HSBC 2015 Annual Report Download - page 250

Report of the Directors: Capital / Corporate Governance
Appendix to Capital / Corporate Governance Report / Biographies
HSBC HOLDINGS PLC
248
HSBC company with an IRB portfolio by global businesses, split by the main Basel categories of credit exposures, as described
in the table below:
CRD IV categories of IRB credit exposures within HSBC
Central governments and central banks Corporates – Other Retail – Qualifying revolving
Institutions Retail – Secured by real estate SME Retail – Other SME
Corporates – SME Retail – Secured by retail estate non-SME Retail – Other non-SME
Corporates – Specialised Lending
The total of the results is shown in book size within the RWA movement by key driver table.
6. Book quality
This represents RWA movements resulting from changes in the underlying credit quality of customers. These are caused
by changes to IRB risk parameters which arise from actions such as, but not limited to, model recalibration, change in
counterparty external rating, or the influence of new lending on the average quality of the book. The change in RWAs
attributable to book quality is calculated as the balance of RWA movements after taking account of all drivers described above.
The RWA movement by key driver statement includes only movements which are calculated under the IRB approach. Certain
classes of credit risk exposure are treated as capital deductions and therefore reductions are not shown in this statement. If
the treatment of a credit risk exposure changes from RWA to capital deduction in the period, then only the reduction in RWAs
would appear in the RWA movement by key driver tables. In this instance, a reduction in RWAs does not necessarily indicate
an improvement in the capital position.
Counterparty risk drivers – definitions and quantification
The RWA movement by key driver for counterparty credit risk calculates the credit risk drivers 5 and 6 at a more granular level,
by using transaction level details provided by regional sites. ‘Foreign exchange movement’ is not a reported layer for
counterparty risk drivers, as there is cross currency netting across the portfolio.
Market risk drivers – definitions and quantification
The RWA movement by key driver for market risk combines the credit risk drivers 5 and 6 into a single driver called
‘Movements in risk levels’.