | $m | $m | $m | ||||||||||
010 | Assets of the reporting institution | 184,780 | 89,788 | 2,431,667 | 508,154 | ||||||||||||
030 | Equity instruments | 21,394 | 6,225 | — | — | 53,307 | 9,555 | — | — | ||||||||
040 | Debt securities | 92,917 | 83,563 | 92,781 | 83,441 | 434,933 | 335,877 | 429,779 | 331,896 | ||||||||
– of which: | |||||||||||||||||
050 | – covered bonds | 407 | 404 | 407 | 404 | 8,651 | 8,617 | 8,651 | 8,617 | ||||||||
060 | – asset-backed securities | 340 | — | 340 | — | 4,917 | — | 4,941 | |||||||||
070 | – issued by general governments | 72,234 | 71,317 | 72,234 | 71,317 | 257,347 | 231,365 | 257,090 | 231,134 | ||||||||
080 | – issued by financial corporations | 7,948 | 1,178 | 7,948 | 1,178 | 94,890 | 15,080 | 94,845 | 15,080 | ||||||||
090 | – issued by non-financial corporations | 1,880 | 214 | 1,880 | 214 | 14,481 | 4,761 | 14,168 | 4,658 | ||||||||
120 | Other assets | 70,469 | — | 1,943,427 | 162,722 |
Table 81: B – Collateral received¹ | |||||||||
Fair value of encumbered collateral received or own debt securities issued | Unencumbered | ||||||||
Fair value of collateral received or own debt securities issued available for encumbrance | |||||||||
Total | of which: notionally eligible EHQLA and HQLA | Total | Of which: EHQLA and HQLA | ||||||
$m | $m | $m | $m | ||||||
130 | Collateral received by the reporting institution | 269,782 | 216,763 | 244,994 | 147,920 | ||||
140 | Loans on demand | — | — | 24 | — | ||||
150 | Equity instruments | 23,675 | 8,811 | 16,624 | 6,284 | ||||
160 | Debt securities | 245,440 | 207,952 | 206,899 | 141,636 | ||||
– of which: | |||||||||
170 | – covered bonds | 6 | — | 25 | — | ||||
180 | – asset-backed securities | 17,973 | 389 | 1,765 | |||||
190 | – issued by general governments | 207,476 | 196,387 | 162,884 | 129,241 | ||||
200 | – issued by financial corporations | 12,196 | 6,012 | 23,290 | 5,800 | ||||
210 | – issued by non-financial corporations | 7,295 | 5,164 | 16,948 | 6,595 | ||||
220 | Loans and advances other than loans on demand | — | — | 14,222 | — | ||||
230 | Other collateral received | 667 | — | 7,225 | — | ||||
240 | Own debt securities issued other than own covered bonds or ABSs | — | — | — | — | ||||
241 | Own covered bonds and ABSs issued and not yet pledged | 8,913 | — | ||||||
250 | Total assets, collateral received and own debt securities issued | 454,562 | 306,551 |
Table 81: C – Encumbered assets/collateral received and associated liabilities¹ | |||
Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | ||
$m | $m | ||
010 | Carrying amount of selected financial liabilities | 256,771 | 375,413 |
Appendix IV |
Summary of disclosures withheld |
CRD IV reference | Description | Rationale |
448(a) | Key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits) on their exposure to interest rate risk on positions not included in the trading book. | Assumptions regarding fixed term loan repayments and term behaviouralisation of non-maturity deposits and capital drive HSBC’s structural interest rates positioning and market hedging requirements. These assumptions are proprietary and their disclosure could give key business strategy information to our competitors. |
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Other Information |
Abbreviations |
Currencies | |
$ | United States dollar |
A | |
ABCP | Asset-backed commercial paper |
ABS1 | Asset-backed security |
AIRB1 | Advanced internal ratings based approach |
ALCM | Asset, Liability and Capital Management |
ALCO | Asset and Liability Management Committee |
AT1 capital | Additional tier 1 capital |
AVA | Additional value adjustment |
B | |
BCBS | Basel Committee on Banking Supervision |
BoE | Bank of England |
BSM | Balance Sheet Management |
C | |
CCF | Credit conversion factor |
CCP1 | Central counterparty |
CCR1 | Counterparty credit risk |
CCyB1 | Countercyclical capital buffer |
CDS1 | Credit default swap |
CET11 | Common equity tier 1 |
CIU | Collective investment undertakings |
CRA | Credit risk adjustment |
CRD IV1 | Capital Requirements Regulation and Directive |
CRE1 | Commercial real estate |
CRM1 | Credit risk mitigation/mitigant |
CRR1 | Customer risk rating |
CRR II | Revised Capital Requirements Regulation, as implemented |
CRO | Chief Risk Officer |
CSA1 | Credit Support Annex |
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 |
EHQLA | Extremely high-quality liquid assets |
EU | European Union |
F | |
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 |
FVOCI1 | Fair value through other comprehensive income |
G | |
GAC | Group Audit Committee |
GB&M | Global Banking and Markets, a global business |
GMB | Group Management Board |
GPB | Global Private Banking, a global business |
GRC | Group Risk Committee |
Group | HSBC Holdings together with its subsidiary undertakings |
G-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 |
ICG | Individual capital guidance |
ICR | Individual capital requirement |
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 |
LFRF | Liquidity and Funding Risk Framework |
LGD1 | Loss given default |
Libor | London interbank offered rate |
M | |
MDB | Multilateral Development Bank |
MENA | Middle East and North Africa |
MOC | Model Oversight Committee |
Moody’s | Moody’s Investor Service |
MPE | Multiple point of entry |
MREL | Minimum requirements for own funds and eligible liabilities |
MRM | Model Risk Management |
N | |
NCOA | Non-credit obligation asset |
NPL | Non-performing loans |
NSFR1 | Net Stable Funding Ratio |
O | |
ORMF | Operational risk management framework |
OTC1 | Over-the-counter |
P | |
PD1 | Probability of default |
PFE | Potential future exposure |
PIT | Point-in-time |
POCI | Purchased or originated credit impaired loans |
PPE | Property, plant and equipment |
PRA1 | Prudential Regulation Authority (UK) |
PVA | Prudent valuation adjustment |
Q | |
QCCP | Qualifying Central Counterparty |
R | |
RAF | Resolvability Assessment Framework |
RAS | Risk appetite statement |
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 |
SIC | Securities Investment Conduit |
SME | Small- and medium-sized enterprise |
SPE1 | Special Purpose Entity |
SRB1 | Systemic Risk Buffer |
SREP | Supervisory Review and Evaluation Process |
SSFA/SFA | Simplified supervisory formula approach |
SVaR | Stressed Value at risk |
T | |
TLAC1 | Total loss absorbing capital |
TTC | Through-the-cycle |
T1 capital1 | Tier 1 capital |
T2 capital1 | Tier 2 capital |
U | |
UK | United Kingdom |
US | United States |
V | |
VaR1 | Value at risk |
1 | Full definition included in the Glossary published on HSBC website www.hsbc.com |
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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, including the accounting impact resulting from financial reporting in respect of hyperinflationary economies; volatility in equity markets; lack of liquidity in wholesale funding markets; illiquidity and downward price pressure in national real estate markets; adverse changes in central banks’ policies with respect to the provision of liquidity support to financial markets; heightened market concerns over sovereign creditworthiness in over-indebted countries; adverse |
• | Changes in government policy and regulation, including the monetary, interest rate and other policies of central banks and other regulatory authorities; initiatives to change the size, scope of activities and interconnectedness of financial institutions in connection with the implementation of stricter regulation of financial institutions in key markets worldwide; revised capital and liquidity benchmarks which could serve to deleverage bank balance sheets and lower returns available from the current business model and portfolio mix; imposition of levies or taxes designed to change business mix and risk appetite; the practices, pricing or responsibilities of financial institutions serving their consumer markets; expropriation, nationalisation, confiscation of assets and changes in legislation relating to foreign ownership; changes in bankruptcy legislation in the principal markets in which we operate and the consequences thereof; general changes in government policy that may significantly influence investor decisions; extraordinary government actions as a result of current market turmoil; other unfavourable political or diplomatic developments producing social instability or legal uncertainty which in turn may affect demand for our products and services; the costs, effects and outcomes of product regulatory reviews, actions or litigation, including any additional compliance requirements; and the effects of competition in the markets where we operate including increased competition from non-bank financial services companies, including securities firms; and |
• | Factors specific to HSBC, including our success in adequately identifying the risks we face, such as the incidence of loan losses or delinquency, and managing those risks (through account management, hedging and other techniques). Effective risk management depends on, among other things, our ability through stress testing and other techniques to prepare for events that cannot be captured by the statistical models it uses; and our success in addressing operational, legal and regulatory, and litigation challenges; and other risks and uncertainties we identify in ‘top and emerging risks’ on pages 95 to 116 of the Annual Report and Accounts 2019. |
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] |
HSBC Holdings plc Pillar 3 2019 | 98 |