2011 EBA stress test - revised schedules
29 July 2011
STATEMENT ON RESULTS OF THE
2011 EBA EU-WIDE STRESS TEST
On 15 July at 5.03pm under RNS number 5160K we issued an announcement regarding the results of the EBA Stress test ('the Announcement'). We confirmed in the Announcement that HSBC's Core Tier 1 ('CT1') ratio under the modelled adverse scenario, which is based on the EBA's published capital definitions and prescribed approach, is 8.5%. This exceeds the current post-stress minimum CT1 capital requirement of 5% used in this exercise.
The Announcement contained schedules which included the Group's net direct exposures to certain sovereigns and an analysis of those exposures by residual maturity. Several of the sub-totals in the analysis were incorrect and therefore inconsistent with the schedules published by the EBA on its website (http://stress-test.eba.europa.eu/pdf/bank/GB089.pdf.). For the avoidance of doubt the schedules are reproduced below with the correct sub-totals. All other numbers are unchanged.
Media enquiries to:
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London |
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Robert Bailhache |
+44 (0)20 7992 5712 |
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Patrick Humphris |
+44 (0)20 7992 1631 |
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Hong Kong |
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Patrick McGuinness |
+ 852 3663 6883 |
patrickmcguinness@hsbc.com |
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Investor Relations enquiries to:
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London |
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Alastair Brown |
+44 (0)20 7992 1938 |
alastair.brown@hsbc.com |
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Robert Quinlan |
+44 (0)20 7991 3643 |
robert.quinlan@hsbc.com |
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Hong Kong |
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Hugh Pye |
+852 2822 4398 |
hugh.pye@hsbc.com |
Note to editors:
HSBC Holdings plc
HSBC Holdings plc, the parent company of the HSBC Group, is headquartered in London. The Group serves customers worldwide from around 7,500 offices in 87 countries and territories in Europe, the Asia-Pacific region, the Americas, the Middle East and Africa. With assets of US$2,598bn at 31 March 2011, HSBC is one of the world's largest banking and financial services organisations. HSBC is marketed worldwide as 'the world's local bank'.
APPENDIX 1: RESULTS OF THE 2011 EBA EU-WIDE STRESS TEST (USD)
Results of the 2011 EBA EU-wide stress test: Summary(1-3)
HSBC Holdings plc
|
Actual results at 31 December 2010 |
million USD, % |
|
Operating profit before impairments |
28,924 |
|
Impairment losses on financial and non-financial assets in the banking book |
-14,033 |
|
Risk weighted assets(4) |
1,103,113 |
|
Core Tier 1 capital(4) |
116,116 |
|
Core Tier 1 capital ratio, %(4) |
10.5% |
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Additional capital needed to reach a 5 % Core Tier 1 capital benchmark |
|
|
Outcomes of the adverse scenario at 31 December 2012, excluding all mitigating actions taken in 2011 |
% |
|
Core Tier 1 Capital ratio |
8.5% |
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Outcomes of the adverse scenario at 31 December 2012, including recognised mitigating measures as of 30 April 2011 |
million USD, % |
|
2 yr cumulative operating profit before impairments |
33,816 |
|
2 yr cumulative impairment losses on financial and non-financial assets in the banking book |
-30,366 |
|
2 yr cumulative losses from the stress in the trading book |
-8,786 |
|
of which valuation losses due to sovereign shock |
-2,026 |
|
Risk weighted assets |
1,412,316 |
|
Core Tier 1 Capital |
119,513 |
|
Core Tier 1 Capital ratio (%) |
8.5% |
|
Additional capital needed to reach a 5 % Core Tier 1 capital benchmark |
|
|
Effects from the recognised mitigating measures put in place until 30 April 2011(5) |
|
|
Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011 (CT1 million EUR) |
0 |
|
Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio) |
0.0 |
|
Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio) |
0.0 |
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Additional taken or planned mitigating measures |
percentage points contributing to |
|
Use of provisions and/or other reserves (including release of countercyclical provisions) |
0.0 |
|
Divestments and other management actions taken by 30 April 2011 |
0.0 |
|
Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules |
0.0 |
|
Future planned issuances of common equity instruments (private issuances) |
0.0 |
|
Future planned government subscriptions of capital instruments (including hybrids) |
0.0 |
|
Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities |
0.0 |
|
Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012, %(6) |
8.5% |
Notes
(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).
(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.
(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.
(4) Full static balance sheet assumption excluding any mitigating management actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures and capital raisings fully paid in before 31 December 2010 are included).
(5) Effects of capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in period from 31 December 2010 to 30 April 2011, which are incorporated in the Core Tier 1 capital ratio reported as the outcome of the stress test.
(6) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.
Results of the 2011 EBA EU-wide stress test: Aggregate information and evolution of capital(1-4)
HSBC Holdings plc
All in million USD, or %
|
A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in before 31 December 2010 are included) |
|
Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
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2011 |
2012 |
2011 |
2012 |
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Risk weighted assets (full static balance sheet assumption) |
1,103,113 |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
|
Common equity according to EBA definition |
116,116 |
123,780 |
129,884 |
118,016 |
119,513 |
|
of which ordinary shares subscribed by government |
0 |
0 |
0 |
0 |
0 |
|
Other existing subscribed government capital (before 31 December 2010) |
0 |
0 |
0 |
0 |
0 |
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Core Tier 1 capital (full static balance sheet assumption) |
116,116 |
123,780 |
129,884 |
118,016 |
119,513 |
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
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B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
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Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
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2011 |
2012 |
2011 |
2012 |
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Risk weighted assets (full static balance sheet assumption) |
1,103,113 |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
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Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-) |
|
0 |
0 |
0 |
0 |
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Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
1,103,113 |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
|
Core Tier 1 Capital (full static balance sheet assumption) |
116,116 |
123,780 |
129,884 |
118,016 |
119,513 |
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Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital (+/-) |
|
0 |
0 |
0 |
0 |
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Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
116,116 |
123,780 |
129,884 |
118,016 |
119,513 |
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
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C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011 |
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Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
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Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
1,103,113 |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
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Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on RWA (+/-) |
|
0 |
0 |
0 |
0 |
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Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 30 April 2011 |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
|
|
of which RWA in banking book |
880,313 |
861,530 |
937,530 |
913,272 |
|
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of which RWA in trading book |
96,698 |
96,698 |
96,698 |
96,698 |
|
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RWA on securitisation positions |
62,246 |
92,308 |
140,805 |
238,180 |
|
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Total assets after the effects of mandatory restructuring plans publicly announced and fully committed and equity raised and fully committed by 30 April 2011 |
2,382,711 |
2,382,711 |
2,382,711 |
2,382,711 |
2,382,711 |
|
Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
116,116 |
123,780 |
129,884 |
118,016 |
119,513 |
|
Equity raised between 31 December 2010 |
|
0 |
0 |
0 |
0 |
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Equity raisings fully committed (but not paid in) between 31 December 2010 and 30 April 2011 |
0 |
0 |
0 |
0 |
|
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Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-) |
0 |
0 |
0 |
0 |
|
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Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-) |
0 |
0 |
0 |
0 |
|
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Core Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
123,780 |
129,884 |
118,016 |
119,513 |
|
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Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
141,706 |
147,007 |
135,942 |
137,439 |
|
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Total regulatory capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
171,802 |
175,350 |
166,038 |
165,782 |
|
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
|
Additional capital needed to reach a 5% Core Tier 1 capital benchmark |
|
|
|
|
|
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Profit and losses |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
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Net interest income |
37,609 |
36,575 |
32,620 |
32,080 |
28,554 |
|
Trading income |
7,199 |
6,432 |
6,432 |
3,915 |
3,915 |
|
of which trading losses from stress scenarios |
|
-1,876 |
-1,876 |
-4,393 |
-4,393 |
|
of which valuation losses due to sovereign shock |
|
-1,013 |
-1,013 |
||
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Other operating income(5) |
3,385 |
2,165 |
2,165 |
2,165 |
2,165 |
|
Operating profit before impairments |
28,924 |
25,463 |
21,948 |
18,451 |
15,365 |
|
Impairments on financial and non-financial assets in the banking book(6) |
-14,033 |
-11,833 |
-11,431 |
-16,325 |
-14,041 |
|
Operating profit after impairments and other losses from the stress |
14,891 |
13,630 |
10,517 |
2,126 |
1,324 |
|
Other income(5,6) |
1,665 |
1,665 |
1,665 |
1,665 |
1,665 |
|
Net profit after tax (7) |
12,239 |
11,930 |
9,502 |
2,957 |
2,332 |
|
of which carried over to capital (retained earnings) |
6,353 |
6,597 |
5,255 |
1,635 |
1,289 |
|
of which distributed as dividends |
5,886 |
5,333 |
4,247 |
1,322 |
1,042 |
|
Additional information |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
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Deferred Tax Assets(8) |
-4,000 |
-4,000 |
-4,000 |
-4,000 |
-4,000 |
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Stock of provisions(9) |
24,865 |
33,878 |
45,310 |
38,370 |
52,411 |
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of which stock of provisions for non-defaulted assets |
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of which Sovereigns(10) |
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of which Institutions(10) |
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of which Corporate (excluding Commercial real estate) |
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of which Retail (excluding Commercial real estate) |
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of which Commercial real estate(11) |
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of which stock of provisions for defaulted assets |
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of which Corporate (excluding Commercial real estate) |
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of which Retail (excluding commercial real estate) |
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of which Commercial real estate |
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Coverage ratio (%)(12) |
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Corporate (excluding Commercial real estate) |
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Retail (excluding Commercial real estate) |
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Commercial real estate |
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Loss rates (%)(13) |
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Corporate (excluding Commercial real estate) |
0.3% |
0.7% |
0.7% |
0.8% |
0.7% |
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Retail (excluding Commercial real estate) |
2.0% |
1.8% |
1.7% |
2.1% |
2.1% |
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Commercial real estate |
0.4% |
0.7% |
0.7% |
0.8% |
0.8% |
|
Funding cost (bps) |
119 |
|
215 |
278 |
|
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D. Other mitigating measures (see Mitigating measures worksheet for details), million USD(14) |
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All effects as compared to regulatory aggregates as reported in Section C |
|
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
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A) Use of provisions and/or other reserves (including release of countercyclical provisions), capital ratio effect(6) |
0 |
0 |
0 |
0 |
|
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B) Divestments and other management actions taken by 30 April 2011, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
|
B1) Divestments and other business decisions taken by 30 April 2011, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
|
C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
|
C1) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
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D) Future planned issuances of common equity instruments (private issuances), capital ratio effect |
0 |
0 |
0 |
0 |
|
|
E) Future planned government subscriptions of capital instruments (including hybrids), capital ratio effect |
0 |
0 |
0 |
0 |
|
|
F) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
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F1) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
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Risk weighted assets after other mitigating measures (B+C+F) |
1,203,423 |
1,214,702 |
1,339,199 |
1,412,316 |
|
|
Capital after other mitigating measures (A+B1+C1+D+E+F1) |
123,780 |
129,884 |
118,016 |
119,513 |
|
|
Supervisory recognised capital ratio (%)(15) |
10.3% |
10.7% |
8.8% |
8.5% |
|
Notes and definitions
(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).
(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.
(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.
(4) Regulatory transitional floors are applied where binding. RWA for credit risk have been calculated in accordance with the EBA methodology assuming an additional floor imposed at a level of RWA, before regulatory transitional floors, for December 2010 for both IRB and STA portfolios.
(5) Banks are required to provide explanations of what "Other operating income" and "Other income" constitutes for.
Composition of "Other Operating Income":
Gains (losses) on financial assets and liabilities designated at fair value through profit and loss, net + Realised gains (losses) on fin. assets and l-iabilities not measured at fair value through profit and loss, net + Gains (losses) from hedge accounting, net +Gains (losses) on derecognition of assets other than held for sale +Net dividend income +Gains (losses) on non financial assets measured at fair value.
Composition of "Other income":
Income from Associates and Joint Ventures (excluding income from Insurance companies).
(6) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D as other mitigating measures.
(7) Net profit after tax, the amount of retained earnings and amount distributed as dividends under the stress scenarios have been calculated using EBA assumptions. Net profit includes profit attributable to minority interests.
(8) Deferred tax assets as referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 - a global regulatory framework for more resilient banks and banking systems".
(9) Stock of provisions includes collective and specific provisions as well as countercyclical provisions, in the jurisdictions, where required by the national legislation.
(10) Provisions for non-defaulted exposures to sovereigns and financial institutions have been computed taking into account benchmark risk parameters (PDs and LGDs) provided by the EBA and referring to external credit ratings and assuming hypothetical scenario of rating agency downgrades of sovereigns.
(11) N/A.
(12) Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD for the specific portfolio.
(13) Loss rate = total impairment flow (specific and collective impairment flow) for a year / total EAD for the specific portfolio (including defaulted and non-defaulted assets but excluding securitisation and counterparty credit risk exposures).
(14) All elements are be reported net of tax effects.
(15) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.
HSBC Holdings plc
|
Situation at December 2010 |
December 2010 |
|
|
Million USD |
% RWA |
|
|
A) Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares) (+) |
120,456 |
10.9% |
|
Of which: (+) eligible capital and reserves |
144,615 |
13.1% |
|
Of which: (-) intangibles assets (including goodwill) |
-28,001 |
-2.5% |
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Of which: (-/+) adjustment to valuation differences in other AFS assets(1) |
3,843 |
0.3% |
|
B) Deductions from common equity (Elements deducted from original own funds) (-) |
-4,340 |
-0.4% |
|
Of which: (-) deductions of participations and subordinated claims |
0 |
0.0% |
|
Of which: (-) securitisation exposures not included in RWA |
-1,467 |
-0.1% |
|
Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax) |
-3,114 |
-0.3% |
|
C) Common equity (A+B) |
116,116 |
10.5% |
|
Of which: ordinary shares subscribed by government |
0 |
0.0% |
|
D) Other Existing government support measures (+) |
0 |
0.0% |
|
E) Core Tier 1 including existing government support measures (C+D) |
116,116 |
10.5% |
|
Difference from benchmark capital threshold (CT1 5%) |
60,960 |
5.5% |
|
F) Hybrid instruments not subscribed by government |
17,063 |
1.5% |
|
Tier 1 Capital (E+F) (Total original own funds for general solvency purposes) |
133,179 |
12.1% |
|
Tier 2 Capital (Total additional own funds for general solvency purposes) |
34,376 |
3.1% |
|
Tier 3 Capital (Total additional own funds specific to cover market risks) |
0 |
0.0% |
|
Total Capital (Total own funds for solvency purposes) |
167,555 |
15.2% |
|
Memorandum items |
||
|
Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions not deducted for the computation of core tier 1 but deducted for the computation of total own funds |
14,848 |
1.3% |
|
Amount of securitisation exposures not included in RWA and not deducted for the computation of core tier 1 but deducted for the computation of total own funds |
1,467 |
0.1% |
|
Deferred tax assets(2) |
-4,000 |
-0.4% |
|
Minority interests (excluding hybrid instruments)(2) |
7,248 |
0.7% |
|
Valuation differences eligible as original own funds (-/+)(3) |
1,794 |
0.2% |
Notes and definitions
(1) The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.
(2) According to the Basel 3 framework specific rules apply for the treatment of these items under the Basel 3 framework, no full deduction is required for the computation of common equity.
(3) This item represents the impact in original own funds of valuation differences arising from the application of fair value measurement to certain financial instruments (AFS/FVO) and property assets after the application of prudential filters.
Results of the 2011 EBA EU-wide stress test: Overview of mitigating measures(1-2)
Name of the bank: HSBC Holdings plc
Use of countercyclical provisions, divestments and other management actions
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Please fill in the table using a |
Narrative description |
Date of completion (actual or planned for future issuances) |
Capital / P&L impact |
RWA impact |
Capital ratio impact |
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A) Use of provisions and/or other reserves (including release of countercyclical provisions)(3) |
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B) Divestments and other management actions taken by 30 April 2011 |
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C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules |
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Future capital raisings and other back stop measures
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Please fill in the table using a |
Date of issuance (actual or planned for future issuances, dd/mm/yy) |
Amount |
Maturity |
Loss absorbency in going concern |
Flexibility of payments (capacity to suspend the payments) |
Permanence (Undated and without incentive to redeem) |
Conversion clause (where appropriate) |
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Nature of conversion |
Date of conversion |
Triggers |
Conversion in common equity |
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(in million USD) |
(dated/ undated)(4) |
(Yes/No) |
(Yes/No) |
(Yes/No) |
(mandatory/ discretionary) |
(at any time/from a specific date: dd/mm/yy) |
(description of the triggers) |
(Yes/No) |
||||
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D) Future planned issuances of common equity instruments (private issuances) |
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E) Future planned government subscriptions of capital instruments (including hybrids) |
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|
1) Denomination of the instrument |
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2) |
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F) Other (existing and future) instruments recognised as back stop measures by national supervisory authorities (including hybrids) |
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|
1) Denomination of the instrument |
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2) |
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Notes and definitions
(1) N/A.
(2) All elements are be reported net of tax effects.
(3) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported as other mitigating measures.
(4) N/A.
Results of the 2011 EBA EU-wide stress test: Credit risk exposures (EAD - exposure at default), as of 31 December 2010, mln USD(1-5)
Name of the bank: HSBC Holdings plc
All values in million USD, or %
|
|
Non-defaulted exposures |
Commercial Real Estate |
Defaulted exposures (including sovereign) |
Total exposures(7) |
||||||
|
Institutions |
Corporate (excluding commercial real estate |
Retail (excluding commercial real estate) |
of which Residential mortgages |
of which Revolving |
of which SME |
of which other |
||||
|
Austria |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Belgium |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Bulgaria |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Cyprus |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Czech Republic |
365 |
2,638 |
0 |
0 |
0 |
0 |
0 |
11 |
0 |
3,800 |
|
Denmark |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Estonia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Finland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
France |
27,563 |
29,741 |
25,392 |
3,894 |
41 |
6,792 |
14,665 |
11,956 |
2,290 |
130,982 |
|
Germany |
24,801 |
8,850 |
210 |
0 |
0 |
0 |
210 |
189 |
143 |
60,916 |
|
Greece |
517 |
4,124 |
66 |
0 |
0 |
0 |
66 |
84 |
82 |
5,703 |
|
Hungary |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Iceland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Ireland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Italy |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Latvia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Liechtenstein |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Lithuania |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Luxembourg |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Malta |
55 |
3,689 |
426 |
0 |
0 |
0 |
426 |
350 |
151 |
5,872 |
|
Netherlands |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Norway |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Poland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Portugal |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Romania |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Slovakia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Slovenia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Spain |
4,468 |
5,444 |
0 |
0 |
0 |
0 |
0 |
605 |
11 |
12,878 |
|
Sweden |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
United Kingdom |
23,945 |
133,709 |
172,274 |
115,145 |
42,580 |
3,951 |
10,598 |
20,236 |
5,265 |
436,545 |
|
|
Non-defaulted exposures |
Commercial Real Estate |
Defaulted exposures (including sovereign) |
Total exposures(7) |
||||||
|
Institutions |
Corporate (excluding commercial real estate |
Retail (excluding commercial real estate) |
of which Residential mortgages |
of which Revolving |
of which SME |
of which other |
||||
|
United States |
26,211 |
67,883 |
155,643 |
68,651 |
72,562 |
0 |
14,453 |
11,499 |
7,816 |
316,770 |
|
Japan |
8,994 |
2,366 |
211 |
0 |
0 |
0 |
211 |
986 |
0 |
21,870 |
|
Other non EEA non Emerging countries |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Asia |
59,584 |
226,680 |
117,140 |
70,353 |
19,522 |
572 |
26,693 |
51,112 |
1,814 |
516,375 |
|
Middle and South America |
6,963 |
31,686 |
19,996 |
0 |
0 |
0 |
19,996 |
3,138 |
1,465 |
83,412 |
|
Eastern Europe non EEA |
12,694 |
5,966 |
21,437 |
0 |
0 |
0 |
21,437 |
327 |
167 |
44,768 |
|
Others |
87,237 |
54,606 |
37,088 |
25,023 |
3,297 |
933 |
7,836 |
14,045 |
2,091 |
291,088 |
|
Total |
283,397 |
577,381 |
549,884 |
283,066 |
138,001 |
12,248 |
116,592 |
114,537 |
21,295 |
1,930,980 |
Notes and definitions
(1) EAD - Exposure at Default or exposure value in the meaning of the CRD.
(2) The EAD reported here are based on the methodologies and portfolio breakdowns used in the 2011 EU-wide stress test, and hence may differ from the EAD reported by banks in their Pillar 3 disclosures, which can vary based on national regulation. For example, this would affect breakdown of EAD for real estate exposures and SME exposures.
(3) Breakdown by country and macro area (e.g. Asia) when EAD >=5%. In any case coverage 100% of total EAD should be ensured (if exact mapping of some exposures to geographies is not possible, they should be allocated to the group "others").
(4) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm
(5) Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, which are recognised as eligible collateral in the meaning of the CRD, with the following criteria, which need to be met:
(a) the value of the property does not materially depend upon the credit quality of the obligor. This requirement does not preclude situations where purely macro economic factors affect both the value of the property and the performance of the borrower; and
(b) the risk of the borrower does not materially depend upon the performance of the underlying property or project, but rather on the underlying capacity of the borrower to repay the debt from other sources. As such, repayment of the facility does not materially depend on any cash flow generated by the underlying property serving as collateral."
(6) N/A.
(7) N/A.
Results of the 2011 EBA EU-wide stress test: Exposures to sovereigns (central and local governments), as of 31 December 2010, mln USD(1,2)
Name of the bank: HSBC Holdings plc
All in million USD, or %
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Austria |
245 |
0 |
245 |
0 |
0 |
245 |
|
0 |
|
0 |
|
1Y |
191 |
0 |
191 |
0 |
0 |
191 |
|
-46 |
|
0 |
|
|
2Y |
37 |
0 |
0 |
0 |
0 |
0 |
|
-120 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
10 |
|
0 |
|
|
5Y |
45 |
0 |
0 |
0 |
0 |
0 |
|
-2 |
|
0 |
|
|
10Y |
728 |
0 |
728 |
0 |
0 |
728 |
|
15 |
|
0 |
|
|
15Y |
231 |
0 |
0 |
0 |
0 |
0 |
|
58 |
|
0 |
|
|
|
1,478 |
0 |
1,164 |
0 |
0 |
1,164 |
|
-85 |
|
0 |
|
|
3M |
Belgium |
132 |
0 |
132 |
0 |
0 |
132 |
|
4 |
|
0 |
|
1Y |
225 |
0 |
199 |
0 |
0 |
199 |
|
53 |
|
0 |
|
|
2Y |
458 |
0 |
214 |
116 |
1 |
98 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
37 |
|
0 |
|
|
5Y |
264 |
0 |
126 |
0 |
0 |
126 |
|
0 |
|
0 |
|
|
10Y |
829 |
0 |
681 |
0 |
0 |
681 |
|
0 |
|
0 |
|
|
15Y |
29 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1,937 |
0 |
1,352 |
116 |
1 |
1,236 |
|
95 |
|
0 |
|
|
3M |
Bulgaria |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Cyprus |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Czech Republic |
686 |
0 |
686 |
30 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
246 |
0 |
246 |
246 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
18 |
0 |
18 |
1 |
0 |
17 |
|
17 |
|
0 |
|
|
5Y |
33 |
0 |
33 |
20 |
0 |
12 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
|
987 |
0 |
987 |
298 |
0 |
33 |
|
17 |
|
0 |
|
|
3M |
Denmark |
6 |
0 |
6 |
0 |
0 |
6 |
|
5 |
|
0 |
|
1Y |
1,502 |
0 |
1,502 |
1,488 |
0 |
14 |
|
0 |
|
0 |
|
|
2Y |
5 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
5Y |
7 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
10Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
|
15Y |
4 |
0 |
4 |
0 |
0 |
4 |
|
0 |
|
0 |
|
|
|
1,527 |
0 |
1,519 |
1,488 |
0 |
31 |
|
5 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Estonia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Finland |
264 |
0 |
259 |
0 |
0 |
259 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
39 |
0 |
39 |
0 |
0 |
39 |
|
0 |
|
0 |
|
|
3Y |
35 |
0 |
35 |
0 |
0 |
35 |
|
0 |
|
0 |
|
|
5Y |
103 |
0 |
5 |
0 |
0 |
5 |
|
0 |
|
0 |
|
|
10Y |
86 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
162 |
0 |
162 |
0 |
0 |
162 |
|
0 |
|
0 |
|
|
|
688 |
0 |
499 |
0 |
0 |
499 |
|
0 |
|
0 |
|
|
3M |
France |
3,594 |
0 |
3,345 |
1,683 |
0 |
1,529 |
|
0 |
|
0 |
|
1Y |
4,674 |
260 |
3,237 |
880 |
0 |
2,140 |
|
0 |
|
0 |
|
|
2Y |
3,521 |
0 |
2,165 |
2,618 |
0 |
0 |
|
6 |
|
0 |
|
|
3Y |
1,780 |
0 |
1,283 |
162 |
3 |
1,121 |
|
0 |
|
0 |
|
|
5Y |
5,688 |
175 |
4,987 |
3,167 |
0 |
1,820 |
|
5 |
|
0 |
|
|
10Y |
3,014 |
9 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
15Y |
3,086 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
25,357 |
444 |
15,017 |
8,510 |
3 |
6,611 |
|
11 |
|
-1 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Germany |
292 |
0 |
0 |
202 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
1,518 |
162 |
458 |
179 |
0 |
279 |
|
0 |
|
0 |
|
|
2Y |
4,452 |
0 |
2,073 |
3,528 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
2,132 |
0 |
0 |
998 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
4,690 |
0 |
3,162 |
3,204 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
3,824 |
117 |
1,184 |
818 |
0 |
366 |
|
36 |
|
0 |
|
|
15Y |
3,580 |
0 |
2,134 |
818 |
0 |
1,315 |
|
-16 |
|
0 |
|
|
|
20,488 |
279 |
9,011 |
9,747 |
0 |
1,960 |
|
20 |
|
0 |
|
|
3M |
Greece |
140 |
0 |
140 |
26 |
0 |
114 |
|
0 |
|
0 |
|
1Y |
139 |
0 |
127 |
0 |
0 |
127 |
|
0 |
|
-1 |
|
|
2Y |
341 |
0 |
341 |
47 |
0 |
294 |
|
0 |
|
-2 |
|
|
3Y |
123 |
0 |
79 |
90 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
572 |
0 |
498 |
90 |
0 |
408 |
|
0 |
|
0 |
|
|
10Y |
314 |
0 |
43 |
0 |
0 |
43 |
|
76 |
|
-9 |
|
|
15Y |
134 |
0 |
0 |
0 |
0 |
0 |
|
34 |
|
0 |
|
|
|
1,762 |
0 |
1,228 |
252 |
0 |
985 |
|
110 |
|
-12 |
|
|
3M |
Hungary |
248 |
0 |
248 |
0 |
0 |
248 |
|
1 |
|
0 |
|
1Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
2Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
3Y |
2 |
0 |
0 |
0 |
0 |
0 |
|
1 |
|
-1 |
|
|
5Y |
23 |
0 |
20 |
0 |
0 |
20 |
|
0 |
|
-18 |
|
|
10Y |
4 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
280 |
0 |
272 |
0 |
0 |
272 |
|
2 |
|
-19 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Iceland |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
3M |
Ireland |
3 |
0 |
3 |
0 |
0 |
3 |
|
2 |
|
0 |
|
1Y |
32 |
0 |
6 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
12 |
0 |
12 |
0 |
0 |
12 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
5Y |
39 |
0 |
39 |
0 |
0 |
23 |
|
0 |
|
-1 |
|
|
10Y |
200 |
0 |
23 |
0 |
0 |
23 |
|
0 |
|
-6 |
|
|
15Y |
96 |
0 |
96 |
0 |
0 |
96 |
|
0 |
|
0 |
|
|
|
383 |
0 |
180 |
0 |
0 |
157 |
|
2 |
|
-8 |
|
|
3M |
Italy |
315 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
2,827 |
0 |
2,171 |
566 |
0 |
1,240 |
|
0 |
|
0 |
|
|
2Y |
1,466 |
0 |
617 |
111 |
0 |
506 |
|
0 |
|
0 |
|
|
3Y |
905 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
2,023 |
0 |
1,178 |
0 |
0 |
1,178 |
|
0 |
|
0 |
|
|
10Y |
3,337 |
0 |
794 |
0 |
0 |
794 |
|
-825 |
|
-3 |
|
|
15Y |
2,393 |
0 |
393 |
0 |
0 |
393 |
|
0 |
|
0 |
|
|
|
13,265 |
0 |
5,153 |
676 |
0 |
4,112 |
|
-825 |
|
-3 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Latvia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
2 |
|
-2 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
2 |
0 |
2 |
0 |
0 |
2 |
|
2 |
|
-2 |
|
|
3M |
Liechtenstein |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Lithuania |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
14 |
0 |
14 |
0 |
0 |
14 |
|
0 |
|
0 |
|
|
10Y |
7 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
21 |
0 |
14 |
0 |
0 |
14 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Luxembourg |
100 |
0 |
100 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
273 |
0 |
273 |
273 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
122 |
0 |
122 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
91 |
0 |
4 |
0 |
1 |
0 |
|
0 |
|
0 |
|
|
10Y |
35 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
39 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
660 |
0 |
499 |
273 |
1 |
0 |
|
0 |
|
0 |
|
|
3M |
Malta |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
326 |
96 |
326 |
326 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
74 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
7 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
326 |
177 |
326 |
326 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Netherlands |
2,804 |
0 |
2,508 |
0 |
0 |
0 |
|
3 |
|
0 |
|
1Y |
487 |
0 |
487 |
400 |
0 |
87 |
|
0 |
|
0 |
|
|
2Y |
304 |
0 |
304 |
0 |
0 |
304 |
|
0 |
|
0 |
|
|
3Y |
144 |
0 |
0 |
144 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
612 |
0 |
222 |
178 |
0 |
46 |
|
0 |
|
0 |
|
|
10Y |
812 |
0 |
811 |
0 |
0 |
811 |
|
0 |
|
0 |
|
|
15Y |
200 |
0 |
0 |
0 |
0 |
0 |
|
12 |
|
0 |
|
|
|
5,362 |
0 |
4,331 |
722 |
0 |
1,247 |
|
16 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Norway |
31 |
0 |
31 |
0 |
0 |
31 |
|
0 |
|
0 |
|
1Y |
28 |
0 |
28 |
26 |
0 |
2 |
|
0 |
|
0 |
|
|
2Y |
16 |
0 |
16 |
0 |
0 |
16 |
|
0 |
|
0 |
|
|
3Y |
53 |
0 |
26 |
0 |
0 |
26 |
|
0 |
|
0 |
|
|
5Y |
4 |
0 |
4 |
0 |
0 |
4 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
-1 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
131 |
0 |
104 |
26 |
0 |
78 |
|
-1 |
|
0 |
|
|
3M |
Poland |
1,450 |
0 |
1,450 |
1,301 |
0 |
149 |
|
0 |
|
0 |
|
1Y |
439 |
0 |
439 |
309 |
0 |
130 |
|
0 |
|
0 |
|
|
2Y |
47 |
0 |
40 |
5 |
0 |
36 |
|
0 |
|
0 |
|
|
3Y |
2 |
0 |
0 |
1 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
48 |
0 |
29 |
0 |
0 |
29 |
|
0 |
|
0 |
|
|
10Y |
92 |
0 |
68 |
0 |
0 |
68 |
|
0 |
|
0 |
|
|
15Y |
10 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
2,088 |
0 |
2,027 |
1,616 |
0 |
413 |
|
0 |
|
0 |
|
|
3M |
Portugal |
252 |
0 |
252 |
0 |
0 |
252 |
|
21 |
|
0 |
|
1Y |
360 |
0 |
71 |
0 |
0 |
71 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
62 |
|
0 |
|
|
3Y |
75 |
0 |
75 |
0 |
0 |
75 |
|
0 |
|
0 |
|
|
5Y |
231 |
0 |
16 |
0 |
0 |
16 |
|
110 |
|
-2 |
|
|
10Y |
187 |
1 |
15 |
0 |
0 |
15 |
|
132 |
|
-5 |
|
|
15Y |
239 |
0 |
0 |
0 |
0 |
0 |
|
21 |
|
0 |
|
|
|
1,344 |
1 |
428 |
0 |
0 |
428 |
|
346 |
|
-7 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Romania |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
3M |
Slovakia |
13 |
0 |
13 |
0 |
0 |
13 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
16 |
0 |
16 |
0 |
0 |
16 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
57 |
0 |
57 |
0 |
0 |
57 |
|
0 |
|
0 |
|
|
|
87 |
0 |
87 |
0 |
0 |
87 |
|
0 |
|
0 |
|
|
3M |
Slovenia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
163 |
0 |
151 |
0 |
0 |
151 |
|
0 |
|
0 |
|
|
10Y |
95 |
0 |
78 |
0 |
0 |
78 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
258 |
0 |
228 |
0 |
0 |
228 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Spain |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
1Y |
503 |
0 |
503 |
0 |
0 |
503 |
|
0 |
|
0 |
|
|
2Y |
454 |
0 |
242 |
0 |
0 |
242 |
|
12 |
|
0 |
|
|
3Y |
266 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
409 |
0 |
103 |
0 |
0 |
103 |
|
6 |
|
-1 |
|
|
10Y |
484 |
13 |
0 |
0 |
0 |
0 |
|
43 |
|
-6 |
|
|
15Y |
597 |
0 |
0 |
0 |
0 |
0 |
|
29 |
|
0 |
|
|
|
2,715 |
13 |
849 |
0 |
0 |
849 |
|
92 |
|
-7 |
|
|
3M |
Sweden |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
26 |
0 |
26 |
21 |
0 |
5 |
|
0 |
|
0 |
|
|
2Y |
33 |
0 |
33 |
0 |
0 |
33 |
|
16 |
|
0 |
|
|
3Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
1 |
|
0 |
|
|
5Y |
1 |
0 |
1 |
3 |
0 |
0 |
|
2 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
63 |
0 |
63 |
24 |
0 |
40 |
|
18 |
|
0 |
|
|
3M |
United Kingdom |
30,094 |
0 |
28,472 |
1,197 |
0 |
0 |
|
75 |
|
0 |
|
1Y |
3,770 |
913 |
3,026 |
0 |
0 |
1,947 |
|
12 |
|
0 |
|
|
2Y |
4,109 |
0 |
2,989 |
3,788 |
0 |
0 |
|
15 |
|
0 |
|
|
3Y |
4,057 |
0 |
2,828 |
3,016 |
216 |
0 |
|
13 |
|
0 |
|
|
5Y |
5,954 |
59 |
5,207 |
4,594 |
0 |
613 |
|
9 |
|
0 |
|
|
10Y |
18,414 |
401 |
12,726 |
13,987 |
0 |
0 |
|
3 |
|
0 |
|
|
15Y |
8,987 |
0 |
3,316 |
1,255 |
357 |
1,705 |
|
15 |
|
0 |
|
|
|
75,384 |
1,373 |
58,565 |
27,837 |
573 |
4,265 |
|
143 |
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EEA 30 |
156,595 |
2,287 |
103,906 |
51,910 |
579 |
24,712 |
|
-34 |
|
-60 |
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
United States |
49,512 |
0 |
48,206 |
42,103 |
0 |
4,221 |
|
0 |
|
0 |
|
1Y |
12,006 |
0 |
10,401 |
7,449 |
0 |
6,143 |
|
0 |
|
0 |
|
|
2Y |
9,252 |
0 |
5,307 |
3,961 |
0 |
9,058 |
|
0 |
|
0 |
|
|
3Y |
4,059 |
0 |
2,722 |
2,361 |
0 |
3,029 |
|
0 |
|
0 |
|
|
5Y |
3,822 |
0 |
2,227 |
2,173 |
0 |
3,243 |
|
0 |
|
0 |
|
|
10Y |
3,102 |
0 |
1,355 |
17 |
0 |
4,831 |
|
0 |
|
0 |
|
|
15Y |
3,581 |
0 |
1,775 |
1,651 |
49 |
3,737 |
|
0 |
|
0 |
|
|
|
85,335 |
0 |
71,993 |
59,715 |
50 |
34,262 |
|
0 |
|
0 |
|
|
3M |
Japan |
9,044 |
0 |
9,044 |
1,114 |
0 |
6,568 |
|
0 |
|
0 |
|
1Y |
6,809 |
0 |
6,809 |
2,651 |
0 |
4,158 |
|
0 |
|
0 |
|
|
2Y |
1,339 |
0 |
1,339 |
1,032 |
0 |
307 |
|
0 |
|
0 |
|
|
3Y |
1 |
0 |
1 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
1,956 |
0 |
1,956 |
933 |
0 |
1,023 |
|
0 |
|
7 |
|
|
10Y |
1,202 |
0 |
1,202 |
1,124 |
0 |
78 |
|
0 |
|
-4 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
20,350 |
0 |
20,350 |
6,854 |
0 |
12,133 |
|
0 |
|
3 |
|
|
3M |
Other non EEA non Emerging countries |
71,251 |
0 |
68,526 |
29,622 |
0 |
5,955 |
|
478 |
|
0 |
|
1Y |
19,887 |
0 |
18,272 |
16,045 |
0 |
832 |
|
291 |
|
2 |
|
|
2Y |
9,693 |
0 |
9,338 |
6,179 |
0 |
2,964 |
|
-40 |
|
-1 |
|
|
3Y |
3,371 |
0 |
3,089 |
2,594 |
0 |
444 |
|
30 |
|
5 |
|
|
5Y |
9,848 |
0 |
9,431 |
7,555 |
0 |
1,480 |
|
32 |
|
3 |
|
|
10Y |
1,725 |
0 |
1,454 |
189 |
0 |
1,237 |
|
36 |
|
-5 |
|
|
15Y |
195 |
0 |
80 |
0 |
0 |
74 |
|
55 |
|
0 |
|
|
|
115,970 |
0 |
110,191 |
62,185 |
0 |
12,986 |
|
882 |
|
4 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Asia |
24,780 |
0 |
24,780 |
3,384 |
0 |
7,588 |
|
-56 |
|
0 |
|
1Y |
12,166 |
0 |
12,166 |
9,767 |
0 |
2,399 |
|
95 |
|
0 |
|
|
2Y |
2,212 |
0 |
2,212 |
1,727 |
0 |
461 |
|
0 |
|
1 |
|
|
3Y |
1,930 |
0 |
1,930 |
1,474 |
0 |
446 |
|
0 |
|
6 |
|
|
5Y |
1,852 |
0 |
1,851 |
1,419 |
0 |
432 |
|
0 |
|
7 |
|
|
10Y |
414 |
0 |
414 |
202 |
0 |
212 |
|
15 |
|
-1 |
|
|
15Y |
454 |
0 |
454 |
48 |
0 |
345 |
|
1 |
|
0 |
|
|
|
43,808 |
0 |
43,807 |
18,021 |
0 |
11,884 |
|
55 |
|
13 |
|
|
3M |
Middle and South America |
23,776 |
0 |
23,732 |
1,957 |
0 |
4,240 |
|
8 |
|
0 |
|
1Y |
2,762 |
0 |
2,604 |
1,017 |
0 |
1,283 |
|
5 |
|
-14 |
|
|
2Y |
1,999 |
0 |
1,999 |
1,878 |
0 |
103 |
|
0 |
|
-74 |
|
|
3Y |
4,495 |
0 |
4,495 |
3,572 |
0 |
273 |
|
0 |
|
-58 |
|
|
5Y |
5,753 |
0 |
5,752 |
5,257 |
0 |
435 |
|
1 |
|
-186 |
|
|
10Y |
1,609 |
0 |
1,444 |
1,372 |
0 |
0 |
|
19 |
|
-154 |
|
|
15Y |
3,508 |
0 |
3,464 |
647 |
0 |
0 |
|
0 |
|
-2 |
|
|
|
43,901 |
0 |
43,489 |
15,701 |
0 |
6,335 |
|
33 |
|
-488 |
|
|
3M |
Eastern Europe non EEA |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
1,468 |
0 |
1,468 |
450 |
0 |
702 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
15 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1,468 |
0 |
1,468 |
450 |
0 |
702 |
|
15 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Others |
8,597 |
1,112 |
8,597 |
2,417 |
0 |
450 |
|
0 |
|
0 |
|
1Y |
8,913 |
8 |
8,913 |
6,908 |
0 |
360 |
|
0 |
|
0 |
|
|
2Y |
193 |
0 |
193 |
193 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
2,739 |
13 |
2,739 |
473 |
0 |
253 |
|
0 |
|
0 |
|
|
5Y |
638 |
9 |
638 |
627 |
0 |
2 |
|
0 |
|
0 |
|
|
10Y |
7 |
0 |
7 |
7 |
0 |
0 |
|
9 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
21,087 |
1,142 |
21,087 |
10,624 |
0 |
1,065 |
|
9 |
|
0 |
|
|
|
TOTAL |
488,514 |
3,429 |
416,292 |
225,459 |
629 |
104,078 |
|
960 |
|
-529 |
Notes and definitions
(1) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings.
See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm
(2) The exposures reported in this worksheet cover only exposures to central and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees.
(3) According to the EBA methodologies, for the trading book assets banks have been allowed to offset only cash short positions having the same maturities.
APPENDIX 2: RESULTS OF THE 2011 EBA EU-WIDE STRESS TEST (EUR)
Results of the 2011 EBA EU-wide stress test: Summary(1-3)
HSBC Holdings plc
|
Actual results at 31 December 2010 |
million EUR, % |
|
Operating profit before impairments |
21,646 |
|
Impairment losses on financial and non-financial assets in the banking book |
-10,502 |
|
Risk weighted assets(4) |
825,560 |
|
Core Tier 1 capital(4) |
86,900 |
|
Core Tier 1 capital ratio, %(4) |
10.5% |
|
Additional capital needed to reach a 5 % Core Tier 1 capital benchmark |
|
|
Outcomes of the adverse scenario at 31 December 2012, excluding all mitigating actions taken in 2011 |
% |
|
Core Tier 1 Capital ratio |
8.5% |
|
Outcomes of the adverse scenario at 31 December 2012, including recognised mitigating measures as of 30 April 2011 |
million EUR, % |
|
2 yr cumulative operating profit before impairments |
25,308 |
|
2 yr cumulative impairment losses on financial and non-financial assets in the banking book |
-22,725 |
|
2 yr cumulative losses from the stress in the trading book |
-6,575 |
|
of which valuation losses due to sovereign shock |
-1,516 |
|
Risk weighted assets |
1,056,965 |
|
Core Tier 1 Capital |
89,443 |
|
Core Tier 1 Capital ratio (%) |
8.5% |
|
Additional capital needed to reach a 5 % Core Tier 1 capital benchmark |
|
|
Effects from the recognised mitigating measures put in place until 30 April 2011(5) |
|
|
Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011 (CT1 million EUR) |
0 |
|
Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio) |
0.0 |
|
Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio) |
0.0 |
|
Additional taken or planned mitigating measures |
percentage points contributing to |
|
Use of provisions and/or other reserves (including release of countercyclical provisions) |
0.0 |
|
Divestments and other management actions taken by 30 April 2011 |
0.0 |
|
Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules |
0.0 |
|
Future planned issuances of common equity instruments (private issuances) |
0.0 |
|
Future planned government subscriptions of capital instruments (including hybrids) |
0.0 |
|
Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities |
0.0 |
|
Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012, %(6) |
8.5% |
Notes
(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).
(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.
(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.
(4) Full static balance sheet assumption excluding any mitigating management actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures and capital raisings fully paid in before 31 December 2010 are included).
(5) Effects of capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in period from 31 December 2010 to 30 April 2011, which are incorporated in the Core Tier 1 capital ratio reported as the outcome of the stress test.
(6) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.
Results of the 2011 EBA EU-wide stress test: Aggregate information and evolution of capital(1-4)
Name of the bank: HSBC Holdings plc
All in million EUR, or %
|
A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in before 31 December 2010 are included) |
|
Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
Risk weighted assets (full static balance sheet assumption) |
825,560 |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
Common equity according to EBA definition |
86,900 |
92,636 |
97,204 |
88,322 |
89,443 |
|
of which ordinary shares subscribed by government |
0 |
0 |
0 |
0 |
0 |
|
Other existing subscribed government capital (before 31 December 2010) |
0 |
0 |
0 |
0 |
0 |
|
Core Tier 1 capital (full static balance sheet assumption) |
86,900 |
92,636 |
97,204 |
88,322 |
89,443 |
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
|
B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
|
Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
Risk weighted assets (full static balance sheet assumption) |
825,560 |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-) |
|
0 |
0 |
0 |
0 |
|
Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
825,560 |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
Core Tier 1 Capital (full static balance sheet assumption) |
86,900 |
92,636 |
97,204 |
88,322 |
89,443 |
|
Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital (+/-) |
|
0 |
0 |
0 |
0 |
|
Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
86,900 |
92,636 |
97,204 |
88,322 |
89,443 |
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
|
C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011 |
|
Capital adequacy |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
825,560 |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on RWA (+/-) |
|
0 |
0 |
0 |
0 |
|
Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 30 April 2011 |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
|
of which RWA in banking book |
658,818 |
644,761 |
701,639 |
683,485 |
|
|
of which RWA in trading book |
72,368 |
72,368 |
72,368 |
72,368 |
|
|
RWA on securitisation positions |
46,585 |
69,083 |
105,377 |
178,252 |
|
|
Total assets after the effects of mandatory restructuring plans publicly announced and fully committed and equity raised and fully committed by 30 April 2011 |
1,783,199 |
1,783,199 |
1,783,199 |
1,783,199 |
1,783,199 |
|
Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 |
86,900 |
92,636 |
97,204 |
88,322 |
89,443 |
|
Equity raised between 31 December 2010 |
|
0 |
0 |
0 |
0 |
|
Equity raisings fully committed (but not paid in) between 31 December 2010 and 30 April 2011 |
0 |
0 |
0 |
0 |
|
|
Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-) |
0 |
0 |
0 |
0 |
|
|
Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-) |
0 |
0 |
0 |
0 |
|
|
Core Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
92,636 |
97,204 |
88,322 |
89,443 |
|
|
Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
106,051 |
110,019 |
101,738 |
102,858 |
|
|
Total regulatory capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 |
128,575 |
131,230 |
124,261 |
124,070 |
|
|
Core Tier 1 capital ratio (%) |
10.5% |
10.3% |
10.7% |
8.8% |
8.5% |
|
Additional capital needed to reach a 5% Core Tier 1 capital benchmark |
|
|
|
|
|
|
Profit and losses |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
Net interest income |
28,146 |
27,372 |
24,413 |
24,008 |
21,370 |
|
Trading income |
5,388 |
4,814 |
4,814 |
2,930 |
2,930 |
|
of which trading losses from stress scenarios |
|
-1,404 |
-1,404 |
-3,288 |
-3,288 |
|
of which valuation losses due to sovereign shock |
|
-758 |
-758 |
||
|
Other operating income(5) |
2,533 |
1,620 |
1,620 |
1,620 |
1,620 |
|
Operating profit before impairments |
21,646 |
19,056 |
16,426 |
13,809 |
11,499 |
|
Impairments on financial and non-financial assets in the banking book(6) |
-10,502 |
-8,856 |
-8,555 |
-12,217 |
-10,508 |
|
Operating profit after impairments and other losses from the stress |
11,144 |
10,201 |
7,871 |
1,592 |
991 |
|
Other income(5,6) |
1,246 |
1,246 |
1,246 |
1,246 |
1,246 |
|
Net profit after tax (7) |
9,160 |
8,928 |
7,111 |
2,213 |
1,745 |
|
of which carried over to capital (retained earnings) |
4,755 |
4,937 |
3,933 |
1,224 |
965 |
|
of which distributed as dividends |
4,405 |
3,991 |
3,179 |
989 |
780 |
|
Additional information |
2010 |
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
Deferred Tax Assets(8) |
-2,994 |
-2,994 |
-2,994 |
-2,994 |
-2,994 |
|
Stock of provisions(9) |
18,609 |
25,354 |
33,909 |
28,716 |
39,224 |
|
of which stock of provisions for non-defaulted assets |
|
|
|
|
|
|
of which Sovereigns(10) |
|
|
|
|
|
|
of which Institutions(10) |
|
|
|
|
|
|
of which Corporate (excluding Commercial real estate) |
|
|
|
|
|
|
of which Retail (excluding Commercial real estate) |
|
|
|
|
|
|
of which Commercial real estate(11) |
|
|
|
|
|
|
of which stock of provisions for defaulted assets |
|
|
|
|
|
|
of which Corporate (excluding Commercial real estate) |
|
|
|
|
|
|
of which Retail (excluding commercial real estate) |
|
|
|
|
|
|
of which Commercial real estate |
|
|
|
|
|
|
Coverage ratio (%)(12) |
|||||
|
Corporate (excluding Commercial real estate) |
|
|
|
|
|
|
Retail (excluding Commercial real estate) |
|
|
|
|
|
|
Commercial real estate |
|
|
|
|
|
|
Loss rates (%)(13) |
|||||
|
Corporate (excluding Commercial real estate) |
0.3% |
0.7% |
0.7% |
0.8% |
0.7% |
|
Retail (excluding Commercial real estate) |
2.0% |
1.8% |
1.7% |
2.1% |
2.1% |
|
Commercial real estate |
0.4% |
0.7% |
0.7% |
0.8% |
0.8% |
|
Funding cost (bps) |
119 |
|
215 |
278 |
|
|
D. Other mitigating measures (see Mitigating measures worksheet for details), million EUR(14) |
|
All effects as compared to regulatory aggregates as reported in Section C |
|
Baseline scenario |
Adverse scenario |
||
|
2011 |
2012 |
2011 |
2012 |
||
|
A) Use of provisions and/or other reserves (including release of countercyclical provisions), capital ratio effect(6) |
0 |
0 |
0 |
0 |
|
|
B) Divestments and other management actions taken by 30 April 2011, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
|
B1) Divestments and other business decisions taken by 30 April 2011, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
|
C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
|
C1) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
|
D) Future planned issuances of common equity instruments (private issuances), capital ratio effect |
0 |
0 |
0 |
0 |
|
|
E) Future planned government subscriptions of capital instruments (including hybrids), capital ratio effect |
0 |
0 |
0 |
0 |
|
|
F) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, RWA effect (+/-) |
0 |
0 |
0 |
0 |
|
|
F1) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, capital ratio effect (+/-) |
0 |
0 |
0 |
0 |
|
|
Risk weighted assets after other mitigating measures (B+C+F) |
900,631 |
909,072 |
1,002,244 |
1,056,965 |
|
|
Capital after other mitigating measures (A+B1+C1+D+E+F1) |
92,636 |
97,204 |
88,322 |
89,443 |
|
|
Supervisory recognised capital ratio (%)(15) |
10.3% |
10.7% |
8.8% |
8.5% |
|
Notes and definitions
(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).
(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.
(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.
(4) Regulatory transitional floors are applied where binding. RWA for credit risk have been calculated in accordance with the EBA methodology assuming an additional floor imposed at a level of RWA, before regulatory transitional floors, for December 2010 for both IRB and STA portfolios.
(5) Banks are required to provide explanations of what "Other operating income" and "Other income" constitutes for.
Composition of "Other Operating Income":
Gains (losses) on financial assets and liabilities designated at fair value through profit and loss, net + Realised gains (losses) on fin. assets and l-iabilities not measured at fair value through profit and loss, net + Gains (losses) from hedge accounting, net +Gains (losses) on derecognition of assets other than held for sale +Net dividend income +Gains (losses) on non financial assets measured at fair value.
Composition of "Other income":
Income from Associates and Joint Ventures (excluding income from Insurance companies).
(6) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D as other mitigating measures.
(7) Net profit includes profit attributable to minority interests.
(8) Deferred tax assets as referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 - a global regulatory framework for more resilient banks and banking systems".
(9) Stock of provisions includes collective and specific provisions as well as countercyclical provisions, in the jurisdictions, where required by the national legislation.
(10) Provisions for non-defaulted exposures to sovereigns and financial institutions have been computed taking into account benchmark risk parameters (PDs and LGDs) provided by the EBA and referring to external credit ratings and assuming hypothetical scenario of rating agency downgrades of sovereigns.
(11) N/A.
(12) Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD for the specific portfolio.
(13) Loss rate = total impairment flow (specific and collective impairment flow) for a year / total EAD for the specific portfolio (including defaulted and non-defaulted assets but excluding securitisation and counterparty credit risk exposures).
(14) All elements are be reported net of tax effects.
(15) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.
|
Situation at December 2010 |
December 2010 |
|
|
Million EUR |
% RWA |
|
|
A) Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares) (+) |
90,148 |
10.9% |
|
Of which: (+) eligible capital and reserves |
108,229 |
13.1% |
|
Of which: (-) intangibles assets (including goodwill) |
-20,956 |
-2.5% |
|
Of which: (-/+) adjustment to valuation differences in other AFS assets(1) |
2,876 |
0.3% |
|
B) Deductions from common equity (Elements deducted from original own funds) (-) |
-3,248 |
-0.4% |
|
Of which: (-) deductions of participations and subordinated claims |
0 |
0.0% |
|
Of which: (-) securitisation exposures not included in RWA |
-1,098 |
-0.1% |
|
Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax) |
-2,330 |
-0.3% |
|
C) Common equity (A+B) |
86,900 |
10.5% |
|
Of which: ordinary shares subscribed by government |
0 |
0.0% |
|
D) Other Existing government support measures (+) |
0 |
0.0% |
|
E) Core Tier 1 including existing government support measures (C+D) |
86,900 |
10.5% |
|
Difference from benchmark capital threshold (CT1 5%) |
45,622 |
5.5% |
|
F) Hybrid instruments not subscribed by government |
12,770 |
1.5% |
|
Tier 1 Capital (E+F) (Total original own funds for general solvency purposes) |
99,670 |
12.1% |
|
Tier 2 Capital (Total additional own funds for general solvency purposes) |
25,727 |
3.1% |
|
Tier 3 Capital (Total additional own funds specific to cover market risks) |
0 |
0.0% |
|
Total Capital (Total own funds for solvency purposes) |
125,397 |
15.2% |
|
Memorandum items |
||
|
Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions not deducted for the computation of core tier 1 but deducted for the computation of total own funds |
11,112 |
1.3% |
|
Amount of securitisation exposures not included in RWA and not deducted for the computation of core tier 1 but deducted for the computation of total own funds |
1,098 |
0.1% |
|
Deferred tax assets(2) |
-2,994 |
-0.4% |
|
Minority interests (excluding hybrid instruments)(2) |
5,424 |
0.7% |
|
Valuation differences eligible as original own funds (-/+)(3) |
1,343 |
0.2% |
Notes and definitions
(1) The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.
(2) According to the Basel 3 framework specific rules apply for the treatment of these items under the Basel 3 framework, no full deduction is required for the computation of common equity.
(3) This item represents the impact in original own funds of valuation differences arising from the application of fair value measurement to certain financial instruments (AFS/FVO) and property assets after the application of prudential filters.
Results of the 2011 EBA EU-wide stress test: Overview of mitigating measures(1-2)
Name of the bank: HSBC Holdings plc
Use of countercyclical provisions, divestments and other management actions
|
Please fill in the table using a separate row for each measure |
Narrative description |
Date of completion (actual or planned for future issuances) |
Capital / P&L impact |
RWA impact |
Capital ratio impact |
|||||
|
A) Use of provisions and/or other reserves (including release of countercyclical provisions)(3) |
||||||||||
|
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|||||
|
B) Divestments and other management actions taken by 30 April 2011 |
||||||||||
|
1) |
|
|
|
|
|
|||||
|
2) |
|
|
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|
|||||
|
C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules |
||||||||||
|
1) |
|
|
|
|
|
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2) |
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|
|||||
Future capital raisings and other back stop measures
|
Please fill in the table using a separate row for each measure |
Date of issuance (actual or planned for future issuances, dd/mm/yy) |
Amount |
Maturity |
Loss absorbency in going concern |
Flexibility of payments (capacity to suspend the payments) |
Permanence (Undated and without incentive to redeem) |
Conversion clause (where appropriate) |
|||||
|
Nature of conversion |
Date of conversion |
Triggers |
Conversion in common equity |
|||||||||
|
(in million EUR) |
(dated/ undated)(4) |
(Yes/No) |
(Yes/No) |
(Yes/No) |
(mandatory/ discretionary) |
(at any time/from a specific date: dd/mm/yy) |
(description of the triggers) |
(Yes/No) |
||||
|
D) Future planned issuances of common equity instruments (private issuances) |
||||||||||||
|
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|
|
|
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|
||
|
E) Future planned government subscriptions of capital instruments (including hybrids) |
||||||||||||
|
1) Denomination of the instrument |
|
|
|
|
|
|
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2) |
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|
|
|
||
|
F) Other (existing and future) instruments recognised as back stop measures by national supervisory authorities (including hybrids) |
||||||||||||
|
1) Denomination of the instrument |
|
|
|
|
|
|
|
|
|
|
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|
2) |
|
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|
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|
||
Notes and definitions
(1) N/A.
(2) All elements are be reported net of tax effects.
(3) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported as other mitigating measures.
(4) N/A.
Results of the 2011 EBA EU-wide stress test: Credit risk exposures (EAD - exposure at default), as of 31 December 2010, mln EUR(1-5)
Name of the bank: HSBC Holdings plc
All values in million EUR, or %
|
|
Non-defaulted exposures |
Commercial Real Estate |
Defaulted exposures (including sovereign) |
Total exposures(7) |
||||||
|
Institutions |
Corporate (excluding commercial real estate |
Retail (excluding commercial real estate) |
of which Residential mortgages |
of which Revolving |
of which SME |
of which other |
||||
|
Austria |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Belgium |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Bulgaria |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Cyprus |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Czech Republic |
273 |
1,974 |
0 |
0 |
0 |
0 |
0 |
8 |
0 |
2,844 |
|
Denmark |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Estonia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Finland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
France |
20,628 |
22,258 |
19,003 |
2,914 |
31 |
5,083 |
10,975 |
8,947 |
1,714 |
98,026 |
|
Germany |
18,561 |
6,623 |
157 |
0 |
0 |
0 |
157 |
141 |
107 |
45,589 |
|
Greece |
387 |
3,086 |
49 |
0 |
0 |
0 |
49 |
63 |
62 |
4,268 |
|
Hungary |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Iceland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Ireland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Italy |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Latvia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Liechtenstein |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Lithuania |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Luxembourg |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Malta |
41 |
2,761 |
319 |
0 |
0 |
0 |
319 |
262 |
113 |
4,395 |
|
Netherlands |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Norway |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Poland |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Portugal |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Romania |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Slovakia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Slovenia |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Spain |
3,344 |
4,074 |
0 |
0 |
0 |
0 |
0 |
452 |
8 |
9,638 |
|
Sweden |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
United Kingdom |
17,920 |
100,066 |
128,928 |
86,174 |
31,866 |
2,957 |
7,931 |
15,144 |
3,940 |
326,706 |
|
|
Non-defaulted exposures |
Commercial Real Estate |
Defaulted exposures (including sovereign) |
Total exposures(7) |
||||||
|
Institutions |
Corporate (excluding commercial real estate |
Retail (excluding commercial real estate) |
of which Residential mortgages |
of which Revolving |
of which SME |
of which other |
||||
|
United States |
19,616 |
50,803 |
116,482 |
51,377 |
54,305 |
0 |
10,816 |
8,606 |
5,850 |
237,068 |
|
Japan |
6,731 |
1,771 |
158 |
0 |
0 |
0 |
158 |
738 |
0 |
16,367 |
|
Other non EEA non Emerging countries |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
|
Asia |
44,592 |
169,645 |
87,666 |
52,651 |
14,610 |
428 |
19,977 |
38,252 |
1,357 |
386,450 |
|
Middle and South America |
5,211 |
23,713 |
14,965 |
0 |
0 |
0 |
14,965 |
2,349 |
1,096 |
61,573 |
|
Eastern Europe non EEA |
9,500 |
4,465 |
16,043 |
0 |
0 |
0 |
16,043 |
245 |
125 |
33,504 |
|
Others |
65,288 |
40,866 |
27,756 |
18,727 |
2,467 |
698 |
5,864 |
10,511 |
1,565 |
217,847 |
|
Total |
212,092 |
432,105 |
411,526 |
211,843 |
103,279 |
9,166 |
87,254 |
85,710 |
15,937 |
1,444,275 |
Notes and definitions
(1) EAD - Exposure at Default or exposure value in the meaning of the CRD.
(2) The EAD reported here are based on the methodologies and portfolio breakdowns used in the 2011 EU-wide stress test, and hence may differ from the EAD reported by banks in their Pillar 3 disclosures, which can vary based on national regulation. For example, this would affect breakdown of EAD for real estate exposures and SME exposures.
(3) Breakdown by country and macro area (e.g. Asia) when EAD >=5%. In any case coverage 100% of total EAD should be ensured (if exact mapping of some exposures to geographies is not possible, they should be allocated to the group "others").
(4) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm
(5) Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, which are recognised as eligible collateral in the meaning of the CRD, with the following criteria, which need to be met:
(a) the value of the property does not materially depend upon the credit quality of the obligor. This requirement does not preclude situations where purely macro economic factors affect both the value of the property and the performance of the borrower; and
(b) the risk of the borrower does not materially depend upon the performance of the underlying property or project, but rather on the underlying capacity of the borrower to repay the debt from other sources. As such, repayment of the facility does not materially depend on any cash flow generated by the underlying property serving as collateral."
(6) N/A.
(7) N/A.
Results of the 2011 EBA EU-wide stress test: Exposures to sovereigns (central and local governments), as of 31 December 2010, mln EUR(1,2)
Name of the bank: HSBC Holdings plc
All in million EUR, or %
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Austria |
183 |
0 |
183 |
0 |
0 |
183 |
|
0 |
|
0 |
|
1Y |
143 |
0 |
143 |
0 |
0 |
143 |
|
-34 |
|
0 |
|
|
2Y |
27 |
0 |
0 |
0 |
0 |
0 |
|
-89 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
7 |
|
0 |
|
|
5Y |
34 |
0 |
0 |
0 |
0 |
0 |
|
-1 |
|
0 |
|
|
10Y |
545 |
0 |
545 |
0 |
0 |
545 |
|
11 |
|
0 |
|
|
15Y |
173 |
0 |
0 |
0 |
0 |
0 |
|
43 |
|
0 |
|
|
|
1,105 |
0 |
871 |
0 |
0 |
871 |
|
-63 |
|
0 |
|
|
3M |
Belgium |
99 |
0 |
99 |
0 |
0 |
99 |
|
3 |
|
0 |
|
1Y |
168 |
0 |
149 |
0 |
0 |
149 |
|
40 |
|
0 |
|
|
2Y |
343 |
0 |
160 |
87 |
1 |
73 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
28 |
|
0 |
|
|
5Y |
197 |
0 |
94 |
0 |
0 |
94 |
|
0 |
|
0 |
|
|
10Y |
621 |
0 |
509 |
0 |
0 |
509 |
|
0 |
|
0 |
|
|
15Y |
22 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1,450 |
0 |
1,011 |
87 |
1 |
924 |
|
71 |
|
0 |
|
|
3M |
Bulgaria |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Cyprus |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Czech Republic |
514 |
0 |
514 |
22 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
184 |
0 |
184 |
184 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
14 |
0 |
14 |
1 |
0 |
13 |
|
13 |
|
0 |
|
|
5Y |
25 |
0 |
25 |
15 |
0 |
9 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
|
739 |
0 |
739 |
222 |
0 |
24 |
|
13 |
|
0 |
|
|
3M |
Denmark |
5 |
0 |
5 |
0 |
0 |
5 |
|
3 |
|
0 |
|
1Y |
1,124 |
0 |
1,124 |
1,113 |
0 |
10 |
|
0 |
|
0 |
|
|
2Y |
3 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
5Y |
5 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
10Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
|
15Y |
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
|
1,143 |
0 |
1,137 |
1,113 |
0 |
23 |
|
3 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Estonia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Finland |
198 |
0 |
194 |
0 |
0 |
194 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
29 |
0 |
29 |
0 |
0 |
29 |
|
0 |
|
0 |
|
|
3Y |
26 |
0 |
26 |
0 |
0 |
26 |
|
0 |
|
0 |
|
|
5Y |
77 |
0 |
4 |
0 |
0 |
4 |
|
0 |
|
0 |
|
|
10Y |
64 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
121 |
0 |
121 |
0 |
0 |
121 |
|
0 |
|
0 |
|
|
|
515 |
0 |
374 |
0 |
0 |
374 |
|
0 |
|
0 |
|
|
3M |
France |
2,690 |
0 |
2,504 |
1,259 |
0 |
1,144 |
|
0 |
|
0 |
|
1Y |
3,498 |
195 |
2,423 |
659 |
0 |
1,602 |
|
0 |
|
0 |
|
|
2Y |
2,635 |
0 |
1,620 |
1,960 |
0 |
0 |
|
5 |
|
0 |
|
|
3Y |
1,332 |
0 |
960 |
121 |
3 |
839 |
|
0 |
|
0 |
|
|
5Y |
4,257 |
131 |
3,732 |
2,370 |
0 |
1,362 |
|
3 |
|
0 |
|
|
10Y |
2,255 |
7 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
15Y |
2,309 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
18,976 |
333 |
11,239 |
6,369 |
3 |
4,947 |
|
8 |
|
-1 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Germany |
219 |
0 |
0 |
151 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
1,136 |
121 |
343 |
134 |
0 |
208 |
|
0 |
|
0 |
|
|
2Y |
3,332 |
0 |
1,551 |
2,640 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
1,596 |
0 |
0 |
747 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
3,510 |
0 |
2,367 |
2,398 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
2,862 |
88 |
886 |
613 |
0 |
274 |
|
27 |
|
0 |
|
|
15Y |
2,679 |
0 |
1,597 |
613 |
0 |
984 |
|
-12 |
|
0 |
|
|
|
15,334 |
209 |
6,744 |
7,296 |
0 |
1,466 |
|
15 |
|
0 |
|
|
3M |
Greece |
105 |
0 |
105 |
19 |
0 |
85 |
|
0 |
|
0 |
|
1Y |
104 |
0 |
95 |
0 |
0 |
95 |
|
0 |
|
-1 |
|
|
2Y |
255 |
0 |
255 |
35 |
0 |
220 |
|
0 |
|
-1 |
|
|
3Y |
92 |
0 |
59 |
67 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
428 |
0 |
373 |
67 |
0 |
306 |
|
0 |
|
0 |
|
|
10Y |
235 |
0 |
32 |
0 |
0 |
32 |
|
57 |
|
-7 |
|
|
15Y |
100 |
0 |
0 |
0 |
0 |
0 |
|
26 |
|
0 |
|
|
|
1,319 |
0 |
919 |
188 |
0 |
738 |
|
83 |
|
-9 |
|
|
3M |
Hungary |
186 |
0 |
186 |
0 |
0 |
186 |
|
1 |
|
0 |
|
1Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
|
2Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
|
3Y |
1 |
0 |
0 |
0 |
0 |
0 |
|
1 |
|
-1 |
|
|
5Y |
17 |
0 |
15 |
0 |
0 |
15 |
|
0 |
|
-13 |
|
|
10Y |
3 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
209 |
0 |
203 |
0 |
0 |
203 |
|
2 |
|
-14 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Iceland |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
3M |
Ireland |
2 |
0 |
2 |
0 |
0 |
2 |
|
1 |
|
0 |
|
1Y |
24 |
0 |
4 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
9 |
0 |
9 |
0 |
0 |
9 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
-1 |
|
|
5Y |
30 |
0 |
30 |
0 |
0 |
17 |
|
0 |
|
-1 |
|
|
10Y |
150 |
0 |
17 |
0 |
0 |
17 |
|
0 |
|
-4 |
|
|
15Y |
72 |
0 |
72 |
0 |
0 |
72 |
|
0 |
|
0 |
|
|
|
287 |
0 |
134 |
0 |
0 |
117 |
|
1 |
|
-6 |
|
|
3M |
Italy |
235 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
2,116 |
0 |
1,625 |
423 |
0 |
928 |
|
0 |
|
0 |
|
|
2Y |
1,097 |
0 |
462 |
83 |
0 |
379 |
|
0 |
|
0 |
|
|
3Y |
677 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
1,514 |
0 |
882 |
0 |
0 |
882 |
|
0 |
|
0 |
|
|
10Y |
2,497 |
0 |
594 |
0 |
0 |
594 |
|
-618 |
|
-2 |
|
|
15Y |
1,791 |
0 |
294 |
0 |
0 |
294 |
|
0 |
|
0 |
|
|
|
9,927 |
0 |
3,857 |
506 |
0 |
3,077 |
|
-618 |
|
-2 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Latvia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
1 |
|
-1 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1 |
0 |
1 |
0 |
0 |
1 |
|
1 |
|
-1 |
|
|
3M |
Liechtenstein |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Lithuania |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
10 |
0 |
10 |
0 |
0 |
10 |
|
0 |
|
0 |
|
|
10Y |
5 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
15 |
0 |
10 |
0 |
0 |
10 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Luxembourg |
75 |
0 |
75 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
204 |
0 |
204 |
204 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
91 |
0 |
91 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
68 |
0 |
3 |
0 |
1 |
0 |
|
0 |
|
0 |
|
|
10Y |
26 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
29 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
493 |
0 |
373 |
204 |
1 |
0 |
|
0 |
|
0 |
|
|
3M |
Malta |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
244 |
72 |
244 |
244 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
55 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
0 |
5 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
244 |
132 |
244 |
244 |
0 |
0 |
|
0 |
|
0 |
|
|
3M |
Netherlands |
2,098 |
0 |
1,877 |
0 |
0 |
0 |
|
2 |
|
0 |
|
1Y |
365 |
0 |
365 |
299 |
0 |
65 |
|
0 |
|
0 |
|
|
2Y |
227 |
0 |
227 |
0 |
0 |
227 |
|
0 |
|
0 |
|
|
3Y |
108 |
0 |
0 |
108 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
458 |
0 |
166 |
133 |
0 |
34 |
|
0 |
|
0 |
|
|
10Y |
607 |
0 |
607 |
0 |
0 |
607 |
|
0 |
|
0 |
|
|
15Y |
150 |
0 |
0 |
0 |
0 |
0 |
|
9 |
|
0 |
|
|
|
4,013 |
0 |
3,242 |
540 |
0 |
933 |
|
11 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Norway |
23 |
0 |
23 |
0 |
0 |
23 |
|
0 |
|
0 |
|
1Y |
21 |
0 |
21 |
19 |
0 |
1 |
|
0 |
|
0 |
|
|
2Y |
12 |
0 |
12 |
0 |
0 |
12 |
|
0 |
|
0 |
|
|
3Y |
40 |
0 |
19 |
0 |
0 |
19 |
|
0 |
|
0 |
|
|
5Y |
3 |
0 |
3 |
0 |
0 |
3 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
99 |
0 |
78 |
19 |
0 |
58 |
|
0 |
|
0 |
|
|
3M |
Poland |
1,085 |
0 |
1,085 |
973 |
0 |
112 |
|
0 |
|
0 |
|
1Y |
329 |
0 |
329 |
231 |
0 |
98 |
|
0 |
|
0 |
|
|
2Y |
35 |
0 |
30 |
4 |
0 |
27 |
|
0 |
|
0 |
|
|
3Y |
1 |
0 |
0 |
1 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
36 |
0 |
22 |
0 |
0 |
22 |
|
0 |
|
0 |
|
|
10Y |
69 |
0 |
51 |
0 |
0 |
51 |
|
0 |
|
0 |
|
|
15Y |
8 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1,563 |
0 |
1,517 |
1,209 |
0 |
310 |
|
0 |
|
0 |
|
|
3M |
Portugal |
188 |
0 |
188 |
0 |
0 |
188 |
|
16 |
|
0 |
|
1Y |
269 |
0 |
53 |
0 |
0 |
53 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
46 |
|
0 |
|
|
3Y |
56 |
0 |
56 |
0 |
0 |
56 |
|
0 |
|
0 |
|
|
5Y |
173 |
0 |
12 |
0 |
0 |
12 |
|
82 |
|
-1 |
|
|
10Y |
140 |
0 |
11 |
0 |
0 |
11 |
|
99 |
|
-4 |
|
|
15Y |
179 |
0 |
0 |
0 |
0 |
0 |
|
16 |
|
0 |
|
|
|
1,005 |
0 |
320 |
0 |
0 |
320 |
|
259 |
|
-5 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Romania |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
10Y |
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
2 |
0 |
2 |
0 |
0 |
2 |
|
0 |
|
0 |
|
|
3M |
Slovakia |
10 |
0 |
10 |
0 |
0 |
10 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
12 |
0 |
12 |
0 |
0 |
12 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
43 |
0 |
43 |
0 |
0 |
43 |
|
0 |
|
0 |
|
|
|
65 |
0 |
65 |
0 |
0 |
65 |
|
0 |
|
0 |
|
|
3M |
Slovenia |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
122 |
0 |
113 |
0 |
0 |
113 |
|
0 |
|
0 |
|
|
10Y |
71 |
0 |
58 |
0 |
0 |
58 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
193 |
0 |
171 |
0 |
0 |
171 |
|
0 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Spain |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
1Y |
376 |
0 |
376 |
0 |
0 |
376 |
|
0 |
|
0 |
|
|
2Y |
340 |
0 |
181 |
0 |
0 |
181 |
|
9 |
|
0 |
|
|
3Y |
199 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
306 |
0 |
77 |
0 |
0 |
77 |
|
5 |
|
-1 |
|
|
10Y |
362 |
10 |
0 |
0 |
0 |
0 |
|
33 |
|
-4 |
|
|
15Y |
447 |
0 |
0 |
0 |
0 |
0 |
|
22 |
|
0 |
|
|
|
2,031 |
10 |
635 |
0 |
0 |
635 |
|
69 |
|
-5 |
|
|
3M |
Sweden |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
20 |
0 |
20 |
16 |
0 |
4 |
|
0 |
|
0 |
|
|
2Y |
25 |
0 |
25 |
0 |
0 |
25 |
|
12 |
|
0 |
|
|
3Y |
1 |
0 |
1 |
0 |
0 |
1 |
|
0 |
|
0 |
|
|
5Y |
1 |
0 |
1 |
2 |
0 |
0 |
|
1 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
47 |
0 |
47 |
18 |
0 |
30 |
|
13 |
|
0 |
|
|
3M |
United Kingdom |
22,522 |
0 |
21,308 |
896 |
0 |
0 |
|
56 |
|
0 |
|
1Y |
2,821 |
683 |
2,264 |
0 |
0 |
1,457 |
|
9 |
|
0 |
|
|
2Y |
3,075 |
0 |
2,237 |
2,835 |
0 |
0 |
|
11 |
|
0 |
|
|
3Y |
3,036 |
0 |
2,116 |
2,257 |
161 |
0 |
|
10 |
|
0 |
|
|
5Y |
4,456 |
44 |
3,897 |
3,438 |
0 |
459 |
|
7 |
|
0 |
|
|
10Y |
13,781 |
300 |
9,524 |
10,468 |
0 |
0 |
|
2 |
|
0 |
|
|
15Y |
6,725 |
0 |
2,482 |
940 |
267 |
1,276 |
|
11 |
|
0 |
|
|
|
56,416 |
1,027 |
43,828 |
20,834 |
428 |
3,192 |
|
106 |
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EEA 30 |
117,191 |
1,711 |
77,761 |
38,849 |
433 |
18,491 |
|
-26 |
|
-44 |
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
United States |
37,054 |
0 |
36,077 |
31,509 |
0 |
3,159 |
|
0 |
|
0 |
|
1Y |
8,985 |
0 |
7,784 |
5,574 |
0 |
4,597 |
|
0 |
|
0 |
|
|
2Y |
6,924 |
0 |
3,971 |
2,965 |
0 |
6,779 |
|
0 |
|
0 |
|
|
3Y |
3,038 |
0 |
2,037 |
1,767 |
0 |
2,267 |
|
0 |
|
0 |
|
|
5Y |
2,860 |
0 |
1,667 |
1,626 |
0 |
2,427 |
|
0 |
|
0 |
|
|
10Y |
2,321 |
0 |
1,014 |
13 |
0 |
3,616 |
|
0 |
|
0 |
|
|
15Y |
2,680 |
0 |
1,328 |
1,236 |
37 |
2,797 |
|
0 |
|
0 |
|
|
|
63,862 |
0 |
53,878 |
44,690 |
37 |
25,642 |
|
0 |
|
0 |
|
|
3M |
Japan |
6,768 |
0 |
6,768 |
834 |
0 |
4,915 |
|
0 |
|
0 |
|
1Y |
5,096 |
0 |
5,096 |
1,984 |
0 |
3,112 |
|
0 |
|
0 |
|
|
2Y |
1,002 |
0 |
1,002 |
772 |
0 |
230 |
|
0 |
|
0 |
|
|
3Y |
1 |
0 |
1 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
1,464 |
0 |
1,464 |
698 |
0 |
765 |
|
0 |
|
5 |
|
|
10Y |
899 |
0 |
899 |
841 |
0 |
58 |
|
0 |
|
-3 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
15,230 |
0 |
15,230 |
5,129 |
0 |
9,080 |
|
0 |
|
2 |
|
|
3M |
Other non EEA non Emerging countries |
53,323 |
0 |
51,284 |
22,169 |
0 |
4,457 |
|
490 |
|
0 |
|
1Y |
14,883 |
0 |
13,675 |
12,008 |
0 |
622 |
|
314 |
|
2 |
|
|
2Y |
7,254 |
0 |
6,989 |
4,625 |
0 |
2,218 |
|
-20 |
|
-1 |
|
|
3Y |
2,523 |
0 |
2,312 |
1,941 |
0 |
332 |
|
52 |
|
4 |
|
|
5Y |
7,371 |
0 |
7,058 |
5,654 |
0 |
1,108 |
|
65 |
|
2 |
|
|
10Y |
1,291 |
0 |
1,088 |
142 |
0 |
926 |
|
55 |
|
-4 |
|
|
15Y |
146 |
0 |
60 |
0 |
0 |
56 |
|
61 |
|
0 |
|
|
|
86,791 |
0 |
82,466 |
46,539 |
0 |
9,719 |
|
1,017 |
|
3 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Asia |
18,545 |
0 |
18,545 |
2,533 |
0 |
5,679 |
|
-42 |
|
0 |
|
1Y |
9,105 |
0 |
9,105 |
7,310 |
0 |
1,796 |
|
71 |
|
0 |
|
|
2Y |
1,655 |
0 |
1,655 |
1,292 |
0 |
345 |
|
0 |
|
0 |
|
|
3Y |
1,445 |
0 |
1,445 |
1,103 |
0 |
334 |
|
0 |
|
5 |
|
|
5Y |
1,386 |
0 |
1,386 |
1,062 |
0 |
323 |
|
0 |
|
5 |
|
|
10Y |
310 |
0 |
310 |
151 |
0 |
159 |
|
11 |
|
-1 |
|
|
15Y |
340 |
0 |
340 |
36 |
0 |
258 |
|
1 |
|
0 |
|
|
|
32,786 |
0 |
32,786 |
13,487 |
0 |
8,894 |
|
41 |
|
9 |
|
|
3M |
Middle and South America |
17,793 |
0 |
17,761 |
1,465 |
0 |
3,174 |
|
6 |
|
0 |
|
1Y |
2,067 |
0 |
1,948 |
761 |
0 |
960 |
|
4 |
|
-10 |
|
|
2Y |
1,496 |
0 |
1,496 |
1,405 |
0 |
77 |
|
0 |
|
-55 |
|
|
3Y |
3,364 |
0 |
3,364 |
2,673 |
0 |
204 |
|
0 |
|
-43 |
|
|
5Y |
4,305 |
0 |
4,305 |
3,935 |
0 |
325 |
|
1 |
|
-139 |
|
|
10Y |
1,204 |
0 |
1,081 |
1,027 |
0 |
0 |
|
14 |
|
-115 |
|
|
15Y |
2,625 |
0 |
2,592 |
484 |
0 |
0 |
|
0 |
|
-1 |
|
|
|
32,854 |
0 |
32,547 |
11,750 |
0 |
4,740 |
|
25 |
|
-363 |
|
|
3M |
Eastern Europe non EEA |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
1Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
2Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
5Y |
1,099 |
0 |
1,099 |
337 |
0 |
525 |
|
0 |
|
0 |
|
|
10Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
11 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
1,099 |
0 |
1,099 |
337 |
0 |
525 |
|
11 |
|
0 |
|
|
Residual Maturity |
Country/Region |
GROSS DIRECT LONG EXPOSURES |
NET DIRECT POSITIONS |
|
DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES |
|
INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK |
||||
|
|
of which: loans and advances |
|
of which: AFS banking book |
of which: FVO (designated at fair value through profit & loss) banking book |
of which: |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
|
Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value) |
||
|
3M |
Others |
6,434 |
832 |
6,434 |
1,809 |
0 |
337 |
|
0 |
|
0 |
|
1Y |
6,671 |
6 |
6,671 |
5,170 |
0 |
269 |
|
0 |
|
0 |
|
|
2Y |
144 |
0 |
144 |
144 |
0 |
0 |
|
0 |
|
0 |
|
|
3Y |
2,050 |
10 |
2,050 |
354 |
0 |
189 |
|
0 |
|
0 |
|
|
5Y |
477 |
7 |
477 |
469 |
0 |
2 |
|
0 |
|
0 |
|
|
10Y |
5 |
0 |
5 |
5 |
0 |
0 |
|
7 |
|
0 |
|
|
15Y |
0 |
0 |
0 |
0 |
0 |
0 |
|
0 |
|
0 |
|
|
|
15,781 |
855 |
15,781 |
7,951 |
0 |
797 |
|
7 |
|
0 |
|
|
|
TOTAL |
365,594 |
2,566 |
311,548 |
168,732 |
470 |
77,888 |
|
1,075 |
|
-393 |
Notes and definitions
(1) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings.
See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm
(2) The exposures reported in this worksheet cover only exposures to central and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees.
(3) According to the EBA methodologies, for the trading book assets banks have been allowed to offset only cash short positions having the same maturities.
This information is provided by RNS
COMPANIES COVERED:
Latest directors dealings
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- 2 days ago B&M European Value Retail S.A. (DI)
- 2 days ago B&M European Value Retail S.A. (DI)
- 2 days ago Haleon