HSBC 2015 Annual Report Download - page 232

Report of the Directors: Capital (continued)
RWAs
HSBC HOLDINGS PLC
230
Credit risk exposure – RWAs by global businesses
Principal4
RBWM
RBWM
(US run-off
portfolio)
Total
RBWM CMB4GB&M GPB Other Total
$bn $bn $bn $bn $bn $bn $bn $bn
IRB approach 59.0 33.2 92.2 218.0 214.8 8.5 9.7 543.2
–
IRB advanced approach 59.0 33.2 92.2 199.0 207.5 8.4 8.7 515.8
–
IRB foundation approach
–
–
–
19.0 7.3 0.1 1.0 27.4
Standardised approach 57.6 3.8 61.4 172.0 69.7 7.2 22.4 332.7
RWAs at 31 December 2015 116.6 37.0 153.6 390.0 284.5 15.7 32.1 875.9
IRB approach 56.1 47.3 103.4 217.2 255.6 10.2 12.0 598.4
–
IRB advanced approach 56.1 47.3 103.4 209.2 248.1 10.0 10.9 581.6
–
IRB foundation approach
–
–
–
8.0 7.5 0.2 1.1 16.8
Standardised approach 61.2 4.8 66.0 181.0 70.1 6.6 33.2 356.9
RWAs at 31 December 2014 117.3 52.1 169.4 398.2 325.7 16.8 45.2 955.3
For footnotes, see page 243.
Credit risk RWAs are calculated using three approaches, as
permitted by the PRA. For consolidated Group reporting,
we have adopted the advanced IRB approach for the
majority of our business, with a small proportion being on
the foundation IRB approach and the remaining portfolios
on the standardised approach.
RWA movement by geographical regions by key driver – credit risk – IRB only6
Europe Asia MENA
North
America
Latin
America Total
$bn $bn $bn $bn $bn $bn
RWAs at 1 January 2015 216.1 213.1 15.6 142.0 11.6 598.4
Foreign exchange movement (10.4) (7.2) (0.6) (4.7) (3.4) (26.3)
Acquisitions and disposals (14.1)
–
(0.1) (4.9)
–
(19.1)
Book size 11.4 2.9 (0.5) (2.8) 0.4 11.4
Book quality (8.0) (6.9) (1.4) 0.7 3.9 (11.7)
Model updates 1.2 (2.6) 4.7 0.2 0.1 3.6
–
portfolios moving onto IRB approach (0.1)
–
4.7 0.2 0.1 4.9
–
new/updated models 1.3 (2.6)
–
–
–
(1.3)
Methodology and policy (3.6) (3.4) 1.7 (8.0) 0.2 (13.1)
–
internal updates (6.2) (5.4) 1.6 (8.0) 0.2 (17.8)
–
external updates
–
regulatory 2.6 2.0 0.1
–
–
4.7
Total RWA movement (23.5) (17.2) 3.8 (19.5) 1.2 (55.2)
RWAs at 31 December 2015 192.6 195.9 19.4 122.5 12.8 543.2
RWAs at 1 January 2014 on Basel 2.5 basis 166.9 182.9 15.0 161.5 8.5 534.8
Foreign exchange movement (11.6) (4.0) (0.2) (2.4) (1.9) (20.1)
Acquisitions and disposals (3.5)
–
(0.7) (4.2) (0.1) (8.5)
Book size 11.4 19.5 1.8 2.9 2.0 37.6
Book quality (1.5)
–
(0.8) (10.3) 1.4 (11.2)
Model updates 19.4 0.3
–
(6.1)
–
13.6
Methodology and policy 35.0 14.4 0.5 0.6 1.7 52.2
–
internal updates (11.7) (5.2) (0.2) (6.4) (0.1) (23.6)
–
external updates
–
regulatory 2.2 8.5 (0.2) 0.7 0.1 11.3
–
CRD IV impact 37.0 5.7 0.4 4.9 0.2 48.2
–
NCOA moving from STD to IRB 7.5 5.4 0.5 1.4 1.5 16.3
Total RWA movement 49.2 30.2 0.6 (19.5) 3.1 63.6
RWAs at 31 December 2014 on CRD IV basis 216.1 213.1 15.6 142.0 11.6 598.4
For footnote, see page 243.