Statement on results of the 2011 EBA stress test

RNS Number : 5160K
HSBC Holdings PLC
15 July 2011
 



 

 

15 July 2011

 

 

STATEMENT ON RESULTS OF THE
2011 EBA EU-WIDE STRESS TEST

 

 

HSBC Holdings plc welcomes the publication of the stress test outcomes on European banks by the European Banking Authority ('EBA') today. HSBC's Core Tier 1 ('CT1') ratio under the modelled adverse scenario, which is based on the EBA's published capital definitions and prescribed approach, is 8.5%. This exceeds the current post-stress minimum CT1 capital requirement of 5% used in this exercise.

 

The EBA stress test methodology uses the HSBC balance sheet as at 31 December 2010, applying a baseline scenario and adverse scenario over 24 months from 1 January 2011.

 

HSBC reported a CT1 capital ratio of 10.5% at 31 December 2010. This equates to 10.5% at the same date under the EBA's specific definition of capital. The cumulative impact on operating profit, impairment in the banking book and losses in the trading book for the modelled stresses under the adverse scenario over the two years to 31 December 2012 are shown in the table below. HSBC's resulting CT1 capital ratio is calculated to be 8.5%.

 

Outcome of the modelled adverse scenario at 31 December 2012

31 December 2010 published CT1 ratio/2010 EBA-defined CT1 ratio

10.5%

EBA stress test results

 

2 year cumulative operating profit

US$33.8bn

2 year cumulative banking book impairment

US$(30.4)bn

EBA-calculated risk weighted assets ('RWAs')

US$1,412bn

Resulting EBA-calculated CT1 capital ratio

8.5%

 

The EBA adverse scenario stress test includes charges on trading and banking books to reflect deterioration of the economic environment and specifically of conditions in residential and commercial property, sovereign bond and securitised asset markets. The stress test has been carried out using a static balance sheet assumption as at December 2010. The stress test does not take into account future business strategies and management actions, including mitigation, and is not a forecast of HSBC's profits. The full summary of EBA stress test results, attached in the appendices to this announcement, provides further details of the impact of these scenarios on HSBC.

 

The EBA noted in its summary report dated 15 July 2011 that this stress testing exercise does not provide forecasts of expected outcomes but rather a 'what-if' analysis aimed at supporting the supervisory assessment of the adequacy of capital of European banks.

 

Iain Mackay, Group Finance Director, HSBC Holdings plc, said: "We welcome the publication of the EBA EU-wide stress test exercise. HSBC has an active, long-standing internal stress testing programme as a key element of its risk and capital management framework and is also subject to rigorous ongoing stress testing by the UK Financial Services Authority as part of its supervision of the Group. In each stress test, whether internal or external, HSBC has demonstrated that its capital position and resources are sufficient to meet its regulatory capital requirements. HSBC has a strong track record of capital generation and we will continue to actively manage our risk-weighted assets as part of our rigorous capital allocation process."

 

HSBC will announce its interim results for the six months to the end of June 2011 on 1 August 2011.

 

Media enquiries to:

 

London



Robert Bailhache

+44 (0)20 7992 5712

robert.bailhache@hsbc.com

Patrick Humphris

+44 (0)20 7992 1631

patrick.humphris@hsbc.com

Hong Kong



Patrick McGuinness

+ 852 3663 6883

patrickmcguinness@hsbc.com




 

Investor Relations enquiries to:

 

London



Alastair Brown

+44 (0)20 7992 1938

alastair.brown@hsbc.com

Robert Quinlan

+44 (0)20 7991 3643

robert.quinlan@hsbc.com

Hong Kong



Hugh Pye

+852 2822 4398

hugh.pye@hsbc.com

 

 

Note to editors:

 

HSBC Holdings plc

HSBC Holdings plc, the parent company of the HSBC Group, is headquartered in London. The Group serves customers worldwide from around 7,500 offices in 87 countries and territories in Europe, the Asia-Pacific region, the Americas, the Middle East and Africa. With assets of US$2,598bn at 31 March 2011, HSBC is one of the world's largest banking and financial services organisations. HSBC is marketed worldwide as 'the world's local bank'.

 

APPENDIX 1: RESULTS OF THE 2011 EBA EU-WIDE STRESS TEST (USD)

 

Results of the 2011 EBA EU-wide stress test: Summary(1-3)

HSBC Holdings plc

 

Actual results at 31 December 2010

million USD, %

Operating profit before impairments

28,924

Impairment losses on financial and non-financial assets in the banking book

-14,033

Risk weighted assets(4)

1,103,113

Core Tier 1 capital(4)

116,116

Core Tier 1 capital ratio, %(4)

10.5%

Additional capital needed to reach a 5 % Core Tier 1 capital benchmark


 

Outcomes of the adverse scenario at 31 December 2012, excluding all mitigating actions taken in 2011

%

Core Tier 1 Capital ratio

8.5%

 

Outcomes of the adverse scenario at 31 December 2012, including recognised mitigating measures as of

30 April 2011

million USD, %

2 yr cumulative operating profit before impairments

33,816

2 yr cumulative impairment losses on financial and non-financial assets in the banking book

-30,366

2 yr cumulative losses from the stress in the trading book

-8,786

of which valuation losses due to sovereign shock

-2,026

Risk weighted assets

1,412,316

Core Tier 1 Capital

119,513

Core Tier 1 Capital ratio (%)

8.5%

Additional capital needed to reach a 5 % Core Tier 1 capital benchmark


 

Effects from the recognised mitigating measures put in place until 30 April 2011(5)


Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011

(CT1 million EUR)

0

Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio)

0.0

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio  (percentage points of CT1 ratio)

0.0

 

Additional taken or planned mitigating measures

percentage points contributing to
capital ratio

Use of provisions and/or other reserves (including release of countercyclical provisions)

0.0

Divestments and other management actions taken by 30 April 2011

0.0

Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules

0.0

Future planned issuances of common equity instruments (private issuances)

0.0

Future planned government subscriptions of capital instruments (including hybrids)

0.0

Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities

0.0

Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012, %(6)

8.5%

 

 

Notes

(1)   The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx  for the details on the EBA methodology).

(2)   All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3)   Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4)   Full static balance sheet assumption excluding any mitigating management actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures and capital raisings fully paid in before 31 December 2010 are included).

(5)   Effects of capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in period from 31 December 2010 to 30 April 2011, which are incorporated in the Core Tier 1 capital ratio reported as the outcome of the stress test.

(6)   The supervisory recognised capital ratio computed on the basis of additional mitigating measures  presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.



Results of the 2011 EBA EU-wide stress test: Aggregate information and evolution of capital(1-4)

 

HSBC Holdings plc

 

All in million USD, or %

 

 

A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in before 31 December 2010 are included)

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets (full static balance sheet assumption)

1,103,113

1,203,423

1,214,702

1,339,199

1,412,316

Common equity according to EBA definition

116,116

123,780

129,884

118,016

119,513

of which ordinary shares subscribed by government

0

0

0

0

0

Other existing subscribed government capital

(before 31 December 2010)

0

0

0

0

0

Core Tier 1 capital (full static balance sheet assumption)

116,116

123,780

129,884

118,016

119,513

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

 

 

B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets (full static balance sheet assumption)

1,103,113

1,203,423

1,214,702

1,339,199

1,412,316

Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-)


0

0

0

0

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

1,103,113

1,203,423

1,214,702

1,339,199

1,412,316

Core Tier 1 Capital (full static balance sheet assumption)

116,116

123,780

129,884

118,016

119,513

Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital (+/-)


0

0

0

0

Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

116,116

123,780

129,884

118,016

119,513

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

 



 

C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

1,103,113

1,203,423

1,214,702

1,339,199

1,412,316

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on RWA (+/-)


0

0

0

0

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 30 April 2011

1,203,423

1,214,702

1,339,199

1,412,316

of which RWA in banking book

880,313

861,530

937,530

913,272

of which RWA in trading book

96,698

96,698

96,698

96,698

RWA on securitisation positions
(banking and trading book)

62,246

92,308

140,805

238,180

Total assets after the effects of mandatory restructuring plans publicly announced and fully committed and equity raised and fully committed by 30 April 2011

2,382,711

2,382,711

2,382,711

2,382,711

2,382,711

Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

116,116

123,780

129,884

118,016

119,513

Equity raised between 31 December 2010
and 30 April 2011


0

0

0

0

Equity raisings fully committed (but not paid in) between 31 December 2010 and 30 April 2011

0

0

0

0

Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-)

0

0

0

0

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-)

0

0

0

0

Core Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

123,780

129,884

118,016

119,513

Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

141,706

147,007

135,942

137,439

Total regulatory capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

171,802

175,350

166,038

165,782

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

Additional capital needed to reach a 5% Core Tier 1 capital benchmark






 

 



 

Profit and losses

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Net interest income

37,609

36,575

32,620

32,080

28,554

Trading income

7,199

6,432

6,432

3,915

3,915

of which trading losses from stress scenarios


-1,876

-1,876

-4,393

-4,393

of which valuation losses due to sovereign shock


-1,013

-1,013

Other operating income(5)

3,385

2,165

2,165

2,165

2,165

Operating profit before impairments

28,924

25,463

21,948

18,451

15,365

Impairments on financial and non-financial assets in the banking book(6)

-14,033

-11,833

-11,431

-16,325

-14,041

Operating profit after impairments and other losses from the stress

14,891

13,630

10,517

2,126

1,324

Other income(5,6)

1,665

1,665

1,665

1,665

1,665

Net profit after tax (7)

12,239

11,930

9,502

2,957

2,332

of which carried over to capital (retained earnings)

6,353

6,597

5,255

1,635

1,289

of which distributed as dividends

5,886

5,333

4,247

1,322

1,042

 

 

Additional information

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Deferred Tax Assets(8)

-4,000

-4,000

-4,000

-4,000

-4,000

Stock of provisions(9)

24,865

33,878

45,310

38,370

52,411

of which stock of provisions for non-defaulted assets






of which Sovereigns(10)






of which Institutions(10)






of which Corporate (excluding Commercial real estate)






of which Retail (excluding Commercial real estate)






of which Commercial real estate(11)






of which stock of provisions for defaulted assets






of which Corporate (excluding Commercial real estate)






of which Retail (excluding commercial real estate)






of which Commercial real estate






Coverage ratio (%)(12)

Corporate (excluding Commercial real estate)






Retail (excluding Commercial real estate)






Commercial real estate






Loss rates (%)(13)

Corporate (excluding Commercial real estate)

0.3%

0.7%

0.7%

0.8%

0.7%

Retail (excluding Commercial real estate)

2.0%

1.8%

1.7%

2.1%

2.1%

Commercial real estate

0.4%

0.7%

0.7%

0.8%

0.8%

Funding cost (bps)

119


215

278

 

 



 

D. Other mitigating measures (see Mitigating measures worksheet for details), million USD(14)

 

All effects as compared to regulatory aggregates as reported in Section C


Baseline scenario

Adverse scenario

2011

2012

2011

2012

A) Use of provisions and/or other reserves (including release of countercyclical provisions), capital ratio effect(6)

0

0

0

0

B) Divestments and other management actions taken by 30 April 2011, RWA effect (+/-)

0

0

0

0

B1) Divestments and other business decisions taken by 30 April 2011, capital ratio effect (+/-)

0

0

0

0

C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, RWA effect (+/-)

0

0

0

0

C1) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, capital ratio effect (+/-)

0

0

0

0

D) Future planned issuances of common equity instruments (private issuances), capital ratio effect

0

0

0

0

E) Future planned government subscriptions of capital instruments (including hybrids), capital ratio effect

0

0

0

0

F) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, RWA effect (+/-)

0

0

0

0

F1) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, capital ratio effect (+/-)

0

0

0

0

Risk weighted assets after other mitigating measures (B+C+F)

1,203,423

1,214,702

1,339,199

1,412,316

Capital after other mitigating measures (A+B1+C1+D+E+F1)

123,780

129,884

118,016

119,513

Supervisory recognised capital ratio (%)(15)

10.3%

10.7%

8.8%

8.5%

 

Notes and definitions

(1)      The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).

(2)      All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3)      Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4)      Regulatory transitional floors are applied where binding. RWA for credit risk have been calculated in accordance with the EBA methodology assuming an additional floor imposed at a level of RWA, before regulatory transitional floors, for December 2010 for both IRB and STA portfolios.

(5)      Banks are required to provide explanations of what "Other operating income" and "Other income" constitutes for.

Composition of "Other Operating Income":

Gains (losses) on financial assets and liabilities designated at fair value through profit and loss, net + Realised gains (losses) on fin. assets and l-iabilities not measured at fair value through profit and loss, net + Gains (losses) from hedge accounting, net +Gains (losses) on derecognition of assets other than held for sale +Net dividend income +Gains (losses) on non financial assets measured at fair value.

Composition of "Other income":

Income from Associates and Joint Ventures (excluding income from Insurance companies).

(6)      If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D as other mitigating measures.

(7)      Net profit after tax, the amount of retained earnings and amount distributed as dividends under the stress scenarios have been calculated using EBA assumptions. Net profit includes profit attributable to minority interests.

(8)      Deferred tax assets as referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 - a global regulatory framework for more resilient banks and banking systems".

(9)      Stock of provisions includes collective and specific provisions as well as countercyclical provisions, in the jurisdictions, where required by the national legislation.

(10)    Provisions for non-defaulted exposures to sovereigns and financial institutions have been computed taking into account benchmark risk parameters (PDs and LGDs) provided by the EBA and referring to external credit ratings and assuming hypothetical scenario of rating agency downgrades of sovereigns.

(11)    N/A.

(12)    Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD for the specific portfolio.

(13)    Loss rate = total impairment flow (specific and collective impairment flow) for a year / total EAD for the specific portfolio (including defaulted and non-defaulted assets but excluding securitisation and counterparty credit risk exposures).

(14)    All elements are be reported net of tax effects.

(15)    The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.


HSBC Holdings plc

Situation at December 2010

December 2010

Million USD

% RWA

A) Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares) (+)

120,456

10.9%

Of which: (+) eligible capital and reserves

144,615

13.1%

Of which: (-) intangibles assets (including goodwill)

-28,001

-2.5%

Of which: (-/+) adjustment to valuation differences in other AFS assets(1)

3,843

0.3%

B) Deductions from common equity (Elements deducted from original own funds) (-)

-4,340

-0.4%

Of which: (-) deductions of participations and subordinated claims

0

0.0%

Of which: (-) securitisation exposures not included in RWA

-1,467

-0.1%

Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax)

-3,114

-0.3%

C) Common equity (A+B)

116,116

10.5%

Of which: ordinary shares subscribed by government

0

0.0%

D) Other Existing government support measures (+)

0

0.0%

E) Core Tier 1 including existing government support measures (C+D)

116,116

10.5%

Difference from benchmark capital threshold (CT1 5%)

60,960

5.5%

F) Hybrid instruments not subscribed by government

17,063

1.5%

Tier 1 Capital (E+F) (Total original own funds for general solvency purposes)

133,179

12.1%

Tier 2 Capital (Total additional own funds for general solvency purposes)

34,376

3.1%

Tier 3 Capital (Total additional own funds specific to cover market risks)

0

0.0%

Total Capital (Total own funds for solvency purposes)

167,555

15.2%

Memorandum items

Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions not deducted for the computation of core tier 1 but deducted for the computation of total own funds

14,848

1.3%

Amount of securitisation exposures not included in RWA and not deducted for the computation of core tier 1 but deducted for the computation of total own funds

1,467

0.1%

Deferred tax assets(2)

-4,000

-0.4%

Minority interests (excluding hybrid instruments)(2)

7,248

0.7%

Valuation differences eligible as original own funds (-/+)(3)

1,794

0.2%

 

Notes and definitions

(1)   The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.

(2)   According to the Basel 3 framework specific rules apply for the treatment of these items under the Basel 3 framework, no full deduction is required for the computation of common equity.

(3)   This item represents the impact in original own funds of valuation differences arising from the application of fair value measurement to certain financial instruments (AFS/FVO) and property assets after the application of prudential filters.


Results of the 2011 EBA EU-wide stress test: Overview of mitigating measures(1-2)

 

Name of the bank:  HSBC Holdings plc

 

Use of countercyclical provisions, divestments and other management actions

 

Please fill in the table using a
separate row for each measure

Narrative description

Date of completion (actual or planned for future issuances)

Capital / P&L impact
(in million USD)

RWA impact
(in million USD)

Capital ratio impact
(as of 31 December 2012)
%

A) Use of provisions and/or other reserves (including release of countercyclical provisions)(3)













B) Divestments and other management actions taken by 30 April 2011

1)





2)



























C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules

1)






2)
























 



 

Future capital raisings and other back stop measures

 

Please fill in the table using a
separate row for each measure

Date of issuance (actual or planned for future issuances, dd/mm/yy)

Amount

Maturity

Loss absorbency in going concern

Flexibility of payments (capacity to suspend the payments)

Permanence (Undated and without incentive to redeem)

Conversion clause (where appropriate)

Nature of conversion

Date of conversion

Triggers

Conversion in common equity

(in million USD)

(dated/ undated)(4)

(Yes/No)

(Yes/No)

(Yes/No)

(mandatory/ discretionary)

(at any time/from a specific date: dd/mm/yy)

(description of the triggers)

(Yes/No)

D) Future planned issuances of common equity instruments (private issuances)
























































E) Future planned government subscriptions of capital instruments (including hybrids)

1) Denomination of the instrument











2)












































F) Other (existing and future) instruments recognised as back stop measures by national supervisory authorities (including hybrids)

1) Denomination of the instrument











2)












































 

 

Notes and definitions

(1)   N/A.

(2)   All elements are be reported net of tax effects.

(3)   If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included  either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported as other mitigating measures.

(4)   N/A.


Results of the 2011 EBA EU-wide stress test: Credit risk exposures (EAD - exposure at default), as of 31 December 2010, mln USD(1-5)

 

Name of the bank:  HSBC Holdings plc

 

All values in million USD, or %


Non-defaulted exposures

Commercial Real Estate

Defaulted exposures (including sovereign)

Total exposures(7)

Institutions

Corporate (excluding commercial real estate

Retail (excluding commercial real estate)

of which Residential mortgages

of which Revolving

of which SME

of which other

Austria

0

0

0

0

0

0

0

0

0

0

Belgium

0

0

0

0

0

0

0

0

0

0

Bulgaria

0

0

0

0

0

0

0

0

0

0

Cyprus

0

0

0

0

0

0

0

0

0

0

Czech Republic

365

2,638

0

0

0

0

0

11

0

3,800

Denmark

0

0

0

0

0

0

0

0

0

0

Estonia

0

0

0

0

0

0

0

0

0

0

Finland

0

0

0

0

0

0

0

0

0

0

France

27,563

29,741

25,392

3,894

41

6,792

14,665

11,956

2,290

130,982

Germany

24,801

8,850

210

0

0

0

210

189

143

60,916

Greece

517

4,124

66

0

0

0

66

84

82

5,703

Hungary

0

0

0

0

0

0

0

0

0

0

Iceland

0

0

0

0

0

0

0

0

0

0

Ireland

0

0

0

0

0

0

0

0

0

0

Italy

0

0

0

0

0

0

0

0

0

0

Latvia

0

0

0

0

0

0

0

0

0

0

Liechtenstein

0

0

0

0

0

0

0

0

0

0

Lithuania

0

0

0

0

0

0

0

0

0

0

Luxembourg

0

0

0

0

0

0

0

0

0

0

Malta

55

3,689

426

0

0

0

426

350

151

5,872

Netherlands

0

0

0

0

0

0

0

0

0

0

Norway

0

0

0

0

0

0

0

0

0

0

Poland

0

0

0

0

0

0

0

0

0

0

Portugal

0

0

0

0

0

0

0

0

0

0

Romania

0

0

0

0

0

0

0

0

0

0

Slovakia

0

0

0

0

0

0

0

0

0

0

Slovenia

0

0

0

0

0

0

0

0

0

0

Spain

4,468

5,444

0

0

0

0

0

605

11

12,878

Sweden

0

0

0

0

0

0

0

0

0

0

United Kingdom

23,945

133,709

172,274

115,145

42,580

3,951

10,598

20,236

5,265

436,545



 


Non-defaulted exposures

Commercial Real Estate

Defaulted exposures (including sovereign)

Total exposures(7)

Institutions

Corporate (excluding commercial real estate

Retail (excluding commercial real estate)

of which Residential mortgages

of which Revolving

of which SME

of which other

United States

26,211

67,883

155,643

68,651

72,562

0

14,453

11,499

7,816

316,770

Japan

8,994

2,366

211

0

0

0

211

986

0

21,870

Other non EEA non Emerging countries

0

0

0

0

0

0

0

0

0

0

Asia

59,584

226,680

117,140

70,353

19,522

572

26,693

51,112

1,814

516,375

Middle and South America

6,963

31,686

19,996

0

0

0

19,996

3,138

1,465

83,412

Eastern Europe non EEA

12,694

5,966

21,437

0

0

0

21,437

327

167

44,768

Others

87,237

54,606

37,088

25,023

3,297

933

7,836

14,045

2,091

291,088

Total

283,397

577,381

549,884

283,066

138,001

12,248

116,592

114,537

21,295

1,930,980

 

 

 

Notes and definitions

(1)      EAD - Exposure at Default or exposure value in the meaning of the CRD.

(2)      The EAD reported here are based on the methodologies and portfolio breakdowns used in the 2011 EU-wide stress test, and hence may differ from the EAD reported by banks in their Pillar 3 disclosures, which can vary based on national regulation. For example, this would affect breakdown of EAD for real estate exposures and SME exposures.

(3)      Breakdown by country and macro area (e.g. Asia) when EAD >=5%. In any case coverage 100% of total EAD should be ensured (if exact mapping of some exposures to geographies is not possible, they should be allocated to the group "others").

(4)      The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(5)      Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, which are recognised as eligible collateral in the meaning of the CRD, with the following criteria, which need to be met:

(a)      the value of the property does not materially depend upon the credit quality of the obligor. This requirement does not preclude situations where purely macro economic factors affect both the value of the property and the performance of the borrower; and

(b)      the risk of the borrower does not materially depend upon the performance of the underlying property or project, but rather on the underlying capacity of the borrower to repay the debt from other sources. As such, repayment of the facility does not materially depend on any cash flow generated by the underlying property serving as collateral."

(6)      N/A.

(7)      N/A.

 


Results of the 2011 EBA EU-wide stress test: Exposures to sovereigns (central and local governments), as of 31 December 2010, mln USD(1,2)

 

Name of the bank:  HSBC Holdings plc

 

All in million USD, or %

 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of
specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position
of sovereign debt to other counterparties
only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through
profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Austria

245

0

245

0

0

245


0


0

1Y

191

0

191

0

0

191


-46


0

2Y

37

0

0

0

0

0


-120


0

3Y

0

0

0

0

0

0


10


0

5Y

45

0

0

0

0

0


-2


0

10Y

728

0

728

0

0

728


15


0

15Y

231

0

0

0

0

0


58


0


1,478

0

725

0

0

1,164


-85


0

3M

Belgium

132

0

132

0

0

132


4


0

1Y

225

0

199

0

0

199


53


0

2Y

458

0

214

116

1

98


0


0

3Y

0

0

0

0

0

0


37


0

5Y

264

0

126

0

0

126


0


0

10Y

829

0

681

0

0

681


0


0

15Y

29

0

0

0

0

0


0


0


1,937

0

53

116

1

1,236


95


0

3M

Bulgaria

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Cyprus

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Czech Republic

686

0

686

30

0

0


0


0

1Y

246

0

246

246

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

18

0

18

1

0

17


17


0

5Y

33

0

33

20

0

12


0


0

10Y

0

0

0

0

0

0


0


0

15Y

3

0

3

0

0

3


0


0


987

0

987

298

0

33


17


0

3M

Denmark

6

0

6

0

0

6


5


0

1Y

1,502

0

1,502

1,488

0

14


0


0

2Y

5

0

0

0

0

0


0


0

3Y

3

0

3

0

0

3


0


0

5Y

7

0

3

0

0

3


0


0

10Y

1

0

1

0

0

1


0


0

15Y

4

0

4

0

0

4


0


0


1,527

0

1,507

1,488

0

31


5


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Estonia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Finland

264

0

259

0

0

259


0


0

1Y

0

0

0

0

0

0


0


0

2Y

39

0

39

0

0

39


0


0

3Y

35

0

35

0

0

35


0


0

5Y

103

0

5

0

0

5


0


0

10Y

86

0

0

0

0

0


0


0

15Y

162

0

162

0

0

162


0


0


688

0

439

0

0

499


0


0

3M

France

3,594

0

3,345

1,683

0

1,529


0


0

1Y

4,674

260

3,237

880

0

2,140


0


0

2Y

3,521

0

2,165

2,618

0

0


6


0

3Y

1,780

0

1,283

162

3

1,121


0


0

5Y

5,688

175

4,987

3,167

0

1,820


5


0

10Y

3,014

9

0

0

0

0


0


-1

15Y

3,086

0

0

0

0

0


0


0


25,357

444

14,549

8,510

3

6,611


11


-1

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Germany

292

0

0

202

0

0


0


0

1Y

1,518

162

458

179

0

279


0


0

2Y

4,452

0

2,073

3,528

0

0


0


0

3Y

2,132

0

0

998

0

0


0


0

5Y

4,690

0

3,162

3,204

0

0


0


0

10Y

3,824

117

1,184

818

0

366


36


0

15Y

3,580

0

2,134

818

0

1,315


-16


0


20,488

279

6,693

9,747

0

1,960


20


0

3M

Greece

140

0

140

26

0

114


0


0

1Y

139

0

127

0

0

127


0


-1

2Y

341

0

341

47

0

294


0


-2

3Y

123

0

79

90

0

0


0


0

5Y

572

0

498

90

0

408


0


0

10Y

314

0

43

0

0

43


76


-9

15Y

134

0

0

0

0

0


34


0


1,762

0

1,180

252

0

985


110


-12

3M

Hungary

248

0

248

0

0

248


1


0

1Y

2

0

2

0

0

2


0


0

2Y

2

0

2

0

0

2


0


0

3Y

2

0

0

0

0

0


1


-1

5Y

23

0

20

0

0

20


0


-18

10Y

4

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


280

0

264

0

0

272


2


-19

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Iceland

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


-1

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


-1

3M

Ireland

3

0

3

0

0

3


2


0

1Y

32

0

6

0

0

0


0


0

2Y

12

0

12

0

0

12


0


0

3Y

0

0

0

0

0

0


0


-1

5Y

39

0

39

0

0

23


0


-1

10Y

200

0

23

0

0

23


0


-6

15Y

96

0

96

0

0

96


0


0


383

0

144

0

0

157


2


-8

3M

Italy

315

0

0

0

0

0


0


0

1Y

2,827

0

2,171

566

0

1,240


0


0

2Y

1,466

0

617

111

0

506


0


0

3Y

905

0

0

0

0

0


0


0

5Y

2,023

0

1,178

0

0

1,178


0


0

10Y

3,337

0

794

0

0

794


-825


-3

15Y

2,393

0

393

0

0

393


0


0


13,265

0

4,451

676

0

4,112


-825


-3

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Latvia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

2

0

2

0

0

2


2


-2

15Y

0

0

0

0

0

0


0


0


2

0

2

0

0

2


2


-2

3M

Liechtenstein

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Lithuania

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

14

0

14

0

0

14


0


0

10Y

7

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


21

0

14

0

0

14


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Luxembourg

100

0

100

0

0

0


0


0

1Y

273

0

273

273

0

0


0


0

2Y

122

0

122

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

91

0

4

0

1

0


0


0

10Y

35

0

0

0

0

0


0


0

15Y

39

0

0

0

0

0


0


0


660

0

499

273

1

0


0


0

3M

Malta

0

0

0

0

0

0


0


0

1Y

326

96

326

326

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

74

0

0

0

0


0


0

10Y

0

7

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


326

177

326

326

0

0


0


0

3M

Netherlands

2,804

0

2,508

0

0

0


3


0

1Y

487

0

487

400

0

87


0


0

2Y

304

0

304

0

0

304


0


0

3Y

144

0

0

144

0

0


0


0

5Y

612

0

222

178

0

46


0


0

10Y

812

0

811

0

0

811


0


0

15Y

200

0

0

0

0

0


12


0


5,362

0

3,716

722

0

1,247


16


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Norway

31

0

31

0

0

31


0


0

1Y

28

0

28

26

0

2


0


0

2Y

16

0

16

0

0

16


0


0

3Y

53

0

26

0

0

26


0


0

5Y

4

0

4

0

0

4


0


0

10Y

0

0

0

0

0

0


-1


0

15Y

0

0

0

0

0

0


0


0


131

0

103

26

0

78


-1


0

3M

Poland

1,450

0

1,450

1,301

0

149


0


0

1Y

439

0

439

309

0

130


0


0

2Y

47

0

40

5

0

36


0


0

3Y

2

0

0

1

0

0


0


0

5Y

48

0

29

0

0

29


0


0

10Y

92

0

68

0

0

68


0


0

15Y

10

0

0

0

0

0


0


0


2,088

0

1,968

1,616

0

413


0


0

3M

Portugal

252

0

252

0

0

252


21


0

1Y

360

0

71

0

0

71


0


0

2Y

0

0

0

0

0

0


62


0

3Y

75

0

75

0

0

75


0


0

5Y

231

0

16

0

0

16


110


-2

10Y

187

1

15

0

0

15


132


-5

15Y

239

0

0

0

0

0


21


0


1,344

1

140

0

0

428


346


-7

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Romania

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

3

0

3

0

0

3


0


0

15Y

0

0

0

0

0

0


0


0


3

0

3

0

0

3


0


0

3M

Slovakia

13

0

13

0

0

13


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

16

0

16

0

0

16


0


0

10Y

0

0

0

0

0

0


0


0

15Y

57

0

57

0

0

57


0


0


87

0

80

0

0

87


0


0

3M

Slovenia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

163

0

151

0

0

151


0


0

10Y

95

0

78

0

0

78


0


0

15Y

0

0

0

0

0

0


0


0


258

0

121

0

0

228


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Spain

2

0

2

0

0

2


0


0

1Y

503

0

503

0

0

503


0


0

2Y

454

0

242

0

0

242


12


0

3Y

266

0

0

0

0

0


0


0

5Y

409

0

103

0

0

103


6


-1

10Y

484

13

0

0

0

0


43


-6

15Y

597

0

0

0

0

0


29


0


2,715

13

574

0

0

849


92


-7

3M

Sweden

0

0

0

0

0

0


0


0

1Y

26

0

26

21

0

5


0


0

2Y

33

0

33

0

0

33


16


0

3Y

2

0

2

0

0

2


1


0

5Y

1

0

1

3

0

0


2


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


63

0

62

24

0

40


18


0

3M

United Kingdom

30,094

0

28,472

1,197

0

0


75


0

1Y

3,770

913

3,026

0

0

1,947


12


0

2Y

4,109

0

2,989

3,788

0

0


15


0

3Y

4,057

0

2,828

3,016

216

0


13


0

5Y

5,954

59

5,207

4,594

0

613


9


0

10Y

18,414

401

12,726

13,987

0

0


3


0

15Y

8,987

0

3,316

1,255

357

1,705


15


0


75,384

1,373

58,565

27,837

573

4,265


143


0














TOTAL EEA 30

156,595

2,287

97,162

51,910

576

24,712


-34


-60

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

United States

49,512

0

48,206

42,103

0

4,221


0


0

1Y

12,006

0

10,401

7,449

0

6,143


0


0

2Y

9,252

0

5,307

3,961

0

9,058


0


0

3Y

4,059

0

2,722

2,361

0

3,029


0


0

5Y

3,822

0

2,227

2,173

0

3,243


0


0

10Y

3,102

0

1,355

17

0

4,831


0


0

15Y

3,581

0

1,775

1,651

49

3,737


0


0


85,335

0

71,993

59,715

50

34,262


0


0

3M

Japan

9,044

0

9,044

1,114

0

6,568


0


0

1Y

6,809

0

6,809

2,651

0

4,158


0


0

2Y

1,339

0

1,339

1,032

0

307


0


0

3Y

1

0

1

0

0

0


0


0

5Y

1,956

0

1,956

933

0

1,023


0


7

10Y

1,202

0

1,202

1,124

0

78


0


-4

15Y

0

0

0

0

0

0


0


0


20,350

0

20,338

6,854

0

12,133


0


3

3M

Other non EEA non Emerging countries

71,251

0

68,526

29,622

0

5,955


478


0

1Y

19,887

0

18,272

16,045

0

832


291


2

2Y

9,693

0

9,338

6,179

0

2,964


-40


-1

3Y

3,371

0

3,089

2,594

0

444


30


5

5Y

9,848

0

9,431

7,555

0

1,480


32


3

10Y

1,725

0

1,454

189

0

1,237


36


-5

15Y

195

0

80

0

0

74


55


0


115,970

0

110,191

62,185

0

12,986


882


4

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Asia

24,780

0

24,780

3,384

0

7,588


-56


0

1Y

12,166

0

12,166

9,767

0

2,399


95


0

2Y

2,212

0

2,212

1,727

0

461


0


1

3Y

1,930

0

1,930

1,474

0

446


0


6

5Y

1,852

0

1,851

1,419

0

432


0


7

10Y

414

0

414

202

0

212


15


-1

15Y

454

0

454

48

0

345


1


0


43,808

0

43,807

18,021

0

11,884


55


13

3M

Middle and South America

23,776

0

23,732

1,957

0

4,240


8


0

1Y

2,762

0

2,604

1,017

0

1,283


5


-14

2Y

1,999

0

1,999

1,878

0

103


0


-74

3Y

4,495

0

4,495

3,572

0

273


0


-58

5Y

5,753

0

5,752

5,257

0

435


1


-186

10Y

1,609

0

1,444

1,372

0

0


19


-154

15Y

3,508

0

3,464

647

0

0


0


-2


43,901

0

43,489

15,701

0

6,335


33


-488

3M

Eastern Europe non EEA

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

1,468

0

1,468

450

0

702


0


0

10Y

0

0

0

0

0

0


15


0

15Y

0

0

0

0

0

0


0


0


1,468

0

1,468

450

0

702


15


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Others

8,597

1,112

8,597

2,417

0

450


0


0

1Y

8,913

8

8,913

6,908

0

360


0


0

2Y

193

0

193

193

0

0


0


0

3Y

2,739

13

2,739

473

0

253


0


0

5Y

638

9

638

627

0

2


0


0

10Y

7

0

7

7

0

0


9


0

15Y

0

0

0

0

0

0


0


0


21,087

1,142

21,087

10,624

0

1,065


9


0


TOTAL

488,514

3,429

409,536

225,459

626

104,078


960


-529

 

 

 

Notes and definitions

(1)   The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings.  
See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(2)   The exposures reported in this worksheet cover only exposures to central and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees.

(3)   According to the EBA methodologies, for the trading book assets banks have been allowed to offset only cash short positions having the same maturities.

 

 


APPENDIX 2: RESULTS OF THE 2011 EBA EU-WIDE STRESS TEST (EUR)

 

Results of the 2011 EBA EU-wide stress test: Summary(1-3)

HSBC Holdings plc

 

Actual results at 31 December 2010

million EUR, %

Operating profit before impairments

21,646

Impairment losses on financial and non-financial assets in the banking book

-10,502

Risk weighted assets(4)

825,560

Core Tier 1 capital(4)

86,900

Core Tier 1 capital ratio, %(4)

10.5%

Additional capital needed to reach a 5 % Core Tier 1 capital benchmark


 

Outcomes of the adverse scenario at 31 December 2012, excluding all mitigating actions taken in 2011

%

Core Tier 1 Capital ratio

8.5%

 

Outcomes of the adverse scenario at 31 December 2012, including recognised mitigating measures as of

30 April 2011

million EUR, %

2 yr cumulative operating profit before impairments

25,308

2 yr cumulative impairment losses on financial and non-financial assets in the banking book

-22,725

2 yr cumulative losses from the stress in the trading book

-6,575

of which valuation losses due to sovereign shock

-1,516

Risk weighted assets

1,056,965

Core Tier 1 Capital

89,443

Core Tier 1 Capital ratio (%)

8.5%

Additional capital needed to reach a 5 % Core Tier 1 capital benchmark


 

Effects from the recognised mitigating measures put in place until 30 April 2011(5)


Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011

(CT1 million EUR)

0

Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio)

0.0

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio  (percentage points of CT1 ratio)

0.0

 

Additional taken or planned mitigating measures

percentage points contributing to
capital ratio

Use of provisions and/or other reserves (including release of countercyclical provisions)

0.0

Divestments and other management actions taken by 30 April 2011

0.0

Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules

0.0

Future planned issuances of common equity instruments (private issuances)

0.0

Future planned government subscriptions of capital instruments (including hybrids)

0.0

Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities

0.0

Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012, %(6)

8.5%

 

 

Notes

(1)   The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx  for the details on the EBA methodology).

(2)   All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3)   Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4)   Full static balance sheet assumption excluding any mitigating management actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures and capital raisings fully paid in before 31 December 2010 are included).

(5)   Effects of capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in period from 31 December 2010 to 30 April 2011, which are incorporated in the Core Tier 1 capital ratio reported as the outcome of the stress test.

(6)   The supervisory recognised capital ratio computed on the basis of additional mitigating measures  presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.



Results of the 2011 EBA EU-wide stress test: Aggregate information and evolution of capital(1-4)

 

Name of the bank: HSBC Holdings plc

 

All in million EUR, or %

 

 

A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in before 31 December 2010 are included)

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets (full static balance sheet assumption)

825,560

900,631

909,072

1,002,244

1,056,965

Common equity according to EBA definition

86,900

92,636

97,204

88,322

89,443

of which ordinary shares subscribed by government

0

0

0

0

0

Other existing subscribed government capital

(before 31 December 2010)

0

0

0

0

0

Core Tier 1 capital (full static balance sheet assumption)

86,900

92,636

97,204

88,322

89,443

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

 

 

B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets (full static balance sheet assumption)

825,560

900,631

909,072

1,002,244

1,056,965

Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-)


0

0

0

0

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

825,560

900,631

909,072

1,002,244

1,056,965

Core Tier 1 Capital (full static balance sheet assumption)

86,900

92,636

97,204

88,322

89,443

Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital (+/-)


0

0

0

0

Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

86,900

92,636

97,204

88,322

89,443

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

 



 

C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011

 

Capital adequacy

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

825,560

900,631

909,072

1,002,244

1,056,965

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on RWA (+/-)


0

0

0

0

Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 30 April 2011

900,631

909,072

1,002,244

1,056,965

of which RWA in banking book

658,818

644,761

701,639

683,485

of which RWA in trading book

72,368

72,368

72,368

72,368

RWA on securitisation positions
(banking and trading book)

46,585

69,083

105,377

178,252

Total assets after the effects of mandatory restructuring plans publicly announced and fully committed and equity raised and fully committed by 30 April 2011

1,783,199

1,783,199

1,783,199

1,783,199

1,783,199

Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010

86,900

92,636

97,204

88,322

89,443

Equity raised between 31 December 2010
and 30 April 2011


0

0

0

0

Equity raisings fully committed (but not paid in) between 31 December 2010 and 30 April 2011

0

0

0

0

Effect of government support publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-)

0

0

0

0

Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-)

0

0

0

0

Core Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

92,636

97,204

88,322

89,443

Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

106,051

110,019

101,738

102,858

Total regulatory capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011

128,575

131,230

124,261

124,070

Core Tier 1 capital ratio (%)

10.5%

10.3%

10.7%

8.8%

8.5%

Additional capital needed to reach a 5% Core Tier 1 capital benchmark






 

 



 

Profit and losses

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Net interest income

28,146

27,372

24,413

24,008

21,370

Trading income

5,388

4,814

4,814

2,930

2,930

of which trading losses from stress scenarios


-1,404

-1,404

-3,288

-3,288

of which valuation losses due to sovereign shock


-758

-758

Other operating income(5)

2,533

1,620

1,620

1,620

1,620

Operating profit before impairments

21,646

19,056

16,426

13,809

11,499

Impairments on financial and non-financial assets in the banking book(6)

-10,502

-8,856

-8,555

-12,217

-10,508

Operating profit after impairments and other losses from the stress

11,144

10,201

7,871

1,592

991

Other income(5,6)

1,246

1,246

1,246

1,246

1,246

Net profit after tax (7)

9,160

8,928

7,111

2,213

1,745

of which carried over to capital (retained earnings)

4,755

4,937

3,933

1,224

965

of which distributed as dividends

4,405

3,991

3,179

989

780

 

 

Additional information

2010

Baseline scenario

Adverse scenario

2011

2012

2011

2012

Deferred Tax Assets(8)

-2,994

-2,994

-2,994

-2,994

-2,994

Stock of provisions(9)

18,609

25,354

33,909

28,716

39,224

of which stock of provisions for non-defaulted assets






of which Sovereigns(10)






of which Institutions(10)






of which Corporate (excluding Commercial real estate)






of which Retail (excluding Commercial real estate)






of which Commercial real estate(11)






of which stock of provisions for defaulted assets






of which Corporate (excluding Commercial real estate)






of which Retail (excluding commercial real estate)






of which Commercial real estate






Coverage ratio (%)(12)

Corporate (excluding Commercial real estate)






Retail (excluding Commercial real estate)






Commercial real estate






Loss rates (%)(13)

Corporate (excluding Commercial real estate)

0.3%

0.7%

0.7%

0.8%

0.7%

Retail (excluding Commercial real estate)

2.0%

1.8%

1.7%

2.1%

2.1%

Commercial real estate

0.4%

0.7%

0.7%

0.8%

0.8%

Funding cost (bps)

119


215

278

 

 



 

D. Other mitigating measures (see Mitigating measures worksheet for details), million EUR(14)

 

All effects as compared to regulatory aggregates as reported in Section C


Baseline scenario

Adverse scenario

2011

2012

2011

2012

A) Use of provisions and/or other reserves (including release of countercyclical provisions), capital ratio effect(6)

0

0

0

0

B) Divestments and other management actions taken by 30 April 2011, RWA effect (+/-)

0

0

0

0

B1) Divestments and other business decisions taken by 30 April 2011, capital ratio effect (+/-)

0

0

0

0

C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, RWA effect (+/-)

0

0

0

0

C1) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, capital ratio effect (+/-)

0

0

0

0

D) Future planned issuances of common equity instruments (private issuances), capital ratio effect

0

0

0

0

E) Future planned government subscriptions of capital instruments (including hybrids), capital ratio effect

0

0

0

0

F) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, RWA effect (+/-)

0

0

0

0

F1) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, capital ratio effect (+/-)

0

0

0

0

Risk weighted assets after other mitigating measures (B+C+F)

900,631

909,072

1,002,244

1,056,965

Capital after other mitigating measures (A+B1+C1+D+E+F1)

92,636

97,204

88,322

89,443

Supervisory recognised capital ratio (%)(15)

10.3%

10.7%

8.8%

8.5%

 

Notes and definitions

(1)      The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).

(2)      All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3)      Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4)      Regulatory transitional floors are applied where binding. RWA for credit risk have been calculated in accordance with the EBA methodology assuming an additional floor imposed at a level of RWA, before regulatory transitional floors, for December 2010 for both IRB and STA portfolios.

(5)      Banks are required to provide explanations of what "Other operating income" and "Other income" constitutes for.

Composition of "Other Operating Income":

Gains (losses) on financial assets and liabilities designated at fair value through profit and loss, net + Realised gains (losses) on fin. assets and l-iabilities not measured at fair value through profit and loss, net + Gains (losses) from hedge accounting, net +Gains (losses) on derecognition of assets other than held for sale +Net dividend income +Gains (losses) on non financial assets measured at fair value.

Composition of "Other income":

Income from Associates and Joint Ventures (excluding income from Insurance companies).

(6)      If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D as other mitigating measures.

(7)      Net profit includes profit attributable to minority interests.

(8)      Deferred tax assets as referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 - a global regulatory framework for more resilient banks and banking systems".

(9)      Stock of provisions includes collective and specific provisions as well as countercyclical provisions, in the jurisdictions, where required by the national legislation.

(10)    Provisions for non-defaulted exposures to sovereigns and financial institutions have been computed taking into account benchmark risk parameters (PDs and LGDs) provided by the EBA and referring to external credit ratings and assuming hypothetical scenario of rating agency downgrades of sovereigns.

(11)    N/A.

(12)    Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD for the specific portfolio.

(13)    Loss rate = total impairment flow (specific and collective impairment flow) for a year / total EAD for the specific portfolio (including defaulted and non-defaulted assets but excluding securitisation and counterparty credit risk exposures).

(14)    All elements are be reported net of tax effects.

(15)    The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities.


 

Situation at December 2010

December 2010

Million EUR

% RWA

A) Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares) (+)

90,148

10.9%

Of which: (+) eligible capital and reserves

108,229

13.1%

Of which: (-) intangibles assets (including goodwill)

-20,956

-2.5%

Of which: (-/+) adjustment to valuation differences in other AFS assets(1)

2,876

0.3%

B) Deductions from common equity (Elements deducted from original own funds) (-)

-3,248

-0.4%

Of which: (-) deductions of participations and subordinated claims

0

0.0%

Of which: (-) securitisation exposures not included in RWA

-1,098

-0.1%

Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax)

-2,330

-0.3%

C) Common equity (A+B)

86,900

10.5%

Of which: ordinary shares subscribed by government

0

0.0%

D) Other Existing government support measures (+)

0

0.0%

E) Core Tier 1 including existing government support measures (C+D)

86,900

10.5%

Difference from benchmark capital threshold (CT1 5%)

45,622

5.5%

F) Hybrid instruments not subscribed by government

12,770

1.5%

Tier 1 Capital (E+F) (Total original own funds for general solvency purposes)

99,670

12.1%

Tier 2 Capital (Total additional own funds for general solvency purposes)

25,727

3.1%

Tier 3 Capital (Total additional own funds specific to cover market risks)

0

0.0%

Total Capital (Total own funds for solvency purposes)

125,397

15.2%

Memorandum items

Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions not deducted for the computation of core tier 1 but deducted for the computation of total own funds

11,112

1.3%

Amount of securitisation exposures not included in RWA and not deducted for the computation of core tier 1 but deducted for the computation of total own funds

1,098

0.1%

Deferred tax assets(2)

-2,994

-0.4%

Minority interests (excluding hybrid instruments)(2)

5,424

0.7%

Valuation differences eligible as original own funds (-/+)(3)

1,343

0.2%

 

Notes and definitions

(1)   The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.

(2)   According to the Basel 3 framework specific rules apply for the treatment of these items under the Basel 3 framework, no full deduction is required for the computation of common equity.

(3)   This item represents the impact in original own funds of valuation differences arising from the application of fair value measurement to certain financial instruments (AFS/FVO) and property assets after the application of prudential filters.


Results of the 2011 EBA EU-wide stress test: Overview of mitigating measures(1-2)

 

Name of the bank:  HSBC Holdings plc

 

Use of countercyclical provisions, divestments and other management actions

 

Please fill in the table using a separate row for each measure

Narrative description

Date of completion (actual or planned for future issuances)

Capital / P&L impact
(in million EUR)

RWA impact
(in million EUR)

Capital ratio impact
(as of 31 December 2012)
%

A) Use of provisions and/or other reserves (including release of countercyclical provisions)(3)













B) Divestments and other management actions taken by 30 April 2011

1)





2)



























C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules

1)






2)
























 



 

Future capital raisings and other back stop measures

 

Please fill in the table using a separate row for each measure

Date of issuance (actual or planned for future issuances, dd/mm/yy)

Amount

Maturity

Loss absorbency in going concern

Flexibility of payments (capacity to suspend the payments)

Permanence (Undated and without incentive to redeem)

Conversion clause (where appropriate)

Nature of conversion

Date of conversion

Triggers

Conversion in common equity

(in million EUR)

(dated/ undated)(4)

(Yes/No)

(Yes/No)

(Yes/No)

(mandatory/ discretionary)

(at any time/from a specific date: dd/mm/yy)

(description of the triggers)

(Yes/No)

D) Future planned issuances of common equity instruments (private issuances)
























































E) Future planned government subscriptions of capital instruments (including hybrids)

1) Denomination of the instrument











2)












































F) Other (existing and future) instruments recognised as back stop measures by national supervisory authorities (including hybrids)

1) Denomination of the instrument











2)












































 

 

Notes and definitions

(1)   N/A.

(2)   All elements are be reported net of tax effects.

(3)   If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included  either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported as other mitigating measures.

(4)   N/A.


Results of the 2011 EBA EU-wide stress test: Credit risk exposures (EAD - exposure at default), as of 31 December 2010, mln EUR(1-5)

 

Name of the bank:  HSBC Holdings plc

 

All values in million EUR, or %


Non-defaulted exposures

Commercial Real Estate

Defaulted exposures (including sovereign)

Total exposures(7)

Institutions

Corporate (excluding commercial real estate

Retail (excluding commercial real estate)

of which Residential mortgages

of which Revolving

of which SME

of which other

Austria

0

0

0

0

0

0

0

0

0

0

Belgium

0

0

0

0

0

0

0

0

0

0

Bulgaria

0

0

0

0

0

0

0

0

0

0

Cyprus

0

0

0

0

0

0

0

0

0

0

Czech Republic

273

1,974

0

0

0

0

0

8

0

2,844

Denmark

0

0

0

0

0

0

0

0

0

0

Estonia

0

0

0

0

0

0

0

0

0

0

Finland

0

0

0

0

0

0

0

0

0

0

France

20,628

22,258

19,003

2,914

31

5,083

10,975

8,947

1,714

98,026

Germany

18,561

6,623

157

0

0

0

157

141

107

45,589

Greece

387

3,086

49

0

0

0

49

63

62

4,268

Hungary

0

0

0

0

0

0

0

0

0

0

Iceland

0

0

0

0

0

0

0

0

0

0

Ireland

0

0

0

0

0

0

0

0

0

0

Italy

0

0

0

0

0

0

0

0

0

0

Latvia

0

0

0

0

0

0

0

0

0

0

Liechtenstein

0

0

0

0

0

0

0

0

0

0

Lithuania

0

0

0

0

0

0

0

0

0

0

Luxembourg

0

0

0

0

0

0

0

0

0

0

Malta

41

2,761

319

0

0

0

319

262

113

4,395

Netherlands

0

0

0

0

0

0

0

0

0

0

Norway

0

0

0

0

0

0

0

0

0

0

Poland

0

0

0

0

0

0

0

0

0

0

Portugal

0

0

0

0

0

0

0

0

0

0

Romania

0

0

0

0

0

0

0

0

0

0

Slovakia

0

0

0

0

0

0

0

0

0

0

Slovenia

0

0

0

0

0

0

0

0

0

0

Spain

3,344

4,074

0

0

0

0

0

452

8

9,638

Sweden

0

0

0

0

0

0

0

0

0

0

United Kingdom

17,920

100,066

128,928

86,174

31,866

2,957

7,931

15,144

3,940

326,706

 



 


Non-defaulted exposures

Commercial Real Estate

Defaulted exposures (including sovereign)

Total exposures(7)

Institutions

Corporate (excluding commercial real estate

Retail (excluding commercial real estate)

of which Residential mortgages

of which Revolving

of which SME

of which other

United States

19,616

50,803

116,482

51,377

54,305

0

10,816

8,606

5,850

237,068

Japan

6,731

1,771

158

0

0

0

158

738

0

16,367

Other non EEA non Emerging countries

0

0

0

0

0

0

0

0

0

0

Asia

44,592

169,645

87,666

52,651

14,610

428

19,977

38,252

1,357

386,450

Middle and South America

5,211

23,713

14,965

0

0

0

14,965

2,349

1,096

61,573

Eastern Europe non EEA

9,500

4,465

16,043

0

0

0

16,043

245

125

33,504

Others

65,288

40,866

27,756

18,727

2,467

698

5,864

10,511

1,565

217,847

Total

212,092

432,107

411,528

211,844

103,278

9,166

87,256

85,718

15,937

1,444,276

 

 

Notes and definitions

(1)      EAD - Exposure at Default or exposure value in the meaning of the CRD.

(2)      The EAD reported here are based on the methodologies and portfolio breakdowns used in the 2011 EU-wide stress test, and hence may differ from the EAD reported by banks in their Pillar 3 disclosures, which can vary based on national regulation. For example, this would affect breakdown of EAD for real estate exposures and SME exposures.

(3)      Breakdown by country and macro area (e.g. Asia) when EAD >=5%. In any case coverage 100% of total EAD should be ensured (if exact mapping of some exposures to geographies is not possible, they should be allocated to the group "others").

(4)      The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(5)      Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, which are recognised as eligible collateral in the meaning of the CRD, with the following criteria, which need to be met:

(a)      the value of the property does not materially depend upon the credit quality of the obligor. This requirement does not preclude situations where purely macro economic factors affect both the value of the property and the performance of the borrower; and

(b)      the risk of the borrower does not materially depend upon the performance of the underlying property or project, but rather on the underlying capacity of the borrower to repay the debt from other sources. As such, repayment of the facility does not materially depend on any cash flow generated by the underlying property serving as collateral."

(6)      N/A.

(7)      N/A.

 


Results of the 2011 EBA EU-wide stress test: Exposures to sovereigns (central and local governments), as of 31 December 2010, mln EUR(1,2)

 

Name of the bank:  HSBC Holdings plc

 

All in million USD, or %

 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of
specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position
of sovereign debt to other counterparties
only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through
profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Austria

183

0

183

0

0

183


0


0

1Y

143

0

143

0

0

143


-34


0

2Y

27

0

0

0

0

0


-89


0

3Y

0

0

0

0

0

0


7


0

5Y

34

0

0

0

0

0


-1


0

10Y

545

0

545

0

0

545


11


0

15Y

173

0

0

0

0

0


43


0


1,106

0

542

0

0

871


-64


0

3M

Belgium

99

0

99

0

0

99


3


0

1Y

168

0

149

0

0

149


40


0

2Y

343

0

160

87

1

73


0


0

3Y

0

0

0

0

0

0


28


0

5Y

197

0

94

0

0

94


0


0

10Y

621

0

509

0

0

509


0


0

15Y

22

0

0

0

0

0


0


0


1,450

0

40

87

1

925


71


0

3M

Bulgaria

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Cyprus

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Czech Republic

514

0

514

22

0

0


0


0

1Y

184

0

184

184

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

14

0

14

1

0

13


13


0

5Y

25

0

25

15

0

9


0


0

10Y

0

0

0

0

0

0


0


0

15Y

2

0

2

0

0

2


0


0


739

0

739

223

0

24


13


0

3M

Denmark

5

0

5

0

0

5


3


0

1Y

1,124

0

1,124

1,113

0

10


0


0

2Y

3

0

0

0

0

0


0


0

3Y

2

0

2

0

0

2


0


0

5Y

5

0

2

0

0

2


0


0

10Y

1

0

1

0

0

1


0


0

15Y

3

0

3

0

0

3


0


0


1,143

0

1,128

1,113

0

23


3


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Estonia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Finland

198

0

194

0

0

194


0


0

1Y

0

0

0

0

0

0


0


0

2Y

29

0

29

0

0

29


0


0

3Y

26

0

26

0

0

26


0


0

5Y

77

0

4

0

0

4


0


0

10Y

64

0

0

0

0

0


0


0

15Y

121

0

121

0

0

121


0


0


515

0

329

0

0

374


0


0

3M

France

2,690

0

2,504

1,259

0

1,144


0


0

1Y

3,498

195

2,423

659

0

1,602


0


0

2Y

2,635

0

1,620

1,960

0

0


5


0

3Y

1,332

0

960

121

3

839


0


0

5Y

4,257

131

3,732

2,370

0

1,362


3


0

10Y

2,255

7

0

0

0

0


0


-1

15Y

2,309

0

0

0

0

0


0


0


18,977

332

10,888

6,369

3

4,947


8


-1

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Germany

219

0

0

151

0

0


0


0

1Y

1,136

121

343

134

0

208


0


0

2Y

3,332

0

1,551

2,640

0

0


0


0

3Y

1,596

0

0

747

0

0


0


0

5Y

3,510

0

2,367

2,398

0

0


0


0

10Y

2,862

88

886

613

0

274


27


0

15Y

2,679

0

1,597

613

0

984


-12


0


15,333

209

5,009

7,295

0

1,466


15


0

3M

Greece

105

0

105

19

0

85


0


0

1Y

104

0

95

0

0

95


0


-1

2Y

255

0

255

35

0

220


0


-1

3Y

92

0

59

67

0

0


0


0

5Y

428

0

373

67

0

306


0


0

10Y

235

0

32

0

0

32


57


-7

15Y

100

0

0

0

0

0


26


0


1,319

0

883

189

0

737


82


-9

3M

Hungary

186

0

186

0

0

186


1


0

1Y

1

0

1

0

0

1


0


0

2Y

1

0

1

0

0

1


0


0

3Y

1

0

0

0

0

0


1


-1

5Y

17

0

15

0

0

15


0


-13

10Y

3

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


209

0

198

0

0

203


1


-14

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Iceland

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


-1

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


-1

3M

Ireland

2

0

2

0

0

2


1


0

1Y

24

0

4

0

0

0


0


0

2Y

9

0

9

0

0

9


0


0

3Y

0

0

0

0

0

0


0


-1

5Y

30

0

30

0

0

17


0


-1

10Y

150

0

17

0

0

17


0


-4

15Y

72

0

72

0

0

72


0


0


287

0

107

0

0

118


1


-6

3M

Italy

235

0

0

0

0

0


0


0

1Y

2,116

0

1,625

423

0

928


0


0

2Y

1,097

0

462

83

0

379


0


0

3Y

677

0

0

0

0

0


0


0

5Y

1,514

0

882

0

0

882


0


0

10Y

2,497

0

594

0

0

594


-618


-2

15Y

1,791

0

294

0

0

294


0


0


9,927

0

3,331

506

0

3,077


-618


-2

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Latvia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

1

0

1

0

0

1


1


-1

15Y

0

0

0

0

0

0


0


0


1

0

1

0

0

1


1


-1

3M

Liechtenstein

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


0

0

0

0

0

0


0


0

3M

Lithuania

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

10

0

10

0

0

10


0


0

10Y

5

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


16

0

10

0

0

10


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Luxembourg

75

0

75

0

0

0


0


0

1Y

204

0

204

204

0

0


0


0

2Y

91

0

91

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

68

0

3

0

1

0


0


0

10Y

26

0

0

0

0

0


0


0

15Y

29

0

0

0

0

0


0


0


494

0

374

204

1

0


0


0

3M

Malta

0

0

0

0

0

0


0


0

1Y

244

72

244

244

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

55

0

0

0

0


0


0

10Y

0

5

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


244

132

244

244

0

0


0


0

3M

Netherlands

2,098

0

1,877

0

0

0


2


0

1Y

365

0

365

299

0

65


0


0

2Y

227

0

227

0

0

227


0


0

3Y

108

0

0

108

0

0


0


0

5Y

458

0

166

133

0

34


0


0

10Y

607

0

607

0

0

607


0


0

15Y

150

0

0

0

0

0


9


0


4,013

0

2,781

540

0

933


12


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Norway

23

0

23

0

0

23


0


0

1Y

21

0

21

19

0

1


0


0

2Y

12

0

12

0

0

12


0


0

3Y

40

0

19

0

0

19


0


0

5Y

3

0

3

0

0

3


0


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


98

0

77

19

0

58


-1


0

3M

Poland

1,085

0

1,085

973

0

112


0


0

1Y

329

0

329

231

0

98


0


0

2Y

35

0

30

4

0

27


0


0

3Y

1

0

0

1

0

0


0


0

5Y

36

0

22

0

0

22


0


0

10Y

69

0

51

0

0

51


0


0

15Y

8

0

0

0

0

0


0


0


1,563

0

1,473

1,209

0

309


0


0

3M

Portugal

188

0

188

0

0

188


16


0

1Y

269

0

53

0

0

53


0


0

2Y

0

0

0

0

0

0


46


0

3Y

56

0

56

0

0

56


0


0

5Y

173

0

12

0

0

12


82


-1

10Y

140

0

11

0

0

11


99


-4

15Y

179

0

0

0

0

0


16


0


1,006

1

105

0

0

320


259


-5

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Romania

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

0

0

0

0

0

0


0


0

10Y

2

0

2

0

0

2


0


0

15Y

0

0

0

0

0

0


0


0


2

0

2

0

0

2


0


0

3M

Slovakia

10

0

10

0

0

10


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

12

0

12

0

0

12


0


0

10Y

0

0

0

0

0

0


0


0

15Y

43

0

43

0

0

43


0


0


65

0

60

0

0

65


0


0

3M

Slovenia

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

122

0

113

0

0

113


0


0

10Y

71

0

58

0

0

58


0


0

15Y

0

0

0

0

0

0


0


0


193

0

91

0

0

171


0


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Spain

1

0

1

0

0

1


0


0

1Y

376

0

376

0

0

376


0


0

2Y

340

0

181

0

0

181


9


0

3Y

199

0

0

0

0

0


0


0

5Y

306

0

77

0

0

77


5


-1

10Y

362

10

0

0

0

0


33


-4

15Y

447

0

0

0

0

0


22


0


2,032

10

430

0

0

636


69


-5

3M

Sweden

0

0

0

0

0

0


0


0

1Y

20

0

20

16

0

4


0


0

2Y

25

0

25

0

0

25


12


0

3Y

1

0

1

0

0

1


0


0

5Y

1

0

1

2

0

0


1


0

10Y

0

0

0

0

0

0


0


0

15Y

0

0

0

0

0

0


0


0


47

0

46

18

0

30


13


0

3M

United Kingdom

22,522

0

21,308

896

0

0


56


0

1Y

2,821

683

2,264

0

0

1,457


9


0

2Y

3,075

0

2,237

2,835

0

0


11


0

3Y

3,036

0

2,116

2,257

161

0


10


0

5Y

4,456

44

3,897

3,438

0

459


7


0

10Y

13,781

300

9,524

10,468

0

0


2


0

15Y

6,725

0

2,482

940

267

1,276


11


0


56,417

1,028

43,829

20,833

429

3,192


107


0














TOTAL EEA 30

117,194

1,711

72,715

38,849

431

18,494


-25


-45

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

United States

37,054

0

36,077

31,509

0

3,159


0


0

1Y

8,985

0

7,784

5,574

0

4,597


0


0

2Y

6,924

0

3,971

2,965

0

6,779


0


0

3Y

3,038

0

2,037

1,767

0

2,267


0


0

5Y

2,860

0

1,667

1,626

0

2,427


0


0

10Y

2,321

0

1,014

13

0

3,616


0


0

15Y

2,680

0

1,328

1,236

37

2,797


0


0


63,864

0

53,879

44,690

37

25,641


0


0

3M

Japan

6,768

0

6,768

834

0

4,915


0


0

1Y

5,096

0

5,096

1,984

0

3,112


0


0

2Y

1,002

0

1,002

772

0

230


0


0

3Y

1

0

1

0

0

0


0


0

5Y

1,464

0

1,464

698

0

765


0


5

10Y

899

0

899

841

0

58


0


-3

15Y

0

0

0

0

0

0


0


0


15,230

0

15,221

5,129

0

9,080


0


2

3M

Other non EEA non Emerging countries

53,323

0

51,284

22,169

0

4,457


490


0

1Y

14,883

0

13,675

12,008

0

622


314


2

2Y

7,254

0

6,989

4,625

0

2,218


-20


-1

3Y

2,523

0

2,312

1,941

0

332


52


4

5Y

7,371

0

7,058

5,654

0

1,108


65


2

10Y

1,291

0

1,088

142

0

926


55


-4

15Y

146

0

60

0

0

56


61


0


86,791

0

82,466

46,539

0

9,718


1,017


3

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Asia

18,545

0

18,545

2,533

0

5,679


-42


0

1Y

9,105

0

9,105

7,310

0

1,796


71


0

2Y

1,655

0

1,655

1,292

0

345


0


0

3Y

1,445

0

1,445

1,103

0

334


0


5

5Y

1,386

0

1,386

1,062

0

323


0


5

10Y

310

0

310

151

0

159


11


-1

15Y

340

0

340

36

0

258


1


0


32,785

0

32,785

13,487

0

8,894


41


10

3M

Middle and South America

17,793

0

17,761

1,465

0

3,174


6


0

1Y

2,067

0

1,948

761

0

960


4


-10

2Y

1,496

0

1,496

1,405

0

77


0


-55

3Y

3,364

0

3,364

2,673

0

204


0


-43

5Y

4,305

0

4,305

3,935

0

325


1


-139

10Y

1,204

0

1,081

1,027

0

0


14


-115

15Y

2,625

0

2,592

484

0

0


0


-1


32,855

0

32,547

11,750

0

4,741


25


-365

3M

Eastern Europe non EEA

0

0

0

0

0

0


0


0

1Y

0

0

0

0

0

0


0


0

2Y

0

0

0

0

0

0


0


0

3Y

0

0

0

0

0

0


0


0

5Y

1,099

0

1,099

337

0

525


0


0

10Y

0

0

0

0

0

0


11


0

15Y

0

0

0

0

0

0


0


0


1,099

0

1,099

337

0

525


11


0

 



 

Residual Maturity

Country/Region

GROSS DIRECT LONG EXPOSURES
(accounting value gross of specific provisions)

NET DIRECT POSITIONS
(gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)


DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES


INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK


of which: loans and advances


of which: AFS banking book

of which: FVO (designated at fair value through profit & loss) banking book

of which:
Trading book(3)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)


Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)

3M

Others

6,434

832

6,434

1,809

0

337


0


0

1Y

6,671

6

6,671

5,170

0

269


0


0

2Y

144

0

144

144

0

0


0


0

3Y

2,050

10

2,050

354

0

189


0


0

5Y

477

7

477

469

0

2


0


0

10Y

5

0

5

5

0

0


7


0

15Y

0

0

0

0

0

0


0


0


15,781

855

15,781

7,951

0

797


7


0


TOTAL

365,599

2,566

306,493

168,732

468

77,891


1,076


-396

 

 

 

Notes and definitions

(1)   The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings.  
See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(2)   The exposures reported in this worksheet cover only exposures to central and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees.

(3)   According to the EBA methodologies, for the trading book assets banks have been allowed to offset only cash short positions having the same maturities.

 

 


This information is provided by RNS
The company news service from the London Stock Exchange
 
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