Public Finance Limited

Transcription

1 Public Finance Limited Pillar 3 Regulatory Disclosures For the period ended (Solo Basis and Unaudited)

2 Table of contents Template OV1: Overview of RWA... 1 Template CR1: Credit quality of exposures... 3 Template CR2: Changes in defaulted loans and debt securities... 4 Template CR3: Overview of recognized credit risk mitigation... 5 Template CR4: Credit risk exposures and effects of recognized credit risk mitigation for STC approach... 6 Template CR5: Credit risk exposures by asset classes and by risk weights for STC approach... 8 Template CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights for STC approach Key Capital Ratios Disclosures... 11

3 Template OV1: Overview of RWA The table below provides an overview of RWA and the related minimum capital requirements by risk type as at 30 June 2017 and 31 March 2017 respectively. The Company has adopted standardized approach for both credit risk RWA and operational risk RWA. During the second quarter of 2017, RWA increased by HK$92.8 million to HK$5.38 billion. The increase was mainly due to an increase of HK$98.9 million in credit risk RWA from increase of loan exposures. (a) (b) (c) RWA Minimum capital requirements 1 31 March 2017 HK$ 000 HK$ 000 HK$ Credit risk for non-securitization exposures (excluding counterparty credit risk and 250% RWA) 4,089,466 3,990, ,158 2 Of which STC approach 4,089,466 3,990, ,158 2a Of which BSC approach Of which IRB approach Counterparty credit risk Of which SA-CCR a Of which CEM Of which IMM(CCR) approach Equity exposures in banking book under the market-based approach CIS exposures LTA CIS exposures MBA CIS exposures FBA Settlement risk Securitization exposures in banking book Of which IRB(S) approach ratings-based method Of which IRB(S) approach supervisory formula method Of which STC(S) approach Market risk Of which STM approach Of which IMM approach Operational risk 1,340,400 1,341, , Of which BIA approach Of which STO approach 1,340,400 1,341, ,232 21a Of which ASA approach Calculated at 8% of RWA as of 2 Of note, after entering into force of the revised securitization framework in January 2018, the following replacements in row 13, 14 and 15 should be made: (i) IRB(S) rating based method should be replaced by Securitization Internal Ratings-Based Approach (SEC-IRBA)*; (ii) IRB(S) supervisory formula method should be replaced by Securitization External Ratings-Based Approach (SEC-ERBA)*; and (iii) STC(S) should be replaced by Securitization Standardized Approach (SEC-SA)*. A new row following row 15 (say, row 15a) may be added to cater for Securitization Fall-back Approach (SEC-FBA)* where this is applicable. (* all names and applicable approaches subject to the final amendments to the BCR) Part I OV1 1

4 (a) (b) (c) RWA Minimum capital requirements 1 31 March 2017 HK$ 000 HK$ 000 HK$ Of which AMA approach N/A N/A N/A 23 Amounts below the thresholds for deduction (subject to 250% RW) 25,275 25,275 2, Capital floor adjustment a Deduction to RWA 72,108 67,487 5,769 24b 24c Of which portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2 Capital 67,738 63,374 5,419 Of which portion of cumulative fair value gains arising from the revaluation of land and buildings which is not included in Tier 2 Capital 4,370 4, Total 5,383,033 5,290, ,643 N/A: Not applicable in the case of Hong Kong Part I OV1 2

5 Template CR1: Credit quality of exposures The table below provides a breakdown of defaulted and non-defaulted loans, debt securities and off-balance sheet exposures as at. The defaulted loans are individually determined to be impaired after considering the loan overdue more than three months and the qualitative factors such as bankruptcy proceedings and rescheduled arrangements. (a) (b) (c) (d) Gross carrying amounts of Defaulted exposures Non-defaulted exposures Allowances / impairments Net values HK$ 000 HK$ 000 HK$ 000 HK$ Loans 102,357 5,478,706 75,734 5,505,329 2 Debt securities 0 19, ,989 3 Off-balance sheet exposures Total 102,357 5,498,695 75,734 5,525,318 Part III CR1 3

6 Template CR2: Changes in defaulted loans and debt securities The table below provides the movement of defaulted loans. During the first half of 2017, defaulted loans decreased by HK$21.4 million to HK$102.4 million. The decrease was mainly due to written off of impaired loans and loans returned to non-defaulted status. (a) Amount HK$ Defaulted loans and debt securities at end of the previous reporting period (31 Dec 2016) 123,742 2 Loans and debt securities that have defaulted since the last reporting period 182,061 3 Returned to non-defaulted status (33,245) 4 Amounts written off (165,098) 5 Other changes* (5,103) 6 Defaulted loans and debt securities at end of the current reporting period (30 Jun 2017) 102,357 * Other changes include loan repayment. Part III CR2 4

7 Template CR3: Overview of recognized credit risk mitigation The table below provides a breakdown of unsecured and secured exposures (net of impairment allowances), including loans and debt securities as at. The collateral for secured loans are customer deposits, properties, taxi licences and vehicles. (a) (b1) (b) (d) (f) Exposures unsecured: carrying amount Exposures to be secured Exposures secured by recognized collateral Exposures secured by recognized guarantees Exposures secured by recognized credit derivative contracts HK$ 000 HK$ 000 HK$ 000 HK$ 000 HK$ Loans 3,764,446 1,740,883 1,740, Debt securities 19, Total 3,784,435 1,740,883 1,740, Of which defaulted 32, Part III CR3 5

8 Template CR4: Credit risk exposures and effects of recognized credit risk mitigation ( CRM ) for STC approach The table below illustrates the effect of any recognized CRM on the calculation of credit risk capital requirements under STC approach as at. (a) (b) (c) (d) (e) (f) Exposures pre-ccf and pre-crm Exposures post-ccf and post-crm RWA and RWA density Exposure classes On-balance sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density HK$ 000 HK$ 000 HK$ 000 HK$ 000 HK$ 000 % 1 Sovereign exposures 19, , % 2 PSE exposures N/A 2a Of which: domestic PSEs N/A 2b Of which: foreign PSEs N/A 3 Multilateral development bank exposures N/A 4 Bank exposures 990, , ,121 20% 5 Securities firm exposures N/A 6 Corporate exposures 47, , , % 7 CIS exposures N/A 8 Cash items 14, , % 9 Exposures in respect of failed delivery on transactions entered into on a basis other than a delivery-versus-payment basis N/A 10 Regulatory retail exposures 4,478,789 6,553 4,478, ,359,092 75% 11 Residential mortgage loans 952, , ,292 35% Part III CR4 6

9 (a) (b) (c) (d) (e) (f) Exposures pre-ccf and pre-crm Exposures post-ccf and post-crm RWA and RWA density Exposure classes On-balance sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density HK$ 000 HK$ 000 HK$ 000 HK$ 000 HK$ 000 % 12 Other exposures which are not past due exposures 102, , , % 13 Past due exposures 32, , , % 14 Significant exposures to commercial entities N/A 15 Total 6,639,186 6,553 6,639, ,089,466 62% Part III CR4 7

10 Template CR5: Credit risk exposures by asset classes and by risk weights for STC approach The table below provides the breakdown of credit risk exposures by asset classes and by risk weights under STC approach as at. HK$ 000 (a) (b) (c) (d) (e) (f) (g) (h) (ha) (i) (j) Exposure class Risk Weight 0% 10% 20% 35% 50% 75% 100% 150% 250% Others Total credit risk exposures amount (post CCF and post CRM) 1 Sovereign exposures 19, ,989 2 PSE exposures a Of which: domestic PSEs b Of which: foreign PSEs Multilateral development bank exposures Bank exposures , ,606 5 Securities firm exposures Corporate exposures , ,354 7 CIS exposures Cash items 14, ,897 9 Exposures in respect of failed delivery on transactions entered into on a basis other than a delivery-versus-payment basis Regulatory retail exposures ,478, ,478, Residential mortgage loans , ,263 Part III CR5 8

11 HK$ 000 (a) (b) (c) (d) (e) (f) (g) (h) (ha) (i) (j) Exposure class Risk Weight 0% 10% 20% 35% 50% 75% 100% 150% 250% Others Total credit risk exposures amount (post CCF and post CRM) 12 Other exposures which are not past due exposures , , Past due exposures , , Significant exposures to commercial entities Total 34, , , ,478, ,004 32, ,639,186 Part III CR5 9

12 Template CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights for STC approach The Company has no counterparty default risk exposures by asset classes and by risk weights under STC approach as at. HK$ 000 (a) (b) (c) (ca) (d) (e) (f) (g) (ga) (h) (i) Exposure class Risk Weight 0% 10% 20% 35% 50% 75% 100% 150% 250% Others Total default risk exposure after CRM 1 Sovereign exposures PSE exposures a Of which: domestic PSEs b Of which: foreign PSEs Multilateral development bank exposures Bank exposures Securities firm exposures Corporate exposures CIS exposures Regulatory retail exposures Residential mortgage loans Other exposures which are not past due exposures Significant exposures to commercial entities Total Part IV CCR3 10

13 Key Capital Ratios Disclosures Capital adequacy ratio 31 March 2017 Item HK$'000 HK$'000 1 CET1 capital 1,195,185 1,251,021 2 AT1 capital Tier 1 capital (Tier 1 = CET1 + AT1) 1,195,185 1,251,021 4 Tier 2 capital 55,010 53,563 5 Total capital (Total capital = Tier 1 + Tier 2) 1,250,195 1,304,584 6 Total risk weighted assets 5,383,033 5,290,202 Capital ratios (as a percentage of risk weighted assets) CET1 capital ratio 22.20% 23.65% Tier 1 capital ratio 22.20% 23.65% Total capital ratio 23.22% 24.66% Leverage ratio 31 March 2017 Item HK$'000 HK$'000 1 Tier 1 capital 1,195,185 1,251,021 2 Total exposures 6,533,080 6,429,147 Leverage ratio (as percentage of total exposures) Leverage ratio 18.29% 19.46% Abbreviations: CET1: Common Equity Tier 1 AT1: Additional Tier 1 Key Capital Ratios Disclosures 11