HSBC Bank plc Johannesburg Branch

Transcription

1 HSBC Bank plc Johannesburg Branch Pillar Quarterly Disclosure September Public

2 Table of contents Key Prudential metrics and overview of RWA... Key metrics... Overview of risk management (OV)... Leverage Ratio... Summary comparison of accounting assets vs leverage ratio exposure (LR)... Leverage ratio (LR)... Liquidity Risk... Liquidity coverage ratio (LIQ)... Public

3 Key Prudential metrics and overview of RWA Table : Key Metrics (KM) At 0 Jun Mar Dec 0 0 Available Capital (Amounts) Common Equity Tier (CET),,,0 a Fully loaded ECL accounting model,,,0 Tier,,,0 a Fully loaded accounting model Tier,,,0 Total capital,0,0,0,00,0 a Fully loaded ECL accounting model total capital,0,0,0,00,0,,,,, Riskweighted assets (amounts) Total riskweighted assets (RWA) Riskbased capital ratios as a percentage of RWA Common Equity Tier ratio (%).%.%.% a Fully loaded ECL accounting model CET (%).%.%.% Tier ratio (%).%.%.% a Fully loaded ECL accounting model Tier ratio (%).%.%.% Total capital ratio (%).%.%.%.%.% a Fully loaded ECL accounting model total capital ratio (%).%.%.%.%.% Additional CET buffer requirements as a percentage of RWA Capital conservation buffer requirement (.% from 0) (%).%.% Countercyclical bugger requirement (%) 0.0% 0.0% 0 Bank DSIB additional requirements (%) Total of bank CET specific buffer requirements (%) (row +row +row 0).%.%.%.% CET available after meeting the bank's minimum capital requirements (%).%.% 0.0% 0.% 0.% Basel III Leverage Ratio Total Basel III leverage ratio measure,0, 0,,0, Basel III leverage ratio (%) (row /row ).%.%.%.%.% a Fully loaded ECL accounting model Basel III leverage ratio (%) (row A/row ).%.%.%.%.% Liquidity Coverage Ratio Total HQLA,,0.,, Total net cash outflow,,0,,0, LCR ratio (%) % % % % % Net Stable Funding Ratio Total available stable funding,,,,00, Total required stable funding,,,,,0 0 NSFR ratio (%) % % % % % Public Page

4 Key Prudential metrics and overview of RWA (continued) Given the strong capital adequacy position of HSBC Bank plc Johannesburg Branch, the local EXCO have approved that the Transitional arrangements detailed in D of will not be utilised and that full IFRS impact be taken into account on January. Table : Overview of risk management (OV) Minimum Capital Requirements RWA 0 Jun Credit risk (excluding counterparty credit risk),,00, Of which: standardised approach (SA),,00, Of which: foundation internal ratingsbased (FIRB) approach Of which: supervisory slotting approach Of which: advanced internal ratingsbased (AIRB) approach Counterparty credit risk (CCR),0,0 0 Of which: standardised approach for counterparty credit risk,0,0 0 Of which: Internal Model Method (IMM) Of which: other CCR 0 Credit valuation adjustment (CVA) Equity positions under the simple risk weight approach Equity investments in funds lookthrough approach Equity investments in funds mandatebased approach Equity investments in funds fallback approach Settlement risk Securitisation exposures in the banking book Of which: securitisation internal ratingsbased approach (SECIRBA) Of which: securitisation external ratingsbased approach (SECERBA), including internal assessment approach Of which: securitisation standardised approach (SECSA) 0 Market risk 0 Of which: standardised approach (SA) 0 Of which: internal model approaches (IMA) Capital charge for switch between trading book and banking book Operational risk,0,0 Amounts below thresholds for deduction (subject to 0% risk weight) 0 Floor adjustment Total ( ),,,00 Public Page

5 Leverage Ratio Table : Summary comparison of accounting assets vs leverage ratio exposure (LR) Total consolidated assets as per the BA 00 0, Adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure Adjustments for derivative financial instruments, Adjustment for securities financing transactions (ie repos and similar secured lending),0 Adjustments for offbalance sheet items (ie conversion to credit equivalent amounts of offbalance sheet exposures), Other adjustments, Leverage ratio exposure measure,0 Public Page

6 Leverage Ratio (continued) Table : Leverage ratio (LR) Jun,,,,,, provided in derivatives transactions) (Exempted CCP leg of clientcleared trade exposures) Adjusted effective notional amount of written credit derivatives,,,0,0 (Netted amounts of cash payables and cash receivables of gross SFT assets) CCR exposure for SFT assets Agent transaction exposures,0,0,,,,,,,,,0,., OnBalance sheet exposures Onbalance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including collateral) (Asset amounts deducted in determining Basel III Tier capital) Total onbalance sheet exposures (excluding derivatives and SFTs) (sum of row and ) Derivitave exposures Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting) Addon amounts for PFE associated with all derivatives transactions Grossup for derivatives collateral provide where deducted from the balance sheet assets pursuant to the operative accounting framework (Deductions of receivable assets for cash variation margin 0 (Adjusted effective notional offsets and addon deductions for written credit derivatives) Total derivative exposures (sum of rows to 0) Securities financing transactions Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactionsaccounting transactions Total securities financing transaction exposures (sum of rows to ) Other offbalance sheet exposures Offbalance sheet exposure at gross notional amount (Adjustments for conversion to credit equivalent amounts) Offbalance sheet items (sum of rows and ) Capital and total expsures 0 Tier capital Total exposures (sum of rows,, and ) Leverage ratio Basel III leverage ratio Public Page

7 Table : Liquidity coverage ratio (LIQ) High quality liquid assets Total unweighted value (average) Total weighted value (average), Total HQLA Cash outflows Retail deposits and deposits from small business customers, of which: Stable deposits Less stable deposits Unsecured wholesale funding, of which:,, Operational deposits (all counterparties) and deposits in networks of cooperative banks, Nonoperational deposits (all counterparties),,0 Unsecured debt Secured wholesale funding 0 Additional requirements, of which:,0,0 Outflows related to derivative exposures and other collateral requirements 0,0 0,0,0 Other contractual funding obligations Other contingent funding obligations, Outflows related to loss of funding of debt products Credit and liquidity facilities, TOTAL CASH OUTFLOWS Cash inflows Secured lending (eg reverse repo), Inflows from fully performing exposures,0,0 Other cash inflows 0, 0, 0 TOTAL CASH INFLOWS,, Total adjusted value Total HQLA, Total net cash outflows 0, Liquidity coverage ratio (%) Public Page %