TIDMHSBA
RNS Number : 3770X
HSBC Holdings PLC
21 February 2017
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
We make investments in private equity primarily through managed
funds that are subject to limits on the amount of investment. We
risk-assess these commitments to ensure that industry and
geographical concentrations remain within acceptable levels for the
portfolio as a whole, and perform regular reviews to substantiate
the valuation of the investments within the portfolio.
Exchange traded investments amounted to $0.9bn (2015: $0.8bn),
with the remainder being unlisted. These investments are held at
fair value in line with market prices and are mainly strategic in
nature.
On a regulatory consolidation basis, the net gain from disposal
of equity securities amounted to $1.1bn (2015: $1.8bn), while
impairment of AFS equities amounted to $0.0bn (2015: $0.1bn).
Unrealised gains on equities of $1.1bn at 31 December 2016 were
fully recognised in CET1.
Details of our accounting policy for AFS equity investments and
the valuation of financial instruments may be found on page 200 of
the Annual Report and Accounts 2016. A detailed description of the
valuation techniques applied to private equity may be found on page
220 of the Annual Report and Accounts 2016.
Risk management of insurance operations
We operate an integrated bancassurance model that provides
insurance products principally for customers with whom we have a
banking relationship.
The insurance contracts we sell relate to the underlying needs
of our banking customers, which we can identify from our
point-of-sale contacts and customer knowledge. The majority of
sales are of savings and investment products and term and credit
life contracts.
By focusing largely on personal and SME lines of business, we
are able to optimise volumes and diversify individual insurance
risks.
We choose to manufacture these insurance products in HSBC
subsidiaries based on an assessment of operational scale and risk
appetite. Manufacturing insurance allows us to retain the risks and
rewards associated with writing insurance contracts by keeping part
of the underwriting profit and investment income within the
Group.
We have life insurance manufacturing subsidiaries in nine
countries (Argentina, mainland China, France, Hong Kong, Malaysia,
Malta, Mexico, Singapore and the UK). We also have life insurance
manufacturing associates in Saudi Arabia and India.
Where we do not have the risk appetite or operational scale to
be an effective insurance manufacturer, we engage with a handful of
leading external insurance companies in order to provide insurance
products to our customers through our banking network and direct
channels. These arrangements are generally structured with our
exclusive strategic partners and earn the Group a combination of
commissions, fees and a share of profits. We distribute insurance
products in all of our geographical regions.
Insurance products are sold through all global businesses, but
predominantly by RBWM and CMB through our branches and direct
channels worldwide.
The risk profile of our insurance manufacturing businesses is
measured using an economic capital approach. Assets and liabilities
are measured on a market value basis, and a capital requirement is
defined to ensure that there is a less than one in 200 chance of
insolvency over a one-year time horizon, given the risks that the
businesses are exposed to. The methodology for the economic capital
calculation is largely aligned to the pan-European Solvency II
insurance capital regulations, which were applicable from 2016.
Subsidiaries engaged in insurance activities are excluded from
the regulatory consolidation by excluding assets, liabilities and
post-acquisition reserves, leaving the investment of these
insurance subsidiaries to be recorded at cost and deducted from
CET1 subject to thresholds (amounts below the thresholds are
risk-weighted).
Further details of the management of financial risks and
insurance risk arising from the insurance operations are provided
from page 82 of the Annual Report and Accounts 2016.
Liquidity and funding risk
Liquidity risk is the risk that the Group does not have
sufficient financial resources to meet its obligations as they fall
due, or will have to do so at an excessive cost. The risk arises
from mismatches in the timing of cash flows. Funding risk is the
risk that funding considered to be sustainable, and therefore used
to fund assets, is not sustainable over time. The risk arises when
the funding needed for illiquid asset positions cannot be obtained
at the expected terms and when required.
The objective of our liquidity framework is to allow us to
withstand very severe stresses. It is designed to be adaptable to
changing business models, markets and regulations.
We do not manage liquidity through the explicit allocation of
capital as, in common with standard industry practice, this is not
considered to be an appropriate or adequate mechanism for managing
these risks. However, we recognise that a strong capital base can
help to mitigate liquidity risk and we ensure that sufficient
liquidity is held via the liquidity add-on process. Liquidity
add-ons are required where an operating entity has identified a
risk that is either not covered by the Group's internal liquidity
and funding risk management framework as a result of the review of
risk completeness or not covered sufficiently by the Group's
internal liquidity and funding risk management framework ('LFRF')
as a result of stress testing.
Our primary sources of funding are customer current accounts and
customer savings deposits payable on demand or at short notice. We
issue wholesale securities (secured and unsecured) to supplement
our customer deposits and change the currency mix, maturity profile
or location of our liabilities. In the normal course of business,
we do not seek to utilise secured financing as a source of funding
to finance customer assets, beyond the collateralised security
financing activities within Global Markets.
Management of liquidity and funding risk
On 1 January 2016, the Group implemented a new liquidity and
funding risk management framework. It uses the liquidity coverage
ratio ('LCR') and net stable funding ratio ('NSFR') regulatory
framework as a foundation, but adds extra metrics, limits and
overlays to address firm-specific risks.
The LFRF is delivered using the following key aspects:
-- stand-alone management of liquidity and funding by operating entity;
-- operating entity classification by inherent liquidity risk ('ILR') categorisation;
-- minimum LCR requirement depending on ILR categorisation;
-- minimum NSFR requirement depending on ILR categorisation;
-- legal entity depositor concentration limit;
-- three-month and 12-month cumulative rolling term contractual maturity limits covering deposits
from banks, deposits from non-bank financials and securities issued;
-- annual individual liquidity adequacy assessment ('ILAA') by operating entity;
-- minimum LCR requirement by currency;
-- intra-day liquidity; and
-- forward-looking funding assessments.
64 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
The new internal LFRF and the risk tolerance limits were
approved by the RMM and the Board on the basis of recommendations
made by the GRC.
Our ILAA process aims to:
-- identify risks that are not reflected in the LFRF and, where appropriate, to assess additional
limits to be required locally; and
-- validate the risk tolerance at the operating entity level by demonstrating that reverse stress
testing scenarios are acceptably remote and that vulnerabilities have been assessed through
the use of severe stress scenarios.
Details of our Liquidity and Funding Risk parameters are
provided from page 75 of the Annual Report and Accounts 2016.
Reputational risk
Reputational risk relates to stakeholders' perceptions, whether
fact-based or otherwise. Stakeholders' expectations change
constantly and so reputational risk is dynamic and varies between
geographical regions, groups and individuals. We have an unwavering
commitment to operating at the high standards we set for ourselves
in every jurisdiction. Any lapse in standards of integrity,
compliance, customer service or operating efficiency represents a
potential reputational risk. We have taken, and are taking,
measures to address the requirements of the US DPA and enhance our
AML, sanctions and other regulatory compliance frameworks. These
measures should also enhance our reputational risk management in
the future.
For further details on reputational risk management, see page 83
of the Annual Report and Accounts 2016.
Sustainability risk
Sustainability risk arises from the provision of financial
services to companies or projects which indirectly result in
unacceptable impacts on people or on the environment.
Sustainability risk is:
-- measured by assessing the potential sustainability effect of a customer's activities and assigning
a Sustainability Risk Rating to all high-risk transactions;
-- monitored quarterly by the RMM and monthly by the Group's Sustainability Risk function; and
-- managed using sustainability risk policies covering project finance lending and sector-based
sustainability policies for sectors and themes with potentially large environmental or social
impacts.
Business risk
The PRA specifies that banks, as part of their ICAAP, should
review their exposure to business risk.
Business risk is the potential negative effect on profits and
capital from the Group not meeting our strategic objectives, as a
result of unforeseen changes in the business and regulatory
environment, exposure to economic cycles and technological
changes.
We manage and mitigate business risk through our risk appetite,
business planning and stress testing processes, so that our
business model and planned activities are monitored, resourced and
capitalised consistent with the commercial, economic and risk
environment in which the Group operates, and that any potential
vulnerabilities of our business plans are identified at an early
stage so that mitigating actions can be taken.
Dilution risk
Dilution risk is the risk that an amount receivable is reduced
through cash or non-cash credit to the obligor, and arises mainly
from factoring and invoice discounting transactions.
Where there is recourse to the seller, we treat these
transactions as loans secured by the collateral of the debts
purchased and do not report dilution risk for them. For our
non-recourse portfolio, we do not report any dilution risk, as we
obtain an indemnity from the seller that indemnifies us against
this risk. Moreover, factoring transactions involve lending at a
discount to the face-value of the receivables which provides
protection against dilution risk.
Details of our management of these risks may be found on the
following pages of the Annual Report and Accounts 2016: liquidity
and funding 75, reputational 83 and sustainability 84.
Remuneration
Details of the Group's remuneration policy, including details on
the remuneration committee membership, activities, our remuneration
strategy and tables showing the remuneration details of HSBC's
Identified Staff and Material Risk Takers may be found under the
Remuneration Policy on our website
(www.hsbc.com/investor-relations/governance) and the Directors'
Remuneration Report on page 153 of the Annual Report and Accounts
2016.
HSBC Holdings plc Pillar 3 2016 65
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Appendix I
Additional CRD IV and BCBS tables
Table 46 sets out IRB exposures by obligor grade for central
governments and central banks, institutions and corporates, all of
which are assessed using our 23-grade CRR master scale. We
benchmark the master scale against the ratings of external rating
agencies. Each CRR band is associated with an external rating grade
by reference to long-run default rates for that grade, represented
by the average of issuer-weighted historical default rates.
The correspondence between the agency long-run default rates and
the PD ranges of our master scale is obtained by matching a
smoothed curve based on those default rates with our master scale
reference PDs. This association between internal and external
ratings is indicative and may vary over time. In these tables, the
ratings of S&P are cited for illustration purposes, although we
also benchmark against other agencies' ratings in an equivalent
manner.
Table 46.a: Wholesale IRB exposure - by obligor grade - Central governments and central banks
Average exposure Mapped external
CRR PD range value(1) Undrawn commitments rating
% $bn $bn
Default risk
Minimal 0.1 0.000 to 0.010 159.4 0.8 AAA
-------------------
1.1 0.011 to 0.028 106.4 0.4 AA+ to AA
-------------------
1.2 0.029 to 0.053 37.1 0.5 AA- to A+
-------------------
Low 2.1 0.054 to 0.095 12.2 0.1 A
-------------------
2.2 0.096 to 0.169 10.3 0.1 A-
-------------------
Satisfactory 3.1 0.170 to 0.285 3.9 - BBB+
-------------------
3.2 0.286 to 0.483 2.4 - BBB
-------------------
3.3 0.484 to 0.740 6.2 - BBB-
-------------------
Fair 4.1 0.741 to 1.022 0.2 - BB+
-------------------
4.2 1.023 to 1.407 1.0 - BB
-------------------
4.3 1.408 to 1.927 1.2 0.1 BB-
-------------------
Moderate 5.1 1.928 to 2.620 2.5 - BB-
-------------------
5.2 2.621 to 3.579 2.3 - B+
-------------------
5.3 3.580 to 4.914 0.9 - B
-------------------
Significant 6.1 4.915 to 6.718 0.1 - B
-------------------
6.2 6.719 to 8.860 0.4 - B-
-------------------
High 7.1 8.861 to 11.402 0.2 - CCC+
-------------------
7.2 11.403 to 15.000 - - CCC+
-------------------
Special Management 8.1 15.001 to 22.000 - - CCC+
-------------------
8.2 22.001 to 50.000 - - CCC+
-------------------
8.3 50.001 to 99.999 - - CCC to C
-------------------
Default 9/10 100.000 - - Default
-------------------
At 31 Dec 2016 346.7 2.0
------------------- ---- ---------------- --------------------- ------------------- ---------------------
Default risk
Minimal 0.1 0.000 to 0.010 131.3 0.6 AAA
-------------------
1.1 0.011 to 0.028 86.6 1.0 AA+ to AA
-------------------
1.2 0.029 to 0.053 54.0 0.4 AA- to A+
-------------------
Low 2.1 0.054 to 0.095 25.9 - A
-------------------
2.2 0.096 to 0.169 6.7 - A-
-------------------
Satisfactory 3.1 0.170 to 0.285 10.6 - BBB+
-------------------
3.2 0.286 to 0.483 4.6 - BBB
-------------------
3.3 0.484 to 0.740 2.0 - BBB-
-------------------
Fair 4.1 0.741 to 1.022 1.0 - BB+
-------------------
4.2 1.023 to 1.407 0.5 - BB
-------------------
4.3 1.408 to 1.927 0.5 - BB-
-------------------
Moderate 5.1 1.928 to 2.620 2.9 0.3 BB-
-------------------
5.2 2.621 to 3.579 0.5 0.2 B+
-------------------
5.3 3.580 to 4.914 3.5 0.1 B
-------------------
Significant 6.1 4.915 to 6.718 0.4 - B
-------------------
6.2 6.719 to 8.860 0.3 - B-
-------------------
High 7.1 8.861 to 11.402 0.6 - CCC+
-------------------
7.2 11.403 to 15.000 - - CCC+
-------------------
Special Management 8.1 15.001 to 22.000 - - CCC+
-------------------
8.2 22.001 to 50.000 - - CCC+
-------------------
8.3 50.001 to 99.999 - - CCC to C
-------------------
Default 9/10 100.000 Default
-------------------
At 31 Dec 2015 331.9 2.6
------------------- ---- ---------------- --------------------- ------------------- ---------------------
For footnote, see page 68.
66 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 46.b: Wholesale IRB exposure - by obligor grade - Institutions
Average exposure Mapped external
CRR PD range value(1) Undrawn commitments rating
% $bn $bn
Default risk
Minimal 0.1 0.000 to 0.010 2.0 0.1 AAA
-------------------
1.1 0.011 to 0.028 16.2 2.0 AA+ to AA
-------------------
1.2 0.029 to 0.053 28.2 5.4 AA-
------------------- ---------------------
Low 2.1 0.054 to 0.095 15.1 4.8 A+ to A
-------------------
2.2 0.096 to 0.169 10.1 4.0 A-
-------------------
Satisfactory 3.1 0.170 to 0.285 2.5 2.0 BBB+
-------------------
3.2 0.286 to 0.483 3.3 0.6 BBB
-------------------
3.3 0.484 to 0.740 2.1 0.2 BBB-
-------------------
Fair 4.1 0.741 to 1.022 1.2 0.8 BB+
-------------------
4.2 1.023 to 1.407 0.4 0.2 BB
-------------------
4.3 1.408 to 1.927 0.1 0.1 BB-
-------------------
Moderate 5.1 1.928 to 2.620 0.1 - BB-
-------------------
5.2 2.621 to 3.579 - - B+
-------------------
5.3 3.580 to 4.914 0.1 - B
-------------------
Significant 6.1 4.915 to 6.718 - - B-
-------------------
6.2 6.719 to 8.860 - - B-
-------------------
High 7.1 8.861 to 11.402 - - CCC+
-------------------
7.2 11.403 to 15.000 - - CCC+
-------------------
Special Management 8.1 15.001 to 22.000 - 0.1 CCC
-------------------
8.2 22.001 to 50.000 - 0.1 CCC- to CC
-------------------
8.3 50.001 to 99.999 - - C
------------------- ---------------------
Default 9/10 100.000 - - Default
-------------------
At 31 Dec 2016 81.4 20.4
------------------- ---- ---------------- --------------------- ------------------- ---------------------
Default risk
Minimal 0.1 0.000 to 0.010 2.2 0.1 AAA
-------------------
1.1 0.011 to 0.028 15.0 1.3 AA+ to AA
-------------------
1.2 0.029 to 0.053 28.8 3.8 AA-
------------------- ---------------------
Low 2.1 0.054 to 0.095 36.4 5.0 A+ to A
-------------------
2.2 0.096 to 0.169 11.9 3.5 A-
-------------------
Satisfactory 3.1 0.170 to 0.285 7.8 1.4 BBB+
-------------------
3.2 0.286 to 0.483 4.9 0.4 BBB
-------------------
3.3 0.484 to 0.740 3.3 0.5 BBB-
-------------------
Fair 4.1 0.741 to 1.022 0.9 0.2 BB+
-------------------
4.2 1.023 to 1.407 1.7 0.2 BB
-------------------
4.3 1.408 to 1.927 0.4 - BB-
-------------------
Moderate 5.1 1.928 to 2.620 0.3 0.1 BB-
-------------------
5.2 2.621 to 3.579 0.1 B+
-------------------
5.3 3.580 to 4.914 0.3 - B
-------------------
Significant 6.1 4.915 to 6.718 0.3 - B-
-------------------
6.2 6.719 to 8.860 - - B-
-------------------
High 7.1 8.861 to 11.402 0.2 - CCC+
-------------------
7.2 11.403 to 15.000 - - CCC+
-------------------
Special Management 8.1 15.001 to 22.000 - - CCC
-------------------
8.2 22.001 to 50.000 - - CCC- to CC
-------------------
8.3 50.001 to 99.999 - - C
------------------- ---------------------
Default 9/10 100.000 Default
-------------------
At 31 Dec 2015 114.5 16.5
------------------- ---- ---------------- --------------------- ------------------- ---------------------
For footnote, see page 68.
HSBC Holdings plc Pillar 3 2016 67
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 46.c: Wholesale IRB exposure - by obligor grade - Corporates(2)
Average exposure Mapped external
CRR PD range value(1) Undrawn commitments rating
% $bn $bn
Default risk
Minimal 0.1 0.000 to 0.010 - 0.1
-------------------
1.1 0.011 to 0.028 17.6 12.8 AAA to AA
-------------------
1.2 0.029 to 0.053 46.1 36.7 AA-
-------------------
Low 2.1 0.054 to 0.095 63.9 54.0 A+ to A
-------------------
2.2 0.096 to 0.169 77.5 67.3 A-
-------------------
Satisfactory 3.1 0.170 to 0.285 75.0 63.5 BBB+
-------------------
3.2 0.286 to 0.483 73.3 58.1 BBB
-------------------
3.3 0.484 to 0.740 66.6 44.0 BBB-
-------------------
Fair 4.1 0.741 to 1.022 45.3 30.8 BB+
-------------------
4.2 1.023 to 1.407 34.0 21.0 BB
-------------------
4.3 1.408 to 1.927 31.6 18.6 BB-
-------------------
Moderate 5.1 1.928 to 2.620 25.9 14.2 BB-
-------------------
5.2 2.621 to 3.579 12.8 8.8 B+
-------------------
5.3 3.580 to 4.914 10.7 7.2 B
-------------------
Significant 6.1 4.915 to 6.718 7.0 6.1 B-
-------------------
6.2 6.719 to 8.860 4.2 2.6 B-
-------------------
High 7.1 8.861 to 11.402 2.6 0.9 CCC+
-------------------
7.2 11.403 to 15.000 0.9 0.3 CCC+
-------------------
Special Management 8.1 15.001 to 22.000 1.7 2.6 CCC
-------------------
8.2 22.001 to 50.000 0.7 0.5 CCC- to CC
-------------------
8.3 50.001 to 99.999 0.3 0.2 C
-------------------
Default 9/10 100.000 7.4 0.9 Default
-------------------
At 31 Dec 2016 605.1 451.2
------------------- ---- ---------------- ------------------- ------------------- --------------------
Default risk
Minimal 0.1 0.000 to 0.010 - -
-------------------
1.1 0.011 to 0.028 11.8 15.9 AAA to AA
-------------------
1.2 0.029 to 0.053 48.1 37.9 AA-
-------------------
Low 2.1 0.054 to 0.095 69.5 57.8 A+ to A
-------------------
2.2 0.096 to 0.169 89.4 68.3 A-
-------------------
Satisfactory 3.1 0.170 to 0.285 79.7 59.5 BBB+
-------------------
3.2 0.286 to 0.483 73.1 54.4 BBB
-------------------
3.3 0.484 to 0.740 70.5 44.8 BBB-
-------------------
Fair 4.1 0.741 to 1.022 45.9 26.2 BB+
-------------------
4.2 1.023 to 1.407 37.4 23.7 BB
-------------------
4.3 1.408 to 1.927 31.6 18.7 BB-
-------------------
Moderate 5.1 1.928 to 2.620 24.0 17.3 BB-
-------------------
5.2 2.621 to 3.579 12.5 8.6 B+
-------------------
5.3 3.580 to 4.914 11.9 8.0 B
-------------------
Significant 6.1 4.915 to 6.718 5.3 4.4 B-
-------------------
6.2 6.719 to 8.860 3.0 1.4 B-
-------------------
High 7.1 8.861 to 11.402 2.1 1.2 CCC+
-------------------
7.2 11.403 to 15.000 0.9 0.5 CCC+
-------------------
Special Management 8.1 15.001 to 22.000 0.8 0.5 CCC
-------------------
8.2 22.001 to 50.000 0.4 0.2 CCC- to CC
-------------------
8.3 50.001 to 99.999 0.3 0.1 C
------------------- --------------------
Default 9/10 100.000 6.8 1.0 Default
-------------------
At 31 Dec 2015 625.0 450.4
------------------- ---- ---------------- ------------------- ------------------- --------------------
1 Average exposures are calculated by aggregating the exposure value of the last five quarters
and dividing by five.
2 Corporates excludes specialised lending exposures subject to supervisory slotting approach.
68 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
PD, LGD, RWA and exposure by country
The following tables set out the exposure-weighted average PD,
exposure-weighted average LGD, RWAs and exposure by the
location of the principal operations of the lending subsidiary
or branch.
Table 47.a: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach all asset
classes(1)
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 2.18 35.4 79.6 170.9
- France 2.98 30.5 12.6 28.7
- Germany 0.24 42.1 0.3 1.1
- Switzerland 0.02 43.7 0.7 13.0
Asia
- Hong Kong 0.73 41.1 80.6 285.8
- Australia 0.81 43.1 7.6 20.7
- India 1.15 55.0 8.4 17.8
- Indonesia 7.46 52.7 4.8 6.2
- Mainland China 0.87 48.1 25.2 67.4
- Malaysia 1.09 46.7 6.1 13.2
- Singapore 0.70 42.3 9.2 35.6
- Taiwan 0.19 48.0 3.0 15.2
Middle East and North Africa
- Egypt 2.25 45.0 2.7 3.1
- Turkey 0.37 45.1 0.5 1.2
- UAE 0.14 36.6 1.8 11.2
North America
- US 1.51 35.7 50.8 144.1
- Canada 1.89 33.7 20.9 50.6
Latin America
- Argentina 2.25 45.3 1.6 1.5
---------------- ----------------- ------- -----------
- Brazil - - - -
---------------- ----------------- ------- -----------
- Mexico 0.90 44.5 2.6 7.0
------------------------------------------ ---------------- ----------------- ------- -----------
At 31 Dec 2015
Europe
- UK 2.31 30.5 87.5 209.4
- France 3.48 31.4 12.4 28.8
- Germany 0.41 41.9 0.3 1.3
- Switzerland 0.02 42.8 0.8 15.5
Asia
- Hong Kong 0.62 41.7 74.0 262.4
- Australia 1.05 42.7 7.1 19.2
- India 1.03 54.0 9.3 17.0
- Indonesia 7.98 54.5 5.5 6.6
- Mainland China 0.92 46.5 28.7 69.6
- Malaysia 0.98 47.1 6.4 14.6
- Singapore 0.64 42.7 8.7 34.5
- Taiwan 0.24 47.9 3.8 16.6
Middle East and North Africa
- Egypt 2.14 45.0 5.2 5.3
- Turkey 0.79 45.1 1.1 1.5
- UAE 0.12 39.0 1.9 10.7
North America
- US 0.78 39.2 52.6 139.6
- Canada 1.83 38.4 21.7 50.0
Latin America
- Argentina 7.11 45.5 2.8 1.7
- Brazil 0.48 45.0 6.0 9.5
- Mexico 1.44 44.5 2.8 7.5
------------------------------------------ ---------------- ----------------- ------- -----------
1 Excludes specialised lending exposures subject to supervisory slotting approach.
HSBC Holdings plc Pillar 3 2016 69
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.b: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach central
governments and central banks
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 0.04 44.6 2.5 20.10
- France 0.06 45.0 0.2 1.80
- Germany 0.05 45.0 0.1 0.50
- Switzerland 0.01 45.0 0.5 11.70
Asia
- Hong Kong 0.01 44.5 5.5 111.90
- Australia 0.01 45.0 0.3 5.90
- India 0.07 45.0 1.4 6.10
- Indonesia 0.17 45.0 0.5 1.80
- Mainland China 0.02 45.0 1.9 26.10
- Malaysia 0.04 45.0 0.7 5.20
- Singapore 0.01 45.0 0.7 14.30
- Taiwan 0.02 45.0 0.5 8.90
Middle East and North Africa
- Egypt 2.95 45.0 2.4 2.20
- Turkey 0.44 45.0 0.4 0.80
- UAE 0.14 44.6 0.8 6.00
North America
- US 0.01 37.6 3.9 53.60
- Canada 0.02 31.4 2.1 16.60
Latin America
- Argentina 2.23 45.0 1.5 1.50
- Brazil - - - -
---------------- ----------------- ------- -----------
- Mexico 0.08 45.0 2.2 6.20
----------------------------------------- ---------------- ----------------- ------- -----------
At 31 Dec 2015
Europe
- UK 0.06 45.0 2.2 16.4
- France 0.05 45.1 0.3 2.3
- Germany 0.10 45.0 0.1 0.6
- Switzerland 0.01 45.0 0.6 13.9
Asia
- Hong Kong 0.02 45.0 6.4 105.8
- Australia 0.01 45.0 0.3 5.7
- India 0.13 45.0 2.2 6.3
- Indonesia 0.31 45.0 0.6 1.4
- Mainland China 0.04 45.0 2.7 21.4
- Malaysia 0.05 45.0 0.8 5.4
- Singapore 0.01 45.0 0.5 13.0
- Taiwan 0.02 45.0 0.6 9.7
Middle East and North Africa
- Egypt 2.34 45.0 4.7 4.3
- Turkey 0.68 45.0 0.9 1.3
- UAE 0.05 45.0 0.6 5.8
North America
- US 0.01 45.1 5.5 45.6
- Canada 0.02 45.1 2.7 15.9
Latin America
- Argentina 7.09 45.0 2.7 1.7
- Brazil 0.37 45.0 4.3 7.8
- Mexico 0.10 45.0 2.5 6.8
----------------------------------------- ---------------- ----------------- ------- -----------
70 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.c: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach institutions
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 0.24 31.6 2.2 10.4
- France 0.17 41.3 0.6 1.6
- Germany 0.16 39.0 0.1 0.5
- Switzerland 0.04 32.1 0.2 1.3
Asia
- Hong Kong 0.06 42.2 4.9 30.9
- Australia 0.05 41.0 0.5 2.8
- India 0.26 45.0 0.3 0.8
- Indonesia - - - -
- Mainland China 0.12 45.2 1.8 8.1
- Malaysia 0.38 48.5 0.4 0.9
- Singapore 0.08 43.9 0.7 4.9
- Taiwan 0.10 45.0 0.1 0.3
Middle East and North Africa
- Egypt 0.08 45.0 0.1 0.3
- Turkey 0.07 45.0 0.0 0.3
- UAE 0.08 45.4 0.2 0.9
North America
- US 0.31 42.4 1.0 2.5
- Canada 0.04 21.6 0.3 2.6
Latin America
- Argentina 0.06 45.0 - -
- Brazil - - - -
---------------- ------------------ ------- ------------
- Mexico 0.50 45.0 0.3 0.4
-------------------------------------------- ---------------- ------------------ ------- ------------
At 31 Dec 2015
Europe
- UK 0.35 21.3 3.2 21.0
- France 0.25 41.9 0.7 1.6
- Germany 0.10 38.1 0.2 0.6
- Switzerland 0.05 23.2 0.2 1.6
Asia
- Hong Kong 0.06 42.7 4.3 29.6
- Australia 0.06 34.1 0.5 2.7
- India 0.18 45.2 0.2 0.6
- Indonesia - - - -
- Mainland China 0.12 45.6 1.9 8.6
- Malaysia 0.27 47.5 0.4 1.2
- Singapore 0.08 44.0 0.8 5.5
- Taiwan 0.08 45.0 0.1 0.5
Middle East and North Africa
- Egypt 0.08 45.0 0.1 0.5
- Turkey 2.25 45.0 0.1 0.1
- UAE 0.09 46.5 0.1 0.3
North America
- US 0.23 41.0 2.0 5.2
- Canada 0.06 28.2 0.3 2.3
Latin America
- Argentina - - - -
- Brazil 0.97 45.1 1.7 1.7
- Mexico 0.26 45.0 0.2 0.3
-------------------------------------------- ---------------- ------------------ ------- ------------
HSBC Holdings plc Pillar 3 2016 71
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.d: PD, LGD, RWA and exposure by country - wholesale IRB advanced approach corporates(1)
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value(1)
At 31 Dec 2016 % % $bn $bn
Europe
------------------------------------------- ----------------- ----------------- ------- ---------------
- UK 2.63 34.3 74.9 140.4
------------------------------------------- ----------------- ----------------- ------- -------------
- France 3.36 28.8 11.8 25.3
------------------------------------------- ----------------- ----------------- ------- -------------
- Germany 2.71 45.4 0.1 0.1
------------------------------------------- ----------------- ----------------- ------- -------------
- Switzerland - - - -
------------------------------------------- ----------------- ----------------- ------- -------------
Asia
------------------------------------------- ----------------- ----------------- ------- ---------------
- Hong Kong 1.43 38.1 70.2 143.0
------------------------------------------- ----------------- ----------------- ------- -------------
- Australia 1.38 42.7 6.8 12.0
------------------------------------------- ----------------- ----------------- ------- -------------
- India 1.82 61.3 6.7 10.9
------------------------------------------- ----------------- ----------------- ------- -------------
- Indonesia 10.48 55.8 4.3 4.4
------------------------------------------- ----------------- ----------------- ------- -------------
- Mainland China 1.71 51.3 21.5 33.2
------------------------------------------- ----------------- ----------------- ------- -------------
- Malaysia 1.94 47.7 5.0 7.1
------------------------------------------- ----------------- ----------------- ------- -------------
- Singapore 1.49 39.5 7.8 16.4
------------------------------------------- ----------------- ----------------- ------- -------------
- Taiwan 0.45 52.7 2.4 6.0
------------------------------------------- ----------------- ----------------- ------- -------------
Middle East and North Africa
------------------------------------------- ----------------- ----------------- ------- ---------------
- Egypt 0.64 44.9 0.2 0.6
------------------------------------------- ----------------- ----------------- ------- -------------
- Turkey 0.77 46.2 0.1 0.1
------------------------------------------- ----------------- ----------------- ------- -------------
- UAE 0.16 23.9 0.8 4.3
------------------------------------------- ----------------- ----------------- ------- -------------
North America
------------------------------------------- ----------------- ----------------- ------- ---------------
- US 2.45 34.4 45.9 88.0
------------------------------------------- ----------------- ----------------- ------- -------------
- Canada 3.02 35.9 18.5 31.4
------------------------------------------- ----------------- ----------------- ------- -------------
Latin America
------------------------------------------- ----------------- ----------------- ------- ---------------
- Argentina 3.10 59.2 0.1 -
------------------------------------------- ----------------- ----------------- ------- -------------
- Brazil - - - -
------------------------------------------- ----------------- ----------------- ------- -------------
- Mexico 15.62 34.7 0.1 0.4
------------------------------------------- ----------------- ----------------- ------- -------------
At 31 Dec 2015
Europe
- UK 2.77 30.2 82.1 172.0
- France 4.00 29.4 11.4 24.9
- Germany 0.77 47.7 - 0.1
- Switzerland - - - -
Asia
- Hong Kong 1.25 38.7 63.3 127.0
- Australia 1.85 43.7 6.3 10.8
- India 1.63 60.0 6.9 10.1
- Indonesia 10.04 57.0 4.9 5.2
- Mainland China 1.56 47.5 24.1 39.6
- Malaysia 1.72 48.4 5.2 8.0
- Singapore 1.34 40.3 7.4 16.0
- Taiwan 0.57 52.4 3.1 6.4
Middle East and North Africa
- Egypt 2.58 45.2 0.4 0.5
- Turkey 0.73 45.7 0.1 0.1
- UAE 0.20 30.8 1.2 4.6
North America
- US 1.21 36.1 45.1 88.8
- Canada 2.86 35.8 18.7 31.8
Latin America
- Argentina 8.84 80.8 0.1 -
- Brazil - - - -
- Mexico 22.57 37.0 0.1 0.4
------------------------------------------- ----------------- ----------------- ------- -------------
1 Excludes specialised lending exposures subject to supervisory slotting approach.
72 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.e: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach all asset
classes
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 1.94 41.3 4.4 8.2
- France 4.30 45.0 0.2 0.3
- Germany 0.90 44.8 10.1 15.6
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
-------------------------------------------
- UAE 3.72 44.2 7.8 12.8
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------------- ----------------- ------------------ ------- -----------
At 31 Dec 2015
Europe
- UK 2.22 41.4 5.2 8.9
- France 5.36 45.0 0.2 0.2
- Germany 1.04 44.7 10.5 16.2
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
-------------------------------------------
- UAE 2.44 44.2 8.1 12.4
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------------- ----------------- ------------------ ------- -----------
HSBC Holdings plc Pillar 3 2016 73
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.f: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach central
governments and central banks
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK - - - -
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
------------------------------------------
- UAE 0.04 45.0 - 0.1
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------------ ---------------- ------------------ ------- -----------
At 31 Dec 2015
Europe
- UK - - - -
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia -
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE 0.04 45.0 - 0.1
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------------ ---------------- ------------------ ------- -----------
74 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.g: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach institutions
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK - - - -
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE 0.28 45.0 0.1 0.2
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------------- ----------------- ------------------- ------- ------------
At 31 Dec 2015
Europe
- UK - - - -
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE 0.29 45.0 0.1 0.3
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------------- ----------------- ------------------- ------- ------------
HSBC Holdings plc Pillar 3 2016 75
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.h: PD, LGD, RWA and exposure by country - wholesale IRB foundation approach corporates
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 1.94 41.3 4.4 8.2
- France 4.30 45.0 0.2 0.3
- Germany 0.91 44.8 10.1 15.6
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE 3.81 44.2 7.7 12.5
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------------- ---------------- ------------------ ------- ------------
At 31 Dec 2015
Europe
- UK 2.22 41.4 5.2 8.9
- France 5.36 45.0 0.2 0.2
- Germany 1.04 44.7 10.5 16.2
- Switzerland - - - -
Asia
- Hong Kong - - - -
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE 2.50 44.2 8.0 12.0
North America
- US - - - -
- Canada - - - -
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------------- ---------------- ------------------ ------- ------------
76 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.i: PD, LGD, RWA and exposure by country - retail IRB approach all asset classes
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 1.58 30.5 18.6 155.8
- France 5.06 14.6 2.8 22.7
- Germany - - - -
- Switzerland 0.73 2.2 0.2 8.1
Asia
- Hong Kong 0.87 39.2 20.2 102.3
- Australia 0.90 10.6 0.7 11.6
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia 4.05 12.1 1.0 4.5
- Singapore 0.75 22.3 1.1 6.7
- Taiwan 1.20 11.5 0.5 4.1
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 9.67 67.3 18.5 29.8
- Canada 0.96 19.2 2.4 18.7
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
---------------------------------------- ---------------- ----------------- ------ -----------
At 31 Dec 2015
---------------------------------------- ---------------- ----------------- ------ -------------
Europe
- UK 1.58 30.8 21.8 182.7
- France 5.61 15.1 3.1 23.7
- Germany - - - -
- Switzerland 0.80 2.7 0.3 10.1
Asia
- Hong Kong 0.94 39.0 18.2 97.5
- Australia 0.84 10.9 0.6 10.7
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia 3.57 12.3 1.0 4.7
- Singapore 0.69 21.2 1.4 8.2
- Taiwan 1.21 11.2 0.4 3.9
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 12.05 64.0 43.7 42.1
- Canada 1.04 19.8 2.4 18.0
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
---------------------------------------- ---------------- ----------------- ------ -----------
HSBC Holdings plc Pillar 3 2016 77
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.j: PD, LGD, RWA and exposure by country - retail IRB approach - retail secured by
mortgages on immovable property
non-SME
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 1.33 12.2 5.4 114.9
- France 6.82 14.0 0.6 3.5
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.69 10.0 10.7 62.5
- Australia 0.90 10.6 0.7 11.6
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia 4.05 12.1 1.0 4.5
- Singapore 0.75 22.3 1.1 6.7
- Taiwan 1.20 11.5 0.5 4.1
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 11.01 59.5 14.6 23.3
- Canada 0.85 17.2 1.9 16.7
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
----------------------------------------- ---------------- ---------------- ------- -----------
At 31 Dec 2015
Europe
- UK 1.32 12.5 7.1 134.2
- France 7.21 13.5 0.4 2.5
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.76 10.0 8.9 59.7
- Australia 0.84 10.9 0.6 10.7
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia 3.57 12.3 1.0 4.7
- Singapore 0.69 21.2 1.4 8.2
- Taiwan 1.21 11.2 0.4 3.9
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 13.68 58.1 38.2 34.3
- Canada 0.93 17.5 1.8 15.8
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
----------------------------------------- ---------------- ---------------- ------- -----------
78 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.k: PD, LGD, RWA and exposure by country - retail IRB approach retail secured by mortgages
on immovable property SME
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK - - - -
- France 7.70 25.8 0.2 0.6
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.89 11.7 - 0.6
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US - - - -
- Canada 2.10 29.6 0.1 0.3
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
--------------------------------------------- ------------------ ------------------ ------- ------------
At 31 Dec 2015
Europe
- UK - - - -
- France 8.01 18.8 0.5 2.0
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.99 11.1 - 0.6
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US - - - -
- Canada 2.21 30.7 0.1 0.3
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
--------------------------------------------- ------------------ ------------------ ------- ------------
HSBC Holdings plc Pillar 3 2016 79
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.l: PD, LGD, RWA and exposure by country - retail IRB approach retail QRRE
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 1.14 85.5 5.4 28.0
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 1.10 100.0 8.1 32.2
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 1.49 93.6 1.0 3.4
- Canada 2.72 60.7 0.1 0.3
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------- --------------- --------------- ------ ----------
At 31 Dec 2015
Europe
- UK 1.17 85.2 6.1 33.2
- France - - - -
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 1.11 100.1 8.0 30.6
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 1.49 93.7 1.0 3.6
- Canada 2.91 61.2 0.1 0.4
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
-------------------------------------- --------------- --------------- ------ ----------
80 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.m: PD, LGD, RWA and exposure by country - retail IRB approach other SME
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 7.71 66.6 3.8 6.1
- France 20.34 30.6 0.7 2.3
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.10 11.3 - 0.1
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US - - - -
-------------- --------------- ------ ----------
- Canada 4.33 48.4 0.1 0.2
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------- -------------- --------------- ------ ----------
At 31 Dec 2015
------------------------------------- -------------- --------------- ------ ------------
Europe
- UK 7.07 66.0 4.7 8.1
- France 16.46 26.5 0.9 3.5
- Germany - - - -
- Switzerland - - - -
Asia
- Hong Kong 0.13 10.8 - 0.1
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 1.82 95.7 0.1 0.1
- Canada 4.31 47.3 0.1 0.2
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
------------------------------------- -------------- --------------- ------ ----------
HSBC Holdings plc Pillar 3 2016 81
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 47.n: PD, LGD, RWA and exposure by country - retail IRB approach other non-SME
Exposure- Exposure-
weighted weighted Exposure
average PD average LGD RWAs value
At 31 Dec 2016 % % $bn $bn
Europe
- UK 2.05 81.8 4.0 6.8
- France 2.46 12.1 1.3 16.3
- Germany - - - -
- Jersey 0.52 2.6 1.1 0.0
- Switzerland 0.73 2.2 0.2 8.1
--------------------------------------- --------------- ---------------- ------ ----------
Asia
- Hong Kong 1.37 21.2 1.4 6.9
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 8.66 96.5 2.9 3.1
- Canada 1.03 28.3 0.2 1.2
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
--------------------------------------- --------------- ---------------- ------ ----------
At 31 Dec 2015
Europe
- UK 2.18 83.2 3.9 7.1
- France 2.63 12.4 1.3 15.7
- Germany - - - -
- Switzerland 0.80 2.7 0.3 10.1
Asia
- Hong Kong 1.85 21.1 1.3 6.5
- Australia - - - -
- India - - - -
- Indonesia - - - -
- Mainland China - - - -
- Malaysia - - - -
- Singapore - - - -
- Taiwan - - - -
Middle East and North Africa
- Egypt - - - -
- Turkey - - - -
- UAE - - - -
North America
- US 8.11 85.7 4.4 4.1
- Canada 0.99 28.1 0.3 1.3
Latin America
- Argentina - - - -
- Brazil - - - -
- Mexico - - - -
--------------------------------------- --------------- ---------------- ------ ----------
1 Excludes specialised lending exposures subject to supervisory slotting approach.
82 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 48: Retail IRB exposure - by internal PD band
PD range Average exposure value(1) Undrawn commitments
% $bn $bn
At 31 Dec 2016
Secured by mortgages on immovable property
SME 2.4 0.1
------------------------- -------------------
Band 1 0.000 to 0.483 0.5 -
Band 2 0.484 to 1.022 0.4 0.1
Band 3 1.023 to 4.914 1.0 -
Band 4 4.915 to 8.860 0.2 -
Band 5 8.861 to 15.000 0.1 -
Band 6 15.001 to 50.000 0.1 -
Band 7 50.001 to 100.000 0.1 -
------------------------------------------- ------------------ ------------------------- -------------------
Secured by mortgages on immovable property
Non-SME 263.9 16.7
------------------------- -------------------
Band 1 0.000 to 0.483 207.4 14.9
Band 2 0.484 to 1.022 22.5 1.0
Band 3 1.023 to 4.914 21.1 0.7
Band 4 4.915 to 8.860 4.7 -
Band 5 8.861 to 15.000 1.0 -
Band 6 15.001 to 50.000 2.0 0.1
Band 7 50.001 to 100.000 5.2 -
------------------------------------------- ------------------ ------------------------- -------------------
Qualifying revolving retail exposures 65.7 95.8
------------------------- -------------------
Band 1 0.000 to 0.483 47.8 83.3
Band 2 0.484 to 1.022 6.9 6.5
Band 3 1.023 to 4.914 8.7 5.3
Band 4 4.915 to 8.860 1.2 0.4
Band 5 8.861 to 15.000 0.4 0.1
Band 6 15.001 to 50.000 0.5 0.1
Band 7 50.001 to 100.000 0.2 0.1
------------------------------------------- ------------------ ------------------------- -------------------
Other SME 10.5 3.5
------------------------- -------------------
Band 1 0.000 to 0.483 1.3 0.7
Band 2 0.484 to 1.022 1.8 0.9
Band 3 1.023 to 4.914 4.9 1.4
Band 4 4.915 to 8.860 1.1 0.3
Band 5 8.861 to 15.000 0.4 0.1
Band 6 15.001 to 50.000 0.3 -
Band 7 50.001 to 100.000 0.7 0.1
------------------------------------------- ------------------ ------------------------- -------------------
Other non-SME 45.5 14.5
------------------------- -------------------
Band 1 0.000 to 0.483 26.4 11.6
Band 2 0.484 to 1.022 6.9 1.4
Band 3 1.023 to 4.914 9.8 1.4
Band 4 4.915 to 8.860 0.9 0.1
Band 5 8.861 to 15.000 0.5 -
Band 6 15.001 to 50.000 0.4 -
Band 7 50.001 to 100.000 0.6 -
------------------------------------------- ------------------ ------------------------- -------------------
Total retail 388.0 130.6
------------------------- -------------------
Band 1 0.000 to 0.483 283.6 110.4
Band 2 0.484 to 1.022 38.4 9.9
Band 3 1.023 to 4.914 45.5 8.7
Band 4 4.915 to 8.860 8.2 0.8
Band 5 8.861 to 15.000 2.4 0.3
Band 6 15.001 to 50.000 3.1 0.3
Band 7 50.001 to 100.000 6.8 0.2
------------------------------------------- ------------------ ------------------------- -------------------
HSBC Holdings plc Pillar 3 2016 83
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 48: Retail IRB exposure - by internal PD band (continued)
Average exposure Undrawn
PD range value(1) commitments
% $bn $bn
At 31 Dec 2015
Secured by mortgages on immovable property
SME 3.0 -
---------------- ------------
Band 1 0.000 to 0.483 0.6 -
Band 2 0.484 to 1.022 0.5 -
Band 3 1.023 to 4.914 1.4 -
Band 4 4.915 to 8.860 0.2 -
Band 5 8.861 to 15.000 0.1 -
Band 6 15.001 to 50.000 0.1 -
Band 7 50.001 to 100.000 0.1 -
------------------------------------------- ------------------ ---------------- ------------
Secured by mortgages on immovable property
Non-SME 283.0 17.4
---------------- ------------
Band 1 0.000 to 0.483 218.9 16.2
Band 2 0.484 to 1.022 24.1 0.8
Band 3 1.023 to 4.914 23.1 0.3
Band 4 4.915 to 8.860 6.1 -
Band 5 8.861 to 15.000 1.5 0.1
Band 6 15.001 to 50.000 2.9 -
Band 7 50.001 to 100.000 6.4 -
------------------------------------------- ------------------ ---------------- ------------
Qualifying revolving retail exposures 67.0 98.4
---------------- ------------
Band 1 0.000 to 0.483 48.7 85.2
Band 2 0.484 to 1.022 6.8 6.7
Band 3 1.023 to 4.914 9.0 5.7
Band 4 4.915 to 8.860 1.3 0.5
Band 5 8.861 to 15.000 0.4 0.1
Band 6 15.001 to 50.000 0.5 0.1
Band 7 50.001 to 100.000 0.3 0.1
------------------------------------------- ------------------ ---------------- ------------
Other SME 12.9 4.2
---------------- ------------
Band 1 0.000 to 0.483 1.7 1.1
Band 2 0.484 to 1.022 2.2 1.0
Band 3 1.023 to 4.914 6.0 1.5
Band 4 4.915 to 8.860 1.4 0.2
Band 5 8.861 to 15.000 0.5 0.2
Band 6 15.001 to 50.000 0.3 0.1
Band 7 50.001 to 100.000 0.8 0.1
------------------------------------------- ------------------ ---------------- ------------
Other non-SME 46.5 14.2
---------------- ------------
Band 1 0.000 to 0.483 26.4 11.5
Band 2 0.484 to 1.022 6.7 1.3
Band 3 1.023 to 4.914 10.7 1.4
Band 4 4.915 to 8.860 0.9 -
Band 5 8.861 to 15.000 0.6 -
Band 6 15.001 to 50.000 0.5 -
Band 7 50.001 to 100.000 0.7 -
------------------------------------------- ------------------ ---------------- ------------
Total retail 412.4 134.2
---------------- ------------
Band 1 0.000 to 0.483 296.3 114.0
Band 2 0.484 to 1.022 40.3 9.8
Band 3 1.023 to 4.914 50.2 8.9
Band 4 4.915 to 8.860 9.9 0.7
Band 5 8.861 to 15.000 3.1 0.4
Band 6 15.001 to 50.000 4.3 0.2
Band 7 50.001 to 100.000 8.3 0.2
------------------------------------------- ------------------ ---------------- ------------
1 Average exposures are calculated by aggregating the exposure value of the last five quarters
and dividing by five.
84 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 49: IRB expected loss and CRAs - by exposure class
CRA
--------------------------
Charge
Expected loss(1) Balances for the year
$bn $bn $bn
IRB exposure classes
----------------------------------------------------- ---------------- -------- ----------------
- central governments and central banks 0.1 - -
-----------------------------------------------------
- institutions - - -
-----------------------------------------------------
- corporates 5.7 4.3 1.1
-----------------------------------------------------
- total retail 3.6 1.2 0.5
-----------------------------------------------------
- of which:
secured by mortgages on immovable property SME - - -
secured by mortgages on immovable property non-SME 1.9 0.4 0.1
qualifying revolving retail 0.6 0.2 0.2
other SME 0.6 0.3 -
other non-SME 0.5 0.3 0.2
----------------------------------------------------- ---------------- -------- -------------
At 31 Dec 2016 9.4 5.5 1.6
----------------------------------------------------- ---------------- -------- -------------
IRB exposure classes
- central governments and central banks 0.2 - -
-----------------------------------------------------
- institutions 0.1 - -
-----------------------------------------------------
- corporates 5.5 4.5 1.0
-----------------------------------------------------
- total retail 5.5 2.1 0.4
----------------------------------------------------- ---------------- -------- -------------
- of which:
secured by mortgages on immovable property SME - - -
secured by mortgages on immovable property non-SME 3.5 1.2 -
qualifying revolving retail 0.7 0.2 0.2
other SME 0.7 0.3 -
other non-SME 0.6 0.4 0.2
----------------------------------------------------- ---------------- -------- -------------
At 31 Dec 2015 11.3 6.6 1.4
----------------------------------------------------- ---------------- -------- -------------
IRB exposure classes
- central governments and central banks 0.3 - -
-----------------------------------------------------
- institutions 0.3 - -
-----------------------------------------------------
- corporates 5.2 4.2 1.1
-----------------------------------------------------
- total retail 7.2 3.1 0.2
----------------------------------------------------- ---------------- -------- -------------
- of which:
secured by mortgages on immovable property SME - - -
secured by mortgages on immovable property non-SME 5.1 1.9 (0.1)
qualifying revolving retail 0.7 0.3 0.1
other SME 0.7 0.4 -
---------------- -------- -------------
other non-SME 0.7 0.5 0.2
----------------------------------------------------- ---------------- -------- -------------
At 31 Dec 2014 13.0 7.3 1.3
----------------------------------------------------- ---------------- -------- -------------
1 Excludes securitisation exposures because EL is not calculated for this exposure class.
Table 50: IRB expected loss and CRAs - by region
CRA
-------------------------
Charge
Expected loss(1) Balances for the year
$bn $bn $bn
Europe 3.5 2.2 0.4
Asia 2.4 1.4 0.5
Middle East and North Africa 0.3 0.3 -
-------------
North America 3.1 1.5 0.7
Latin America 0.1 0.1 -
At 31 Dec 2016 9.4 5.5 1.6
----------------------------- ---------------- -------- -------------
Europe 4.3 2.9 0.4
Asia 2.3 1.3 0.5
Middle East and North Africa 0.2 0.3 0.1
North America 4.4 2.0 0.4
Latin America 0.1 0.1 -
At 31 Dec 2015 11.3 6.6 1.4
----------------------------- ---------------- -------- -------------
1 Excludes securitisation exposures because EL is not calculated for this exposure class.
HSBC Holdings plc Pillar 3 2016 85
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 51: IRB exposure - credit risk mitigation
At 31 Dec 2016 At 31 Dec 2015
----------------------------- -------------------------------
Exposure value Exposure value
covered by credit Total covered by credit Total
derivatives exposure derivatives exposure
or guarantees(1) value or guarantees(1) value
Footnote $bn $bn $bn $bn
Exposures under the IRB advanced
approach
-------------------------------------- -------- ------------------ --------- ------------------ -----------
Central governments and central banks 0.1 339.4 0.5 327.4
Institutions 0.4 75.7 0.4 90.5
Corporates 83.4 583.1 86.4 597.3
Retail 20.2 366.8 20.3 404.5
Securitisation positions - 33.8 - 40.9
Non-credit obligation assets - 51.9 - 50.2
Total 1,450.7 1,510.8
-------------------------------------- -------- ------------------ --------- ------------------ ---------
Exposures under the IRB foundation
approach
-------------------------------------- -------- ------------------ --------- ------------------ -----------
Central governments and central banks - 0.1 - 0.1
Institutions - 0.3 - 0.3
Corporates 2 0.9 42.4 0.5 43.3
-------------------------------------- -------- ------------------ --------- ------------------ ---------
1 Figures presented on an 'obligor basis'.
2 The value of exposures under the IRB foundation approach covered by eligible financial and
other collateral was $4.6bn (2015: $7.9bn).
Table 52: Standardised exposure - credit risk mitigation
2016 2015
-------------------------------------- -------------------------------------------
Exposure Exposure
value value Exposure Exposure
covered covered by value covered value covered
by eligible credit by eligible by credit
financial derivatives Total financial derivatives Total
and other or exposure and other or exposure
collateral(1) guarantees(1) value collateral(1) guarantees(1) value
Footnote $bn $bn $bn $bn $bn $bn
Exposures
under the
standardised
approach
Central
governments
and central
banks 0.1 5.0 167.3 - 0.2 199.9
Institutions - 0.3 2.1 - 4.3 38.9
Corporates 13.4 6.1 78.4 14.5 5.0 226.4
Retail 2.3 - 22.0 0.7 0.1 44.2
Secured by
mortgages on
immovable
property 5.0 - 25.7 - - 40.3
-------------
Exposures in
default 0.5 - 3.3 - - 4.9
Regional
governments
or local
authorities - - 2.9 - - 2.8
Equity - - 15.2 - - 7.0
Other 2 - - 17.2 - - 27.6
----------------
At 31 Dec 334.1 592.0
-------------- -------- ------------- ------------- -------- ------------- ---------------- --------
1 Figures presented on an 'obligor basis'.
2 This includes the exposure class 'other items' with an exposure value of $9.5bn as well as
other less material standardised exposure classes not individually shown above.
86 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 53: Standardised exposure - by credit quality step
At 31 Dec 2016 At 31 Dec 2015
------------------------------------- ---------------------------------------
Original Exposure Original Exposure
exposure(1) value RWAs exposure(1) value RWAs
$bn $bn $bn $bn $bn $bn
Central governments and
central banks
Credit quality step 1 154.8 158.3 138.1 145.5
Credit quality step 2 1.3 1.6 1.4 1.9
Credit quality step 3 1.0 1.3 2.5 2.8
Credit quality step 4 0.3 0.1 0.4 0.1
----------------------------
Credit quality step 5 0.3 0.3 - -
---------------------------- --------------- ----------- ------- --------------- ----------- ---------
Credit quality step unrated 5.7 5.7 49.6 49.6
163.4 167.3 14.6 192.0 199.9 20.0
---------------------------- --------------- ----------- ------- --------------- ----------- -------
Institutions
Credit quality step 1 0.8 0.8 1.6 0.7
Credit quality step 2 0.6 0.3 4.7 1.4
Credit quality step 4 0.5 0.5 - -
---------------------------- --------------- ----------- ------- --------------- ----------- ---------
Credit quality step 5 0.1 0.1 0.1 0.1
Credit quality step unrated 0.3 0.3 36.8 36.7
2.3 2.0 0.9 43.2 38.9 14.7
---------------------------- --------------- ----------- ------- --------------- ----------- -------
Corporates
Credit quality step 1 2.0 2.2 1.6 0.8
Credit quality step 2 4.6 2.9 6.2 4.2
Credit quality step 3 2.6 1.7 2.7 1.4
Credit quality step 4 4.5 3.0 2.1 1.6
Credit quality step 5 1.0 0.5 1.3 0.8
Credit quality step 6 0.4 0.1 2.8 2.0
Credit quality step unrated 145.3 67.9 330.6 215.6
160.4 78.3 75.0 347.3 226.4 210.6
---------------------------- --------------- ----------- ------- --------------- ----------- -------
1 Figures presented on an 'obligor basis'.
HSBC Holdings plc Pillar 3 2016 87
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Additional BCBS tables
Table 54: Changes in stock of defaulted loans and debt securities
a
-------
Footnote $bn
1 Defaulted loans and debt securities at end of the previous reporting period 22.7
2 Loans and debt securities that have defaulted since the last reporting period 8.6
3 Returned to non-defaulted status (1.5)
4 Amounts written off (2.8)
5 Other changes 1 (5.1)
--------
7 Repayments (4.0)
----------------------------------------------------------------------------- ----
6 Defaulted loans and debt securities at end of the reporting period 17.9
----------------------------------------------------------------------------- -------- ----
1 Other changes include foreign exchange and assets held for sale in default.
Table 55: IRB - Credit risk exposures by portfolio and PD range
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -------------
AIRB - Original
Central on-balance Off-balance EAD
government sheet sheet post-CRM Number
and central gross exposures Average and Average of Average Average RWA Individual Collective
banks exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
0.00 to
<0.15 326.6 1.9 60.5 327.7 0.02 417 42.9 2.05 26.0 8 -
0.15 to
<0.25 2.2 - 27.5 2.3 0.22 19 43.9 1.48 0.8 37 -
0.25 to
<0.50 2.0 - 42.3 2.0 0.37 33 43.5 1.36 0.9 49 -
0.50 to
<0.75 0.5 - 50.1 0.5 0.63 15 45.0 1.49 0.4 69 -
0.75 to
<2.50 3.7 0.1 26.7 3.7 1.35 35 45.0 1.27 3.4 91 -
2.50 to
<10.00 3.2 - 76.5 3.2 3.49 20 45.0 1.07 3.9 123 0.1
10.00 to
<100.00 - - 50.2 - 10.00 4 47.0 0.55 - 189 -
100.00
(Default) - - - - 100.00 11 88.0 5.00 - - -
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -------------
Sub-total 338.2 2.0 59.1 339.4 0.07 554 43.0 2.02 35.4 10 0.1 - -
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
a b c d e f g h i j k l m
Original
on-balance Off-balance EAD
sheet sheet post-CRM Number
AIRB - gross exposures Average and Average of Average Average RWA Individual Collective
Institutions exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
0.00 to <0.15 62.5 16.3 30.5 67.7 0.05 2,772 40.2 1.34 10.2 15 -
0.15 to <0.25 2.0 2.0 26.4 2.5 0.22 384 44.7 0.72 0.9 37 -
0.25 to <0.50 2.5 0.6 30.9 2.7 0.37 278 44.9 0.69 1.5 54 -
0.50 to <0.75 0.8 0.2 53.1 0.9 0.63 175 44.7 1.15 0.7 73 -
0.75 to <2.50 1.8 1.1 28.8 1.9 1.11 270 42.2 0.98 1.6 83 -
2.50 to
<10.00 - - 21.7 - 4.37 57 41.7 0.37 - 161 -
10.00 to
<100.00 - 0.2 17.4 - 26.64 44 53.2 1.53 0.1 307 -
100.00
(Default) - - - - 100.00 5 45.0 2.54 - 295 -
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -------------
Sub-total 69.6 20.4 30.1 75.7 0.12 3,985 40.6 1.29 15.0 20 - - -
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
AIRB -
Corporate - Original
Specialised on-balance Off-balance EAD
Lending - sheet sheet post-CRM Number
excluding gross exposures Average and Average of Average Average RWA Individual Collective
Slotting exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
------------ ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
0.00 to
<0.15 0.9 0.4 62.7 1.2 0.13 614 26.5 3.43 0.3 27 -
----------- -------------
0.15 to
<0.25 0.9 0.3 45.5 1.0 0.22 659 25.4 3.85 0.4 36 -
----------- -------------
0.25 to
<0.50 0.4 0.1 58.4 0.4 0.37 296 30.7 3.73 0.2 52 -
----------- -------------
0.50 to
<0.75 0.4 0.1 31.0 0.4 0.63 250 26.0 4.29 0.2 58 -
----------- -------------
0.75 to
<2.50 0.7 0.5 34.5 0.9 1.25 523 40.2 3.63 0.9 105 -
----------- -------------
2.50 to
<10.00 0.1 - 56.5 0.1 3.57 91 26.2 4.99 0.1 102 -
----------- -------------
10.00 to
<100.00 0.1 - 62.0 0.1 18.58 114 27.2 1.56 0.2 134 -
----------- -------------
100.00
(Default) 0.1 - 94.7 0.1 100.00 159 53.3 3.22 - 11 0.1
------------ ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
Sub-total 3.6 1.4 47.7 4.2 4.36 2,706 30.3 3.66 2.3 56 0.1 0.1 -
------------ ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
88 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
AIRB - sheet sheet post-CRM Number
Corporate gross exposures Average and Average of Average Average RWA Individual Collective
- Other exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -----------
0.00 to
<0.15 105.5 144.3 37.9 186.0 0.08 10,931 38.1 2.26 41.4 22 0.1
----------- -------------
0.15 to
<0.25 39.2 55.0 38.8 67.0 0.22 9,588 39.3 2.04 26.6 40 0.1
----------- -------------
0.25 to
<0.50 45.3 48.8 36.4 69.6 0.37 10,306 39.2 2.08 34.9 50 0.1
----------- -------------
0.50 to
<0.75 43.1 38.7 33.4 55.0 0.63 9,322 37.5 1.95 33.5 61 0.1
----------- -------------
0.75 to
<2.50 120.2 89.8 31.9 123.5 1.37 42,812 37.2 2.00 99.7 81 0.6
----------- -------------
2.50 to
<10.00 32.7 27.3 34.4 31.9 4.59 11,786 36.5 1.99 36.3 114 0.5
----------- -------------
10.00 to
<100.00 5.6 4.8 39.8 6.4 19.65 2,459 36.5 2.05 11.1 174 0.5
----------- -------------
100.00
(Default) 6.0 0.8 51.5 6.4 100.00 2,583 41.9 2.24 6.0 93 2.5
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -------------
Sub-total 397.6 409.5 36.2 545.8 2.15 99,787 38.1 2.10 289.5 53 4.5 2.3 1.1
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
sheet sheet post-CRM Number
Wholesale AIRB - gross exposures Average and Average of Average Average RWA Individual Collective
Total exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
----------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -----------
Total (all
portfolios) 809.0 433.3 36.0 1,017.0 1.27 107,032 40.0 2.0 354.3 36 4.7 2.4 1.1
----------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ----- ------- --- ----------- -----------
The Wholesale AIRB Total includes Non-credit obligation assets
EAD post-CRM and post-CCF of $51.9bn and RWAs of $12.1bn.
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
AIRB -
Secured by
mortgages Original
on on-balance Off-balance EAD
immovable sheet sheet post-CRM Number
property gross exposures Average and Average of Average Average RWA Individual Collective
SME exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
0.00 to
<0.15 0.3 - 100.0 0.4 0.07 1,249 10.5 - - 2 -
----------- -------------
0.15 to
<0.25 0.1 - 100.0 0.1 0.17 200 17.9 - - 7 -
----------- -------------
0.25 to
<0.50 0.2 - 37.7 0.1 0.32 1,012 16.4 - - 10 -
----------- -------------
0.50 to
<0.75 0.1 0.1 100.0 0.1 0.63 585 26.0 - - 19 -
----------- -------------
0.75 to
<2.50 0.3 - 95.0 0.3 1.63 1,792 28.9 - 0.1 29 -
----------- -------------
2.50 to
<10.00 0.4 - 102.3 0.4 5.26 1,928 24.4 - 0.2 32 -
----------- -------------
10.00 to
<100.00 0.1 - 86.0 0.1 17.47 414 26.5 - - 50 -
----------- -------------
100.00
(Default) - - 97.8 - 100.00 138 26.2 - - 48 -
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
Sub-total 1.5 0.1 97.7 1.5 4.01 7,318 21.1 - 0.3 21 - - -
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -------------
AIRB -
Secured by
mortgages Original
on on-balance Off-balance EAD
immovable sheet sheet post-CRM
property gross exposures Average and Average Number of Average Average RWA Individual Collective
non-SME exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -----------
0.00 to
<0.15 137.7 11.5 92.3 151.4 0.06 900,158 14.1 - 8.0 5 -
----------- -------------
0.15 to
<0.25 24.4 1.1 81.0 25.5 0.21 106,945 16.5 - 2.7 11 -
----------- -------------
0.25 to
<0.50 22.0 2.3 43.8 23.1 0.37 120,044 22.0 - 4.6 20 -
----------- -------------
0.50 to
<0.75 12.0 0.4 96.0 12.4 0.61 56,427 15.9 - 2.2 18 -
----------- -------------
0.75 to
<2.50 23.1 1.1 61.8 23.9 1.33 129,916 22.0 - 8.8 37 0.1
----------- -------------
2.50 to
<10.00 6.4 0.2 93.6 6.6 4.76 36,051 20.0 - 4.7 71 0.1
----------- -------------
10.00 to
<100.00 2.2 0.1 98.3 2.3 27.26 24,716 27.4 - 3.9 171 0.2
----------- -------------
100.00
(Default) 3.8 - 78.5 3.8 100.00 35,131 39.7 - 1.6 42 1.5
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -------------
Sub-total 231.6 16.7 82.9 249.0 2.14 1,409,388 16.6 - 36.5 15 1.9 0.2 0.3
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -----------
HSBC Holdings plc Pillar 3 2016 89
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -------------
AIRB - Original
Qualifying on-balance Off-balance EAD
revolving sheet sheet post-CRM
retail gross exposures Average and Average Number of Average Average RWA Individual Collective
exposures exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
----------- ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -----------
0.00 to
<0.15 4.9 62.5 47.4 34.4 0.07 11,894,411 93.7 - 1.5 4 -
----------- -------------
0.15 to
<0.25 1.3 12.0 44.0 6.5 0.21 1,824,704 95.0 - 0.8 11 -
----------- -------------
0.25 to
<0.50 2.1 9.0 42.9 5.9 0.37 1,732,829 93.3 - 1.0 17 -
----------- -------------
0.50 to
<0.75 2.0 4.0 50.2 3.9 0.60 1,069,619 93.4 - 1.0 26 -
----------- -------------
0.75 to
<2.50 5.5 6.6 47.3 8.6 1.39 1,991,102 91.4 - 4.0 48 0.1
----------- -------------
2.50 to
<10.00 2.9 1.4 57.8 3.7 4.78 679,874 89.9 - 4.2 112 0.2
----------- -------------
10.00 to
<100.00 0.8 0.3 55.7 0.9 28.87 268,254 91.7 - 2.1 219 0.3
----------- -------------
100.00
(Default) 0.1 - 6.3 0.1 100.00 26,142 36.0 - 0.1 148 -
----------- ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -------------
Sub-total 19.6 95.8 46.8 64.0 1.14 19,486,935 93.1 - 14.7 23 0.6 - 0.2
----------- ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- --------- ------- -------- --- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
sheet sheet post-CRM
AIRB - gross exposures Average and Average Number of Average Average RWA Individual Collective
Other SME exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- --- ------- --- ----------- -----------
0.00 to
<0.15 0.1 0.1 67.4 0.2 0.10 82,891 39.9 - - 9 -
----------- -------------
0.15 to
<0.25 0.2 0.2 53.4 0.3 0.22 91,588 61.2 - 0.1 22 -
----------- -------------
0.25 to
<0.50 0.3 0.4 51.2 0.6 0.38 141,288 63.1 - 0.2 32 -
----------- -------------
0.50 to
<0.75 0.4 0.5 66.5 0.8 0.63 157,268 58.0 - 0.3 38 -
----------- -------------
0.75 to
<2.50 2.0 1.3 60.8 2.8 1.58 427,912 58.8 - 1.5 55 -
----------- -------------
2.50 to
<10.00 2.3 0.8 69.9 2.8 4.90 201,537 53.6 - 1.8 64 0.1
----------- -------------
10.00 to
<100.00 0.5 0.1 70.1 0.6 17.66 69,516 66.6 - 0.6 106 0.1
----------- -------------
100.00
(Default) 0.6 0.1 94.5 0.6 100.00 21,873 39.5 - - 3 0.3
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- --- ------- --- ----------- -------------
Sub-total 6.4 3.5 63.4 8.7 10.84 1,193,873 56.1 - 4.5 52 0.5 0.3 -
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- --- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
AIRB - sheet sheet post-CRM
Other gross exposures Average and Average Number of Average Average RWA Individual Collective
non-SME exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -----------
0.00 to
<0.15 9.5 6.1 34.4 11.9 0.07 442,581 20.0 - 0.5 5 -
----------- -------------
0.15 to
<0.25 6.0 2.7 35.8 7.3 0.20 393,748 31.2 - 1.0 14 -
----------- -------------
0.25 to
<0.50 5.4 2.9 29.6 6.3 0.36 276,509 29.9 - 1.2 19 -
----------- -------------
0.50 to
<0.75 4.0 1.2 29.1 4.5 0.60 176,642 29.3 - 1.1 24 -
----------- -------------
0.75 to
<2.50 8.7 0.6 31.7 9.1 1.37 345,838 28.9 - 3.2 35 -
----------- -------------
2.50 to
<10.00 2.8 1.0 26.8 3.2 4.31 188,614 39.5 - 1.9 61 0.1
----------- -------------
10.00 to
<100.00 0.7 - 17.1 0.8 25.11 79,970 65.7 - 1.1 138 0.1
----------- -------------
100.00
(Default) 0.4 - 52.1 0.5 100.00 58,697 55.4 - 0.1 13 0.3
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -------------
Sub-total 37.5 14.5 32.6 43.6 2.26 1,962,599 28.7 - 10.1 23 0.5 0.1 0.2
---------- ---------- ----------- ------- -------- ------- --------- ------- -------- ---- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
sheet sheet post-CRM
gross exposures Average and Average Number of Average Average RWA Individual Collective
Retail AIRB Total exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
----------------- ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -----------
Total (all
portfolios) 296.6 130.6 50.3 366.8 2.19 24,060,113 32.3 - 66.1 18 3.5 0.6 0.7
----------------- ---------- ----------- ------- -------- ------- ---------- ------- -------- ---- ------- --- ----------- -----------
90 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
a b c d e f g h i j k l m
FIRB - Original
Central on-balance Off-balance EAD
government sheet sheet post-CRM Number
and central gross exposures Average and Average of Average Average RWA Individual Collective
banks exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
0.00 to
<0.15 - - 75.0 0.1 0.04 1 45.0 5.00 - 32 -
----------- -------------
0.15 to
<0.25 - - - - - - - - - - -
----------- -------------
0.25 to
<0.50 - - - - - - - - - - -
----------- -------------
0.50 to
<0.75 - - - - - - - - - - -
----------- -------------
0.75 to
<2.50 - - - - - - - - - - -
----------- -------------
2.50 to
<10.00 - - - - - - - - - - -
----------- -------------
10.00 to
<100.00 - - - - - - - - - - -
----------- -------------
100.00
(Default) - - - - - - - - - - -
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
Sub-total - - 75.0 0.1 0.04 1 45.0 5.00 - 32 - - -
----------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
sheet sheet post-CRM Number
FIRB - gross exposures Average and Average of Average Average RWA Individual Collective
Institutions exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
0.00 to <0.15 0.1 - 45.2 0.1 0.06 2 45.0 2.75 - 23 -
----------- -------------
0.15 to <0.25 - - 20.7 - 0.22 - 45.0 3.82 - 62 -
----------- -------------
0.25 to <0.50 0.1 - 75.0 0.2 0.37 1 45.0 1.71 0.1 55 -
----------- -------------
0.50 to <0.75 - - - - - - - - - - -
----------- -------------
0.75 to <2.50 - - - - - - - - - - -
----------- -------------
2.50 to
<10.00 - - - - - - - - - - -
----------- -------------
10.00 to
<100.00 - - - - - - - - - - -
----------- -------------
100.00
(Default) - - - - - - - - - - -
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -------------
Sub-total 0.2 - 46.6 0.3 0.26 3 45.0 2.09 0.1 43 - - -
------------- ---------- ----------- ------- -------- ------- -------- ------- -------- --- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
FIRB - sheet sheet post-CRM Number
Corporate gross exposures Average and Average of Average Average RWA Individual Collective
- Other exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
PD scale $bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
0.00 to
<0.15 8.6 12.2 40.5 13.5 0.09 1,316 44.6 2.45 3.8 28 -
----------- -------------
0.15 to
<0.25 3.1 5.7 39.2 5.3 0.22 1,303 44.9 2.22 2.4 46 -
----------- -------------
0.25 to
<0.50 4.5 5.2 32.2 6.1 0.37 1,549 42.8 1.96 3.5 57 -
----------- -------------
0.50 to
<0.75 3.3 5.2 30.9 4.9 0.63 1,140 43.4 1.98 3.6 72 -
----------- -------------
0.75 to
<2.50 6.7 9.7 26.5 9.0 1.35 2,817 43.1 1.67 8.3 91 0.1
----------- -------------
2.50 to
<10.00 2.3 2.2 28.2 2.8 4.65 1,312 42.9 1.90 3.8 138 0.1
----------- -------------
10.00 to
<100.00 0.2 0.2 15.2 0.3 15.99 180 41.4 0.90 0.4 175 -
----------- -------------
100.00
(Default) 0.4 0.1 45.8 0.5 100.00 414 44.9 1.43 - - 0.2
----------- -------------
Sub-total 29.1 40.5 33.9 42.4 1.95 10,031 43.8 2.07 25.8 61 0.4 0.3 0.1
---------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
a b c d e f g h i j k l m
---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -------------
Original
on-balance Off-balance EAD
sheet sheet post-CRM Number
gross exposures Average and Average of Average Average RWA Individual Collective
FIRB - Total exposure pre-CCF CCF post-CCF PD obligors LGD maturity RWA density EL impairments impairments
$bn $bn % $bn % % yrs $bn % $bn $bn $bn
---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
Total (all
portfolios) 29.3 40.5 34.0 42.8 1.94 10,035 43.8 2.1 25.9 61 0.4 0.3 0.1
----------------- ---------- ----------- ------- -------- ------- -------- ------- -------- ---- ------- --- ----------- -----------
HSBC Holdings plc Pillar 3 2016 91
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 56a: Specialised lending - other than HVCRE - Slotting only
Exposure amount
--------------------------
On-balance Off-balance
Regulatory Remaining sheet sheet Expected
categories maturity amount amount RW PF OF CF IPRE Total RWA losses
$bn $bn % $bn $bn $bn $bn $bn $bn $bn
---------- ----------- --- --- --- --- ---- ----- ---- --------
Less than
Strong 2.5 years 9.1 1.5 50 0.3 - - 9.6 9.9 5.0 -
Equal to or more than
2.5 years 12.6 1.5 70 0.1 0.6 - 13.0 13.7 9.5 0.1
Less than
Good 2.5 years 2.9 0.4 70 - 0.3 - 2.8 3.1 2.1 -
Equal to or more than
2.5 years 2.8 0.1 90 - 0.3 - 2.5 2.8 2.5 -
Less than
Satisfactory 2.5 years 0.5 - 115 - 0.1 - 0.4 0.5 0.6 -
Equal to or more than
2.5 years 0.9 - 115 0.2 0.4 - 0.3 0.9 1.0 -
Less than
Weak 2.5 years 0.3 - 250 0.1 - - 0.2 0.3 0.8 -
Equal to or more than
2.5 years 0.1 - 250 - - - 0.1 0.1 0.3 -
Less than
Default 2.5 years 0.5 - - - 0.1 - 0.7 0.8 - 0.5
Equal to or more than
2.5 years 0.3 - - - 0.3 - 0.1 0.4 - 0.2
------------------------ ---------- ----------- --- --- --- --- ---- ----- ---- --------
Total 30.0 3.5 0.7 2.1 - 29.7 32.5 21.8 0.8
------------------------- ---------- ----------- --- --- --- --- ---- ----- ---- --------
Table 56b: Specialised lending - HVCRE - Slotting only
Regulatory Remaining On-balance Off-balance
categories maturity sheet amount sheet amount RW Exposure amount RWA Expected losses
$bn $bn % $bn $bn $bn
-------------- -------------- --- --------------- --- ---------------
Less than 2.5
Strong years 0.2 0.1 70 0.3 0.2 -
Equal to or more than 2.5 years - - 95 - - -
Less than 2.5
Good years 0.3 - 95 0.3 0.2 -
Equal to or more than 2.5 years - - 120 - - -
Less than 2.5
Satisfactory years - - 115 - - -
Equal to or more than 2.5 years - - 115 - - -
Less than 2.5
Weak years - - 250 - - -
Equal to or more than 2.5 years - - 250 - - -
Less than 2.5
Default years - - - - - -
Equal to or
more than 2.5
years - - - - - -
--------------- --------------- -------------- -------------- --- --------------- --- ---------------
Total 0.5 0.1 0.6 0.4 -
-------------------------------- -------------- -------------- --- --------------- --- ---------------
Table 57: Analysis of counterparty credit risk (CCR) exposure by approach (excluding centrally
cleared exposures)
a b c d e f
----------------- ----------------- ------ ---------------- -------------- ------
Alpha used for
Replacement Potential computing
Footnote cost future exposure EEPE regulatory EAD EAD post-CRM RWA
$bn $bn $bn $bn $bn $bn
--------------- ---- -------------- ------------ ----
SA-CCR (for
1 derivatives) 1 27.5 43.5 71.0 28.0
Internal Model
Method (for
derivatives and
2 SFTs) 19.9 1.4 27.9 10.9
3 Simple Approach
for credit risk
mitigation (for
SFTs) - -
4 Comprehensive
Approach for
credit risk
mitigation (for
SFTs) 38.3 7.3
5 VaR for SFTs - -
----------------- -------- --------------- --------------- ---- -------------- ------------ ----
6 Total 27.5 43.6 19.9 1.4 137.2 46.2
----------------- -------- --------------- --------------- ---- -------------- ------------ ----
1 Prior to the implementation of SA-CCR, Exposures reported here will be those under the mark-to-market
method.
Table 58: Credit valuation adjustment (CVA) capital charge
a b
-------------- ------
EAD post-CRM RWA
$bn $bn
1 Total portfolios subject to the Advanced CVA capital charge 12.8 3.5
------------------------------------------------------------- ------------ ----
2 - VaR component (including the 3×multiplier) 0.8
-------------------------------------------------------------
3 - stressed VaR component (including the 3×multiplier) 2.7
-------------------------------------------------------------
4 All portfolios subject to the Standardised CVA capital charge 41.6 10.9
------------------------------------------------------------- ------------ ----
5 Total subject to the CVA capital charge 54.4 14.4
------------------------------------------------------------- ------------ ----
92 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 59: Standardised approach - CCR exposures by regulatory portfolio and risk weights
a b c d e f g h i
--- --- --- --- --- ---- ---- ------ -----------------------
Risk weight 0% 10% 20% 50% 75% 100% 150% Others Total credit exposure
Asset Classes
Central governments and central
banks 7.3 - - - - - - - 7.3
Institutions - - - 0.2 - - - - 0.2
Corporates - - - 0.1 - 2.5 - - 2.6
-------------------------------- --- --- --- --- --- ---- ---- ------ ---------------------
Total 7.3 - - 0.3 - 2.5 - - 10.1
-------------------------------- --- --- --- --- --- ---- ---- ------ ---------------------
Table 60: IRB - CCR exposures by portfolio and PD scale
a b c d e f g
------------ ---------- ------------- ----------- -------------- ------ -----------
Number of Average
PD scale EAD post-CRM Average PD obligors Average LGD maturity RWA RWA density
------------ ---------- ------------- ----------- -------------- ------ -----------
IRB advanced:
Central Government
and Central Banks $bn % % yrs $bn %
0.00 to <0.15 11.7 0.04 104 45.3 1.00 1.1 8
-----------
0.15 to <0.25 0.2 0.22 4 45.0 1.00 0.1 32
0.25 to <0.50 - 0.37 5 45.0 0.20 - 38
0.50 to <0.75 - 0.63 5 45.0 0.20 - 55
0.75 to <2.50 - 1.34 12 41.2 2.80 - 111
2.50 to <10.00 0.4 4.20 3 45.0 0.90 0.5 -
10.00 to <100.00 - - - - - - -
100.00 (Default) - - - - - - -
Sub-total 12.3 0.19 133 45.3 1.00 1.7 13
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
IRB advanced:
Institutions
0.00 to <0.15 48.5 0.06 3,473 45.2 1.30 10.8 22
0.15 to <0.25 5.9 0.22 295 46.9 1.60 3.0 51
0.25 to <0.50 1.6 0.37 133 45.0 1.40 0.9 61
0.50 to <0.75 0.7 0.63 69 45.0 0.60 0.5 70
0.75 to <2.50 0.6 1.07 144 45.1 1.50 0.6 104
2.50 to <10.00 0.1 4.64 31 45.0 2.30 0.1 186
10.00 to <100.00 0.1 28.13 17 53.4 2.10 0.2 329
100.00 (Default) - - - - - - -
Sub-total 57.5 0.14 4,162 45.3 1.40 16.1 28
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
IRB advanced:
Corporates
0.00 to <0.15 30.9 0.07 5,839 41.6 1.90 7.5 24
0.15 to <0.25 7.3 0.22 1,870 46.3 1.90 3.7 51
0.25 to <0.50 3.4 0.37 1,131 47.1 1.70 2.1 62
0.50 to <0.75 3.3 0.63 968 43.3 1.40 2.6 79
0.75 to <2.50 5.7 1.35 3,112 46.3 1.40 6.1 107
2.50 to <10.00 0.7 4.24 693 47.6 1.70 1.2 171
10.00 to <100.00 0.1 24.67 121 49.9 2.00 0.3 300
100.00 (Default) 0.1 100.00 46 45.4 4.20 - -
Sub-total 51.5 0.66 13,780 43.8 1.80 23.5 46
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
Total (sum of all
IRB Advanced) 121.3 0.34 18,075 44.5 1.50 41.3 34
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
a b c d e f g
------------ ---------- ------------- ----------- -------------- ------ -----------
Number of Average
PD scale EAD post-CRM Average PD obligors Average LGD maturity RWA RWA density
------------ ---------- ------------- ----------- -------------- ------ -----------
IRB foundation:
Corporates $bn % % yrs $bn %
0.00 to <0.15 4.2 0.06 553 45.0 1.90 0.9 23
0.15 to <0.25 0.3 0.22 137 45.0 2.20 0.1 48
0.25 to <0.50 0.3 0.37 160 45.0 1.70 0.2 58
0.50 to <0.75 0.4 0.63 96 45.0 1.70 0.3 73
0.75 to <2.50 0.3 1.35 496 45.0 2.20 0.3 108
2.50 to <10.00 - 4.61 79 45.0 2.00 0.1 151
10.00 to <100.00 - 13.52 10 45.0 1.00 - 218
100.00 (Default) - 100.00 7 45.0 1.20 - -
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
Total (sum of all
IRB Foundation) 5.5 0.20 1,538 45.0 1.91 1.9 35
------------------- ------------ ---------- ------------- ----------- -------------- ------ -----------
HSBC Holdings plc Pillar 3 2016 93
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 61: Composition of collateral for CCR exposure
a b c d e f
--------------- --------------- --------------- --------------- -------------- ---------------
Collateral used in derivative transactions Collateral used in SFTs
------------------------------------------------------------------ -------------------------------
Fair value of collateral
received Fair value of posted collateral
-------------------------------- --------------------------------
Fair value
of Fair value of
collateral posted
Segregated Unsegregated Segregated Unsegregated received collateral
$bn $bn $bn $bn $bn $bn
------------- ------------- ------------- ------------ -------------
Cash -
domestic
1 currency - 5.2 2.0 3.0 42.9 73.1
Cash - other
2 currencies - 38.9 4.7 32.4 148.7 227.5
Domestic
3 sovereign debt - 4.2 - 7.1 64.5 49.1
Other
4 sovereign debt - 8.9 - 9.4 186.7 131.9
Government
5 agency debt - 0.3 - 0.2 7.8 2.3
Corporate
6 bonds - 0.4 - - 23.7 11.1
Equity
7 securities - - - - 39.5 34.4
Other
8 collateral - 0.1 - 0.2 2.0 7.6
-------------- ------------- ------------- ------------- ------------- ------------ -------------
9 Total - 58.0 6.7 52.3 515.8 537.0
-------------- ------------- ------------- ------------- ------------- ------------ -------------
Table 62: Exposures to central counterparties
a b
-------------- -----
EAD post-CRM RWA
$bn $bn
1 Exposures to QCCPs (total) 34.0 1.2
2 Exposures for trades at QCCPs (excluding initial margin and default fund contributions) 20.7 0.4
- of which:
3 OTC derivatives 10.4 0.2
-------------------------------------------------------------------------------------------
4 Exchange-traded derivatives 7.2 0.1
-------------------------------------------------------------------------------------------
5 Securities financing transactions 3.1 0.1
-------------------------------------------------------------------------------------------
6 Netting sets where cross-product netting has been approved - -
------------------------------------------------------------------------------------------- ------------ ---
7 Segregated initial margin 6.7 -
8 Non-segregated initial margin 6.6 0.1
9 Pre-funded default fund contributions - 0.7
10 Unfunded default fund contributions - -
11 Exposures to non-QCCPs (total) 0.3 0.4
12 Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions) 0.3 0.4
- of which:
13 OTC derivatives 0.3 0.4
-------------------------------------------------------------------------------------------
14 Exchange-traded derivatives - -
-------------------------------------------------------------------------------------------
15 Securities financing transactions - -
-------------------------------------------------------------------------------------------
16 Netting sets where cross-product netting has been approved - -
------------------------------------------------------------------------------------------- ------------ ---
17 Segregated initial margin - -
18 Non-segregated initial margin - -
19 Pre-funded default fund contributions - -
------------------------------------------------------------------------------------------- ------------ ---
20 Unfunded default fund contributions - -
------------------------------------------------------------------------------------------- ------------ ---
Table 63: Securitisation exposures in the non-trading book
a b c e f g i j k
------------- ----------- ----------- ------------- ----------- ----------- ------------- ----------- -----------
Bank acts as originator Bank acts as sponsor Bank acts as investor
--------------------------------------- --------------------------------------- ---------------------------------------
Traditional Synthetic Sub-Total Traditional Synthetic Sub-Total Traditional Synthetic Sub-Total
$bn $bn $bn $bn $bn $bn $bn $bn $bn
--- ------------------- ----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
1 Retail (total) 0.1 - 0.1 17.3 - 17.3 2.7 - 2.7
--- ------------------- ----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
- of which:
residential
2 mortgage - - - 0.1 - 0.1 2.3 - 2.3
-------------------
3 credit card - - - - - - - - -
other retail
4 exposures - - - 17.2 - 17.2 0.4 - 0.4
5 re-securitisation 0.1 - 0.1 - - - - - -
----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
6 Wholesale (total) 1.2 4.7 5.9 5.4 - 5.4 3.8 - 3.8
--- ------------------- ----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
- of which:
loans to
7 corporates - 4.7 4.7 - - - - - -
commercial
8 mortgage - - - - - - 2.9 - 2.9
lease and
9 receivables - - - - - - - - -
10 other wholesale - - - - - - 0.8 - 0.8
11 re-securitisation 1.2 - 1.2 5.4 - 5.4 0.1 - 0.1
--- ------------------- ----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
94 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 64: Securitisation exposures in the trading book
a b c e f g i j k
------------- ----------- ----------- ------------- ----------- ----------- ------------- ----------- -----------
Bank acts as originator Bank acts as sponsor Bank acts as investor
--------------------------------------- --------------------------------------- ---------------------------------------
Traditional Synthetic Sub-Total Traditional Synthetic Sub-Total Traditional Synthetic Sub-Total
$bn $bn $bn $bn $bn $bn $bn $bn $bn
----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
1 Retail (total) - - - - - - 1.5 - 1.5
----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
- of which:
residential
2 mortgage - - - - - - 0.6 - 0.6
3 credit card - - - - - - - - -
other retail
4 exposures - - - - - - 0.9 - 0.9
5 re-securitisation - - - - - - - - -
----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
6 Wholesale (total) - - - - - - 1.0 - 1.0
----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
- of which:
loans to
7 corporates - - - - - - 0.1 - 0.1
commercial
8 mortgage - - - - - - 0.7 - 0.7
lease and
9 receivables - - - - - - - - -
10 other wholesale - - - - - - 0.1 - 0.1
11 re-securitisation - - - - - - 0.1 - 0.1
---- ------------------- ----------- --------- --------- ----------- --------- --------- ----------- --------- ---------
Table 65: Securitisation exposures in the non-trading book and associated regulatory capital
requirements - bank acting as originator or as sponsor
a b c d e f g h i
-------- ------- ------- -------- -------- --------------- --- --- --------
Exposure values (by regulatory
Exposure values (by RW bands) approach)
---------------------------------------------- -----------------------------------
>20% to >50% to >100% to IRB RBA IRB
<=20% RW 50% RW 100% RW 1250% RW 1250% RW (including IAA) SFA SA 1250%
$bn $bn $bn $bn $bn $bn $bn $bn $bn
-------- ------- ------- -------- -------- --------------- --- --- ----
Traditional
2 securitisation 16.7 2.0 0.2 0.2 4.9 18.9 - 0.2 4.9
-----------------
3 - securitisation 16.7 0.4 0.1 0.1 - 17.2 - 0.2 -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
retail
4 underlying 16.7 0.4 0.1 0.1 - 17.2 - 0.2 -
5 wholesale - - - - - - - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
-
6 re-securitisation - 1.6 0.1 0.1 4.9 1.7 - - 4.9
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
7 senior - - - - - - - - -
8 non-senior - 1.6 0.1 0.1 4.9 1.7 - - 4.9
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
Synthetic
9 securitisation 4.3 - 0.4 - - 4.7 - - -
-----------------
10 - securitisation 4.3 - 0.4 - - 4.7 - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
retail
11 underlying - - - - - - - - -
12 wholesale 4.3 - 0.4 - - 4.7 - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
-
13 re-securitisation - - - - - - - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
14 senior - - - - - - - - -
15 non-senior - - - - - - - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
1 Total exposures 21.0 2.0 0.6 0.2 4.9 23.6 - 0.2 4.9
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
HSBC Holdings plc Pillar 3 2016 95
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 65: Securitisation exposures in the non-trading book and associated regulatory capital
requirements - bank acting as originator or as sponsor (continued)
j k l m n o p q
--------------- ------ --- -------- --------------- ------- --- --------
RWA (by regulatory approach) Capital charge after cap
-------------------------------------- ---------------------------------------
IRB RBA IRB IRB RBA
(including IAA) SFA SA 1250% (including IAA) IRB SFA SA 1250%
----
$bn $bn $bn $bn $bn $bn $bn $bn
--------------- ------ --- ---- --------------- ------- --- ----
Traditional
2 securitisation 2.6 - 0.2 58.8 0.2 - - 1.2
-----------------
3 - securitisation 1.6 - 0.2 - 0.1 - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
- of which:
retail
4 underlying 1.6 - 0.2 - 0.1 - - -
5 wholesale - - - - - - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
-
6 re-securitisation 1.0 - - 58.8 0.1 - - 1.2
----------------- --------------- ------ --- ---- --------------- ------- --- ----
- of which:
7 senior - - - - - - - -
8 non-senior 1.0 - - 58.8 0.1 - - 1.2
----------------- --------------- ------ --- ---- --------------- ------- --- ----
Synthetic
9 securitisation 0.9 - - 0.4 0.1 - - -
-----------------
10 - securitisation 0.9 - - 0.4 0.1 - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
- of which:
retail
11 underlying - - - - - - - -
12 wholesale 0.9 - - 0.4 0.1 - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
-
13 re-securitisation - - - - - - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
- of which:
14 senior - - - - - - - -
15 non-senior - - - - - - - -
----------------- --------------- ------ --- ---- --------------- ------- --- ----
1 Total exposures 3.5 - 0.2 59.2 0.3 - - 1.2
----------------- --------------- ------ --- ---- --------------- ------- --- ----
Table 66: Securitisation exposures in the non-trading book and associated capital requirements
- bank acting as investor
a b c d e f g h i
Exposure values (by regulatory
Exposure values (by RW bands) approach)
---------------------------------------------- -----------------------------------
>20% to >50% to >100% to IRB RBA IRB
<=20% RW 50% RW 100% RW 1250% RW 1250% RW (including IAA) SFA SA 1250%
$bn $bn $bn $bn $bn $bn $bn $bn $bn
-------- ------- ------- -------- -------- --------------- --- --- ----
Traditional
2 securitisation 4.9 0.3 1.2 - 0.1 5.6 - 0.8 0.1
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
3 - securitisation 4.9 0.2 1.1 - 0.1 5.4 - 0.8 0.1
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
retail
4 underlying 2.5 0.1 - - 0.1 2.4 - 0.1 0.1
5 wholesale 2.4 0.1 1.1 - - 3.0 - 0.7 -
-
6 re-securitisation - 0.1 0.1 - - 0.2 - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
- of which:
7 senior - - 0.1 - - 0.1 - - -
8 non-senior - 0.1 - - - 0.1 - - -
Synthetic
9 securitisation - - - - - - - - -
10 - securitisation - - - - - - - - -
- of which:
retail
11 underlying - - - - - - - - -
12 wholesale - - - - - - - - -
-
13 re-securitisation - - - - - - - - -
- of which:
14 senior - - - - - - - - -
15 non-senior - - - - - - - - -
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
1 Total exposures 4.9 0.3 1.2 - 0.1 5.6 - 0.8 0.1
----------------- -------- ------- ------- -------- -------- --------------- --- --- ----
96 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Table 66: Securitisation exposures in the non-trading book and associated capital requirements
- bank acting as investor (continued)
j k l m n o p q
RWA (by regulatory approach) Capital charge after cap
---------------------------------------------- ----------------------------------------------
IRB RBA IRB RBA
(including IAA) IRB SFA SA 1250% (including IAA) IRB SFA SA 1250%
$bn $bn $bn $bn $bn $bn $bn $bn
---------------- ------- --- ---- ---------------- ------- --- ----
Traditional
2 securitisation 1.2 - 0.7 1.3 0.1 - 0.1 0.1
--- ----------------- ---------------- ------- --- ---- ---------------- ------- --- ----
3 - securitisation 1.1 - 0.7 1.1 0.1 - 0.1 0.1
----------------- ---------------- ------- --- ---- ---------------- ------- --- ----
- of which:
retail
4 underlying 0.3 - - 1.0 - - - 0.1
5 wholesale 0.8 - 0.7 0.1 0.1 - 0.1 -
-
6 re-securitisation 0.1 - - 0.2 - - - -
--- ----------------- ---------------- ------- --- ---- ---------------- ------- --- ----
- of which:
7 senior - - - - - - - -
8 non-senior 0.1 - - 0.2 - - - -
Synthetic
9 securitisation - - - - - - - -
10 - securitisation - - - - - - - -
- of which:
retail
11 underlying - - - - - - - -
12 wholesale - - - - - - - -
-
13 re-securitisation - - - - - - - -
- of which:
14 senior - - - - - - - -
15 non-senior - - - - - - - -
--- ----------------- ---------------- ------- --- ---- ---------------- ------- --- ----
1 Total exposures 1.2 - 0.7 1.3 0.1 - 0.1 0.1
--- ----------------- ---------------- ------- --- ---- ---------------- ------- --- ----
HSBC Holdings plc Pillar 3 2016 97
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Appendix II
Simplified organisation chart for regulatory purposes(1)
HSBC Holdings
plc
UK
99%
HSBC HSBC HSBC HSBC The Hongkong and HSBC HSBC HSBC HSBC
Mexico North Bank Bank (China) Shanghai Banking Bank Bank Bank Private
S.A. America Canada Company Corporation Australia Egypt plc Banking
Holdings Limited Limited Limited S.A.E. Holdings
Inc. 94% (Suisse) SA
============== ========== ============= ================= ================ ============= ============= ======= ================
HK UK
HSBC
Bank of Private
HSBC Commun-ications HSBC Bank Bank
Finance Co. Limited Malaysia The Saudi (Suisse)
Corporation ('BoCom')(3) 19% Berhad 40% British Bank SA
---- ============= ================= ============= --- ============= ================
USA PRC
=====
HSBC Hang HSBC Bank HSBC
Securities Seng HSBC Bank Middle Trinkaus &
(USA) Bank (Taiwan) East Burkhardt
Inc. Limited 62% Limited Limited 80% AG
---- ============= ================= ============= --- ============= ================
HK UAE Germany
HSBC Hang PT
HSBC Bank Seng Bank
USA USA, Bank (China) HSBC HSBC
Inc. N.A. Limited 99% Indonesia 99% France
========== ============= ================= ============= ================
HSBC
Bank
(Singapore)
Limited
------------- =============
Middle
East
and
North
Africa
===== ======
99%
HSBC Hang HSBC HSBC HSBC HSBC
Seguros Seng Insurance Insurance Life Assurances
S.A. Insurance (Asia-Pacific) (Singapore) (UK) Vie
Company Holdings Pte Limited (France)
Limited Limited Limited
============== ================= ================ ============= ============= ================
Mexico HK HK
HSBC
HSBC Amanah
Life Takaful
Insurance (Malaysia) Regency Mazarin
Company Sendirian Assets Funding
Limited 50% 49% Berhad Limited Limited
================= ============= ============= ================
Latin America
====== ========= ===== ====== ===== ====== ====== ====
PRC
HSBC Turquoise Barion
Life Receivables Funding
(Inter- Trustee Limited
national) Limited
Limited
================ ============= ------ ================
HK
Malachite Metrix
Funding Portfolio
Limited Distribution
plc
============= ================
Entities deconsolidated for regulatory purposes
======= ======== ==== ==== ==== =========================================================================== ====== ====== ====== ========
North America and LatAm Asia Europe and MENA
Holding company Intermediate Operating company Associate Insurance company Special purpose
holding company entities(2)
1 At 31 December 2016, showing entities in Priority markets, wholly owned unless shown otherwise
(part ownership rounded down to nearest per cent), except 2, below.
2 Control of Special Purpose Entities is not based on ownership.
3 Treated under a capital deduction method for regulatory purposes.
98 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Appendix III
Asset encumbrance
The following is the disclosure of on-balance sheet encumbered
and unencumbered assets and off-balance sheet collateral
(represented by median values of monthly data points in 2016) based
on the requirement in Part Eight of CRD IV. The related Guideline,
issued by the EBA on 27 June 2014, was implemented by the PRA
through Supervisory Statement SS11/14.
Table 67: A - Assets
Carrying amount of Fair value of Carrying amount of Fair value of
encumbered assets encumbered assets unencumbered assets unencumbered assets
------------------- -------------------- ------------------- --------------------
$m $m $m $m
Assets of the
reporting
010 institution 137,377 - 2,480,100 -
030 Equity instruments 5,283 5,283 55,216 55,116
040 Debt securities 66,493 66,486 482,518 480,801
--- ------------------- ------------------- -------------------- ------------------- --------------------
120 Other assets 2,600 - 488,695 -
--- ------------------- ------------------- -------------------- ------------------- --------------------
Table 67: B - Collateral received
Fair value of encumbered Fair value of collateral received
collateral received or own debt or own debt securities issued
securities issued available for encumbrance
----------------------------------- -----------------------------------
$m $m
130 Assets of the reporting institution 127,760 148,592
150 Equity instruments 6,661 18,561
160 Debt securities 121,102 126,002
230 Other collateral received 35 772
--- ----------------------------------- ----------------------------------- -----------------------------------
240 Own debt securities issued other
than own covered bonds or ABSs - -
--- ----------------------------------- ----------------------------------- -----------------------------------
Table 67: C - Encumbered assets/collateral received and associated liabilities
Assets, collateral received and own
debt securities issued other than
Matching liabilities, contingent covered bonds and ABSs
liabilities or securities lent encumbered
------------------------------------ -----------------------------------
$m $m
Carrying amount of selected financial
010 liabilities 199,108 257,264
---- ------------------------------------- ------------------------------------ -----------------------------------
Information on importance of encumbrance
We are a deposit-led bank and hence the majority of our funding
is from customer current accounts and customer savings deposits
payable on demand or at short notice. This is part of our Group
framework, where we have defined the limit for the ratio of
advances to deposits to be below 90% (2016: 68%). Given this
structural unsecured funding position we have little requirement to
fund ourselves in secured markets, and therefore our overall low
level of encumbrance reflects this position. However, we do provide
collateralised financing services to clients as part of our
GB&M business model,
providing cash financing or specific securities, and these
result in off-balance sheet encumbrance. The other sources which
contribute to encumbrance are securities pledged in derivative
transactions, mostly for hedging purposes, issuance of asset-backed
securities, and covered bond programmes in the UK, France and
Australia. HSBC Holdings ALCO reviews the asset encumbrance of the
institution as a whole quarterly and any events changing the asset
encumbrance level are examined.
For details on balance sheet encumbered and unencumbered assets,
please refer to the Annual Report and Accounts 2016, page 110.
HSBC Holdings plc Pillar 3 2016 99
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Appendix IV
Summary of disclosures withheld
CRD IV reference Description Rationale
442(c) CRAs - In relation to exposure to credit risk and Materiality
dilution risk, the total amount of exposures The disclosure has been made after taking into
after accounting offsets and without taking into account the effects of credit risk mitigation;
account the effects of credit risk mitigation. there are no significant differences between
exposures pre- and post-credit risk mitigation
at exposure class level.
448(a) Key assumptions (including assumptions regarding Proprietary
loan prepayments and behaviour of non-maturity Assumptions regarding fixed term loan repayments
deposits) on their exposure to interest rate risk and term behaviouralisation of non-maturity
on positions not included in the trading deposits and capital drive HSBC's structural
book. interest rates positioning and market hedging
requirements.
Disclosure could give key business strategy
information to our competitors.
---------------- ------------------------------------------------- -------------------------------------------------
100 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Other Information
Abbreviations
The following abbreviated terms are used throughout this
document.
Currencies
----------- -------------------------------------------------------
$ United States dollar
----------- -------------------------------------------------------
A
----------- -------------------------------------------------------
ABCP Asset-backed commercial paper
ABS(1) Asset-backed security
AFS(1) Available-for-sale
ALCM Asset, Liability and Capital Management
ALCO Asset and Liability Management Committee
AT1 capital Additional tier 1 capital
AVA Additional value adjustment
B
----------- -------------------------------------------------------
BCBS Basel Committee on Banking Supervision
BoCom Bank of Communications Co., Limited
BSM Balance Sheet Management
C
----------- -------------------------------------------------------
CCB(1) Capital conservation buffer
CCF(1) Credit conversion factor
CCP Central counterparty
CCR(1) Counterparty credit risk
CCyB(1) Countercyclical capital buffer
CDS(1) Credit default swap
CET1(1) Common equity tier 1
CIU Collective investment undertakings
CML(1) Consumer and Mortgage Lending (US)
CRA(1) Credit risk adjustment
CRD IV(1) Capital Requirements Regulation and Directive
----------- -------------------------------------------------------
CRE(1) Commercial real estate
CRM Credit risk mitigation/mitigant
----------- -------------------------------------------------------
CRR(1) Customer risk rating
CSA(1) Credit Support Annex
CVA Credit valuation adjustment
CVC Conduct and Values Committee
E
----------- -------------------------------------------------------
EAD(1) Exposure at default
EBA European Banking Authority
EC European Commission
ECA Export Credit Agency
ECAI(1) External Credit Assessment Institution
EEA European Economic Area
EL(1) Expected loss
EU European Union
EVE(1) Economic value of equity
F
FFVA Funding Fair Value Adjustment
----------- -------------------------------------------------------
Fitch Fitch Ratings
FPC(1) Financial Policy Committee (UK)
FSB Financial Stability Board
FSVC Financial System Vulnerabilities Committee
----------- -------------------------------------------------------
G
----------- -------------------------------------------------------
GAC Group Audit Committee
GB&M Global Banking and Markets, a global business
GMB Group Management Board
GPB Global Private Banking, a global business
GRC Group Risk Committee
Group HSBC Holdings together with its subsidiary undertakings
G-SIB(1) Global systemically important bank
G-SII Global systemically important institution
H
------------- -----------------------------------------------------------------------------
HKMA Hong Kong Monetary Authority
Hong Kong The Hong Kong Special Administrative Region of the People's Republic of China
------------- -----------------------------------------------------------------------------
HSBC HSBC Holdings together with its subsidiary undertakings
I
------------- -----------------------------------------------------------------------------
IAA(1) Internal Assessment Approach
------------- -----------------------------------------------------------------------------
ICAAP(1) Internal Capital Adequacy Assessment Process
ICG Individual capital guidance
IFRSs International Financial Reporting Standards
ILAA Individual Liquidity Adequacy Assessment
ILR Inherent Liquidity Risk
IMA Internal Models Approach
IMM(1) Internal Model Method
IRB(1) /RBA Internal ratings based approach
IRC(1) Incremental risk charge
L
------------- -----------------------------------------------------------------------------
LCR Liquidity Coverage Ratio
LFRF Liquidity and Funding Risk Framework
LGD(1) Loss given default
Libor London interbank offered rate
M
------------- -----------------------------------------------------------------------------
MDB(1) Multilateral Development Bank
MENA Middle East and North Africa
MOC Model Oversight Committee
Moody's Moody's Investor Service
MREL Minimum requirements for own funds and eligible liabilities
N
------------- -----------------------------------------------------------------------------
NCOA Non-credit obligation asset
NSFR Net Stable Funding Ratio
O
------------- -----------------------------------------------------------------------------
ORMF Operational risk management framework
OTC(1) Over-the-counter
P
------------- -----------------------------------------------------------------------------
PD(1) Probability of default
PFE(1) Potential future exposure
PIT(1) Point-in-time
PRA(1) Prudential Regulation Authority (UK)
PVA(1) Prudent valuation adjustment
Q
------------- -----------------------------------------------------------------------------
QCCP Qualifying Central Counterparty
R
------------- -----------------------------------------------------------------------------
RAS Risk appetite statement
RBM(1) Ratings Based Method
RBWM Retail Bank and Wealth Management, a global business
------------- -----------------------------------------------------------------------------
Retail IRB(1) Retail internal ratings based approach
RMM Risk Management Meeting of the GMB
RNIV Risks not in VaR
RWA(1) Risk-weighted asset
HSBC Holdings plc Pillar 3 2016 101
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
S
---------- --------------------------------------------------
SA/STD(1) Standardised approach
---------- --------------------------------------------------
SA-CCR Standardised approach for counterparty credit risk
----------
S&P Standard and Poor's rating agency
SFM(1) Supervisory Formula Method
SFT(1) Securities Financing Transactions
SIC Securities Investment Conduit
SME Small and medium-sized enterprise
SPE(1) Special Purpose Entity
SRB(1) Systemic Risk Buffer
SSFA/SFA Simplified supervisory formula approach
---------- --------------------------------------------------
T
---------- --------------------------------------------------
TLAC(1) Total Loss Absorbing Capacity
TTC(1) Through-the-cycle
T1 capital Tier 1 capital
T2 capital Tier 2 capital
U
---------- --------------------------------------------------
UK United Kingdom
V
VaR(1) Value at risk
---------- --------------------------------------------------
1 Full definition included in the Glossary published on HSBC website www.hsbc.com
102 HSBC Holdings plc Pillar 3 2016
Capital and Risk Management Pillar 3 Disclosures at 31 December
2016
Cautionary statement regarding forward
looking statements
The Capital and Risk Management Pillar 3 Disclosures 2016
contains certain forward-looking statements with respect to HSBC's
financial condition, results of operations, capital position and
business.
Statements that are not historical facts, including statements
about HSBC's beliefs and expectations, are forward-looking
statements. Words such as 'expects', 'anticipates', 'intends',
'plans', 'believes', 'seeks', 'estimates', 'potential' and
'reasonably possible', variations of these words and similar
expressions are intended to identify forward-looking statements.
These statements are based on current plans, estimates and
projections, and therefore undue reliance should not be placed on
them. Forward-looking statements speak only as of the date they are
made. HSBC makes no commitment to revise or update any
forward-looking statements to reflect events or circumstances
occurring or existing after the date of any forward-looking
statements.
Written and/or oral forward-looking statements may also be made
in the periodic reports to the US Securities and Exchange
Commission, summary financial statements to shareholders, proxy
statements, offering circulars and prospectuses, press releases and
other written materials, and in oral statements made by HSBC's
Directors, officers or employees to third parties, including
financial analysts.
Forward-looking statements involve inherent risks and
uncertainties. Readers are cautioned that a number of factors could
cause actual results to differ, in some instances materially, from
those anticipated or implied in any forward-looking statement.
These include, but are not limited to:
-- changes in general economic conditions in the markets in which we operate, such as continuing
or deepening recessions and fluctuations in employment beyond those factored into consensus
forecasts; changes in foreign exchange rates and interest rates; volatility in equity markets;
lack of liquidity in wholesale funding markets; illiquidity and downward price pressure in
national real estate markets; adverse changes in central banks' policies with respect to the
provision of liquidity support to financial markets; heightened market concerns over sovereign
creditworthiness in over-indebted countries; adverse
changes in the funding status of public or private defined
benefit pensions; and consumer perception as to the continuing
availability of credit and price competition in the market segments
we serve;
-- changes in government policy and regulation, including the monetary, interest rate and other
policies of central banks and other regulatory authorities; initiatives to change the size,
scope of activities and interconnectedness of financial institutions in connection with the
implementation of stricter regulation of financial institutions in key markets worldwide;
revised capital and liquidity benchmarks which could serve to deleverage bank balance sheets
and lower returns available from the current business model and portfolio mix; imposition
of levies or taxes designed to change business mix and risk appetite; the practices, pricing
or responsibilities of financial institutions serving their consumer markets; expropriation,
nationalisation, confiscation of assets and changes in legislation relating to foreign ownership;
changes in bankruptcy legislation in the principal markets in which we operate and the consequences
thereof; general changes in government policy that may significantly influence investor decisions;
extraordinary government actions as a result of current market turmoil; other unfavourable
political or diplomatic developments producing social instability or legal uncertainty which
in turn may affect demand for our products and services; the costs, effects and outcomes of
product regulatory reviews, actions or litigation, including any additional compliance requirements;
and the effects of competition in the markets where we operate including increased competition
from non-bank financial services companies, including securities firms; and
-- factors specific to HSBC, including discretionary RWA growth and our success in adequately
identifying the risks we face, such as the incidence of loan losses or delinquency, and managing
those risks (through account management, hedging and other techniques). Effective risk management
depends on, among other things, our ability through stress testing and other techniques to
prepare for events that cannot be captured by the statistical models it uses; and our success
in addressing operational, legal and regulatory, and litigation challenges, notably compliance
with the DPA.
Contacts
Enquiries relating to HSBC's strategy or operations may be
directed to:
Senior Manager Investor Relations Head of Investor Relations, Asia-Pacific
HSBC Holdings plc The Hongkong and Shanghai Banking Corporation Limited
8 Canada Square 1 Queen's Road Central
London E14 5HQ Hong Kong
United Kingdom
Telephone: +44 (0) 20 7991 3643 Telephone: +852 2822 4908
Email: investorrelations@hsbc.com Email: investorrelations@hsbc.com.hk
HSBC Holdings plc Pillar 3 2016 103
This information is provided by RNS
The company news service from the London Stock Exchange
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