HSBC 2015 Annual Report Download - page 233

HSBC HOLDINGS PLC
231
Strategic Report Financial Review Corporate Governance Financial Statements Shareholder Information
RWA movement by global businesses by key driver – credit risk – IRB only6
Principal4
RBWM
RBWM
(US run-off)
Total
RBWM CMB4GB&M GPB Other Total
$bn $bn $bn $bn $bn $bn $bn $bn
RWAs at 1 January 2015 56.1 47.3 103.4 217.2 255.6 10.2 12.0 598.4
Foreign exchange movement (2.9)
–
(2.9) (11.7) (11.0) (0.3) (0.4) (26.3)
Acquisitions and disposals
–
(4.9) (4.9)
–
(14.2)
–
–
(19.1)
Book size 3.7 (5.6) (1.9) 15.8 (0.8) (0.5) (1.2) 11.4
Book quality (2.8) (3.7) (6.5) 6.0 (10.5) (0.1) (0.6) (11.7)
Model updates 0.4
–
0.4 5.6 (2.3) (0.1)
–
3.6
–
portfolios moving onto
IRB approach
– – – 4.1 0.9 (0.1) – 4.9
–
new/updated models 0.4
–
0.4 1.5 (3.2)
–
–
(1.3)
Methodology and policy 4.5 0.1 4.6 (14.9) (2.0) (0.7) (0.1) (13.1)
–
internal updates 2.5 0.1 2.6 (14.9) (4.7) (0.7) (0.1) (17.8)
–
external updates
–
regulatory
2.0 – 2.0 – 2.7 – – 4.7
Total RWA movement 2.9 (14.1) (11.2) 0.8 (40.8) (1.7) (2.3) (55.2)
RWAs at 31 December 2015 59.0 33.2 92.2 218.0 214.8 8.5 9.7 543.2
RWAs at 1 January 2014 on
Basel 2.5 basis 58.5 72.6 131.1 189.4 198.5 10.6 5.2 534.8
Foreign exchange movement (2.6)
–
(2.6) (8.7) (8.1) (0.2) (0.5) (20.1)
Acquisitions and disposals
–
–
–
–
(8.2)
–
(0.3) (8.5)
Book size 1.9 (6.9) (5.0) 23.1 21.1 (0.5) (1.1) 37.6
Book quality (5.7) (8.6) (14.3) 2.8 (0.2) (0.3) 0.8 (11.2)
Model updates 0.6 (6.2) (5.6) 12.2 7.0
–
–
13.6
Methodology and policy 3.4 (3.6) (0.2) (1.6) 45.5 0.6 7.9 52.2
–
internal updates (3.0) (3.9) (6.9) (5.0) (11.2) (0.5)
–
(23.6)
–
external updates
–
regulatory 1.8 – 1.8 2.5 6.3 0.5 0.2 11.3
–
CRD IV impact
–
–
–
(0.7) 48.6 0.2 0.1 48.2
–
NCOA moving from STD
to IRB 4.6 0.3 4.9 1.6 1.8 0.4 7.6 16.3
Total RWA movement (2.4) (25.3) (27.7) 27.8 57.1 (0.4) 6.8 63.6
RWAs at 31 December 2014
on CRD IV basis 56.1 47.3 103.4 217.2 255.6 10.2 12.0 598.4
For footnotes, see page 243.
Internal ratings-based approach
For portfolios treated under the IRB approach, credit risk
RWAs decreased by $55bn, which included a reduction of
$26bn due to foreign exchange movements.
Acquisitions and disposals
• The disposal of US mortgage portfolios reduced RWAs
by $4.9bn; and
• the sale of securitisation positions in the GB&M legacy
credit portfolio resulted in a RWA decrease of $14bn.
Book size
• The book size grew from higher corporate lending,
including term and trade-related lending which
increased RWAs by $16bn, mainly in Europe and Asia for
CMB.
• In North America, in RBWM, the continued run-off of
the US CML retail mortgage portfolios resulted in an
RWA reduction of $5.6bn.
Book quality
• RWAs reduced by $3.7bn in the US run-off portfolio,
primarily due to continued run-off which led to an
improvement in the book quality of the residual
portfolio;
• book quality improvements in the Principal RBWM
business of $2.8bn mainly related to credit quality
improvements in Europe;
• in CMB, RWAs increased by $6.0bn, primarily as a result
of corporate downgrades in Europe;
• in GB&M, a decrease in RWAs of $10bn was mainly due
to the implementation of netting agreements to new
corporate counterparties in Europe, the securitisation of
corporate loans and rating upgrades of institutions in
Asia; and
• the downgrade of Brazil’s rating increased RWAs by
$3.7bn across businesses.
Methodology and policy changes
• RWA initiatives were the main driver for the reduction of
RWAs driven by changes in ‘internal updates’. Further
details are provided on page 229.
• They were offset by the change in RWA calculation on
defaulted exposures in RBWM increasing RWAs by
$2.0bn, the implementation of a risk-weight floor on
mortgages in Hong Kong with an RWA impact of $2.0bn,