HSBC Holdings plc- Pillar 3 Disclosures - Part 2
Pillar 3 Disclosures at 31 December 2017
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Market risk |
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Overview of market risk in global businesses |
Market risk is the risk that movements in market factors, such as foreign exchange rates, interest rates, credit spreads, equity prices and commodity prices, will reduce our income or the value of our portfolios.
Exposure to market risk
Exposure to market risk is separated into two portfolios:
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Trading portfolios comprise positions arising from market-making. |
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Non-trading portfolios comprise positions that primarily arise from the interest rate management of our retail and commercial banking assets and liabilities, financial investments designated as available-for-sale ('AFS') and held to maturity, and exposures arising from our insurance operations. |
Where appropriate, we apply similar risk management policies and measurement techniques to both trading and non-trading portfolios. Our objective is to manage and control market risk exposures in order to optimise return on risk while maintaining a market profile consistent within our established risk appetite.
The nature of the hedging and risk mitigation strategies performed across the Group corresponds to the market risk management instruments available within each operating jurisdiction. These strategies range from the use of traditional market instruments, such as interest rate swaps, to more sophisticated hedging strategies to address a combination of risk factors arising at portfolio level. For a discussion on hedging risk and monitoring the continuing effectiveness of hedges, refer to page 192 of the Annual Report and Accounts 2017.
The tables below reflect the components of capital requirement under the standardised approach table 41 and the internal model approach table 42 for market risk.
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Table 41: Market risk under standardised approach |
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At 31 Dec |
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2017 |
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2016 |
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2017 |
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RWAs |
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RWAs |
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Capital requirements |
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$bn |
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$bn |
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$bn |
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Outright products |
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1 |
Interest rate risk (general and specific) |
2.2 |
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1.5 |
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0.2 |
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2 |
Equity risk (general and specific) |
0.1 |
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1.7 |
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- |
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3 |
Foreign exchange risk |
0.2 |
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0.3 |
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- |
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4 |
Commodity risk |
0.1 |
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- |
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- |
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Options |
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5 |
Simplified approach |
- |
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- |
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- |
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6 |
Delta-plus method |
- |
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- |
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- |
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7 |
Scenario approach |
- |
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- |
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- |
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8 |
Securitisation |
1.8 |
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1.5 |
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0.1 |
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9 |
Total |
4.4 |
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5.0 |
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0.3 |
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Table 42: Market risk under IMA |
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At 31 Dec 2017 |
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RWAs |
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Capital required |
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$bn |
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$bn |
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1 |
VaR (higher of values a and b) |
8.3 |
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0.7 |
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(a) |
Previous day's VaR |
0.1 |
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- |
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(b) |
Average daily VaR |
8.3 |
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0.7 |
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2 |
Stressed VaR (higher of values a and b) |
14.3 |
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1.1 |
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(a) |
Latest SVaR |
0.1 |
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- |
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(b) |
Average SVaR |
14.3 |
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1.1 |
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3 |
Incremental risk charge (higher of values a and b) |
10.0 |
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0.8 |
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(a) |
Most recent IRC value |
0.7 |
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0.1 |
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(b) |
Average IRC value |
10.0 |
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0.8 |
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5 |
Other |
1.9 |
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0.2 |
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6 |
Total |
34.5 |
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2.8 |
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56 |
HSBC Holdings plc Pillar 3 2017 |
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Market risk governance |
GB&M manages market risk, where the majority of the total VaR, SVaR and IRC of HSBC (excluding insurance) and almost all trading VaR resides, using risk limits approved by the GMB. For a discussion on market risk governance refer to page 75 of the Annual Report and Accounts 2017.
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Market risk measures |
Monitoring and limiting market risk exposures
Our objective is to manage and control market risk exposures while maintaining a market profile consistent with our risk appetite.
We use a range of tools to monitor and limit market risk exposures including sensitivity analysis, VaR and stress testing.
Sensitivity analysis
We use sensitivity measures to monitor the market risk positions within each risk type. Sensitivity limits are set for portfolios, products and risk types, with the depth of the market being one of the principal factors in determining the level of limits set.
Value at risk
VaR is a technique that estimates the potential losses on risk positions in the trading portfolio as a result of movements in market rates and prices over a specified time horizon and to a given level of confidence. The use of VaR is integrated into market risk management and is calculated for all trading positions regardless of how we capitalise those exposures.
Where there is not an approved internal model, we use the appropriate local rules to capitalise exposures locally.
In addition, we calculate VaR for non-trading portfolios to have a complete picture of risk. Our models are predominantly based on historical simulation. VaR is calculated at a 99% confidence level for a one-day holding period. Where we do not calculate VaR explicitly, we use alternative tools as described in the stress testing section below.
Our VaR models derive plausible future scenarios from past series of recorded market rates and prices, taking into account inter-relationships between different markets and rates such as interest rates and foreign exchange rates. Our models use a mixed approach when applying changes in market rates and prices:
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For equity, credit and foreign exchange risk factors, the potential movements are typically represented on a relative return basis. |
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For interest rates, a mixed approach is used. Curve movements are typically absolute, whereas volatilities are on a relative return basis. |
We use the past two years as the data set in our VaR models, which is updated on a fortnightly basis, and these scenarios are then applied to the market baselines and trading positions on a daily basis. The models also incorporate the effect of option features on the underlying exposures.
The valuation approach used in our models values:
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non-linear instruments using a full revaluation approach; and |
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linear instruments, such as bonds and swaps, using a sensitivity based approach. |
The nature of the VaR models means that an increase in observed market volatility will lead to an increase in VaR even without any changes in the underlying positions.
VaR model limitations
Although a valuable guide to risk, VaR should always be viewed in the context of its limitations, for example:
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the use of historical data as a proxy for estimating future events may not encompass all potential events, particularly those which are extreme in nature; |
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the use of a holding period assumes that all positions can be liquidated or the risks offset during that period. This may not fully reflect the market risk arising at times of severe illiquidity, when the holding period may be insufficient to liquidate or hedge all positions fully; |
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the use of a 99% confidence level by definition does not take into account losses that might occur beyond this level of confidence; and |
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VaR is calculated on the basis of exposures outstanding at close of business and therefore does not necessarily reflect intra-day exposures. |
Risk not in VaR framework
The Risks not in VaR ('RNIV') framework captures risks from exposures in the HSBC trading book which are not captured well by the VaR model. Our VaR model is designed to capture significant basis risk such as CDS versus bond, asset swap spreads and cross-currency basis. Other basis risks which are not completely covered in VaR, such as the London interbank offered rate ('Libor') tenor basis, are complemented by our RNIV calculations and are integrated into our capital framework.
Risk factors are reviewed on a regular basis and either incorporated directly in the VaR models, where possible, or quantified through the VaR-based RNIV approach or a stress test approach within the RNIV framework. The severity of the scenarios is calibrated to be in line with the capital adequacy requirements. The outcome of the VaR-based RNIV is included in the VaR calculation and back-testing; a stressed VaR RNIV is also computed for the risk factors considered in the VaR-based RNIV approach.
Stress-type RNIVs include a gap risk exposure measure to capture risk on non-recourse margin loans and a de-peg risk measure to capture risk to pegged and heavily managed currencies.
Back-testing
We routinely validate the accuracy of our VaR models by back-testing them against both actual and hypothetical profit and loss. Hypothetical profit and loss excludes non-modelled items such as fees, commissions and revenues of intra-day transactions.
The actual number of profits or losses in excess of VaR over this period can therefore be used to gauge how well the models are performing.
We back-test VaR at various levels which reflect a full legal entity scope of HSBC, including entities that do not have local permission to use VaR for regulatory purposes. Back-testing using the regulatory hierarchy includes entities which have approval to use VaR in the calculation of market risk regulatory capital requirement.
HSBC submits separate back-testing results to regulators, including the PRA and the European Central Bank, based on applicable frequencies ranging from two business days after an exception occurs, to quarterly submissions.
In terms of the CRD IV rules, VaR back-testing loss, and not profit, exceptions count towards the multiplier determined by the PRA for the purposes of the capital requirement calculation for market risk. The multiplier does not get increased if there are less than five loss exceptions.
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HSBC Holdings plc Pillar 3 2017 |
57 |
Pillar 3 Disclosures at 31 December 2017
The graphs below show a one-year history for VaR back-testing exceptions against both actual and hypothetical profit and loss.
In 2017, the PRA VaR approved entities experienced exceptions against both actual and hypothetical profit and loss in December: a loss exception, driven by a margin loan; and a profit exception, driven by gains on Japanese yen cross currency swaps, and gains in strategic foreign exchange hedges.
There was no evidence of model errors or control failures.
The back-testing result excludes exceptions due from changes in fair value adjustments.
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Comparison of VaR estimates with gains/losses |
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Click on, or paste the following link into your web browser, to view the graphs in the associated PDF document.
http://www.rns-pdf.londonstockexchange.com/rns/3274F_1-2018-2-19.pdf
VaR back-testing exceptions against actual profit & loss ($m) |
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Actual profit and loss |
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VaR |
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Back-testing profit exception |
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VaR back-testing exceptions against hypothetical profit & loss ($m) |
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Hypothetical profit and loss |
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VaR |
w |
Back-testing profit exception |
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58 |
HSBC Holdings plc Pillar 3 2017 |
Stress testing
Stress testing is an important procedure that is integrated into our market risk management framework to evaluate the potential impact on portfolio values of more extreme, although plausible, events or movements in a set of financial variables. In such scenarios, losses can be greater than those predicted by VaR modelling.
Stress testing is implemented at legal entity, regional and overall Group levels. A set of scenarios is used consistently across all regions within the Group. Scenarios are tailored to capture the relevant events or market movements at each level. The risk appetite around potential stress losses for the Group is set and monitored against referral limits.
Market risk reverse stress tests are undertaken on the premise that there is a fixed loss. The stress testing process identifies which scenarios lead to this loss. The rationale behind the reverse stress test is to understand scenarios that are beyond normal business settings and could have contagion and systemic implications.
Stressed VaR and stress testing, together with reverse stress testing and the management of gap risk, provide management with insights regarding the 'tail risk' beyond VaR, for which HSBC's appetite is limited.
The Market risk stress testing incorporates the historical and hypothetical events.
During 2017 we devised and ran stress hypothetical scenarios to specific events including the French election and a potential North Korea conflict.
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Market risk capital models |
There are a number of measures which HSBC has permission to use in calculating regulatory capital which are listed in table below. For regulatory purposes, the trading book comprises all positions in CRD financial instruments and commodities which are held with trading intent, which are taken with the intention of benefiting from short-term gains or positions where it can be demonstrated that they hedge positions in the trading book. Trading book positions must either be free of any restrictive covenants on their tradability or be capable of being hedged.
A CRD financial instrument is defined as any contract that gives rise to both a financial asset to one party and a financial liability or equity instrument to another party.
HSBC maintains a trading book policy which defines the minimum requirements for trading book positions and the process for classifying positions as trading or non-trading book. Positions in the trading book are subject to market risk-based rules, i.e. market risk capital, computed using regulatory approved models. Otherwise, the market risk capital is calculated using the Standardised approach.
If any of the policy criteria are not met, then the position is categorised as a non-trading book exposure.
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Model component |
Confidence
level |
Liquidity horizon |
Model description and methodology |
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VaR |
99% |
10 day |
Uses most recent two years' history of daily returns to determine a loss distribution. The result is scaled, using the square root of 10, from one day to provide an equivalent 10-day loss. |
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Stressed VaR |
99% |
10 day |
Stressed VaR is calibrated to a one-year period of stress observed in history. |
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IRC |
99.9% |
1 year |
Uses a multi-factor Gaussian Monte-Carlo simulation, which includes product basis, concentration, hedge mismatch, recovery rate and liquidity as part of the simulation process. A minimum liquidity horizon of three months is applied and is based on a combination of factors, including issuer type, currency and size of exposure. |
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Options |
n/a |
n/a |
Uses a standard charge scenario approach based on a spot volatility grid where, for each point on the grid, there is a full revaluation of the portfolio. The regulators prescribe the ranges, therefore there is no equivalence with confidence level and liquidity horizon. |
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1 |
Non-proprietary details are available in the Financial Services Register on the PRA website. |
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Table 43: IMA values for trading portfolios |
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At 31 Dec |
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2017 |
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2016 |
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$m |
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$m |
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VaR (10 day 99%) |
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1 |
Maximum value |
319.1 |
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327.1 |
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2 |
Average value |
197.0 |
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229.6 |
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3 |
Minimum value |
163.7 |
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186.4 |
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4 |
Period end |
228.2 |
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215.7 |
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Stressed VaR (10 day 99%) |
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5 |
Maximum value |
439.7 |
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454.0 |
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6 |
Average value |
284.7 |
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389.9 |
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7 |
Minimum value |
193.3 |
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269.7 |
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8 |
Period end |
251.3 |
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269.7 |
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Incremental Risk Charge (99.9%) |
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9 |
Maximum value |
1,042.7 |
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1,100.7 |
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10 |
Average value |
828.5 |
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787.0 |
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11 |
Minimum value |
673.4 |
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697.3 |
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12 |
Period end |
803.4 |
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705.6 |
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VaR
VaR used for regulatory purposes differs from VaR used for management purposes with key differences listed below.
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VaR |
Regulatory |
Management |
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Scope |
Regulatory approval (PRA) |
Broader population of trading and non-trading book positions |
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Confidence interval |
99% |
99% |
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Liquidity horizon |
10 day |
1 day |
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Data set |
Past 2 years |
Past 2 years |
The trading books which received approval from the regulator to be covered via an internal model are used to calculate VaR for regulatory purposes. Regulatory VaR levels contribute to the calculation of market risk RWAs.
The regulatory VaR table is based on the regulatory permissions received, plus aggregated sites. This differs from the daily VaR reported in the Annual Report and Accounts which shows a fully diversified view used for internal risk management.
There were no material changes in the VaR used for regulatory purposes and this is in line with expectation.
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HSBC Holdings plc Pillar 3 2017 |
59 |
Pillar 3 Disclosures at 31 December 2017
Stressed VaR
Stressed VaR is primarily used for regulatory capital purposes and is integrated into the risk management process to ensure prudent capital management. Stressed VaR complements other risk measures by providing the potential losses under stressed market conditions.
Stressed VaR modelling follows the same approach as our VaR risk measure except as follows:
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potential market movements employed for stressed VaR calculations are based on a continuous one-year period of stress for the trading portfolio; |
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the choice of period is based on the assessment at the Group level of the most volatile period in recent history and changed during 2017: |
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from (July 2007 to July 2008) to (July 2012 to July 2013) in March 2017; |
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to (April 2010 to April 2011) in June 2017; and |
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to (May 2008 to May 2009) in September 2017; |
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it is calculated to a 99% confidence using a 10-day holding period; and |
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it is based on an actual 10-day holding period, whereas Regulatory VaR is based on a one-day holding period scaled to 10 days. |
The decrease in stressed VaR was from the inclusion of new entities which are now consolidated, and with it increased diversification benefits. This approval was under Article 325 permission from the PRA and included Indonesia, Singapore and the Middle East.
Incremental risk charge
The IRC measures the default and migration risk of issuers of traded instruments.
IRC risk factors include credit migration, default, product basis, concentration, hedge mismatch, recovery rate and liquidity. The PDs are floored to reflect the lack of historical data on defaults and a period of stress is used to calibrate the spread changes for the relevant ratings. The IRC model is validated quarterly by stressing key model parameters and reviewing the response of the model.
The IRC is a stand-alone charge generating no diversification benefit with other charges. We do not use weighted averages for calculating the liquidity horizon for the IRC measure. IRC relies on a range of liquidity horizons from three months, corresponding to the regulatory floor, to one year. A wide range of criteria can indicate the liquidity of a position. The liquidity horizon for the IRC measure depends on a set of factors such as issuer features, including rating, sector, geography and size of positions, including product, maturity and concentration.
The IRC transition matrices are calibrated using transition and default data published by three rating agencies (Standard & Poor's, Moody's and Fitch) as the starting point, in combination with internal rules for flooring. The average of the three matrices is computed for each sector, ignoring zero transition probabilities. The PDs are then floored: sovereign PDs are consistent with IRB, while a 3bp floor is applied to corporates' and banks' PDs.
The IRC correlation matrix is derived from historical CDS spreads data, covering the latest two-year VaR period. The returns estimation window is set equal to either three or 12 months, depending on the liquidity horizon of each obligor. First, each obligor is mapped to six sector/rating categories; then the correlation matrix is obtained by computing the arithmetic mean of correlations for each category.
The increase in the period end IRC measure was driven from the loss of hedging benefit from short positions as their residual maturity fell below their corresponding liquidity horizons for recognition within the IRC measure.
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Prudent valuation adjustment |
HSBC has documented policies and maintains systems and controls for the calculation of Prudent Valuation Adjustment ('PVA'). Prudent value is an estimated conservative pricing with a 90% degree of certainty that would be received to sell an asset or paid to transfer a liability in orderly transactions occurring between market participants at the balance sheet date. HSBC's methodology addresses fair value uncertainties arising from a number of sources; market price uncertainty, bid offer ('close out') uncertainty, model risk, concentration, administrative cost, unearned credit spreads ('CVA') and investing and funding costs ('FFVA').
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Table 44: Prudential valuation adjustments |
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Equity |
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Interest rates |
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FX |
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Credit |
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Commodities |
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Total |
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Of which: in the trading book |
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Of which: in the banking book |
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$m |
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$m |
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$m |
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$m |
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$m |
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$m |
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$m |
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$m |
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Closeout uncertainty |
|
(200 |
) |
(391 |
) |
(32 |
) |
(182 |
) |
(4 |
) |
(809 |
) |
(486 |
) |
(323 |
) |
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- of which: |
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mid-market value |
|
(111 |
) |
(95 |
) |
(7 |
) |
(83 |
) |
(3 |
) |
(299 |
) |
(135 |
) |
(164 |
) |
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closeout cost |
|
(19 |
) |
(79 |
) |
(7 |
) |
(8 |
) |
(1 |
) |
(114 |
) |
(101 |
) |
(13 |
) |
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concentration |
|
(70 |
) |
(217 |
) |
(18 |
) |
(91 |
) |
- |
|
(396 |
) |
(250 |
) |
(146 |
) |
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Early termination |
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- |
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- |
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- |
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(6 |
) |
- |
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(6 |
) |
(6 |
) |
- |
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Model risk |
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(30 |
) |
(73 |
) |
(5 |
) |
(13 |
) |
- |
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(121 |
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(118 |
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(3 |
) |
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Operational risk |
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(13 |
) |
(24 |
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(2 |
) |
(13 |
) |
(1 |
) |
(53 |
) |
(33 |
) |
(20 |
) |
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Investing and funding costs |
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- |
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(72 |
) |
- |
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(1 |
) |
(1 |
) |
(74 |
) |
(74 |
) |
- |
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Unearned credit spreads |
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- |
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(62 |
) |
(4 |
) |
(7 |
) |
(1 |
) |
(74 |
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(74 |
) |
- |
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Future administrative costs |
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- |
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(5 |
) |
- |
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(4 |
) |
- |
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(9 |
) |
(9 |
) |
- |
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Other |
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- |
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- |
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- |
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- |
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- |
|
- |
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- |
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- |
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Total adjustment |
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(243 |
) |
(627 |
) |
(43 |
) |
(226 |
) |
(7 |
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(1,146 |
) |
(800 |
) |
(346 |
) |
PVA has decreased by 16% over 2017. PVA movements were driven by: (i) changes of exposure resulting from either new trades/unwinds including the disposal of some ABS legacy exposures, or risk profiles modification due to market movements; (ii) the reduction of observed price dispersion in line with spreads tightening and lower levels of market volatility; (iii) refinements in PVA methodologies reflecting the evolution of market modelling and pricing practices, notably in terms of CVA uncertainty measurement and prudent exit cost of concentrated positions; (iv) the evolution of market infrastructure, notably in terms of market and trade data availability, enabling better price uncertainty measurements; (v) changes in CVA accounting fair value adjustment methodologies which resulted in related additional valuation adjustments; and (vi) position transfer between fair valued and accrued only books.
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60 |
HSBC Holdings plc Pillar 3 2017 |
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Structural foreign exchange exposures |
Structural foreign exchange exposures represent net investments in subsidiaries, branches and associates whose functional currency is not the US dollar. An entity's functional currency is normally that of the primary economic environment in which it operates.
Exchange differences on structural exposures are recognised in 'Other comprehensive income'. We use the US dollar as our presentation currency in our consolidated financial statements because the US dollar and currencies linked to it form the major currency bloc in which we transact and fund our business.
Our consolidated balance sheet is, therefore, affected by exchange differences between the US dollar and all the non-US dollar functional currencies of underlying subsidiaries.
Our structural foreign exchange exposures are managed with the primary objective of ensuring, where practical, that our consolidated capital ratios and the capital ratios of individual banking subsidiaries are largely protected from the effect of changes in exchange rates. We hedge structural foreign exchange exposures only in limited circumstances.
Details of our structural foreign exchange exposures are provided in the Market risk section, on page 107 of the Annual Report and Accounts 2017.
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Interest rate risk in the banking book |
Interest rate risk in the banking book ('IRRBB') is the potential adverse impact of changes in interest rates on earnings and capital. The component of IRRBB that can be economically neutralised in the market is transferred to BSM to manage, in accordance with internal transfer pricing rules. In its management of IRRBB, the Group aims to balance mitigating the effect of future interest rate movements which could reduce net interest income against the cost of hedging. The monitoring of the projected net interest income and economic value of equity ('EVE') sensitivity under varying interest rate scenarios is a key part of this.
EVE represents the present value of the future banking book cash flows that could be distributed to equity providers under a managed run-off scenario, i.e. the current book value of equity plus the present value of future net interest income in this scenario. An EVE sensitivity is the extent to which the EVE will change due to a pre-specified movements in interest rates, where all other economic variables are held constant.
More details on our IRRBB may be found on page 76 of the Annual Report and Accounts 2017.
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|
Operational risk |
|
|
|
|
|
Overview and objectives |
Operational risk is the risk to achieving our strategy or objectives as a result of inadequate or failed internal processes, people and systems, or from external events.
Operational risk is relevant to every aspect of our business. It covers a wide spectrum of issues, in particular legal, compliance, security and fraud. Losses arising from breaches of regulation and law, unauthorised activities, error, omission, inefficiency, fraud, systems failure or external events all fall within the definition of operational risk.
We have historically experienced operational risk losses in the following major categories:
|
|
|
|
• |
mis-selling of payment protection insurance; |
|
|
|
|
• |
external criminal activities, including fraud; |
|
|
|
|
• |
breakdowns in processes/procedures due to human error, misjudgement or malice; |
|
|
|
|
• |
system failure or non-availability; and |
|
|
|
|
• |
breach of regulatory and/or legislative requirements. |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Table 45: Operational risk RWAs |
|||||||||
|
|
|
2017 |
2016 |
||||||
|
|
|
RWAs |
|
Capital required |
|
RWAs |
|
Capital required |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
By global business |
|
|
|
|
|
||||
|
Retail Banking and Wealth Management |
|
27.2 |
|
2.2 |
|
30.5 |
|
2.4 |
|
|
Commercial Banking |
|
23.7 |
|
1.9 |
|
25.3 |
|
2.0 |
|
|
Global Banking and Markets |
|
30.9 |
|
2.5 |
|
32.0 |
|
2.6 |
|
|
Global Private Banking |
|
2.8 |
|
0.2 |
|
2.9 |
|
0.2 |
|
|
Corporate Centre |
|
8.1 |
|
0.6 |
|
7.3 |
|
0.6 |
|
|
At 31 Dec |
|
92.7 |
|
7.4 |
|
98.0 |
|
7.8 |
|
|
By geographical region |
|
|
|
|
|
||||
|
Europe |
|
29.0 |
|
2.3 |
|
30.9 |
|
2.5 |
|
|
Asia |
|
37.1 |
|
3.0 |
|
36.6 |
|
2.9 |
|
|
Middle East and North Africa |
|
7.0 |
|
0.5 |
|
7.5 |
|
0.6 |
|
|
North America |
|
12.1 |
|
1.0 |
|
12.8 |
|
1.0 |
|
|
Latin America |
|
7.5 |
|
0.6 |
|
10.2 |
|
0.8 |
|
|
At 31 Dec |
|
92.7 |
|
7.4 |
|
98.0 |
|
7.8 |
|
Requirements under CRD IV include a capital requirement for operational risk, utilising three levels of sophistication as stated on page 17. We have historically adopted, and currently use, the standardised approach in determining our operational risk capital requirements. Table 45 sets out our operational risk capital requirements by region and global businesses. We use an operational risk model for economic capital calculation purposes.
During 2017, our operational risk profile continued to be dominated by compliance risks as referred to in the 'Top and emerging risks' section on page 63 of the Annual Report and Accounts 2017and in the 'Regulatory compliance risk management' section on page 77 of the Annual Report and Accounts 2017. Operational risk losses in 2017 are lower than in 2016, reflecting a reduction in losses incurred relating to large legacy conduct-related events. Conduct-related costs included in significant items are outlined on page 61 of the Annual Report and Accounts 2017.
The regulatory environment in which we operate is increasing the cost of doing business and could reduce our future profitability. In 2017 we continued our ongoing work to strengthen those controls that manage our most material risks. We further developed controls to help ensure that we know our customers, ask the right questions, monitor transactions and escalate concerns to detect, prevent and deter financial crime risk.
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
61 |
Pillar 3 Disclosures at 31 December 2017
We recognise that operational risk losses can be incurred for a wide variety of reasons, including rare but extreme events.
The objective of our operational risk management is to manage and control operational risk in a cost-effective manner and within our risk appetite, as defined by GMB.
|
|
|
|
|
Organisation and responsibilities |
Responsibility for managing operational risk lies with HSBC's employees. During 2017 we implemented a new operational risk management framework ('ORMF') and Group-wide risk management system. The new ORMF provides an end-to-end view of the non-financial risks, enhancing focus on the risks that matter the most and associated controls. It provides a platform to drive forward-looking risk awareness and assist management focus. It also helps the organisation understand the level of risk it is willing to accept.
Activity to strengthen our risk culture and better embed the use of the new ORMF, particularly the three lines of defence model, was a key focus in 2017.
The first line of defence owns the risk and is responsible for identifying, recording, reporting, managing the risks and ensuring that the right controls and assessments are in place to mitigate these risks. The second line of defence sets the policy and guidelines for managing the risks and provides advice, guidance and challenge to the first line of defence on effective risk management. The third line of defence is Internal Audit which independently ensures we are managing risk effectively.
More details on our ORMF may be found on page 77 of the Annual Report and Accounts 2017.
The Global Operational Risk Committee, which is a sub-committee of the GRMM, meets monthly to discuss key risk issues and review the effective implementation of the ORMF.
Operational risk is organised as a specific risk discipline within Global Risk. The Group Head of Operational Risk is responsible for establishing and maintaining the ORMF, monitoring the level of operational losses and the effectiveness of the internal control environment supported by their second line of defence functions. The Group Head of Operational Risk is accountable to the Group Chief Risk Officer in respect of this element of the overall enterprise-wide, risk management framework.
|
|
|
|
|
Measurement and monitoring |
We have codified our ORMF in a high level standard, supplemented by detailed policies. These policies explain our approach to identifying, assessing, monitoring and controlling operational risk, and give guidance on mitigating actions to be taken when weaknesses are identified.
Monitoring operational risk exposure against risk appetite on a regular basis, and setting out our risk acceptance process, drives risk awareness in a more forward-looking manner. It assists management in determining whether further action is required.
Risk scenario analysis across material legal entities provides a top down, forward-looking assessment of risks to help determine whether they are being effectively managed within our risk appetite or whether further management action is required.
In each of our subsidiaries, business managers are responsible for maintaining an appropriate level of internal control, commensurate with the scale and nature of operations. They are responsible for identifying and assessing risks, designing controls and monitoring the effectiveness of these controls. The ORMF helps managers to fulfil these responsibilities by defining a standard risk assessment methodology and providing a tool for the systematic reporting of operational loss data.
Operational risk and control assessment approach
Operational risk and control assessments are performed by individual business units and functions. The risk and control assessment process is designed to provide business areas and functions with a forward-looking view of operational risks, an assessment of the effectiveness of controls, and a tracking mechanism for action plans so that they can proactively manage operational risks within acceptable levels.
Appropriate means of mitigation and controls are considered. These include:
|
|
|
|
• |
making specific changes to strengthen the internal control environment; and |
|
|
|
|
• |
investigating whether cost-effective insurance cover is available to mitigate the risk. |
Recording
We use a Group-wide risk management system to record the results of our operational risk management process. Operational risk and control assessments, as described above, are input and maintained by business units. Business management monitor and follow up the progress of documented action plans.
Operational risk loss reporting
To ensure that operational risk losses are consistently reported and monitored at Group level, all Group companies are required to report individual losses when the net loss is expected to exceed $10,000 and to aggregate all other operational risk losses under $10,000. Losses are entered into the group-wide risk management system and are reported to Governance on a monthly basis.
|
|
|
|
|
|
|
62 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|
|
|
Other risks |
|
|
|
|
|
Pension risk |
We operate a number of pension plans throughout the world for our employees. Our plans are either defined benefit or defined contribution plans, which expose the Group to different types of risks. We have a global pension risk management framework and
accompanying global policies on the management of these risks, which is overseen by the Global Pensions Oversight Forum.
Details of our management of pension risk may be found in 'Pension risk management' on page 80 of the Annual Report and Accounts 2017.
|
|
|
|
|
Non-trading book exposures in equities |
At 31 December 2017, we had equity investments in the non-trading book of $4.2bn (2016: $4.9bn). These consist of investments held for the purposes shown in table 46.
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 46: Non-trading book equity investments |
||||||||||
|
|
|
2017 |
2016 |
|||||||
|
|
|
Available for sale |
|
Designated at fair value |
|
Total |
|
Available for sale |
Designated at fair value |
Total |
|
|
Footnote |
$bn |
|
$bn |
|
$bn |
|
$bn |
$bn |
$bn |
|
Strategic investments |
|
1.3 |
|
- |
|
1.3 |
|
2.0 |
- |
2.0 |
|
Private equity investments |
|
1.0 |
|
0.3 |
|
1.3 |
|
1.2 |
0.2 |
1.4 |
|
Business facilitation |
1 |
1.6 |
|
- |
|
1.6 |
|
1.5 |
- |
1.5 |
|
At 31 Dec |
|
3.9 |
|
0.3 |
|
4.2 |
|
4.7 |
0.2 |
4.9 |
|
|
|
|
1 |
Includes holdings in government-sponsored enterprises and local stock exchanges. |
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 $0.7bn (2016: $0.9bn), with the remainder being unlisted. These investments are held at fair value in line with market prices and are mainly strategic in nature. The decrease in strategic investment equities was largely due to disposals of a number of investments.
On a regulatory consolidation basis, the net gain from disposal of equity securities amounted to $0.8bn (2016: $1.1bn), while impairment of AFS equities amounted to $0.1bn (2016: $0.0bn). Unrealised gains on equities of $0.9bn at 31 December 2017 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 192 of the Annual Report and Accounts 2017. A detailed description of the valuation techniques applied to private equity may be found on page 210 of the Annual Report and Accounts 2017.
|
|
|
|
|
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 small- and medium-sized enterprises ('SMEs') 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 a life insurance manufacturing associate in 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 to which the businesses are exposed. The methodology for the economic capital calculation is largely aligned to the pan-European Solvency II insurance capital regulations.
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 78 of the Annual Report and Accounts 2017.
|
|
|
|
|
Liquidity and funding risk |
Strategies and processes in the management of liquidity risk
HSBC has an internal liquidity and funding risk management framework ('LFRF') which aims to allow it to withstand very severe liquidity stresses. It is designed to be adaptable to changing business models, markets and regulations. The management of liquidity and funding is primarily undertaken locally (by country) in our operating entities in compliance with the Group's LFRF, and with practices and limits set by the GMB through the RMM and approved by the Board. Our general policy is that each defined operating entity should be self-sufficient in funding its own activities.
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
63 |
Pillar 3 Disclosures at 31 December 2017
Structure and organisation of the liquidity risk management function
The Group Treasurer, who reports to the Group Finance Director, has responsibility for the oversight of the LFRF. Asset, Liability and Capital Management ('ALCM') teams are responsible for the application of the LFRF at a local operating entity level.
The elements of the LFRF are underpinned by a robust governance framework, the two major elements of which are:
|
|
|
|
• |
Group, regional and entity level asset and liability management committees ('ALCOs') |
|
|
|
|
• |
Annual internal liquidity adequacy assessment process ('ILAAP') used to validate risk tolerance and set risk appetite |
Liquidity and funding are predominantly managed at a country level. Where appropriate, management may be expanded to cover a consolidated group of legal entities or narrowed to a principal office (branch) of a wider legal entity to reflect the management under internal or regulatory definitions.
The RMM reviews and agrees annually the list of countries, legal entities or consolidated groups it directly oversees and the composition of these entities ('principal operating entities'). This list forms the basis of liquidity and funding risk disclosures.
Group Treasury/Asset, Liability and Capital Management
The Group Treasury team is responsible for setting the Group's policy, proposing risk tolerance and providing review and challenge of the operating entities implementation. Regional and local ALCM teams are responsible for the implementation of group wide and local regulatory policy at a legal entity level.
Balance Sheet Management
Along with the Group's Global Business Lines, the Balance Sheet Management ('BSM') teams form the first line of defence in the management of liquidity risk, ensuring continuous compliance with the firm's risk appetite operating within their risk mandates.
Scope and nature of liquidity risk reporting and measurement
Where possible, the Group maintains standardised platforms utilising common data feeds in order to ensure consistency of standard internal and regulatory reporting and flexibility to deliver ad hoc requests.
Hedging and mitigating liquidity risk at HSBC
Management of liquidity and funding risk
Liquidity coverage ratio
The Liquidity Coverage Ratio ('LCR') aims to ensure that a bank has sufficient unencumbered high-quality liquid assets ('HQLA') to meet its liquidity needs in a 30 calendar day liquidity stress scenario. For the calculation of the LCR, HSBC follows the guidelines set by the European Commission.
The HSBC application of the LCR metric involves the following two key assumptions about the definition of operational deposits and the ability to transfer liquidity from non-EU legal entities:
|
|
|
|
• |
we define operational deposits as transactional (current) accounts arising from the provision of custody services by HSBC Security Services or Global Liquidity and Cash Management, where the operational component is assessed to be the lower of the current balance and the separate notional values of debits and credits across the account in the previous calculation period; and |
|
|
|
|
• |
we assume no transferability of liquidity from non-EU entities other than to the extent currently permitted. |
Net stable funding ratio
HSBC uses the NSFR as a basis for establishing stable funding around the Group. The NSFR requires institutions to maintain sufficient stable funding and reflects a bank's long-term funding profile (funding with a term of more than one year).
Liquid assets of HSBC's principal operating entities
Liquid assets are held and managed on a stand-alone operating entity basis. Most are held directly by each operating entity's BSM department, primarily for the purpose of managing liquidity risk in line with the LFRF.
The liquid asset buffer may also include securities in held-to maturity portfolios. To qualify as part of the liquid asset buffer, held-to-maturity portfolios must have a deep and liquid repo market in the underlying security. Liquid assets also include any unencumbered liquid assets held outside BSM departments for any other purpose. The LFRF gives ultimate control of all unencumbered assets and sources of liquidity to BSM.
Overall adequacy of liquidity risk management at HSBC
All operating entities are required to manage liquidity risk and funding risks on a standalone basis in accordance with the LFRF, which includes the preparation of an Internal Liquidity Adequacy Assessment (ILAA) document, in order to ensure that:
|
|
|
|
• |
liquidity resources are adequate, both as to the amount and quality; |
|
|
|
|
• |
there is no significant risk that liabilities cannot be met as they fall due; |
|
|
|
|
• |
a prudent structural funding profile is maintained; |
|
|
|
|
• |
adequate liquidity resources continue to be maintained; and |
|
|
|
|
• |
the operating entity's liquidity risk framework is adequate and robust. |
The key objectives of the ILAA process are to:
|
|
|
|
1. |
demonstrate that all material liquidity and funding risks are captured within the internal framework; |
|
|
|
|
2. |
validate the operating entity's risk tolerance/appetite by demonstrating that reverse stress testing scenarios are acceptably remote and vulnerabilities have been assessed through the use of severe stress scenarios; and |
|
|
|
|
3. |
provide review and challenge of the operating entity's ILAAP. |
The final conclusion of the Group ILAAP, approved by the Board of Directors, is that each operating entity:
|
|
|
|
• |
maintains liquidity resources which are adequate in both amount and quality at all times, and ensures that there is no significant risk that its liabilities cannot be met as they fall due; and |
|
|
|
|
• |
ensures its liquidity resources contain an adequate amount of HQLA and maintains a prudent funding profile. |
|
|
|
|
|
|
|
64 |
HSBC Holdings plc Pillar 3 2017 |
HSBC's business strategy and overall liquidity risk profile
The key aspects of the internal Liquidity and Funding Risk Framework which is used to ensure that HSBC maintains an appropriate overall liquidity risk profile are:
|
|
|
|
• |
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 financial institutions and securities issued; |
|
|
|
|
• |
annual individual liquidity adequacy assessment by principal operating entity; |
|
|
|
|
• |
minimum LCR requirement by currency; |
|
|
|
|
• |
intra-day liquidity; |
|
|
|
|
• |
liquidity funds transfer pricing; and |
|
|
|
|
• |
forward-looking funding assessments. |
The internal LFRF and the risk tolerance limits were approved by the RMM and the Board on the basis of recommendations made by the Group Risk Committee.
Concentration of funding and liquidity sources
Depositor concentration and term funding maturity concentration
The LCR and NSFR metrics assume a stressed outflow based on a portfolio of depositors within retail, corporate and financial deposit segments. The validity of these assumptions is challenged if the portfolio of depositors is not large enough to avoid depositor concentration.
Operating entities are exposed to term re-financing concentration risk if the current maturity profile results in future maturities being overly concentrated in any defined period.
At 31 December 2017, all principal operating entities were within the risk tolerance levels set for depositor concentration and term funding maturity concentration. These risk tolerances were established by the Board and are applicable under the LFRF.
Currency mismatch in the LCR
In times of stress it cannot automatically be assumed that one currency can always be converted for another, even if those currencies are 'hard' currencies. LCR must therefore be assessed by currency, if the currency is material.
In some currencies, convertibility is restricted by regulators and central banks and this restriction results in local currency not being convertible offshore or even onshore.
In the vast majority of cases, the only way to convert currencies for funding purposes is via deliverable foreign exchange (FX) swaps and, to a lesser extent, cross-currency repo. Access to FX Swaps markets can be impacted by both market wide stress and idiosyncratic stress. Idiosyncratic stress arises from the fact that settlement of the two currency legs occurs at different times during the day, exposing the counterparty who has to settle (pay) first to intra-day credit risk on the entire principal amount, until the other counterparty pays the other currency; this is often referred to as 'Herstatt Risk'.
The Group's internal liquidity and funding risk management framework requires all operating entities to monitor single currency LCR. Limits are set in consultation with Group Treasury and approved by Group Treasury before being approved by local ALCO.
Liquidity management across HSBC
The structure of the Group means that liquidity and funding risk cannot practically be managed on a consolidated group basis and can only be managed by entity on a standalone basis. The Group's liquidity and funding risk framework requires all operating entities to manage liquidity and funding risk on a standalone basis in accordance with the Group's liquidity and funding risk management framework and the liquidity and funding risk tolerances set out in the Group RAS.
The Group's internal liquidity and funding risk management framework does not therefore seek to manage liquidity and funding risk on a consolidated basis, other than to ensure that the position of the consolidated group meets the minimum regulatory requirements.
Liquid assets of HSBC's principal operating entities
The unweighted liquidity value of assets categorised as liquid for HSBC's principal operating entities is shown on page 103 of the Annual Report and Accounts 2017. This information is used for the purposes of calculating the LCR metric for the Group for which the weighted value of assets is shown in the table on the following page. This reflects the stock of unencumbered liquid assets at the reporting date, using the regulatory definition of liquid assets. The amount recognised by entity at the Group level is different from the amount recognised at a solo entity level, reflecting where liquidity cannot be freely transferred across HSBC.
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
65 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 47: Level and components of HSBC Group Consolidated Liquidity Coverage Ratio |
||||||||||||||||
|
|
Quarter ended |
Quarter ended |
Quarter ended |
Quarter ended |
||||||||||||
|
|
Total unweighted value |
|
Total weighted value |
|
Total unweighted value |
|
Total weighted value |
|
Total unweighted value |
|
Total weighted value |
|
Total unweighted value |
|
Total weighted value |
|
|
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
|
Number of data points used in the calculation of averages
|
3 |
|
3 |
|
3 |
|
3 |
|
||||||||
|
High quality liquid assets |
|
|
|
|
|
|
|
|
||||||||
|
Total high quality liquid assets ('HQLA') |
|
|
517,539 |
|
|
|
491,993 |
|
|
|
461,074 |
|
|
|
440,755 |
|
|
Cash outflows |
|
|
|
|
|
|
|
|
||||||||
|
Retail deposits and small business funding |
735,610 |
|
76,538 |
|
728,622 |
|
78,081 |
|
707,290 |
|
76,109 |
|
690,079 |
|
75,019 |
|
|
- of which: |
|
|
|
|
|
|
|
|
||||||||
|
stable deposits |
282,723 |
|
13,976 |
|
234,705 |
|
11,566 |
|
231,742 |
|
11,433 |
|
221,561 |
|
10,924 |
|
|
less stable deposits |
452,723 |
|
13,976 |
|
493,789 |
|
66,471 |
|
475,426 |
|
64,628 |
|
468,421 |
|
64,059 |
|
|
Unsecured wholesale funding |
604,978 |
|
284,915 |
|
575,907 |
|
279,390 |
|
536,702 |
|
259,791 |
|
529,712 |
|
257,435 |
|
|
- operational deposits (all counterparties) and deposits in networks of cooperative banks |
185,044 |
|
44,247 |
|
171,692 |
|
41,716 |
|
154,851 |
|
37,621 |
|
150,995 |
|
36,679 |
|
|
- non-operational deposits (all counterparties) |
406,011 |
|
226,745 |
|
391,621 |
|
225,080 |
|
370,645 |
|
210,964 |
|
366,668 |
|
208,707 |
|
|
- unsecured debt |
13,923 |
|
13,923 |
|
12,594 |
|
12,594 |
|
11,206 |
|
11,206 |
|
12,049 |
|
12,049 |
|
|
Secured wholesale funding |
|
|
14,241 |
|
|
|
10,459 |
|
|
|
10,355 |
|
|
|
9,122 |
|
|
Additional requirements |
298,207 |
|
89,605 |
|
296,919 |
|
91,164 |
|
285,983 |
|
85,095 |
|
274,957 |
|
76,835 |
|
|
- outflows related to derivative exposures and other collateral requirements |
43,816 |
|
42,518 |
|
43,647 |
|
42,842 |
|
39,769 |
|
39,369 |
|
31,952 |
|
31,719 |
|
|
- outflows related to loss of funding on debt products |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- credit and liquidity facilities |
254,391 |
|
47,087 |
|
253,272 |
|
48,322 |
|
246,214 |
|
45,726 |
|
243,005 |
|
45,116 |
|
|
Other contractual funding obligations |
92,239 |
|
40,551 |
|
79,111 |
|
41,054 |
|
66,281 |
|
30,465 |
|
71,119 |
|
36,993 |
|
|
Other contingent funding obligations |
358,034 |
|
12,850 |
|
348,084 |
|
12,921 |
|
316,534 |
|
10,898 |
|
274,248 |
|
9,729 |
|
|
Total cash outflows |
|
|
518,700 |
|
|
|
513,069 |
|
|
|
472,713 |
|
|
|
465,133 |
|
|
Cash inflows |
|
|
|
|
|
|
|
|
||||||||
|
Secured lending transactions (including reverse repos) |
253,643 |
|
42,238 |
|
234,393 |
|
31,476 |
|
240,805 |
|
30,045 |
|
221,491 |
|
25,522 |
|
|
Inflows from fully performing exposures |
111,306 |
|
81,653 |
|
104,485 |
|
78,836 |
|
98,880 |
|
74,419 |
|
96,923 |
|
73,592 |
|
|
Other cash inflows |
77,731 |
|
46,905 |
|
83,233 |
|
51,245 |
|
72,131 |
|
42,282 |
|
70,609 |
|
45,226 |
|
|
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
(Excess inflows from a related specialised credit institution) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
|
Total cash inflows |
442,680 |
|
170,796 |
|
422,111 |
|
161,557 |
|
411,816 |
|
146,746 |
|
389,023 |
|
144,340 |
|
|
Fully exempt inflows |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
Inflows Subject to 90% Cap |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
Inflows Subject to 75% Cap |
412,897 |
|
170,796 |
|
416,462 |
|
161,557 |
|
406,669 |
|
146,746 |
|
384,822 |
|
144,340 |
|
|
Liquidity coverage ratio (Adjusted value) |
|
|
|
|
|
|
|
|
||||||||
|
Liquidity Buffer |
|
|
517,539 |
|
|
|
491,993 |
|
|
|
461,074 |
|
|
|
440,755 |
|
|
Total net cash outflows |
|
|
347,904 |
|
|
|
351,512 |
|
|
|
325,967 |
|
|
|
320,793 |
|
|
Liquidity coverage ratio (%) |
|
|
148.8% |
|
|
|
140.0% |
|
|
|
141.5% |
|
|
|
137.4% |
|
Analysis of on-balance sheet encumbered and unencumbered assets and off-balance sheet collateral
On-balance sheet encumbered and unencumbered assets
The following table, summarises the total on-balance sheet assets capable of supporting future funding and collateral needs, and shows the extent to which they are currently pledged for this purpose. This disclosure aims to facilitate an understanding of available and unrestricted assets that could be used to support potential future funding and collateral needs.
Under 'Off-balance sheet collateral' below we discuss the off-balance sheet collateral received and re-pledged, and the level of available unencumbered off-balance sheet collateral.
Off-balance sheet collateral
The fair value of assets accepted as collateral that we are permitted to sell or repledge in the absence of default was $409bn at 31 December 2017 (2016: $269bn). The fair value of any such collateral actually sold or repledged was $242bn (2016: $157bn). We are obliged to return equivalent securities. These transactions are conducted under terms that are usual and customary to standard reverse repo, stock borrowing and derivative transactions.
The fair value of collateral received and re-pledged in relation to reverse repos, stock borrowing and derivatives is reported on a gross basis. The related balance sheet receivables and payables are reported on a net basis where required under IFRS offset criteria. As a consequence of reverse repo, stock borrowing and derivative transactions where the collateral received could be sold or re-pledged but had not been, we held $166bn (2016: $112bn) of unencumbered collateral available to support potential future funding and collateral needs at 31 December 2017.
Under the terms of our current collateral obligations under derivative contracts (which are ISDA compliant CSA contracts and contracts entered into for pension obligations), and based on an estimate of the positions at 31 December 2017, we calculate that we could be required to post additional collateral of up to $0.3bn (2016: $0.3bn) in the event of a one-notch downgrade in third-party agencies' credit rating of HSBC's debt. This would increase to $0.5bn (2016: $0.8bn) in the event of a two-notch downgrade.
For further details on liquidity and funding risk management, see page 73 onwards of the Annual Report and Accounts 2017.
|
|
|
|
|
|
|
66 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 48: Analysis of on-balance sheet encumbered and unencumbered assets |
||||||||||||||||||
|
|
Assets encumbered as a result |
Assets |
|
Unencumbered assets not |
Total |
|
||||||||||||
|
|
As a |
|
As a |
|
Other |
|
Assets readily |
|
Other assets |
|
Reverse |
|
Assets that |
|
||||
|
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
|
Cash and balances at central banks |
- |
|
- |
|
7 |
|
128 |
|
172,567 |
|
206 |
|
- |
|
7,716 |
|
180,624 |
|
|
Items in the course of collection from other banks |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
6,628 |
|
6,628 |
|
|
Hong Kong Government certificates of indebtedness |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
34,186 |
|
34,186 |
|
|
Trading assets |
- |
|
- |
|
93,867 |
|
4,630 |
|
143,811 |
|
10,234 |
|
17,120 |
|
18,333 |
|
287,995 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
2,017 |
|
4,210 |
|
11,233 |
|
71 |
|
- |
|
2 |
|
17,533 |
|
|
- debt securities |
- |
|
- |
|
36,367 |
|
420 |
|
69,934 |
|
657 |
|
- |
|
108 |
|
107,486 |
|
|
- equity securities |
- |
|
- |
|
33,209 |
|
- |
|
62,644 |
|
3,407 |
|
- |
|
- |
|
99,260 |
|
|
- loans and advances to banks |
- |
|
- |
|
8,215 |
|
- |
|
- |
|
2,430 |
|
7,611 |
|
7,799 |
|
26,055 |
|
|
- loans and advances to customers |
- |
|
- |
|
14,059 |
|
- |
|
- |
|
3,669 |
|
9,509 |
|
10,424 |
|
37,661 |
|
|
Financial assets designated at fair value |
- |
|
- |
|
- |
|
- |
|
1,331 |
|
64 |
|
- |
|
28,069 |
|
29,464 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
- |
|
- |
|
540 |
|
- |
|
- |
|
65 |
|
605 |
|
|
- debt securities |
- |
|
- |
|
- |
|
- |
|
447 |
|
- |
|
- |
|
3,644 |
|
4,091 |
|
|
- equity securities |
- |
|
- |
|
- |
|
- |
|
344 |
|
64 |
|
- |
|
24,352 |
|
24,760 |
|
|
- loans and advances to banks and customers |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
8 |
|
8 |
|
|
Derivatives |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
219,818 |
|
- |
|
219,818 |
|
|
Loans and advances to banks |
- |
|
- |
|
3,599 |
|
5,699 |
|
1,906 |
|
56,542 |
|
1,160 |
|
21,487 |
|
90,393 |
|
|
Loans and advances to customers |
4,990 |
|
8,296 |
|
7,851 |
|
69,768 |
|
11,923 |
|
834,177 |
|
3,719 |
|
22,240 |
|
962,964 |
|
|
Reverse repurchase agreements - non-trading |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
201,553 |
|
- |
|
201,553 |
|
|
Financial investments |
- |
|
44 |
|
26,772 |
|
22,285 |
|
264,587 |
|
8,815 |
|
- |
|
66,573 |
|
389,076 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
315 |
|
3,848 |
|
73,098 |
|
1,297 |
|
- |
|
292 |
|
78,850 |
|
|
- debt securities |
- |
|
44 |
|
26,457 |
|
18,437 |
|
190,119 |
|
5,951 |
|
- |
|
65,300 |
|
306,308 |
|
|
- equity securities |
- |
|
- |
|
- |
|
- |
|
1,370 |
|
1,567 |
|
- |
|
981 |
|
3,918 |
|
|
Prepayments, accrued income and other assets |
- |
|
- |
|
2,876 |
|
- |
|
5,527 |
|
25,647 |
|
- |
|
33,141 |
|
67,191 |
|
|
Current tax assets |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
1,006 |
|
1,006 |
|
|
Interest in associates and joint ventures |
- |
|
- |
|
310 |
|
- |
|
55 |
|
22,101 |
|
- |
|
278 |
|
22,744 |
|
|
Goodwill and intangible assets |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
23,453 |
|
23,453 |
|
|
Deferred tax |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
4,676 |
|
4,676 |
|
|
At 31 Dec 2017 |
4,990 |
|
8,340 |
|
135,282 |
|
102,510 |
|
601,707 |
|
957,786 |
|
443,370 |
|
267,786 |
|
2,521,771 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
67 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 48: Analysis of on-balance sheet encumbered and unencumbered assets (continued) |
|
|||||||||||||||||
|
|
Assets encumbered as a result of transactions with counterparties other than central banks |
Assets positioned (i.e. pre- positioned plus encumbered) |
|
Unencumbered assets not |
Total |
|
||||||||||||
|
|
As a covered bonds |
|
As a securitisations |
|
Other |
|
Assets readily available for encumbrance |
|
Other assets capable encumbered |
|
Reverse |
|
Assets that cannot be encumbered |
|
||||
|
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
$m |
|
|
Cash and balances at central banks |
- |
|
- |
|
10 |
|
82 |
|
123,363 |
|
326 |
|
- |
|
4,228 |
|
128,009 |
|
|
Items in the course of collection from other banks |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
5,003 |
|
5,003 |
|
|
Hong Kong Government certificates of indebtedness |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
31,228 |
|
31,228 |
|
|
Trading assets |
- |
|
- |
|
62,962 |
|
2,504 |
|
131,420 |
|
7,419 |
|
10,207 |
|
20,613 |
|
235,125 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
981 |
|
2,150 |
|
11,309 |
|
11 |
|
- |
|
- |
|
14,451 |
|
|
- debt securities |
- |
|
- |
|
34,144 |
|
354 |
|
59,231 |
|
318 |
|
- |
|
7 |
|
94,054 |
|
|
- equity securities |
- |
|
- |
|
2,645 |
|
- |
|
59,394 |
|
1,565 |
|
- |
|
- |
|
63,604 |
|
|
- loans and advances to banks |
- |
|
- |
|
10,532 |
|
- |
|
1,331 |
|
1,910 |
|
5,386 |
|
5,610 |
|
24,769 |
|
|
- loans and advances to customers |
- |
|
- |
|
14,660 |
|
0 |
|
155 |
|
3,615 |
|
4,821 |
|
14,996 |
|
38,247 |
|
|
Financial assets designated at fair value |
- |
|
- |
|
- |
|
- |
|
835 |
|
20 |
|
- |
|
23,901 |
|
24,756 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
- |
|
- |
|
150 |
|
- |
|
- |
|
54 |
|
204 |
|
|
- debt securities |
- |
|
- |
|
- |
|
- |
|
442 |
|
0 |
|
- |
|
3,747 |
|
4,189 |
|
|
- equity securities |
- |
|
- |
|
- |
|
- |
|
243 |
|
20 |
|
- |
|
20,021 |
|
20,284 |
|
|
- loans and advances to banks and customers |
- |
|
- |
|
- |
|
- |
|
0 |
|
- |
|
- |
|
79 |
|
79 |
|
|
Derivatives |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
290,872 |
|
- |
|
290,872 |
|
|
Loans and advances to banks |
- |
|
1 |
|
3,903 |
|
6,719 |
|
2,051 |
|
50,824 |
|
2,045 |
|
22,583 |
|
88,126 |
|
|
Loans and advances to customers |
6,258 |
|
8,365 |
|
10,425 |
|
67,208 |
|
15,941 |
|
732,242 |
|
4,027 |
|
17,038 |
|
861,504 |
|
|
Reverse repurchase agreements - non-trading |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
160,974 |
|
- |
|
160,974 |
|
|
Financial investments |
- |
|
- |
|
16,537 |
|
17,983 |
|
331,154 |
|
10,765 |
|
- |
|
60,358 |
|
436,797 |
|
|
- treasury and other eligible bills |
- |
|
- |
|
537 |
|
3,766 |
|
93,566 |
|
1,143 |
|
- |
|
214 |
|
99,226 |
|
|
- debt securities |
- |
|
- |
|
16,000 |
|
14,217 |
|
236,003 |
|
7,904 |
|
- |
|
58,780 |
|
332,904 |
|
|
- equity securities |
- |
|
- |
|
0 |
|
- |
|
1,585 |
|
1,718 |
|
- |
|
1,364 |
|
4,667 |
|
|
Prepayments, accrued income and other assets |
- |
|
- |
|
2,358 |
|
- |
|
8,368 |
|
27,099 |
|
- |
|
26,084 |
|
63,909 |
|
|
Current tax assets |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
1,145 |
|
1,145 |
|
|
Interest in associates and joint ventures |
- |
|
- |
|
345 |
|
- |
|
62 |
|
19,329 |
|
- |
|
293 |
|
20,029 |
|
|
Goodwill and intangible assets |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
21,346 |
|
21,346 |
|
|
Deferred tax |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
6,163 |
|
6,163 |
|
|
At 31 Dec 2016 |
6,258 |
|
8,366 |
|
96,540 |
|
94,496 |
|
613,194 |
|
848,024 |
|
468,125 |
|
239,983 |
|
2,374,986 |
|
|
|
|
|
|
|
|
68 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|
|
|
Reputational risk |
Reputational risk is the risk of failing to meet stakeholder expectations as a result of any event, behaviour, action or inaction, either by HSBC, our employees or those with whom we are associated. This might cause stakeholders to form a negative view of the Group and result in financial or non-financial effects or loss of confidence in the Group. 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 material lapse in standards of integrity, compliance, customer service or operating efficiency may represent a potential reputational risk.
For further details of our reputational risk management, see page 79 of the Annual Report and Accounts 2017.
|
|
|
|
|
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. |
For further details on sustainability risk management, see page 80 of the Annual Report and Accounts 2017.
|
|
|
|
|
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.
|
|
|
|
|
Remuneration |
The Group's remuneration policy, including the remuneration committee membership and activities, remuneration strategy, and tables showing remuneration details of HSBC's Identified Staff and Material Risk Takers, is set out in the Directors' Remuneration Report on page 142 of the Annual Report and Accounts 2017. An overview of our Group remuneration policy is available on our website (http://www.hsbc.com/our-approach/remuneration).
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
69 |
Pillar 3 Disclosures at 31 December 2017
|
|
|
|
|
Appendix I |
|
|
|
|
|
Additional tables |
Table 49 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.
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Table 49.a: Wholesale IRB exposure - by obligor grade - Central governments and central banks |
|||||||||
|
|
CRR |
|
PD range |
|
Average net carrying values1 |
|
Undrawn commitments |
|
Mapped external rating |
|
|
|
% |
|
$bn |
|
$bn |
|
|
|
|
Default risk |
|
|
|
|
|
||||
|
Minimal |
0.1 |
|
0.000 to 0.010 |
|
195.2 |
|
0.7 |
|
AAA |
|
1.1 |
|
0.011 to 0.028 |
|
70.6 |
|
0.8 |
|
AA+ to AA |
|
|
1.2 |
|
0.029 to 0.053 |
|
23.3 |
|
0.5 |
|
AA- to A+ |
|
|
Low |
2.1 |
|
0.054 to 0.095 |
|
9.3 |
|
0.1 |
|
A |
|
2.2 |
|
0.096 to 0.169 |
|
10.1 |
|
- |
|
A- |
|
|
Satisfactory |
3.1 |
|
0.170 to 0.285 |
|
2.4 |
|
- |
|
BBB+ |
|
3.2 |
|
0.286 to 0.483 |
|
2.3 |
|
- |
|
BBB |
|
|
3.3 |
|
0.484 to 0.740 |
|
1.4 |
|
- |
|
BBB- |
|
|
Fair |
4.1 |
|
0.741 to 1.022 |
|
1.0 |
|
- |
|
BB+ |
|
4.2 |
|
1.023 to 1.407 |
|
1.0 |
|
- |
|
BB |
|
|
4.3 |
|
1.408 to 1.927 |
|
1.5 |
|
- |
|
BB- |
|
|
Moderate |
5.1 |
|
1.928 to 2.620 |
|
0.7 |
|
- |
|
BB- |
|
5.2 |
|
2.621 to 3.579 |
|
1.8 |
|
- |
|
B+ |
|
|
5.3 |
|
3.580 to 4.914 |
|
0.2 |
|
0.1 |
|
B |
|
|
Significant |
6.1 |
|
4.915 to 6.718 |
|
0.1 |
|
0.1 |
|
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 |
|
- |
|
- |
|
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 2017 |
|
|
320.9 |
|
2.3 |
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For footnote, see page 71.
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70 |
HSBC Holdings plc Pillar 3 2017 |
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Table 49.b: Wholesale IRB exposure - by obligor grade - Institutions |
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|
CRR |
|
PD range |
|
Average net carrying values1 |
|
Undrawn commitments |
|
Mapped external rating |
|
|
|
% |
|
$bn |
|
$bn |
|
|
|
|
Default risk |
|
|
|
|
|
||||
|
Minimal |
0.1 |
|
0.000 to 0.010 |
|
2.4 |
|
- |
|
AAA |
|
1.1 |
|
0.011 to 0.028 |
|
20.7 |
|
1.6 |
|
AA+ to AA |
|
|
1.2 |
|
0.029 to 0.053 |
|
29.3 |
|
2.5 |
|
AA- |
|
|
Low |
2.1 |
|
0.054 to 0.095 |
|
17.2 |
|
2.6 |
|
A+ to A |
|
2.2 |
|
0.096 to 0.169 |
|
10.8 |
|
3.9 |
|
A- |
|
|
Satisfactory |
3.1 |
|
0.170 to 0.285 |
|
4.2 |
|
1.0 |
|
BBB+ |
|
3.2 |
|
0.286 to 0.483 |
|
3.5 |
|
0.5 |
|
BBB |
|
|
3.3 |
|
0.484 to 0.740 |
|
1.7 |
|
0.7 |
|
BBB- |
|
|
Fair |
4.1 |
|
0.741 to 1.022 |
|
1.3 |
|
0.4 |
|
BB+ |
|
4.2 |
|
1.023 to 1.407 |
|
0.5 |
|
0.2 |
|
BB |
|
|
4.3 |
|
1.408 to 1.927 |
|
0.2 |
|
0.1 |
|
BB- |
|
|
Moderate |
5.1 |
|
1.928 to 2.620 |
|
0.2 |
|
- |
|
BB- |
|
5.2 |
|
2.621 to 3.579 |
|
0.1 |
|
- |
|
B+ |
|
|
5.3 |
|
3.580 to 4.914 |
|
- |
|
- |
|
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 |
|
0.1 |
|
0.1 |
|
CCC+ |
|
|
Special Management |
8.1 |
|
15.001 to 22.000 |
|
- |
|
- |
|
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 2017 |
|
|
92.3 |
|
13.6 |
|
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For footnote, see page 71.
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Table 49.c: Wholesale IRB exposure - by obligor grade - Corporates² |
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|
CRR |
|
PD range |
|
Average net carrying values1 |
|
Undrawn commitments |
|
Mapped external rating |
|
|
|
% |
|
$bn |
|
$bn |
|
|
|
|
Default risk |
|
|
|
|
|
||||
|
Minimal |
0.1 |
|
0.000 to 0.010 |
|
- |
|
- |
|
|
|
1.1 |
|
0.011 to 0.028 |
|
27.7 |
|
10.4 |
|
AAA to AA |
|
|
1.2 |
|
0.029 to 0.053 |
|
61.3 |
|
39.3 |
|
AA- |
|
|
Low |
2.1 |
|
0.054 to 0.095 |
|
82.2 |
|
53.1 |
|
A+ to A |
|
2.2 |
|
0.096 to 0.169 |
|
101.5 |
|
65.6 |
|
A- |
|
|
Satisfactory |
3.1 |
|
0.170 to 0.285 |
|
112.8 |
|
70.9 |
|
BBB+ |
|
3.2 |
|
0.286 to 0.483 |
|
105.8 |
|
57.6 |
|
BBB |
|
|
3.3 |
|
0.484 to 0.740 |
|
91.1 |
|
46.5 |
|
BBB- |
|
|
Fair |
4.1 |
|
0.741 to 1.022 |
|
75.0 |
|
34.4 |
|
BB+ |
|
4.2 |
|
1.023 to 1.407 |
|
49.0 |
|
23.6 |
|
BB |
|
|
4.3 |
|
1.408 to 1.927 |
|
48.0 |
|
22.2 |
|
BB- |
|
|
Moderate |
5.1 |
|
1.928 to 2.620 |
|
71.5 |
|
28.9 |
|
BB- |
|
5.2 |
|
2.621 to 3.579 |
|
23.6 |
|
10.2 |
|
B+ |
|
|
5.3 |
|
3.580 to 4.914 |
|
19.0 |
|
8.8 |
|
B |
|
|
Significant |
6.1 |
|
4.915 to 6.718 |
|
14.2 |
|
6.6 |
|
B- |
|
6.2 |
|
6.719 to 8.860 |
|
7.6 |
|
2.8 |
|
B- |
|
|
High |
7.1 |
|
8.861 to 11.402 |
|
3.2 |
|
1.0 |
|
CCC+ |
|
7.2 |
|
11.403 to 15.000 |
|
1.8 |
|
0.5 |
|
CCC+ |
|
|
Special Management |
8.1 |
|
15.001 to 22.000 |
|
3.4 |
|
1.8 |
|
CCC |
|
8.2 |
|
22.001 to 50.000 |
|
1.3 |
|
0.5 |
|
CCC- to CC |
|
|
8.3 |
|
50.001 to 99.999 |
|
0.3 |
|
0.1 |
|
C |
|
|
Default |
9/10 |
|
100.000 |
|
4.7 |
|
1.4 |
|
Default |
|
At 31 Dec 2017 |
|
|
905.0 |
|
486.2 |
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1 |
Average net carrying value are calculated by aggregating the net carrying values of the last five quarters and dividing by five. |
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2 |
Corporates excludes specialised lending exposures subject to supervisory slotting approach. |
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HSBC Holdings plc Pillar 3 2017 |
71 |
Pillar 3 Disclosures at 31 December 2017
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.
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Table 50.a: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach all asset classes¹² |
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|
|
Exposure- weighted average PD |
|
Exposure- weighted average LGD |
|
RWAs |
|
Exposure value |
|
|
At 31 Dec 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
2.15 |
|
36.0 |
|
91.8 |
|
181.0 |
|
|
- France |
1.88 |
|
30.2 |
|
15.2 |
|
34.7 |
|
|
- Germany |
0.16 |
|
41.6 |
|
0.3 |
|
1.5 |
|
|
- Switzerland |
0.02 |
|
43.6 |
|
0.5 |
|
8.1 |
|
|
Asia |
|
|
|
|
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|
- Hong Kong |
0.67 |
|
40.3 |
|
86.0 |
|
291.8 |
|
|
- Australia |
0.67 |
|
43.6 |
|
9.1 |
|
24.9 |
|
|
- India |
0.75 |
|
54.3 |
|
8.4 |
|
18.3 |
|
|
- Indonesia |
4.40 |
|
58.5 |
|
5.5 |
|
6.4 |
|
|
- Mainland China |
0.70 |
|
48.8 |
|
28.5 |
|
76.9 |
|
|
- Malaysia |
1.00 |
|
47.4 |
|
6.9 |
|
15.6 |
|
|
- Singapore |
0.49 |
|
42.0 |
|
10.2 |
|
40.5 |
|
|
- Taiwan |
0.16 |
|
47.8 |
|
3.0 |
|
15.9 |
|
|
Middle East and North Africa |
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|
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|
- Egypt |
2.78 |
|
44.9 |
|
2.8 |
|
3.5 |
|
|
- Turkey |
0.40 |
|
45.1 |
|
0.5 |
|
1.1 |
|
|
- UAE |
0.09 |
|
38.7 |
|
1.5 |
|
9.1 |
|
|
North America |
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|
- US |
1.27 |
|
34.5 |
|
44.7 |
|
130.1 |
|
|
- Canada |
1.38 |
|
34.5 |
|
21.6 |
|
53.7 |
|
|
Latin America |
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|
- Argentina |
1.66 |
|
45.1 |
|
1.5 |
|
1.5 |
|
|
- Mexico |
0.19 |
|
44.5 |
|
4.3 |
|
9.0 |
|
|
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|
At 31 Dec 2016 |
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|
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|
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 |
|
|
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|
||||
|
- 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 |
|
|
- Mexico |
0.90 |
|
44.5 |
|
2.6 |
|
7.0 |
|
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1 |
Excludes specialised lending exposures subject to supervisory slotting approach. |
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2 |
Amounts shown by geographical region and country in this table are based on the location of principal operation of the lending subsidiary. |
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72 |
HSBC Holdings plc Pillar 3 2017 |
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Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
0.03 |
|
44.1 |
|
2.0 |
|
18.0 |
|
|
- France |
0.02 |
|
45.0 |
|
0.2 |
|
1.7 |
|
|
- Germany |
0.04 |
|
45.0 |
|
0.1 |
|
0.5 |
|
|
- Switzerland |
0.01 |
|
45.0 |
|
0.3 |
|
6.8 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.01 |
|
44.5 |
|
4.6 |
|
89.8 |
|
|
- Australia |
0.01 |
|
45.0 |
|
0.4 |
|
6.6 |
|
|
- India |
0.07 |
|
45.0 |
|
1.4 |
|
6.8 |
|
|
- Indonesia |
0.20 |
|
45.0 |
|
0.6 |
|
1.9 |
|
|
- Mainland China |
0.02 |
|
45.0 |
|
2.1 |
|
29.0 |
|
|
- Malaysia |
0.04 |
|
45.0 |
|
0.7 |
|
4.9 |
|
|
- Singapore |
0.01 |
|
45.0 |
|
0.7 |
|
15.8 |
|
|
- Taiwan |
0.02 |
|
45.0 |
|
0.6 |
|
10.1 |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
2.25 |
|
45.0 |
|
2.3 |
|
2.2 |
|
|
- Turkey |
0.42 |
|
45.0 |
|
0.5 |
|
0.9 |
|
|
- UAE |
0.04 |
|
44.6 |
|
0.7 |
|
6.0 |
|
|
North America |
|
|
|
|
||||
|
- US |
0.01 |
|
33.4 |
|
3.2 |
|
42.8 |
|
|
- Canada |
0.02 |
|
33.2 |
|
1.8 |
|
15.9 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
1.65 |
|
45.0 |
|
1.4 |
|
1.4 |
|
|
- Mexico |
0.16 |
|
45.0 |
|
3.8 |
|
8.1 |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
Europe |
|
|
|
|
||||
|
- UK |
0.04 |
|
44.6 |
|
2.5 |
|
20.1 |
|
|
- France |
0.06 |
|
45.0 |
|
0.2 |
|
1.8 |
|
|
- Germany |
0.05 |
|
45.0 |
|
0.1 |
|
0.5 |
|
|
- Switzerland |
0.01 |
|
45.0 |
|
0.5 |
|
11.7 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.01 |
|
44.5 |
|
5.5 |
|
111.9 |
|
|
- Australia |
0.01 |
|
45.0 |
|
0.3 |
|
5.9 |
|
|
- India |
0.07 |
|
45.0 |
|
1.4 |
|
6.1 |
|
|
- Indonesia |
0.17 |
|
45.0 |
|
0.5 |
|
1.8 |
|
|
- Mainland China |
0.02 |
|
45.0 |
|
1.9 |
|
26.1 |
|
|
- Malaysia |
0.04 |
|
45.0 |
|
0.7 |
|
5.2 |
|
|
- Singapore |
0.01 |
|
45.0 |
|
0.7 |
|
14.3 |
|
|
- Taiwan |
0.02 |
|
45.0 |
|
0.5 |
|
8.9 |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
2.95 |
|
45.0 |
|
2.4 |
|
2.2 |
|
|
- Turkey |
0.44 |
|
45.0 |
|
0.4 |
|
0.8 |
|
|
- UAE |
0.14 |
|
44.6 |
|
0.8 |
|
6.0 |
|
|
North America |
|
|
|
|
||||
|
- US |
0.01 |
|
37.6 |
|
3.9 |
|
53.6 |
|
|
- Canada |
0.02 |
|
31.4 |
|
2.1 |
|
16.6 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
2.23 |
|
45.0 |
|
1.5 |
|
1.5 |
|
|
- Mexico |
0.08 |
|
45.0 |
|
2.2 |
|
6.2 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
73 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
0.21 |
|
37.4 |
|
3.5 |
|
12.1 |
|
|
- France |
0.17 |
|
38.9 |
|
0.5 |
|
1.7 |
|
|
- Germany |
0.13 |
|
39.4 |
|
0.2 |
|
0.9 |
|
|
- Switzerland |
0.06 |
|
35.1 |
|
0.2 |
|
1.2 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.06 |
|
42.1 |
|
5.4 |
|
36.1 |
|
|
- Australia |
0.07 |
|
41.8 |
|
0.5 |
|
2.6 |
|
|
- India |
0.17 |
|
45.0 |
|
0.3 |
|
1.1 |
|
|
- Indonesia |
0.43 |
|
49.7 |
|
- |
|
0.1 |
|
|
- Mainland China |
0.14 |
|
46.4 |
|
2.0 |
|
8.0 |
|
|
- Malaysia |
0.18 |
|
47.5 |
|
0.5 |
|
1.8 |
|
|
- Singapore |
0.12 |
|
42.0 |
|
0.6 |
|
3.6 |
|
|
- Taiwan |
0.06 |
|
45.0 |
|
- |
|
0.2 |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
0.08 |
|
45.0 |
|
0.2 |
|
0.9 |
|
|
- Turkey |
0.11 |
|
45.2 |
|
- |
|
0.2 |
|
|
- UAE |
0.18 |
|
45.3 |
|
0.3 |
|
0.8 |
|
|
North America |
|
|
|
|
||||
|
- US |
0.11 |
|
44.6 |
|
1.4 |
|
6.9 |
|
|
- Canada |
0.04 |
|
22.8 |
|
0.3 |
|
3.5 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
0.45 |
|
45.0 |
|
0.3 |
|
0.6 |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
|
- |
|
0.3 |
|
|
- 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 |
|
- |
|
- |
|
|
- Mexico |
0.50 |
|
45.0 |
|
0.3 |
|
0.4 |
|
|
|
|
|
|
|
|
74 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
2.56 |
|
34.9 |
|
86.3 |
|
150.9 |
|
|
- France |
2.07 |
|
28.9 |
|
14.5 |
|
31.3 |
|
|
- Germany |
1.82 |
|
45.0 |
|
- |
|
0.1 |
|
|
- Switzerland |
0.04 |
|
45.0 |
|
- |
|
0.1 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
1.15 |
|
37.6 |
|
76.0 |
|
165.9 |
|
|
- Australia |
1.06 |
|
43.3 |
|
8.2 |
|
15.7 |
|
|
- India |
1.25 |
|
61.4 |
|
6.7 |
|
10.4 |
|
|
- Indonesia |
6.33 |
|
64.6 |
|
4.9 |
|
4.4 |
|
|
- Mainland China |
1.30 |
|
52.0 |
|
24.4 |
|
39.9 |
|
|
- Malaysia |
1.69 |
|
48.7 |
|
5.7 |
|
8.9 |
|
|
- Singapore |
0.92 |
|
39.7 |
|
8.9 |
|
21.1 |
|
|
- Taiwan |
0.42 |
|
53.0 |
|
2.4 |
|
5.6 |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
11.63 |
|
44.5 |
|
0.3 |
|
0.4 |
|
|
- Turkey |
0.00 |
|
0.0 |
|
- |
|
- |
|
|
- UAE |
0.21 |
|
20.9 |
|
0.5 |
|
2.3 |
|
|
North America |
|
|
|
|
||||
|
- US |
2.04 |
|
34.1 |
|
40.1 |
|
80.4 |
|
|
- Canada |
2.15 |
|
36.3 |
|
19.5 |
|
34.3 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
1.95 |
|
46.7 |
|
0.1 |
|
0.1 |
|
|
- Mexico |
0.65 |
|
29.2 |
|
0.2 |
|
0.3 |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
|
- |
|
|
- Mexico |
15.62 |
|
34.7 |
|
0.1 |
|
0.4 |
|
|
|
|
|
1 |
Excludes specialised lending exposures subject to supervisory slotting approach. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
75 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
2.90 |
|
40.8 |
|
5.8 |
|
9.8 |
|
|
- France |
3.22 |
|
45.0 |
|
0.4 |
|
0.4 |
|
|
- Germany |
1.37 |
|
44.9 |
|
11.1 |
|
18.4 |
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
- |
|
- |
|
- |
|
- |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
4.50 |
|
44.8 |
|
7.9 |
|
12.3 |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
- |
|
- |
|
- |
|
- |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
76 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$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 |
0.05 |
|
45.0 |
|
- |
|
0.1 |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
- |
|
- |
|
- |
|
- |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
77 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$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 |
0.11 |
|
45.0 |
|
0.1 |
|
0.2 |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
- |
|
- |
|
- |
|
- |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
78 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
2.90 |
|
40.8 |
|
5.8 |
|
9.8 |
|
|
- France |
3.22 |
|
45.0 |
|
0.4 |
|
0.4 |
|
|
- Germany |
1.37 |
|
44.9 |
|
11.1 |
|
18.4 |
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
- |
|
- |
|
- |
|
- |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
4.60 |
|
44.8 |
|
7.8 |
|
12.0 |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
- |
|
- |
|
- |
|
- |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
79 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
1.48 |
|
30.9 |
|
23.8 |
|
180.7 |
|
|
- France |
4.35 |
|
14.0 |
|
3.5 |
|
26.3 |
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
- Switzerland |
0.74 |
|
2.0 |
|
0.1 |
|
6.7 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.79 |
|
38.5 |
|
22.7 |
|
111.8 |
|
|
- Australia |
0.91 |
|
10.4 |
|
0.9 |
|
14.1 |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
4.56 |
|
11.8 |
|
1.3 |
|
5.0 |
|
|
- Singapore |
0.91 |
|
21.8 |
|
1.1 |
|
6.3 |
|
|
- Taiwan |
1.33 |
|
11.7 |
|
0.7 |
|
4.9 |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
North America |
|
|
|
|
||||
|
- US |
5.33 |
|
63.3 |
|
9.1 |
|
21.9 |
|
|
- Canada |
0.80 |
|
19.4 |
|
2.4 |
|
22.0 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
80 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Table 50.j: PD, LGD, RWA and exposure by country - retail IRB approach - retail secured by mortgages on immovable property |
|||||||||
|
|
|
Exposure- weighted average PD |
|
Exposure- weighted average LGD |
|
RWAs |
|
Exposure value |
|
|
|
At 31 Dec 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
|
Europe |
|
|
|
|
||||
|
|
- UK |
1.20 |
|
13.2 |
|
6.5 |
|
134.4 |
|
|
|
- France |
6.27 |
|
14.0 |
|
0.7 |
|
3.7 |
|
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
|
Asia |
|
|
|
|
||||
|
|
- Hong Kong |
0.65 |
|
10.0 |
|
12.7 |
|
69.2 |
|
|
|
- Australia |
0.91 |
|
10.4 |
|
0.9 |
|
14.1 |
|
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
|
- Malaysia |
4.56 |
|
11.8 |
|
1.3 |
|
5.0 |
|
|
|
- Singapore |
0.91 |
|
21.8 |
|
1.1 |
|
6.3 |
|
|
|
- Taiwan |
1.33 |
|
11.7 |
|
0.7 |
|
4.9 |
|
|
|
Middle East and North Africa |
|
|
|
|
||||
|
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
|
North America |
|
|
|
|
||||
|
|
- US |
6.16 |
|
54.7 |
|
7.5 |
|
17.1 |
|
|
|
- Canada |
0.69 |
|
17.6 |
|
1.9 |
|
20.1 |
|
|
|
Latin America |
|
|
|
|
||||
|
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
||||
|
|
At 31 Dec 2016 |
|
|
|
|
||||
|
|
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 |
- |
|
- |
|
- |
|
- |
|
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
81 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
- |
|
- |
|
- |
|
- |
|
|
- France |
7.71 |
|
25.8 |
|
0.4 |
|
0.6 |
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.77 |
|
11.4 |
|
- |
|
0.6 |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
2.10 |
|
28.5 |
|
0.1 |
|
0.3 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
82 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
1.26 |
|
85.8 |
|
6.8 |
|
31.4 |
|
|
- France |
- |
|
- |
|
- |
|
- |
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
1.01 |
|
100.2 |
|
8.1 |
|
34.0 |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
North America |
|
|
|
|
||||
|
- US |
1.39 |
|
93.6 |
|
0.9 |
|
3.5 |
|
|
- Canada |
2.51 |
|
64.4 |
|
0.1 |
|
0.3 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
83 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
6.82 |
|
67.7 |
|
5.0 |
|
6.8 |
|
|
- France |
19.77 |
|
30.4 |
|
0.8 |
|
2.3 |
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
- Switzerland |
- |
|
- |
|
- |
|
- |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
0.17 |
|
15.9 |
|
- |
|
0.1 |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
North America |
|
|
|
|
||||
|
- US |
- |
|
- |
|
- |
|
- |
|
|
- Canada |
5.44 |
|
45.5 |
|
0.1 |
|
0.2 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
84 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
Table 50.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 2017 |
% |
|
% |
|
$bn |
|
$bn |
|
|
Europe |
|
|
|
|
||||
|
- UK |
2.44 |
|
80.6 |
|
5.5 |
|
8.1 |
|
|
- France |
2.09 |
|
11.8 |
|
1.6 |
|
19.7 |
|
|
- Germany |
- |
|
- |
|
- |
|
- |
|
|
- Jersey |
- |
|
- |
|
- |
|
- |
|
|
- Switzerland |
0.74 |
|
2.0 |
|
0.1 |
|
6.7 |
|
|
Asia |
|
|
|
|
||||
|
- Hong Kong |
1.15 |
|
24.2 |
|
1.9 |
|
7.9 |
|
|
- Australia |
- |
|
- |
|
- |
|
- |
|
|
- India |
- |
|
- |
|
- |
|
- |
|
|
- Indonesia |
- |
|
- |
|
- |
|
- |
|
|
- Mainland China |
- |
|
- |
|
- |
|
- |
|
|
- Malaysia |
- |
|
- |
|
- |
|
- |
|
|
- Singapore |
- |
|
- |
|
- |
|
- |
|
|
- Taiwan |
- |
|
- |
|
- |
|
- |
|
|
Middle East and North Africa |
|
|
|
|
||||
|
- Egypt |
- |
|
- |
|
- |
|
- |
|
|
- Turkey |
- |
|
- |
|
- |
|
- |
|
|
- UAE |
- |
|
- |
|
- |
|
- |
|
|
North America |
|
|
|
|
||||
|
- US |
4.88 |
|
96.6 |
|
0.7 |
|
1.3 |
|
|
- Canada |
1.06 |
|
30.8 |
|
0.2 |
|
1.1 |
|
|
Latin America |
|
|
|
|
||||
|
- Argentina |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
||||
|
At 31 Dec 2016 |
|
|
|
|
||||
|
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 |
|
|
- 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 |
- |
|
- |
|
- |
|
- |
|
|
- Mexico |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
85 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||
|
|
|
|
|
|
|
|
Table 51: Retail IRB exposure - by internal PD band |
|||||
|
|
PD range |
Average net carrying values1 |
|
Undrawn commitments |
|
|
|
% |
$bn |
|
$bn |
|
|
At 31 Dec 2017 |
|
|
|
||
|
Secured by mortgages on immovable property |
|
|
|
||
|
SME |
|
1.5 |
|
- |
|
|
Band 1 |
0.000 to 0.483 |
0.6 |
|
- |
|
|
Band 2 |
0.484 to 1.022 |
0.2 |
|
- |
|
|
Band 3 |
1.023 to 4.914 |
0.4 |
|
- |
|
|
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 |
- |
|
- |
|
|
Band 7 |
50.001 to 100.000 |
- |
|
- |
|
|
Secured by mortgages on immovable property |
|
|
|
||
|
Non-SME |
|
260.5 |
|
18.6 |
|
|
Band 1 |
0.000 to 0.483 |
213.0 |
|
16.9 |
|
|
Band 2 |
0.484 to 1.022 |
21.2 |
|
0.9 |
|
|
Band 3 |
1.023 to 4.914 |
18.2 |
|
0.7 |
|
|
Band 4 |
4.915 to 8.860 |
3.0 |
|
- |
|
|
Band 5 |
8.861 to 15.000 |
0.5 |
|
- |
|
|
Band 6 |
15.001 to 50.000 |
1.5 |
|
0.1 |
|
|
Band 7 |
50.001 to 100.000 |
3.1 |
|
- |
|
|
Qualifying revolving retail exposures |
|
120.2 |
|
104.7 |
|
|
Band 1 |
0.000 to 0.483 |
96.2 |
|
91.2 |
|
|
Band 2 |
0.484 to 1.022 |
10.3 |
|
7.1 |
|
|
Band 3 |
1.023 to 4.914 |
11.1 |
|
5.6 |
|
|
Band 4 |
4.915 to 8.860 |
1.4 |
|
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 |
|
10.2 |
|
4.2 |
|
|
Band 1 |
0.000 to 0.483 |
1.3 |
|
0.8 |
|
|
Band 2 |
0.484 to 1.022 |
1.8 |
|
0.9 |
|
|
Band 3 |
1.023 to 4.914 |
4.9 |
|
1.9 |
|
|
Band 4 |
4.915 to 8.860 |
1.1 |
|
0.3 |
|
|
Band 5 |
8.861 to 15.000 |
0.5 |
|
0.1 |
|
|
Band 6 |
15.001 to 50.000 |
0.2 |
|
0.1 |
|
|
Band 7 |
50.001 to 100.000 |
0.4 |
|
0.1 |
|
|
Other non-SME |
|
53.1 |
|
16.0 |
|
|
Band 1 |
0.000 to 0.483 |
33.5 |
|
12.8 |
|
|
Band 2 |
0.484 to 1.022 |
8.2 |
|
1.6 |
|
|
Band 3 |
1.023 to 4.914 |
9.6 |
|
1.4 |
|
|
Band 4 |
4.915 to 8.860 |
0.9 |
|
0.1 |
|
|
Band 5 |
8.861 to 15.000 |
0.3 |
|
- |
|
|
Band 6 |
15.001 to 50.000 |
0.2 |
|
- |
|
|
Band 7 |
50.001 to 100.000 |
0.4 |
|
0.1 |
|
|
Total retail |
|
445.5 |
|
143.5 |
|
|
Band 1 |
0.000 to 0.483 |
344.6 |
|
121.7 |
|
|
Band 2 |
0.484 to 1.022 |
41.7 |
|
10.5 |
|
|
Band 3 |
1.023 to 4.914 |
44.2 |
|
9.6 |
|
|
Band 4 |
4.915 to 8.860 |
6.6 |
|
0.9 |
|
|
Band 5 |
8.861 to 15.000 |
1.8 |
|
0.2 |
|
|
Band 6 |
15.001 to 50.000 |
2.4 |
|
0.3 |
|
|
Band 7 |
50.001 to 100.000 |
4.2 |
|
0.3 |
|
|
|
|
|
1 |
Average net carrying values are calculated by aggregating the net carrying values of the last five quarters and dividing by five. |
|
|
|
|
|
|
|
86 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Table 52: IRB expected loss and CRAs - by exposure class |
|
||||||
|
|
|
|
CRA |
||||
|
|
|
Expected loss |
|
Balances |
|
Charge for the year |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Total IRB approach |
|
|
|
|
|
|
|
2 |
Central governments and central banks |
0.1 |
|
- |
|
- |
|
|
3 |
Institutions |
- |
|
- |
|
- |
|
|
4 |
Corporates |
5.3 |
|
4.2 |
|
0.7 |
|
|
5 |
Retail |
2.5 |
|
1.0 |
|
0.3 |
|
|
|
- Secured by mortgages on immovable property SME |
- |
|
- |
|
- |
|
|
|
- Secured by mortgages on immovable property non-SME |
0.8 |
|
0.3 |
|
- |
|
|
|
- Qualifying revolving retail |
0.8 |
|
0.2 |
|
0.2 |
|
|
|
- Other SME |
0.5 |
|
0.3 |
|
- |
|
|
|
- Other non-SME |
0.4 |
|
0.2 |
|
0.1 |
|
|
6 |
Total at 31 Dec 2017 |
7.9 |
|
5.2 |
|
1.0 |
|
|
|
|
|
|
|
|||
|
1 |
Total IRB approach |
|
|
|
|||
|
2 |
Central governments and central banks |
0.1 |
|
- |
|
- |
|
|
3 |
Institutions |
- |
|
- |
|
- |
|
|
4 |
Corporates |
5.7 |
|
4.3 |
|
1.1 |
|
|
5 |
Retail |
3.6 |
|
1.2 |
|
0.5 |
|
|
|
- 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 |
|
|
6 |
Total at 31 Dec 2016 |
9.4 |
|
5.5 |
|
1.6 |
|
|
|
|
|
|
|
|||
|
1 |
Total IRB approach |
|
|
|
|||
|
2 |
Central governments and central banks |
0.2 |
|
- |
|
- |
|
|
3 |
Institutions |
0.1 |
|
- |
|
- |
|
|
4 |
Corporates |
5.5 |
|
4.5 |
|
1.0 |
|
|
5 |
Retail |
5.5 |
|
2.1 |
|
0.4 |
|
|
|
- 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 |
|
|
6 |
Total at 31 Dec 2015 |
11.3 |
|
6.6 |
|
1.4 |
|
|
|
|
|
|
|
|||
|
1 |
Total IRB approach |
|
|
|
|||
|
2 |
Central governments and central banks |
0.3 |
|
- |
|
- |
|
|
3 |
Institutions |
0.3 |
|
- |
|
- |
|
|
4 |
Corporates |
5.2 |
|
4.2 |
|
1.1 |
|
|
5 |
Retail |
7.2 |
|
3.1 |
|
0.2 |
|
|
|
- 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 |
|
|
6 |
Total at 31 Dec 2014 |
13.0 |
|
7.3 |
|
1.3 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
87 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 53: Credit risk exposure - by geographical region |
|||||||||||||
|
|
|
Exposure value |
|||||||||||
|
|
|
Europe |
|
Asia |
|
MENA |
|
North America |
|
Latin America |
|
Total |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
IRB advanced approach |
|
463.8 |
|
692.7 |
|
20.6 |
|
240.8 |
|
11.6 |
|
1,429.5 |
|
|
- central governments and central banks |
|
29.9 |
|
190.8 |
|
14.5 |
|
61.5 |
|
10.5 |
|
307.2 |
|
|
- institutions |
|
16.7 |
|
55.6 |
|
2.3 |
|
11.8 |
|
0.6 |
|
87.0 |
|
|
- corporates |
|
202.5 |
|
303.0 |
|
3.8 |
|
123.6 |
|
0.5 |
|
633.4 |
|
|
- total retail |
|
214.7 |
|
143.3 |
|
- |
|
43.9 |
|
- |
|
401.9 |
|
|
- of which: |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
secured by mortgages on immovable property SME |
|
0.7 |
|
0.5 |
|
- |
|
0.3 |
|
- |
|
1.5 |
|
|
secured by mortgages on immovable property non-SME |
|
138.1 |
|
100.8 |
|
- |
|
37.2 |
|
- |
|
276.1 |
|
|
qualifying revolving retail |
|
31.4 |
|
34.0 |
|
- |
|
3.8 |
|
- |
|
69.2 |
|
|
other SME |
|
9.1 |
|
0.1 |
|
- |
|
0.2 |
|
- |
|
9.4 |
|
|
other non-SME |
|
35.4 |
|
7.9 |
|
- |
|
2.4 |
|
- |
|
45.7 |
|
|
IRB securitisation positions |
|
25.9 |
|
2.8 |
|
- |
|
4.0 |
|
- |
|
32.7 |
|
|
IRB non-credit obligation assets |
|
8.3 |
|
43.2 |
|
0.8 |
|
2.1 |
|
1.7 |
|
56.1 |
|
|
IRB foundation approach |
|
30.7 |
|
- |
|
15.4 |
|
- |
|
- |
|
46.1 |
|
|
- central governments and central banks |
|
- |
|
- |
|
0.1 |
|
- |
|
- |
|
0.1 |
|
|
- institutions |
|
- |
|
- |
|
0.2 |
|
- |
|
- |
|
0.2 |
|
|
- corporates |
|
30.7 |
|
- |
|
15.1 |
|
- |
|
- |
|
45.8 |
|
|
Standardised approach |
|
220.8 |
|
86.3 |
|
39.7 |
|
15.3 |
|
22.0 |
|
384.1 |
|
|
- central governments and central banks |
|
178.3 |
|
19.2 |
|
2.1 |
|
3.6 |
|
1.0 |
|
204.2 |
|
|
- institutions |
|
0.5 |
|
0.1 |
|
1.8 |
|
- |
|
0.1 |
|
2.5 |
|
|
- corporates |
|
21.3 |
|
21.4 |
|
22.1 |
|
6.5 |
|
12.3 |
|
83.6 |
|
|
- retail |
|
1.5 |
|
8.6 |
|
5.7 |
|
1.7 |
|
4.7 |
|
22.2 |
|
|
- secured by mortgages on immovable property |
|
6.1 |
|
15.8 |
|
3.1 |
|
1.0 |
|
2.1 |
|
28.1 |
|
|
- exposures in default |
|
1.0 |
|
0.5 |
|
1.0 |
|
0.3 |
|
0.3 |
|
3.1 |
|
|
- regional governments or local authorities |
|
- |
|
- |
|
2.9 |
|
- |
|
0.6 |
|
3.5 |
|
|
- public sector entities |
|
0.1 |
|
- |
|
- |
|
- |
|
- |
|
0.1 |
|
|
- equity |
|
1.2 |
|
13.3 |
|
0.2 |
|
1.0 |
|
0.3 |
|
16.0 |
|
|
- items associated with particularly high risk |
|
3.3 |
|
- |
|
0.1 |
|
0.3 |
|
0.1 |
|
3.8 |
|
|
- securitisation positions |
|
0.3 |
|
1.4 |
|
- |
|
- |
|
0.3 |
|
2.0 |
|
|
- claims in the form of CIU |
|
0.5 |
|
- |
|
- |
|
- |
|
- |
|
0.5 |
|
|
- international organisations |
|
2.2 |
|
- |
|
- |
|
- |
|
- |
|
2.2 |
|
|
- multilateral development banks |
|
- |
|
- |
|
0.3 |
|
- |
|
- |
|
0.3 |
|
|
- other items |
|
4.5 |
|
6.0 |
|
0.4 |
|
0.9 |
|
0.2 |
|
12.0 |
|
|
Total at 31 Dec 2017 |
|
749.5 |
|
825.0 |
|
76.5 |
|
262.2 |
|
35.3 |
|
1,948.5 |
|
|
|
|
|
|
|
|
88 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 53: Credit risk exposure - by geographical region (continued) |
|
||||||||||||
|
|
|
Exposure value |
|||||||||||
|
|
|
Europe |
|
Asia |
|
MENA |
|
North America |
|
Latin America |
|
Total |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
IRB advanced approach |
|
422.3 |
|
652.8 |
|
22.2 |
|
257.5 |
|
10.2 |
|
1,365.0 |
|
|
- central governments and central banks |
|
37.2 |
|
205.4 |
|
14.0 |
|
73.6 |
|
9.2 |
|
339.4 |
|
|
- institutions |
|
14.2 |
|
52.5 |
|
1.8 |
|
6.8 |
|
0.4 |
|
75.7 |
|
|
- corporates |
|
183.0 |
|
264.5 |
|
6.4 |
|
128.6 |
|
0.6 |
|
583.1 |
|
|
- total retail |
|
187.9 |
|
130.4 |
|
- |
|
48.5 |
|
- |
|
366.8 |
|
|
- of which: |
|
|
|
|
|
|
|
||||||
|
secured by mortgages on immovable property SME |
|
0.6 |
|
0.6 |
|
- |
|
0.3 |
|
- |
|
1.5 |
|
|
secured by mortgages on immovable property non-SME |
|
118.5 |
|
90.6 |
|
- |
|
39.9 |
|
- |
|
249.0 |
|
|
qualifying revolving retail |
|
28.0 |
|
32.2 |
|
- |
|
3.8 |
|
- |
|
64.0 |
|
|
other SME |
|
8.4 |
|
0.1 |
|
- |
|
0.2 |
|
- |
|
8.7 |
|
|
other non-SME |
|
32.4 |
|
6.9 |
|
- |
|
4.3 |
|
- |
|
43.6 |
|
|
IRB securitisation positions |
|
29.0 |
|
0.8 |
|
- |
|
4.0 |
|
- |
|
33.8 |
|
|
IRB non-credit obligation assets |
|
7.8 |
|
40.2 |
|
0.7 |
|
1.6 |
|
1.6 |
|
51.9 |
|
|
IRB foundation approach |
|
26.1 |
|
- |
|
16.7 |
|
- |
|
- |
|
42.8 |
|
|
- central governments and central banks |
|
- |
|
- |
|
0.1 |
|
- |
|
- |
|
0.1 |
|
|
- institutions |
|
- |
|
- |
|
0.3 |
|
- |
|
- |
|
0.3 |
|
|
- corporates |
|
26.1 |
|
- |
|
16.3 |
|
- |
|
- |
|
42.4 |
|
|
Standardised approach |
|
172.2 |
|
85.8 |
|
41.3 |
|
15.6 |
|
19.2 |
|
334.1 |
|
|
- central governments and central banks |
|
131.7 |
|
27.5 |
|
3.0 |
|
4.3 |
|
0.8 |
|
167.3 |
|
|
- institutions |
|
0.3 |
|
0.2 |
|
1.4 |
|
0.2 |
|
- |
|
2.1 |
|
|
- corporates |
|
21.9 |
|
18.2 |
|
22.2 |
|
5.5 |
|
10.6 |
|
78.4 |
|
|
- retail |
|
1.9 |
|
7.9 |
|
6.5 |
|
1.4 |
|
4.3 |
|
22.0 |
|
|
- secured by mortgages on immovable property |
|
5.2 |
|
14.0 |
|
3.6 |
|
1.1 |
|
1.8 |
|
25.7 |
|
|
- exposures in default |
|
1.0 |
|
0.4 |
|
1.2 |
|
0.3 |
|
0.4 |
|
3.3 |
|
|
- regional governments or local authorities |
|
- |
|
- |
|
2.4 |
|
- |
|
0.5 |
|
2.9 |
|
|
- public sector entities |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- equity |
|
1.4 |
|
12.1 |
|
0.2 |
|
1.1 |
|
0.4 |
|
15.2 |
|
|
- items associated with particularly high risk |
|
2.8 |
|
- |
|
0.1 |
|
0.4 |
|
0.1 |
|
3.4 |
|
|
- securitisation positions |
|
- |
|
0.8 |
|
- |
|
- |
|
0.1 |
|
0.9 |
|
|
- claims in the form of CIU |
|
0.4 |
|
- |
|
0.1 |
|
- |
|
- |
|
0.5 |
|
|
- international organisations |
|
2.7 |
|
- |
|
- |
|
- |
|
- |
|
2.7 |
|
|
- multilateral development banks |
|
- |
|
- |
|
0.2 |
|
- |
|
- |
|
0.2 |
|
|
- other items |
|
2.9 |
|
4.7 |
|
0.4 |
|
1.3 |
|
0.2 |
|
9.5 |
|
|
Total at 31 Dec 2016 |
|
657.4 |
|
779.6 |
|
80.9 |
|
278.7 |
|
31.0 |
|
1,827.6 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
89 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 54: Credit risk RWAs - by geographical region |
|||||||||||||
|
|
|
RWAs |
|||||||||||
|
|
|
Europe |
|
Asia |
|
MENA |
|
North America |
|
Latin America |
|
Total |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
IRB advanced approach |
|
149.9 |
|
208.8 |
|
7.1 |
|
83.7 |
|
5.9 |
|
455.4 |
|
|
- central governments and central banks |
|
3.4 |
|
14.8 |
|
5.1 |
|
5.3 |
|
5.3 |
|
33.9 |
|
|
- institutions |
|
4.9 |
|
9.9 |
|
0.6 |
|
1.9 |
|
0.3 |
|
17.6 |
|
|
- corporates |
|
114.2 |
|
157.3 |
|
1.4 |
|
65.0 |
|
0.3 |
|
338.2 |
|
|
- total retail |
|
27.4 |
|
26.8 |
|
- |
|
11.5 |
|
- |
|
65.7 |
|
|
- of which: |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
secured by mortgages on immovable property SME |
|
0.4 |
|
- |
|
- |
|
0.1 |
|
- |
|
0.5 |
|
|
secured by mortgages on immovable property non-SME |
|
7.1 |
|
16.8 |
|
- |
|
9.3 |
|
- |
|
33.2 |
|
|
qualifying revolving retail |
|
6.8 |
|
8.1 |
|
- |
|
1.1 |
|
- |
|
16.0 |
|
|
other SME |
|
5.8 |
|
- |
|
- |
|
0.1 |
|
- |
|
5.9 |
|
|
other non-SME |
|
7.3 |
|
1.9 |
|
- |
|
0.9 |
|
- |
|
10.1 |
|
|
IRB securitisation positions |
|
13.0 |
|
0.2 |
|
- |
|
0.5 |
|
- |
|
13.7 |
|
|
IRB non-credit obligation assets |
|
5.3 |
|
5.4 |
|
0.4 |
|
1.3 |
|
0.8 |
|
13.2 |
|
|
IRB foundation approach |
|
18.8 |
|
- |
|
9.6 |
|
- |
|
- |
|
28.4 |
|
|
- central governments and central banks |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- institutions |
|
- |
|
- |
|
0.1 |
|
- |
|
- |
|
0.1 |
|
|
- corporates |
|
18.8 |
|
- |
|
9.5 |
|
- |
|
- |
|
28.3 |
|
|
Standardised approach |
|
38.9 |
|
69.8 |
|
30.6 |
|
15.7 |
|
19.5 |
|
174.5 |
|
|
- central governments and central banks |
|
3.2 |
|
1.5 |
|
0.7 |
|
5.9 |
|
1.4 |
|
12.7 |
|
|
- institutions |
|
0.2 |
|
0.1 |
|
0.8 |
|
0.0 |
|
0.1 |
|
1.2 |
|
|
- corporates |
|
20.0 |
|
19.3 |
|
21.0 |
|
5.8 |
|
12.2 |
|
78.3 |
|
|
- retail |
|
1.0 |
|
6.5 |
|
4.3 |
|
1.3 |
|
3.4 |
|
16.5 |
|
|
- secured by mortgages on immovable property |
|
2.6 |
|
5.5 |
|
1.2 |
|
0.4 |
|
0.7 |
|
10.4 |
|
|
- exposures in default |
|
1.3 |
|
0.6 |
|
1.3 |
|
0.3 |
|
0.4 |
|
3.9 |
|
|
- regional governments or local authorities |
|
- |
|
- |
|
0.7 |
|
- |
|
0.3 |
|
1.0 |
|
|
- public sector entities |
|
- |
|
- |
|
- |
|
- |
|
0.1 |
|
0.1 |
|
|
- equity |
|
2.6 |
|
31.8 |
|
0.2 |
|
1.0 |
|
0.5 |
|
36.1 |
|
|
- items associated with particularly high risk |
|
5.1 |
|
- |
|
0.1 |
|
0.4 |
|
0.1 |
|
5.7 |
|
|
- securitisation positions |
|
0.3 |
|
1.1 |
|
- |
|
- |
|
0.2 |
|
1.6 |
|
|
- claims in the form of CIU |
|
0.6 |
|
- |
|
- |
|
- |
|
- |
|
0.6 |
|
|
- international organisations |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- multilateral development banks |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- other items |
|
2.0 |
|
3.4 |
|
0.3 |
|
0.6 |
|
0.1 |
|
6.4 |
|
|
Total at 31 Dec 2017 |
|
225.9 |
|
284.2 |
|
47.7 |
|
101.2 |
|
26.2 |
|
685.2 |
|
|
|
|
|
|
|
|
90 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 54: Credit risk RWAs - by geographical region (continued) |
|
||||||||||||
|
|
|
RWAs |
|||||||||||
|
|
|
Europe |
|
Asia |
|
MENA |
|
North America |
|
Latin America |
|
Total |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
IRB advanced approach |
|
127.1 |
|
192.4 |
|
7.4 |
|
99.1 |
|
4.5 |
|
430.5 |
|
|
- central governments and central banks |
|
3.9 |
|
15.9 |
|
5.3 |
|
6.4 |
|
3.9 |
|
35.4 |
|
|
- institutions |
|
3.2 |
|
9.4 |
|
0.4 |
|
1.6 |
|
0.4 |
|
15.0 |
|
|
- corporates |
|
98.4 |
|
143.4 |
|
1.7 |
|
70.3 |
|
0.2 |
|
314.0 |
|
|
- total retail |
|
21.6 |
|
23.7 |
|
- |
|
20.8 |
|
- |
|
66.1 |
|
|
- of which: |
|
|
|
|
|
|
|
||||||
|
secured by mortgages on immovable property SME |
|
0.2 |
|
- |
|
- |
|
0.1 |
|
- |
|
0.3 |
|
|
secured by mortgages on immovable property non-SME |
|
6.0 |
|
14.1 |
|
- |
|
16.4 |
|
- |
|
36.5 |
|
|
qualifying revolving retail |
|
5.4 |
|
8.2 |
|
- |
|
1.1 |
|
- |
|
14.7 |
|
|
other SME |
|
4.4 |
|
- |
|
- |
|
0.1 |
|
- |
|
4.5 |
|
|
other non-SME |
|
5.6 |
|
1.4 |
|
- |
|
3.1 |
|
- |
|
10.1 |
|
|
IRB securitisation positions |
|
20.5 |
|
0.1 |
|
0.0 |
|
0.3 |
|
- |
|
20.9 |
|
|
IRB non-credit obligation assets |
|
4.8 |
|
5.1 |
|
0.3 |
|
1.3 |
|
0.6 |
|
12.1 |
|
|
IRB foundation approach |
|
16.1 |
|
- |
|
9.8 |
|
- |
|
- |
|
25.9 |
|
|
- central governments and central banks |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- institutions |
|
- |
|
- |
|
0.1 |
|
- |
|
- |
|
0.1 |
|
|
- corporates |
|
16.1 |
|
- |
|
9.7 |
|
- |
|
- |
|
25.8 |
|
|
Standardised approach |
|
37.3 |
|
62.4 |
|
31.5 |
|
17.9 |
|
17.2 |
|
166.3 |
|
|
- central governments and central banks |
|
3.1 |
|
1.5 |
|
0.7 |
|
8.2 |
|
1.2 |
|
14.7 |
|
|
- institutions |
|
0.1 |
|
0.2 |
|
0.6 |
|
0.1 |
|
- |
|
1.0 |
|
|
- corporates |
|
21.0 |
|
17.2 |
|
21.2 |
|
5.0 |
|
10.6 |
|
75.0 |
|
|
- retail |
|
1.4 |
|
5.9 |
|
4.8 |
|
1.1 |
|
3.1 |
|
16.3 |
|
|
- secured by mortgages on immovable property |
|
2.0 |
|
4.9 |
|
1.3 |
|
0.5 |
|
0.6 |
|
9.3 |
|
|
- exposures in default |
|
1.3 |
|
0.5 |
|
1.5 |
|
0.6 |
|
0.4 |
|
4.3 |
|
|
- regional governments or local authorities |
|
- |
|
- |
|
0.6 |
|
- |
|
0.3 |
|
0.9 |
|
|
- public sector entities |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- equity |
|
2.7 |
|
29.1 |
|
0.2 |
|
1.1 |
|
0.5 |
|
33.6 |
|
|
- items associated with particularly high risk |
|
4.2 |
|
0.0 |
|
0.2 |
|
0.6 |
|
0.1 |
|
5.1 |
|
|
- securitisation positions |
|
- |
|
0.7 |
|
- |
|
- |
|
0.2 |
|
0.9 |
|
|
- claims in the form of CIU |
|
0.4 |
|
0.0 |
|
0.1 |
|
- |
|
- |
|
0.5 |
|
|
- international organisations |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- multilateral development banks |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
- other items |
|
1.1 |
|
2.4 |
|
0.3 |
|
0.7 |
|
0.2 |
|
4.7 |
|
|
Total at 31 Dec 2016 |
|
205.8 |
|
260.0 |
|
49.0 |
|
118.6 |
|
22.3 |
|
655.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 55: IRB exposure - credit risk mitigation |
|||||||||||
|
|
|
At 31 Dec 2017 |
|||||||||
|
|
|
Exposures unsecured: carrying amount |
|
Exposures secured: carrying amount |
|
Exposures secured by collateral |
|
Exposures secured by financial guarantees |
|
Exposures secured by credit derivatives |
|
|
|
Footnote |
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
Exposures under the IRB advanced approach |
1 |
|
|
|
|
|
|||||
|
Central governments and central banks |
|
289.2 |
|
18.9 |
|
18.1 |
|
0.8 |
|
- |
|
|
Institutions |
|
82.0 |
|
12.3 |
|
5.9 |
|
1.5 |
|
4.9 |
|
|
Corporates |
|
539.5 |
|
378.7 |
|
273.5 |
|
97.2 |
|
8.0 |
|
|
Retail |
|
188.3 |
|
279.3 |
|
256.6 |
|
22.7 |
|
- |
|
|
Total |
|
1,099.0 |
|
689.2 |
|
554.1 |
|
122.2 |
|
12.9 |
|
|
Exposures under the IRB foundation approach |
1 |
|
|
|
|
|
|||||
|
Central governments and central banks |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
Institutions |
|
0.2 |
|
- |
|
- |
|
- |
|
- |
|
|
Corporates |
|
64.4 |
|
8.8 |
|
6.4 |
|
2.4 |
|
- |
|
|
Total
|
|
64.6 |
|
8.8 |
|
6.4 |
|
2.4 |
|
- |
|
|
|
|
|
1 |
This table includes both on and off balance sheet exposures |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
91 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 56: Standardised exposure - credit risk mitigation |
|||||||||||
|
|
|
At 31 Dec 2017 |
|||||||||
|
|
|
Exposures unsecured: carrying amount |
|
Exposures secured: carrying amount |
|
Exposures secured by collateral |
|
Exposures secured |
|
Exposures secured by credit derivatives |
|
|
|
Footnote |
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
Exposures under the standardised approach |
1 |
|
|
|
|
|
|||||
|
Central governments and central banks |
2 |
187.8 |
|
5.3 |
|
0.3 |
|
5.0 |
|
- |
|
|
Institutions |
|
2.4 |
|
1.1 |
|
- |
|
1.1 |
|
- |
|
|
Corporates |
|
130.8 |
|
41.5 |
|
32.0 |
|
9.5 |
|
- |
|
|
Retail |
|
68.0 |
|
2.6 |
|
1.4 |
|
1.2 |
|
- |
|
|
Secured by mortgages on immovable property |
|
9.4 |
|
19.6 |
|
19.6 |
|
- |
|
- |
|
|
Exposures in default |
|
2.9 |
|
0.5 |
|
0.5 |
|
- |
|
- |
|
|
Items associated with particularly high risk |
3 |
1.3 |
|
0.1 |
|
- |
|
0.1 |
|
- |
|
|
Total |
|
402.6 |
|
70.7 |
|
53.8 |
|
16.9 |
|
- |
|
|
|
|
|
1 |
This table includes both on and off balance sheet exposures |
|
|
|
|
2 |
Deferred tax assets are excluded from the exposure. |
|
|
|
|
3 |
Equities are excluded from the exposure. |
|
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 57: Standardised exposure - by credit quality step |
||||||||||||
|
|
At 31 Dec 2017 |
At 31 Dec 2016 |
||||||||||
|
|
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 |
190.6 |
|
196.3 |
|
|
154.8 |
|
158.3 |
|
|
||
|
Credit quality step 2 |
0.8 |
|
1.2 |
|
|
1.3 |
|
1.6 |
|
|
||
|
Credit quality step 3 |
0.9 |
|
1.1 |
|
|
1.0 |
|
1.3 |
|
|
||
|
Credit quality step 4 |
0.2 |
|
- |
|
|
0.3 |
|
0.1 |
|
|
||
|
Credit quality step 5 |
0.4 |
|
0.4 |
|
|
0.3 |
|
0.3 |
|
|
||
|
Credit quality step unrated |
5.2 |
|
5.2 |
|
|
5.7 |
|
5.7 |
|
|
||
|
|
198.1 |
|
204.2 |
|
12.7 |
|
163.4 |
|
167.3 |
|
14.6 |
|
|
Institutions |
|
|
|
|
|
|
||||||
|
Credit quality step 1 |
0.4 |
|
0.4 |
|
|
0.8 |
|
0.8 |
|
|
||
|
Credit quality step 2 |
2.8 |
|
1.8 |
|
|
0.6 |
|
0.3 |
|
|
||
|
Credit quality step 4 |
- |
|
- |
|
|
0.5 |
|
0.5 |
|
|
||
|
Credit quality step 5 |
- |
|
- |
|
|
0.1 |
|
0.1 |
|
|
||
|
Credit quality step unrated |
0.3 |
|
0.3 |
|
|
0.3 |
|
0.3 |
|
|
||
|
|
3.5 |
|
2.5 |
|
1.2 |
|
2.3 |
|
2.0 |
|
0.9 |
|
|
Corporates |
|
|
|
|
|
|
||||||
|
Credit quality step 1 |
3.4 |
|
3.7 |
|
|
2.0 |
|
2.2 |
|
|
||
|
Credit quality step 2 |
5.2 |
|
3.7 |
|
|
4.6 |
|
2.9 |
|
|
||
|
Credit quality step 3 |
1.9 |
|
1.9 |
|
|
2.6 |
|
1.7 |
|
|
||
|
Credit quality step 4 |
1.7 |
|
1.4 |
|
|
4.5 |
|
3.0 |
|
|
||
|
Credit quality step 5 |
0.3 |
|
0.2 |
|
|
1.0 |
|
0.5 |
|
|
||
|
Credit quality step 6 |
0.3 |
|
0.3 |
|
|
0.4 |
|
0.1 |
|
|
||
|
Credit quality step unrated |
160.0 |
|
72.4 |
|
|
145.3 |
|
67.9 |
|
|
||
|
|
172.8 |
|
83.6 |
|
78.3 |
|
160.4 |
|
78.3 |
|
75.0 |
|
|
|
|
|
1 |
Figures presented on an 'obligor basis'. |
|
|
|
|
|
|
|
92 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||
|
|
|
|
|
|
|
|
Table 58: Changes in stock of general and specific credit risk adjustments |
|||||
|
|
|
Accumulated specific credit risk adjustments |
|
Accumulated general credit risk adjustments |
|
|
|
|
$bn |
|
$bn |
|
|
1 |
Opening balance at 31 Dec 2016 |
8.6 |
|
- |
|
|
2 |
Increases due to amounts set aside for estimated loan losses during the period |
4.7 |
|
- |
|
|
3 |
Decreases due to amounts reversed for estimated loan losses during the period |
(2.7 |
) |
- |
|
|
4 |
Decreases due to amounts taken against accumulated credit risk adjustments |
(3.2 |
) |
- |
|
|
|
Recoveries on credit risk adjustments written off in previous years1
|
0.6 |
|
- |
|
|
5 |
Transfers between credit risk adjustments |
- |
|
- |
|
|
6 |
Impact of exchange rate differences |
- |
|
- |
|
|
7 |
Business combinations, including acquisitions and disposals of subsidiaries |
- |
|
- |
|
|
8 |
Other adjustments |
0.1 |
|
- |
|
|
9 |
Closing balance at 31 Dec 2017 |
8.1 |
|
- |
|
|
10 |
Recoveries on credit risk adjustments recorded directly to the statement of profit or loss |
- |
|
- |
|
|
11 |
Specific credit risk adjustments directly recorded to the statement of profit or loss |
- |
|
- |
|
|
|
|
|
1 |
Under IAS 39 HSBC follows a disclosure convention where recoveries on credit risk adjustment written off in previous years are first added back into accumulated credit risk adjustments before being released to the statement of profit and loss. |
|
|
||||
|
|
|
|
|
|
|
Table 59: Changes in stock of defaulted loans and debt securities |
||||
|
|
|
|
Gross carrying value |
|
|
|
|
Footnote |
$bn |
|
|
1 |
Defaulted loans and debt securities at 31 Dec 2016 |
|
17.9 |
|
|
2 |
Loans and debt securities that have defaulted since the last reporting period |
|
6.4 |
|
|
3 |
Returned to non-defaulted status |
|
(2.0 |
) |
|
4 |
Amounts written off |
|
(2.6 |
) |
|
5 |
Other changes |
1 |
(0.8 |
) |
|
7 |
Repayments |
|
(3.8 |
) |
|
6 |
Defaulted loans and debt securities at 31 Dec 2017 |
|
15.1 |
|
|
|
|
|
1 |
Other changes include foreign exchange and assets held for sale in default. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
93 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range |
||||||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
|
EAD post-CRM and post-CCF |
|
Average PD |
|
Number of obligors |
|
Average LGD |
|
Average maturity |
|
RWAs |
|
RWA density |
|
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
|
$bn |
|
% |
|
|
% |
|
years |
|
$bn |
|
% |
|
$bn |
|
$bn |
|
|
|
AIRB - Central government and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
292.5 |
|
2.1 |
|
39.8 |
|
294.3 |
|
0.02 |
|
255 |
|
42.5 |
|
2.07 |
|
24.8 |
|
8.4 |
|
- |
|
|
|
|
0.15 to <0.25 |
2.2 |
|
- |
|
43.0 |
|
2.3 |
|
0.22 |
|
8 |
|
42.8 |
|
1.71 |
|
0.9 |
|
39.1 |
|
- |
|
|
|
|
0.25 to <0.50 |
2.2 |
|
- |
|
74.3 |
|
2.3 |
|
0.37 |
|
11 |
|
45.0 |
|
1.15 |
|
1.1 |
|
48.4 |
|
- |
|
|
|
|
0.50 to <0.75 |
2.5 |
|
- |
|
- |
|
2.6 |
|
0.63 |
|
11 |
|
45.0 |
|
1.40 |
|
1.7 |
|
67.5 |
|
- |
|
|
|
|
0.75 to <2.50 |
5.9 |
|
- |
|
28.5 |
|
5.7 |
|
1.62 |
|
54 |
|
45.0 |
|
1.11 |
|
5.3 |
|
93.2 |
|
0.1 |
|
|
|
|
2.50 to <10.00 |
0.5 |
|
0.2 |
|
1.5 |
|
- |
|
4.35 |
|
12 |
|
45.1 |
|
4.70 |
|
0.1 |
|
179.5 |
|
- |
|
|
|
|
10.00 to <100.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
100.00 (Default) |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
Sub-total |
305.8 |
|
2.3 |
|
38.1 |
|
307.2 |
|
0.06 |
|
351 |
|
42.6 |
|
2.04 |
|
33.9 |
|
11.0 |
|
0.1 |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
71.5 |
|
10.6 |
|
45.9 |
|
76.9 |
|
0.05 |
|
2,857 |
|
40.9 |
|
1.35 |
|
11.2 |
|
14.6 |
|
- |
|
|
|
|
0.15 to <0.25 |
2.2 |
|
1.0 |
|
40.9 |
|
2.6 |
|
0.22 |
|
344 |
|
45.3 |
|
1.20 |
|
1.1 |
|
41.4 |
|
- |
|
|
|
|
0.25 to <0.50 |
3.3 |
|
0.5 |
|
47.1 |
|
3.5 |
|
0.37 |
|
270 |
|
44.7 |
|
0.82 |
|
1.9 |
|
54.5 |
|
- |
|
|
|
|
0.50 to <0.75 |
2.2 |
|
0.7 |
|
44.3 |
|
2.5 |
|
0.63 |
|
192 |
|
41.8 |
|
1.32 |
|
1.8 |
|
69.3 |
|
- |
|
|
|
|
0.75 to <2.50 |
1.2 |
|
0.7 |
|
47.6 |
|
1.5 |
|
1.15 |
|
282 |
|
46.1 |
|
1.52 |
|
1.5 |
|
98.2 |
|
- |
|
|
|
|
2.50 to <10.00 |
0.4 |
|
- |
|
19.2 |
|
- |
|
4.35 |
|
54 |
|
45.8 |
|
0.55 |
|
- |
|
144.7 |
|
- |
|
|
|
|
10.00 to <100.00 |
- |
|
0.1 |
|
23.2 |
|
- |
|
12.61 |
|
32 |
|
50.0 |
|
1.29 |
|
0.1 |
|
239.0 |
|
- |
|
|
|
|
100.00 (Default) |
- |
|
- |
|
- |
|
- |
|
100.00 |
|
2 |
|
76.7 |
|
1.00 |
|
- |
|
81.2 |
|
- |
|
|
|
|
Sub-total |
80.8 |
|
13.6 |
|
45.4 |
|
87.0 |
|
0.11 |
|
4,033 |
|
41.3 |
|
1.33 |
|
17.6 |
|
20.2 |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Corporate - Specialised Lending (excluding Slotting)1 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
1.4 |
|
1.1 |
|
34.3 |
|
1.8 |
|
0.10 |
|
409 |
|
30.1 |
|
3.31 |
|
0.5 |
|
26 |
|
- |
|
|
|
|
0.15 to <0.25 |
1.5 |
|
0.8 |
|
30.9 |
|
1.6 |
|
0.22 |
|
431 |
|
32.3 |
|
3.91 |
|
0.7 |
|
44 |
|
- |
|
|
|
|
0.25 to <0.50 |
0.9 |
|
0.3 |
|
43.4 |
|
1.0 |
|
0.37 |
|
232 |
|
32.4 |
|
3.55 |
|
0.6 |
|
54 |
|
- |
|
|
|
|
0.50 to <0.75 |
0.9 |
|
0.2 |
|
51.8 |
|
1.0 |
|
0.63 |
|
254 |
|
23.3 |
|
4.18 |
|
0.5 |
|
52 |
|
- |
|
|
|
|
0.75 to <2.50 |
1.9 |
|
0.8 |
|
47.4 |
|
2.3 |
|
1.33 |
|
487 |
|
30.1 |
|
3.55 |
|
1.7 |
|
79 |
|
- |
|
|
|
|
2.50 to <10.00 |
0.4 |
|
0.1 |
|
36.2 |
|
0.5 |
|
4.85 |
|
232 |
|
23.8 |
|
3.24 |
|
0.4 |
|
87 |
|
- |
|
|
|
|
10.00 to <100.00 |
0.3 |
|
0.1 |
|
46.0 |
|
0.3 |
|
24.77 |
|
88 |
|
22.1 |
|
3.02 |
|
0.4 |
|
127 |
|
- |
|
|
|
|
100.00 (Default) |
0.1 |
|
0.2 |
|
70.7 |
|
0.3 |
|
100.00 |
|
133 |
|
30.6 |
|
4.49 |
|
0.3 |
|
127 |
|
0.1 |
|
|
|
|
Sub-total |
7.4 |
|
3.6 |
|
40.2 |
|
8.8 |
|
4.46 |
|
2,266 |
|
29.4 |
|
3.63 |
|
5.1 |
|
59 |
|
0.1 |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Corporate - Other |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
105.1 |
|
155.2 |
|
38.2 |
|
202.5 |
|
0.08 |
|
9,655 |
|
40.3 |
|
2.20 |
|
45.6 |
|
23 |
|
0.1 |
|
|
|
|
0.15 to <0.25 |
50.9 |
|
63.9 |
|
36.3 |
|
82.0 |
|
0.22 |
|
9,463 |
|
36.5 |
|
1.92 |
|
29.6 |
|
36 |
|
0.1 |
|
|
|
|
0.25 to <0.50 |
47.0 |
|
51.2 |
|
36.3 |
|
72.7 |
|
0.37 |
|
10,194 |
|
38.0 |
|
2.07 |
|
35.5 |
|
49 |
|
0.1 |
|
|
|
|
0.50 to <0.75 |
45.4 |
|
41.6 |
|
32.4 |
|
57.0 |
|
0.63 |
|
9,375 |
|
37.4 |
|
1.97 |
|
34.7 |
|
61 |
|
0.1 |
|
|
|
|
0.75 to <2.50 |
140.5 |
|
97.9 |
|
31.9 |
|
133.5 |
|
1.37 |
|
44,281 |
|
37.7 |
|
2.05 |
|
109.3 |
|
82 |
|
0.7 |
|
|
|
|
2.50 to <10.00 |
33.5 |
|
26.2 |
|
33.7 |
|
30.8 |
|
4.17 |
|
11,455 |
|
38.8 |
|
1.97 |
|
36.4 |
|
118 |
|
0.5 |
|
|
|
|
10.00 to <100.00 |
5.0 |
|
3.6 |
|
39.8 |
|
4.8 |
|
21.79 |
|
2,202 |
|
37.8 |
|
1.90 |
|
8.6 |
|
179 |
|
0.4 |
|
|
|
|
100.00 (Default) |
5.0 |
|
1.0 |
|
33.5 |
|
5.2 |
|
100.00 |
|
2,429 |
|
46.1 |
|
2.11 |
|
9.8 |
|
190 |
|
2.1 |
|
|
|
|
Sub-total |
432.4 |
|
440.6 |
|
35.8 |
|
588.5 |
|
1.75 |
|
99,054 |
|
38.6 |
|
2.07 |
|
309.5 |
|
53 |
|
4.1 |
|
3.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Wholesale AIRB - Total at 31 Dec 20172 |
882.5 |
|
460.1 |
|
36.1 |
|
1,047.6 |
|
1.11 |
|
105,704 |
|
40.0 |
|
2.01 |
|
379.3 |
|
37 |
|
4.3 |
|
3.4 |
|
|
|
|
|
|
|
|
94 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range (continued) |
||||||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
|
EAD post-CRM and post-CCF |
|
Average PD |
|
Number of obligors |
|
Average LGD |
|
Average maturity |
|
RWAs |
|
RWA density |
|
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
|
$bn |
|
% |
|
|
% |
|
years |
|
$bn |
|
% |
|
$bn |
|
$bn |
|
|
|
AIRB - Secured by mortgages on immovable property SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
0.4 |
|
- |
|
100.0 |
|
0.4 |
|
0.06 |
|
1,291 |
|
10.6 |
|
- |
|
- |
|
2 |
|
- |
|
|
|
|
0.15 to <0.25 |
- |
|
- |
|
100.0 |
|
- |
|
0.18 |
|
1,741 |
|
17.0 |
|
- |
|
- |
|
7 |
|
- |
|
|
|
|
0.25 to <0.50 |
0.2 |
|
- |
|
100.0 |
|
0.2 |
|
0.32 |
|
5,164 |
|
16.1 |
|
- |
|
- |
|
7 |
|
- |
|
|
|
|
0.50 to <0.75 |
0.1 |
|
- |
|
117.1 |
|
0.1 |
|
0.60 |
|
3,884 |
|
26.2 |
|
- |
|
- |
|
19 |
|
- |
|
|
|
|
0.75 to <2.50 |
0.3 |
|
- |
|
149.6 |
|
0.3 |
|
1.60 |
|
11,459 |
|
27.4 |
|
- |
|
0.1 |
|
33 |
|
- |
|
|
|
|
2.50 to <10.00 |
0.4 |
|
- |
|
102.0 |
|
0.4 |
|
5.06 |
|
5,183 |
|
24.3 |
|
- |
|
0.2 |
|
60 |
|
- |
|
|
|
|
10.00 to <100.00 |
0.1 |
|
- |
|
249.6 |
|
0.1 |
|
17.72 |
|
858 |
|
26.3 |
|
- |
|
0.1 |
|
104 |
|
- |
|
|
|
|
100.00 (Default) |
- |
|
- |
|
78.2 |
|
- |
|
100.00 |
|
1,215 |
|
24.2 |
|
- |
|
0.1 |
|
216 |
|
- |
|
|
|
|
Sub-total |
1.5 |
|
- |
|
122.5 |
|
1.5 |
|
4.26 |
|
30,795 |
|
20.8 |
|
- |
|
0.5 |
|
35 |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Secured by mortgages on immovable property non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
161.7 |
|
12.9 |
|
91.2 |
|
177.0 |
|
0.06 |
|
1,007,985 |
|
14.6 |
|
- |
|
9.9 |
|
6 |
|
- |
|
|
|
|
0.15 to <0.25 |
26.9 |
|
1.2 |
|
81.9 |
|
28.1 |
|
0.21 |
|
121,136 |
|
16.0 |
|
- |
|
3.1 |
|
11 |
|
- |
|
|
|
|
0.25 to <0.50 |
24.6 |
|
2.9 |
|
43.9 |
|
25.9 |
|
0.37 |
|
110,580 |
|
17.4 |
|
- |
|
4.3 |
|
17 |
|
- |
|
|
|
|
0.50 to <0.75 |
11.2 |
|
0.4 |
|
100.2 |
|
11.7 |
|
0.63 |
|
51,845 |
|
15.7 |
|
- |
|
2.2 |
|
19 |
|
- |
|
|
|
|
0.75 to <2.50 |
21.8 |
|
1.0 |
|
72.4 |
|
22.6 |
|
1.31 |
|
98,817 |
|
17.0 |
|
- |
|
6.5 |
|
29 |
|
- |
|
|
|
|
2.50 to <10.00 |
5.9 |
|
0.2 |
|
96.6 |
|
6.1 |
|
4.53 |
|
27,756 |
|
11.3 |
|
- |
|
2.3 |
|
38 |
|
- |
|
|
|
|
10.00 to <100.00 |
2.1 |
|
0.1 |
|
98.8 |
|
2.3 |
|
26.58 |
|
21,434 |
|
18.5 |
|
- |
|
2.8 |
|
120 |
|
0.1 |
|
|
|
|
100.00 (Default) |
2.4 |
|
- |
|
69.5 |
|
2.4 |
|
100.00 |
|
20,590 |
|
24.7 |
|
- |
|
2.1 |
|
86 |
|
0.7 |
|
|
|
|
Sub-total |
256.6 |
|
18.7 |
|
82.5 |
|
276.1 |
|
1.44 |
|
1,460,143 |
|
15.3 |
|
- |
|
33.2 |
|
12 |
|
0.8 |
|
0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Qualifying revolving retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
5.5 |
|
68.1 |
|
47.1 |
|
37.4 |
|
0.07 |
|
12,974,761 |
|
93.5 |
|
- |
|
1.7 |
|
5 |
|
- |
|
|
|
|
0.15 to <0.25 |
1.4 |
|
13.2 |
|
44.0 |
|
7.2 |
|
0.21 |
|
2,294,812 |
|
94.9 |
|
- |
|
0.8 |
|
11 |
|
- |
|
|
|
|
0.25 to <0.50 |
2.2 |
|
10.2 |
|
42.5 |
|
6.4 |
|
0.37 |
|
1,829,719 |
|
93.6 |
|
- |
|
1.2 |
|
19 |
|
- |
|
|
|
|
0.50 to <0.75 |
2.1 |
|
4.3 |
|
49.8 |
|
4.2 |
|
0.60 |
|
1,104,290 |
|
93.4 |
|
- |
|
1.1 |
|
27 |
|
- |
|
|
|
|
0.75 to <2.50 |
5.8 |
|
7.1 |
|
47.9 |
|
9.0 |
|
1.39 |
|
2,143,093 |
|
91.5 |
|
- |
|
4.4 |
|
48 |
|
0.1 |
|
|
|
|
2.50 to <10.00 |
3.0 |
|
1.5 |
|
59.4 |
|
3.9 |
|
4.79 |
|
773,854 |
|
89.9 |
|
- |
|
4.4 |
|
114 |
|
0.3 |
|
|
|
|
10.00 to <100.00 |
0.8 |
|
0.3 |
|
58.1 |
|
1.0 |
|
30.07 |
|
281,160 |
|
91.6 |
|
- |
|
2.2 |
|
225 |
|
0.3 |
|
|
|
|
100.00 (Default) |
0.1 |
|
- |
|
12.2 |
|
0.1 |
|
100.00 |
|
33,075 |
|
83.7 |
|
- |
|
0.2 |
|
161 |
|
0.1 |
|
|
|
|
Sub-total |
20.9 |
|
104.7 |
|
46.6 |
|
69.2 |
|
1.15 |
|
21,434,764 |
|
93.1 |
|
- |
|
16.0 |
|
23 |
|
0.8 |
|
0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Other SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
0.1 |
|
0.2 |
|
44.9 |
|
0.2 |
|
0.09 |
|
92,804 |
|
62.2 |
|
- |
|
- |
|
12 |
|
- |
|
|
|
|
0.15 to <0.25 |
0.2 |
|
0.2 |
|
51.1 |
|
0.3 |
|
0.22 |
|
70,783 |
|
60.6 |
|
- |
|
0.1 |
|
23 |
|
- |
|
|
|
|
0.25 to <0.50 |
0.4 |
|
0.4 |
|
51.4 |
|
0.6 |
|
0.38 |
|
130,411 |
|
62.9 |
|
- |
|
0.2 |
|
33 |
|
- |
|
|
|
|
0.50 to <0.75 |
0.5 |
|
0.6 |
|
67.7 |
|
0.9 |
|
0.63 |
|
164,640 |
|
61.0 |
|
- |
|
0.4 |
|
42 |
|
- |
|
|
|
|
0.75 to <2.50 |
2.2 |
|
1.4 |
|
59.1 |
|
3.0 |
|
1.55 |
|
384,599 |
|
59.0 |
|
- |
|
1.7 |
|
57 |
|
- |
|
|
|
|
2.50 to <10.00 |
2.5 |
|
1.2 |
|
57.3 |
|
3.2 |
|
4.80 |
|
195,235 |
|
55.4 |
|
- |
|
2.1 |
|
67 |
|
0.1 |
|
|
|
|
10.00 to <100.00 |
0.5 |
|
0.2 |
|
53.6 |
|
0.6 |
|
18.36 |
|
80,752 |
|
69.8 |
|
- |
|
0.7 |
|
112 |
|
0.1 |
|
|
|
|
100.00 (Default) |
0.5 |
|
0.1 |
|
90.6 |
|
0.6 |
|
100.00 |
|
18,209 |
|
39.2 |
|
- |
|
0.7 |
|
116 |
|
0.3 |
|
|
|
|
Sub-total |
6.9 |
|
4.3 |
|
58.2 |
|
9.4 |
|
9.84 |
|
1,137,433 |
|
57.7 |
|
- |
|
5.9 |
|
63 |
|
0.5 |
|
0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
AIRB - Other non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
9.2 |
|
6.5 |
|
32.2 |
|
11.9 |
|
0.08 |
|
453,740 |
|
21.9 |
|
- |
|
0.7 |
|
6 |
|
- |
|
|
|
|
0.15 to <0.25 |
6.5 |
|
3.6 |
|
35.6 |
|
8.1 |
|
0.21 |
|
359,875 |
|
28.2 |
|
- |
|
1.1 |
|
13 |
|
- |
|
|
|
|
0.25 to <0.50 |
6.3 |
|
2.7 |
|
29.4 |
|
7.3 |
|
0.37 |
|
318,434 |
|
30.5 |
|
- |
|
1.5 |
|
21 |
|
- |
|
|
|
|
0.50 to <0.75 |
4.8 |
|
1.4 |
|
28.4 |
|
5.3 |
|
0.61 |
|
178,341 |
|
27.3 |
|
- |
|
1.2 |
|
24 |
|
- |
|
|
|
|
0.75 to <2.50 |
8.5 |
|
0.7 |
|
27.9 |
|
8.9 |
|
1.34 |
|
332,213 |
|
26.5 |
|
- |
|
3.0 |
|
33 |
|
- |
|
|
|
|
2.50 to <10.00 |
2.9 |
|
0.9 |
|
26.1 |
|
3.2 |
|
4.24 |
|
194,512 |
|
34.4 |
|
- |
|
1.8 |
|
57 |
|
0.1 |
|
|
|
|
10.00 to <100.00 |
0.6 |
|
- |
|
21.2 |
|
0.6 |
|
24.44 |
|
84,817 |
|
49.3 |
|
- |
|
0.6 |
|
107 |
|
0.1 |
|
|
|
|
100.00 (Default) |
0.3 |
|
0.1 |
|
11.3 |
|
0.4 |
|
100.00 |
|
40,604 |
|
46.2 |
|
- |
|
0.2 |
|
49 |
|
0.2 |
|
|
|
|
Sub-total |
39.1 |
|
15.9 |
|
31.5 |
|
45.7 |
|
1.83 |
|
1,962,536 |
|
27.3 |
|
- |
|
10.1 |
|
22 |
|
0.4 |
|
0.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Retail AIRB - Total at 31 Dec 2017 |
325.0 |
|
143.6 |
|
50.0 |
|
401.9 |
|
1.64 |
|
26,025,671 |
|
31.1 |
|
- |
|
65.7 |
|
16 |
|
2.5 |
|
1.0 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
95 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range (continued) |
||||||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
|
EAD post-CRM and post-CCF |
|
Average PD |
|
Number of obligors |
|
Average LGD |
|
Average maturity |
|
RWAs |
|
RWA density |
|
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
|
$bn |
|
% |
|
|
% |
|
years |
|
$bn |
|
% |
|
$bn |
|
$bn |
|
|
|
FIRB - Central government and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
- |
|
- |
|
- |
|
0.1 |
|
0.05 |
|
1 |
|
45.0 |
|
4.48 |
|
- |
|
31 |
|
- |
|
|
|
|
0.15 to <0.25 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.25 to <0.50 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.50 to <0.75 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.75 to <2.50 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
2.50 to <10.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
10.00 to <100.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
100.00 (Default) |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
Sub-total |
- |
|
- |
|
- |
|
0.1 |
|
0.05 |
|
1 |
|
45.0 |
|
4.48 |
|
- |
|
31 |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
FIRB - Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
0.2 |
|
- |
|
0.8 |
|
0.2 |
|
0.11 |
|
4 |
|
45.0 |
|
2.13 |
|
0.1 |
|
29 |
|
- |
|
|
|
|
0.15 to <0.25 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.25 to <0.50 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.50 to <0.75 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
0.75 to <2.50 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
2.50 to <10.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
10.00 to <100.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
100.00 (Default) |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
|
|
Sub-total |
0.2 |
|
- |
|
0.8 |
|
0.2 |
|
0.11 |
|
4 |
|
45.0 |
|
2.13 |
|
0.1 |
|
29 |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
FIRB - Corporate - Other |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
0.00 to <0.15 |
9.5 |
|
12.7 |
|
44.3 |
|
14.9 |
|
0.08 |
|
1,144 |
|
45.0 |
|
2.47 |
|
4.1 |
|
27 |
|
- |
|
|
|
|
0.15 to <0.25 |
3.0 |
|
6.1 |
|
42.1 |
|
5.6 |
|
0.22 |
|
1,259 |
|
44.1 |
|
2.33 |
|
2.7 |
|
47 |
|
- |
|
|
|
|
0.25 to <0.50 |
4.4 |
|
6.1 |
|
32.7 |
|
6.3 |
|
0.37 |
|
1,319 |
|
44.1 |
|
1.88 |
|
3.6 |
|
56 |
|
- |
|
|
|
|
0.50 to <0.75 |
3.0 |
|
4.6 |
|
24.0 |
|
4.2 |
|
0.63 |
|
1,091 |
|
42.9 |
|
2.19 |
|
3.1 |
|
75 |
|
- |
|
|
|
|
0.75 to <2.50 |
8.5 |
|
10.0 |
|
25.8 |
|
10.7 |
|
1.36 |
|
3,663 |
|
43.1 |
|
1.75 |
|
9.7 |
|
92 |
|
0.1 |
|
|
|
|
2.50 to <10.00 |
2.5 |
|
2.0 |
|
30.9 |
|
3.0 |
|
4.67 |
|
1,059 |
|
43.7 |
|
2.03 |
|
4.4 |
|
144 |
|
0.1 |
|
|
|
|
10.00 to <100.00 |
0.3 |
|
0.3 |
|
30.3 |
|
0.4 |
|
21.37 |
|
184 |
|
41.4 |
|
1.10 |
|
0.7 |
|
192 |
|
- |
|
|
|
|
100.00 (Default) |
0.6 |
|
0.2 |
|
38.6 |
|
0.7 |
|
100.00 |
|
279 |
|
43.8 |
|
1.68 |
|
- |
|
- |
|
0.3 |
|
|
|
|
Sub-total |
31.8 |
|
42.0 |
|
34.9 |
|
45.8 |
|
2.52 |
|
9,998 |
|
44.0 |
|
2.13 |
|
28.3 |
|
62 |
|
0.5 |
|
0.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
FIRB - Total at 31 Dec 2017 |
32.0 |
|
42.0 |
|
34.9 |
|
46.1 |
|
2.51 |
|
10,003 |
|
44.0 |
|
2.13 |
|
28.4 |
|
62 |
|
0.5 |
|
0.5 |
|
|
|
|
|
1 |
Slotting exposures are disclosed in Table 61: Specialised lending. |
|
|
|
|
2 |
The Wholesale AIRB Total includes Non-credit obligation assets amounting to $56.1bn of Original exposure and EAD, and $13.2bn of RWAs. |
|
|
|
|
|
|
|
96 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range (continued) |
||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
EAD post-CRM and post-CCF |
|
Average PD |
Number of obligors |
|
Average LGD |
Average maturity |
|
RWAs |
|
RWA density |
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
$bn |
|
% |
|
% |
years |
|
$bn |
|
% |
$bn |
|
$bn |
|
|
|
AIRB - Central government and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
0.00 to <0.15 |
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 |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
20 |
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Corporate - Specialised Lending (excluding Slotting)1 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Corporate - Other |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
3.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Wholesale AIRB - Total at 31 Dec 2016 |
809.0 |
|
433.3 |
|
36.0 |
1,017.0 |
|
1.27 |
107,032 |
|
40.0 |
2.00 |
|
354.3 |
|
36 |
4.7 |
|
3.5 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
97 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range (continued) |
||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
EAD post-CRM and post-CCF |
|
Average PD |
Number of obligors |
|
Average LGD |
Average maturity |
|
RWAs |
|
RWA density |
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
$bn |
|
% |
|
% |
years |
|
$bn |
|
% |
$bn |
|
$bn |
|
|
|
AIRB - Secured by mortgages on immovable property SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
0.00 to <0.15 |
0.3 |
|
- |
|
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 |
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Secured by mortgages on immovable property non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
0.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Qualifying revolving retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Other SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
AIRB - Other non-SME |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
0.3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Retail AIRB - Total at 31 Dec 2016 |
296.6 |
|
130.6 |
|
50.3 |
366.8 |
|
2.19 |
24,060,113 |
|
32.3 |
- |
|
66.1 |
|
18 |
3.5 |
|
1.3 |
|
|
|
|
|
|
|
|
98 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 60: IRB - Credit risk exposures by portfolio and PD range (continued) |
||||||||||||||||||||
|
|
Original on-balance sheet gross exposure |
|
Off-balance sheet exposures pre-CCF |
|
Average CCF |
EAD post-CRM and post-CCF |
|
Average PD |
Number of obligors |
|
Average LGD |
Average maturity |
|
RWAs |
|
RWA density |
Expected loss |
|
Value adjustments and provisions |
|
|
PD scale |
$bn |
|
$bn |
|
% |
$bn |
|
% |
|
% |
years |
|
$bn |
|
% |
$bn |
|
$bn |
|
|
|
FIRB - Central government and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
0.00 to <0.15 |
- |
|
- |
|
75.0 |
0.1 |
|
0.04 |
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 |
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
FIRB - Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
FIRB - Corporate - Other |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
0.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
FIRB - Total at 31 Dec 2016 |
29.3 |
|
40.5 |
|
34.0 |
42.8 |
|
1.94 |
10,035 |
|
43.8 |
2.1 |
|
25.9 |
|
61 |
0.4 |
|
0.4 |
|
|
|
|
|
1 |
Slotting exposures are disclosed in Table 61 Specialised lending. |
|
|
|
|
2 |
The Wholesale AIRB Total includes Non-credit obligation assets amounting to $51.9bn of Original exposure and EAD, and $12.1bn of RWAs. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
99 |
Pillar 3 Disclosures at 31 December 2017
|
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 61: Specialised lending on slotting approach¹ |
|
|||||||||||||
|
|
|
On-balance sheet amount |
|
Off-balance sheet amount |
|
Risk weight |
|
Exposure amount |
|
RWAs |
|
Expected loss |
|
|
|
Regulatory categories |
Remaining maturity |
|||||||||||||
|
$bn |
|
$bn |
|
% |
|
$bn |
|
$bn |
|
$bn |
|
|
||
|
Category 1 |
Less than 2.5 years |
12.2 |
|
1.6 |
|
50 |
|
13.2 |
|
6.7 |
|
- |
|
|
|
Equal to or more than 2.5 years |
12.9 |
|
2.0 |
|
70 |
|
14.3 |
|
10.0 |
|
0.1 |
|
|
|
|
Category 2 |
Less than 2.5 years |
3.3 |
|
0.2 |
|
70 |
|
3.3 |
|
2.4 |
|
- |
|
|
|
Equal to or more than 2.5 years |
2.8 |
|
0.4 |
|
90 |
|
3.0 |
|
2.7 |
|
- |
|
|
|
|
Category 3 |
Less than 2.5 years |
0.4 |
|
- |
|
115 |
|
0.4 |
|
0.4 |
|
- |
|
|
|
Equal to or more than 2.5 years |
0.9 |
|
0.1 |
|
115 |
|
0.8 |
|
0.9 |
|
- |
|
|
|
|
Category 4 |
Less than 2.5 years |
0.1 |
|
- |
|
250 |
|
0.1 |
|
0.2 |
|
- |
|
|
|
Equal to or more than 2.5 years |
0.1 |
|
- |
|
250 |
|
0.1 |
|
0.3 |
|
- |
|
|
|
|
Category 5 |
Less than 2.5 years |
0.3 |
|
- |
|
- |
|
0.6 |
|
- |
|
0.3 |
|
|
|
Equal to or more than 2.5 years |
0.3 |
|
- |
|
- |
|
0.3 |
|
- |
|
0.2 |
|
|
|
|
Total at 31 Dec 2017 |
Less than 2.5 years |
16.3 |
|
1.8 |
|
|
17.6 |
|
9.7 |
|
0.3 |
|
|
|
|
Equal to or more than 2.5 years |
17.0 |
|
2.5 |
|
|
18.5 |
|
13.9 |
|
0.3 |
|
|
||
|
|
|
|
|
|
|
|
|
|
||||||
|
Category 1 |
Less than 2.5 years |
9.1 |
|
1.5 |
|
50 |
|
9.9 |
|
5.0 |
|
- |
|
|
|
Equal to or more than 2.5 years |
12.6 |
|
1.5 |
|
70 |
|
13.7 |
|
9.5 |
|
0.1 |
|
|
|
|
Category 2 |
Less than 2.5 years |
2.9 |
|
0.4 |
|
70 |
|
3.1 |
|
2.1 |
|
- |
|
|
|
Equal to or more than 2.5 years |
2.8 |
|
0.1 |
|
90 |
|
2.8 |
|
2.5 |
|
- |
|
|
|
|
Category 3 |
Less than 2.5 years |
0.5 |
|
- |
|
115 |
|
0.5 |
|
0.6 |
|
- |
|
|
|
Equal to or more than 2.5 years |
0.9 |
|
- |
|
115 |
|
0.9 |
|
1.0 |
|
- |
|
|
|
|
Category 4 |
Less than 2.5 years |
0.3 |
|
- |
|
250 |
|
0.3 |
|
0.8 |
|
- |
|
|
|
Equal to or more than 2.5 years |
0.1 |
|
- |
|
250 |
|
0.1 |
|
0.3 |
|
- |
|
|
|
|
Category 5 |
Less than 2.5 years |
0.5 |
|
- |
|
- |
|
0.8 |
|
- |
|
0.5 |
|
|
|
Equal to or more than 2.5 years |
0.3 |
|
- |
|
- |
|
0.4 |
|
- |
|
0.2 |
|
|
|
|
Total at 31 Dec 2016 |
Less than 2.5 years |
13.3 |
|
1.9 |
|
|
14.6 |
|
8.5 |
|
0.5 |
|
|
|
|
Equal to or more than 2.5 years |
16.7 |
|
1.6 |
|
|
17.9 |
|
13.3 |
|
0.3 |
|
|
||
|
|
|
|
1 |
High volatility commercial real estate ('HVCRE') exposures and risk weighted assets are not included in the above table. The value of exposures and RWAs under HVCRE was nil at 31 December 2017 (31 Dec 2016: EAD $0.6bn; RWA $0.4bn). |
|
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 62: Analysis of counterparty credit risk (CCR) exposure by approach (excluding centrally cleared exposures) |
||||||||||||||||
|
|
|
|
Notional |
|
Replacement cost |
|
Potential future exposure |
|
EEPE |
|
Multiplier |
|
EAD post-CRM |
|
RWAs |
|
|
|
|
Footnote |
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Mark to market |
|
14,404.8 |
|
17.2 |
|
44.5 |
|
- |
|
- |
|
61.7 |
|
25.2 |
|
|
4 |
Internal Model Method |
|
12,898.8 |
|
- |
|
- |
|
15.9 |
|
1.4 |
|
22.2 |
|
9.7 |
|
|
|
- of which: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
derivatives and long settlement transactions |
|
12,898.8 |
|
- |
|
- |
|
15.9 |
|
1.4 |
|
22.2 |
|
9.7 |
|
|
9 |
Financial collateral comprehensive method (for SFTs) |
|
677.1 |
|
- |
|
- |
|
- |
|
- |
|
47.6 |
|
8.7 |
|
|
11 |
Total at 31 Dec 2017 |
|
27,980.7 |
|
17.2 |
|
44.5 |
|
15.9 |
|
1.4 |
|
131.5 |
|
43.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 63: Credit valuation adjustment (CVA) capital charge |
|||||||||
|
|
|
At 31 Dec 2017 |
At 31 Dec 2016 |
||||||
|
|
|
EAD post-CRM |
|
RWAs |
|
EAD post-CRM |
|
RWAs |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Total portfolios subject to the Advanced CVA capital charge |
9.4 |
|
2.8 |
|
12.8 |
|
3.5 |
|
|
2 |
- VaR component (including the 3 × multiplier) |
|
|
0.7 |
|
|
0.8 |
|
|
|
3 |
- stressed VaR component (including the 3 × multiplier) |
|
|
2.1 |
|
|
2.7 |
|
|
|
4 |
All portfolios subject to the Standardised CVA capital charge |
36.6 |
|
6.7 |
|
41.6 |
|
10.9 |
|
|
5 |
Total subject to the CVA capital charge |
46.0 |
|
9.5 |
|
54.4 |
|
14.4 |
|
|
|
|
|
|
|
|
100 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 64: Standardised approach - CCR exposures by regulatory portfolio and risk weights |
|||||||||||||||||||||
|
|
Risk weight |
0% |
|
10% |
|
20% |
|
50% |
|
75% |
|
100% |
|
150% |
|
Others |
|
Total credit exposure |
|
Of which unrated |
|
|
1 |
Central governments and central banks |
7.5 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
7.5 |
|
6.3 |
|
|
2 |
Regional government or local authorities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Multilateral development banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
International organisations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
Institutions |
- |
|
- |
|
- |
|
0.1 |
|
- |
|
- |
|
- |
|
- |
|
0.1 |
|
0.1 |
|
|
7 |
Corporates |
- |
|
- |
|
- |
|
- |
|
- |
|
1.9 |
|
- |
|
- |
|
1.9 |
|
1.7 |
|
|
8 |
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
Institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 |
Other items |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total at 31 Dec 2017 |
7.5 |
|
- |
|
- |
|
0.1 |
|
- |
|
1.9 |
|
- |
|
- |
|
9.5 |
|
8.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
1 |
Central governments and central banks |
7.3 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
7.3 |
|
4.3 |
|
|
2 |
Regional government or local authorities |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
3 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
4 |
Multilateral development banks |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
5 |
International organisations |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
6 |
Institutions |
- |
|
- |
|
- |
|
0.2 |
|
- |
|
- |
|
- |
|
- |
|
0.2 |
|
0.2 |
|
|
7 |
Corporates |
- |
|
- |
|
- |
|
0.1 |
|
- |
|
2.5 |
|
- |
|
- |
|
2.6 |
|
2.3 |
|
|
8 |
Retail |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
9 |
Institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
10 |
Other items |
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
Total at 31 Dec 2016 |
7.3 |
|
- |
|
- |
|
0.3 |
|
- |
|
2.5 |
|
- |
|
- |
|
10.1 |
|
6.8 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
101 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 65: IRB - CCR exposures by portfolio and PD scale |
|||||||||||
|
|
EAD post-CRM |
|
Average PD |
Number of obligors |
|
Average LGD |
Average maturity |
|
RWAs |
|
RWA density |
|
PD scale |
$bn |
|
% |
|
% |
years |
|
$bn |
|
% |
|
|
AIRB - Central Government and Central Banks |
|
|
|
|
|
|
|
||||
|
0.00 to <0.15 |
10.9 |
|
0.03 |
92 |
|
45.0 |
0.96 |
|
0.7 |
|
6 |
|
0.15 to <0.25 |
0.2 |
|
0.22 |
9 |
|
45.0 |
2.83 |
|
0.1 |
|
49 |
|
0.25 to <0.50 |
0.1 |
|
0.37 |
5 |
|
45.0 |
1.96 |
|
- |
|
58 |
|
0.50 to <0.75 |
- |
|
0.63 |
6 |
|
45.0 |
1.01 |
|
- |
|
63 |
|
0.75 to <2.50 |
0.3 |
|
1.72 |
9 |
|
45.0 |
1.42 |
|
0.4 |
|
102 |
|
2.50 to <10.00 |
1.0 |
|
3.59 |
2 |
|
45.0 |
0.46 |
|
1.2 |
|
123 |
|
10.00 to <100.00 |
- |
|
- |
- |
|
- |
- |
|
- |
|
- |
|
100.00 (Default) |
- |
|
- |
- |
|
- |
- |
|
- |
|
- |
|
Sub-total |
12.5 |
|
0.42 |
123 |
|
45.0 |
1.00 |
|
2.4 |
|
19 |
|
|
|
|
|
|
|
|
|
||||
|
AIRB - Institutions |
|
|
|
|
|
|
|
||||
|
0.00 to <0.15 |
46.8 |
|
0.06 |
3,973 |
|
45.3 |
1.34 |
|
9.8 |
|
21 |
|
0.15 to <0.25 |
3.9 |
|
0.22 |
331 |
|
46.1 |
1.55 |
|
2.0 |
|
50 |
|
0.25 to <0.50 |
2.1 |
|
0.37 |
93 |
|
45.0 |
1.13 |
|
1.3 |
|
59 |
|
0.50 to <0.75 |
0.7 |
|
0.63 |
91 |
|
46.3 |
1.24 |
|
0.5 |
|
76 |
|
0.75 to <2.50 |
0.7 |
|
1.23 |
164 |
|
45.4 |
1.41 |
|
0.7 |
|
107 |
|
2.50 to <10.00 |
- |
|
6.00 |
22 |
|
25.7 |
1.75 |
|
0.1 |
|
187 |
|
10.00 to <100.00 |
- |
|
12.67 |
13 |
|
54.7 |
2.57 |
|
- |
|
279 |
|
100.00 (Default) |
- |
|
100.00 |
1 |
|
45.0 |
1.00 |
|
- |
|
- |
|
Sub-total |
54.2 |
|
0.12 |
4,688 |
|
45.4 |
1.34 |
|
14.4 |
|
27 |
|
|
|
|
|
|
|
|
|
||||
|
AIRB - Corporates |
|
|
|
|
|
|
|
||||
|
0.00 to <0.15 |
31.4 |
|
0.07 |
5,025 |
|
44.2 |
1.84 |
|
7.2 |
|
23 |
|
0.15 to <0.25 |
5.8 |
|
0.22 |
1,726 |
|
47.9 |
1.40 |
|
2.7 |
|
46 |
|
0.25 to <0.50 |
3.8 |
|
0.37 |
1,053 |
|
45.3 |
2.09 |
|
2.4 |
|
62 |
|
0.50 to <0.75 |
2.9 |
|
0.63 |
936 |
|
46.0 |
1.38 |
|
2.1 |
|
76 |
|
0.75 to <2.50 |
6.8 |
|
1.36 |
3,065 |
|
45.8 |
1.48 |
|
6.9 |
|
102 |
|
2.50 to <10.00 |
0.6 |
|
4.53 |
566 |
|
46.3 |
1.99 |
|
1.0 |
|
152 |
|
10.00 to <100.00 |
0.1 |
|
20.58 |
86 |
|
47.3 |
1.20 |
|
0.2 |
|
263 |
|
100.00 (Default) |
0.1 |
|
100.00 |
22 |
|
43.4 |
4.41 |
|
- |
|
- |
|
Sub-total |
51.5 |
|
0.65 |
12,479 |
|
45.0 |
1.74 |
|
22.5 |
|
44 |
|
|
|
|
|
|
|
|
|
||||
|
AIRB - Total at 31 Dec 2017 |
118.2 |
|
0.45 |
17,290 |
|
53.4 |
1.30 |
|
39.3 |
|
33 |
|
|
|
|
|
|
|
|
|
||||
|
FIRB - Corporates |
|
|
|
|
|
|
|
||||
|
0.00 to <0.15 |
2.3 |
|
0.07 |
520 |
|
40.3 |
1.98 |
|
0.6 |
|
25 |
|
0.15 to <0.25 |
0.3 |
|
0.22 |
159 |
|
45.0 |
1.78 |
|
0.1 |
|
44 |
|
0.25 to <0.50 |
0.2 |
|
0.37 |
151 |
|
45.0 |
1.75 |
|
0.1 |
|
59 |
|
0.50 to <0.75 |
0.1 |
|
0.63 |
97 |
|
45.0 |
1.93 |
|
0.1 |
|
75 |
|
0.75 to <2.50 |
0.7 |
|
1.55 |
516 |
|
45.0 |
1.61 |
|
0.8 |
|
114 |
|
2.50 to <10.00 |
0.1 |
|
4.38 |
82 |
|
45.0 |
1.64 |
|
0.1 |
|
142 |
|
10.00 to <100.00 |
- |
|
10.22 |
9 |
|
45.0 |
1.00 |
|
- |
|
187 |
|
100.00 (Default) |
- |
|
100.00 |
5 |
|
45.0 |
1.10 |
|
- |
|
- |
|
FIRB - Total at 31 Dec 2017 |
3.7 |
|
0.54 |
1,539 |
|
45.0 |
1.99 |
|
1.8 |
|
50 |
|
|
|
|
|
|
|
|
|
||||
|
Total (all portfolios) at 31 Dec 2017 |
121.9 |
|
0.38 |
18,829 |
|
45.0 |
546.39 |
|
41.1 |
|
34 |
|
|
|
|
|
|
|
102 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 65: IRB - CCR exposures by portfolio and PD scale (continued) |
||||||||||||||
|
|
EAD post-CRM |
|
Average PD |
|
Number of obligors |
|
Average LGD |
|
Average maturity |
|
RWAs |
|
RWA density |
|
|
PD scale |
$bn |
|
% |
|
|
% |
|
years |
|
$bn |
|
% |
|
|
|
AIRB - Central Government and Central Banks |
|
|
|
|
|
|
|
|||||||
|
0.00 to <0.15 |
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 |
125 |
|
||
|
10.00 to <100.00 |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
100.00 (Default) |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
Sub-total |
12.3 |
0.19 |
|
133 |
|
45.3 |
|
1.00 |
|
1.7 |
13 |
|
||
|
|
||||||||||||||
|
AIRB - 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 |
|
||
|
|
|
|
|
|
|
|
|
|||||||
|
AIRB - 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 |
|
||
|
|
|
|
|
|
|
|
|
|||||||
|
AIRB - Total at 31 Dec 2016 |
121.3 |
|
34.00 |
|
18,075 |
|
44.5 |
|
1.50 |
|
41.3 |
|
34 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
FIRB - Corporates |
|
|
|
|
|
|
|
|||||||
|
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 |
|
- |
|
- |
|
|
FIRB - Total at 31 Dec 2017 |
5.5 |
|
0.20 |
|
1,538 |
|
45.0 |
|
1.91 |
|
1.9 |
|
35 |
|
|
|
|
|
|
|
|
|
|
|||||||
|
Total (all portfolios) at 31 Dec 2016 |
126.8 |
|
0.33 |
|
19,613 |
|
44.5 |
|
1.52 |
|
43.2 |
|
34 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
103 |
Pillar 3 Disclosures at 31 December 2017
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 66: Impact of netting and collateral held on exposure values |
|||||||||||
|
|
|
Gross positive fair value or net carrying amount |
|
Netting benefits |
|
Netted current credit exposure |
|
Collateral held |
|
Net credit exposure |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Derivatives |
628.3 |
|
469.0 |
|
159.3 |
|
41.8 |
|
117.5 |
|
|
2 |
SFTs |
679.3 |
|
- |
|
679.3 |
|
633.2 |
|
46.1 |
|
|
4 |
Total at 31 Dec 2017 |
1,307.6 |
|
469.0 |
|
838.6 |
|
675.0 |
|
163.6 |
|
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 67: Composition of collateral for CCR exposure |
|||||||||||||
|
|
|
Collateral used in derivative transactions |
Collateral used in SFTs |
||||||||||
|
|
|
Fair value of collateral received |
Fair value of posted collateral |
Fair value of collateral received |
|
Fair value of posted collateral |
|
||||||
|
|
|
Segregated |
|
Unsegregated |
|
Segregated |
|
Unsegregated |
|
||||
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Cash - domestic currency |
- |
|
5.9 |
|
1.4 |
|
3.5 |
|
72.6 |
|
96.3 |
|
|
2 |
Cash - other currencies |
- |
|
34.7 |
|
4.9 |
|
28.7 |
|
186.1 |
|
269.6 |
|
|
3 |
Domestic sovereign debt |
- |
|
5.4 |
|
- |
|
5.3 |
|
83.3 |
|
77.1 |
|
|
4 |
Other sovereign debt |
- |
|
7.6 |
|
- |
|
11.2 |
|
219.9 |
|
166.6 |
|
|
5 |
Government agency debt |
- |
|
0.2 |
|
- |
|
1.1 |
|
12.0 |
|
4.6 |
|
|
6 |
Corporate bonds |
- |
|
0.6 |
|
- |
|
0.4 |
|
39.2 |
|
17.1 |
|
|
7 |
Equity securities |
- |
|
0.4 |
|
- |
|
- |
|
46.3 |
|
45.0 |
|
|
8 |
Other collateral |
- |
|
0.2 |
|
- |
|
0.3 |
|
1.6 |
|
1.2 |
|
|
9 |
Total at 31 Dec 2017 |
- |
|
55.0 |
|
6.3 |
|
50.5 |
|
661.0 |
|
677.5 |
|
|
|
|
|
|
|
|
|
|
||||||
|
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 at 31 Dec 2016 |
- |
|
58.0 |
|
6.7 |
|
52.3 |
|
515.8 |
|
537.0 |
|
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Table 68: Exposures to central counterparties |
|||||||||
|
|
|
At 31 Dec 2017 |
At 31 Dec 2016 |
||||||
|
|
|
EAD post-CRM |
|
RWAs |
|
EAD post- CRM |
|
RWAs |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Exposures to QCCPs (total) |
42.3 |
|
1.4 |
|
34.0 |
|
1.2 |
|
|
2 |
Exposures for trades at QCCPs (excluding initial margin and default fund contributions) |
28.5 |
|
0.6 |
|
20.7 |
|
0.4 |
|
|
3 |
- OTC derivatives |
18.0 |
|
0.4 |
|
10.4 |
|
0.2 |
|
|
4 |
- exchange-traded derivatives |
8.1 |
|
0.2 |
|
7.2 |
|
0.1 |
|
|
5 |
- securities financing transactions |
2.4 |
|
- |
|
3.1 |
|
0.1 |
|
|
6 |
- netting sets where cross-product netting has been approved |
- |
|
- |
|
- |
|
- |
|
|
7 |
Segregated initial margin |
6.3 |
|
- |
|
6.7 |
|
- |
|
|
8 |
Non-segregated initial margin |
7.5 |
|
0.1 |
|
6.6 |
|
0.1 |
|
|
9 |
Pre-funded default fund contributions |
- |
|
0.7 |
|
- |
|
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 |
|
|
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 |
- |
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
104 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 69: Securitisation exposures in the non-trading book |
||||||||||||||||||||
|
|
|
|
Bank acts as originator |
Bank acts as sponsor |
Bank acts as investor |
|||||||||||||||
|
|
|
|
Traditional |
|
Synthetic |
|
Sub-total |
|
Traditional |
|
Synthetic |
|
Sub-total |
|
Traditional |
|
Synthetic |
|
Sub-total |
|
|
|
|
Footnote |
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Retail (total) |
|
0.8 |
|
- |
|
0.8 |
|
18.2 |
|
- |
|
18.2 |
|
6.0 |
|
- |
|
6.0 |
|
|
2 |
- residential mortgage |
|
- |
|
- |
|
- |
|
0.3 |
|
- |
|
0.3 |
|
2.6 |
|
- |
|
2.6 |
|
|
3 |
- credit card |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
1.0 |
|
- |
|
1.0 |
|
|
4 |
- other retail exposures |
|
- |
|
- |
|
- |
|
17.9 |
|
- |
|
17.9 |
|
2.4 |
|
- |
|
2.4 |
|
|
5 |
- re-securitisation |
|
0.8 |
|
- |
|
0.8 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
6 |
Wholesale (total) |
|
- |
|
4.7 |
|
4.7 |
|
2.7 |
|
- |
|
2.7 |
|
2.8 |
|
- |
|
2.8 |
|
|
7 |
- loans to corporates |
|
- |
|
4.7 |
|
4.7 |
|
0.4 |
|
- |
|
0.4 |
|
0.1 |
|
- |
|
0.1 |
|
|
8 |
- commercial mortgage |
|
- |
|
- |
|
- |
|
0.1 |
|
- |
|
0.1 |
|
2.0 |
|
- |
|
2.0 |
|
|
9 |
- lease and receivables |
|
- |
|
- |
|
- |
|
0.8 |
|
- |
|
0.8 |
|
0.4 |
|
- |
|
0.4 |
|
|
10 |
- other wholesale |
|
- |
|
- |
|
- |
|
0.4 |
|
- |
|
0.4 |
|
0.3 |
|
- |
|
0.3 |
|
|
11 |
- re-securitisation |
|
- |
|
- |
|
- |
|
1.0 |
|
- |
|
1.0 |
|
- |
|
- |
|
- |
|
|
|
Total at 31 Dec 2017 |
|
0.8 |
|
4.7 |
|
5.5 |
|
20.9 |
|
- |
|
20.9 |
|
8.8 |
|
- |
|
8.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
1 |
Retail (total) |
|
1.3 |
|
- |
|
1.3 |
|
17.3 |
|
- |
|
17.3 |
|
2.7 |
|
- |
|
2.7 |
|
|
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 |
1 |
1.3 |
|
- |
|
1.3 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
6 |
Wholesale (total) |
|
- |
|
4.7 |
|
4.7 |
|
5.4 |
|
- |
|
5.4 |
|
3.8 |
|
- |
|
3.8 |
|
|
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 |
|
- |
|
- |
|
- |
|
5.4 |
|
- |
|
5.4 |
|
0.1 |
|
- |
|
0.1 |
|
|
|
Total at 31 Dec 2016 |
|
1.3 |
|
4.7 |
|
6.0 |
|
22.7 |
|
- |
|
22.7 |
|
6.5 |
|
- |
|
6.5 |
|
|
|
|
|
1 |
In the comparative period, $1.2bn of traditional re-securitisation exposure originated by the Group has been reallocated from wholesale to retail. |
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 70: Securitisation exposures in the trading book |
|||||||||||||
|
|
|
At |
|||||||||||
|
|
|
31 Dec 2017 |
31 Dec 2016 |
||||||||||
|
|
|
Bank acts as investor1 |
Bank acts as investor1 |
||||||||||
|
|
|
Traditional |
|
Synthetic |
|
Sub-total |
|
Traditional |
|
Synthetic |
|
Sub-total |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
1 |
Retail (total) |
1.6 |
|
- |
|
1.6 |
|
1.5 |
|
- |
|
1.5 |
|
|
2 |
- residential mortgage |
0.9 |
|
- |
|
0.9 |
|
0.6 |
|
- |
|
0.6 |
|
|
3 |
- credit card |
0.2 |
|
- |
|
0.2 |
|
- |
|
- |
|
- |
|
|
4 |
- other retail exposures |
0.5 |
|
- |
|
0.5 |
|
0.9 |
|
- |
|
0.9 |
|
|
5 |
- re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
6 |
Wholesale (total) |
0.9 |
|
- |
|
0.9 |
|
1.0 |
|
- |
|
1.0 |
|
|
7 |
- loans to corporates |
- |
|
- |
|
- |
|
0.1 |
|
- |
|
0.1 |
|
|
8 |
- commercial mortgage |
0.6 |
|
- |
|
0.6 |
|
0.7 |
|
- |
|
0.7 |
|
|
9 |
- lease and receivables |
- |
|
- |
|
- |
|
- |
|
- |
|
- |
|
|
10 |
- other wholesale |
0.3 |
|
- |
|
0.3 |
|
0.1 |
|
- |
|
0.1 |
|
|
11 |
- re-securitisation |
- |
|
- |
|
- |
|
0.1 |
|
- |
|
0.1 |
|
|
|
Total (all portfolios) |
2.5 |
|
- |
|
2.5 |
|
2.5 |
|
- |
|
2.5 |
|
|
|
|
|
1 |
HSBC does not act as originator or sponsor for securitisation exposures in the trading book. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
105 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 71: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as originator or sponsor |
||||||||||||||||||||
|
|
|
Exposure values (by risk weight bands) |
|
Exposure values (by regulatory approach) |
||||||||||||||||
|
|
|
≤20% RW |
|
>20% to 50% RW |
|
>50% to 100% RW |
|
>100% to 1,250% RW |
|
1,250% RW1 |
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
2 |
Traditional securitisation |
18.6 |
|
1.4 |
|
0.2 |
|
0.5 |
|
0.8 |
|
|
20.2 |
|
- |
|
0.6 |
|
0.8 |
|
|
3 |
Securitisation |
18.4 |
|
0.7 |
|
0.2 |
|
0.3 |
|
0.2 |
|
|
19.1 |
|
- |
|
0.6 |
|
0.2 |
|
|
4 |
- retail underlying |
17.4 |
|
0.3 |
|
0.1 |
|
0.3 |
|
0.1 |
|
|
17.8 |
|
- |
|
0.3 |
|
0.1 |
|
|
5 |
- wholesale |
1.0 |
|
0.4 |
|
0.1 |
|
- |
|
0.1 |
|
|
1.3 |
|
- |
|
0.3 |
|
0.1 |
|
|
6 |
Re-securitisation |
0.2 |
|
0.7 |
|
- |
|
0.2 |
|
0.6 |
|
|
1.1 |
|
- |
|
- |
|
0.6 |
|
|
7 |
- senior |
0.2 |
|
- |
|
- |
|
- |
|
- |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
- |
|
0.7 |
|
- |
|
0.2 |
|
0.6 |
|
|
1.0 |
|
- |
|
- |
|
0.6 |
|
|
9 |
Synthetic securitisation |
4.3 |
|
- |
|
0.4 |
|
- |
|
- |
|
|
4.7 |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
4.3 |
|
- |
|
0.4 |
|
- |
|
- |
|
|
4.7 |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
4.3 |
|
- |
|
0.4 |
|
- |
|
- |
|
|
4.7 |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2017 |
22.9 |
|
1.4 |
|
0.6 |
|
0.5 |
|
0.8 |
|
|
24.9 |
|
- |
|
0.6 |
|
0.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
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 |
|
- |
|
|
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 |
|
|
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 |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
4.3 |
|
- |
|
0.4 |
|
- |
|
- |
|
|
4.7 |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2016 |
21.0 |
|
2.0 |
|
0.6 |
|
0.2 |
|
4.9 |
|
|
23.6 |
|
- |
|
0.2 |
|
4.9 |
|
|
|
|
|
1 |
The movements in 1,250% risk-weighted positions during 2017 are primarily attributable to a change in the presentation of overlapping exposures to Solitaire Funding Limited. Comparatives for 2016 have not been restated. |
|
|
|
|
|
|
|
106 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 71: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as originator or sponsor (continued) |
||||||||||||||||||
|
|
|
RWAs (by regulatory approach) |
|
Capital charge after cap |
||||||||||||||
|
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% 1 |
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
2 |
Traditional securitisation |
3.3 |
|
- |
|
0.4 |
|
7.1 |
|
|
0.2 |
|
- |
|
- |
|
0.6 |
|
|
3 |
Securitisation |
2.3 |
|
- |
|
0.4 |
|
1.4 |
|
|
0.1 |
|
- |
|
- |
|
0.2 |
|
|
4 |
- retail underlying |
2.1 |
|
- |
|
0.3 |
|
0.7 |
|
|
0.1 |
|
- |
|
- |
|
0.1 |
|
|
5 |
- wholesale |
0.2 |
|
- |
|
0.1 |
|
0.7 |
|
|
- |
|
- |
|
- |
|
0.1 |
|
|
6 |
Re-securitisation |
1.0 |
|
- |
|
- |
|
5.7 |
|
|
0.1 |
|
- |
|
- |
|
0.4 |
|
|
7 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
1.0 |
|
- |
|
- |
|
5.7 |
|
|
0.1 |
|
- |
|
- |
|
0.4 |
|
|
9 |
Synthetic securitisation |
0.8 |
|
- |
|
- |
|
0.3 |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
0.8 |
|
- |
|
- |
|
0.3 |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
0.8 |
|
- |
|
- |
|
0.3 |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2017 |
4.1 |
|
- |
|
0.4 |
|
7.4 |
|
|
0.3 |
|
- |
|
- |
|
0.6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
2 |
Traditional securitisation |
2.6 |
|
- |
|
0.2 |
|
58.8 |
|
|
0.2 |
|
- |
|
- |
|
1.2 |
|
|
3 |
Securitisation |
1.6 |
|
- |
|
0.2 |
|
- |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
4 |
- retail underlying |
1.6 |
|
- |
|
0.2 |
|
- |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
5 |
- wholesale |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
6 |
Re-securitisation |
1.0 |
|
- |
|
- |
|
58.8 |
|
|
0.1 |
|
- |
|
- |
|
1.2 |
|
|
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 |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
0.9 |
|
- |
|
- |
|
0.4 |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2016 |
3.5 |
|
- |
|
0.2 |
|
59.2 |
|
|
0.3 |
|
- |
|
- |
|
1.2 |
|
|
|
|
|
1 |
The movements in 1,250% risk-weighted positions during 2017 are primarily attributable to a change in the presentation of overlapping exposures to Solitaire Funding Limited. Comparatives for 2016 have not been restated. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
107 |
Pillar 3 Disclosures at 31 December 2017
|
|
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 72: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as investor |
||||||||||||||||||||
|
|
|
Exposure values (by risk weight bands) |
|
Exposure values (by regulatory approach) |
||||||||||||||||
|
|
|
≤20% RW |
|
>20% to 50% RW |
|
>50% to 100% RW |
|
>100% to 1,250% RW |
|
1,250% RW |
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
2 |
Traditional securitisation |
6.7 |
|
0.5 |
|
1.6 |
|
- |
|
0.1 |
|
|
7.2 |
|
- |
|
1.4 |
|
0.1 |
|
|
3 |
Securitisation |
6.7 |
|
0.5 |
|
1.6 |
|
- |
|
0.1 |
|
|
7.2 |
|
- |
|
1.4 |
|
0.1 |
|
|
4 |
- retail underlying |
4.5 |
|
0.4 |
|
1.1 |
|
- |
|
0.1 |
|
|
4.5 |
|
- |
|
1.4 |
|
0.1 |
|
|
5 |
- wholesale |
2.2 |
|
0.1 |
|
0.5 |
|
- |
|
- |
|
|
2.7 |
|
- |
|
- |
|
- |
|
|
6 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
7 |
- senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
9 |
Synthetic securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2017 |
6.7 |
|
0.5 |
|
1.6 |
|
- |
|
0.1 |
|
|
7.2 |
|
- |
|
1.4 |
|
0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
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 |
|
|
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 |
|
- |
|
- |
|
- |
|
|
7 |
- senior |
- |
|
- |
|
0.1 |
|
- |
|
- |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
- |
|
0.1 |
|
- |
|
- |
|
- |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
9 |
Synthetic securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2016 |
4.9 |
|
0.3 |
|
1.2 |
|
- |
|
0.1 |
|
|
5.6 |
|
- |
|
0.8 |
|
0.1 |
|
|
|
|
|
|
|
|
108 |
HSBC Holdings plc Pillar 3 2017 |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Table 72: Securitisation exposures in the non-trading book and associated capital requirements - bank acting as investor (continued) |
|
|||||||||||||||||
|
|
|
RWAs (by regulatory approach) |
|
Capital charge after cap |
||||||||||||||
|
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% |
|
|
IRB RBM (including IAA) |
|
IRB SFA |
|
SA |
|
1,250% |
|
|
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
$bn |
|
$bn |
|
$bn |
|
$bn |
|
|
2 |
Traditional securitisation |
1.9 |
|
- |
|
1.2 |
|
0.9 |
|
|
0.1 |
|
- |
|
0.1 |
|
0.1 |
|
|
3 |
Securitisation |
1.9 |
|
- |
|
1.2 |
|
0.9 |
|
|
0.1 |
|
- |
|
0.1 |
|
0.1 |
|
|
4 |
- retail underlying |
1.0 |
|
- |
|
1.2 |
|
0.7 |
|
|
- |
|
- |
|
0.1 |
|
0.1 |
|
|
5 |
- wholesale |
0.9 |
|
- |
|
- |
|
0.2 |
|
|
0.1 |
|
- |
|
- |
|
- |
|
|
6 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
7 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
9 |
Synthetic securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2017 |
1.9 |
|
- |
|
1.2 |
|
0.9 |
|
|
0.1 |
|
- |
|
0.1 |
|
0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
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 |
|
|
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 |
|
|
- |
|
- |
|
- |
|
- |
|
|
7 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
8 |
- non-senior |
0.1 |
|
- |
|
- |
|
0.2 |
|
|
- |
|
- |
|
- |
|
- |
|
|
9 |
Synthetic securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
10 |
Securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
11 |
- retail underlying |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
12 |
- wholesale |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
13 |
Re-securitisation |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
14 |
- senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
15 |
- non-senior |
- |
|
- |
|
- |
|
- |
|
|
- |
|
- |
|
- |
|
- |
|
|
1 |
Total at 31 Dec 2016 |
1.2 |
|
- |
|
0.7 |
|
1.3 |
|
|
0.1 |
|
- |
|
0.1 |
|
0.1 |
|
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
109 |
Pillar 3 Disclosures at 31 December 2017
|
|
|
|
|
Appendix II |
|
|
|
|
|
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 2017) 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 73: 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 |
165,531 |
|
- |
|
2,249,300 |
|
- |
|
|
030 |
Equity instruments |
24,652 |
|
24,652 |
|
71,969 |
|
71,883 |
|
|
040 |
Debt securities |
80,914 |
|
81,458 |
|
376,331 |
|
374,601 |
|
|
120 |
Other assets |
3,080 |
|
- |
|
366,369 |
|
- |
|
|
|
|||||
|
|
|
|
|
|
|
|
Table 73: 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 |
179,125 |
|
169,547 |
|
|
150 |
Equity instruments |
17,111 |
|
15,663 |
|
|
160 |
Debt securities |
162,014 |
|
153,873 |
|
|
230 |
Other collateral received |
- |
|
1,271 |
|
|
240 |
Own debt securities issued other than own covered bonds or ABSs |
- |
|
- |
|
|
|
|||
|
|
|
|
|
|
Table 73: 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 |
215,729 |
300,150 |
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. 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 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 Table 48.
|
|
|
|
|
|
|
110 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|
|
|
Appendix III |
|
|
|
|
|
Summary of disclosures withheld
|
|
|
||
|
|
|
|
|
|
|
|
|
448(a) |
Key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits) on their exposure to interest rate risk on positions not included in the trading book. |
Assumptions regarding fixed term loan repayments and term behaviouralisation of non-maturity deposits and capital drive HSBC's structural interest rates positioning and market hedging requirements. These assumptions are proprietary and their disclosure could give key business strategy information to our competitors. |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
111 |
Pillar 3 Disclosures at 31 December 2017
|
|
|
|
|
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 |
|
AIRB1 |
Advanced internal ratings based approach |
|
ALCM |
Asset, Liability and Capital Management |
|
ALCO |
Asset and Liability Management Committee |
|
AT1 capital |
Additional tier 1 capital |
|
AVA |
Additional value adjustment |
|
|
|
|
B |
|
|
BCBS |
Basel Committee on Banking Supervision |
|
|
|
|
|
|
|
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 |
|
|
|
|
D |
|
|
D-SIB |
Domestic systemically important bank |
|
DPA |
Deferred prosecution agreement |
|
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 |
|
FIRB1 |
Foundation internal ratings based approach |
|
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 |
|
HVCRE |
High volatility commercial real estate |
|
|
|
|
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 |
|
IMR |
Independent Model Review |
|
IRB1 |
Internal ratings based approach |
|
IRC1 |
Incremental risk charge |
|
IRRBB |
Interest rate risk in the banking book |
|
|
|
|
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 |
|
MPE |
Multiple point of entry |
|
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 |
|
|
|
|
|
|
|
|
|
|
112 |
HSBC Holdings plc Pillar 3 2017 |
|
|
|
|
|
|
|
|
|
|
RWA1 |
Risk-weighted asset |
|
|
|
|
S |
|
|
SA/STD1 |
Standardised approach |
|
SA-CCR |
Standardised approach for counterparty credit risk |
|
S&P |
Standard and Poor's rating agency |
|
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 |
|
SVaR |
Stressed Value at risk |
|
|
|
|
T |
|
|
TLAC1 |
Total Loss Absorbing Capacity |
|
TTC1 |
Through-the-cycle |
|
T1 capital |
Tier 1 capital |
|
T2 capital |
Tier 2 capital |
|
|
|
|
U |
|
|
UK |
United Kingdom |
|
US |
United States |
|
|
|
|
V |
|
|
VaR1 |
Value at risk |
|
|
|
|
1 |
Full definition included in the Glossary published on HSBC website www.hsbc.com |
|
|
|
|
|
|
|
HSBC Holdings plc Pillar 3 2017 |
113 |
Pillar 3 Disclosures at 31 December 2017
|
|
|
|
|
Cautionary statement regarding forward- looking statements |
The Pillar 3 Disclosures at 31 December 2017 contain 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; our success in addressing operational, legal and regulatory, and litigation challenges; and the other risks and uncertainties we identify in 'top and emerging risks' on pages 63 to 66 of the Annual Report and Accounts 2017. |
|
|
|
|
|
Contacts |
Enquiries relating to HSBC's strategy or operations may be directed to:
|
|
|
|
|
|
|
Richard O'Connor Global Head of Investor Relations HSBC Holdings plc 8 Canada Square London E14 5HQ United Kingdom |
Hugh Pye Head of Asia Pacific Investor Relations The Hongkong and Shanghai Banking Corporation Limited 1 Queen's Road Central Hong Kong |
|
|
|
|
Telephone: +44 (0) 20 7991 6590 |
Telephone: +852 2822 4908 |
|
|
|
|
Email: investorrelations@hsbc.com |
Email: investorrelations@hsbc.com.hk |
|
|
|
|
|
|
|
114 |
HSBC Holdings plc Pillar 3 2017 |
This information is provided by RNS
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