HSBC 2015 Annual Report Download - page 159

HSBC HOLDINGS PLC
157
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Advances to core funding ratios23
At 31 December
2015 2014
% %
HSBC UK liquidity group19
Year-end 101 97
Maximum 101 102
Minimum 96 97
Average 98 100
The Hongkong and Shanghai Banking
Corporation20
Year-end 69 75
Maximum 75 75
Minimum 69 72
Average 72 74
HSBC USA21
Year-end 89 100
Maximum 100 100
Minimum 89 85
Average 94 95
Total of HSBC’s other principal entities24
Year-end 91 92
Maximum 95 94
Minimum 91 92
Average 93 93
For footnotes, see page 191.
Stressed coverage ratios
The ratios tabulated below express stressed cash inflows
as a percentage of stressed cash outflows over both
one-month and three-month time horizons. Operating
entities are required to maintain a ratio of 100% or more
out to three months.
Inflows included in the numerator of the stressed coverage
ratio are generated from liquid assets (net of assumed
haircuts) and cash inflows relating to assets contractually
maturing within the time period.
In general, customer loans and advances are assumed to be
renewed on maturity and as a result do not generate a cash
inflow.
The stressed coverage ratios for The Hongkong and Shanghai
Banking Corporation increased due to higher deposits and
lower advances year-on-year. The ratios for HSBC USA
increased due to a growth in core funding.
The stressed coverage ratios for the other entities remained
broadly unchanged.
Stressed one-month and three-month coverage ratios23
Stressed one-month coverage
ratios at 31 December
Stressed three-month coverage
ratios at 31 December
2015 2014 2015 2014
%%% %
HSBC UK liquidity group19
Year-end 113 117 105 109
Maximum 127 117 114 109
Minimum 112 102 105 103
Average 117 107 108 104
The Hongkong and Shanghai Banking Corporation20
Year-end 129 117 120 112
Maximum 129 119 120 114
Minimum 113 114 111 111
Average 119 116 115 112
HSBC USA21
Year-end 126 111 116 104
Maximum 126 122 116 111
Minimum 109 108 101 104
Average 117 115 108 107
Total of HSBC’s other principal entities24
Year-end 126 122 111 108
Maximum 126 126 111 120
Minimum 110 114 105 108
Average 116 118 108 111
For footnotes, see page 191.
Liquid assets of HSBC’s principal operating entities
The table below shows the estimated liquidity value
(before assumed haircuts) of assets categorised as liquid
and used for the purposes of calculating the three-month
stressed coverage ratios, as defined under the LFRF.
The level of liquid assets reported reflects the stock
of unencumbered liquid assets at the reporting date
adjusted for the effect of reverse repo, repo and collateral
swaps maturing within three months as the liquidity value
of these transactions is reflected as a contractual cash flow
reported in the net contractual cash flow table. Repos are
sale and repurchase transactions while reverse repos are
transactions under which securities are purchased under
commitments to sell.
Like reverse repo transactions with residual contractual
maturities within three months, unsecured interbank loans
maturing within three months are not included in liquid
assets, but are treated as contractual cash inflows.
Liquid assets are held and managed on a stand-alone
operating entity basis. Most of the liquid assets shown
are held directly by each operating entity’s Balance Sheet
Management (‘BSM’) department, primarily for the
purpose of managing liquidity risk, in line with the LFRF.
The liquid asset buffer may also include securities held in
held-to-maturity portfolios. In order to qualify as part of
the liquid asset buffer, all held-to-maturity portfolios must
have a deep and liquid repo market in the underlying
security.