Contents | |
Page | |
Highlights | |
Regulatory framework for disclosures | |
Pillar 3 disclosures | |
Key metrics | |
Regulatory developments | |
Structure of the regulatory group | |
Capital and RWAs | |
Own funds | |
Leverage ratio | |
Capital buffers | |
Pillar 1 minimum capital requirements and RWA flow | |
Credit risk | |
Credit quality of assets | |
Defaulted exposures | |
Risk mitigation | |
Counterparty credit risk | |
Securitisation | |
Market risk | |
Minimum requirement for own funds and eligible liabilities | |
Creditor ranking at legal entity level | |
Other information | |
Abbreviations | |
Cautionary statement regarding forward-looking statements | |
Contacts |
Tables | |||
Ref | Page | ||
1 | Key metrics (KM1/IFRS9-FL) | a | |
2 | Reconciliation of capital with and without IFRS 9 transitional arrangements | ||
3 | Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation | ||
4 | Own funds disclosure | b | |
5 | Leverage ratio common disclosure (LRCom) | a | |
6 | Summary reconciliation of accounting assets and leverage ratio exposures (LRSum) | b | |
7 | Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (LRSpl) | a | |
8 | Overview of RWAs (OV1) | b | |
9 | RWA flow statements of credit risk exposures under IRB (CR8) | ||
10 | RWA flow statements of CCR exposures under IMM (CCR7) | ||
11 | RWA flow statements of market risk exposures under IMA (MR2-B) | ||
12 | Credit risk summary by approach | a | |
13 | Credit quality of exposures by exposure class and instrument (CR1-A) | ||
14 | Credit quality of exposures by industry or counterparty types (CR1-B) | ||
15 | Credit quality of exposures by geography (CR1-C) | ||
16 | Ageing of past-due unimpaired and impaired exposures (CR1-D) | ||
17 | Non-performing and forborne exposures (CR1-E) | ||
18 | Changes in stock of general and specific credit risk adjustments (CR2-A) | ||
19 | Changes in stock of defaulted loans and debt securities (CR2-B) | ||
20 | Credit risk mitigation techniques – overview (CR3) | ||
21 | Standardised approach – credit conversion factor and credit risk mitigation (‘CRM’) effects (CR4) | b | |
22 | Standardised approach – exposures by asset classes and risk weights (CR5) | b | |
23 | IRB – Credit risk exposures by portfolio and PD range (CR6) | a | |
24 | IRB – Effect on RWA of credit derivatives used as CRM techniques (CR7) | ||
25 | Specialised lending on slotting approach (CR10) |
26 | Analysis of counterparty credit risk exposure by approach (excluding centrally cleared exposures) (CCR1) | ||
27 | Credit valuation adjustment capital charge (CCR2) | ||
28 | Standardised approach – CCR exposures by regulatory portfolio and risk weights (CCR3) | ||
29 | IRB – CCR exposures by portfolio and PD scale (CCR4) | ||
30 | Impact of netting and collateral held on exposure values (CCR5-A) | ||
31 | Composition of collateral for CCR exposure (CCR5-B) | ||
32 | Exposures to central counterparties (CCR8) | ||
33 | Credit derivatives exposures (CCR6) | ||
34 | Securitisation exposures in the non-trading book (SEC1) | ||
35 | Securitisation exposures in the trading book (SEC2) | ||
36i | Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as sponsor (under the pre-existing framework) (SEC3) | ||
36ii | Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as sponsor (under the new framework) (SEC3) | ||
37i | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the pre-existing framework) (SEC4) | ||
37ii | Securitisation exposures in the non-trading book and associated capital requirements – bank acting as investor (under the new framework) (SEC4) | ||
38 | Market risk under standardised approach (MR1) | ||
39 | Market risk under IMA (MR2-A) | ||
40 | IMA values for trading portfolios (MR3) | ||
41 | Comparison of VaR estimates with gains/losses (MR4) | ||
42 | Key metrics of the resolution groups (KM2) | a | |
43 | TLAC composition (TLAC1) | a | |
44 | HSBC Holdings plc creditor ranking (TLAC3) | ||
45 | HSBC UK Bank plc creditor ranking (TLAC2) | ||
46 | HSBC Bank plc creditor ranking (TLAC2) | ||
47 | HSBC Asia Holdings Ltd creditor ranking (TLAC3) | ||
48 | The Hongkong and Shanghai Banking Corporation Ltd creditor ranking (TLAC2) | ||
49 | Hang Seng Bank Ltd creditor ranking (TLAC2) | ||
50 | HSBC North America Holdings Inc. creditor ranking (TLAC3) |
a. | Some figures have been prepared on an IFRS 9 transitional basis. Footnotes in the tables provide detail. |
b. | All figures have been prepared on an IFRS 9 transitional basis. |
Certain defined terms |
1 | HSBC Holdings plc |
Highlights |
Common equity tier 1 ($bn) |
Risk-weighted assets ($bn) |
Common equity tier 1 ratio (%) |
Leverage ratio (%) |
Regulatory framework for disclosures |
Pillar 3 disclosures |
HSBC Holdings plc | 2 |
Key metrics |
Table 1: Key metrics (KM1/IFRS9-FL) | ||||||||||||
At | ||||||||||||
30 Jun | 31 Mar | 31 Dec | 30 Sep | 30 Jun | ||||||||
Ref* | Footnotes | 2019 | 2019 | 2018 | 2018 | 2018 | ||||||
Available capital ($bn) | 1 | |||||||||||
1 | Common equity tier 1 (‘CET1’) capital | ^ | 126.9 | 125.8 | 121.0 | 123.1 | 122.8 | |||||
2 | CET1 capital as if IFRS 9 transitional arrangements had not been applied | 126.0 | 124.9 | 120.0 | 122.1 | 121.8 | ||||||
3 | Tier 1 capital | ^ | 152.8 | 151.8 | 147.1 | 149.3 | 147.1 | |||||
4 | Tier 1 capital as if IFRS 9 transitional arrangements had not been applied | 151.9 | 150.9 | 146.1 | 148.3 | 146.1 | ||||||
5 | Total capital | ^ | 178.3 | 177.8 | 173.2 | 178.1 | 176.6 | |||||
6 | Total capital as if IFRS 9 transitional arrangements had not been applied | 177.4 | 176.9 | 172.2 | 177.1 | 175.6 | ||||||
Risk-weighted assets (‘RWAs’) ($bn) | ||||||||||||
7 | Total RWAs | 886.0 | 879.5 | 865.3 | 862.7 | 865.5 | ||||||
8 | Total RWAs as if IFRS 9 transitional arrangements had not been applied | 885.5 | 878.9 | 864.7 | 862.1 | 864.9 | ||||||
Capital ratios (%) | 1 | |||||||||||
9 | CET1 | ^ | 14.3 | 14.3 | 14.0 | 14.3 | 14.2 | |||||
10 | CET1 as if IFRS 9 transitional arrangements had not been applied | 14.2 | 14.2 | 13.9 | 14.2 | 14.1 | ||||||
11 | Tier 1 | ^ | 17.2 | 17.3 | 17.0 | 17.3 | 17.0 | |||||
12 | Tier 1 as if IFRS 9 transitional arrangements had not been applied | 17.2 | 17.2 | 16.9 | 17.2 | 16.9 | ||||||
13 | Total capital | ^ | 20.1 | 20.2 | 20.0 | 20.7 | 20.4 | |||||
14 | Total capital as if IFRS 9 transitional arrangements had not been applied | 20.0 | 20.1 | 19.9 | 20.6 | 20.3 | ||||||
Additional CET1 buffer requirements as a percentage of RWA (%) | ||||||||||||
Capital conservation buffer requirement | 2.50 | 2.50 | 1.88 | 1.88 | 1.88 | |||||||
Countercyclical buffer requirement | 0.68 | 0.67 | 0.56 | 0.45 | 0.46 | |||||||
Bank G-SIB and/or D-SIB additional requirements | 2.00 | 2.00 | 1.50 | 1.50 | 1.50 | |||||||
Total of bank CET1 specific buffer requirements | 5.18 | 5.17 | 3.94 | 3.83 | 3.84 | |||||||
Total capital requirement (%) | 2 | |||||||||||
Total capital requirement | 11.0 | 11.0 | 10.9 | 11.5 | 11.5 | |||||||
CET1 available after meeting the bank’s minimum capital requirements | 8.1 | 8.1 | 7.9 | 7.8 | 7.7 | |||||||
Leverage ratio | 3 | |||||||||||
15 | Total leverage ratio exposure measure ($bn) | 2,786.5 | 2,735.2 | 2,614.9 | 2,676.4 | 2,664.1 | ||||||
16 | Leverage ratio (%) | ^ | 5.4 | 5.4 | 5.5 | 5.4 | 5.4 | |||||
17 | Leverage ratio as if IFRS 9 transitional arrangements had not been applied (%) | 5.3 | 5.4 | 5.5 | 5.4 | 5.3 | ||||||
Liquidity coverage ratio (‘LCR’) | 4 | |||||||||||
Total high-quality liquid assets ($bn) | 532.8 | 535.4 | 567.2 | 533.2 | 540.2 | |||||||
Total net cash outflow ($bn) | 391.0 | 374.8 | 368.7 | 334.1 | 341.7 | |||||||
LCR ratio (%) | 136.3 | 142.9 | 153.8 | 159.6 | 158.1 |
* | The references in this and subsequent tables identify the lines prescribed in the relevant EBA template where applicable and where there is a value. |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Capital figures and ratios at 30 June 2019 are reported on a CRR II transitional basis. Prior period capital figures are reported on a CRD IV transitional basis. |
2 | Total 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. |
3 | Leverage ratio at 30 June 2019 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. For further details, refer to page 72 of the Interim Report 2019. |
• | 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. |
3 | HSBC Holdings plc |
Table 2: Reconciliation of capital with and without IFRS 9 transitional arrangements | ||||||
At 30 Jun 2019 | ||||||
CET1 | Tier 1 | Total own funds | ||||
$bn | $bn | $bn | ||||
Reported balance using IFRS 9 transitional arrangements | 126.9 | 152.8 | 178.3 | |||
ECL reversed under transitional arrangements for IFRS 9 | (1.0 | ) | (1.0 | ) | (1.0 | ) |
– STD approach | (1.0 | ) | (1.0 | ) | (1.0 | ) |
Tax impacts | 0.2 | 0.2 | 0.2 | |||
Changes in amounts deducted from CET1 for deferred tax assets and significant investments | (0.1 | ) | (0.1 | ) | (0.1 | ) |
– amounts deducted from CET1 for significant investments | (0.1 | ) | (0.1 | ) | (0.1 | ) |
Reported balance excluding IFRS 9 transitional arrangements | 126.0 | 151.9 | 177.4 |
Regulatory developments |
• | widespread changes to the risk weights under the standardised approach to credit risk; |
• | a change in the scope of application of the IRB approach to credit risk, together with changes to the IRB methodology; |
• | the replacement of the operational risk approaches with a single methodology; |
• | an amended set of rules for the credit valuation adjustment (‘CVA’) capital framework; |
• | an aggregate output capital floor that ensures that banks’ total RWAs are no lower than 72.5% of those generated by the standardised approaches; and |
• | changes to the exposure measure for the leverage ratio, together with the imposition of a leverage ratio buffer for global systemically important banks (‘G-SIB’). This will take the form of a tier 1 capital buffer set at 50% of the G-SIB’s RWA capital buffer. |
HSBC Holdings plc | 4 |
Structure of the regulatory group |
5 | HSBC Holdings plc |
Table 3: 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 | 171,090 | (13 | ) | 343 | 171,420 | ||||
Items in the course of collection from other banks | 8,673 | — | — | 8,673 | |||||
Hong Kong Government certificates of indebtedness | 36,492 | — | — | 36,492 | |||||
Trading assets | 271,424 | (1,098 | ) | — | 270,326 | ||||
Financial assets designated and otherwise mandatorily measured at fair value through profit or loss | 41,043 | (31,956 | ) | 540 | 9,627 | ||||
– of which: debt securities eligible as tier 2 issued by Group Financial Sector Entities (‘FSEs’) that are outside the regulatory scope of consolidation | r | — | 495 | — | 495 | ||||
Derivatives | 233,621 | (41 | ) | 49 | 233,629 | ||||
Loans and advances to banks | 82,397 | (1,259 | ) | 1,068 | 82,206 | ||||
Loans and advances to customers | 1,021,632 | (1,875 | ) | 12,692 | 1,032,449 | ||||
– of which: lending eligible as tier 2 to Group FSEs outside the regulatory scope of consolidation | r | — | 292 | — | 292 | ||||
expected credit losses on IRB portfolios | h | (6,426 | ) | — | — | (6,426 | ) | ||
Reverse repurchase agreements – non-trading | 233,079 | — | 581 | 233,660 | |||||
Financial investments | 428,101 | (64,865 | ) | 4,196 | 367,432 | ||||
– of which lending eligible as tier 2 to Group FSEs outside the regulatory scope of consolidation | r | — | 366 | — | 366 | ||||
Capital invested in insurance and other entities | — | 2,302 | — | 2,302 | |||||
Prepayments, accrued income and other assets | 168,880 | (5,217 | ) | 577 | 164,240 | ||||
– of which: retirement benefit assets | j | 8,021 | — | — | 8,021 | ||||
Current tax assets | 804 | (45 | ) | 22 | 781 | ||||
Interests in associates and joint ventures | 23,892 | (432 | ) | (5,064 | ) | 18,396 | |||
– of which: positive goodwill on acquisition | e | 493 | (13 | ) | — | 480 | |||
Goodwill and intangible assets | e | 25,733 | (8,225 | ) | 1,174 | 18,682 | |||
Deferred tax assets | f | 4,412 | 176 | 4 | 4,592 | ||||
Total assets at 30 Jun 2019 | 2,751,273 | (112,548 | ) | 16,182 | 2,654,907 | ||||
Liabilities and equity | |||||||||
Hong Kong currency notes in circulation | 36,492 | — | — | 36,492 | |||||
Deposits by banks | 71,051 | (3 | ) | 292 | 71,340 | ||||
Customer accounts | 1,380,124 | 2,688 | 14,722 | 1,397,534 | |||||
Repurchase agreements – non-trading | 184,497 | — | — | 184,497 | |||||
Items in the course of transmission to other banks | 9,178 | — | — | 9,178 | |||||
Trading liabilities | 94,149 | — | — | 94,149 | |||||
Financial liabilities designated at fair value | 165,104 | (4,565 | ) | 33 | 160,572 | ||||
– of which: | |||||||||
included in tier 1 | n | 400 | — | — | 400 | ||||
included in tier 2 | o, q, i | 11,243 | — | — | 11,243 | ||||
Derivatives | 229,903 | 68 | 56 | 230,027 | |||||
– of which: debit valuation adjustment | i | 97 | — | — | 97 | ||||
Debt securities in issue | 103,663 | (1,921 | ) | — | 101,742 | ||||
Accruals, deferred income and other liabilities | 152,052 | (2,512 | ) | 911 | 150,451 | ||||
Current tax liabilities | 1,653 | (56 | ) | 3 | 1,600 | ||||
Liabilities under insurance contracts | 93,794 | (93,794 | ) | — | — | ||||
Provisions | 3,025 | (7 | ) | 38 | 3,056 | ||||
– of which: credit-related contingent liabilities and contractual commitments on IRB portfolios | h | 357 | — | — | 357 | ||||
Deferred tax liabilities | 2,820 | (1,238 | ) | 9 | 1,591 | ||||
Subordinated liabilities | 22,894 | 2 | 118 | 23,014 | |||||
– of which: | |||||||||
included in tier 1 | l, n | 1,783 | — | — | 1,783 | ||||
included in tier 2 | o, q | 19,339 | — | — | 19,339 | ||||
Total liabilities at 30 Jun 2019 | 2,550,399 | (101,338 | ) | 16,182 | 2,465,243 | ||||
Equity | |||||||||
Called up share capital | a | 10,281 | — | — | 10,281 | ||||
Share premium account | a, l | 13,998 | — | — | 13,998 | ||||
Other equity instruments | k | 22,367 | — | — | 22,367 | ||||
Other reserves | c, g | 3,437 | 1,942 | — | 5,379 | ||||
Retained earnings | b, c | 142,593 | (12,114 | ) | — | 130,479 | |||
Total shareholders’ equity | 192,676 | (10,172 | ) | — | 182,504 | ||||
Non-controlling interests | d, m, n, p | 8,198 | (1,038 | ) | — | 7,160 | |||
Total equity at 30 Jun 2019 | 200,874 | (11,210 | ) | — | 189,664 | ||||
Total liabilities and equity at 30 Jun 2019 | 2,751,273 | (112,548 | ) | 16,182 | 2,654,907 |
† | The references (a)–(r) identify balance sheet components that are used in the calculation of regulatory capital in Table 4: Own funds disclosure . |
HSBC Holdings plc | 6 |
Table 3: Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation (continued) | |||||||||
Accounting balance sheet | Deconsolidation of insurance/ other entities | Consolidation of banking associates | Regulatory balance sheet | ||||||
Ref † | $m | $m | $m | $m | |||||
Assets | |||||||||
Cash and balances at central banks | 162,843 | (39 | ) | 191 | 162,995 | ||||
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 | 238,130 | (1,244 | ) | — | 236,886 | ||||
Financial assets designated and otherwise mandatorily measured at fair value through profit or loss | 41,111 | (28,166 | ) | 502 | 13,447 | ||||
– of which: debt securities eligible as tier 2 issued by Group FSEs that are outside the regulatory scope of consolidation | r | 424 | (424 | ) | — | — | |||
Derivatives | 207,825 | (70 | ) | 102 | 207,857 | ||||
Loans and advances to banks | 72,167 | (1,264 | ) | 1,462 | 72,365 | ||||
– of which: lending to FSEs eligible as tier 2 | r | 52 | — | — | 52 | ||||
Loans and advances to customers | 981,696 | (1,530 | ) | 12,692 | 992,858 | ||||
– of which: | |||||||||
lending eligible as tier 2 to Group FSEs outside the regulatory scope of consolidation | r | 117 | (117 | ) | — | — | |||
expected credit losses on IRB portfolios | h | (6,405 | ) | — | — | (6,405 | ) | ||
Reverse repurchase agreements – non-trading | 242,804 | (3 | ) | 542 | 243,343 | ||||
Financial investments | 407,433 | (61,228 | ) | 3,578 | 349,783 | ||||
Capital invested in insurance and other entities | — | 2,306 | — | 2,306 | |||||
Prepayments, accrued income and other assets | 110,571 | (5,968 | ) | 247 | 104,850 | ||||
– of which: retirement benefit assets | j | 7,934 | — | — | 7,934 | ||||
Current tax assets | 684 | (23 | ) | 26 | 687 | ||||
Interests in associates and joint ventures | 22,407 | (398 | ) | (4,144 | ) | 17,865 | |||
– of which: positive goodwill on acquisition | e | 492 | (13 | ) | — | 479 | |||
Goodwill and intangible assets | e | 24,357 | (7,281 | ) | — | 17,076 | |||
Deferred tax assets | f | 4,450 | 161 | 1 | 4,612 | ||||
Total assets at 31 Dec 2018 | 2,558,124 | (104,747 | ) | 15,199 | 2,468,576 | ||||
Liabilities and equity | |||||||||
Hong Kong currency notes in circulation | 35,859 | — | — | 35,859 | |||||
Deposits by banks | 56,331 | 1 | 229 | 56,561 | |||||
Customer accounts | 1,362,643 | 2,586 | 13,790 | 1,379,019 | |||||
Repurchase agreements – non-trading | 165,884 | — | — | 165,884 | |||||
Items in course of transmission to other banks | 5,641 | — | — | 5,641 | |||||
Trading liabilities | 84,431 | — | — | 84,431 | |||||
Financial liabilities designated at fair value | 148,505 | (4,347 | ) | 36 | 144,194 | ||||
– of which: | |||||||||
included in tier 1 | n | 411 | — | — | 411 | ||||
included in tier 2 | o, q, i | 12,499 | — | — | 12,499 | ||||
Derivatives | 205,835 | 116 | 81 | 206,032 | |||||
– of which: debit valuation adjustment | i | 152 | — | — | 152 | ||||
Debt securities in issue | 85,342 | (1,448 | ) | — | 83,894 | ||||
Accruals, deferred income and other liabilities | 97,380 | (2,830 | ) | 691 | 95,241 | ||||
Current tax liabilities | 718 | (22 | ) | 4 | 700 | ||||
Liabilities under insurance contracts | 87,330 | (87,330 | ) | — | — | ||||
Provisions | 2,920 | (9 | ) | 44 | 2,955 | ||||
– of which: credit-related contingent liabilities and contractual commitments on IRB portfolios | h | 395 | — | — | 395 | ||||
Deferred tax liabilities | 2,619 | (1,144 | ) | 1 | 1,476 | ||||
Subordinated liabilities | 22,437 | 2 | 323 | 22,762 | |||||
– of which: | |||||||||
included in tier 1 | l, n | 1,786 | — | — | 1,786 | ||||
included in tier 2 | o, q | 20,584 | — | — | 20,584 | ||||
Total liabilities at 31 Dec 2018 | 2,363,875 | (94,425 | ) | 15,199 | 2,284,649 | ||||
Equity | |||||||||
Called up share capital | a | 10,180 | — | — | 10,180 | ||||
Share premium account | a, l | 13,609 | — | — | 13,609 | ||||
Other equity instruments | k, l | 22,367 | — | — | 22,367 | ||||
Other reserves | c, g | 1,906 | 1,996 | — | 3,902 | ||||
Retained earnings | b, c | 138,191 | (11,387 | ) | — | 126,804 | |||
Total shareholders’ equity | 186,253 | (9,391 | ) | — | 176,862 | ||||
Non-controlling interests | d, m, n, p | 7,996 | (931 | ) | — | 7,065 | |||
Total equity at 31 Dec 2018 | 194,249 | (10,322 | ) | — | 183,927 | ||||
Total liabilities and equity at 31 Dec 2018 | 2,558,124 | (104,747 | ) | 15,199 | 2,468,576 |
† | The references (a)–(r) identify balance sheet components that are used in the calculation of regulatory capital in Table 4: Own funds disclosure . |
7 | HSBC Holdings plc |
Capital and RWAs |
Own funds |
Table 4: Own funds disclosure | ||||||
At | ||||||
30 Jun | 31 Dec | |||||
2019 | 2018 | |||||
Ref† | $m | $m | ||||
Common equity tier 1 (‘CET1’) capital: instruments and reserves | ||||||
1 | Capital instruments and the related share premium accounts | 22,874 | 22,384 | |||
– ordinary shares | a | 22,874 | 22,384 | |||
2 | Retained earnings | b | 125,478 | 121,180 | ||
3 | Accumulated other comprehensive income (and other reserves) | c | 3,632 | 3,368 | ||
5 | Minority interests (amount allowed in consolidated CET1) | d | 5,045 | 4,854 | ||
5a | Independently reviewed interim net profits net of any foreseeable charge or dividend | b | 4,319 | 3,697 | ||
6 | Common equity tier 1 capital before regulatory adjustments | 161,348 | 155,483 | |||
Common equity tier 1 capital: regulatory adjustments | ||||||
7 | Additional value adjustments1 | (1,236 | ) | (1,180 | ) | |
8 | Intangible assets (net of related deferred tax liability) | e | (18,904 | ) | (17,323 | ) |
10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) | f | (1,113 | ) | (1,042 | ) |
11 | Fair value reserves related to gains or losses on cash flow hedges | g | (97 | ) | 135 | |
12 | Negative amounts resulting from the calculation of expected loss amounts | h | (1,733 | ) | (1,750 | ) |
14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | i | 1,798 | 298 | ||
15 | Defined-benefit pension fund assets | j | (6,160 | ) | (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 | (6,914 | ) | (7,489 | ) | |
28 | Total regulatory adjustments to common equity tier 1 | (34,399 | ) | (34,461 | ) | |
29 | Common equity tier 1 capital | 126,949 | 121,022 | |||
Additional tier 1 (‘AT1’) capital: instruments | ||||||
30 | Capital instruments and the related share premium accounts | 22,367 | 22,367 | |||
31 | – classified as equity under IFRSs | k | 22,367 | 22,367 | ||
33 | Amount of qualifying items and the related share premium accounts subject to phase out from AT1 | l | 2,297 | 2,297 | ||
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 | 1,274 | 1,516 | ||
35 | – of which: instruments issued by subsidiaries subject to phase out | m | 1,218 | 1,298 | ||
36 | Additional tier 1 capital before regulatory adjustments | 25,938 | 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 | 25,878 | 26,120 | |||
45 | Tier 1 capital (T1 = CET1 + AT1) | 152,827 | 147,142 | |||
Tier 2 capital: instruments and provisions | ||||||
46 | Capital instruments and the related share premium accounts | o | 20,636 | 20,249 | ||
– of which: instruments grandfathered under CRR II | 7,018 | 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 | 5,989 | 6,480 | ||
49 | – of row 48: instruments issued by subsidiaries subject to phase out | q | 832 | 1,585 | ||
– of row 48: instruments issued by subsidiaries grandfathered under CRR II | 1,475 | N/A | ||||
51 | Tier 2 capital before regulatory adjustments | 26,625 | 26,729 | |||
Tier 2 capital: regulatory adjustments | ||||||
52 | Direct and indirect holdings of own T2 instruments | (40 | ) | (40 | ) | |
55 | Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | r | (1,153 | ) | (593 | ) |
57 | Total regulatory adjustments to tier 2 capital | (1,193 | ) | (633 | ) | |
58 | Tier 2 capital | 25,432 | 26,096 | |||
59 | Total capital (TC = T1 + T2) | 178,259 | 173,238 | |||
60 | Total risk-weighted assets | 885,971 | 865,318 |
HSBC Holdings plc | 8 |
Table 4: Own funds disclosure (continued) | ||||||
At | ||||||
30 Jun | 31 Dec | |||||
2019 | 2018 | |||||
$m | $m | |||||
Capital ratios and buffers | ||||||
61 | Common equity tier 1 | 14.3% | 14.0% | |||
62 | Tier 1 | 17.2% | 17.0% | |||
63 | Total capital | 20.1% | 20.0% | |||
64 | Institution specific buffer requirement | 5.18% | 3.94% | |||
65 | – capital conservation buffer requirement | 2.50% | 1.88% | |||
66 | – countercyclical buffer requirement | 0.68% | 0.56% | |||
67a | – Global Systemically Important Institution (‘G-SII’) buffer | 2.00% | 1.50% | |||
68 | Common equity tier 1 available to meet buffers | 8.1% | 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) | 3,782 | 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) | 13,386 | 12,851 | |||
75 | Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability) | 4,524 | 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 | 2,282 | 2,200 | |||
79 | Cap for inclusion of credit risk adjustments in T2 under IRB approach | 3,292 | 3,221 | |||
Capital instruments subject to phase out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022) | ||||||
82 | Current cap on AT1 instruments subject to phase out arrangements | 5,191 | 6,921 | |||
83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 63 | — | |||
84 | Current cap on T2 instruments subject to phase out arrangements | 2,815 | 5,131 |
† | The references (a)–(r) identify balance sheet components in Table 3: Reconciliation of balance sheets – financial accounting to regulatory scope of consolidation which is 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 | Threshold deduction for significant investments relates to balances recorded on numerous lines on 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 $4.7bn through profits, net of cash and scrip dividends; |
• | a $1.3bn increase in the fair value through other comprehensive income reserve; and |
• | a $0.6bn decrease in threshold deductions as a result of an increase in the CET1 capital base. |
9 | HSBC Holdings plc |
Table 5: Leverage ratio common disclosure (LRCom) | ||||||
At | ||||||
30 Jun | 31 Dec | |||||
2019 | 2018 | |||||
Footnotes | $bn | $bn | ||||
On-balance sheet exposures (excluding derivatives and SFTs) | ||||||
1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 2,176.3 | 2,012.5 | |||
2 | (Asset amounts deducted in determining tier 1 capital) | (34.9 | ) | (33.8 | ) | |
3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) | 2,141.4 | 1,978.7 | |||
Derivative exposures | ||||||
4 | Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 56.9 | 44.2 | |||
5 | Add-on amounts for potential future exposure associated with all derivatives transactions (mark-to-market method) | 174.1 | 154.1 | |||
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to IFRSs | 13.2 | 5.9 | |||
7 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | (47.3 | ) | (21.5 | ) | |
8 | (Exempted central counterparty (‘CCP’) leg of client-cleared trade exposures) | (55.2 | ) | (38.0 | ) | |
9 | Adjusted effective notional amount of written credit derivatives | 191.9 | 160.9 | |||
10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (183.9 | ) | (153.4 | ) | |
11 | Total derivative exposures | 149.7 | 152.2 | |||
Securities financing transaction exposures | ||||||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 1 | 412.7 | 429.8 | ||
13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | 1 | (158.7 | ) | (184.5 | ) |
14 | Counterparty credit risk exposure for SFT assets | 10.6 | 11.3 | |||
16 | Total securities financing transaction exposures | 264.6 | 256.6 | |||
Other off-balance sheet exposures | ||||||
17 | Off-balance sheet exposures at gross notional amount | 835.2 | 829.8 | |||
18 | (Adjustments for conversion to credit equivalent amounts) | (604.4 | ) | (602.4 | ) | |
19 | Total off-balance sheet exposures | 230.8 | 227.4 | |||
Capital and total exposures | ||||||
20 | Tier 1 capital | 149.3 | 143.5 | |||
21 | Total leverage ratio exposure | 2,786.5 | 2,614.9 | |||
22 | Leverage ratio (%) | 5.4 | 5.5 | |||
EU-23 | Choice of transitional arrangements for the definition of the capital measure | Fully phased-in | Fully phased-in |
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. |
Leverage ratio |
Table 6: Summary reconciliation of accounting assets and leverage ratio exposures (LRSum) | |||||
At | |||||
30 Jun | 31 Dec | ||||
2019 | 2018 | ||||
$bn | $bn | ||||
1 | Total assets as per published financial statements | 2,751.3 | 2,558.1 | ||
Adjustments for: | |||||
2 | – entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | (96.4 | ) | (89.5 | ) |
4 | – derivative financial instruments | (83.9 | ) | (55.6 | ) |
5 | – SFTs | 8.9 | (5.1 | ) | |
6 | – off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 230.8 | 227.4 | ||
7 | – other | (24.2 | ) | (20.4 | ) |
8 | Total leverage ratio exposure | 2,786.5 | 2,614.9 |
HSBC Holdings plc | 10 |
Table 7: Leverage ratio – Split of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (LRSpl) | |||||
At | |||||
30 Jun | 31 Dec | ||||
2019 | 2018 | ||||
$bn | $bn | ||||
EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures) | 2,129.0 | 1,991.0 | ||
EU-2 | – trading book exposures | 248.4 | 218.5 | ||
EU-3 | – banking book exposures | 1,880.6 | 1,772.5 | ||
’banking book exposures’ comprises: | |||||
EU-4 | covered bonds | 2.5 | 1.6 | ||
EU-5 | exposures treated as sovereigns | 530.9 | 507.3 | ||
EU-6 | exposures to regional governments, multilateral development banks, international organisations and public sector entities not treated as sovereigns | 8.8 | 9.3 | ||
EU-7 | institutions | 77.4 | 66.8 | ||
EU-8 | secured by mortgages of immovable properties | 313.2 | 300.0 | ||
EU-9 | retail exposures | 84.7 | 82.8 | ||
EU-10 | corporate | 634.9 | 614.3 | ||
EU-11 | exposures in default | 9.2 | 9.1 | ||
EU-12 | other exposures (e.g. equity, securitisations and other non-credit obligation assets) | 219.0 | 181.3 |
Capital buffers |
Pillar 1 minimum capital requirements and RWA flow |
Risk category | Scope of permissible approaches | Our approach | |
Credit risk | The Basel Committee’s framework applies three approaches of increasing sophistication to the calculation of Pillar 1 credit risk capital requirements. The most basic level, the standardised approach, requires banks to use external credit ratings to determine the risk weightings applied to rated counterparties. Other counterparties are grouped into broad categories and standardised risk weightings are applied to these categories. The next level, the foundation IRB (‘FIRB’) approach, allows banks to calculate their credit risk capital requirements on the basis of their internal assessment of a counterparty’s probability of default (‘PD’), but subjects their quantified estimates of exposure at default (‘EAD’) and loss given default (‘LGD’) to standard supervisory parameters. Finally, the advanced IRB (‘AIRB’) approach allows banks to use their own internal assessment in both determining PD and quantifying EAD and LGD. | For consolidated Group reporting, we have adopted the 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 the Basel Committee: mark-to-market, original exposure, standardised and internal model method (‘IMM’). These exposure values are used to determine capital requirements under one of the credit risk approaches: standardised, 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-ERBA, IAA and SEC-SA. |
11 | HSBC Holdings plc |
Risk category | Scope of permissible approaches | Our approach |
Market risk | Market risk capital requirements can be determined under either the standard rules or the internal models approach (‘IMA’). The latter involves the use of internal value at risk (‘VaR’) models to measure market risks and determine the appropriate capital requirement. In addition to the VaR models, other internal models include stressed VaR (‘SVaR’), incremental risk charge (‘IRC’) and comprehensive risk measure. | The market risk capital requirement is measured using internal market risk models, where approved by the PRA, or under the standard rules. Our internal market risk models comprise VaR, stressed VaR and IRC. Non-proprietary details of the scope of our IMA permission are available in the Financial Services Register on the PRA website. We are in compliance with the requirements set out in articles 104 and 105 of the Capital Requirements Regulation. |
Operational risk | The Basel Committee allows firms to calculate their operational risk capital requirement under the basic indicator approach, the standardised approach or the advanced measurement approach. | We currently use the standardised approach in determining our operational risk capital requirement. We have in place an operational risk model that is used for economic capital calculation purposes. |
Table 8: Overview of RWAs (OV1) | ||||||||
At | ||||||||
30 Jun | 31 Mar | 30 Jun | ||||||
2019 | 2019 | 2019 | ||||||
RWAs | RWAs | Capital1 requirements | ||||||
Footnotes | $bn | $bn | $bn | |||||
1 | Credit risk (excluding counterparty credit risk) | 657.3 | 649.8 | 52.6 | ||||
2 | – standardised approach | 134.8 | 130.1 | 10.8 | ||||
3 | – foundation IRB approach | 31.1 | 30.8 | 2.5 | ||||
4 | – advanced IRB approach | 491.4 | 488.9 | 39.3 | ||||
6 | Counterparty credit risk | 50.5 | 50.0 | 4.0 | ||||
7 | – mark-to-market | 26.8 | 27.0 | 2.1 | ||||
10 | – internal model method | 17.4 | 16.3 | 1.4 | ||||
11 | – risk exposure amount for contributions to the default fund of a central counterparty | 0.5 | 0.4 | — | ||||
12 | – credit valuation adjustment | 5.8 | 6.3 | 0.5 | ||||
13 | Settlement risk | 0.1 | 0.1 | — | ||||
14 | Securitisation exposures in the non-trading book | 7.4 | 8.5 | 0.6 | ||||
15 | – IRB ratings based method | 2.5 | 3.7 | 0.2 | ||||
16 | – IRB supervisory formula method | — | — | — | ||||
17 | – IRB internal assessment approach | 1.2 | 1.4 | 0.1 | ||||
18 | – standardised approach | 2.0 | 2.2 | 0.2 | ||||
14a | – exposures subject to the new securitisation framework | 1 | 1.7 | 1.2 | 0.1 | |||
19 | Market risk | 34.8 | 35.1 | 2.8 | ||||
20 | – standardised approach | 4.3 | 5.4 | 0.4 | ||||
21 | – internal models approach | 30.5 | 29.7 | 2.4 | ||||
23 | Operational risk | 91.1 | 91.1 | 7.3 | ||||
25 | – standardised approach | 91.1 | 91.1 | 7.3 | ||||
27 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 44.8 | 44.9 | 3.6 | ||||
29 | Total | 886.0 | 879.5 | 70.9 |
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 30 June 2019 include $353m under SEC-ERBA, $952m under IAA, and $435m under SEC-SA. |
HSBC Holdings plc | 12 |
Table 9: RWA flow statements of credit risk exposures under IRB¹ (CR8) | |||||
RWAs | Capital requirements | ||||
$bn | $bn | ||||
1 | RWAs at 1 Apr 2019 | 519.7 | 41.6 | ||
2 | Asset size | 7.6 | 0.6 | ||
3 | Asset quality | 1.5 | 0.1 | ||
5 | Methodology and policy | (4.2 | ) | (0.3 | ) |
7 | Foreign exchange movements | (2.1 | ) | (0.2 | ) |
9 | RWAs at 30 Jun 2019 | 522.5 | 41.8 |
1 | Securitisation positions are not included in this table. |
• | a $7.6bn increase in asset size due to lending growth across Asia and Europe; |
• | a $1.5bn increase from changes in asset quality, notably in Asia; and |
• | a $4.2bn decrease largely due to management initiatives in Europe and Asia. |
Table 10: RWA flow statements of CCR exposures under IMM (CCR7) | |||||
RWAs | Capital requirements | ||||
$bn | $bn | ||||
1 | RWAs at 1 Apr 2019 | 21.0 | 1.7 | ||
2 | Asset size | 0.3 | — | ||
5 | Methodology and policy | 0.2 | — | ||
9 | RWAs at 30 Jun 2019 | 21.5 | 1.7 |
Table 11: RWA flow statements of market risk exposures under IMA (MR2-B) | |||||||||||||
VaR | Stressed VaR | IRC | Other | Total RWAs | Total capital requirements | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | RWAs at 1 Apr 2019 | 6.7 | 10.7 | 8.9 | 3.4 | 29.7 | 2.4 | ||||||
2 | Movement in risk levels | 0.5 | 0.7 | 1.9 | 0.1 | 3.2 | 0.2 | ||||||
4 | Methodology and policy | (0.7 | ) | (2.0 | ) | 0.3 | — | (2.4 | ) | (0.2 | ) | ||
8 | RWAs at 30 Jun 2019 | 6.5 | 9.4 | 11.1 | 3.5 | 30.5 | 2.4 |
13 | HSBC Holdings plc |
Credit risk |
Table 12: Credit risk summary by approach | ||||||
At 30 Jun 2019 | ||||||
EAD post-CCF and CRM | RWAs^ | RWA density | ||||
$bn | $bn | % | ||||
IRB advanced approach | 1,538.1 | 476.4 | 31 | |||
– central governments and central banks | 352.9 | 38.6 | 11 | |||
– institutions | 85.3 | 15.5 | 18 | |||
– corporates | 666.2 | 347.3 | 52 | |||
– total retail | 433.7 | 75.0 | 17 | |||
– of which: | ||||||
Secured by mortgages on immovable property SME | 3.3 | 1.7 | 50 | |||
Secured by mortgages on immovable property non-SME | 301.3 | 39.7 | 13 | |||
Qualifying revolving retail | 75.5 | 17.3 | 23 | |||
Other SME | 6.3 | 4.8 | 76 | |||
Other non-SME | 47.3 | 11.5 | 24 | |||
IRB securitisation positions | 23.9 | 3.7 | 15 | |||
IRB non-credit obligation assets | 61.7 | 15.0 | 24 | |||
IRB foundation approach | 51.4 | 31.1 | 61 | |||
– central governments and central banks | 0.1 | — | 21 | |||
– institutions | 0.6 | 0.2 | 28 | |||
– corporates | 50.7 | 30.9 | 61 | |||
Standardised approach | 382.3 | 183.3 | 48 | |||
– central governments and central banks | 171.0 | 11.4 | 7 | |||
– regional governments or local authorities | 7.7 | 1.3 | 17 | |||
– public sector entities | 12.7 | — | — | |||
– multilateral development banks | 0.1 | — | 2 | |||
– international organisations | 1.5 | — | — | |||
– institutions | 1.4 | 0.8 | 52 | |||
– corporates | 86.7 | 81.6 | 94 | |||
– retail | 20.1 | 14.9 | 74 | |||
– secured by mortgages on immovable property | 30.2 | 11.1 | 37 | |||
– exposures in default | 3.1 | 3.6 | 116 | |||
– items associated with particularly high risk | 5.2 | 7.7 | 150 | |||
– securitisation positions | 8.8 | 3.7 | 42 | |||
– collective investment undertakings | 0.4 | 0.4 | 100 | |||
– equity | 16.6 | 36.7 | 221 | |||
– other items | 16.8 | 10.1 | 60 | |||
Total | 2,057.4 | 709.5 | 34 |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
HSBC Holdings plc | 14 |
Credit quality of assets |
Table 13: Credit quality of exposures by exposure class and instrument¹ (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 | — | 355.4 | — | — | — | 355.4 | ||||||
2 | Institutions | — | 93.2 | — | — | — | 93.2 | ||||||
3 | Corporates | 6.9 | 1,038.9 | 4.0 | 0.3 | 0.4 | 1,041.8 | ||||||
4 | – of which: specialised lending | 1.1 | 50.6 | 0.4 | — | — | 51.3 | ||||||
6 | Retail | 3.3 | 501.4 | 1.9 | 0.5 | 0.6 | 502.8 | ||||||
7 | – secured by real estate property | 2.4 | 301.6 | 0.3 | — | — | 303.7 | ||||||
– of which: | |||||||||||||
8 | SMEs | 0.1 | 3.5 | 0.1 | — | — | 3.5 | ||||||
9 | Non-SMEs | 2.3 | 298.1 | 0.2 | — | — | 300.2 | ||||||
10 | – qualifying revolving retail | 0.2 | 134.5 | 0.8 | 0.3 | 0.2 | 133.9 | ||||||
11 | – other retail | 0.7 | 65.3 | 0.8 | 0.2 | 0.4 | 65.2 | ||||||
– of which: | |||||||||||||
12 | SMEs | 0.4 | 7.8 | 0.4 | 0.1 | 0.2 | 7.8 | ||||||
13 | Non-SMEs | 0.3 | 57.5 | 0.4 | 0.1 | 0.2 | 57.4 | ||||||
15 | Total IRB approach | 10.2 | 1,988.9 | 5.9 | 0.8 | 1.0 | 1,993.2 | ||||||
16 | Central governments and central banks | — | 163.1 | — | — | — | 163.1 | ||||||
17 | Regional governments or local authorities | — | 7.8 | — | — | — | 7.8 | ||||||
18 | Public sector entities | — | 12.9 | — | — | — | 12.9 | ||||||
19 | Multilateral development banks | — | 0.1 | — | — | — | 0.1 | ||||||
20 | International organisations | — | 1.5 | — | — | — | 1.5 | ||||||
21 | Institutions | — | 2.2 | — | — | — | 2.2 | ||||||
22 | Corporates | 3.4 | 193.5 | 2.2 | 0.3 | — | 194.7 | ||||||
24 | Retail | 1.0 | 68.5 | 1.5 | 0.3 | 0.4 | 68.0 | ||||||
25 | – of which: SMEs | — | 1.3 | 0.1 | — | — | 1.2 | ||||||
26 | Secured by mortgages on immovable property | 0.7 | 31.4 | 0.2 | — | — | 31.9 | ||||||
28 | Exposures in default | 5.1 | — | 2.2 | 0.6 | 0.5 | 2.9 | ||||||
29 | Items associated with particularly high risk | 0.1 | 5.3 | — | — | — | 5.4 | ||||||
32 | Collective investment undertakings (‘CIU’) | — | 0.4 | — | — | — | 0.4 | ||||||
33 | Equity exposures | — | 16.5 | — | — | — | 16.5 | ||||||
34 | Other exposures | — | 16.8 | — | — | — | 16.8 | ||||||
35 | Total standardised approach | 5.2 | 520.0 | 3.9 | 0.6 | 0.4 | 521.3 | ||||||
36 | Total at 30 Jun 2019 | 15.4 | 2,508.9 | 9.8 | 1.4 | 1.4 | 2,514.5 | ||||||
– of which: loans | 14.0 | 1,289.8 | 9.3 | 1.4 | 1.5 | 1,294.5 | |||||||
– of which: debt securities | — | 363.2 | — | — | — | 363.2 | |||||||
– of which: off-balance sheet exposures | 1.4 | 813.9 | 0.5 | — | (0.1 | ) | 814.8 |
15 | HSBC Holdings plc |
Table 13: Credit quality of exposures by exposure class and instrument¹ (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 | — | 315.5 | — | — | (0.1 | ) | 315.5 | |||||
2 | Institutions | — | 92.8 | — | — | — | 92.8 | ||||||
3 | Corporates | 7.6 | 1,022.0 | 4.3 | 0.2 | 0.1 | 1,025.3 | ||||||
4 | – of which: specialised lending | 0.9 | 49.0 | 0.5 | — | 0.3 | 49.4 | ||||||
6 | Retail | 3.5 | 470.0 | 1.7 | 0.4 | 0.4 | 471.8 | ||||||
7 | – secured by real estate property | 2.5 | 278.4 | 0.3 | — | — | 280.6 | ||||||
– of which: | |||||||||||||
8 | SMEs | 0.1 | 3.5 | — | — | — | 3.6 | ||||||
9 | Non-SMEs | 2.4 | 274.9 | 0.3 | — | — | 277.0 | ||||||
10 | – qualifying revolving retail | 0.1 | 129.0 | 0.7 | 0.2 | 0.2 | 128.4 | ||||||
11 | – other retail | 0.9 | 62.6 | 0.7 | 0.2 | 0.2 | 62.8 | ||||||
– of which: | |||||||||||||
12 | SMEs | 0.5 | 8.3 | 0.4 | 0.1 | 0.1 | 8.4 | ||||||
13 | Non-SMEs | 0.4 | 54.3 | 0.3 | 0.1 | 0.1 | 54.4 | ||||||
15 | Total IRB approach | 11.1 | 1,900.3 | 6.0 | 0.6 | 0.4 | 1,905.4 | ||||||
16 | Central governments and central banks | — | 186.2 | — | — | — | 186.2 | ||||||
17 | Regional governments or local authorities | — | 7.3 | — | — | — | 7.3 | ||||||
18 | Public sector entities | — | 11.8 | — | — | — | 11.8 | ||||||
19 | Multilateral development banks | — | 0.2 | — | — | — | 0.2 | ||||||
20 | International organisations | — | 2.0 | — | — | — | 2.0 | ||||||
21 | Institutions | — | 3.6 | — | — | — | 3.6 | ||||||
22 | Corporates | 3.2 | 177.7 | 2.0 | 0.1 | 0.1 | 178.9 | ||||||
24 | Retail | 1.0 | 67.5 | 1.6 | 0.4 | 0.3 | 66.9 | ||||||
25 | – of which: SMEs | — | 1.7 | — | — | — | 1.7 | ||||||
26 | Secured by mortgages on immovable property | 0.8 | 31.9 | 0.3 | — | (0.1 | ) | 32.4 | |||||
27 | – of which: SMEs | — | 0.1 | — | — | — | 0.1 | ||||||
28 | Exposures in default | 5.0 | — | 2.1 | 0.5 | 0.3 | 2.9 | ||||||
29 | Items associated with particularly high risk | 0.1 | 4.3 | — | — | — | 4.4 | ||||||
32 | Collective investment undertakings (‘CIU’) | — | 0.7 | — | — | — | 0.7 | ||||||
33 | Equity exposures | — | 15.7 | — | — | — | 15.7 | ||||||
34 | Other exposures | — | 13.8 | — | — | — | 13.8 | ||||||
35 | Total standardised approach | 5.1 | 522.7 | 3.9 | 0.5 | 0.3 | 523.9 | ||||||
36 | Total at 30 Jun 2018 | 16.2 | 2,423.0 | 9.9 | 1.1 | 0.7 | 2,429.3 | ||||||
– of which: loans | 14.7 | 1,266.4 | 9.4 | 1.1 | 0.9 | 1,271.7 | |||||||
– of which: debt securities | — | 327.4 | — | — | — | 327.4 | |||||||
– of which: off-balance sheet exposures | 1.5 | 791.3 | 0.5 | — | (0.2 | ) | 792.3 |
1 | Securitisation positions and non-credit obligation assets are not included in this table. |
2 | Presented on a year-to-date basis. |
HSBC Holdings plc | 16 |
Table 14: Credit quality of exposures by industry or counterparty types¹ (CR1-B) | ||||||||||||||
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 | |||||||||||||
Footnotes | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Agriculture | 0.3 | 9.0 | 0.2 | — | — | 9.1 | |||||||
2 | Mining and oil extraction | 0.3 | 43.3 | 0.3 | — | — | 43.3 | |||||||
3 | Manufacturing | 1.7 | 266.5 | 1.2 | 0.3 | 0.2 | 267.0 | |||||||
4 | Utilities | 0.2 | 32.8 | 0.1 | 0.1 | — | 32.9 | |||||||
5 | Water supply | — | 2.4 | — | — | — | 2.4 | |||||||
6 | Construction | 1.3 | 41.9 | 0.6 | 0.1 | 0.1 | 42.6 | |||||||
7 | Wholesale and retail trade | 2.0 | 203.3 | 1.3 | 0.1 | 0.1 | 204.0 | |||||||
8 | Transportation and storage | 0.6 | 55.0 | 0.2 | — | — | 55.4 | |||||||
9 | Accommodation and food services | 0.3 | 29.4 | 0.1 | — | — | 29.6 | |||||||
10 | Information and communication | — | 9.8 | — | — | — | 9.8 | |||||||
11 | Financial and insurance | 3 | 0.7 | 578.3 | 0.2 | — | — | 578.8 | ||||||
12 | Real estate | 1.0 | 247.4 | 0.6 | — | — | 247.8 | |||||||
13 | Professional activities | 0.1 | 18.5 | 0.1 | — | — | 18.5 | |||||||
14 | Administrative service | 1.5 | 91.7 | 1.2 | 0.1 | 0.2 | 92.0 | |||||||
15 | Public administration and defence | 0.3 | 239.1 | 0.3 | — | — | 239.1 | |||||||
16 | Education | — | 3.6 | — | — | — | 3.6 | |||||||
17 | Human health and social work | 0.1 | 7.5 | 0.1 | — | — | 7.5 | |||||||
18 | Arts and entertainment | 0.1 | 6.9 | 0.1 | — | 0.1 | 6.9 | |||||||
19 | Other services | 0.3 | 16.6 | 0.1 | — | — | 16.8 | |||||||
20 | Personal | 4.6 | 594.4 | 3.1 | 0.7 | 0.7 | 595.9 | |||||||
21 | Extraterritorial bodies | — | 11.5 | — | — | — | 11.5 | |||||||
22 | Total at 30 Jun 2019 | 15.4 | 2,508.9 | 9.8 | 1.4 | 1.4 | 2,514.5 | |||||||
1 | Agriculture | 0.3 | 8.0 | 0.1 | — | — | 8.2 | |||||||
2 | Mining and oil extraction | 0.9 | 39.7 | 0.4 | 0.1 | (0.1 | ) | 40.2 | ||||||
3 | Manufacturing | 2.1 | 259.3 | 1.4 | — | 0.1 | 260.0 | |||||||
4 | Utilities | 0.3 | 34.0 | 0.1 | — | — | 34.2 | |||||||
5 | Water supply | — | 2.8 | — | — | — | 2.8 | |||||||
6 | Construction | 1.4 | 41.2 | 0.6 | — | 0.1 | 42.0 | |||||||
7 | Wholesale and retail trade | 2.3 | 206.1 | 1.3 | 0.1 | 0.1 | 207.1 | |||||||
8 | Transportation and storage | 0.3 | 52.6 | 0.2 | — | 0.1 | 52.7 | |||||||
9 | Accommodation and food services | 0.3 | 28.3 | 0.2 | — | — | 28.4 | |||||||
10 | Information and communication | — | 9.3 | — | — | — | 9.3 | |||||||
11 | Financial and insurance | 3 | 0.4 | 591.9 | 0.3 | 0.1 | — | 592.0 | ||||||
12 | Real estate | 1.1 | 234.1 | 0.7 | — | 0.1 | 234.5 | |||||||
13 | Professional activities | 0.2 | 22.5 | 0.1 | — | — | 22.6 | |||||||
14 | Administrative service | 1.0 | 93.5 | 1.0 | — | 0.2 | 93.5 | |||||||
15 | Public administration and defence | 0.4 | 173.7 | 0.2 | — | (0.1 | ) | 173.9 | ||||||
16 | Education | — | 4.3 | — | — | — | 4.3 | |||||||
17 | Human health and social work | 0.1 | 7.2 | 0.1 | — | — | 7.2 | |||||||
18 | Arts and entertainment | — | 5.3 | — | 0.1 | — | 5.3 | |||||||
19 | Other services | 0.3 | 14.9 | 0.1 | — | 0.1 | 15.1 | |||||||
20 | Personal | 4.8 | 556.2 | 3.1 | 0.7 | 0.1 | 557.9 | |||||||
21 | Extraterritorial bodies | — | 38.1 | — | — | — | 38.1 | |||||||
22 | Total at 30 Jun 2018 | 16.2 | 2,423.0 | 9.9 | 1.1 | 0.7 | 2,429.3 |
1 | Securitisation positions and non-credit obligation assets are not included in this table. |
2 | Presented on a year-to-date basis. |
3 | We have restated the comparative period to include within the Financial and Insurance sector $22.2bn exposure in the form of non-customer assets that are neither securitisation nor non-credit obligation assets. These non-customer assets were previously excluded from this table. |
17 | HSBC Holdings plc |
Table 15: Credit quality of exposures by geography1, 2 (CR1-C) | |||||||||||||
Gross carrying values of | Specific credit risk adjustments | Write-offs in the year3 | Credit risk adjustment charges of the period3 | Net carrying values | |||||||||
Defaulted exposures | Non-defaulted exposures | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Europe | 6.8 | 800.5 | 3.7 | 0.6 | 0.6 | 803.6 | ||||||
2 | – UK | 4.1 | 495.8 | 2.5 | 0.4 | 0.6 | 497.4 | ||||||
3 | – France | 1.3 | 134.5 | 0.6 | — | 0.1 | 135.2 | ||||||
4 | – Other countries | 1.4 | 170.2 | 0.6 | 0.2 | (0.1 | ) | 171.0 | |||||
5 | Asia | 2.5 | 1,049.9 | 2.0 | 0.3 | 0.3 | 1,050.4 | ||||||
6 | – Hong Kong | 0.7 | 523.1 | 0.7 | 0.1 | 0.1 | 523.1 | ||||||
7 | – China | 0.3 | 163.6 | 0.4 | — | 0.1 | 163.5 | ||||||
8 | – Singapore | 0.1 | 75.1 | 0.1 | — | — | 75.1 | ||||||
9 | – Other countries | 1.4 | 288.1 | 0.8 | 0.2 | 0.1 | 288.7 | ||||||
10 | Middle East and North Africa (‘MENA’) | 3.3 | 142.2 | 2.4 | 0.2 | 0.1 | 143.1 | ||||||
11 | North America | 1.9 | 436.7 | 0.7 | 0.1 | 0.1 | 437.9 | ||||||
12 | – US | 1.2 | 306.9 | 0.3 | 0.1 | 0.1 | 307.8 | ||||||
13 | – Canada | 0.3 | 114.4 | 0.2 | — | — | 114.5 | ||||||
14 | – Other countries | 0.4 | 15.4 | 0.2 | — | — | 15.6 | ||||||
15 | Latin America | 0.9 | 64.3 | 1.0 | 0.2 | 0.3 | 64.2 | ||||||
16 | Other geographical areas | — | 15.3 | — | — | — | 15.3 | ||||||
17 | Total at 30 Jun 2019 | 15.4 | 2,508.9 | 9.8 | 1.4 | 1.4 | 2,514.5 | ||||||
1 | Europe | 7.4 | 811.2 | 3.9 | 0.4 | 0.3 | 814.7 | ||||||
2 | – UK | 4.4 | 498.6 | 2.4 | 0.4 | 0.2 | 500.6 | ||||||
3 | – France | 1.1 | 102.9 | 0.7 | — | — | 103.3 | ||||||
4 | – Other countries | 1.9 | 209.7 | 0.8 | — | 0.1 | 210.8 | ||||||
5 | Asia | 2.6 | 989.2 | 2.0 | 0.2 | 0.3 | 989.8 | ||||||
6 | – Hong Kong | 1.0 | 490.9 | 0.8 | 0.1 | — | 491.1 | ||||||
7 | – China | 0.3 | 155.6 | 0.3 | — | 0.1 | 155.6 | ||||||
8 | – Singapore | 0.2 | 68.2 | 0.1 | — | — | 68.3 | ||||||
9 | – Other countries | 1.1 | 274.5 | 0.8 | 0.1 | 0.2 | 274.8 | ||||||
10 | MENA | 3.0 | 134.8 | 2.3 | 0.1 | 0.1 | 135.5 | ||||||
11 | North America | 2.4 | 409.0 | 0.8 | 0.1 | — | 410.6 | ||||||
12 | – US | 1.5 | 289.8 | 0.3 | 0.1 | — | 291.0 | ||||||
13 | – Canada | 0.3 | 101.7 | 0.2 | — | — | 101.8 | ||||||
14 | – Other countries | 0.6 | 17.5 | 0.3 | — | — | 17.8 | ||||||
15 | Latin America | 0.8 | 62.5 | 0.9 | 0.3 | — | 62.4 | ||||||
16 | Other geographical areas | — | 16.3 | — | — | — | 16.3 | ||||||
17 | Total at 30 Jun 2018 | 16.2 | 2,423.0 | 9.9 | 1.1 | 0.7 | 2,429.3 |
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. |
3 | Presented on a year-to-date basis. |
Table 16: Ageing of past-due unimpaired and impaired exposures (CR1-D) | |||||||||||||
Gross carrying values | |||||||||||||
Less than 30 days | Between 30 and 60 days | Between 60 and 90 days | Between 90 and 180 days | Between 180 days and 1 year | Greater than 1 year | ||||||||
$bn | $bn | $bn | $bn | $bn | $bn | ||||||||
1 | Loans | 9.0 | 1.4 | 0.7 | 2.0 | 1.0 | 3.5 | ||||||
2 | Debt securities | — | — | — | — | — | — | ||||||
3 | Total exposures at 30 Jun 2019 | 9.0 | 1.4 | 0.7 | 2.0 | 1.0 | 3.5 | ||||||
1 | Loans | 8.8 | 1.7 | 0.8 | 2.1 | 0.7 | 3.8 | ||||||
2 | Debt securities | — | — | — | — | — | — | ||||||
3 | Total exposures at 30 Jun 2018 | 8.8 | 1.7 | 0.8 | 2.1 | 0.7 | 3.8 |
HSBC Holdings plc | 18 |
Table 17: Non-performing and forborne exposures (CR1-E) | ||||||||||||||||||||||||||||||
Gross carrying values of performing and non-performing exposures | Accumulated impairment and provisions and negative fair value adjustments due to credit risk | Collateral and financial guarantees received | ||||||||||||||||||||||||||||
of which: performing but past due between 30 and 90 days | of which: performing forborne | of which: non-performing | On performing exposures | On non- performing exposures | On non-performing exposures | of which: forborne | ||||||||||||||||||||||||
of which: defaulted | of which: impaired | of which: forborne | of which: forborne | of which: forborne | ||||||||||||||||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||||||||
At 30 Jun 2019 | ||||||||||||||||||||||||||||||
1 | Debt securities | 363.2 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||
2 | Loans | 1,303.8 | 1.7 | 1.6 | 14.0 | 14.0 | 14.0 | 5.9 | (3.8 | ) | (0.1 | ) | (5.5 | ) | (1.8 | ) | 4.4 | 3.3 | ||||||||||||
3 | Off-balance sheet exposures | 815.3 | — | — | 1.4 | 1.4 | 1.4 | — | (0.4 | ) | — | (0.1 | ) | — | — | — | ||||||||||||||
At 30 Jun 2018 | ||||||||||||||||||||||||||||||
1 | Debt securities | 327.4 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||
2 | Loans | 1,281.1 | 1.9¹ | 1.8 | 14.7 | 14.7 | 14.7 | 6.9 | (3.6 | ) | — | (5.6 | ) | (1.9 | ) | 5.0 | 4.0 | |||||||||||||
3 | Off-balance sheet exposures | 792.8 | — | 0.4 | 1.5 | 1.5 | 1.5¹ | 0.1 | (0.4 | ) | — | (0.1 | ) | — | 0.2 | 0.1 |
Defaulted exposures |
Table 18: Changes in stock of general and specific credit risk adjustments (CR2-A) | ||||||||||
Half-year to 30 Jun | ||||||||||
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 | 1.2 | — | 0.7 | — | ||||
3 | Decreases due to amounts reversed for estimated loan losses during the period | 1 | — | — | — | — | ||||
4 | Decreases due to amounts taken against accumulated credit risk adjustments | (1.4 | ) | — | (1.1 | ) | — | |||
6 | Impact of exchange rate differences | 0.2 | — | (0.1 | ) | — | ||||
7 | Business combinations, including acquisitions and disposals of subsidiaries | — | — | — | ||||||
9 | Closing balance at the end of the period | 9.8 | — | 9.9 | — | |||||
10 | Recoveries on credit risk adjustments recorded directly to the statement of profit or loss | 0.2 | — | 0.3 | — |
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. |
Table 19: Changes in stock of defaulted loans and debt securities (CR2-B) | ||||||
Half-year to 30 Jun | ||||||
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 | 2.9 | 3.1 | |||
3 | Returned to non-defaulted status | (0.6 | ) | (0.8 | ) | |
4 | Amounts written off | (1.4 | ) | (1.2 | ) | |
5 | Other changes | 1 | 0.2 | (0.8 | ) | |
7 | Repayments | (0.8 | ) | (0.7 | ) | |
6 | Defaulted loans and debt securities at the end of the period | 14.0 | 14.7 |
1 | Other changes include foreign exchange movements and changes in assets held for sale in default. |
19 | HSBC Holdings plc |
Risk mitigation |
Table 20: 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 | 672.4 | 622.1 | 515.9 | 105.5 | 0.7 | |||||
2 | Debt securities | 324.9 | 38.3 | 32.5 | 5.8 | — | |||||
3 | Total at 30 Jun 2019 | 997.3 | 660.4 | 548.4 | 111.3 | 0.7 | |||||
4 | Of which: defaulted | 5.5 | 3.3 | 2.9 | 0.4 | — | |||||
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 21: Standardised approach – credit conversion factor 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 | 161.4 | 1.5 | 169.6 | 1.4 | 11.4 | 7 | ||||||
2 | Regional governments or local authorities | 7.5 | 0.3 | 7.6 | 0.1 | 1.3 | 17 | ||||||
3 | Public sector entities | 12.8 | 0.1 | 12.7 | — | — | — | ||||||
4 | Multilateral development banks | 0.1 | — | 0.1 | — | — | 2 | ||||||
5 | International organisations | 1.5 | — | 1.5 | — | — | — | ||||||
6 | Institutions | 2.2 | — | 1.4 | — | 0.8 | 52 | ||||||
7 | Corporates | 98.9 | 94.3 | 74.5 | 12.2 | 81.6 | 94 | ||||||
8 | Retail | 20.5 | 47.1 | 19.7 | 0.4 | 14.9 | 74 | ||||||
9 | Secured by mortgages on immovable property | 29.8 | 1.5 | 29.8 | 0.4 | 11.1 | 37 | ||||||
10 | Exposures in default | 3.2 | 0.1 | 3.1 | — | 3.6 | 116 | ||||||
11 | Higher risk categories | 2.8 | 2.6 | 2.7 | 2.5 | 7.7 | 150 | ||||||
14 | Collective investment undertakings | 0.4 | — | 0.4 | — | 0.4 | 100 | ||||||
15 | Equity | 16.6 | — | 16.6 | — | 36.7 | 221 | ||||||
16 | Other items | 16.0 | 0.8 | 16.0 | 0.8 | 10.1 | 60 | ||||||
17 | Total at 30 Jun 2019 | 373.7 | 148.3 | 355.7 | 17.8 | 179.6 | 48 | ||||||
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 mortgages 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. |
HSBC Holdings plc | 20 |
Table 22: Standardised approach – exposures by asset classes and risk weights (CR5) | |||||||||||||||||||||||||||
Risk weight (‘RW%’) | 0% | 2% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | Deducted | Total credit 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 | 166.3 | — | 0.1 | — | — | — | — | 0.1 | — | 4.5 | — | 171.0 | 4.5 | |||||||||||||
2 | Regional governments or local authorities | 2.9 | — | 4.1 | — | 0.5 | — | — | 0.2 | — | — | — | 7.7 | 0.3 | |||||||||||||
3 | Public sector entities | 12.7 | — | — | — | — | — | — | — | — | — | — | 12.7 | — | |||||||||||||
4 | Multilateral development banks | 0.1 | — | — | — | — | — | — | — | — | — | — | 0.1 | — | |||||||||||||
5 | International organisations | 1.5 | — | — | — | — | — | — | — | — | — | — | 1.5 | — | |||||||||||||
6 | Institutions | — | — | 0.3 | — | 0.8 | — | — | 0.3 | — | — | — | 1.4 | 0.7 | |||||||||||||
7 | Corporates | — | — | 3.7 | 0.2 | 3.5 | 0.5 | — | 78.0 | 0.8 | — | — | 86.7 | 61.8 | |||||||||||||
8 | Retail | — | — | — | — | — | — | 20.1 | — | — | — | — | 20.1 | 20.1 | |||||||||||||
9 | Secured by mortgages on immovable property | — | — | — | 29.0 | 0.5 | — | — | 0.7 | — | — | — | 30.2 | 30.2 | |||||||||||||
10 | Exposures in default | — | — | — | — | — | — | — | 2.1 | 1.0 | — | — | 3.1 | 3.1 | |||||||||||||
11 | Higher risk categories | — | — | — | — | — | — | — | — | 5.2 | — | — | 5.2 | 5.2 | |||||||||||||
14 | Collective investment undertakings | — | — | — | — | — | — | — | 0.4 | — | — | — | 0.4 | 0.4 | |||||||||||||
15 | Equity | — | — | — | — | — | — | — | 3.2 | — | 13.4 | — | 16.6 | 16.6 | |||||||||||||
16 | Other items | 0.1 | — | 8.3 | — | — | — | — | 8.4 | — | — | — | 16.8 | 16.8 | |||||||||||||
17 | Total at 30 Jun 2019 | 183.6 | — | 16.5 | 29.2 | 5.3 | 0.5 | 20.1 | 93.4 | 7.0 | 17.9 | — | 373.5 | 159.7 | |||||||||||||
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 mortgages 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. |
21 | HSBC Holdings plc |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 | 337.9 | 2.0 | 43.7 | 338.7 | 0.02 | 271 | 42.1 | 2.20 | 28.3 | 8 | — | |||||||||||||
0.15 to <0.25 | 2.2 | 0.2 | 3.4 | 2.2 | 0.22 | 9 | 45.0 | 1.90 | 0.9 | 43 | — | |||||||||||||
0.25 to <0.50 | 1.9 | — | 19.9 | 1.9 | 0.37 | 12 | 45.0 | 1.20 | 0.9 | 49 | — | |||||||||||||
0.50 to <0.75 | 2.9 | 0.2 | 49.9 | 3.2 | 0.63 | 15 | 45.0 | 1.10 | 2.0 | 64 | — | |||||||||||||
0.75 to <2.50 | 7.0 | 0.2 | 30.6 | 6.8 | 1.72 | 22 | 44.6 | 1.20 | 6.5 | 96 | 0.1 | |||||||||||||
2.50 to <10.00 | 0.5 | 0.2 | 0.2 | 0.1 | 7.62 | 8 | 7.2 | 3.80 | — | 30 | — | |||||||||||||
10.00 to <100.00 | — | 0.2 | — | — | — | 1 | — | — | — | — | — | |||||||||||||
Sub-total | 352.4 | 3.0 | 40.8 | 352.9 | 0.06 | 338 | 42.2 | 2.10 | 38.6 | 11 | 0.1 | — | ||||||||||||
AIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 73.9 | 8.9 | 38.0 | 77.1 | 0.05 | 2,550 | 39.6 | 1.40 | 10.9 | 14 | — | |||||||||||||
0.15 to <0.25 | 3.1 | 1.2 | 18.9 | 3.3 | 0.22 | 322 | 40.7 | 1.10 | 1.3 | 38 | — | |||||||||||||
0.25 to <0.50 | 2.0 | 0.2 | 52.2 | 2.1 | 0.37 | 162 | 41.5 | 1.30 | 1.1 | 51 | — | |||||||||||||
0.50 to <0.75 | 1.1 | 0.5 | 52.9 | 1.3 | 0.63 | 140 | 45.5 | 1.40 | 1.0 | 80 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 0.6 | 53.0 | 1.5 | 1.07 | 201 | 40.8 | 1.50 | 1.2 | 84 | — | |||||||||||||
2.50 to <10.00 | — | — | 31.5 | — | 4.43 | 26 | 45.9 | 1.00 | — | 109 | — | |||||||||||||
10.00 to <100.00 | — | — | 21.0 | — | 13.03 | 13 | 54.6 | 2.50 | — | 272 | — | |||||||||||||
100.00 (Default) | — | — | — | — | 100.00 | 1 | 33.3 | 1.00 | — | 500 | — | |||||||||||||
Sub-total | 81.3 | 11.4 | 37.7 | 85.3 | 0.09 | 3,415 | 39.8 | 1.40 | 15.5 | 18 | — | — | ||||||||||||
AIRB – Corporate – specialised lending (excluding slotting)2 | ||||||||||||||||||||||||
0.00 to <0.15 | 2.2 | 1.1 | 38.9 | 2.4 | 0.10 | 38 | 29.5 | 3.40 | 0.6 | 26 | — | |||||||||||||
0.15 to <0.25 | 1.8 | 0.5 | 30.9 | 2.0 | 0.22 | 45 | 28.3 | 3.50 | 0.7 | 36 | — | |||||||||||||
0.25 to <0.50 | 0.7 | 0.4 | 34.8 | 0.8 | 0.37 | 21 | 28.0 | 4.00 | 0.4 | 50 | — | |||||||||||||
0.50 to <0.75 | 1.2 | 0.2 | 39.5 | 1.1 | 0.63 | 25 | 27.1 | 3.60 | 0.6 | 56 | — | |||||||||||||
0.75 to <2.50 | 1.3 | 0.4 | 47.6 | 1.5 | 1.44 | 38 | 34.6 | 3.50 | 1.4 | 95 | — | |||||||||||||
2.50 to <10.00 | 0.5 | — | 77.1 | 0.4 | 5.74 | 10 | 26.5 | 3.00 | 0.4 | 96 | — | |||||||||||||
10.00 to <100.00 | 0.1 | 0.1 | 51.6 | 0.1 | 19.00 | 3 | 13.9 | 2.00 | 0.1 | 72 | — | |||||||||||||
100.00 (Default) | 0.2 | 0.2 | 76.4 | 0.3 | 100.00 | 11 | 24.5 | 4.60 | 0.6 | 199 | 0.1 | |||||||||||||
Sub-total | 8.0 | 2.9 | 41.0 | 8.6 | 4.26 | 191 | 29.1 | 3.50 | 4.8 | 56 | 0.1 | 0.1 | ||||||||||||
AIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 112.4 | 161.5 | 37.1 | 215.1 | 0.08 | 10,429 | 41.2 | 2.10 | 47.5 | 22 | 0.1 | |||||||||||||
0.15 to <0.25 | 49.5 | 62.9 | 36.9 | 81.6 | 0.22 | 9,996 | 40.4 | 2.00 | 32.6 | 40 | 0.1 | |||||||||||||
0.25 to <0.50 | 59.7 | 55.3 | 33.8 | 81.4 | 0.37 | 10,685 | 35.7 | 2.00 | 37.0 | 45 | 0.1 | |||||||||||||
0.50 to <0.75 | 51.4 | 41.7 | 32.2 | 64.6 | 0.63 | 10,478 | 36.7 | 2.00 | 38.7 | 60 | 0.2 | |||||||||||||
0.75 to <2.50 | 147.2 | 101.5 | 31.6 | 137.2 | 1.37 | 42,540 | 37.5 | 2.00 | 110.7 | 81 | 0.7 | |||||||||||||
2.50 to <10.00 | 34.2 | 22.6 | 33.9 | 31.4 | 4.26 | 11,367 | 37.9 | 1.90 | 35.4 | 113 | 0.5 | |||||||||||||
10.00 to <100.00 | 5.1 | 3.5 | 38.8 | 4.9 | 17.00 | 1,922 | 36.7 | 2.10 | 8.6 | 174 | 0.3 | |||||||||||||
100.00 (Default) | 4.0 | 0.6 | 34.9 | 4.2 | 100.00 | 2,249 | 47.1 | 1.80 | 8.8 | 210 | 1.8 | |||||||||||||
Sub-total | 463.5 | 449.6 | 35.1 | 620.4 | 1.50 | 99,666 | 38.9 | 2.00 | 319.3 | 52 | 3.8 | 3.1 | ||||||||||||
Wholesale AIRB – Total at 30 Jun 20193 | 966.9 | 466.9 | 35.2 | 1,128.9 | 0.94 | 103,610 | 40.0 | 2.00 | 393.2 | 35 | 4.0 | 3.2 |
HSBC Holdings plc | 22 |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 | — | 22.2 | 0.3 | 0.06 | 1,363 | 11.9 | — | — | 3 | — | |||||||||||||
0.15 to <0.25 | 0.1 | — | 36.9 | 0.2 | 0.21 | 2,295 | 33.5 | — | — | 13 | — | |||||||||||||
0.25 to <0.50 | 0.5 | 0.1 | 40.9 | 0.5 | 0.35 | 6,497 | 26.7 | — | 0.1 | 14 | — | |||||||||||||
0.50 to <0.75 | 0.3 | 0.1 | 38.1 | 0.4 | 0.61 | 5,480 | 32.7 | — | 0.1 | 28 | — | |||||||||||||
0.75 to <2.50 | 1.0 | 0.1 | 36.1 | 0.9 | 1.45 | 13,248 | 33.9 | — | 0.5 | 48 | — | |||||||||||||
2.50 to <10.00 | 0.8 | 0.1 | 39.1 | 0.8 | 4.56 | 7,288 | 31.2 | — | 0.7 | 82 | — | |||||||||||||
10.00 to <100.00 | 0.1 | — | 35.9 | 0.1 | 16.71 | 1,163 | 30.6 | — | 0.1 | 130 | — | |||||||||||||
100.00 (Default) | 0.1 | — | 74.3 | 0.1 | 100.00 | 1,260 | 33.8 | — | 0.2 | 216 | 0.1 | |||||||||||||
Sub-total | 3.2 | 0.4 | 38.0 | 3.3 | 5.28 | 38,594 | 29.7 | — | 1.7 | 50 | 0.1 | 0.1 | ||||||||||||
AIRB – Secured by mortgages on immovable property non-SME | ||||||||||||||||||||||||
0.00 to <0.15 | 181.2 | 11.7 | 89.5 | 195.5 | 0.07 | 1,091,984 | 15.5 | — | 13.9 | 7 | — | |||||||||||||
0.15 to <0.25 | 30.0 | 1.2 | 83.9 | 31.3 | 0.20 | 132,797 | 15.1 | — | 4.0 | 13 | — | |||||||||||||
0.25 to <0.50 | 26.7 | 2.9 | 40.8 | 28.0 | 0.36 | 123,890 | 17.2 | — | 5.2 | 19 | — | |||||||||||||
0.50 to <0.75 | 11.1 | 0.3 | 90.7 | 11.4 | 0.59 | 49,971 | 11.2 | — | 2.0 | 17 | — | |||||||||||||
0.75 to <2.50 | 24.1 | 1.3 | 81.1 | 25.2 | 1.26 | 103,230 | 18.1 | — | 7.7 | 31 | 0.1 | |||||||||||||
2.50 to <10.00 | 5.5 | 0.2 | 97.7 | 5.7 | 4.48 | 26,372 | 11.4 | — | 2.2 | 38 | — | |||||||||||||
10.00 to <100.00 | 1.8 | 0.1 | 98.6 | 1.9 | 24.64 | 17,114 | 21.2 | — | 2.7 | 139 | 0.1 | |||||||||||||
100.00 (Default) | 2.3 | — | 81.3 | 2.3 | 100.00 | 18,451 | 23.8 | — | 2.0 | 89 | 0.6 | |||||||||||||
Sub-total | 282.7 | 17.7 | 80.7 | 301.3 | 1.23 | 1,563,809 | 15.7 | — | 39.7 | 13 | 0.8 | 0.2 | ||||||||||||
AIRB – Qualifying revolving retail exposures | ||||||||||||||||||||||||
0.00 to <0.15 | 5.1 | 72.8 | 48.9 | 40.6 | 0.07 | 13,771,680 | 91.6 | — | 1.8 | 4 | — | |||||||||||||
0.15 to <0.25 | 1.3 | 13.1 | 46.8 | 7.3 | 0.21 | 2,359,687 | 93.8 | — | 0.8 | 11 | — | |||||||||||||
0.25 to <0.50 | 2.1 | 12.7 | 42.9 | 7.5 | 0.36 | 2,001,516 | 92.5 | — | 1.3 | 17 | — | |||||||||||||
0.50 to <0.75 | 2.6 | 5.3 | 48.2 | 5.1 | 0.62 | 1,077,189 | 91.7 | — | 1.3 | 26 | — | |||||||||||||
0.75 to <2.50 | 5.6 | 7.5 | 49.5 | 9.4 | 1.44 | 2,015,365 | 90.6 | — | 4.6 | 49 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.3 | 1.9 | 63.7 | 4.4 | 4.82 | 919,606 | 89.1 | — | 5.0 | 112 | 0.2 | |||||||||||||
10.00 to <100.00 | 0.9 | 0.4 | 63.1 | 1.1 | 29.82 | 297,798 | 89.6 | — | 2.3 | 215 | 0.3 | |||||||||||||
100.00 (Default) | 0.1 | — | 26.4 | 0.1 | 100.00 | 93,196 | 78.9 | — | 0.2 | 174 | 0.1 | |||||||||||||
Sub-total | 21.0 | 113.7 | 48.3 | 75.5 | 1.20 | 22,536,037 | 91.6 | — | 17.3 | 23 | 0.7 | 0.8 | ||||||||||||
AIRB – Other SME | ||||||||||||||||||||||||
0.00 to <0.15 | 0.1 | 0.4 | 31.8 | 0.2 | 0.09 | 98,699 | 73.9 | — | — | 14 | — | |||||||||||||
0.15 to <0.25 | — | 0.2 | 37.2 | 0.1 | 0.23 | 76,469 | 82.5 | — | — | 30 | — | |||||||||||||
0.25 to <0.50 | 0.1 | 0.4 | 48.9 | 0.4 | 0.38 | 135,369 | 75.7 | — | 0.1 | 40 | — | |||||||||||||
0.50 to <0.75 | 0.2 | 0.5 | 65.1 | 0.5 | 0.63 | 127,764 | 65.1 | — | 0.2 | 44 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 1.1 | 57.3 | 1.8 | 1.61 | 339,473 | 65.7 | — | 1.2 | 66 | — | |||||||||||||
2.50 to <10.00 | 1.9 | 1.1 | 59.1 | 2.5 | 4.85 | 193,306 | 60.6 | — | 2.1 | 81 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.4 | 0.2 | 46.5 | 0.5 | 19.90 | 81,133 | 73.8 | — | 0.7 | 135 | 0.1 | |||||||||||||
100.00 (Default) | 0.3 | 0.1 | 80.7 | 0.3 | 100.00 | 16,603 | 40.4 | — | 0.5 | 141 | 0.2 | |||||||||||||
Sub-total | 4.2 | 4.0 | 54.1 | 6.3 | 9.42 | 1,068,816 | 64.1 | — | 4.8 | 76 | 0.4 | 0.4 | ||||||||||||
AIRB – Other non-SME | ||||||||||||||||||||||||
0.00 to <0.15 | 9.0 | 6.7 | 30.5 | 11.5 | 0.07 | 596,991 | 17.1 | — | 0.6 | 5 | — | |||||||||||||
0.15 to <0.25 | 6.8 | 3.6 | 39.7 | 8.6 | 0.21 | 513,892 | 27.5 | — | 1.1 | 13 | — | |||||||||||||
0.25 to <0.50 | 7.2 | 2.6 | 28.9 | 8.2 | 0.36 | 409,238 | 30.1 | — | 1.6 | 20 | — | |||||||||||||
0.50 to <0.75 | 5.2 | 1.5 | 25.4 | 5.6 | 0.61 | 203,166 | 27.3 | — | 1.3 | 23 | — | |||||||||||||
0.75 to <2.50 | 8.2 | 1.2 | 11.9 | 8.6 | 1.36 | 433,694 | 37.0 | — | 3.9 | 46 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.5 | 1.2 | 21.8 | 3.8 | 4.41 | 251,053 | 34.9 | — | 2.1 | 54 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.7 | 0.1 | 16.6 | 0.7 | 23.05 | 92,678 | 45.9 | — | 0.6 | 93 | 0.1 | |||||||||||||
100.00 (Default) | 0.3 | — | 70.4 | 0.3 | 100.00 | 34,056 | 43.9 | — | 0.3 | 98 | 0.1 | |||||||||||||
Sub-total | 40.9 | 16.9 | 29.8 | 47.3 | 1.75 | 2,534,768 | 28.1 | — | 11.5 | 24 | 0.4 | 0.4 | ||||||||||||
Retail AIRB – Total at 30 Jun 2019 | 352.0 | 152.7 | 50.2 | 433.7 | 1.43 | 27,742,024 | 31.1 | — | 75.0 | 17 | 2.4 | 1.9 |
23 | HSBC Holdings plc |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 | 3.80 | — | 22 | — | |||||||||||||
Sub-total | — | — | 75.0 | 0.1 | 0.03 | 1 | 45.0 | 3.80 | — | 22 | — | — | ||||||||||||
FIRB – Institutions | ||||||||||||||||||||||||
0.00 to <0.15 | 0.5 | — | 23.7 | 0.5 | 0.10 | 2 | 45.0 | 2.00 | 0.2 | 25 | — | |||||||||||||
0.15 to <0.25 | — | — | 47.0 | 0.1 | 0.22 | 1 | 45.0 | 2.90 | — | 53 | — | |||||||||||||
0.25 to <0.50 | — | — | 6.9 | — | 0.37 | 1 | 45.0 | 0.20 | — | 37 | — | |||||||||||||
Sub-total | 0.5 | — | 35.0 | 0.6 | 0.11 | 4 | 45.0 | 2.10 | 0.2 | 28 | — | — | ||||||||||||
FIRB – Corporate – Other | ||||||||||||||||||||||||
0.00 to <0.15 | 9.2 | 13.8 | 45.3 | 15.9 | 0.08 | 1,203 | 43.9 | 2.30 | 4.0 | 25 | — | |||||||||||||
0.15 to <0.25 | 4.3 | 4.9 | 38.9 | 5.9 | 0.22 | 1,297 | 44.6 | 2.20 | 2.8 | 46 | — | |||||||||||||
0.25 to <0.50 | 3.9 | 6.1 | 29.4 | 5.4 | 0.37 | 1,645 | 43.0 | 1.90 | 3.0 | 56 | — | |||||||||||||
0.50 to <0.75 | 4.8 | 5.9 | 36.0 | 6.8 | 0.63 | 1,585 | 39.8 | 1.70 | 4.3 | 64 | — | |||||||||||||
0.75 to <2.50 | 9.9 | 10.3 | 22.9 | 11.7 | 1.37 | 4,424 | 44.0 | 1.70 | 10.9 | 94 | 0.1 | |||||||||||||
2.50 to <10.00 | 3.2 | 2.6 | 23.5 | 3.4 | 4.34 | 1,115 | 42.8 | 1.70 | 4.6 | 133 | 0.1 | |||||||||||||
10.00 to <100.00 | 0.5 | 0.3 | 32.0 | 0.6 | 15.74 | 185 | 44.8 | 1.60 | 1.3 | 202 | — | |||||||||||||
100.00 (Default) | 1.0 | 0.2 | 21.7 | 1.0 | 100.00 | 327 | 37.9 | 1.90 | — | — | 0.4 | |||||||||||||
Sub-total | 36.8 | 44.1 | 34.5 | 50.7 | 2.98 | 11,781 | 43.2 | 2.00 | 30.9 | 61 | 0.6 | 0.5 | ||||||||||||
FIRB – Total at 30 Jun 2019 | 37.3 | 44.1 | 34.5 | 51.4 | 2.94 | 11,786 | 43.2 | 2.00 | 31.1 | 61 | 0.6 | 0.5 |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Securitisation positions are not included in this table. |
2 | Slotting exposures are disclosed in Table 25: Specialised lending on slotting approach (CR10). The number of obligors for the comparative period have been restated to exclude slotting. |
3 | The ‘Wholesale AIRB – Total’ includes non-credit obligation assets (‘NCOA’) amounting to $61.7bn of original exposure and EAD, and $15.0bn of RWAs. |
HSBC Holdings plc | 24 |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 | — | |||||||||||||
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)2 | ||||||||||||||||||||||||
0.00 to <0.15 | 1.8 | 1.3 | 38.0 | 2.1 | 0.10 | 39 | 30.4 | 3.40 | 0.6 | 27 | — | |||||||||||||
0.15 to <0.25 | 1.9 | 0.4 | 33.4 | 2.0 | 0.22 | 40 | 28.6 | 3.40 | 0.7 | 37 | — | |||||||||||||
0.25 to <0.50 | 0.6 | 0.3 | 35.8 | 0.7 | 0.37 | 18 | 28.9 | 4.40 | 0.4 | 55 | — | |||||||||||||
0.50 to <0.75 | 1.3 | 0.2 | 34.4 | 1.0 | 0.63 | 25 | 24.5 | 3.50 | 0.5 | 51 | — | |||||||||||||
0.75 to <2.50 | 1.2 | 0.5 | 49.7 | 1.5 | 1.38 | 38 | 32.1 | 3.80 | 1.3 | 91 | — | |||||||||||||
2.50 to <10.00 | 0.6 | 0.1 | 51.1 | 0.5 | 5.34 | 13 | 27.4 | 3.20 | 0.5 | 101 | — | |||||||||||||
10.00 to <100.00 | 0.3 | 0.1 | 48.1 | 0.3 | 24.05 | 7 | 23.2 | 3.40 | 0.4 | 130 | — | |||||||||||||
100.00 (Default) | 0.1 | 0.1 | 87.5 | 0.2 | 100.00 | 10 | 37.9 | 4.80 | 0.5 | 258 | 0.1 | |||||||||||||
Sub-total | 7.8 | 3.0 | 41.3 | 8.3 | 3.68 | 190 | 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 20183 | 915.5 | 466.9 | 36.1 | 1,082.1 | 0.98 | 103,451 | 39.9 | 2.00 | 384.9 | 37 | 4.1 | 3.3 |
25 | HSBC Holdings plc |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 |
HSBC Holdings plc | 26 |
Table 23: IRB – Credit risk exposures by portfolio and PD range¹ (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 | — | |||||||||||||
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 | — | |||||||||||||
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 |
^ | Figures have been prepared on an IFRS 9 transitional basis. |
1 | Securitisation positions are not included in this table. |
2 | Slotting exposures are disclosed in Table 25: Specialised lending on slotting approach (CR10). The number of obligors at 31 December 2018 have been restated to exclude slotting. |
3 | The ‘Wholesale AIRB – Total’ includes NCOA amounting to $56.9bn of original exposure and EAD, and $10.8bn of RWAs. |
Table 24: IRB – Effect on RWA of credit derivatives used as CRM techniques (CR7) | ||||||||||
At | ||||||||||
30 Jun 2019 | 31 Dec 2018 | |||||||||
Pre-credit derivatives RWAs | Actual RWAs | Pre-credit derivatives RWAs | Actual RWAs | |||||||
Footnotes | $bn | $bn | $bn | $bn | ||||||
1 | Exposures under FIRB | 31.1 | 31.1 | 30.5 | 30.5 | |||||
3 | Institutions | 0.2 | 0.2 | 0.2 | 0.2 | |||||
6 | Corporates – other | 30.9 | 30.9 | 30.3 | 30.3 | |||||
7 | Exposures under AIRB | 1 | 492.2 | 491.4 | 480.0 | 479.0 | ||||
8 | Central governments and central banks | 38.6 | 38.6 | 36.9 | 36.9 | |||||
9 | Institutions | 15.5 | 15.5 | 14.2 | 14.2 | |||||
11 | Corporates – specialised lending | 28.0 | 28.0 | 27.0 | 27.0 | |||||
12 | Corporates – other | 320.1 | 319.3 | 319.1 | 318.1 | |||||
13 | Retail – secured by real estate SMEs | 1.7 | 1.7 | 1.8 | 1.8 | |||||
14 | Retail – secured by real estate non-SMEs | 39.7 | 39.7 | 37.2 | 37.2 | |||||
15 | Retail – qualifying revolving | 17.3 | 17.3 | 17.3 | 17.3 | |||||
16 | Retail – other SMEs | 4.8 | 4.8 | 4.8 | 4.8 | |||||
17 | Retail – other non-SMEs | 11.5 | 11.5 | 10.9 | 10.9 | |||||
19 | Other non-credit obligation assets | 15.0 | 15.0 | 10.8 | 10.8 | |||||
20 | Total | 523.3 | 522.5 | 510.5 | 509.5 |
1 | Securitisation positions are not included in this table. |
27 | HSBC Holdings plc |
Table 25: 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 | Less than 2.5 years | 15.3 | 2.7 | 50 | 16.3 | 8.2 | — | ||||||
Equal to or more than 2.5 years | 12.3 | 2.5 | 70 | 13.3 | 9.3 | 0.1 | |||||||
Category 2 | Less than 2.5 years | 3.4 | 0.4 | 70 | 3.6 | 2.5 | — | ||||||
Equal to or more than 2.5 years | 2.3 | 0.5 | 90 | 2.5 | 2.3 | — | |||||||
Category 3 | Less than 2.5 years | 0.3 | — | 115 | 0.4 | 0.4 | — | ||||||
Equal to or more than 2.5 years | 0.2 | — | 115 | 0.2 | 0.2 | — | |||||||
Category 4 | Less than 2.5 years | 0.1 | — | 250 | 0.1 | 0.2 | — | ||||||
Equal to or more than 2.5 years | — | — | 250 | — | 0.1 | — | |||||||
Category 5 | Less than 2.5 years | 0.4 | — | — | 0.6 | — | 0.3 | ||||||
Equal to or more than 2.5 years | 0.2 | — | — | 0.2 | — | 0.1 | |||||||
Total at 30 Jun 2019 | Less than 2.5 years | 19.5 | 3.1 | 21.0 | 11.3 | 0.3 | |||||||
Equal to or more than 2.5 years | 15.0 | 3.0 | 16.2 | 11.9 | 0.2 | ||||||||
Category 1 | 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 | 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 | 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 | 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 | 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 |
HSBC Holdings plc | 28 |
Counterparty credit risk |
Table 26: 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 | 10.5 | 27.2 | — | — | 37.7 | 15.4 | ||||||
4 | Internal model method | — | — | 30.3 | 1.4 | 42.4 | 17.4 | ||||||
6 | – of which: derivatives and long settlement transactions2 | — | — | 30.3 | 1.4 | 42.4 | 17.4 | ||||||
9 | Financial collateral comprehensive method (for SFTs) | — | — | — | — | 51.8 | 10.8 | ||||||
11 | Total at 30 Jun 2019 | 10.5 | 27.2 | 30.3 | 131.9 | 43.6 | |||||||
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 | 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 here will be those under the mark-to-market method. |
Table 27: Credit valuation adjustment capital charge (CCR2) | |||||||||
At | |||||||||
30 Jun 2019 | 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 | 20.6 | 4.1 | 21.4 | 4.9 | ||||
2 | – VaR component (including the 3 × multiplier) | 0.7 | 0.9 | ||||||
3 | – stressed VaR component (including the 3 × multiplier) | 3.4 | 4.0 | ||||||
4 | All portfolios subject to the Standardised CVA capital charge | 15.6 | 1.7 | 13.6 | 1.0 | ||||
5 | Total subject to the CVA capital charge | 36.2 | 5.8 | 35.0 | 5.9 |
Table 28: 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 | |||||||||||
1 | Central governments and central banks | 6.4 | — | 0.1 | — | — | 0.1 | — | — | 6.6 | 0.1 | ||||||||||
2 | Regional government or local authorities | 1.4 | — | — | — | — | — | — | — | 1.4 | — | ||||||||||
6 | Institutions | — | — | — | — | — | 0.1 | — | — | 0.1 | — | ||||||||||
7 | Corporates | — | — | — | — | — | 2.0 | — | — | 2.0 | 1.7 | ||||||||||
Total at 30 Jun 2019 | 7.8 | — | 0.1 | — | 2.2 | — | — | 10.1 | 1.8 | ||||||||||||
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 |
29 | HSBC Holdings plc |
Table 29: 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 | Footnotes | $bn | % | % | years | $bn | % | |||||
AIRB – Central government and central banks | ||||||||||||
0.00 to <0.15 | 8.6 | 0.03 | 98 | 44.8 | 1.06 | 0.6 | 7 | |||||
0.15 to <0.25 | 0.2 | 0.22 | 11 | 45.0 | 3.01 | 0.1 | 54 | |||||
0.25 to <0.50 | 0.1 | 0.37 | 7 | 45.0 | 2.45 | 0.1 | 63 | |||||
0.50 to <0.75 | 0.1 | 0.63 | 3 | 45.0 | 1.00 | — | 62 | |||||
0.75 to <2.50 | 0.9 | 1.47 | 7 | 45.0 | 1.04 | 0.9 | 103 | |||||
2.50 to <10.00 | — | 6.47 | 1 | 45.0 | 3.85 | — | 192 | |||||
Sub-total | 9.9 | 0.23 | 127 | 44.9 | 1.10 | 1.7 | 17 | |||||
AIRB – Institutions | ||||||||||||
0.00 to <0.15 | 45.5 | 0.07 | 4,523 | 44.6 | 1.14 | 9.1 | 20 | |||||
0.15 to <0.25 | 3.8 | 0.22 | 437 | 45.2 | 1.39 | 1.8 | 48 | |||||
0.25 to <0.50 | 0.6 | 0.37 | 87 | 46.4 | 1.20 | 0.4 | 55 | |||||
0.50 to <0.75 | 0.8 | 0.63 | 60 | 44.3 | 0.61 | 0.6 | 74 | |||||
0.75 to <2.50 | 0.3 | 1.30 | 128 | 46.1 | 2.26 | 0.4 | 117 | |||||
2.50 to <10.00 | 0.1 | 5.95 | 18 | 47.0 | 1.11 | 0.1 | 165 | |||||
10.00 to <100.00 | 0.2 | 12.95 | 6 | 55.0 | 0.36 | 0.4 | 243 | |||||
100.00 (Default) | — | 100.00 | 1 | 45.0 | 1.00 | — | — | |||||
Sub-total | 51.3 | 0.15 | 5,260 | 44.6 | 1.15 | 12.8 | 25 | |||||
AIRB – Corporates | ||||||||||||
0.00 to <0.15 | 31.9 | 0.07 | 5,352 | 43.9 | 1.75 | 7.1 | 22 | |||||
0.15 to <0.25 | 8.7 | 0.22 | 1,851 | 46.7 | 1.75 | 3.9 | 45 | |||||
0.25 to <0.50 | 4.4 | 0.37 | 1,093 | 45.2 | 1.65 | 2.7 | 61 | |||||
0.50 to <0.75 | 3.5 | 0.63 | 995 | 43.9 | 1.61 | 2.8 | 80 | |||||
0.75 to <2.50 | 6.5 | 1.36 | 7,211 | 46.4 | 1.33 | 6.8 | 105 | |||||
2.50 to <10.00 | 0.8 | 3.87 | 573 | 48.6 | 1.59 | 1.3 | 152 | |||||
10.00 to <100.00 | 0.1 | 23.64 | 54 | 52.8 | 1.34 | 0.1 | 260 | |||||
100.00 (Default) | — | 100.00 | 13 | 35.9 | 2.69 | — | — | |||||
Sub-total | 55.9 | 0.40 | 17,142 | 44.9 | 1.68 | 24.7 | 44 | |||||
AIRB – Total at 30 Jun 2019 | 1 | 117.1 | 0.28 | 22,529 | 44.8 | 1.31 | 39.2 | 33 | ||||
FIRB – Corporates | ||||||||||||
0.00 to <0.15 | 3.0 | 0.07 | 732 | 45.0 | 2.00 | 0.7 | 23 | |||||
0.15 to <0.25 | 0.4 | 0.22 | 135 | 45.0 | 1.60 | 0.2 | 40 | |||||
0.25 to <0.50 | 0.3 | 0.37 | 158 | 45.0 | 1.40 | 0.1 | 58 | |||||
0.50 to <0.75 | 0.1 | 0.63 | 104 | 45.0 | 1.40 | 0.1 | 76 | |||||
0.75 to <2.50 | 0.8 | 1.65 | 611 | 45.0 | 1.61 | 0.8 | 108 | |||||
2.50 to <10.00 | 0.1 | 4.45 | 88 | 45.0 | 2.31 | 0.2 | 155 | |||||
100.00 (Default) | — | 100.00 | 6 | 45.0 | 3.97 | — | — | |||||
FIRB – Total at 30 Jun 2019 | 4.7 | 0.55 | 1,851 | 45.0 | 1.86 | 2.1 | 45 | |||||
Total (all portfolios) at 30 Jun 2019 | 121.8 | 0.29 | 24,380 | 44.8 | 1.58 | 41.3 | 34 |
1 | AIRB Corporates include specialised lending exposures totalling $1.1bn EAD (31 December 2018: $1.2bn) and $0.3bn RWAs (31 December 2018: $0.6bn). |
HSBC Holdings plc | 30 |
Table 29: 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 | Footnotes | $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 | |||||
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 | 7.8 | 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 | 12.1 | 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 | 1 | 110.5 | 0.28 | 22,300 | 49.2 | 1.38 | 36.3 | 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 | 38.2 | 33 |
Table 30: 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 | 673.5 | 518.4 | 155.1 | 47.9 | 107.2 | |||||
2 | SFTs | 1,012.3 | — | 1,012.3 | 959.5 | 52.8 | |||||
4 | Total at 30 Jun 2019 | 1,685.8 | 518.4 | 1,167.4 | 1,007.4 | 160.0 | |||||
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 |
31 | HSBC Holdings plc |
Table 31: 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 | — | 7.8 | 1.5 | 4.9 | 55.4 | 101.9 | ||||||
2 | Cash – other currencies | — | 43.4 | 6.1 | 38.0 | 377.6 | 429.6 | ||||||
3 | Domestic sovereign debt | — | 6.4 | — | 6.4 | 87.2 | 66.1 | ||||||
4 | Other sovereign debt | — | 8.8 | — | 15.8 | 388.2 | 340.3 | ||||||
5 | Government agency debt | — | 0.1 | — | 0.9 | 13.4 | 18.2 | ||||||
6 | Corporate bonds | — | 1.1 | — | 0.4 | 38.8 | 17.0 | ||||||
7 | Equity securities | — | 0.2 | — | — | 40.0 | 36.1 | ||||||
8 | Other collateral | — | 0.2 | — | 1.4 | 2.5 | 3.1 | ||||||
9 | Total at 30 Jun 2019 | — | 68.0 | 7.6 | 67.8 | 1,003.1 | 1,012.3 | ||||||
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 32: Exposures to central counterparties (CCR8) | |||||||||
At | |||||||||
30 Jun 2019 | 31 Dec 2018 | ||||||||
EAD post-CRM | RWAs | EAD post-CRM | RWAs | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | Exposures to qualifying central counterparties (‘QCCPs’) (total) | 1.1 | 1.1 | ||||||
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions) | 22.8 | 0.4 | 24.8 | 0.5 | ||||
3 | – OTC derivatives | 11.9 | 0.2 | 9.8 | 0.2 | ||||
4 | – exchange-traded derivatives | 5.2 | 0.1 | 9.2 | 0.2 | ||||
5 | – securities financing transactions | 5.7 | 0.1 | 5.8 | 0.1 | ||||
7 | Segregated initial margin | 7.6 | 7.1 | ||||||
8 | Non-segregated initial margin | 9.9 | 0.2 | 10.4 | 0.2 | ||||
9 | Pre-funded default fund contributions | — | 0.5 | — | 0.4 |
Table 33: Credit derivatives exposures (CCR6) | |||||||||
At | |||||||||
30 Jun 2019 | 31 Dec 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 | 7.4 | 2.9 | 2.3 | — | |||||
Total notionals used for own credit portfolio | 7.4 | 2.9 | 2.3 | — | |||||
Credit derivative products used for intermediation | 1 | ||||||||
– index credit default swaps | 194.9 | 179.1 | 168.6 | 154.0 | |||||
– total return swaps | 15.8 | 9.9 | 14.6 | 6.9 | |||||
Total notionals used for intermediation | 210.7 | 189.0 | 183.2 | 160.9 | |||||
Total credit derivative notionals | 218.1 | 191.9 | 185.5 | 160.9 | |||||
Fair values | |||||||||
– Positive fair value (asset) | 2.5 | 2.9 | 2.6 | 1.2 | |||||
– Negative fair value (liability) | (3.3 | ) | (2.7 | ) | (1.4 | ) | (2.4 | ) |
1 | These are products where we act as an intermediary for our clients, enabling them to take a position in the underlying securities. These do not increase risk for HSBC. |
HSBC Holdings plc | 32 |
Securitisation |
Table 34: 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) | — | — | — | 14.3 | — | 14.3 | 7.9 | — | 7.9 | |||||||||||
2 | – residential mortgage | — | — | — | 4.3 | — | 4.3 | 4.4 | — | 4.4 | |||||||||||
3 | – credit card | — | — | — | 1.0 | — | 1.0 | 1.0 | — | 1.0 | |||||||||||
4 | – other retail exposures | — | — | — | 9.0 | — | 9.0 | 2.5 | — | 2.5 | |||||||||||
6 | Wholesale (total) | — | 2.5 | 2.5 | 5.7 | — | 5.7 | 2.2 | — | 2.2 | |||||||||||
7 | – loans to corporates | — | 2.5 | 2.5 | — | — | — | 0.1 | — | 0.1 | |||||||||||
8 | – commercial mortgage | — | — | — | 0.1 | — | 0.1 | 1.6 | — | 1.6 | |||||||||||
9 | – lease and receivables | — | — | — | 5.4 | — | 5.4 | 0.4 | — | 0.4 | |||||||||||
10 | – other wholesale | — | — | — | 0.2 | — | 0.2 | 0.1 | — | 0.1 | |||||||||||
11 | – resecuritisation | — | — | — | — | — | — | — | — | — | |||||||||||
Total at 30 Jun 2019 | — | 2.5 | 2.5 | 20.0 | — | 20.0 | 10.1 | — | 10.1 | ||||||||||||
– of which: | |||||||||||||||||||||
securitisations under the new framework | — | — | — | 4.6 | — | 4.6 | 2.1 | — | 2.1 | ||||||||||||
securitisations under the pre-existing framework | — | 2.5 | 2.5 | 15.4 | — | 15.4 | 8.0 | — | 8.0 | ||||||||||||
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 | |||||||||||
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 | – resecuritisation | — | — | — | 0.4 | — | 0.4 | — | — | — | |||||||||||
Total at 31 Dec 2018 | 0.4 | 3.2 | 3.6 | 19.9 | — | 19.9 | 8.9 | — | 8.9 |
Table 35: Securitisation exposures in the trading book (SEC2) | |||||||||||||
At | |||||||||||||
30 Jun 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) | 1.7 | — | 1.7 | 2.0 | — | 2.0 | ||||||
2 | – residential mortgage | 1.1 | — | 1.1 | 1.1 | — | 1.1 | ||||||
3 | – credit card | 0.1 | — | 0.1 | 0.2 | — | 0.2 | ||||||
4 | – other retail exposures | 0.5 | — | 0.5 | 0.7 | — | 0.7 | ||||||
6 | Wholesale (total) | 1.1 | — | 1.1 | 0.9 | — | 0.9 | ||||||
8 | – commercial mortgage | 0.9 | — | 0.9 | 0.7 | — | 0.7 | ||||||
10 | – other wholesale | 0.2 | — | 0.2 | 0.2 | — | 0.2 | ||||||
Total (all portfolios) | 2.8 | — | 2.8 | 2.9 | — | 2.9 | |||||||
– of which: | |||||||||||||
securitisations under the new framework | 0.1 | — | 0.1 | N/A | N/A | N/A | |||||||
securitisations under the pre-existing framework | 2.7 | — | 2.7 | 2.9 | — | 2.9 |
1 | HSBC does not act as originator or sponsor for securitisation exposures in the trading book. |
33 | HSBC Holdings plc |
Table 36i: Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as 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 RBA (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 14.6 | 0.1 | 0.1 | 0.6 | — | 14.8 | — | 0.6 | — | ||||||||||
3 | Securitisation | 14.6 | 0.1 | 0.1 | 0.6 | — | 14.8 | — | 0.6 | — | ||||||||||
4 | – retail underlying | 10.3 | 0.1 | — | 0.6 | — | 10.4 | — | 0.6 | — | ||||||||||
5 | – wholesale | 4.3 | — | 0.1 | — | — | 4.4 | — | — | — | ||||||||||
6 | Resecuritisation | — | — | — | — | — | — | — | — | — | ||||||||||
8 | – non-senior | — | — | — | — | — | — | — | — | — | ||||||||||
9 | Synthetic securitisation | 2.1 | — | — | 0.4 | — | 2.5 | — | — | — | ||||||||||
10 | Securitisation | 2.1 | — | — | 0.4 | — | 2.5 | — | — | — | ||||||||||
12 | – wholesale | 2.1 | — | — | 0.4 | — | 2.5 | — | — | — | ||||||||||
1 | Total at 30 Jun 2019 | 16.7 | 0.1 | 0.1 | 1.0 | — | 17.3 | — | 0.6 | — | ||||||||||
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 | Resecuritisation | — | 0.2 | — | 0.1 | 0.1 | 0.3 | — | — | 0.1 | ||||||||||
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 | — | — | — | ||||||||||
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 |
RWAs (by regulatory approach) | Capital charge after cap | |||||||||||||||||
IRB RBA (including IAA) | IRB SFA | SA | 1,250% | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | |||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
2 | Traditional securitisation | 1.7 | — | 0.9 | — | 0.1 | — | 0.1 | — | |||||||||
3 | Securitisation | 1.6 | — | 0.9 | — | 0.1 | — | 0.1 | — | |||||||||
4 | – retail underlying | 1.1 | — | 0.9 | — | 0.1 | — | 0.1 | — | |||||||||
5 | – wholesale | 0.5 | — | — | — | — | — | — | — | |||||||||
6 | Resecuritisation | 0.1 | — | — | — | — | — | — | — | |||||||||
8 | – non-senior | 0.1 | — | — | — | — | — | — | — | |||||||||
9 | Synthetic securitisation | 0.7 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
10 | Securitisation | 0.7 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
12 | – wholesale | 0.7 | — | — | 0.2 | 0.1 | — | — | — | |||||||||
1 | Total at 30 Jun 2019 | 2.4 | — | 0.9 | 0.2 | 0.2 | — | 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 | Resecuritisation | 0.5 | — | — | 0.8 | — | — | — | 0.1 | |||||||||
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 | — | — | — | |||||||||
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 |
HSBC Holdings plc | 34 |
Table 36ii: Securitisation exposures in the non-trading book and associated regulatory capital requirements – bank acting as originator or as 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 | 2.9 | 1.5 | 0.2 | — | — | — | — | 3.8 | 0.8 | — | |||||||||||
3 | Securitisation | 2.9 | 1.5 | 0.2 | — | — | — | — | 3.8 | 0.8 | — | |||||||||||
4 | – retail underlying | 1.7 | 1.4 | 0.2 | — | — | — | — | 2.5 | 0.8 | — | |||||||||||
5 | – wholesale | 1.2 | 0.1 | — | — | — | — | — | 1.3 | — | — | |||||||||||
1 | Total at 30 Jun 2019 | 2.9 | 1.5 | 0.2 | — | — | — | — | 3.8 | 0.8 | — |
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 | — | — | 0.9 | 0.2 | — | — | — | 0.1 | — | — | |||||||||||
3 | Securitisation | — | — | 0.9 | 0.2 | — | — | — | 0.1 | — | — | |||||||||||
4 | – retail underlying | — | — | 0.7 | 0.2 | — | — | — | 0.1 | — | — | |||||||||||
5 | – wholesale | — | — | 0.2 | — | — | — | — | — | — | — | |||||||||||
1 | Total at 30 Jun 2019 | — | — | 0.9 | 0.2 | — | — | — | 0.1 | — | — |
Table 37i: 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 RBA (including IAA) | IRB SFA | SA | 1,250% | ||||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | ||||||||||||
2 | Traditional securitisation | 6.4 | 0.7 | 0.9 | — | — | 6.5 | — | 1.5 | — | ||||||||||
3 | Securitisation | 6.4 | 0.7 | 0.9 | — | — | 6.5 | — | 1.5 | — | ||||||||||
4 | – retail underlying | 4.2 | 0.7 | 0.9 | — | — | 4.3 | — | 1.5 | — | ||||||||||
5 | – wholesale | 2.2 | — | — | — | — | 2.2 | — | — | — | ||||||||||
1 | Total at 30 Jun 2019 | 6.4 | 0.7 | 0.9 | — | — | 6.5 | — | 1.5 | — | ||||||||||
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 RBA (including IAA) | IRB SFA | SA | 1,250% | IRB RBA (including IAA) | IRB SFA | SA | 1,250% | |||||||||||
$bn | $bn | $bn | $bn | $bn | $bn | $bn | $bn | |||||||||||
2 | Traditional securitisation | 0.8 | — | 1.1 | 0.3 | 0.1 | — | 0.1 | — | |||||||||
3 | Securitisation | 0.8 | — | 1.1 | 0.3 | 0.1 | — | 0.1 | — | |||||||||
4 | – retail underlying | 0.4 | — | 1.1 | 0.2 | — | — | 0.1 | — | |||||||||
5 | – wholesale | 0.4 | — | — | 0.1 | 0.1 | — | — | — | |||||||||
1 | Total at 30 Jun 2019 | 0.8 | — | 1.1 | 0.3 | 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 | — |
35 | HSBC Holdings plc |
Table 37ii: 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 | 1.4 | 0.4 | — | 0.3 | — | — | 0.7 | — | 1.4 | — | |||||||||||
3 | Securitisation | 1.4 | 0.4 | — | 0.3 | — | — | 0.7 | — | 1.4 | — | |||||||||||
4 | – retail underlying | 1.4 | 0.4 | — | 0.3 | — | — | 0.7 | — | 1.4 | — | |||||||||||
1 | Total at 30 Jun 2019 | 1.4 | 0.4 | — | 0.3 | — | — | 0.7 | — | 1.4 | — |
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 | — | 0.3 | — | 0.3 | — | — | — | — | — | — | |||||||||||
3 | Securitisation | — | 0.3 | — | 0.3 | — | — | — | — | — | — | |||||||||||
4 | – retail underlying | — | 0.3 | — | 0.3 | — | — | — | — | — | — | |||||||||||
1 | Total at 30 Jun 2019 | — | 0.3 | — | 0.3 | — | — | — | — | — | — |
HSBC Holdings plc | 36 |
Market risk |
• | trading portfolios: these comprise positions arising from market-making; and |
• | non-trading portfolios: these comprise positions that primarily arise from the interest rate management of our retail and commercial banking assets and liabilities, financial investments measured at fair value through other comprehensive income, debt instruments measured at amortised cost, and exposures arising from our insurance operations. |
Table 38: Market risk under standardised approach (MR1) | |||||||
At | |||||||
30 Jun | 31 Dec | 30 Jun | |||||
2019 | 2018 | 2019 | |||||
RWAs | RWAs | Capital requirements | |||||
$bn | $bn | $bn | |||||
Outright products | |||||||
1 | Interest rate risk (general and specific) | 2.1 | 2.5 | 0.2 | |||
2 | Equity risk (general and specific) | 0.1 | 0.1 | — | |||
3 | Foreign exchange risk | 0.2 | 1.4 | — | |||
Options | |||||||
6 | Delta-plus method | 0.1 | 0.1 | — | |||
8 | Securitisation (specific risk) | 1.8 | 1.6 | 0.2 | |||
9 | Total | 4.3 | 5.7 | 0.4 |
Table 39: Market risk under IMA (MR2-A) | |||||||||
At 30 Jun 2019 | At 31 Dec 2018 | ||||||||
RWAs | Capital requirements | RWAs | Capital requirements | ||||||
$bn | $bn | $bn | $bn | ||||||
1 | VaR (higher of values a and b) | 6.5 | 0.5 | 7.1 | 0.6 | ||||
(a) | Previous day’s VaR | 0.1 | 0.1 | ||||||
(b) | Average daily VaR | 0.5 | 0.6 | ||||||
2 | Stressed VaR (higher of values a and b) | 9.4 | 0.7 | 12.1 | 1.0 | ||||
(a) | Latest stressed VaR | 0.1 | 0.2 | ||||||
(b) | Average stressed VaR | 0.7 | 1.0 | ||||||
3 | Incremental risk charge (higher of values a and b) | 11.1 | 0.9 | 6.4 | 0.5 | ||||
(a) | Most recent IRC value | 0.8 | 0.4 | ||||||
(b) | Average IRC value | 0.9 | 0.5 | ||||||
5 | Other | 3.5 | 0.3 | 4.5 | 0.3 | ||||
6 | Total | 30.5 | 2.4 | 30.1 | 2.4 |
37 | HSBC Holdings plc |
Table 40: IMA values for trading portfolios¹ (MR3) | |||||
At | |||||
30 Jun | 31 Dec | ||||
2019 | 2018 | ||||
$m | $m | ||||
VaR (10 day 99%) | |||||
1 | Maximum value | 201.3 | 210.0 | ||
2 | Average value | 169.9 | 182.9 | ||
3 | Minimum value | 138.5 | 160.3 | ||
4 | Period end | 168.2 | 193.2 | ||
Stressed VaR (10 day 99%) | |||||
5 | Maximum value | 327.3 | 408.5 | ||
6 | Average value | 236.5 | 256.8 | ||
7 | Minimum value | 156.9 | 194.9 | ||
8 | Period end | 156.9 | 408.5 | ||
Incremental risk charge (99.9%) | |||||
9 | Maximum value | 1,089.2 | 743.7 | ||
10 | Average value | 815.1 | 603.9 | ||
11 | Minimum value | 573.7 | 424.9 | ||
12 | Period end | 785.2 | 492.7 |
1 | Comparatives as at 31 December 2018 for averages, maximums and minimums were restated in compliance with EBA guidance. |
• | The decrease in VaR was driven mainly by lower contributions from equity correlation and dividend risks captured in the risk-not-in-VaR (‘RNIV’) framework, which covers risks in our trading book that are not fully captured by the VaR model. |
• | Stressed VaR reduction was primarily due to lower contributions from foreign exchange and rates activities and |
• | The increase in incremental risk charge was mainly due to a larger contribution predominantly from Brazil, US and China sovereigns. |
Table 41: Comparison of VaR estimates with gains/losses (MR4) |
VaR back-testing exceptions against actual profit and loss ($m) |
Actual profit and loss | Profit or loss exception | VaR | |||
HSBC Holdings plc | 38 |
• | a profit exception in early January 2019, driven by gains across most asset classes, as interest rates rose and equity markets rebounded; |
• | a profit exception in late January 2019, mainly due to gains from new transactions in the rates business and lower equity volatilities; |
• | a profit exception in March 2019, driven by increased volatility in some emerging markets currencies and interest rates; and |
• | a loss exception in March 2019, attributable to month-end valuation adjustments driven by portfolio and spread changes. |
VaR back-testing exceptions against hypothetical profit and loss ($m) |
Hypothetical profit and loss | VaR | ||
39 | HSBC Holdings plc |
Minimum requirement for own funds and eligible liabilities |
• | 16% of the Group’s consolidated RWAs; |
• | 6% of the Group’s consolidated leverage exposure; and |
• | the sum of all loss-absorbing capacity requirements and other capital requirements relating to Group entities or sub-groups. |
• | 18% of the Group’s consolidated RWAs; |
• | 6.75% of the Group’s consolidated leverage exposure; and |
• | the sum of all loss-absorbing capacity requirements and other capital requirements relating to other Group entities or sub-groups. |
Resolution group | Resolution entity | Material entity/subgroup |
European resolution group | HSBC Holdings plc | HSBC UK Holdings Limited |
HSBC Bank plc | ||
HSBC UK Bank plc | ||
HSBC France | ||
Asian resolution group | HSBC Asia Holdings Limited | The Hongkong and Shanghai Banking Corporation Limited |
Hang Seng Bank Limited | ||
US resolution group | HSBC North America Holdings Inc | N/A |
Table 42: Key metrics of the resolution groups (KM2) | ||||
At 30 June 2019 | ||||
Resolution group | ||||
European1 | Asian2 | US3 | ||
1 | Total loss absorbing capacity ('TLAC') available ($m) | 97,256 | 97,040 | 31,739 |
1a | Fully loaded ECL accounting model TLAC available ($m) | 97,055 | 97,040 | N/A |
2 | Total RWA at the level of the resolution group ($m) | 321,149 | 371,100 | 140,762 |
3 | TLAC as a percentage of RWA (row1/row2) (%) | 30.3% | 26.1% | 22.5% |
3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%) | 30.2% | 26.1% | N/A |
4 | Leverage exposure measure at the level of the resolution group ($m) | 1,176,134 | 1,041,168 | 362,621 |
5 | TLAC as a percentage of leverage exposure measure (row1/row4) (%) | 8.3% | 9.3% | 8.8% |
5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model Leverage exposure measure (%) | 8.3% | 9.3% | N/A |
6a | Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No |
6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No |
6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognised as external TLAC, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognised as external TLAC if no cap was applied (%) | N/A | N/A | N/A |
1 | The European resolution group reports in accordance with the applicable provisions of the Capital Requirements Regulation as amended by CRR II. Unless otherwise stated, all figures are calculated using the EU's regulatory transitional arrangements for IFRS 9 in article 473a of the Capital Requirements Regulation. |
2 | Reporting for the Asian resolution group follows the Hong Kong Monetary Authority (‘HKMA’) regulatory rules. IFRS 9 has been implemented but no regulatory transitional arrangements apply. |
3 | Reporting for the US resolution group is prepared in accordance with local regulatory rules. The US accounting standard for current expected credit losses ('CECL') corresponding to IFRS 9 is not yet effective. Leverage exposure and ratio are calculated under the US supplementary leverage ratio rules. |
HSBC Holdings plc | 40 |
Table 43: TLAC composition (TLAC1) | |||||||||||
At 30 June 2019 | |||||||||||
Group1 | Resolution group | ||||||||||
Footnotes | European1 | Asian2 | US3 | ||||||||
Regulatory capital elements of TLAC and adjustments ($m) | |||||||||||
Common equity tier 1 capital before adjustments | 126,949 | 116,222 | 61,561 | 18,649 | |||||||
Deduction of CET1 exposures between MPE resolution groups and other group entities | — | 102,699 | — | — | |||||||
1 | Common equity tier 1 capital ('CET1') | 126,949 | 13,523 | 61,561 | 18,649 | ||||||
2 | Additional tier 1 capital ('AT1') before TLAC adjustments | 25,878 | 25,089 | 5,837 | 2,240 | ||||||
3 | AT1 ineligible as TLAC as issued out of subsidiaries to third parties | — | — | — | — | ||||||
4 | Other adjustments | — | 7,940 | — | — | ||||||
5 | AT1 instruments eligible under the TLAC framework (row 2 minus row 3 minus row 4) | 25,878 | 17,149 | 5,837 | 2,240 | ||||||
6 | Tier 2 capital ('T2') before TLAC adjustments | 25,432 | 25,167 | 8,074 | 5,503 | ||||||
7 | Amortised portion of T2 instruments where remaining maturity > 1 year | 1,257 | 302 | — | — | ||||||
8 | T2 capital ineligible as TLAC as issued out of subsidiaries to third parties | — | — | 400 | — | ||||||
9 | Other adjustments | — | 7,947 | — | 2,653 | ||||||
10 | T2 instruments eligible under the TLAC framework (row 6 plus row 7 minus row 8 minus row 9) | 26,689 | 17,522 | 7,674 | 2,850 | ||||||
11 | TLAC arising from regulatory capital | 179,516 | 48,194 | 75,072 | 23,739 | ||||||
Non-regulatory capital elements of TLAC ($m) | |||||||||||
12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 80,046 | 49,062 | 21,970 | 8,000 | ||||||
13 | External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements | — | — | — | — | ||||||
14 | Of which: amount eligible as TLAC after application of the caps | — | — | — | — | ||||||
15 | External TLAC instruments issued by funding vehicles prior to 1 January 2022 | — | — | — | — | ||||||
16 | Eligible ex ante commitments to recapitalise a G-SIB in resolution | — | — | — | — | ||||||
17 | TLAC arising from non-regulatory capital instruments before adjustments | 80,046 | 49,062 | 21,970 | 8,000 | ||||||
Non-regulatory capital elements of TLAC: adjustments ($m) | |||||||||||
18 | TLAC before deductions | 259,562 | 97,256 | 97,042 | 31,739 | ||||||
19 | Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC | — | — | 2 | — | ||||||
20 | Deduction of investments in own other TLAC liabilities | 43 | — | — | — | ||||||
21 | Other adjustments to TLAC | — | — | — | — | ||||||
22 | TLAC after deductions (row 18 minus row 19 minus row 20 minus row 21) | 259,519 | 97,256 | 97,040 | 31,739 | ||||||
Risk-weighted assets and leverage exposure measure for TLAC purposes ($m) | |||||||||||
23 | Total risk-weighted assets | 885,971 | 321,149 | 371,100 | 140,762 | ||||||
24 | Leverage exposure measure | 2,786,468 | 1,176,134 | 1,041,168 | 362,621 | ||||||
TLAC ratios and buffers (%) | |||||||||||
25 | TLAC (as a percentage of risk-weighted assets) | 29.3% | 30.3% | 26.1% | 22.5% | ||||||
26 | TLAC (as a percentage of leverage exposure) | 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 requirements | 4 | 8.1% | N/A | N/A | 4.5% | |||||
28 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) | 5.2% | N/A | N/A | 2.5% | ||||||
29 | Of which: capital conservation buffer requirement | 2.5% | N/A | N/A | 2.5% | ||||||
30 | Of which: bank specific countercyclical buffer requirement | 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 |
1 | The Group and European resolution group reports in accordance with the applicable provisions of the Capital Requirements Regulation as amended by 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. 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. |
41 | HSBC Holdings plc |
Creditor ranking at legal entity level |
Table 44: HSBC Holdings plc creditor ranking (TLAC3) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
Footnotes | (most junior) | (most senior) | ||||||||||
1 | Description of creditor ranking | 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 | 10,281 | 23,634 | 20,709 | 78,759 | 133,383 | ||||||
3 | – of row 2 that are excluded liabilities | 2 | — | — | — | 293 | 293 | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 10,281 | 23,634 | 20,709 | 78,466 | 133,090 | ||||||
5 | – of row 4 that are potentially eligible as TLAC | 10,281 | 23,634 | 20,709 | 77,304 | 131,928 | ||||||
6 | – of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | 12,000 | 12,000 | ||||||
7 | – of row 5 with 2 years ≤ residual maturity < 5 years | — | — | 2,000 | 29,635 | 31,635 | ||||||
8 | – of row 5 with 5 years ≤ residual maturity < 10 years | — | — | 7,500 | 28,965 | 36,465 | ||||||
9 | – of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 10,309 | 6,704 | 17,013 | ||||||
10 | – of row 5 that are perpetual securities | 10,281 | 23,634 | 900 | — | 34,815 |
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 45: HSBC UK Bank plc creditor ranking (TLAC2) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
Footnotes | (most junior) | (most senior) | ||||||||||
1 | Is the resolution entity the creditor/investor? | 1 | No | No | No | No | ||||||
2 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | Subordinated loans | Senior subordinated loans | |||||||
3 | Total capital and liabilities net of credit risk mitigation | — | 2,793 | 3,766 | 7,770 | 14,329 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | — | 2,793 | 3,766 | 7,770 | 14,329 | ||||||
6 | – of row 5 that are eligible as TLAC | — | 2,793 | 3,766 | 7,770 | 14,329 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | — | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | 1,667 | 2,544 | 4,211 | ||||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 2,099 | 5,226 | 7,325 | ||||||
11 | – of row 6 that are perpetual securities | — | 2,793 | — | — | 2,793 |
1 | The entity’s capital and TLAC are owned by HSBC UK Holdings Limited. |
2 | The nominal value of ordinary shares is £50,002. This excludes the value of share premium and reserves attributable to ordinary shareholders. |
HSBC Holdings plc | 42 |
Table 46: HSBC Bank plc creditor ranking (TLAC2) | ||||||||||||
Creditor ranking ($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 | 1,014 | 4,581 | 1,550 | 18,364 | 25,509 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 1,014 | 4,581 | 1,550 | 18,364 | 25,509 | ||||||
6 | – of row 5 that are eligible as TLAC | 1,014 | 4,581 | 1,550 | 18,364 | 25,509 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | 450 | 450 | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | 4,839 | 4,839 | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | — | 9,672 | 9,672 | ||||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | — | 2,131 | 2,131 | ||||||
11 | – of row 6 that are perpetual securities | 1,014 | 4,581 | 1,550 | 1,272 | 8,417 |
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 47: HSBC Asia Holdings Ltd creditor ranking¹ (TLAC3) | |||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | ||||||||||
1 | 2 | 3 | 4 | ||||||||
(most junior) | (most senior) | ||||||||||
1 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | Tier 2 instruments | LAC loans | ||||||
2 | Total capital and liabilities net of credit risk mitigation | 56,587 | 5,700 | 1,780 | 21,187 | 85,254 | |||||
3 | – of row 2 that are excluded liabilities | — | — | — | — | — | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 56,587 | 5,700 | 1,780 | 21,187 | 85,254 | |||||
5 | – of row 4 that are potentially eligible as TLAC | 56,587 | 5,700 | 1,780 | 21,187 | 85,254 | |||||
6 | – of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | |||||
7 | – of row 5 with 2 years ≤ residual maturity < 5 years | — | — | — | 8,521 | 8,521 | |||||
8 | – of row 5 with 5 years ≤ residual maturity < 10 years | — | — | — | 10,666 | 10,666 | |||||
9 | – of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 1,780 | 2,000 | 3,780 | |||||
10 | – of row 5 that are perpetual securities | 56,587 | 5,700 | — | — | 62,287 |
1 | The entity’s capital and TLAC are held by HSBC Holdings plc. |
2 | Excludes the value of share premium and reserves attributable to ordinary shareholders. |
43 | HSBC Holdings plc |
Table 48: The Hongkong and Shanghai Banking Corporation Ltd creditor ranking (TLAC2) | |||||||||||||
Creditor ranking ($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 | 22,069 | 5,700 | 400 | 1,780 | 21,187 | 51,136 | ||||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | — | — | ||||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 22,069 | 5,700 | 400 | 1,780 | 21,187 | 51,136 | ||||||
6 | – of row 5 that are eligible as TLAC | 22,069 | 5,700 | — | 1,780 | 21,187 | 50,736 | ||||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | — | ||||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | 8,521 | 8,521 | ||||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | — | — | 10,666 | 10,666 | ||||||
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 | 22,069 | 5,700 | — | — | — | 27,769 |
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. |
Table 49: Hang Seng Bank Ltd creditor ranking (TLAC2) | ||||||||||
Creditor ranking ($m) | Sum of 1 to 3 | |||||||||
1 | 2 | 3 | ||||||||
Footnotes | (most junior) | (most senior) | ||||||||
1 | Is the resolution entity the creditor/investor? | 1 | No | No | No | |||||
2 | Description of creditor ranking | Ordinary shares2 | AT1 instruments | LAC loans | ||||||
3 | Total capital and liabilities net of credit risk mitigation | 1,237 | 1,500 | 2,498 | 5,235 | |||||
4 | – of row 3 that are excluded liabilities | — | — | — | — | |||||
5 | Total capital and liabilities less excluded liabilities (row 3 minus row 4) | 1,237 | 1,500 | 2,498 | 5,235 | |||||
6 | – of row 5 that are eligible as TLAC | 1,237 | 1,500 | 2,498 | 5,235 | |||||
7 | – of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | |||||
8 | – of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | |||||
9 | – of row 6 with 5 years ≤ residual maturity < 10 years | — | — | 2,098 | 2,098 | |||||
10 | – of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 400 | 400 | |||||
11 | – of row 6 that are perpetual securities | 1,237 | 1,500 | — | 2,737 |
1 | 62.14% of Hang Seng Bank Limited’s ordinary share capital is owned by The Hongkong and Shanghai Banking Corporation Limited. Hang Seng Bank Limited’s other TLAC eligible securities are directly held by The Hongkong and Shanghai Banking Corporation Limited. |
2 | Excludes the value of reserves attributable to ordinary shareholders. |
Table 50: HSBC North America Holdings Inc. creditor ranking¹ (TLAC3) | ||||||||||||
Creditor ranking ($m) | Sum of 1 to 4 | |||||||||||
1 | 2 | 3 | 4 | |||||||||
Footnotes | (most junior) | (most senior) | ||||||||||
1 | Description of creditor ranking | 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 | 8,530 | 13,620 | ||||||
3 | – of row 2 that are excluded liabilities | 3 | — | — | — | 377 | 377 | |||||
4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | — | 2,240 | 2,850 | 8,153 | 13,243 | ||||||
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. |
HSBC Holdings plc | 44 |
Other information |
Abbreviations |
Currencies | |
$ | US dollar |
A | |
AIRB | Advanced IRB |
AT1 capital | Additional tier 1 capital |
B | |
BCBS/Basel Committee | Basel Committee on Banking Supervision |
BoE | Bank of England |
C | |
CCF1 | Credit conversion factor |
CCP | Central counterparty |
CCR1 | Counterparty credit risk |
CCyB1 | Countercyclical capital buffer |
CDS1 | Credit default swap |
CET11 | Common equity tier 1 |
CIU | Collective investment undertakings |
CMB | Commercial Banking, a global business |
CRD IV1 | Capital Requirements Regulation and Directive |
CRM | Credit risk mitigation/mitigant |
CRR II | Revisions to Capital Requirements Regulation |
CRR III | Revisions to EU legislation for Basel III reforms |
CVA | Credit valuation adjustment |
E | |
EAD1 | Exposure at default |
EBA | European Banking Authority |
ECL | Expected credit loss |
EU | European Union |
F | |
FIRB | Foundation IRB |
FRTB | Fundamental review of the trading book |
FSB | Financial Stability Board |
FSEs | Financial Sector Entities |
G | |
GAC | Group Audit Committee |
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 |
HMT | Her Majesty’s Treasury |
Hong Kong | The Hong Kong Special Administrative Region of the People’s Republic of China |
HSBC | HSBC Holdings together with its subsidiary undertakings |
I | |
IAA1 | Internal assessment approach |
IFRSs | International Financial Reporting Standards |
IMA | Internal models approach |
IMM1 | Internal model method |
IRB1/RBA | Internal ratings based approach |
IRC1 | Incremental risk charge |
L | |
LCR | Liquidity coverage ratio |
LGD1 | Loss given default |
M | |
MENA | Middle East and North Africa |
MREL | Minimum requirement for own funds and eligible liabilities |
N | |
NCOA | Non-credit obligation asset |
O | |
OTC1 | Over-the-counter |
P | |
PD1 | Probability of default |
PRA1 | Prudential Regulation Authority (UK) |
Q | |
QCCPs | Qualifying central counterparties |
R | |
RAS | Risk appetite statement |
RBM1 | Ratings based method |
RBWM | Retail Banking and Wealth Management, a global business |
RMM | Risk Management Meeting of the Group Management Board |
RNIV | Risks not in VaR |
RW | Risk weights |
RWA1 | Risk-weighted asset |
S | |
SA/STD1 | Standardised approach |
SA-CCR | Standardised approach for counterparty credit risk |
SFM1 | Supervisory formula method |
SFT1 | Securities financing transactions |
SIC | Securities Investment Conduit |
SME | Small-and medium-sized enterprise |
SPE1 | Special purpose entity |
SSFA/SFA | Simplified supervisory formula approach |
SVaR | Stressed value at risk |
T | |
TLAC1 | Total loss absorbing capacity |
T1 capital | Tier 1 capital |
T2 capital | 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/investor-relations/group-results-and-reporting. |
45 | HSBC Holdings plc |
Cautionary statement regarding forward- looking statements |
• | changes in general economic conditions in the markets in which we operate, such as continuing or deepening recessions and fluctuations in employment beyond those factored into consensus forecasts; changes in foreign exchange rates and interest rates; volatility in equity markets; lack of liquidity in wholesale funding markets; illiquidity and downward price pressure in national real estate markets; adverse changes in central banks’ policies with respect to the provision of liquidity support to financial markets; heightened market concerns over sovereign creditworthiness in over-indebted |
• | 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; our success in addressing operational, legal and regulatory, and litigation challenges; and the other risks and uncertainties we identify in ‘Top and emerging risks’ on pages 16 and 17 of the Interim Report 2019. |
Contacts |
Richard O’Connor Global Head of Investor Relations HSBC Holdings plc 8 Canada Square London E14 5HQ United Kingdom | Hugh Pye Head of Investor Relations, Asia-Pacific The Hongkong and Shanghai Banking Corporation Limited 1 Queen’s Road Central Hong Kong |
Telephone: +44 (0) 20 7991 6590 | Telephone: +852 2822 4908 |
Email: [email protected] | Email: [email protected] |
HSBC Holdings plc | 46 |
HSBC Holdings plc | |
By: | /s/ Ewen J Stevenson |
Name: Ewen J Stevenson | |
Title: Group Chief Financial Officer |