China CITIC Bank International Limited
中信銀行(國際)有限公司
Regulatory Disclosure Statements
30 June 2020
(Unaudited)
These disclosures are prepared under
the Banking (Disclosure) Rules
Regulatory Disclosure Statement | ||
CONTENTS | PAGE | |
Part I: Key prudential ratios and overview of Risk-Weighted Asset (RWA) | ||
KM1: | Key prudential ratios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1 |
OV1: | Overview of RWA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2 |
Part IIA: Composition of regulatory capital | ||
CC1: | Composition of regulatory capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3-8 |
CC2: | Reconciliation of regulatory capital to balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 9 |
CCA: | Main features of regulatory capital instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 10-12 |
Part IIB: Macroprudential supervisory measures | ||
CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer . . . . . . . . . . . . . | 13 | |
Part IIC: Leverage ratio | ||
LR1: | Summary comparison of accounting assets against leverage ratio exposure measure . . . . . . . . . . . . . . | 13 |
LR2: | Leverage ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 14 |
Part IID: Liquidity | ||
LIQ1: | Liquidity Coverage Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 15 |
LIQ2: | Net Stable Funding Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 16-17 |
Part III: Credit risk for non-securitization exposures | ||
CR1: | Credit quality of exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 18 |
CR2: | Changes in defaulted loans and debt securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 18 |
CR3: | Overview of recognised credit risk mitigation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 18 |
CR4: | Credit risk exposures and effects of recognised credit risk mitigation - for STC approach . . . . . . . . . | 19 |
CR5: | Credit risk exposures by asset classes and by risk weights - for STC approach. . . . . . . . . . . . . . . . . . | 20 |
Part IV: Counterparty credit risk | ||
CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches . . . . . . . . . | 21 | |
CCR2: CVA capital charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 21 | |
CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and | ||
by risk weights - STC approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 22 | |
CCR5: Composition of collateral for counterparty default risk exposures (including those for | ||
contracts or transactions cleared through CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 23 | |
CCR8 | Exposures to CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 23 |
Part V: Market risk | ||
MR1: | Market risk under STM approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 24 |
Regulatory Disclosure Statement (continued)
The information contained in this regulatory disclosure statement is for China CITIC Bank International Limited ("the Bank") and its subsidiaries (together "the Group"), and is prepared in accordance with the Banking (Disclosure) Rules and the disclosure templates issued by the Hong Kong Monetary Authority ("HKMA"). It should be read in conjunction with the Group's 2020 Interim Report. These regulatory disclosures are governed by the Group's disclosure policy, which set out the governance, control and assurance requirements for publication of the document.
PART I: KEY PRUDENTIAL RATIOS AND OVERVIEW OF RISK-WEIGHTED ASSET (RWA)
KM1: Key prudential ratios
At | At | At | At | At | ||
30 June | 31 March | 31 December | 30 September | 30 June | ||
2020 | 2020 | 2019 | 2019 | 2019 | ||
(a) | (b) | (c) | (d) | (e) | ||
HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||
Regulatory capital | ||||||
1 | Common Equity Tier 1 (CET1) | 37,595,770 | 38,063,930 | 37,430,332 | 36,488,587 | 35,484,890 |
2 | Tier 1 | 45,367,830 | 45,835,990 | 45,202,392 | 44,260,647 | 43,256,950 |
3 | Total capital | 52,120,354 | 53,146,712 | 52,476,903 | 51,711,502 | 50,656,115 |
RWA | ||||||
4 | Total RWA | 272,597,282 | 270,651,826 | 262,432,341 | 268,285,972 | 266,263,985 |
Risk-based regulatory capital ratios (as a percentage of RWA) | ||||||
5 | CET1 ratio (%) | 13.8% | 14.1% | 14.3% | 13.6% | 13.3% |
6 | Tier 1 ratio (%) | 16.6% | 16.9% | 17.2% | 16.5% | 16.2% |
7 | Total capital ratio (%) | 19.1% | 19.6% | 20.0% | 19.3% | 19.0% |
Additional CET1 buffer requirements (as a percentage of RWA) | ||||||
8 | Capital conservation buffer requirement (%) | 2.500% | 2.500% | 2.500% | 2.500% | 2.500% |
9 | Countercyclical capital buffer requirement (%) (CCyB ratio) (Remark) | 0.593% | 0.584% | 1.119% | 1.355% | 1.393% |
10 | Higher loss absorbency requirements (%) (applicable only to G-SIBs or | |||||
D-SIBs) | N/A | N/A | N/A | N/A | N/A | |
11 | Total AI-specific CET1 buffer requirements (%) | 3.093% | 3.084% | 3.619% | 3.855% | 3.893% |
12 | CET1 available after meeting the AI's minimum capital requirements (%) | 9.3% | 9.6% | 9.8% | 9.1% | 8.8% |
Basel III leverage ratio | ||||||
13 | Total leverage ratio (LR) exposure measure | 378,711,875 | 361,828,522 | 384,491,342 | 359,966,028 | 373,673,578 |
14 | LR (%) | 12.0% | 12.7% | 11.8% | 12.3% | 11.6% |
Liquidity Coverage Ratio (LCR)/Liquidity Maintenance Ratio (LMR) | ||||||
Applicable to category 1 institution only: | ||||||
15 | Total high quality liquid assets (HQLA) | 42,386,001 | 47,011,755 | 35,466,051 | 33,068,768 | 34,551,660 |
16 | Total net cash outflows | 19,064,904 | 17,320,678 | 15,799,506 | 15,960,920 | 15,470,046 |
17 | LCR (%) | 223.8% | 272.2% | 225.7% | 207.6% | 224.0% |
Applicable to category 2 institution only: | ||||||
17a | LMR (%) | N/A | N/A | N/A | N/A | N/A |
Net Stable Funding Ratio (NSFR)/Core Funding Ratio (CFR) | ||||||
Applicable to category 1 institution only: | ||||||
18 | Total available stable funding | 236,248,495 | 231,887,605 | 240,558,288 | 234,709,644 | 240,406,580 |
19 | Total required stable funding | 169,098,438 | 167,498,538 | 165,902,045 | 168,209,740 | 168,044,582 |
20 | NSFR (%) | 139.7% | 138.4% | 145.0% | 139.5% | 143.1% |
Applicable to category 2A institution only: | ||||||
20a | CFR (%) | N/A | N/A | N/A | N/A | N/A |
N/A - Non-Applicable Remark:
In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.
1
Regulatory Disclosure Statement (continued)
PART I: KEY PRUDENTIAL RATIOS AND RISK-WEIGHTED ASSET (RWA)
OV1: Overview of RWA
The following table provides an overview of the Bank's RWA by various risk types and the corresponding minimum capital requirements (i.e. 8% of RWA), as required by the HKMA.
(a) | (b) | (c) | |||
Minimum | |||||
capital | |||||
RWA | requirements | ||||
At 30 June | At 31 March | At 30 June | |||
2020 | 2020 | 2020 | |||
HK$' 000 | HK$' 000 | HK$' 000 | |||
1 | Credit risk for non-securitization exposures | 226,829,304 | 222,005,195 | 18,146,344 | |
2 | Of which STC approach | 226,829,304 | 222,005,195 | 18,146,344 | |
2a | Of which BSC approach | - | - | - | |
3 | Of which foundation IRB approach | - | - | - | |
4 | Of which supervisory slotting criteria approach | - | - | - | |
5 | Of which advanced IRB approach | - | - | - | |
6 | Counterparty default risk and default fund contributions | 9,318,660 | 10,902,844 | 745,493 | |
7 | Of which SA-CCR* | Not applicable | Not applicable | Not applicable | |
7a | Of which CEM | 9,166,050 | 10,761,655 | 733,284 | |
8 | Of which IMM (CCR) approach | - | - | - | |
9 | Of which others | 152,610 | 141,189 | 12,209 | |
10 | CVA risk | 6,218,213 | 6,392,738 | 497,457 | |
11 | Equity positions in banking book under the simple risk-weight method and internal models | ||||
method | - | - | - | ||
12 | Collective investment scheme ("CIS") exposures - LTA* | Not applicable | Not applicable | Not applicable | |
13 | CIS exposures - MBA* | Not applicable | Not applicable | Not applicable | |
14 | CIS exposures - FBA* | Not applicable | Not applicable | Not applicable | |
14a | CIS exposures - combination of approaches* | Not applicable | Not applicable | Not applicable | |
15 | Settlement risk | - | - | - | |
16 | Securitization exposures in banking book | - | - | - | |
17 | Of which SEC-IRBA | - | - | - | |
18 | Of which SEC-ERBA (including IAA) | - | - | - | |
19 | Of which SEC-SA | - | - | - | |
19a | Of which SEC-FBA | - | - | - | |
20 | Market risk | 13,771,575 | 14,721,788 | 1,101,726 | |
21 | Of which STM approach | 13,771,575 | 14,721,788 | 1,101,726 | |
22 | Of which IMM approach | - | - | - | |
23 | Capital charge for switch between exposures in trading book and banking book(not applicable | ||||
before the revised market risk framework takes effect)* | Not applicable | Not applicable | Not applicable | ||
24 | Operational risk | 15,283,950 | 15,433,913 | 1,222,716 | |
24a | Sovereign concentration risk | - | - | - | |
25 | Amounts below the thresholds for deduction (subject to 250% RW) | 1,277,538 | 1,277,538 | 102,203 | |
26 | Capital floor adjustment | - | - | - | |
26a | Deduction to RWA | 101,958 | 82,190 | 8,157 | |
26b | Of which portion of regulatory reserve for general banking risks and collective provisions | ||||
which is not included in Tier 2 Capital | - | - | - | ||
26c | Of which portion of cumulative fair value gains arising from the revaluation of land and | ||||
buildings which is not included in Tier 2 Capital | 101,958 | 82,190 | 8,157 | ||
27 | Total | 272,597,282 | 270,651,826 | 21,807,782 | |
Remark:
Items marked with an asterisk (*) will be applicable only after their respective policy frameworks take effect. Until then, "Not applicable" is reported in the rows.
The Bank has adopted the "standardised approach" for calculating the risk-weighted amount for credit risk and market risk and the "basic indicator approach" for calculating operational risk.
Total RWA increased mainly due to an increase in RWA for credit RWA for non-securitisation exposures, which was also driven mainly by an increase in loans and advances to customers.
2
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital
(a) | (b) | ||
Source based on | |||
reference number | |||
of the balance | |||
sheet under the | |||
regulatory scope of | |||
Amount | consolidation | ||
At 30 June 2020 | HK$' 000 | ||
CET1 capital: instruments and reserves | |||
1 | Directly issued qualifying CET1 capital instruments plus any related share premium | 18,404,013 | (4)+(5) |
2 | Retained earnings | 20,669,005 | (8) |
3 | Disclosed reserves | 907,815 | (6) |
4 | Directly issued capital subject to phase out from CET1 capital (only applicable to non-joint stock companies) | Not applicable | Not applicable |
5 | Minority interests arising from CET1 capital instruments issued by consolidated bank subsidiaries and held by third | ||
parties (amount allowed in CET1 capital of the consolidation group) | - | ||
6 | CET1 capital before regulatory adjustments | 39,980,833 | |
CET1 capital: regulatory deductions | |||
7 | Valuation adjustments | 11,100 | (11) |
8 | Goodwill (net of associated deferred tax liabilities) | - | |
9 | Other intangible assets (net of associated deferred tax liabilities) | 590,874 | (16) |
10 | Deferred tax assets (net of deferred tax liabilities) | 73,349 | (2) |
11 | Cash flow hedge reserve | - | |
12 | Excess of total EL amount over total eligible provisions under the IRB approach | - | |
13 | Credit-enhancinginterest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from | ||
securitization transactions | - | ||
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 2,633 | (3) |
15 | Defined benefit pension fund net assets (net of associated deferred tax liabilities) | - | |
16 | Investments in own CET1 capital instruments (if not already netted off paid-in capital on reported balance sheet) | - | |
17 | Reciprocal cross-holdings in CET1 capital instruments | - | |
18 | Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope | ||
of regulatory consolidation (amount above 10% threshold) | - | ||
19 | Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope | ||
of regulatory consolidation (amount above 10% threshold) | - | ||
20 | Mortgage servicing rights (net of associated deferred tax liabilities) | Not applicable | Not applicable |
21 | Deferred tax assets arising from temporary differences (net of associated deferred tax liabilities) | Not applicable | Not applicable |
22 | Amount exceeding the 15% threshold | Not applicable | Not applicable |
23 | of which: significant investments in the ordinary share of financial sector entities | Not applicable | Not applicable |
24 | of which: mortgage servicing rights | Not applicable | Not applicable |
25 | of which: deferred tax assets arising from temporary differences | Not applicable | Not applicable |
26 | National specific regulatory adjustments applied to CET1 capital | 1,707,107 | |
26a | Cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment properties) | 185,378 | (7)+(10) |
26b | Regulatory reserve for general banking risks | 1,521,729 | (9) |
26c | Securitization exposures specified in a notice given by the Monetary Authority | - | |
26d | Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings | - | |
26e | Capital shortfall of regulated non-bank subsidiaries | - | |
3
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital (continued)
(a) | (b) | ||
Source based on | |||
reference number | |||
of the balance | |||
sheet under the | |||
regulatory scope of | |||
Amount | consolidation | ||
At 30 June 2020 | HK$' 000 | ||
26f | Capital investment in a connected company which is a commercial entity (amount above 15% of the reporting | ||
institution's capital base) | - | ||
27 | Regulatory deductions applied to CET1 capital due to insufficient AT1 capital and Tier 2 capital to cover deductions | - | |
28 | Total regulatory deductions to CET1 capital | 2,385,063 | |
29 | CET1 capital | 37,595,770 | |
AT1 capital: instruments | |||
30 | Qualifying AT1 capital instruments plus any related share premium | 7,772,060 | (12)+ (13) |
31 | of which: classified as equity under applicable accounting standards | 7,772,060 | |
32 | of which: classified as liabilities under applicable accounting standards | - | |
33 | Capital instruments subject to phase out arrangements from AT1 capital | - | |
34 | AT1 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in AT1 | ||
capital of the consolidation group) | - | ||
35 | of which: AT1 capital instruments issued by subsidiaries subject to phase out arrangements | - | |
36 | AT1 capital before regulatory deductions | 7,772,060 | |
AT1 capital: regulatory deductions | |||
37 | Investments in own AT1 capital instruments | - | |
38 | Reciprocal cross-holdings in AT1 capital instruments | - | |
39 | Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope | ||
of regulatory consolidation (amount above 10% threshold) | - | ||
40 | Significant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of | ||
regulatory consolidation | - | ||
41 | National specific regulatory adjustments applied to AT1 capital | - | |
42 | Regulatory deductions applied to AT1 capital due to insufficient Tier 2 capital to cover deductions | - | |
43 | Total regulatory deductions to AT1 capital | - | |
44 | AT1 capital | 7,772,060 | |
45 | Tier 1 capital (Tier 1 = CET1 + AT1) | 45,367,830 | |
4
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital (continued)
(a) | (b) | ||
Source based on | |||
reference number | |||
of the balance | |||
sheet under the | |||
regulatory scope of | |||
Amount | consolidation | ||
At 30 June 2020 | HK$' 000 | ||
Tier 2 capital: instruments and provisions | |||
46 | Qualifying Tier 2 capital instruments plus any related share premium | 3,875,098 | (15) |
47 | Capital instruments subject to phase out arrangements from Tier 2 capital | - | (14) |
Tier 2 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in Tier 2 | |||
48 | capital of the consolidation group) | - | |
49 | of which: capital instruments issued by subsidiaries subject to phase out arrangements | - | |
50 | Collective provisions and regulatory reserve for general banking risks eligible for inclusion in Tier 2 capital | 2,794,006 | [(1) + (9)] x 100% |
51 | Tier 2 capital before regulatory deductions | 6,669,104 | |
Tier 2 capital: regulatory deductions | |||
52 | Investments in own Tier 2 capital instruments | - | |
53 | Reciprocal cross-holdings in Tier 2 capital instruments and non-capital LAC liabilities | - | |
Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial | |||
sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold and, where | |||
54 | applicable, 5% threshold) | - | |
Insignificant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of | |||
regulatory consolidation (amount formerly designated for the 5% threshold but no longer meets the conditions) (for | |||
54a | institutions defined as "section 2 institution" under s2(1) of Schedule 4F to BCR only) | - | |
Significant LAC investments in Tier 2 capital instruments issued by financial sector entities that are outside the scope | |||
55 | of regulatory consolidation (net of eligible short positions) | - | |
Significant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of | |||
55a | regulatory consolidation (net of eligible short positions) | - | |
56 | National specific regulatory adjustments applied to Tier 2 capital | (83,420) | |
Add back of cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment | |||
56a | properties) eligible for inclusion in Tier 2 capital | (83,420) | [(7) + (10)] x 45% |
56b | Regulatory deductions applied to Tier 2 capital to cover the required deductions falling within s48(1)(g) of BCR | - | |
57 | Total regulatory deductions to Tier 2 capital | (83,420) | |
58 | Tier 2 capital (T2) | 6,752,524 | |
59 | Total regulatory capital (TC = T1 + T2) | 52,120,354 | |
60 | Total RWA | 272,597,282 | |
Capital ratios (as a percentage of RWA) | |||
61 | CET1 capital ratio | 13.79% | |
62 | Tier 1 capital ratio | 16.64% | |
63 | Total capital ratio | 19.12% | |
Institution - specific buffer requirement (capital conservation buffer plus countercyclical capital buffer plus | |||
64 | higher loss absorbency requirements) | 7.59% | |
65 | of which: capital conservation buffer requirement | 2.50% | |
66 | of which: bank specific countercyclical capital buffer requirement | 0.59% | |
67 | of which: higher loss absorbency requirements | 0.00% | |
68 | CET1 (as a percentage of RWA) available after meeting minimum capital requirements | 9.29% | |
5
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital (continued)
(a) | (b) | ||
Source based on | |||
reference number | |||
of the balance | |||
sheet under the | |||
regulatory scope of | |||
Amount | consolidation | ||
At 30 June 2020 | HK$' 000 | ||
National minima (if different from Basel III minimum) | |||
69 | National CET1 minimum ratio | Not applicable | Not applicable |
70 | National Tier 1 minimum ratio | Not applicable | Not applicable |
71 | National Total capital minimum ratio | Not applicable | Not applicable |
Amounts below the thresholds for deduction (before risk weighting) | |||
Insignificant LAC investments in CET1, AT1 and Tier 2 capital instruments issued by, and non-capital LAC liabilities | |||
72 | of, financial sector entities that are outside the scope of regulatory consolidation | 113,666 | |
Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope | |||
73 | of regulatory consolidation | 511,015 | |
74 | Mortgage servicing rights (net of associated deferred tax liability) | Not applicable | Not applicable |
75 | Deferred tax assets arising from temporary differences (net of associated deferred tax liability) | Not applicable | Not applicable |
Applicable caps on the inclusion of provisions in Tier 2 capital | |||
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the BSC approach, or the STC approach | |||
76 | and SEC- ERBA, SEC-SA and SEC-FBA (prior to application of cap) | 2,794,006 | |
Cap on inclusion of provisions in Tier 2 under the BSC approach, or the STC approach, and SEC-ERBA,SEC-SA and | |||
77 | SEC-FBA | 2,794,006 | |
Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the IRB approach and SEC-IRBA (prior to | |||
78 | application of cap) | - | |
79 | Cap for inclusion of provisions in Tier 2 under the IRB approach and SEC-IRBA | - | |
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022) | |||
80 | Current cap on CET1 capital instruments subject to phase out arrangements | Not applicable | Not applicable |
81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | Not applicable | Not applicable |
82 | Current cap on AT1 capital instruments subject to phase out arrangements | - | |
83 | Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities) | - | |
84 | Current cap on Tier 2 capital instruments subject to phase out arrangements | - | |
85 | Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities) | - | |
6
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital (continued)
Row No. | Description | Hong Kong basis | Basel III basis | |
Other intangible assets (net of associated deferred tax liability) | 590,874 | 590,874 | ||
Explanation | ||||
As set out in paragraph 87 of the Basel III text issued by the Basel Committee (December 2010), mortgage servicing rights ("MSRs") may be given limited recognition | ||||
9 | in CET1 capital (and hence be excluded from deduction from CET1 capital up to the specified threshold). In Hong Kong, an AI is required to follow the accounting | |||
treatment of including MSRs as part of intangible assets reported in the AI's financial statements and to deduct MSRs in full from CET1 capital. Therefore, the amount | ||||
to be deducted as reported in row 9 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the | ||||
amount reported in row 9 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of MSRs to be deducted to the extent not in excess | ||||
of the 10% threshold set for MSRs and the aggregate 15% threshold set for MSRs, DTAs arising from temporary differences and significant investments in CET1 capital | ||||
instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures to connected companies) under Basel III. | ||||
Deferred tax assets (net of associated deferred tax liabilities) | 73,349 | 73,349 | ||
Explanation | ||||
As set out in paragraphs 69 and 87 of the Basel III text issued by the Basel Committee (December 2010), DTAs of the bank to be realized are to be deducted, whereas | ||||
DTAs which relate to temporary differences may be given limited recognition in CET1 capital (and hence be excluded from deduction from CET1 capital up to the | ||||
10 | specified threshold). In Hong Kong, an AI is required to deduct all DTAs in full, irrespective of their origin, from CET1 capital. Therefore, the amount to be deducted as | |||
reported in row 10 may be greater than that required under Basel III. The amount reported under the column "Basel III | basis" in this box represents the amount reported | |||
in row 10 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of DTAs to be deducted which relate to temporary differences to the | ||||
extent not in excess of the 10% threshold set for DTAs arising from temporary differences and the aggregate 15% threshold set for MSRs, DTAs arising from temporary | ||||
differences and significant investments in CET1 capital instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures | ||||
to connected companies) under Basel III. | ||||
Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside | ||||
the scope of regulatory consolidation (amount above 10% threshold) | - | - | ||
Explanation | ||||
For the purpose of determining the total amount of insignificant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to | ||||
18 | aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector | |||
entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial | ||||
sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit | ||||
exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 18 may be greater than that required under | ||||
Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 18 (i.e. the amount reported under the "Hong Kong | ||||
basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under | ||||
the Hong Kong approach. | ||||
7
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC1: Composition of regulatory capital (continued)
Row No. | Description | Hong Kong basis | Basel III basis |
Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the | |||
scope of regulatory consolidation (amount above 10% threshold) | - | - | |
Explanation
For the purpose of determining the total amount of significant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector
19 entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 19 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 19 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside | ||
the scope of regulatory consolidation (amount above 10% threshold) | - | - |
Explanation
The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose
39 of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in AT1 capital instruments may be smaller. Therefore, the amount to be deducted as reported in row 39 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 39 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, | ||
financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold | ||
and, where applicable, 5% threshold) | - | - |
Explanation
54 The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in Tier 2 capital instruments and non-capital LAC liabilities may be smaller. Therefore, the amount to be deducted as reported in row 54 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 54 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
Remarks:
The amount of the 10% threshold and 5% threshold mentioned above is calculated based on the amount of CET1 capital determined in accordance with the deduction methods set out in BCR Schedule 4F. The 15% threshold is referring to paragraph 88 of the Basel III text issued by the Basel Committee (December 2010) and has no effect to the Hong Kong regime.
Abbreviations:
CET1 : Common Equity Tier 1
AT1 : Additional Tier 1
8
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CC2: Reconciliation of regulatory capital to balance sheet
At 30 June 2020 | ||||
Balance sheet | Under | |||
as in published | regulatory | |||
financial | scope of | |||
statements | consolidation | Reference | ||
HK$' 000 | HK$' 000 | |||
Assets | ||||
Cash and balances with banks, central banks and other financial institutions | 18,215,283 | 18,199,039 | ||
Placements with and advances to banks, central banks and other financial institutions | 52,317,786 | 52,317,786 | ||
Financial assets at fair value through profit or loss | 5,070,340 | 4,402,580 | ||
Derivative financial instruments | 10,285,832 | 10,285,832 | ||
Loans and advances to customers and other accounts | 200,359,205 | 200,841,397 | ||
of which: Expected credit losses allowances eligible for inclusion in Tier 2 Capital | - | 1,272,277 | (1) | |
Financial assets at fair value through other comprehensive income | 78,092,672 | 78,092,672 | ||
Amortised cost investments | 54,283 | 54,283 | ||
Property and equipment | ||||
- Investment property | 266,386 | 266,386 | ||
- Other property and equipment | 497,778 | 493,118 | ||
Intangible assets | 590,874 | 590,874 | (16) | |
Tax recoverable | 28,141 | 28,141 | ||
Deferred tax assets | 73,349 | 73,349 | (2) | |
Total Assets | 365,851,929 | 365,645,457 | ||
Liabilities | ||||
Deposits and balances of banks and other financial institutions | 16,005,933 | 15,797,495 | ||
Deposits from customers | 275,304,962 | 275,304,962 | ||
Derivative financial instruments | 10,805,484 | 10,805,484 | ||
of which: Debit valuation adjustments in respect of derivative contracts | 2,633 | (3) | ||
Financial liabilities at fair value through profit or loss | 209,108 | 209,108 | ||
Certificates of deposit issued | 193,755 | 193,755 | ||
Current tax liabilities | 65,078 | 65,078 | ||
Deferred tax liabilities | 1,379 | 1,379 | ||
Other liabilities | 11,723,474 | 11,654,686 | ||
Loan capital | 3,850,478 | 3,862,265 | ||
of which: | Loan capital not eligible for inclusion in regulatory capital | - | - | (14) |
Loan capital eligible for inclusion in regulatory capital | - | 3,875,098 | (15) | |
Total Liabilities | 318,159,651 | 317,894,212 | ||
Equity | ||||
Total shareholders' equity | 39,921,866 | 39,980,833 | ||
of which: Paid-in share capital | 18,404,013 | 18,404,013 | (4) | |
of which: non-qualifying CET1 Capital | - | (5) | ||
Other Reserves | 901,725 | 907,815 | (6) | |
of which: Regulatory reserve of properties | 134,931 | 134,931 | (7) | |
Retained earnings | 20,616,128 | 20,669,005 | (8) | |
of which: Regulatory reserve earmarked | 1,521,729 | (9) | ||
of which: Cumulative retained earnings for investment properties | 50,447 | (10) | ||
of which: Valuation Adjustments | 11,100 | (11) | ||
Additional equity instruments | 7,770,412 | 7,770,412 | (12) | |
of which: Transaction costs for additional equity instruments | 1,648 | (13) | ||
Total Equity | 47,692,278 | 47,751,245 | ||
Total Equity and Liabilities | 365,851,929 | 365,645,457 | ||
9
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CCA: Main features of regulatory capital instruments
Share Capital | Subordinated notes (due 2029) with US$500 million at 4.625% per annum | |||
(1) | Issuer | China CITIC Bank International | China CITIC Bank International Limited | |
Limited | ||||
(2) | Unique identifier | N/A | XS1897158892 | |
(3) | Governing law(s) of the instrument | Hong Kong laws | English laws (subordination governed by Hong Kong laws) | |
Regulatory treatment | ||||
(4) | - Transitional Basel III rules (1) | N/A | N/A | |
(5) | - Post-transitional Basel III rules (2) | Common Equity Tier 1 | Tier 2 | |
(6) | - Eligible at solo/group/group and solo | Group and solo | Group and solo | |
(7) | - Instrument type (types to be specified by each jurisdiction) | Ordinary Shares | Debt instruments | |
(8) | Amount recognised in regulatory capital (Currency in million, as | HK$18,404.01 million | HK$3,862.27 million | |
of most recent reporting date) | ||||
(9) | Par value of instrument | N/A | US$500.00 million | |
(10) | Accounting classification | Shareholders' equity | Liability - amortised cost | |
(11) | Original date of issuance | 10 December 1954 | 28 February 2019 | |
(12) | Perpetual or dated | Perpetual | Dated | |
(13) | - Original maturity date | No maturity | 28 February 2029 | |
(14) | Issuer call subject to prior supervisory approval | N/A | Yes | |
(15) | - Optional call date, contingent call dates and redemption amount | N/A | - 28 February 2024 (Call Date). Included tax and regulatory call options. | |
- Redemption at par, subject to adjustment following the occurrence of a Non-Viability Event. | ||||
(16) | - Subsequent call dates, if applicable | N/A | N/A | |
Coupons/dividends | ||||
(17) | - Fixed or floating dividend/coupon | N/A | Fixed | |
(18) | - Coupon rate and any related index | N/A | At a fixed rate of 4.625% per annum until (but excluding) 28 February 2024 and thereafter reset | |
at then prevailing five-year U.S. Treasury rate plus the initial spread of 2.25% per annum. | ||||
(19) | - Existence of a dividend stopper | N/A | No | |
(20) | - Fully discretionary, partially discretionary or mandatory | Fully discretionary | Mandatory | |
(21) | - Existence of step up or other incentive to redeem | No | No | |
(22) | - Non-cumulative or cumulative | Non-cumulative | Cumulative | |
(23) | Convertible or non-convertible | Non-convertible | Non-convertible | |
(24) | - If convertible, conversion trigger(s) | N/A | N/A | |
(25) | - If convertible, fully or partially | N/A | N/A | |
(26) | - If convertible, conversion rates | N/A | N/A | |
(27) | - If convertible, mandatory or optional conversion | N/A | N/A | |
(28) | - If convertible, specify instrument type convertible into | N/A | N/A | |
(29) | - If convertible, specify issuer of instrument if converts into | N/A | N/A | |
(30) | Write-down feature | No | Yes | |
(31) | - If write-down,write-down trigger(s) | N/A | Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a | |
Non-Viability Event Notice, irrevocably reduce the then prevailing principal amount and cancel | ||||
any accrued but unpaid interest of each Note in whole or in part. | ||||
"Non-Viability Event" means the earlier of: | ||||
(a) | the Hong Kong Monetary Authority (the "HKMA") notifying the Issuer in writing that the | |||
HKMA is of the opinion that a write-off or conversion is necessary, without which the | ||||
Issuer would become non- viable; and | ||||
(b) the HKMA notifying the Issuer in writing that a decision has been made by the | ||||
government body, a government officer or other relevant regulatory body with the | ||||
authority to make such a decision, that a public sector injection of capital or equivalent | ||||
support is necessary, without which the Issuer would become non-viable. | ||||
(32) | - If write-down, full or partial | N/A | Full or partial | |
(33) | - If write-down, permanent or temporary | N/A | Permanent | |
(34) | - If temporary write-down, description of write-up mechanise | N/A | N/A | |
(35) | Position in subordination hierarchy in liquidation (specify | N/A | Immediately subordinated to indebtedness/unsecured senior notes | |
instrument type immediately senior to instrument in the | ||||
insolvency creditor hierarchy of the legal entity concerned). | ||||
(36) | Non-compliant transitioned features | No | No | |
(37) | If yes, specify non-compliant features | N/A | N/A |
N/A - Non-Applicable
Footnotes:
- Regulatory treatment of capital instruments subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules
- Regulatory treatment of capital instruments not subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules
Full terms and conditions of regulatory capital instruments can be viewed in the Regulatory Discloses section of the Bank's corporate website www.cncbinternational.com.
10
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CCA: Main features of regulatory capital instruments (continued)
Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 4.25% per annum | |||
(1) | Issuer | China CITIC Bank International Limited | |
(2) | Unique identifier | XS1499209861 | |
(3) | Governing law(s) of the instrument | English laws (subordination governed by Hong Kong laws) | |
Regulatory treatment | |||
(4) | - Transitional Basel III rules (1) | N/A | |
(5) | - Post-transitional Basel III rules (2) | Additional Tier 1 | |
(6) | - Eligible at solo/group/group and solo | Group and solo | |
(7) | - Instrument type (types to be specified by each jurisdiction) | Undated Non-Cumulative Subordinated Capital Securities | |
(8) | Amount recognised in regulatory capital (Currency in million, as of | HK$3,863.55 million | |
most recent reporting date) | |||
(9) | Par value of instrument | US$500.00 million | |
(10) | Accounting classification | Equity - par value | |
(11) | Original date of issuance | 11 October 2016 | |
(12) | Perpetual or dated | Perpetual | |
(13) | - Original maturity date | No maturity | |
(14) | Issuer call subject to prior supervisory approval | Yes | |
(15) | - Optional call date, contingent call dates and redemption amount | - 11 October 2021 (First Call Date) | |
- No fixed redemption date. | |||
- Optional Redemption (on a designated date in 2021 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption | |||
are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time. | |||
Redemption amount will be the outstanding principal amount together with distributions accrued to the date of redemption. | |||
(16) | - Subsequent call dates, if applicable | N/A | |
Coupons/dividends | |||
(17) | - Fixed or floating dividend/coupon | Fixed | |
(18) | - Coupon rate and any related index | - At a fixed rate of 4.25% per annum until (but excluding) 11 October 2021. | |
- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the | |||
then-prevailing five year U.S. Treasury Rate plus 3.107% per annum. | |||
- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event. | |||
(19) | - Existence of a dividend stopper | Yes | |
(20) | - Fully discretionary, partially discretionary or mandatory | Fully Discretionary | |
(21) | - Existence of step up or other incentive to redeem | No | |
(22) | - Non-cumulative or cumulative | Non-cumulative | |
(23) | Convertible or non-convertible | Non-convertible | |
(24) | - If convertible, conversion trigger(s) | N/A | |
(25) | - If convertible, fully or partially | N/A | |
(26) | - If convertible, conversion rates | N/A | |
(27) | - If convertible, mandatory or optional conversion | N/A | |
(28) | - If convertible, specify instrument type convertible into | N/A | |
(29) | - If convertible, specify issuer of instrument if converts into | N/A | |
(30) | Write-down feature | Yes | |
(31) | - If write-down,write-down trigger(s) | Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce the then | |
prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part. | |||
"Non-Viability Event" means the earlier of: | |||
(a) | the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without which the | ||
Issuer would become non-viable; and | |||
(b) | the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other relevant | ||
regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is necessary, | |||
without which the Issuer would become non-viable. | |||
At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1 | |||
Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong Financial | |||
Institutions (Resolution) Ordinance (Cap.628). | |||
(32) | - If write-down, full or partial | Full or partial | |
(33) | - If write-down, permanent or temporary | Permanent | |
(34) | - If temporary write-down, description of write-up mechanise | N/A | |
(35) | Position in subordination hierarchy in liquidation (specify | Subordinated to the claims of: | |
instrument type immediately senior to instrument in the insolvency | (i) | all unsubordinated creditors (including depositors), | |
creditor hierarchy of the legal entity concerned). | (ii) | creditors in respect of Tier 2 Capital Securities, and | |
(iii) | all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital | ||
Securities by operations of law or contract. | |||
(36) | Non-compliant transitioned features | No | |
(37) | If yes, specify non-compliant features | N/A |
N/A - Non-Applicable
11
Regulatory Disclosure Statement (continued)
PART IIA: COMPOSITION OF REGULATORY CAPITAL
CCA: Main features of regulatory capital instruments (continued)
Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 7.10% per annum | |||
(1) | Issuer | China CITIC Bank International Limited | |
(2) | Unique identifier | XS1897158546 | |
(3) | Governing law(s) of the instrument | English laws (subordination governed by Hong Kong laws) | |
Regulatory treatment | |||
(4) | - Transitional Basel III rules (1) | N/A | |
(5) | - Post-transitional Basel III rules (2) | Additional Tier 1 | |
(6) | - Eligible at solo/group/group and solo | Group and solo | |
(7) | - Instrument type (types to be specified by each jurisdiction) | Undated Non-Cumulative Subordinated Capital Securities | |
(8) | Amount recognised in regulatory capital(Currency in million, as of | HK$3,908.51 million | |
most recent reporting date) | |||
(9) | Par value of instrument | US$500.00 million | |
(10) | Accounting classification | Equity - par value | |
(11) | Original date of issuance | 6 November 2018 | |
(12) | Perpetual or dated | Perpetual | |
(13) | - Original maturity date | No maturity | |
(14) | Issuer call subject to prior supervisory approval | Yes | |
(15) | - Optional call date, contingent call dates and redemption amount | - 6 November 2023 (First Call Date) | |
- No fixed redemption date. | |||
- Optional Redemption (on a designated date in 2023 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption | |||
are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time. Redemption | |||
amount will be the outstanding principal amount together with distributions accrued to the date of redemption. | |||
(16) | - Subsequent call dates, if applicable | N/A | |
Coupons/dividends | |||
(17) | - Fixed or floating dividend/coupon | Fixed | |
(18) | - Coupon rate and any related index | - At a fixed rate of 7.10% per annum until (but excluding) 6 November 2023. | |
- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the | |||
then-prevailing five year U.S. Treasury Rate plus 4.151% per annum. | |||
- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event. | |||
(19) | - Existence of a dividend stopper | Yes | |
(20) | - Fully discretionary, partially discretionary or mandatory | Fully Discretionary | |
(21) | - Existence of step up or other incentive to redeem | No | |
(22) | - Non-cumulative or cumulative | Non-cumulative | |
(23) | Convertible or non-convertible | Non-convertible | |
(24) | - If convertible, conversion trigger(s) | N/A | |
(25) | - If convertible, fully or partially | N/A | |
(26) | - If convertible, conversion rates | N/A | |
(27) | - If convertible, mandatory or optional conversion | N/A | |
(28) | - If convertible, specify instrument type convertible into | N/A | |
(29) | - If convertible, specify issuer of instrument if converts into | N/A | |
(30) | Write-down feature | Yes | |
(31) | - If write-down,write-down trigger(s) | Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce | |
the then prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part. | |||
"Non-Viability Event" means the earlier of: | |||
(a) | the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without | ||
which the Issuer would become non-viable; and | |||
(b) the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other | |||
relevant regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is | |||
necessary, without which the Issuer would become non-viable. | |||
At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1 | |||
Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong | |||
Financial Institutions (Resolution) Ordinance (Cap.628). | |||
(32) | - If write-down, full or partial | Full or partial | |
(33) | - If write-down, permanent or temporary | Permanent | |
(34) | - If temporary write-down, description of write-up mechanise | N/A | |
(35) | Position in subordination hierarchy in liquidation (specify | Subordinated to the claims of: | |
instrument type immediately senior to instrument in the insolvency | (i) | all unsubordinated creditors (including depositors), | |
creditor hierarchy of the legal entity concerned). | (ii) | creditors in respect of Tier 2 Capital Securities, and | |
(iii) | all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital | ||
Securities by operations of law or contract. | |||
(36) | Non-compliant transitioned features | No | |
(37) | If yes, specify non-compliant features | N/A |
N/A - Non-Applicable
12
Regulatory Disclosure Statement (continued)
PART IIB: MACROPRUDENTIAL SUPERVISORY MEASURES
CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer
At 30 June 2020 | |||||
a | b | c | d | ||
Geographical breakdown by | |||||
Jurisdiction (J) | Applicable JCCyB ratio in effect | RWA used in computation of CCyB ratio | AI-specific CCyB ratio | CCyB amount | |
HK$' 000 | HK$' 000 | ||||
1 | Hong Kong SAR | 1.0000% | 117,793,713 | ||
2 | Luxembourg | 0.2500% | 66,711 | ||
3 | Norway | 1.0000% | 1,020 | ||
Sum (Remark 1) | 117,861,444 | ||||
Total (Remark 2 & 3) | 198,634,436 | 0.593% | 1,616,793 | ||
Remark:
- This represents the sum of RWA for the private sector credit exposures in jurisdictions with a non-zero countercyclical buffer rate.
- The total RWA used in the computation of the CCyB ratio in column (b) represents the total RWA for the private sector credit exposures in all jurisdictions to which the banks is exposed, including jurisdictions with no countercyclical buffer rate or with a countercyclical buffer rate set at zero. The CCyB amount in column (d) represents the Group's total RWA multiplied by the Group specific CCyB ratio in column (c).
- In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.
PART IIC: LEVERAGE RATIO
LR1: Summary comparison of accounting assets against leverage ratio exposure measure
Value under the LR | ||
framework | ||
Item | At 30 June 2020 | |
HK$' 000 | ||
1 | Total consolidated assets as per published financial statements | 365,851,929 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but | |
outside the scope of regulatory consolidation | 206,472 | |
3 | Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting standard but excluded from the | |
LR exposure measure | - | |
4 | Adjustments for derivative contracts | 11,065,771 |
5 | Adjustment for SFTs (i.e. repos and similar secured lending) | 1,457,604 |
6 | Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 16,989,259 |
6a | Adjustment for specific and collective provisions that are allowed to be excluded from exposure measure | (71,926) |
7 | Other adjustments | (16,787,234) |
8 | Leverage ratio exposure measure | 378,711,875 |
13
Regulatory Disclosure Statement (continued)
PART IIC: LEVERAGE RATIO
LR2: Leverage ratio
(a) | (b) | ||
At 30 June 2020 | At 31 March 2020 | ||
HK$' 000 | HK$' 000 | ||
On-balance sheet exposures | |||
1 | On-balance sheet exposures (excluding those arising from derivative contracts and SFTs, but including collateral) | 351,642,497 | 336,425,797 |
2 | Less: Asset amounts deducted in determining Tier 1 capital | (2,371,330) | (1,103,140) |
3 | Total on-balance sheet exposures (excluding derivative contracts and SFTs) | 349,271,167 | 335,322,657 |
Exposures arising from derivative contracts | |||
4 | Replacement cost associated with all derivative contracts (where applicable net of eligible cash variation margin and/ | ||
or with bilateral netting) | 3,852,486 | 3,862,935 | |
5 | Add-on amounts for PFE associated with all derivative contracts | 9,061,296 | 9,373,994 |
6 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable | ||
accounting framework | - | - | |
7 | Less: Deductions of receivables assets for cash variation margin provided under derivative contracts | (1,848,011) | (2,965,026) |
8 | Less: Exempted CCP leg of client-cleared trade exposures | - | - |
9 | Adjusted effective notional amount of written credit derivative contracts | - | - |
10 | Less: Adjusted effective notional offsets and add-on deductions for written credit derivative contracts | - | - |
11 | Total exposures arising from derivative contracts | 11,065,771 | 10,271,903 |
Exposures arising from SFTs | |||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 1,457,604 | 982,337 |
13 | Less: Netted amounts of cash payables and cash receivables of gross SFT assets | - | - |
14 | CCR exposure for SFT assets | - | 929 |
15 | Agent transactions exposures | - | - |
16 | Total exposures arising from SFTs | 1,457,604 | 983,266 |
Other off-balance sheet exposures | |||
17 | Off-balance sheet exposure at gross notional amount | 104,624,840 | 94,579,479 |
18 | Less: Adjustments for conversion to credit equivalent amounts | (87,635,581) | (79,239,466) |
19 | Off-balance sheet items | 16,989,259 | 15,340,013 |
Capital and total exposures | |||
20 | Tier 1 capital | 45,367,830 | 45,835,990 |
20a | Total exposures before adjustments for specific and collective provisions | 378,783,801 | 361,917,839 |
20b | Adjustments for specific and collective provisions | (72,926) | (89,317) |
21 | Total exposures after adjustments for specific and collective provisions | 378,711,875 | 361,828,522 |
Leverage ratio | |||
22 | Leverage ratio | 11.98% | 12.67% |
The decrease in leverage ratio during the period is mainly due to the increase in total exposures after adjustments for specific and collective provisions for the quarter ended 30 June 2020.
14
Regulatory Disclosure Statement (continued)
PART IID: LIQUIDITY
LIQ1: Liquidity Coverage Ratio - for category 1 institution
Number of data points used in calculating the average value of the LCR | For the quarter ended 30 June 2020: | For quarter ended 31 March 2020: | |||||
and related components set out in this template | (73 data points) | (74 data points) | |||||
UNWEIGHTED | WEIGHTED | UNWEIGHTED | WEIGHTED | ||||
AMOUNT | AMOUNT | AMOUNT | AMOUNT | ||||
Basis of disclosure: Consolidated | (Average) | (Average) | (Average) | (Average) | |||
HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||||
A. High Quality Liquid Assets (HQLA) | |||||||
1 | Total HQLA | 42,386,001 | 47,011,755 | ||||
B. Cash outflows | |||||||
2 | Retail deposits and small business funding, of which | 144,367,085 | 10,444,010 | 150,292,952 | 10,716,130 | ||
3 | Stable retail deposits and stable small business funding | 10,262,650 | 513,133 | 10,375,467 | 518,773 | ||
4 | Less stable retail deposits and less stable small business funding | 64,513,098 | 6,451,310 | 64,025,150 | 6,402,569 | ||
4a | Retail term deposits and small business term funding | 69,591,337 | 3,479,567 | 75,892,335 | 3,794,788 | ||
5 | Unsecured wholesale funding (other than small business funding), and | ||||||
debt securities and prescribed instruments issued by the AI, of which: | 92,851,979 | 53,348,951 | 86,133,440 | 47,299,317 | |||
6 | Operational deposits | - | - | - | - |
7 Unsecured wholesale funding (other than small business funding) not
covered in Row 6 | 90,779,597 | 51,276,569 | 85,137,314 | 46,303,191 |
8 Debt securities and prescribed instruments issued by the AI and
redeemable within the LCR period | 2,072,382 | 2,072,382 | 996,126 | 996,126 | |
9 | Secured funding transactions (including securities swap transactions) | - | - | ||
10 | Additional requirements, of which | 10,093,219 | 3,754,041 | 9,385,866 | 4,023,144 |
11 Cash outflows arising from derivative contracts and other transactions, and additional liquidity needs arising from related collateral
requirements | 2,867,656 | 2,867,656 | 3,207,857 | 3,207,857 |
12 | Cash outflows arising from obligations under structured financing | ||||
transactions and repayment of funding obtained from such transactions | - | - | - | - |
13 Potential drawdown of undrawn committed facilities (including
committed credit facilities and committed liquidity facilities) | 7,225,563 | 886,385 | 6,178,009 | 815,287 | |
14 | Contractual lending obligations (not otherwise covered in Section B) and | ||||
other contractual cash outflows | 6,029,170 | 6,029,170 | 6,176,335 | 6,176,335 | |
15 | Other contingent funding obligations (without contractual or non- | ||||
contractual) | 91,101,674 | 419,554 | 89,461,641 | 390,993 | |
16 | Total cash outflows | 73,995,726 | 68,605,919 | ||
C. Cash Inflows | |||||
17 | Secured lending transactions (including securities swap transactions) | 850,651 | 240,299 | 632,218 | 279,695 |
18 Secured and unsecured loans (other than secured lending transactions covered in row 17) and operational deposits placed at other financial
institutions | 78,420,741 | 58,495,903 | 82,137,192 | 62,032,935 | |
19 | Other cash inflows | 5,319,465 | 5,289,082 | 4,760,412 | 4,736,314 |
20 | Total cash inflows | 84,590,857 | 64,025,284 | 87,529,822 | 67,048,944 |
D. Liquidity Coverage Ratio | |||||
21 | Total HQLA | 42,386,001 | 47,011,755 | ||
22 | Total Net Cash Outflows | 19,064,904 | 17,320,678 | ||
23 | LCR (%) | 223.8% | 272.2% | ||
15
Regulatory Disclosure Statement (continued)
PART IID: LIQUIDITY
LIQ2: Net Stable Funding Ratio - for category 1 institution
For the quarter ended 30 June 2020 | |||||
Unweighted value by residual maturity | |||||
No specified | < 6 months or | ||||
term to | repayable on | 6 months to | 12 months | Weighted | |
Basis of disclosure: Consolidated | maturity | demand | < 12 months | or more | amount |
- Available stable funding ("ASF") item
1 | Capital | 48,606,014 | - | - | 3,862,266 | 52,468,280 |
2 | Regulatory capital | 48,606,014 | - | - | 3,862,266 | 52,468,280 |
2a | Minority interests not covered by row 2 | - | - | - | - | - |
3 | Other capital instruments | - | - | - | - | - |
4 | Retail deposits and small business funding: | - | 138,498,139 | 4,421,810 | 123,619 | 129,274,834 |
5 | Stable deposits | 10,333,264 | 131,964 | 608 | 9,942,574 | |
6 | Less stable deposits | 128,164,875 | 4,289,846 | 123,011 | 119,332,260 | |
7 | Wholesale funding: | - | 146,974,931 | 3,046,823 | 1,102,509 | 54,505,381 |
8 | Operational deposits | - | - | - | - | |
9 | Other wholesale funding | - | 146,074,931 | 3,046,823 | 1,102,509 | 54,505,381 |
10 | Liabilities with matching interdependent assets | - | - | - | - | - |
11 | Other liabilities: | 4,661,696 | 1,378,148 | - | - | - |
12 | Net derivative liabilities | 694,372 | ||||
13 | All other funding and liabilities not included in the above categories | 3,967,324 | 1,378,148 | - | - | - |
14 | Total ASF | 236,248,495 |
- Required stable funding ("RSF") item
15 | Total HQLA for NSFR purposes | 50,727,294 | 9,747,008 | |||
16 | Deposits held at other financial institutions for operational purposes | - | - | - | - | - |
17 | Performing loans and securities: | 1,054,320 | 142,024,837 | 49,991,062 | 100,036,889 | 148,388,842 |
18 | Performing loans to financial institutions secured by Level 1 HQLA | - | 1,172,168 | - | - | 117,217 |
19 Performing loans to financial institutions secured by non-Level 1 HQLA
and unsecured performing loans to financial institutions | - | 81,097,554 | 6,641,937 | 3,267,116 | 18,752,718 |
20 Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange Fund,
central banks and PSEs, of which: | 1,054,320 | 51,255,413 | 37,894,154 | 50,649,513 | 88,217,522 |
21With a risk-weight of less than or equal to 35% under the STC
approach | 29 | 1,390,257 | 701,120 | 1,527,480 | 2,038,551 | |
22 | Performing residential mortgages, of which: | - | 649,407 | 635,486 | 24,232,425 | 16,411,110 |
23 | With a risk-weight of less than or equal to 35% under the STC | |||||
approach | - | 647,255 | 633,392 | 24,144,578 | 16,334,318 | |
24 | Securities that are not in default and do not qualify as HQLA, including | |||||
exchange-traded equities | - | 7,850,295 | 4,819,485 | 21,887,835 | 24,890,275 | |
25 | Assets with matching interdependent liabilities | - | - | - | - | - |
26 | Other assets | 9,941,542 | 1,270,607 | 54,453 | - | 10,193,722 |
27 | Physical traded commodities, including gold | - | - |
28 Assets posted as initial margin for derivative contracts and contributions to
default funds of CCPs | 50,251 | 50,251 | ||||
29 | Net derivative assets | - | - | |||
30 | Total derivative liabilities before deduction of variation margin posted | - | - | |||
31 | All other assets not included in the above categories | 9,891,291 | 1,270,607 | 54,453 | - | 10,143,471 |
32 | Off-balance sheet items | 101,284,358 | 443,647 | |||
33 | Total derivative liabilities | 6,504,371 | 325,219 | |||
34 | Total RSF | 169,098,438 | ||||
35 | Net Stable Funding Ratio (%) | 139.7% | ||||
16
Regulatory Disclosure Statement (continued)
PART IID: LIQUIDITY
LIQ2: Net Stable Funding Ratio - for category 1 institution (continued)
For the quarter ended 31 March 2020 | |||||
Unweighted value by residual maturity | |||||
No specified | < 6 months or | ||||
term to | repayable on | 6 months to | 12 months | Weighted | |
Basis of disclosure: Consolidated | maturity | demand | < 12 months | or more | amount |
- Available stable funding ("ASF") item
1 | Capital | 49,352,137 | 2,359,374 | - | 3,862,993 | 53,215,130 |
2 | Regulatory capital | 49,352,137 | 2,359,374 | - | 3,862,993 | 53,215,130 |
2a | Minority interests not covered by row 2 | - | - | - | - | - |
3 | Other capital instruments | - | - | - | - | - |
4 | Retail deposits and small business funding: | - | 131,782,513 | 5,338,742 | 185,691 | 129,505,159 |
5 | Stable deposits | 10,054,476 | 152,290 | 697 | 9,697,125 | |
6 | Less stable deposits | 127,728,037 | 5,186,452 | 184,994 | 119,808,034 | |
7 | Wholesale funding: | - | 124,486,293 | 2,504,534 | 940,158 | 49,167,316 |
8 | Operational deposits | - | - | - | - | |
9 | Other wholesale funding | - | 124,486,293 | 2,504,534 | 940,158 | 49,167,316 |
10 | Liabilities with matching interdependent assets | - | - | - | - | - |
11 | Other liabilities: | 4,522,221 | 6,084,885 | - | - | - |
12 | Net derivative liabilities | 395,848 | ||||
13 | All other funding and liabilities not included in the above categories | 4,126,373 | 6,084,885 | - | - | - |
14 | Total ASF | 231,887,605 |
- Required stable funding ("RSF") item
15 | Total HQLA for NSFR purposes | 56,851,737 | 11,064,282 | |||
16 | Deposits held at other financial institutions for operational purposes | - | - | - | - | - |
17 | Performing loans and securities: | 1,038,847 | 117,573,483 | 49,586,187 | 105,082,543 | 148,520,454 |
18 | Performing loans to financial institutions secured by Level 1 HQLA | - | 790,988 | - | - | 79,099 |
19 Performing loans to financial institutions secured by non-Level 1
HQLA and unsecured performing loans to financial institutions | - | 58,573,095 | 7,789,689 | 3,250,787 | 15,931,596 |
20 Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange
Fund, central banks and PSEs, of which: | 1,038,847 | 51,401,600 | 34,817,043 | 55,441,692 | 90,857,795 |
21With a risk-weight of less than or equal to 35% under the STC
approach | - | 629,277 | 462,279 | 1,299,918 | 1,390,725 | |
22 | Performing residential mortgages, of which: | - | 627,152 | 629,456 | 23,191,259 | 15,716,774 |
23With a risk-weight of less than or equal to 35% under the STC
approach | - | 625,269 | 627,585 | 23,120,506 | 15,654,756 |
24 Securities that are not in default and do not qualify as HQLA,
including exchange-traded equities | - | 6,180,648 | 6,349,999 | 23,198,805 | 25,935,190 | |
25 | Assets with matching interdependent liabilities | - | - | - | - | - |
26 | Other assets | 6,767,618 | 1,468,154 | 23,770 | - | 7,232,413 |
27 | Physical traded commodities, including gold | - | - |
28 Assets posted as initial margin for derivative contracts and
contributions to default funds of CCPs | 50,251 | 50,251 | ||||
29 | Net derivative assets | - | - | |||
30 | Total derivative liabilities before deduction of variation margin posted | - | - | |||
31 | All other assets not included in the above categories | 6,717,367 | 1,468,154 | 23,770 | - | 7,182,162 |
32 | Off-balance sheet items | 92,746,605 | 303,790 | |||
33 | Total derivative liabilities | 7,551,977 | 377,599 | |||
33 | Total RSF | 167,498,538 | ||||
34 | Net Stable Funding Ratio (%) | 138.4% | ||||
17
Regulatory Disclosure Statement (continued)
PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES
CR1: Credit quality of exposures
(a) | (b) | (c) | (d) | (e) | (f) | (g) | |||||
Of which ECL accounting | |||||||||||
provisions for credit losses on | Of which ECL | ||||||||||
Gross carrying amounts of | STC approach exposures | ||||||||||
accounting | |||||||||||
Allocated in | Allocated in | provisions | |||||||||
regulatory | regulatory | for credit | |||||||||
category | category of | losses on IRB | |||||||||
Defaulted | Non-defaulted | Allowances/ | of specific | collective | approach | Net values | |||||
exposures | exposures | impairments | provisions | provisions | exposures | (a+b-c) | |||||
At 30 June 2020 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||||
1 | Loans | 4,706,216 | 187,973,748 | (1,530,763) | (258,486) | (1,272,277) | - | 191,149,201 | |||
2 | Debt securities | - | 83,103,663 | (34) | - | - | - | 83,103,629 | |||
3 | Off-balance sheet exposures | - | 7,057,607 | (70,531) | - | (70,531) | - | 6,987,076 | |||
4 | Total | 4,706,216 | 278,135,018 | (1,601,328) | (258,486) | (1.342,808) | - | 281,239,906 | |||
CR2: Changes in defaulted loans and debt securities | |||||||||||
(a) | |||||||||||
Amount | |||||||||||
At 30 June 2020 | HK$' 000 | ||||||||||
1 | Defaulted loans and debt securities at end of the previous reporting period | 2,021,970 | |||||||||
2 | Loans and debt securities that have defaulted since the last reporting period | 5,310,301 | |||||||||
3 | Returned to non-defaulted status | (11) | |||||||||
4 | Amounts written off | (2,495,966) | |||||||||
5 | Other changes (Note) | (130,078) | |||||||||
6 | Defaulted loans and debt securities at end of the current reporting period | 4,706,216 | |||||||||
Note: Other changes mainly due to repayments from loan customers and settlement for debt securities.
The increase in defaulted loans and advances and debt securities in the first half of 2020 was mainly due to the downgrading of isolated large-size loan exposures.
CR3: Overview of recognised credit risk mitigation
(a) | (b1) | (b) | (d) | (f) | ||
Exposures | ||||||
Exposures | Exposures | secured by | ||||
Exposures | secured by | secured by | recognized | |||
unsecured: | Exposures to be | recognized | recognized | credit derivative | ||
carrying amount | secured | collateral | guarantees | contracts | ||
At 30 June 2020 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | |
1 | Loans | 181,141,010 | 10,008,191 | 4,540,049 | 5,468,142 | - |
2 | Debt securities | 83,103,629 | - | - | - | - |
3 | Total | 264,244,639 | 10,008,191 | 4,540,049 | 5,468,142 | - |
4 | Of which defaulted | 4,058,925 | 609,305 | 605,657 | 3,648 | - |
18
Regulatory Disclosure Statement (continued)
PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES
CR4: Credit risk exposures and effects of recognised credit risk mitigation - for STC approach
(a) | (b) | (c) | (d) | (e) | (f) | ||
Exposures post-CCF and | |||||||
Exposures pre-CCF and pre-CRM | post-CRM | RWA and RWA density | |||||
On-balance | Off-balance | On-balance | Off-balance | ||||
At 30 June 2020 | sheet amount | sheet amount | sheet amount | sheet amount | RWA | RWA density | |
HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | % | ||
Exposure classes | |||||||
1 | Sovereign exposures | 23,712,409 | - | 23,726,496 | - | 524,214 | 2% |
2 | PSE exposures | 1,101,961 | 3,000,000 | 1,386,545 | - | 271,616 | 20% |
2a | Of which: domestic PSEs | 1,073,497 | 3,000,000 | 1,358,081 | - | 271,616 | 20% |
2b | Of which: foreign PSEs | 28,464 | - | 28,464 | - | - | - |
3 | Multilateral development bank exposures | - | - | - | - | - | - |
4 | Bank exposures | 87,915,092 | 3,340,482 | 91,535,375 | 3,361,223 | 27,545,478 | 29% |
5 | Securities firm exposures | 4,175,627 | 5,745,028 | 4,291,944 | 133,126 | 2,216,551 | 50% |
6 | Corporate exposures | 174,335,214 | 67,752,707 | 166,912,303 | 4,409,675 | 159,938,103 | 93% |
7 | CIS exposures | - | - | - | - | - | - |
8 | Cash items | 221,078 | - | 4,155,470 | 542,286 | 102,245 | 2% |
9 | Exposures in respect of failed delivery on | ||||||
transactions entered into on a basis other than a | |||||||
delivery-versus-payment basis | - | - | - | - | - | - | |
10 | Regulatory retail exposures | 9,388,770 | 21,163,140 | 9,239,259 | 8,901 | 6,936,120 | 75% |
11 | Residential mortgage loans | 25,519,730 | - | 25,262,269 | - | 8,888,220 | 35% |
12 | Other exposures which are not past due | ||||||
exposures | 13,880,083 | 3,623,484 | 13,740,304 | - | 13,740,304 | 100% | |
13 | Past due exposures | 4,668,230 | - | 4,668,229 | - | 6,666,453 | 143% |
14 | Significant exposures to commercial entities | - | - | - | - | - | - |
15 | Total | 344,918,194 | 104,624,841 | 344,918,194 | 8,455,211 | 226,829,304 | 64% |
19
Regulatory Disclosure Statement (continued)
PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES
CR5: Credit risk exposures by asset classes and by risk weights - for STC approach
At 30 June 2020 | (a) | (b) | (c) | (d) | (e) | (f) | (g) | (h) | (ha) | (i) | (j) | |
Risk Weight | Total credit | |||||||||||
risk exposures | ||||||||||||
amount (post | ||||||||||||
CCF and post | ||||||||||||
Exposure class | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | 250% | Others | CRM) | |
HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||
1 | Sovereign exposures | 21,105,425 | - | 2,621,071 | - | - | - | - | - | - | - | 23,726,496 |
2 | PSE exposures | 28,464 | - | 1,358,081 | - | - | - | - | - | - | - | 1,386,545 |
2a | Of which: domestic PSEs | - | - | 1,358,081 | - | - | - | - | - | - | - | 1,358,081 |
2b | Of which: foreign PSEs | 28,464 | - | - | - | - | - | - | - | - | - | 28,464 |
Multilateral development bank | ||||||||||||
3 | exposures | - | - | - | - | - | - | - | - | - | - | - |
4 | Bank exposures | - | - | 66,722,457 | - | 27,946,308 | - | 227,833 | - | - | - | 94,896,598 |
5 | Securities firm exposures | - | - | - | - | 4,417,038 | - | 8,032 | - | - | - | 4,425,070 |
6 | Corporate exposures | - | - | 1,741,098 | - | 24,704,191 | - | 140,154,493 | 4,722,196 | - | - | 171,321,978 |
7 | CIS exposures | - | - | - | - | - | - | - | - | - | - | - |
8 | Cash items | 4,186,667 | - | 511,055 | - | - | - | 34 | - | - | - | 4,697,756 |
Exposures in respect of failed | ||||||||||||
delivery on transactions entered | ||||||||||||
into on a basis other than a | ||||||||||||
9 | delivery-versus-payment basis | - | - | - | - | - | - | - | - | - | - | - |
10 | Regulatory retail exposures | - | - | - | - | - | 9,248,160 | - | - | - | - | 9,248,160 |
11 | Residential mortgage loans | - | - | - | 25,173,281 | - | 45,663 | 43,325 | - | - | - | 25,262,269 |
Other exposures which are not | ||||||||||||
12 | past due exposures | - | - | - | - | - | - | 13,740,304 | - | - | - | 13,740,304 |
13 | Past due exposures | 30,790 | - | 560 | - | - | - | 577,955 | 4,058,924 | - | - | 4,668,229 |
Significant exposures to | ||||||||||||
14 | commercial entities | - | - | - | - | - | - | - | - | - | - | - |
15 | Total | 25,351,346 | - | 72,954,322 | 25,173,281 | 57,067,537 | 9,293,823 | 154,751,976 | 8,781,120 | - | - | 353,373,405 |
20
Regulatory Disclosure Statement (continued)
PART IV: COUNTERPARTY CREDIT RISK
CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches
(a) | (b) | (c) | (d) | (e) | (f) | ||
Alpha (α) used | |||||||
Replacement | for computing | Default risk | |||||
cost | default risk | exposure after | |||||
(RC) | PFE | Effective EPE | exposure | CRM | RWA | ||
At 30 June 2020 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||
1 | SA-CCR (for derivative contracts) | - | - | - | - | - | |
1a | CEM | 6,515,447 | 10,664,763 | - | 17,180,210 | 8,885,190 | |
2 | IMM (CCR) approach | - | - | - | - | ||
3 | Simple Approach (for SFTs) | 1,457,604 | 280,860 | ||||
4 | Comprehensive Approach (for SFTs) | - | - | ||||
5 | VaR (for SFTs) | - | - | ||||
6 | Total | 9,166,050 | |||||
Remark:
Prior to the implementation of SA-CCR, exposures corresponding to the counterparty credit risk reported here are calculated using current exposure method.
CCR2: CVA capital charge
(a) | (b) | ||
EAD post CRM | RWA | ||
At 30 June 2020 | HK$' 000 | HK$' 000 | |
Netting sets for which CVA capital charge is calculated by the advanced CVA method | - | - | |
1 | (i) VaR (after application of multiplication factor if applicable) | - | |
2 | (ii) Stressed VaR (after application of multiplication factor if applicable) | - | |
3 | Netting sets for which CVA capital charge is calculated by the standardized CVA method | 23,981,210 | 6,218,213 |
4 | Total | 23,981,210 | 6,218,213 |
21
Regulatory Disclosure Statement (continued)
PART IV: COUNTERPARTY CREDIT RISK
CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights - STC approach
At 30 June 2020 | (a) | (b) | (c) | (ca) | (d) | (e) | (f) | (g) | (ga) | (h) | (i) | |
Risk Weight | Total | |||||||||||
default risk | ||||||||||||
exposure | ||||||||||||
Exposure class | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | 250% | Others | after CRM | |
HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||
1 | Sovereign exposures | - | - | 55,527 | - | - | - | - | - | - | - | 55,527 |
2 | PSE exposures | - | - | - | - | - | - | - | - | - | - | - |
2a | Of which: domestic PSEs | - | - | - | - | - | - | - | - | - | - | - |
2b | Of which: foreign PSEs | - | - | - | - | - | - | - | - | - | - | - |
3 | Multilateral development bank exposures | - | - | - | - | - | - | - | - | - | - | - |
4 | Bank exposures | - | - | 3,763,266 | - | 11,928,325 | - | 23,242 | - | - | - | 15,714,833 |
5 | Securities firm exposures | - | - | - | - | 711,686 | - | - | - | - | - | 711,686 |
6 | Corporate exposures | - | - | - | - | 14,016 | - | 2,008,250 | 4,627 | - | - | 2,026,893 |
7 | CIS exposures | - | - | - | - | - | - | - | - | - | - | - |
8 | Regulatory retail exposures | - | - | - | - | - | 195 | - | - | - | - | 195 |
9 | Residential mortgage loans | - | - | - | - | - | - | - | - | - | - | - |
10 | Other exposures which are not past due exposures | 91,758 | - | 279 | - | - | - | 36,643 | - | - | - | 128,680 |
11 | Significant exposures to commercial entities | - | - | - | - | - | - | - | - | - | - | - |
12 | Total | 91,758 | - | 3,819,072 | - | 12,654,027 | 195 | 2,068,135 | 4,627 | - | - | 18,637,814 |
22
Regulatory Disclosure Statement (continued)
PART IV: COUNTERPARTY CREDIT RISK
CCR5: Composition of collateral for counterparty default risk exposures (including those for contracts or transactions cleared through CCPs)
(a) | (b) | (c) | (d) | (e) | (f) | |||||||
Derivative contracts | SFTs | |||||||||||
Fair value of recognized | Fair value of | Fair value | ||||||||||
collateral received | Fair value of posted collateral | recognized | ||||||||||
collateral | of posted | |||||||||||
Segregated | Unsegregated | Segregated | Unsegregated | received | collateral | |||||||
At 30 June 2020 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | HK$' 000 | ||||||
Cash - domestic currency | 11,705 | - | 232,915 | - | - | - | ||||||
Cash - other currencies | 13,131 | 1,982,276 | 402,712 | 1,113,517 | - | - | ||||||
Total | 24,836 | 1,982,276 | 635,627 | 1,113,517 | - | - | ||||||
CCR8: Exposures to CCPs | ||||||||||||
(a) | (b) | |||||||||||
Exposure after CRM | RWA | |||||||||||
At 30 June 2020 | HK$' 000 | HK$' 000 | ||||||||||
1 | Exposures of the AI as clearing member or client to qualifying CCPs (total) | 152,610 | ||||||||||
2 | Default risk exposures to qualifying CCPs (excluding items disclosed in rows 7 to 10), of which: | 5,070,804 | 101,416 | |||||||||
3 | (i) OTC derivative transactions | 5,070,804 | 101,416 | |||||||||
4 | (ii) Exchange-traded derivative contracts | - | - | |||||||||
5 | (iii) Securities financing transactions | - | - | |||||||||
6 | (iv) Netting sets subject to valid cross-product netting agreements | - | - | |||||||||
7 | Segregated initial margin | - | ||||||||||
8 | Unsegregated initial margin | - | - | |||||||||
9 | Funded default fund contributions | 50,251 | 3,025 | |||||||||
10 | Unfunded default fund contributions | - | - | |||||||||
11 | Exposures of the AI as clearing member or client to non-qualifying CCPs (total) | - | ||||||||||
12 | Default risk exposures to non-qualifying CCPs (excluding items disclosed in rows 17 to 20), of which: | - | - | |||||||||
13 | (i) OTC derivative transactions | 2,408,453 | 48,169 | |||||||||
14 | (ii) Exchange-traded derivative contracts | - | - | |||||||||
15 | (iii) Securities financing transactions | - | - | |||||||||
16 | (iv) Netting sets subject to valid cross-product netting agreements | - | - | |||||||||
17 | Segregated initial margin | - | ||||||||||
18 | Unsegregated initial margin | - | - | |||||||||
19 | Funded default fund contributions | - | - | |||||||||
20 | Unfunded default fund contributions | - | - | |||||||||
23
Regulatory Disclosure Statement (continued)
PART V: MARKET RISK
MR1: Market risk under STM approach
(a) | ||
RWA | ||
At 30 June 2020 | HK$' 000 | |
Outright product exposures | ||
1 | Interest rate exposures (general and specific risk) | 12,579,425 |
2 | Equity exposures (general and specific risk) | - |
3 | Foreign exchange (including gold) exposures | 1,157,450 |
4 | Commodity exposures | - |
Option exposures | ||
5 | Simplified approach | - |
6 | Delta-plus approach | 34,700 |
7 | Other approach | - |
8 | Securitization exposures | - |
9 | Total | 13,771,575 |
24
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China CITIC Bank Corporation Limited published this content on 21 September 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 September 2020 18:04:07 UTC