HSBC Holdings Pillar 3 Disclosures at 31DEC16 pt2

RNS Number : 3770X

HSBC Holdings PLC

21 February 2017

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016

We make investments in private equity primarily through managed funds that are subject to limits on the amount of investment. We risk-assess these commitments to ensure that industry and geographical concentrations remain within acceptable levels for the portfolio as a whole, and perform regular reviews to substantiate the valuation of the investments within the portfolio.

Exchange traded investments amounted to $0.9bn (2015: $0.8bn), with the remainder being unlisted. These investments are held at fair value in line with market prices and are mainly strategic in nature.

On a regulatory consolidation basis, the net gain from disposal of equity securities amounted to $1.1bn (2015: $1.8bn), while impairment of AFS equities amounted to $0.0bn (2015: $0.1bn). Unrealised gains on equities of $1.1bn at 31 December 2016 were fully recognised in CET1.

Details of our accounting policy for AFS equity investments and the valuation of financial instruments may be found on page 200 of the Annual Report and Accounts 2016. A detailed description of the valuation techniques applied to private equity may be found on page 220 of the Annual Report and Accounts 2016.

Risk management of insurance operations

We operate an integrated bancassurance model that provides insurance products principally for customers with whom we have a banking relationship.

The insurance contracts we sell relate to the underlying needs of our banking customers, which we can identify from our point-of-sale contacts and customer knowledge. The majority of sales are of savings and investment products and term and credit life contracts.

By focusing largely on personal and SME lines of business, we are able to optimise volumes and diversify individual insurance risks.

We choose to manufacture these insurance products in HSBC subsidiaries based on an assessment of operational scale and risk appetite. Manufacturing insurance allows us to retain the risks and rewards associated with writing insurance contracts by keeping part of the underwriting profit and investment income within the Group.

We have life insurance manufacturing subsidiaries in nine countries (Argentina, mainland China, France, Hong Kong, Malaysia, Malta, Mexico, Singapore and the UK). We also have life insurance manufacturing associates in Saudi Arabia and India.

Where we do not have the risk appetite or operational scale to be an effective insurance manufacturer, we engage with a handful of leading external insurance companies in order to provide insurance products to our customers through our banking network and direct channels. These arrangements are generally structured with our exclusive strategic partners and earn the Group a combination of commissions, fees and a share of profits. We distribute insurance products in all of our geographical regions.

Insurance products are sold through all global businesses, but predominantly by RBWM and CMB through our branches and direct channels worldwide.

The risk profile of our insurance manufacturing businesses is measured using an economic capital approach. Assets and liabilities are measured on a market value basis, and a capital requirement is defined to ensure that there is a less than one in 200 chance of insolvency over a one-year time horizon, given the risks that the businesses are exposed to. The methodology for the economic capital calculation is largely aligned to the pan-European Solvency II insurance capital regulations, which were applicable from 2016.

Subsidiaries engaged in insurance activities are excluded from the regulatory consolidation by excluding assets, liabilities and post-acquisition reserves, leaving the investment of these insurance subsidiaries to be recorded at cost and deducted from CET1 subject to thresholds (amounts below the thresholds are risk-weighted).

Further details of the management of financial risks and insurance risk arising from the insurance operations are provided from page 82 of the Annual Report and Accounts 2016.

Liquidity and funding risk

Liquidity risk is the risk that the Group does not have sufficient financial resources to meet its obligations as they fall due, or will have to do so at an excessive cost. The risk arises from mismatches in the timing of cash flows. Funding risk is the risk that funding considered to be sustainable, and therefore used to fund assets, is not sustainable over time. The risk arises when the funding needed for illiquid asset positions cannot be obtained at the expected terms and when required.

The objective of our liquidity framework is to allow us to withstand very severe stresses. It is designed to be adaptable to changing business models, markets and regulations.

We do not manage liquidity through the explicit allocation of capital as, in common with standard industry practice, this is not considered to be an appropriate or adequate mechanism for managing these risks. However, we recognise that a strong capital base can help to mitigate liquidity risk and we ensure that sufficient liquidity is held via the liquidity add-on process. Liquidity add-ons are required where an operating entity has identified a risk that is either not covered by the Group's internal liquidity and funding risk management framework as a result of the review of risk completeness or not covered sufficiently by the Group's internal liquidity and funding risk management framework ('LFRF') as a result of stress testing.

Our primary sources of funding are customer current accounts and customer savings deposits payable on demand or at short notice. We issue wholesale securities (secured and unsecured) to supplement our customer deposits and change the currency mix, maturity profile or location of our liabilities. In the normal course of business, we do not seek to utilise secured financing as a source of funding to finance customer assets, beyond the collateralised security financing activities within Global Markets.

Management of liquidity and funding risk

On 1 January 2016, the Group implemented a new liquidity and funding risk management framework. It uses the liquidity coverage ratio ('LCR') and net stable funding ratio ('NSFR') regulatory framework as a foundation, but adds extra metrics, limits and overlays to address firm-specific risks.

The LFRF is delivered using the following key aspects:


•	stand-alone management of liquidity and funding by operating entity;


•	operating entity classification by inherent liquidity risk ('ILR') categorisation;


•	minimum LCR requirement depending on ILR categorisation;


•	minimum NSFR requirement depending on ILR categorisation;


•	legal entity depositor concentration limit;


•	three-month and 12-month cumulative rolling term contractual maturity limits covering deposits from banks, deposits from non-bank financials and securities issued;


•	annual individual liquidity adequacy assessment ('ILAA') by operating entity;


•	minimum LCR requirement by currency;


•	intra-day liquidity; and


•	forward-looking funding assessments.



64	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016

The new internal LFRF and the risk tolerance limits were approved by the RMM and the Board on the basis of recommendations made by the GRC.

Our ILAA process aims to:


•	identify risks that are not reflected in the LFRF and, where appropriate, to assess additional limits to be required locally; and


•	validate the risk tolerance at the operating entity level by demonstrating that reverse stress testing scenarios are acceptably remote and that vulnerabilities have been assessed through the use of severe stress scenarios.

Details of our Liquidity and Funding Risk parameters are provided from page 75 of the Annual Report and Accounts 2016.

Reputational risk

Reputational risk relates to stakeholders' perceptions, whether fact-based or otherwise. Stakeholders' expectations change constantly and so reputational risk is dynamic and varies between geographical regions, groups and individuals. We have an unwavering commitment to operating at the high standards we set for ourselves in every jurisdiction. Any lapse in standards of integrity, compliance, customer service or operating efficiency represents a potential reputational risk. We have taken, and are taking, measures to address the requirements of the US DPA and enhance our AML, sanctions and other regulatory compliance frameworks. These measures should also enhance our reputational risk management in the future.

For further details on reputational risk management, see page 83 of the Annual Report and Accounts 2016.

Sustainability risk

Sustainability risk arises from the provision of financial services to companies or projects which indirectly result in unacceptable impacts on people or on the environment.

Sustainability risk is:


•	measured by assessing the potential sustainability effect of a customer's activities and assigning a Sustainability Risk Rating to all high-risk transactions;


•	monitored quarterly by the RMM and monthly by the Group's Sustainability Risk function; and


•	managed using sustainability risk policies covering project finance lending and sector-based sustainability policies for sectors and themes with potentially large environmental or social impacts.

Business risk

The PRA specifies that banks, as part of their ICAAP, should review their exposure to business risk.

Business risk is the potential negative effect on profits and capital from the Group not meeting our strategic objectives, as a result of unforeseen changes in the business and regulatory environment, exposure to economic cycles and technological changes.

We manage and mitigate business risk through our risk appetite, business planning and stress testing processes, so that our business model and planned activities are monitored, resourced and capitalised consistent with the commercial, economic and risk environment in which the Group operates, and that any potential vulnerabilities of our business plans are identified at an early stage so that mitigating actions can be taken.

Dilution risk

Dilution risk is the risk that an amount receivable is reduced through cash or non-cash credit to the obligor, and arises mainly from factoring and invoice discounting transactions.

Where there is recourse to the seller, we treat these transactions as loans secured by the collateral of the debts purchased and do not report dilution risk for them. For our non-recourse portfolio, we do not report any dilution risk, as we obtain an indemnity from the seller that indemnifies us against this risk. Moreover, factoring transactions involve lending at a discount to the face-value of the receivables which provides protection against dilution risk.

Details of our management of these risks may be found on the following pages of the Annual Report and Accounts 2016: liquidity and funding 75, reputational 83 and sustainability 84.

Remuneration

Details of the Group's remuneration policy, including details on the remuneration committee membership, activities, our remuneration strategy and tables showing the remuneration details of HSBC's Identified Staff and Material Risk Takers may be found under the Remuneration Policy on our website (www.hsbc.com/investor-relations/governance) and the Directors' Remuneration Report on page 153 of the Annual Report and Accounts 2016.



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016

Appendix I

Additional CRD IV and BCBS tables

Table 46 sets out IRB exposures by obligor grade for central governments and central banks, institutions and corporates, all of which are assessed using our 23-grade CRR master scale. We benchmark the master scale against the ratings of external rating agencies. Each CRR band is associated with an external rating grade by reference to long-run default rates for that grade, represented by the average of issuer-weighted historical default rates.

The correspondence between the agency long-run default rates and the PD ranges of our master scale is obtained by matching a smoothed curve based on those default rates with our master scale reference PDs. This association between internal and external ratings is indicative and may vary over time. In these tables, the ratings of S&P are cited for illustration purposes, although we also benchmark against other agencies' ratings in an equivalent manner.



Table 46.a: Wholesale IRB exposure - by obligor grade - Central governments and central banks
	CRR	PD range	Average exposure value¹	Undrawn commitments	Mapped external rating
		%	$bn	$bn
Default risk
Minimal	0.1	0.000 to 0.010	159.4	0.8	AAA
	1.1	0.011 to 0.028	106.4	0.4	AA+ to AA
	1.2	0.029 to 0.053	37.1	0.5	AA- to A+
Low	2.1	0.054 to 0.095	12.2	0.1	A
	2.2	0.096 to 0.169	10.3	0.1	A-
Satisfactory	3.1	0.170 to 0.285	3.9	-	BBB+
	3.2	0.286 to 0.483	2.4	-	BBB
	3.3	0.484 to 0.740	6.2	-	BBB-
Fair	4.1	0.741 to 1.022	0.2	-	BB+
	4.2	1.023 to 1.407	1.0	-	BB
	4.3	1.408 to 1.927	1.2	0.1	BB-
Moderate	5.1	1.928 to 2.620	2.5	-	BB-
	5.2	2.621 to 3.579	2.3	-	B+
	5.3	3.580 to 4.914	0.9	-	B
Significant	6.1	4.915 to 6.718	0.1	-	B
	6.2	6.719 to 8.860	0.4	-	B-
High	7.1	8.861 to 11.402	0.2	-	CCC+
	7.2	11.403 to 15.000	-	-	CCC+
Special Management	8.1	15.001 to 22.000	-	-	CCC+
	8.2	22.001 to 50.000	-	-	CCC+
	8.3	50.001 to 99.999	-	-	CCC to C
Default	9/10	100.000	-	-	Default
At 31 Dec 2016			346.7	2.0

Default risk
Minimal	0.1	0.000 to 0.010	131.3	0.6	AAA
	1.1	0.011 to 0.028	86.6	1.0	AA+ to AA
	1.2	0.029 to 0.053	54.0	0.4	AA- to A+
Low	2.1	0.054 to 0.095	25.9	-	A
	2.2	0.096 to 0.169	6.7	-	A-
Satisfactory	3.1	0.170 to 0.285	10.6	-	BBB+
	3.2	0.286 to 0.483	4.6	-	BBB
	3.3	0.484 to 0.740	2.0	-	BBB-
Fair	4.1	0.741 to 1.022	1.0	-	BB+
	4.2	1.023 to 1.407	0.5	-	BB
	4.3	1.408 to 1.927	0.5	-	BB-
Moderate	5.1	1.928 to 2.620	2.9	0.3	BB-
	5.2	2.621 to 3.579	0.5	0.2	B+
	5.3	3.580 to 4.914	3.5	0.1	B
Significant	6.1	4.915 to 6.718	0.4	-	B
	6.2	6.719 to 8.860	0.3	-	B-
High	7.1	8.861 to 11.402	0.6	-	CCC+
	7.2	11.403 to 15.000	-	-	CCC+
Special Management	8.1	15.001 to 22.000	-	-	CCC+
	8.2	22.001 to 50.000	-	-	CCC+
	8.3	50.001 to 99.999	-	-	CCC to C
Default	9/10	100.000			Default
At 31 Dec 2015			331.9	2.6

For footnote, see page 68.



66	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 46.b: Wholesale IRB exposure - by obligor grade - Institutions
	CRR	PD range	Average exposure value¹	Undrawn commitments	Mapped external rating
		%	$bn	$bn
Default risk
Minimal	0.1	0.000 to 0.010	2.0	0.1	AAA
	1.1	0.011 to 0.028	16.2	2.0	AA+ to AA
	1.2	0.029 to 0.053	28.2	5.4	AA-
Low	2.1	0.054 to 0.095	15.1	4.8	A+ to A
	2.2	0.096 to 0.169	10.1	4.0	A-
Satisfactory	3.1	0.170 to 0.285	2.5	2.0	BBB+
	3.2	0.286 to 0.483	3.3	0.6	BBB
	3.3	0.484 to 0.740	2.1	0.2	BBB-
Fair	4.1	0.741 to 1.022	1.2	0.8	BB+
	4.2	1.023 to 1.407	0.4	0.2	BB
	4.3	1.408 to 1.927	0.1	0.1	BB-
Moderate	5.1	1.928 to 2.620	0.1	-	BB-
	5.2	2.621 to 3.579	-	-	B+
	5.3	3.580 to 4.914	0.1	-	B
Significant	6.1	4.915 to 6.718	-	-	B-
	6.2	6.719 to 8.860	-	-	B-
High	7.1	8.861 to 11.402	-	-	CCC+
	7.2	11.403 to 15.000	-	-	CCC+
Special Management	8.1	15.001 to 22.000	-	0.1	CCC
	8.2	22.001 to 50.000	-	0.1	CCC- to CC
	8.3	50.001 to 99.999	-	-	C
Default	9/10	100.000	-	-	Default
At 31 Dec 2016			81.4	20.4

Default risk
Minimal	0.1	0.000 to 0.010	2.2	0.1	AAA
	1.1	0.011 to 0.028	15.0	1.3	AA+ to AA
	1.2	0.029 to 0.053	28.8	3.8	AA-
Low	2.1	0.054 to 0.095	36.4	5.0	A+ to A
	2.2	0.096 to 0.169	11.9	3.5	A-
Satisfactory	3.1	0.170 to 0.285	7.8	1.4	BBB+
	3.2	0.286 to 0.483	4.9	0.4	BBB
	3.3	0.484 to 0.740	3.3	0.5	BBB-
Fair	4.1	0.741 to 1.022	0.9	0.2	BB+
	4.2	1.023 to 1.407	1.7	0.2	BB
	4.3	1.408 to 1.927	0.4	-	BB-
Moderate	5.1	1.928 to 2.620	0.3	0.1	BB-
	5.2	2.621 to 3.579	0.1		B+
	5.3	3.580 to 4.914	0.3	-	B
Significant	6.1	4.915 to 6.718	0.3	-	B-
	6.2	6.719 to 8.860	-	-	B-
High	7.1	8.861 to 11.402	0.2	-	CCC+
	7.2	11.403 to 15.000	-	-	CCC+
Special Management	8.1	15.001 to 22.000	-	-	CCC
	8.2	22.001 to 50.000	-	-	CCC- to CC
	8.3	50.001 to 99.999	-	-	C
Default	9/10	100.000			Default
At 31 Dec 2015			114.5	16.5

For footnote, see page 68.



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016




Table 46.c: Wholesale IRB exposure - by obligor grade - Corporates²
		CRR	PD range	Average exposure value¹	Undrawn commitments	Mapped external rating
			%	$bn	$bn
	Default risk
	Minimal	0.1	0.000 to 0.010	-	0.1
		1.1	0.011 to 0.028	17.6	12.8	AAA to AA
		1.2	0.029 to 0.053	46.1	36.7	AA-
	Low	2.1	0.054 to 0.095	63.9	54.0	A+ to A
		2.2	0.096 to 0.169	77.5	67.3	A-
	Satisfactory	3.1	0.170 to 0.285	75.0	63.5	BBB+
		3.2	0.286 to 0.483	73.3	58.1	BBB
		3.3	0.484 to 0.740	66.6	44.0	BBB-
	Fair	4.1	0.741 to 1.022	45.3	30.8	BB+
		4.2	1.023 to 1.407	34.0	21.0	BB
		4.3	1.408 to 1.927	31.6	18.6	BB-
	Moderate	5.1	1.928 to 2.620	25.9	14.2	BB-
		5.2	2.621 to 3.579	12.8	8.8	B+
		5.3	3.580 to 4.914	10.7	7.2	B
	Significant	6.1	4.915 to 6.718	7.0	6.1	B-
		6.2	6.719 to 8.860	4.2	2.6	B-
	High	7.1	8.861 to 11.402	2.6	0.9	CCC+
		7.2	11.403 to 15.000	0.9	0.3	CCC+
	Special Management	8.1	15.001 to 22.000	1.7	2.6	CCC
		8.2	22.001 to 50.000	0.7	0.5	CCC- to CC
		8.3	50.001 to 99.999	0.3	0.2	C
	Default	9/10	100.000	7.4	0.9	Default
	At 31 Dec 2016			605.1	451.2

	Default risk
	Minimal	0.1	0.000 to 0.010	-	-
		1.1	0.011 to 0.028	11.8	15.9	AAA to AA
		1.2	0.029 to 0.053	48.1	37.9	AA-
	Low	2.1	0.054 to 0.095	69.5	57.8	A+ to A
		2.2	0.096 to 0.169	89.4	68.3	A-
	Satisfactory	3.1	0.170 to 0.285	79.7	59.5	BBB+
		3.2	0.286 to 0.483	73.1	54.4	BBB
		3.3	0.484 to 0.740	70.5	44.8	BBB-
	Fair	4.1	0.741 to 1.022	45.9	26.2	BB+
		4.2	1.023 to 1.407	37.4	23.7	BB
		4.3	1.408 to 1.927	31.6	18.7	BB-
	Moderate	5.1	1.928 to 2.620	24.0	17.3	BB-
		5.2	2.621 to 3.579	12.5	8.6	B+
		5.3	3.580 to 4.914	11.9	8.0	B
	Significant	6.1	4.915 to 6.718	5.3	4.4	B-
		6.2	6.719 to 8.860	3.0	1.4	B-
	High	7.1	8.861 to 11.402	2.1	1.2	CCC+
		7.2	11.403 to 15.000	0.9	0.5	CCC+
	Special Management	8.1	15.001 to 22.000	0.8	0.5	CCC
		8.2	22.001 to 50.000	0.4	0.2	CCC- to CC
		8.3	50.001 to 99.999	0.3	0.1	C
	Default	9/10	100.000	6.8	1.0	Default
	At 31 Dec 2015			625.0	450.4


1	Average exposures are calculated by aggregating the exposure value of the last five quarters and dividing by five.


2	Corporates excludes specialised lending exposures subject to supervisory slotting approach.



68	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016

PD, LGD, RWA and exposure by country

The following tables set out the exposure-weighted average PD, exposure-weighted average LGD, RWAs and exposure by the

location of the principal operations of the lending subsidiary or branch.




Table 47.a: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach all asset classes¹
		Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
	At 31 Dec 2016	%	%	$bn	$bn
	Europe
	- UK	2.18	35.4	79.6	170.9
	- France	2.98	30.5	12.6	28.7
	- Germany	0.24	42.1	0.3	1.1
	- Switzerland	0.02	43.7	0.7	13.0
	Asia
	- Hong Kong	0.73	41.1	80.6	285.8
	- Australia	0.81	43.1	7.6	20.7
	- India	1.15	55.0	8.4	17.8
	- Indonesia	7.46	52.7	4.8	6.2
	- Mainland China	0.87	48.1	25.2	67.4
	- Malaysia	1.09	46.7	6.1	13.2
	- Singapore	0.70	42.3	9.2	35.6
	- Taiwan	0.19	48.0	3.0	15.2
	Middle East and North Africa
	- Egypt	2.25	45.0	2.7	3.1
	- Turkey	0.37	45.1	0.5	1.2
	- UAE	0.14	36.6	1.8	11.2
	North America
	- US	1.51	35.7	50.8	144.1
	- Canada	1.89	33.7	20.9	50.6
	Latin America
	- Argentina	2.25	45.3	1.6	1.5
	- Brazil	-	-	-	-
	- Mexico	0.90	44.5	2.6	7.0

	At 31 Dec 2015
	Europe
	- UK	2.31	30.5	87.5	209.4
	- France	3.48	31.4	12.4	28.8
	- Germany	0.41	41.9	0.3	1.3
	- Switzerland	0.02	42.8	0.8	15.5
	Asia
	- Hong Kong	0.62	41.7	74.0	262.4
	- Australia	1.05	42.7	7.1	19.2
	- India	1.03	54.0	9.3	17.0
	- Indonesia	7.98	54.5	5.5	6.6
	- Mainland China	0.92	46.5	28.7	69.6
	- Malaysia	0.98	47.1	6.4	14.6
	- Singapore	0.64	42.7	8.7	34.5
	- Taiwan	0.24	47.9	3.8	16.6
	Middle East and North Africa
	- Egypt	2.14	45.0	5.2	5.3
	- Turkey	0.79	45.1	1.1	1.5
	- UAE	0.12	39.0	1.9	10.7
	North America
	- US	0.78	39.2	52.6	139.6
	- Canada	1.83	38.4	21.7	50.0
	Latin America
	- Argentina	7.11	45.5	2.8	1.7
	- Brazil	0.48	45.0	6.0	9.5
	- Mexico	1.44	44.5	2.8	7.5


1	Excludes specialised lending exposures subject to supervisory slotting approach.



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Table 47.b: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach central governments and central banks
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	0.04	44.6	2.5	20.10
- France	0.06	45.0	0.2	1.80
- Germany	0.05	45.0	0.1	0.50
- Switzerland	0.01	45.0	0.5	11.70
Asia
- Hong Kong	0.01	44.5	5.5	111.90
- Australia	0.01	45.0	0.3	5.90
- India	0.07	45.0	1.4	6.10
- Indonesia	0.17	45.0	0.5	1.80
- Mainland China	0.02	45.0	1.9	26.10
- Malaysia	0.04	45.0	0.7	5.20
- Singapore	0.01	45.0	0.7	14.30
- Taiwan	0.02	45.0	0.5	8.90
Middle East and North Africa
- Egypt	2.95	45.0	2.4	2.20
- Turkey	0.44	45.0	0.4	0.80
- UAE	0.14	44.6	0.8	6.00
North America
- US	0.01	37.6	3.9	53.60
- Canada	0.02	31.4	2.1	16.60
Latin America
- Argentina	2.23	45.0	1.5	1.50
- Brazil	-	-	-	-
- Mexico	0.08	45.0	2.2	6.20

At 31 Dec 2015
Europe
- UK	0.06	45.0	2.2	16.4
- France	0.05	45.1	0.3	2.3
- Germany	0.10	45.0	0.1	0.6
- Switzerland	0.01	45.0	0.6	13.9
Asia
- Hong Kong	0.02	45.0	6.4	105.8
- Australia	0.01	45.0	0.3	5.7
- India	0.13	45.0	2.2	6.3
- Indonesia	0.31	45.0	0.6	1.4
- Mainland China	0.04	45.0	2.7	21.4
- Malaysia	0.05	45.0	0.8	5.4
- Singapore	0.01	45.0	0.5	13.0
- Taiwan	0.02	45.0	0.6	9.7
Middle East and North Africa
- Egypt	2.34	45.0	4.7	4.3
- Turkey	0.68	45.0	0.9	1.3
- UAE	0.05	45.0	0.6	5.8
North America
- US	0.01	45.1	5.5	45.6
- Canada	0.02	45.1	2.7	15.9
Latin America
- Argentina	7.09	45.0	2.7	1.7
- Brazil	0.37	45.0	4.3	7.8
- Mexico	0.10	45.0	2.5	6.8



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Table 47.c: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach institutions
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	0.24	31.6	2.2	10.4
- France	0.17	41.3	0.6	1.6
- Germany	0.16	39.0	0.1	0.5
- Switzerland	0.04	32.1	0.2	1.3
Asia
- Hong Kong	0.06	42.2	4.9	30.9
- Australia	0.05	41.0	0.5	2.8
- India	0.26	45.0	0.3	0.8
- Indonesia	-	-	-	-
- Mainland China	0.12	45.2	1.8	8.1
- Malaysia	0.38	48.5	0.4	0.9
- Singapore	0.08	43.9	0.7	4.9
- Taiwan	0.10	45.0	0.1	0.3
Middle East and North Africa
- Egypt	0.08	45.0	0.1	0.3
- Turkey	0.07	45.0	0.0	0.3
- UAE	0.08	45.4	0.2	0.9
North America
- US	0.31	42.4	1.0	2.5
- Canada	0.04	21.6	0.3	2.6
Latin America
- Argentina	0.06	45.0	-	-
- Brazil	-	-	-	-
- Mexico	0.50	45.0	0.3	0.4

At 31 Dec 2015
Europe
- UK	0.35	21.3	3.2	21.0
- France	0.25	41.9	0.7	1.6
- Germany	0.10	38.1	0.2	0.6
- Switzerland	0.05	23.2	0.2	1.6
Asia
- Hong Kong	0.06	42.7	4.3	29.6
- Australia	0.06	34.1	0.5	2.7
- India	0.18	45.2	0.2	0.6
- Indonesia	-	-	-	-
- Mainland China	0.12	45.6	1.9	8.6
- Malaysia	0.27	47.5	0.4	1.2
- Singapore	0.08	44.0	0.8	5.5
- Taiwan	0.08	45.0	0.1	0.5
Middle East and North Africa
- Egypt	0.08	45.0	0.1	0.5
- Turkey	2.25	45.0	0.1	0.1
- UAE	0.09	46.5	0.1	0.3
North America
- US	0.23	41.0	2.0	5.2
- Canada	0.06	28.2	0.3	2.3
Latin America
- Argentina	-	-	-	-
- Brazil	0.97	45.1	1.7	1.7
- Mexico	0.26	45.0	0.2	0.3



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Table 47.d: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach corporates¹
		Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value¹
	At 31 Dec 2016	%	%	$bn	$bn
	Europe
	- UK	2.63	34.3	74.9	140.4
	- France	3.36	28.8	11.8	25.3
	- Germany	2.71	45.4	0.1	0.1
	- Switzerland	-	-	-	-
	Asia
	- Hong Kong	1.43	38.1	70.2	143.0
	- Australia	1.38	42.7	6.8	12.0
	- India	1.82	61.3	6.7	10.9
	- Indonesia	10.48	55.8	4.3	4.4
	- Mainland China	1.71	51.3	21.5	33.2
	- Malaysia	1.94	47.7	5.0	7.1
	- Singapore	1.49	39.5	7.8	16.4
	- Taiwan	0.45	52.7	2.4	6.0
	Middle East and North Africa
	- Egypt	0.64	44.9	0.2	0.6
	- Turkey	0.77	46.2	0.1	0.1
	- UAE	0.16	23.9	0.8	4.3
	North America
	- US	2.45	34.4	45.9	88.0
	- Canada	3.02	35.9	18.5	31.4
	Latin America
	- Argentina	3.10	59.2	0.1	-
	- Brazil	-	-	-	-
	- Mexico	15.62	34.7	0.1	0.4

	At 31 Dec 2015
	Europe
	- UK	2.77	30.2	82.1	172.0
	- France	4.00	29.4	11.4	24.9
	- Germany	0.77	47.7	-	0.1
	- Switzerland	-	-	-	-
	Asia
	- Hong Kong	1.25	38.7	63.3	127.0
	- Australia	1.85	43.7	6.3	10.8
	- India	1.63	60.0	6.9	10.1
	- Indonesia	10.04	57.0	4.9	5.2
	- Mainland China	1.56	47.5	24.1	39.6
	- Malaysia	1.72	48.4	5.2	8.0
	- Singapore	1.34	40.3	7.4	16.0
	- Taiwan	0.57	52.4	3.1	6.4
	Middle East and North Africa
	- Egypt	2.58	45.2	0.4	0.5
	- Turkey	0.73	45.7	0.1	0.1
	- UAE	0.20	30.8	1.2	4.6
	North America
	- US	1.21	36.1	45.1	88.8
	- Canada	2.86	35.8	18.7	31.8
	Latin America
	- Argentina	8.84	80.8	0.1	-
	- Brazil	-	-	-	-
	- Mexico	22.57	37.0	0.1	0.4


1	Excludes specialised lending exposures subject to supervisory slotting approach.



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.e: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach all asset classes
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	1.94	41.3	4.4	8.2
- France	4.30	45.0	0.2	0.3
- Germany	0.90	44.8	10.1	15.6
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	3.72	44.2	7.8	12.8
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	2.22	41.4	5.2	8.9
- France	5.36	45.0	0.2	0.2
- Germany	1.04	44.7	10.5	16.2
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	2.44	44.2	8.1	12.4
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.f: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach central governments and central banks
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	-	-	-	-
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	0.04	45.0	-	0.1
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	-	-	-	-
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia		-
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	0.04	45.0	-	0.1
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



74	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.g: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach institutions
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	-	-	-	-
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	0.28	45.0	0.1	0.2
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	-	-	-	-
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	0.29	45.0	0.1	0.3
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.h: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach corporates
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	1.94	41.3	4.4	8.2
- France	4.30	45.0	0.2	0.3
- Germany	0.91	44.8	10.1	15.6
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	3.81	44.2	7.7	12.5
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	2.22	41.4	5.2	8.9
- France	5.36	45.0	0.2	0.2
- Germany	1.04	44.7	10.5	16.2
- Switzerland	-	-	-	-
Asia
- Hong Kong	-	-	-	-
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	2.50	44.2	8.0	12.0
North America
- US	-	-	-	-
- Canada	-	-	-	-
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



76	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.i: PD, LGD, RWA and exposure by country - retail IRB approach all asset classes
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	1.58	30.5	18.6	155.8
- France	5.06	14.6	2.8	22.7
- Germany	-	-	-	-
- Switzerland	0.73	2.2	0.2	8.1
Asia
- Hong Kong	0.87	39.2	20.2	102.3
- Australia	0.90	10.6	0.7	11.6
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	4.05	12.1	1.0	4.5
- Singapore	0.75	22.3	1.1	6.7
- Taiwan	1.20	11.5	0.5	4.1
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	9.67	67.3	18.5	29.8
- Canada	0.96	19.2	2.4	18.7
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	1.58	30.8	21.8	182.7
- France	5.61	15.1	3.1	23.7
- Germany	-	-	-	-
- Switzerland	0.80	2.7	0.3	10.1
Asia
- Hong Kong	0.94	39.0	18.2	97.5
- Australia	0.84	10.9	0.6	10.7
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	3.57	12.3	1.0	4.7
- Singapore	0.69	21.2	1.4	8.2
- Taiwan	1.21	11.2	0.4	3.9
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	12.05	64.0	43.7	42.1
- Canada	1.04	19.8	2.4	18.0
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016




Table 47.j: PD, LGD, RWA and exposure by country - retail IRB approach - retail secured by mortgages on immovable property non-SME
		Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
	At 31 Dec 2016	%	%	$bn	$bn
	Europe
	- UK	1.33	12.2	5.4	114.9
	- France	6.82	14.0	0.6	3.5
	- Germany	-	-	-	-
	- Switzerland	-	-	-	-
	Asia
	- Hong Kong	0.69	10.0	10.7	62.5
	- Australia	0.90	10.6	0.7	11.6
	- India	-	-	-	-
	- Indonesia	-	-	-	-
	- Mainland China	-	-	-	-
	- Malaysia	4.05	12.1	1.0	4.5
	- Singapore	0.75	22.3	1.1	6.7
	- Taiwan	1.20	11.5	0.5	4.1
	Middle East and North Africa
	- Egypt	-	-	-	-
	- Turkey	-	-	-	-
	- UAE	-	-	-	-
	North America
	- US	11.01	59.5	14.6	23.3
	- Canada	0.85	17.2	1.9	16.7
	Latin America
	- Argentina	-	-	-	-
	- Brazil	-	-	-	-
	- Mexico	-	-	-	-

	At 31 Dec 2015
	Europe
	- UK	1.32	12.5	7.1	134.2
	- France	7.21	13.5	0.4	2.5
	- Germany	-	-	-	-
	- Switzerland	-	-	-	-
	Asia
	- Hong Kong	0.76	10.0	8.9	59.7
	- Australia	0.84	10.9	0.6	10.7
	- India	-	-	-	-
	- Indonesia	-	-	-	-
	- Mainland China	-	-	-	-
	- Malaysia	3.57	12.3	1.0	4.7
	- Singapore	0.69	21.2	1.4	8.2
	- Taiwan	1.21	11.2	0.4	3.9
	Middle East and North Africa
	- Egypt	-	-	-	-
	- Turkey	-	-	-	-
	- UAE	-	-	-	-
	North America
	- US	13.68	58.1	38.2	34.3
	- Canada	0.93	17.5	1.8	15.8
	Latin America
	- Argentina	-	-	-	-
	- Brazil	-	-	-	-
	- Mexico	-	-	-	-



78	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.k: PD, LGD, RWA and exposure by country - retail IRB approach retail secured by mortgages on immovable property SME
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	-	-	-	-
- France	7.70	25.8	0.2	0.6
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	0.89	11.7	-	0.6
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	-	-	-	-
- Canada	2.10	29.6	0.1	0.3
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	-	-	-	-
- France	8.01	18.8	0.5	2.0
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	0.99	11.1	-	0.6
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	-	-	-	-
- Canada	2.21	30.7	0.1	0.3
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



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Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.l: PD, LGD, RWA and exposure by country - retail IRB approach retail QRRE
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	1.14	85.5	5.4	28.0
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	1.10	100.0	8.1	32.2
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	1.49	93.6	1.0	3.4
- Canada	2.72	60.7	0.1	0.3
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	1.17	85.2	6.1	33.2
- France	-	-	-	-
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	1.11	100.1	8.0	30.6
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	1.49	93.7	1.0	3.6
- Canada	2.91	61.2	0.1	0.4
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



80	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.m: PD, LGD, RWA and exposure by country - retail IRB approach other SME
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	7.71	66.6	3.8	6.1
- France	20.34	30.6	0.7	2.3
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	0.10	11.3	-	0.1
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	-	-	-	-
- Canada	4.33	48.4	0.1	0.2
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	7.07	66.0	4.7	8.1
- France	16.46	26.5	0.9	3.5
- Germany	-	-	-	-
- Switzerland	-	-	-	-
Asia
- Hong Kong	0.13	10.8	-	0.1
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	1.82	95.7	0.1	0.1
- Canada	4.31	47.3	0.1	0.2
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-



HSBC Holdings plc Pillar 3 2016	81

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 47.n: PD, LGD, RWA and exposure by country - retail IRB approach other non-SME
	Exposure- weighted average PD	Exposure- weighted average LGD	RWAs	Exposure value
At 31 Dec 2016	%	%	$bn	$bn
Europe
- UK	2.05	81.8	4.0	6.8
- France	2.46	12.1	1.3	16.3
- Germany	-	-	-	-
- Jersey	0.52	2.6	1.1	0.0
- Switzerland	0.73	2.2	0.2	8.1
Asia
- Hong Kong	1.37	21.2	1.4	6.9
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	8.66	96.5	2.9	3.1
- Canada	1.03	28.3	0.2	1.2
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-

At 31 Dec 2015
Europe
- UK	2.18	83.2	3.9	7.1
- France	2.63	12.4	1.3	15.7
- Germany	-	-	-	-
- Switzerland	0.80	2.7	0.3	10.1
Asia
- Hong Kong	1.85	21.1	1.3	6.5
- Australia	-	-	-	-
- India	-	-	-	-
- Indonesia	-	-	-	-
- Mainland China	-	-	-	-
- Malaysia	-	-	-	-
- Singapore	-	-	-	-
- Taiwan	-	-	-	-
Middle East and North Africa
- Egypt	-	-	-	-
- Turkey	-	-	-	-
- UAE	-	-	-	-
North America
- US	8.11	85.7	4.4	4.1
- Canada	0.99	28.1	0.3	1.3
Latin America
- Argentina	-	-	-	-
- Brazil	-	-	-	-
- Mexico	-	-	-	-


1	Excludes specialised lending exposures subject to supervisory slotting approach.



82	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 48: Retail IRB exposure - by internal PD band
	PD range	Average exposure value¹	Undrawn commitments
	%	$bn	$bn
At 31 Dec 2016
Secured by mortgages on immovable property
SME		2.4	0.1
Band 1	0.000 to 0.483	0.5	-
Band 2	0.484 to 1.022	0.4	0.1
Band 3	1.023 to 4.914	1.0	-
Band 4	4.915 to 8.860	0.2	-
Band 5	8.861 to 15.000	0.1	-
Band 6	15.001 to 50.000	0.1	-
Band 7	50.001 to 100.000	0.1	-
Secured by mortgages on immovable property
Non-SME		263.9	16.7
Band 1	0.000 to 0.483	207.4	14.9
Band 2	0.484 to 1.022	22.5	1.0
Band 3	1.023 to 4.914	21.1	0.7
Band 4	4.915 to 8.860	4.7	-
Band 5	8.861 to 15.000	1.0	-
Band 6	15.001 to 50.000	2.0	0.1
Band 7	50.001 to 100.000	5.2	-
Qualifying revolving retail exposures		65.7	95.8
Band 1	0.000 to 0.483	47.8	83.3
Band 2	0.484 to 1.022	6.9	6.5
Band 3	1.023 to 4.914	8.7	5.3
Band 4	4.915 to 8.860	1.2	0.4
Band 5	8.861 to 15.000	0.4	0.1
Band 6	15.001 to 50.000	0.5	0.1
Band 7	50.001 to 100.000	0.2	0.1
Other SME		10.5	3.5
Band 1	0.000 to 0.483	1.3	0.7
Band 2	0.484 to 1.022	1.8	0.9
Band 3	1.023 to 4.914	4.9	1.4
Band 4	4.915 to 8.860	1.1	0.3
Band 5	8.861 to 15.000	0.4	0.1
Band 6	15.001 to 50.000	0.3	-
Band 7	50.001 to 100.000	0.7	0.1
Other non-SME		45.5	14.5
Band 1	0.000 to 0.483	26.4	11.6
Band 2	0.484 to 1.022	6.9	1.4
Band 3	1.023 to 4.914	9.8	1.4
Band 4	4.915 to 8.860	0.9	0.1
Band 5	8.861 to 15.000	0.5	-
Band 6	15.001 to 50.000	0.4	-
Band 7	50.001 to 100.000	0.6	-
Total retail		388.0	130.6
Band 1	0.000 to 0.483	283.6	110.4
Band 2	0.484 to 1.022	38.4	9.9
Band 3	1.023 to 4.914	45.5	8.7
Band 4	4.915 to 8.860	8.2	0.8
Band 5	8.861 to 15.000	2.4	0.3
Band 6	15.001 to 50.000	3.1	0.3
Band 7	50.001 to 100.000	6.8	0.2



HSBC Holdings plc Pillar 3 2016	83

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 48: Retail IRB exposure - by internal PD band (continued)
	PD range	Average exposure value¹	Undrawn commitments
	%	$bn	$bn
At 31 Dec 2015
Secured by mortgages on immovable property
SME		3.0	-
Band 1	0.000 to 0.483	0.6	-
Band 2	0.484 to 1.022	0.5	-
Band 3	1.023 to 4.914	1.4	-
Band 4	4.915 to 8.860	0.2	-
Band 5	8.861 to 15.000	0.1	-
Band 6	15.001 to 50.000	0.1	-
Band 7	50.001 to 100.000	0.1	-
Secured by mortgages on immovable property
Non-SME		283.0	17.4
Band 1	0.000 to 0.483	218.9	16.2
Band 2	0.484 to 1.022	24.1	0.8
Band 3	1.023 to 4.914	23.1	0.3
Band 4	4.915 to 8.860	6.1	-
Band 5	8.861 to 15.000	1.5	0.1
Band 6	15.001 to 50.000	2.9	-
Band 7	50.001 to 100.000	6.4	-
Qualifying revolving retail exposures		67.0	98.4
Band 1	0.000 to 0.483	48.7	85.2
Band 2	0.484 to 1.022	6.8	6.7
Band 3	1.023 to 4.914	9.0	5.7
Band 4	4.915 to 8.860	1.3	0.5
Band 5	8.861 to 15.000	0.4	0.1
Band 6	15.001 to 50.000	0.5	0.1
Band 7	50.001 to 100.000	0.3	0.1
Other SME		12.9	4.2
Band 1	0.000 to 0.483	1.7	1.1
Band 2	0.484 to 1.022	2.2	1.0
Band 3	1.023 to 4.914	6.0	1.5
Band 4	4.915 to 8.860	1.4	0.2
Band 5	8.861 to 15.000	0.5	0.2
Band 6	15.001 to 50.000	0.3	0.1
Band 7	50.001 to 100.000	0.8	0.1
Other non-SME		46.5	14.2
Band 1	0.000 to 0.483	26.4	11.5
Band 2	0.484 to 1.022	6.7	1.3
Band 3	1.023 to 4.914	10.7	1.4
Band 4	4.915 to 8.860	0.9	-
Band 5	8.861 to 15.000	0.6	-
Band 6	15.001 to 50.000	0.5	-
Band 7	50.001 to 100.000	0.7	-
Total retail		412.4	134.2
Band 1	0.000 to 0.483	296.3	114.0
Band 2	0.484 to 1.022	40.3	9.8
Band 3	1.023 to 4.914	50.2	8.9
Band 4	4.915 to 8.860	9.9	0.7
Band 5	8.861 to 15.000	3.1	0.4
Band 6	15.001 to 50.000	4.3	0.2
Band 7	50.001 to 100.000	8.3	0.2


1	Average exposures are calculated by aggregating the exposure value of the last five quarters and dividing by five.



84	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 49: IRB expected loss and CRAs - by exposure class
		CRA
	Expected loss¹	Balances	Charge for the year
	$bn	$bn	$bn
IRB exposure classes
- central governments and central banks	0.1	-	-
- institutions	-	-	-
- corporates	5.7	4.3	1.1
- total retail	3.6	1.2	0.5
- of which:
secured by mortgages on immovable property SME	-	-	-
secured by mortgages on immovable property non-SME	1.9	0.4	0.1
qualifying revolving retail	0.6	0.2	0.2
other SME	0.6	0.3	-
other non-SME	0.5	0.3	0.2
At 31 Dec 2016	9.4	5.5	1.6

IRB exposure classes
- central governments and central banks	0.2	-	-
- institutions	0.1	-	-
- corporates	5.5	4.5	1.0
- total retail	5.5	2.1	0.4
- of which:
secured by mortgages on immovable property SME	-	-	-
secured by mortgages on immovable property non-SME	3.5	1.2	-
qualifying revolving retail	0.7	0.2	0.2
other SME	0.7	0.3	-
other non-SME	0.6	0.4	0.2
At 31 Dec 2015	11.3	6.6	1.4

IRB exposure classes
- central governments and central banks	0.3	-	-
- institutions	0.3	-	-
- corporates	5.2	4.2	1.1
- total retail	7.2	3.1	0.2
- of which:
secured by mortgages on immovable property SME	-	-	-
secured by mortgages on immovable property non-SME	5.1	1.9	(0.1	)
qualifying revolving retail	0.7	0.3	0.1
other SME	0.7	0.4	-
other non-SME	0.7	0.5	0.2
At 31 Dec 2014	13.0	7.3	1.3


1	Excludes securitisation exposures because EL is not calculated for this exposure class.



Table 50: IRB expected loss and CRAs - by region
		CRA
	Expected loss¹	Balances	Charge for the year
	$bn	$bn	$bn
Europe	3.5	2.2	0.4
Asia	2.4	1.4	0.5
Middle East and North Africa	0.3	0.3	-
North America	3.1	1.5	0.7
Latin America	0.1	0.1	-
At 31 Dec 2016	9.4	5.5	1.6

Europe	4.3	2.9	0.4
Asia	2.3	1.3	0.5
Middle East and North Africa	0.2	0.3	0.1
North America	4.4	2.0	0.4
Latin America	0.1	0.1	-
At 31 Dec 2015	11.3	6.6	1.4


1	Excludes securitisation exposures because EL is not calculated for this exposure class.



HSBC Holdings plc Pillar 3 2016	85

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 51: IRB exposure - credit risk mitigation
		At 31 Dec 2016		At 31 Dec 2015
		Exposure value covered by credit derivatives or guarantees¹	Total exposure value	Exposure value covered by credit derivatives or guarantees¹	Total exposure value
	Footnote	$bn	$bn	$bn	$bn
Exposures under the IRB advanced approach
Central governments and central banks		0.1	339.4	0.5	327.4
Institutions		0.4	75.7	0.4	90.5
Corporates		83.4	583.1	86.4	597.3
Retail		20.2	366.8	20.3	404.5
Securitisation positions		-	33.8	-	40.9
Non-credit obligation assets		-	51.9	-	50.2
Total			1,450.7		1,510.8
Exposures under the IRB foundation approach
Central governments and central banks		-	0.1	-	0.1
Institutions		-	0.3	-	0.3
Corporates	2	0.9	42.4	0.5	43.3


1	Figures presented on an 'obligor basis'.


2	The value of exposures under the IRB foundation approach covered by eligible financial and other collateral was $4.6bn (2015: $7.9bn).



Table 52: Standardised exposure - credit risk mitigation
		2016			2015
		Exposure value covered by eligible financial and other collateral¹	Exposure value covered by credit derivatives or guarantees¹	Total exposure value	Exposure value covered by eligible financial and other collateral¹	Exposure value covered by credit derivatives or guarantees¹	Total exposure value
	Footnote	$bn	$bn	$bn	$bn	$bn	$bn
Exposures under the standardised approach
Central governments and central banks		0.1	5.0	167.3	-	0.2	199.9
Institutions		-	0.3	2.1	-	4.3	38.9
Corporates		13.4	6.1	78.4	14.5	5.0	226.4
Retail		2.3	-	22.0	0.7	0.1	44.2
Secured by mortgages on immovable property		5.0	-	25.7	-	-	40.3
Exposures in default		0.5	-	3.3	-	-	4.9
Regional governments or local authorities		-	-	2.9	-	-	2.8
Equity		-	-	15.2	-	-	7.0
Other	2	-	-	17.2	-	-	27.6
At 31 Dec				334.1			592.0


1	Figures presented on an 'obligor basis'.


2	This includes the exposure class 'other items' with an exposure value of $9.5bn as well as other less material standardised exposure classes not individually shown above.



86	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 53: Standardised exposure - by credit quality step
	At 31 Dec 2016			At 31 Dec 2015
	Original exposure¹	Exposure value	RWAs	Original exposure¹	Exposure value	RWAs
	$bn	$bn	$bn	$bn	$bn	$bn
Central governments and central banks
Credit quality step 1	154.8	158.3		138.1	145.5
Credit quality step 2	1.3	1.6		1.4	1.9
Credit quality step 3	1.0	1.3		2.5	2.8
Credit quality step 4	0.3	0.1		0.4	0.1
Credit quality step 5	0.3	0.3		-	-
Credit quality step unrated	5.7	5.7		49.6	49.6
	163.4	167.3	14.6	192.0	199.9	20.0
Institutions
Credit quality step 1	0.8	0.8		1.6	0.7
Credit quality step 2	0.6	0.3		4.7	1.4
Credit quality step 4	0.5	0.5		-	-
Credit quality step 5	0.1	0.1		0.1	0.1
Credit quality step unrated	0.3	0.3		36.8	36.7
	2.3	2.0	0.9	43.2	38.9	14.7
Corporates
Credit quality step 1	2.0	2.2		1.6	0.8
Credit quality step 2	4.6	2.9		6.2	4.2
Credit quality step 3	2.6	1.7		2.7	1.4
Credit quality step 4	4.5	3.0		2.1	1.6
Credit quality step 5	1.0	0.5		1.3	0.8
Credit quality step 6	0.4	0.1		2.8	2.0
Credit quality step unrated	145.3	67.9		330.6	215.6
	160.4	78.3	75.0	347.3	226.4	210.6


1	Figures presented on an 'obligor basis'.



HSBC Holdings plc Pillar 3 2016	87

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016

Additional BCBS tables



Table 54: Changes in stock of defaulted loans and debt securities
			a
		Footnote	$bn
1	Defaulted loans and debt securities at end of the previous reporting period		22.7
2	Loans and debt securities that have defaulted since the last reporting period		8.6
3	Returned to non-defaulted status		(1.5	)
4	Amounts written off		(2.8	)
5	Other changes	1	(5.1	)
7	Repayments		(4.0	)
6	Defaulted loans and debt securities at end of the reporting period		17.9


1	Other changes include foreign exchange and assets held for sale in default.



Table 55: IRB - Credit risk exposures by portfolio and PD range
	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Central government and central banks	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	326.6	1.9	60.5	327.7	0.02	417	42.9	2.05	26.0	8	-
0.15 to <0.25	2.2	-	27.5	2.3	0.22	19	43.9	1.48	0.8	37	-
0.25 to <0.50	2.0	-	42.3	2.0	0.37	33	43.5	1.36	0.9	49	-
0.50 to <0.75	0.5	-	50.1	0.5	0.63	15	45.0	1.49	0.4	69	-
0.75 to <2.50	3.7	0.1	26.7	3.7	1.35	35	45.0	1.27	3.4	91	-
2.50 to <10.00	3.2	-	76.5	3.2	3.49	20	45.0	1.07	3.9	123	0.1
10.00 to <100.00	-	-	50.2	-	10.00	4	47.0	0.55	-	189	-
100.00 (Default)	-	-	-	-	100.00	11	88.0	5.00	-	-	-
Sub-total	338.2	2.0	59.1	339.4	0.07	554	43.0	2.02	35.4	10	0.1	-	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Institutions	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	62.5	16.3	30.5	67.7	0.05	2,772	40.2	1.34	10.2	15	-
0.15 to <0.25	2.0	2.0	26.4	2.5	0.22	384	44.7	0.72	0.9	37	-
0.25 to <0.50	2.5	0.6	30.9	2.7	0.37	278	44.9	0.69	1.5	54	-
0.50 to <0.75	0.8	0.2	53.1	0.9	0.63	175	44.7	1.15	0.7	73	-
0.75 to <2.50	1.8	1.1	28.8	1.9	1.11	270	42.2	0.98	1.6	83	-
2.50 to <10.00	-	-	21.7	-	4.37	57	41.7	0.37	-	161	-
10.00 to <100.00	-	0.2	17.4	-	26.64	44	53.2	1.53	0.1	307	-
100.00 (Default)	-	-	-	-	100.00	5	45.0	2.54	-	295	-
Sub-total	69.6	20.4	30.1	75.7	0.12	3,985	40.6	1.29	15.0	20	-	-	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Corporate - Specialised Lending - excluding Slotting	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	0.9	0.4	62.7	1.2	0.13	614	26.5	3.43	0.3	27	-
0.15 to <0.25	0.9	0.3	45.5	1.0	0.22	659	25.4	3.85	0.4	36	-
0.25 to <0.50	0.4	0.1	58.4	0.4	0.37	296	30.7	3.73	0.2	52	-
0.50 to <0.75	0.4	0.1	31.0	0.4	0.63	250	26.0	4.29	0.2	58	-
0.75 to <2.50	0.7	0.5	34.5	0.9	1.25	523	40.2	3.63	0.9	105	-
2.50 to <10.00	0.1	-	56.5	0.1	3.57	91	26.2	4.99	0.1	102	-
10.00 to <100.00	0.1	-	62.0	0.1	18.58	114	27.2	1.56	0.2	134	-
100.00 (Default)	0.1	-	94.7	0.1	100.00	159	53.3	3.22	-	11	0.1
Sub-total	3.6	1.4	47.7	4.2	4.36	2,706	30.3	3.66	2.3	56	0.1	0.1	-



88	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Corporate - Other	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	105.5	144.3	37.9	186.0	0.08	10,931	38.1	2.26	41.4	22	0.1
0.15 to <0.25	39.2	55.0	38.8	67.0	0.22	9,588	39.3	2.04	26.6	40	0.1
0.25 to <0.50	45.3	48.8	36.4	69.6	0.37	10,306	39.2	2.08	34.9	50	0.1
0.50 to <0.75	43.1	38.7	33.4	55.0	0.63	9,322	37.5	1.95	33.5	61	0.1
0.75 to <2.50	120.2	89.8	31.9	123.5	1.37	42,812	37.2	2.00	99.7	81	0.6
2.50 to <10.00	32.7	27.3	34.4	31.9	4.59	11,786	36.5	1.99	36.3	114	0.5
10.00 to <100.00	5.6	4.8	39.8	6.4	19.65	2,459	36.5	2.05	11.1	174	0.5
100.00 (Default)	6.0	0.8	51.5	6.4	100.00	2,583	41.9	2.24	6.0	93	2.5
Sub-total	397.6	409.5	36.2	545.8	2.15	99,787	38.1	2.10	289.5	53	4.5	2.3	1.1

Wholesale AIRB - Total

Original on-balance sheet gross exposure

Off-balance sheet exposures pre-CCF

Average CCF

EAD post-CRM and post-CCF

Average PD

Number of obligors

Average LGD

Average maturity

RWA

RWA density

Individual impairments

Collective impairments

PD scale

$bn

yrs

$bn

Total (all portfolios)

809.0

433.3

36.0

1,017.0

1.27

107,032

40.0

2.0

354.3

4.7

2.4

1.1

The Wholesale AIRB Total includes Non-credit obligation assets EAD post-CRM and post-CCF of $51.9bn and RWAs of $12.1bn.



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Secured by mortgages on immovable property SME	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	0.3	-	100.0	0.4	0.07	1,249	10.5	-	-	2	-
0.15 to <0.25	0.1	-	100.0	0.1	0.17	200	17.9	-	-	7	-
0.25 to <0.50	0.2	-	37.7	0.1	0.32	1,012	16.4	-	-	10	-
0.50 to <0.75	0.1	0.1	100.0	0.1	0.63	585	26.0	-	-	19	-
0.75 to <2.50	0.3	-	95.0	0.3	1.63	1,792	28.9	-	0.1	29	-
2.50 to <10.00	0.4	-	102.3	0.4	5.26	1,928	24.4	-	0.2	32	-
10.00 to <100.00	0.1	-	86.0	0.1	17.47	414	26.5	-	-	50	-
100.00 (Default)	-	-	97.8	-	100.00	138	26.2	-	-	48	-
Sub-total	1.5	0.1	97.7	1.5	4.01	7,318	21.1	-	0.3	21	-	-	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Secured by mortgages on immovable property non-SME	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	137.7	11.5	92.3	151.4	0.06	900,158	14.1	-	8.0	5	-
0.15 to <0.25	24.4	1.1	81.0	25.5	0.21	106,945	16.5	-	2.7	11	-
0.25 to <0.50	22.0	2.3	43.8	23.1	0.37	120,044	22.0	-	4.6	20	-
0.50 to <0.75	12.0	0.4	96.0	12.4	0.61	56,427	15.9	-	2.2	18	-
0.75 to <2.50	23.1	1.1	61.8	23.9	1.33	129,916	22.0	-	8.8	37	0.1
2.50 to <10.00	6.4	0.2	93.6	6.6	4.76	36,051	20.0	-	4.7	71	0.1
10.00 to <100.00	2.2	0.1	98.3	2.3	27.26	24,716	27.4	-	3.9	171	0.2
100.00 (Default)	3.8	-	78.5	3.8	100.00	35,131	39.7	-	1.6	42	1.5
Sub-total	231.6	16.7	82.9	249.0	2.14	1,409,388	16.6	-	36.5	15	1.9	0.2	0.3



HSBC Holdings plc Pillar 3 2016	89

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Qualifying revolving retail exposures	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	4.9	62.5	47.4	34.4	0.07	11,894,411	93.7	-	1.5	4	-
0.15 to <0.25	1.3	12.0	44.0	6.5	0.21	1,824,704	95.0	-	0.8	11	-
0.25 to <0.50	2.1	9.0	42.9	5.9	0.37	1,732,829	93.3	-	1.0	17	-
0.50 to <0.75	2.0	4.0	50.2	3.9	0.60	1,069,619	93.4	-	1.0	26	-
0.75 to <2.50	5.5	6.6	47.3	8.6	1.39	1,991,102	91.4	-	4.0	48	0.1
2.50 to <10.00	2.9	1.4	57.8	3.7	4.78	679,874	89.9	-	4.2	112	0.2
10.00 to <100.00	0.8	0.3	55.7	0.9	28.87	268,254	91.7	-	2.1	219	0.3
100.00 (Default)	0.1	-	6.3	0.1	100.00	26,142	36.0	-	0.1	148	-
Sub-total	19.6	95.8	46.8	64.0	1.14	19,486,935	93.1	-	14.7	23	0.6	-	0.2



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Other SME	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	0.1	0.1	67.4	0.2	0.10	82,891	39.9	-	-	9	-
0.15 to <0.25	0.2	0.2	53.4	0.3	0.22	91,588	61.2	-	0.1	22	-
0.25 to <0.50	0.3	0.4	51.2	0.6	0.38	141,288	63.1	-	0.2	32	-
0.50 to <0.75	0.4	0.5	66.5	0.8	0.63	157,268	58.0	-	0.3	38	-
0.75 to <2.50	2.0	1.3	60.8	2.8	1.58	427,912	58.8	-	1.5	55	-
2.50 to <10.00	2.3	0.8	69.9	2.8	4.90	201,537	53.6	-	1.8	64	0.1
10.00 to <100.00	0.5	0.1	70.1	0.6	17.66	69,516	66.6	-	0.6	106	0.1
100.00 (Default)	0.6	0.1	94.5	0.6	100.00	21,873	39.5	-	-	3	0.3
Sub-total	6.4	3.5	63.4	8.7	10.84	1,193,873	56.1	-	4.5	52	0.5	0.3	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
AIRB - Other non-SME	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	9.5	6.1	34.4	11.9	0.07	442,581	20.0	-	0.5	5	-
0.15 to <0.25	6.0	2.7	35.8	7.3	0.20	393,748	31.2	-	1.0	14	-
0.25 to <0.50	5.4	2.9	29.6	6.3	0.36	276,509	29.9	-	1.2	19	-
0.50 to <0.75	4.0	1.2	29.1	4.5	0.60	176,642	29.3	-	1.1	24	-
0.75 to <2.50	8.7	0.6	31.7	9.1	1.37	345,838	28.9	-	3.2	35	-
2.50 to <10.00	2.8	1.0	26.8	3.2	4.31	188,614	39.5	-	1.9	61	0.1
10.00 to <100.00	0.7	-	17.1	0.8	25.11	79,970	65.7	-	1.1	138	0.1
100.00 (Default)	0.4	-	52.1	0.5	100.00	58,697	55.4	-	0.1	13	0.3
Sub-total	37.5	14.5	32.6	43.6	2.26	1,962,599	28.7	-	10.1	23	0.5	0.1	0.2

Retail AIRB Total

Original on-balance sheet gross exposure

Off-balance sheet exposures pre-CCF

Average CCF

EAD post-CRM and post-CCF

Average PD

Number of obligors

Average LGD

Average maturity

RWA

RWA density

Individual impairments

Collective impairments

PD scale

$bn

yrs

$bn

Total (all portfolios)

296.6

130.6

50.3

366.8

2.19

24,060,113

32.3

66.1

3.5

0.6

0.7



90	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



	a	b	c	d	e	f	g	h	i	j	k	l	m
FIRB - Central government and central banks	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	-	-	75.0	0.1	0.04	1	45.0	5.00	-	32	-
0.15 to <0.25	-	-	-	-	-	-	-	-	-	-	-
0.25 to <0.50	-	-	-	-	-	-	-	-	-	-	-
0.50 to <0.75	-	-	-	-	-	-	-	-	-	-	-
0.75 to <2.50	-	-	-	-	-	-	-	-	-	-	-
2.50 to <10.00	-	-	-	-	-	-	-	-	-	-	-
10.00 to <100.00	-	-	-	-	-	-	-	-	-	-	-
100.00 (Default)	-	-	-	-	-	-	-	-	-	-	-
Sub-total	-	-	75.0	0.1	0.04	1	45.0	5.00	-	32	-	-	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
FIRB - Institutions	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	0.1	-	45.2	0.1	0.06	2	45.0	2.75	-	23	-
0.15 to <0.25	-	-	20.7	-	0.22	-	45.0	3.82	-	62	-
0.25 to <0.50	0.1	-	75.0	0.2	0.37	1	45.0	1.71	0.1	55	-
0.50 to <0.75	-	-	-	-	-	-	-	-	-	-	-
0.75 to <2.50	-	-	-	-	-	-	-	-	-	-	-
2.50 to <10.00	-	-	-	-	-	-	-	-	-	-	-
10.00 to <100.00	-	-	-	-	-	-	-	-	-	-	-
100.00 (Default)	-	-	-	-	-	-	-	-	-	-	-
Sub-total	0.2	-	46.6	0.3	0.26	3	45.0	2.09	0.1	43	-	-	-



	a	b	c	d	e	f	g	h	i	j	k	l	m
FIRB - Corporate - Other	Original on-balance sheet gross exposure	Off-balance sheet exposures pre-CCF	Average CCF	EAD post-CRM and post-CCF	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density	EL	Individual impairments	Collective impairments
PD scale	$bn	$bn	%	$bn	%		%	yrs	$bn	%	$bn	$bn	$bn
0.00 to <0.15	8.6	12.2	40.5	13.5	0.09	1,316	44.6	2.45	3.8	28	-
0.15 to <0.25	3.1	5.7	39.2	5.3	0.22	1,303	44.9	2.22	2.4	46	-
0.25 to <0.50	4.5	5.2	32.2	6.1	0.37	1,549	42.8	1.96	3.5	57	-
0.50 to <0.75	3.3	5.2	30.9	4.9	0.63	1,140	43.4	1.98	3.6	72	-
0.75 to <2.50	6.7	9.7	26.5	9.0	1.35	2,817	43.1	1.67	8.3	91	0.1
2.50 to <10.00	2.3	2.2	28.2	2.8	4.65	1,312	42.9	1.90	3.8	138	0.1
10.00 to <100.00	0.2	0.2	15.2	0.3	15.99	180	41.4	0.90	0.4	175	-
100.00 (Default)	0.4	0.1	45.8	0.5	100.00	414	44.9	1.43	-	-	0.2
Sub-total	29.1	40.5	33.9	42.4	1.95	10,031	43.8	2.07	25.8	61	0.4	0.3	0.1

FIRB - Total

Original on-balance sheet gross exposure

Off-balance sheet exposures pre-CCF

Average CCF

EAD post-CRM and post-CCF

Average PD

Number of obligors

Average LGD

Average maturity

RWA

RWA density

Individual impairments

Collective impairments

$bn

yrs

$bn

Total (all portfolios)

29.3

40.5

34.0

42.8

1.94

10,035

43.8

2.1

25.9

0.4

0.3

0.1



HSBC Holdings plc Pillar 3 2016	91

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 56a: Specialised lending - other than HVCRE - Slotting only
Regulatory categories	Remaining maturity	On-balance sheet amount	Off-balance sheet amount	RW	Exposure amount					RWA	Expected losses
Regulatory categories	Remaining maturity	On-balance sheet amount	Off-balance sheet amount	RW	PF	OF	CF	IPRE	Total	RWA	Expected losses
		$bn	$bn	%	$bn	$bn	$bn	$bn	$bn	$bn	$bn
Strong	Less than 2.5 years	9.1	1.5	50	0.3	-	-	9.6	9.9	5.0	-
	Equal to or more than 2.5 years	12.6	1.5	70	0.1	0.6	-	13.0	13.7	9.5	0.1
Good	Less than 2.5 years	2.9	0.4	70	-	0.3	-	2.8	3.1	2.1	-
	Equal to or more than 2.5 years	2.8	0.1	90	-	0.3	-	2.5	2.8	2.5	-
Satisfactory	Less than 2.5 years	0.5	-	115	-	0.1	-	0.4	0.5	0.6	-
	Equal to or more than 2.5 years	0.9	-	115	0.2	0.4	-	0.3	0.9	1.0	-
Weak	Less than 2.5 years	0.3	-	250	0.1	-	-	0.2	0.3	0.8	-
	Equal to or more than 2.5 years	0.1	-	250	-	-	-	0.1	0.1	0.3	-
Default	Less than 2.5 years	0.5	-	-	-	0.1	-	0.7	0.8	-	0.5
	Equal to or more than 2.5 years	0.3	-	-	-	0.3	-	0.1	0.4	-	0.2
Total		30.0	3.5		0.7	2.1	-	29.7	32.5	21.8	0.8



Table 56b: Specialised lending - HVCRE - Slotting only
Regulatory categories	Remaining maturity	On-balance sheet amount	Off-balance sheet amount	RW	Exposure amount	RWA	Expected losses
		$bn	$bn	%	$bn	$bn	$bn
Strong	Less than 2.5 years	0.2	0.1	70	0.3	0.2	-
	Equal to or more than 2.5 years	-	-	95	-	-	-
Good	Less than 2.5 years	0.3	-	95	0.3	0.2	-
	Equal to or more than 2.5 years	-	-	120	-	-	-
Satisfactory	Less than 2.5 years	-	-	115	-	-	-
	Equal to or more than 2.5 years	-	-	115	-	-	-
Weak	Less than 2.5 years	-	-	250	-	-	-
	Equal to or more than 2.5 years	-	-	250	-	-	-
Default	Less than 2.5 years	-	-	-	-	-	-
	Equal to or more than 2.5 years	-	-	-	-	-	-
Total		0.5	0.1		0.6	0.4	-



Table 57: Analysis of counterparty credit risk (CCR) exposure by approach (excluding centrally cleared exposures)
			a	b	c	d	e	f
		Footnote	Replacement cost	Potential future exposure	EEPE	Alpha used for computing regulatory EAD	EAD post-CRM	RWA
			$bn	$bn	$bn	$bn	$bn	$bn
1	SA-CCR (for derivatives)	1	27.5	43.5			71.0	28.0
2	Internal Model Method (for derivatives and SFTs)				19.9	1.4	27.9	10.9
3	Simple Approach for credit risk mitigation (for SFTs)						-	-
4	Comprehensive Approach for credit risk mitigation (for SFTs)						38.3	7.3
5	VaR for SFTs						-	-
6	Total		27.5	43.6	19.9	1.4	137.2	46.2


1	Prior to the implementation of SA-CCR, Exposures reported here will be those under the mark-to-market method.



Table 58: Credit valuation adjustment (CVA) capital charge
		a	b
		EAD post-CRM	RWA
		$bn	$bn
1	Total portfolios subject to the Advanced CVA capital charge	12.8	3.5
2	- VaR component (including the 3×multiplier)		0.8
3	- stressed VaR component (including the 3×multiplier)		2.7
4	All portfolios subject to the Standardised CVA capital charge	41.6	10.9
5	Total subject to the CVA capital charge	54.4	14.4



92	HSBC Holdings plc Pillar 3 2016

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 59: Standardised approach - CCR exposures by regulatory portfolio and risk weights
	a	b	c	d	e	f	g	h	i
Risk weight	0%	10%	20%	50%	75%	100%	150%	Others	Total credit exposure
Asset Classes
Central governments and central banks	7.3	-	-	-	-	-	-	-	7.3
Institutions	-	-	-	0.2	-	-	-	-	0.2
Corporates	-	-	-	0.1	-	2.5	-	-	2.6
Total	7.3	-	-	0.3	-	2.5	-	-	10.1



Table 60: IRB - CCR exposures by portfolio and PD scale
PD scale	a	b	c	d	e	f	g
PD scale	EAD post-CRM	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density
IRB advanced: Central Government and Central Banks	$bn	%		%	yrs	$bn	%
0.00 to <0.15	11.7	0.04	104	45.3	1.00	1.1	8
0.15 to <0.25	0.2	0.22	4	45.0	1.00	0.1	32
0.25 to <0.50	-	0.37	5	45.0	0.20	-	38
0.50 to <0.75	-	0.63	5	45.0	0.20	-	55
0.75 to <2.50	-	1.34	12	41.2	2.80	-	111
2.50 to <10.00	0.4	4.20	3	45.0	0.90	0.5	-
10.00 to <100.00	-	-	-	-	-	-	-
100.00 (Default)	-	-	-	-	-	-	-
Sub-total	12.3	0.19	133	45.3	1.00	1.7	13

IRB advanced: Institutions
0.00 to <0.15	48.5	0.06	3,473	45.2	1.30	10.8	22
0.15 to <0.25	5.9	0.22	295	46.9	1.60	3.0	51
0.25 to <0.50	1.6	0.37	133	45.0	1.40	0.9	61
0.50 to <0.75	0.7	0.63	69	45.0	0.60	0.5	70
0.75 to <2.50	0.6	1.07	144	45.1	1.50	0.6	104
2.50 to <10.00	0.1	4.64	31	45.0	2.30	0.1	186
10.00 to <100.00	0.1	28.13	17	53.4	2.10	0.2	329
100.00 (Default)	-	-	-	-	-	-	-
Sub-total	57.5	0.14	4,162	45.3	1.40	16.1	28

IRB advanced: Corporates
0.00 to <0.15	30.9	0.07	5,839	41.6	1.90	7.5	24
0.15 to <0.25	7.3	0.22	1,870	46.3	1.90	3.7	51
0.25 to <0.50	3.4	0.37	1,131	47.1	1.70	2.1	62
0.50 to <0.75	3.3	0.63	968	43.3	1.40	2.6	79
0.75 to <2.50	5.7	1.35	3,112	46.3	1.40	6.1	107
2.50 to <10.00	0.7	4.24	693	47.6	1.70	1.2	171
10.00 to <100.00	0.1	24.67	121	49.9	2.00	0.3	300
100.00 (Default)	0.1	100.00	46	45.4	4.20	-	-
Sub-total	51.5	0.66	13,780	43.8	1.80	23.5	46
Total (sum of all IRB Advanced)	121.3	0.34	18,075	44.5	1.50	41.3	34



PD scale	a	b	c	d	e	f	g
PD scale	EAD post-CRM	Average PD	Number of obligors	Average LGD	Average maturity	RWA	RWA density
IRB foundation: Corporates	$bn	%		%	yrs	$bn	%
0.00 to <0.15	4.2	0.06	553	45.0	1.90	0.9	23
0.15 to <0.25	0.3	0.22	137	45.0	2.20	0.1	48
0.25 to <0.50	0.3	0.37	160	45.0	1.70	0.2	58
0.50 to <0.75	0.4	0.63	96	45.0	1.70	0.3	73
0.75 to <2.50	0.3	1.35	496	45.0	2.20	0.3	108
2.50 to <10.00	-	4.61	79	45.0	2.00	0.1	151
10.00 to <100.00	-	13.52	10	45.0	1.00	-	218
100.00 (Default)	-	100.00	7	45.0	1.20	-	-
Total (sum of all IRB Foundation)	5.5	0.20	1,538	45.0	1.91	1.9	35



HSBC Holdings plc Pillar 3 2016	93

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



Table 61: Composition of collateral for CCR exposure
		a	b	c	d	e	f
		Collateral used in derivative transactions				Collateral used in SFTs
		Fair value of collateral received		Fair value of posted collateral		Fair value of collateral received	Fair value of posted collateral
		Segregated	Unsegregated	Segregated	Unsegregated	Fair value of collateral received	Fair value of posted collateral
		$bn	$bn	$bn	$bn	$bn	$bn
1	Cash - domestic currency	-	5.2	2.0	3.0	42.9	73.1
2	Cash - other currencies	-	38.9	4.7	32.4	148.7	227.5
3	Domestic sovereign debt	-	4.2	-	7.1	64.5	49.1
4	Other sovereign debt	-	8.9	-	9.4	186.7	131.9
5	Government agency debt	-	0.3	-	0.2	7.8	2.3
6	Corporate bonds	-	0.4	-	-	23.7	11.1
7	Equity securities	-	-	-	-	39.5	34.4
8	Other collateral	-	0.1	-	0.2	2.0	7.6
9	Total	-	58.0	6.7	52.3	515.8	537.0



Table 62: Exposures to central counterparties
		a	b
		EAD post-CRM	RWA
		$bn	$bn
1	Exposures to QCCPs (total)	34.0	1.2
2	Exposures for trades at QCCPs (excluding initial margin and default fund contributions)	20.7	0.4
	- of which:
3	OTC derivatives	10.4	0.2
4	Exchange-traded derivatives	7.2	0.1
5	Securities financing transactions	3.1	0.1
6	Netting sets where cross-product netting has been approved	-	-
7	Segregated initial margin	6.7	-
8	Non-segregated initial margin	6.6	0.1
9	Pre-funded default fund contributions	-	0.7
10	Unfunded default fund contributions	-	-
11	Exposures to non-QCCPs (total)	0.3	0.4
12	Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions)	0.3	0.4
	- of which:
13	OTC derivatives	0.3	0.4
14	Exchange-traded derivatives	-	-
15	Securities financing transactions	-	-
16	Netting sets where cross-product netting has been approved	-	-
17	Segregated initial margin	-	-
18	Non-segregated initial margin	-	-
19	Pre-funded default fund contributions	-	-
20	Unfunded default fund contributions	-	-



Table 63: Securitisation exposures in the non-trading book
		a	b	c	e	f	g	i	j	k
		Bank acts as originator			Bank acts as sponsor			Bank acts as investor
		Traditional	Synthetic	Sub-Total	Traditional	Synthetic	Sub-Total	Traditional	Synthetic	Sub-Total
		$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn
1	Retail (total)	0.1	-	0.1	17.3	-	17.3	2.7	-	2.7
	- of which:
2	residential mortgage	-	-	-	0.1	-	0.1	2.3	-	2.3
3	credit card	-	-	-	-	-	-	-	-	-
4	other retail exposures	-	-	-	17.2	-	17.2	0.4	-	0.4
5	re-securitisation	0.1	-	0.1	-	-	-	-	-	-
6	Wholesale (total)	1.2	4.7	5.9	5.4	-	5.4	3.8	-	3.8
	- of which:
7	loans to corporates	-	4.7	4.7	-	-	-	-	-	-
8	commercial mortgage	-	-	-	-	-	-	2.9	-	2.9
9	lease and receivables	-	-	-	-	-	-	-	-	-
10	other wholesale	-	-	-	-	-	-	0.8	-	0.8
11	re-securitisation	1.2	-	1.2	5.4	-	5.4	0.1	-	0.1



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Table 64: Securitisation exposures in the trading book
		a	b	c	e	f	g	i	j	k
		Bank acts as originator			Bank acts as sponsor			Bank acts as investor
		Traditional	Synthetic	Sub-Total	Traditional	Synthetic	Sub-Total	Traditional	Synthetic	Sub-Total
		$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn
1	Retail (total)	-	-	-	-	-	-	1.5	-	1.5
	- of which:
2	residential mortgage	-	-	-	-	-	-	0.6	-	0.6
3	credit card	-	-	-	-	-	-	-	-	-
4	other retail exposures	-	-	-	-	-	-	0.9	-	0.9
5	re-securitisation	-	-	-	-	-	-	-	-	-
6	Wholesale (total)	-	-	-	-	-	-	1.0	-	1.0
	- of which:
7	loans to corporates	-	-	-	-	-	-	0.1	-	0.1
8	commercial mortgage	-	-	-	-	-	-	0.7	-	0.7
9	lease and receivables	-	-	-	-	-	-	-	-	-
10	other wholesale	-	-	-	-	-	-	0.1	-	0.1
11	re-securitisation	-	-	-	-	-	-	0.1	-	0.1




Table 65: Securitisation exposures in the non-trading book and associated regulatory capital requirements - bank acting as originator or as sponsor
			a	b	c	d	e	f	g	h	i
			Exposure values (by RW bands)					Exposure values (by regulatory approach)
			≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to 1250% RW	1250% RW	IRB RBA (including IAA)	IRB SFA	SA	1250	%
			$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn
	2	Traditional securitisation	16.7	2.0	0.2	0.2	4.9	18.9	-	0.2	4.9
	3	- securitisation	16.7	0.4	0.1	0.1	-	17.2	-	0.2	-
		- of which:
	4	retail underlying	16.7	0.4	0.1	0.1	-	17.2	-	0.2	-
	5	wholesale	-	-	-	-	-	-	-	-	-
	6	- re-securitisation	-	1.6	0.1	0.1	4.9	1.7	-	-	4.9
		- of which:
	7	senior	-	-	-	-	-	-	-	-	-
	8	non-senior	-	1.6	0.1	0.1	4.9	1.7	-	-	4.9
	9	Synthetic securitisation	4.3	-	0.4	-	-	4.7	-	-	-
	10	- securitisation	4.3	-	0.4	-	-	4.7	-	-	-
		- of which:
	11	retail underlying	-	-	-	-	-	-	-	-	-
	12	wholesale	4.3	-	0.4	-	-	4.7	-	-	-
	13	- re-securitisation	-	-	-	-	-	-	-	-	-
		- of which:
	14	senior	-	-	-	-	-	-	-	-	-
	15	non-senior	-	-	-	-	-	-	-	-	-
	1	Total exposures	21.0	2.0	0.6	0.2	4.9	23.6	-	0.2	4.9



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Table 65: Securitisation exposures in the non-trading book and associated regulatory capital requirements - bank acting as originator or as sponsor (continued)
			j	k	l	m		n	o	p	q
			RWA (by regulatory approach)					Capital charge after cap
			IRB RBA (including IAA)	IRB SFA	SA	1250	%	IRB RBA (including IAA)	IRB SFA	SA	1250	%
			$bn	$bn	$bn	$bn		$bn	$bn	$bn	$bn
	2	Traditional securitisation	2.6	-	0.2	58.8		0.2	-	-	1.2
	3	- securitisation	1.6	-	0.2	-		0.1	-	-	-
		- of which:
	4	retail underlying	1.6	-	0.2	-		0.1	-	-	-
	5	wholesale	-	-	-	-		-	-	-	-
	6	- re-securitisation	1.0	-	-	58.8		0.1	-	-	1.2
		- of which:
	7	senior	-	-	-	-		-	-	-	-
	8	non-senior	1.0	-	-	58.8		0.1	-	-	1.2
	9	Synthetic securitisation	0.9	-	-	0.4		0.1	-	-	-
	10	- securitisation	0.9	-	-	0.4		0.1	-	-	-
		- of which:
	11	retail underlying	-	-	-	-		-	-	-	-
	12	wholesale	0.9	-	-	0.4		0.1	-	-	-
	13	- re-securitisation	-	-	-	-		-	-	-	-
		- of which:
	14	senior	-	-	-	-		-	-	-	-
	15	non-senior	-	-	-	-		-	-	-	-
	1	Total exposures	3.5	-	0.2	59.2		0.3	-	-	1.2



Table 66: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as investor
		a	b	c	d	e	f	g	h	i
		Exposure values (by RW bands)					Exposure values (by regulatory approach)
		≤20% RW	>20% to 50% RW	>50% to 100% RW	>100% to 1250% RW	1250% RW	IRB RBA (including IAA)	IRB SFA	SA	1250	%
		$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn	$bn
2	Traditional securitisation	4.9	0.3	1.2	-	0.1	5.6	-	0.8	0.1
3	- securitisation	4.9	0.2	1.1	-	0.1	5.4	-	0.8	0.1
	- of which:
4	retail underlying	2.5	0.1	-	-	0.1	2.4	-	0.1	0.1
5	wholesale	2.4	0.1	1.1	-	-	3.0	-	0.7	-
6	- re-securitisation	-	0.1	0.1	-	-	0.2	-	-	-
	- of which:
7	senior	-	-	0.1	-	-	0.1	-	-	-
8	non-senior	-	0.1	-	-	-	0.1	-	-	-
9	Synthetic securitisation	-	-	-	-	-	-	-	-	-
10	- securitisation	-	-	-	-	-	-	-	-	-
	- of which:
11	retail underlying	-	-	-	-	-	-	-	-	-
12	wholesale	-	-	-	-	-	-	-	-	-
13	- re-securitisation	-	-	-	-	-	-	-	-	-
	- of which:
14	senior	-	-	-	-	-	-	-	-	-
15	non-senior	-	-	-	-	-	-	-	-	-
1	Total exposures	4.9	0.3	1.2	-	0.1	5.6	-	0.8	0.1



96	HSBC Holdings plc Pillar 3 2016

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Table 66: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as investor (continued)
		j	k	l	m		n	o	p	q
		RWA (by regulatory approach)					Capital charge after cap
		IRB RBA (including IAA)	IRB SFA	SA	1250	%	IRB RBA (including IAA)	IRB SFA	SA	1250	%
		$bn	$bn	$bn	$bn		$bn	$bn	$bn	$bn
2	Traditional securitisation	1.2	-	0.7	1.3		0.1	-	0.1	0.1
3	- securitisation	1.1	-	0.7	1.1		0.1	-	0.1	0.1
	- of which:
4	retail underlying	0.3	-	-	1.0		-	-	-	0.1
5	wholesale	0.8	-	0.7	0.1		0.1	-	0.1	-
6	- re-securitisation	0.1	-	-	0.2		-	-	-	-
	- of which:
7	senior	-	-	-	-		-	-	-	-
8	non-senior	0.1	-	-	0.2		-	-	-	-
9	Synthetic securitisation	-	-	-	-		-	-	-	-
10	- securitisation	-	-	-	-		-	-	-	-
	- of which:
11	retail underlying	-	-	-	-		-	-	-	-
12	wholesale	-	-	-	-		-	-	-	-
13	- re-securitisation	-	-	-	-		-	-	-	-
	- of which:
14	senior	-	-	-	-		-	-	-	-
15	non-senior	-	-	-	-		-	-	-	-
1	Total exposures	1.2	-	0.7	1.3		0.1	-	0.1	0.1



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Appendix II

Simplified organisation chart for regulatory purposes¹

HSBC Holdings plc

HSBC

Mexico

S.A.

HSBC

North America Holdings Inc.

HSBC

Bank

Canada

HSBC

Bank (China)

Company

Limited

The Hongkong and Shanghai Banking Corporation Limited

HSBC

Bank Australia

Limited

HSBC

Bank

Egypt

S.A.E.

HSBC

Bank

plc

HSBC

Private

Banking

Holdings

(Suisse) SA

94%

HSBC

Finance

Corporation

Bank of Commun-ications Co. Limited ('BoCom')³

HSBC Bank Malaysia Berhad

The Saudi British Bank

HSBC

Private

Bank

(Suisse)

19%

40%

USA

PRC

HSBC

Securities

(USA)

Inc.

Hang

Seng

Bank

Limited

HSBC Bank (Taiwan) Limited

HSBC Bank

Middle

East

Limited

HSBC

Trinkaus &

Burkhardt

62%

UAE

Germany

HSBC

USA

Inc.

HSBC

Bank

USA,

N.A.

Hang

Seng

Bank (China) Limited

Bank

HSBC

Indonesia

Middle

East

and

North

Africa

HSBC

France

HSBC

Bank

(Singapore)

Limited

HSBC

Seguros

S.A.

Hang

Seng

Insurance

Company

Limited

HSBC

Insurance

(Asia-Pacific)

Holdings

Limited

HSBC

Insurance

(Singapore)

Pte

Limited

HSBC

Life

(UK)

Limited

HSBC

Assurances

Vie

(France)

Mexico

HSBC

Life

Insurance

Company

Limited

HSBC

Amanah

Takaful

(Malaysia)

Sendirian

Berhad

Regency

Assets

Limited

Mazarin

Funding

Limited

50%

Latin America

PRC

HSBC

Life

(Inter-

national)

Limited

Turquoise

Receivables

Trustee

Limited

Barion

Funding

Limited

Malachite

Funding

Limited

Metrix

Portfolio

Distribution

plc

Entities deconsolidated for regulatory purposes

North America and LatAm

Asia

Europe and MENA



Holding company	Intermediate holding company	Operating company	Associate	Insurance company	Special purpose entities²


1	At 31 December 2016, showing entities in Priority markets, wholly owned unless shown otherwise (part ownership rounded down to nearest per cent), except 2, below.


2	Control of Special Purpose Entities is not based on ownership.


3	Treated under a capital deduction method for regulatory purposes.



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Appendix III

Asset encumbrance

The following is the disclosure of on-balance sheet encumbered and unencumbered assets and off-balance sheet collateral (represented by median values of monthly data points in 2016) based on the requirement in Part Eight of CRD IV. The related Guideline, issued by the EBA on 27 June 2014, was implemented by the PRA through Supervisory Statement SS11/14.



Table 67: A - Assets
		Carrying amount of encumbered assets	Fair value of encumbered assets	Carrying amount of unencumbered assets	Fair value of unencumbered assets
		$m	$m	$m	$m
010	Assets of the reporting institution	137,377	-	2,480,100	-
030	Equity instruments	5,283	5,283	55,216	55,116
040	Debt securities	66,493	66,486	482,518	480,801
120	Other assets	2,600	-	488,695	-



Table 67: B - Collateral received
		Fair value of encumbered collateral received or own debt securities issued	Fair value of collateral received or own debt securities issued available for encumbrance
		$m	$m
130	Assets of the reporting institution	127,760	148,592
150	Equity instruments	6,661	18,561
160	Debt securities	121,102	126,002
230	Other collateral received	35	772
240	Own debt securities issued other than own covered bonds or ABSs	-	-



Table 67: C - Encumbered assets/collateral received and associated liabilities
		Matching liabilities, contingent liabilities or securities lent	Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered
		$m	$m
010	Carrying amount of selected financial liabilities	199,108	257,264

Information on importance of encumbrance

We are a deposit-led bank and hence the majority of our funding is from customer current accounts and customer savings deposits payable on demand or at short notice. This is part of our Group framework, where we have defined the limit for the ratio of advances to deposits to be below 90% (2016: 68%). Given this structural unsecured funding position we have little requirement to fund ourselves in secured markets, and therefore our overall low level of encumbrance reflects this position. However, we do provide collateralised financing services to clients as part of our GB&M business model,

providing cash financing or specific securities, and these result in off-balance sheet encumbrance. The other sources which contribute to encumbrance are securities pledged in derivative transactions, mostly for hedging purposes, issuance of asset-backed securities, and covered bond programmes in the UK, France and Australia. HSBC Holdings ALCO reviews the asset encumbrance of the institution as a whole quarterly and any events changing the asset encumbrance level are examined.

For details on balance sheet encumbered and unencumbered assets, please refer to the Annual Report and Accounts 2016, page 110.



HSBC Holdings plc Pillar 3 2016	99

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Appendix IV

Summary of disclosures withheld



CRD IV reference	Description	Rationale
442(c)	CRAs - In relation to exposure to credit risk and dilution risk, the total amount of exposures after accounting offsets and without taking into account the effects of credit risk mitigation.	Materiality The disclosure has been made after taking into account the effects of credit risk mitigation; there are no significant differences between exposures pre- and post-credit risk mitigation at exposure class level.
448(a)	Key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits) on their exposure to interest rate risk on positions not included in the trading book.	Proprietary Assumptions regarding fixed term loan repayments and term behaviouralisation of non-maturity deposits and capital drive HSBC's structural interest rates positioning and market hedging requirements. Disclosure could give key business strategy information to our competitors.



100	HSBC Holdings plc Pillar 3 2016

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Other Information

Abbreviations

The following abbreviated terms are used throughout this document.



Currencies
$	United States dollar

A
ABCP	Asset-backed commercial paper
ABS¹	Asset-backed security
AFS¹	Available-for-sale
ALCM	Asset, Liability and Capital Management
ALCO	Asset and Liability Management Committee
AT1 capital	Additional tier 1 capital
AVA	Additional value adjustment

B
BCBS	Basel Committee on Banking Supervision
BoCom	Bank of Communications Co., Limited
BSM	Balance Sheet Management

C
CCB¹	Capital conservation buffer
CCF¹	Credit conversion factor
CCP	Central counterparty
CCR¹	Counterparty credit risk
CCyB¹	Countercyclical capital buffer
CDS¹	Credit default swap
CET1¹	Common equity tier 1
CIU	Collective investment undertakings
CML¹	Consumer and Mortgage Lending (US)
CRA¹	Credit risk adjustment
CRD IV¹	Capital Requirements Regulation and Directive
CRE¹	Commercial real estate
CRM	Credit risk mitigation/mitigant
CRR¹	Customer risk rating
CSA¹	Credit Support Annex
CVA	Credit valuation adjustment
CVC	Conduct and Values Committee

E
EAD¹	Exposure at default
EBA	European Banking Authority
EC	European Commission
ECA	Export Credit Agency
ECAI¹	External Credit Assessment Institution
EEA	European Economic Area
EL¹	Expected loss
EU	European Union
EVE¹	Economic value of equity

F
FFVA	Funding Fair Value Adjustment
Fitch	Fitch Ratings
FPC¹	Financial Policy Committee (UK)
FSB	Financial Stability Board
FSVC	Financial System Vulnerabilities Committee

G
GAC	Group Audit Committee
GB&M	Global Banking and Markets, a global business
GMB	Group Management Board
GPB	Global Private Banking, a global business
GRC	Group Risk Committee
Group	HSBC Holdings together with its subsidiary undertakings
G-SIB¹	Global systemically important bank
G-SII	Global systemically important institution




H
HKMA	Hong Kong Monetary Authority
Hong Kong	The Hong Kong Special Administrative Region of the People's Republic of China
HSBC	HSBC Holdings together with its subsidiary undertakings

I
IAA¹	Internal Assessment Approach
ICAAP¹	Internal Capital Adequacy Assessment Process
ICG	Individual capital guidance
IFRSs	International Financial Reporting Standards
ILAA	Individual Liquidity Adequacy Assessment
ILR	Inherent Liquidity Risk
IMA	Internal Models Approach
IMM¹	Internal Model Method
IRB¹/RBA	Internal ratings based approach
IRC¹	Incremental risk charge

L
LCR	Liquidity Coverage Ratio
LFRF	Liquidity and Funding Risk Framework
LGD¹	Loss given default
Libor	London interbank offered rate

M
MDB¹	Multilateral Development Bank
MENA	Middle East and North Africa
MOC	Model Oversight Committee
Moody's	Moody's Investor Service
MREL	Minimum requirements for own funds and eligible liabilities

N
NCOA	Non-credit obligation asset
NSFR	Net Stable Funding Ratio

O
ORMF	Operational risk management framework
OTC¹	Over-the-counter

P
PD¹	Probability of default
PFE¹	Potential future exposure
PIT¹	Point-in-time
PRA¹	Prudential Regulation Authority (UK)
PVA¹	Prudent valuation adjustment

Q
QCCP	Qualifying Central Counterparty

R
RAS	Risk appetite statement
RBM¹	Ratings Based Method
RBWM	Retail Bank and Wealth Management, a global business
Retail IRB¹	Retail internal ratings based approach
RMM	Risk Management Meeting of the GMB
RNIV	Risks not in VaR
RWA¹	Risk-weighted asset



HSBC Holdings plc Pillar 3 2016	101

Capital and Risk Management Pillar 3 Disclosures at 31 December 2016



S
SA/STD¹	Standardised approach
SA-CCR	Standardised approach for counterparty credit risk
S&P	Standard and Poor's rating agency
SFM¹	Supervisory Formula Method
SFT¹	Securities Financing Transactions
SIC	Securities Investment Conduit
SME	Small and medium-sized enterprise
SPE¹	Special Purpose Entity
SRB¹	Systemic Risk Buffer
SSFA/SFA	Simplified supervisory formula approach

T
TLAC¹	Total Loss Absorbing Capacity
TTC¹	Through-the-cycle
T1 capital	Tier 1 capital
T2 capital	Tier 2 capital

U
UK	United Kingdom

V
VaR¹	Value at risk


1	Full definition included in the Glossary published on HSBC website www.hsbc.com



102	HSBC Holdings plc Pillar 3 2016

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Cautionary statement regarding forward

looking statements

The Capital and Risk Management Pillar 3 Disclosures 2016 contains certain forward-looking statements with respect to HSBC's financial condition, results of operations, capital position and business.

Statements that are not historical facts, including statements about HSBC's beliefs and expectations, are forward-looking statements. Words such as 'expects', 'anticipates', 'intends', 'plans', 'believes', 'seeks', 'estimates', 'potential' and 'reasonably possible', variations of these words and similar expressions are intended to identify forward-looking statements. These statements are based on current plans, estimates and projections, and therefore undue reliance should not be placed on them. Forward-looking statements speak only as of the date they are made. HSBC makes no commitment to revise or update any forward-looking statements to reflect events or circumstances occurring or existing after the date of any forward-looking statements.

Written and/or oral forward-looking statements may also be made in the periodic reports to the US Securities and Exchange Commission, summary financial statements to shareholders, proxy statements, offering circulars and prospectuses, press releases and other written materials, and in oral statements made by HSBC's Directors, officers or employees to third parties, including financial analysts.

Forward-looking statements involve inherent risks and uncertainties. Readers are cautioned that a number of factors could cause actual results to differ, in some instances materially, from those anticipated or implied in any forward-looking statement. These include, but are not limited to:

•

changes in general economic conditions in the markets in which we operate, such as continuing or deepening recessions and fluctuations in employment beyond those factored into consensus forecasts; changes in foreign exchange rates and interest rates; volatility in equity markets; lack of liquidity in wholesale funding markets; illiquidity and downward price pressure in national real estate markets; adverse changes in central banks' policies with respect to the provision of liquidity support to financial markets; heightened market concerns over sovereign creditworthiness in over-indebted countries; adverse

changes in the funding status of public or private defined benefit pensions; and consumer perception as to the continuing availability of credit and price competition in the market segments we serve;

•

changes in government policy and regulation, including the monetary, interest rate and other policies of central banks and other regulatory authorities; initiatives to change the size, scope of activities and interconnectedness of financial institutions in connection with the implementation of stricter regulation of financial institutions in key markets worldwide; revised capital and liquidity benchmarks which could serve to deleverage bank balance sheets and lower returns available from the current business model and portfolio mix; imposition of levies or taxes designed to change business mix and risk appetite; the practices, pricing or responsibilities of financial institutions serving their consumer markets; expropriation, nationalisation, confiscation of assets and changes in legislation relating to foreign ownership; changes in bankruptcy legislation in the principal markets in which we operate and the consequences thereof; general changes in government policy that may significantly influence investor decisions; extraordinary government actions as a result of current market turmoil; other unfavourable political or diplomatic developments producing social instability or legal uncertainty which in turn may affect demand for our products and services; the costs, effects and outcomes of product regulatory reviews, actions or litigation, including any additional compliance requirements; and the effects of competition in the markets where we operate including increased competition from non-bank financial services companies, including securities firms; and

•

factors specific to HSBC, including discretionary RWA growth and our success in adequately identifying the risks we face, such as the incidence of loan losses or delinquency, and managing those risks (through account management, hedging and other techniques). Effective risk management depends on, among other things, our ability through stress testing and other techniques to prepare for events that cannot be captured by the statistical models it uses; and our success in addressing operational, legal and regulatory, and litigation challenges, notably compliance with the DPA.

Contacts

Enquiries relating to HSBC's strategy or operations may be directed to:



Senior Manager Investor Relations HSBC Holdings plc 8 Canada Square London E14 5HQ United Kingdom	Head of Investor Relations, Asia-Pacific The Hongkong and Shanghai Banking Corporation Limited 1 Queen's Road Central Hong Kong

Telephone: +44 (0) 20 7991 3643	Telephone: +852 2822 4908

Email: investorrelations@hsbc.com	Email: investorrelations@hsbc.com.hk



HSBC Holdings plc Pillar 3 2016	103

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Companies

HSBC Holdings (HSBA)

Monday, 25th November 2024

COMPANIES COVERED:

AAL KGF JD.

JD Sports claws back some of last week’s earnings-driven losses, Anglo American announces disposal but gains in line with sector peers and Kingfisher pressured as profit guidance lowered.

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