HSBC : Pillar 3 Disclosures at 30 June 2022
HSBC : Pillar 3 Disclosures at 30 June 2022 We are supervised on a consolidated basis in the UK by the Prudential Regulation Authority ('PRA'), which receives information on the capital adequacy of, and sets capital requirements for, the Group as a whole. To give insight into movements during the year, we provide comparative figures, commentary on variances and flow tables for capital requirements. In all tables where the term 'capital requirements' is used, this represents the minimum total capital charge set at 8% of RWAs by article 92 of the Capital Requirements Regulation. CET1 capital as if IFRS 9 transitional arrangements had not been applied Tier 1 capital as if IFRS 9 transitional arrangements had not been applied Total capital as if IFRS 9 transitional arrangements had not been applied
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Minimum requirement for own funds and eligible liabilities
• Reconciliation of regulatory own funds to balance sheet in Key metrics of the US resolution group (KM2) The Hongkong and Shanghai Banking Corporation Ltd Credit quality of loans and advances to non-financial Changes in the stock of non-performing loans and IRB - Effect on the RWA of credit derivatives used as CRM IRB approach - Disclosure of the extent of the use of CRM Specialised lending and equity exposures under the simple 43 Securitisation exposures in the non-trading book and associated regulatory capital requirements - bank acting as Securitisation exposures in the non-trading book and Securitisation exposures in the trading book and associated Exposures securitised by the institution - Institution acts as the calculation of the countercyclical buffer (UK CCyB1) The Group has adopted the EU's regulatory transitional arrangements for IFRS 9 'Financial Instruments'. The application of the transitional arrangements to the disclosures is indicated in the table of contents as follows:
• Some figures have been prepared on an IFRS 9 transitional basis. Details are provided in the table footnotes.
• All figures have been prepared on an IFRS 9 transitional basis. All other tables report numbers on the basis of the full adoption of IFRS 9. This document should be read in conjunction with the Interim Report 2022, which has been published on our website at www.hsbc.com. Unless the context requires otherwise, 'HSBC Holdings' means HSBC Holdings plc and 'HSBC', the 'Group', 'we', 'us' and 'our' refer to HSBC Holdings together with its subsidiaries. Within this document the Hong Kong Special Administrative Region of the People's Republic of China is referred to as 'Hong Kong'. When used in the terms 'shareholders' equity' and 'total shareholders' equity', 'shareholders' means holders of HSBC Holdings ordinary shares and those preference shares and capital securities issued by HSBC Holdings classified as equity. The abbreviations '$m', '$bn' and '$tn' represent millions, billions (thousands of millions) and trillions of US dollars, respectively.
Common equity tier 1 ('CET1') ratio of 13.6% decreased by 2.2 percentage points from 31 December 2021. This reflected a reduction in CET1 capital of $16.8bn, which included a $4.8bn valuation loss in equity from financial instruments as yield curves steepened, and a $13.4bn increase in risk-weighted assets ('RWAs') primarily from 1Q22 regulatory changes. The reduction also included the share buy-back of up to $1bn announced at our full-year 2021 results.
• Regulatory changes include impacts from software capitalisation benefit reversal, IRB repair and the UK's implementation of the CRR II rules; includes $0.5bn of related threshold deductions not included in other movements. 2 Profits less dividends accrued and paid, share buy-back announced in February 2022, and other adjustments/movements in CET1. Our CET1 ratio will be impacted in 2H22, and is expected to be lower in 3Q22, due to the expected losses on classification of France as held-for-sale in 3Q22 (approximately 30bps), other acquisitions and disposals activity in 2H22 (approximately 5bps), and actual/accrued distributions (net of profits generated). With profit generation and continued RWA actions, we aim to manage back to within our 14% to 14.5% CET1 target range during the first half of 2023. While further share buy-backs remain unlikely in 2022, for future years we expect to return to shareholders excess capital over and above what is required for executing the strategy. Given the current returns trajectory, we expect a dividend payout ratio of around 50% for 2023 and 2024. We also intend to revert to paying quarterly dividends in 2023, although we expect the quarterly dividend for the first three quarters to initially be reinstated at a lower level than the historical quarterly dividend of $0.10 per share paid up to the end of 2019. In accordance with PRA regulatory guidance, we continue to accrue foreseeable dividend deductions for capital purposes at the maximum of our approved dividend payout ratio of 40-55%.
We are supervised on a consolidated basis in the UK by the Prudential Regulation Authority ('PRA'), which receives information on the capital adequacy of, and sets capital requirements for, the Group as a whole. Individual banking subsidiaries are directly regulated by their local banking supervisors, which set and monitor their local capital adequacy requirements. In most jurisdictions, non-banking financial subsidiaries are also subject to the supervision and capital requirements of local regulatory authorities. At a consolidated Group level, capital is calculated for prudential regulatory reporting purposes using the Basel III framework of the Basel Committee on Banking Supervision ('Basel'), as implemented in the UK. Any references to EU regulations and directives (including technical standards) should, as applicable, be read as references to the UK's version of such regulation and/or directive, as onshored into UK law under the European Union (Withdrawal) Act 2018, including any subsequent amendments. The regulators of Group banking entities outside the EU are at varying stages of implementing the Basel III framework, so the Group may have been subject to local regulations in the first half of 2022 that were on the basis of the Basel I, II or III frameworks. The Basel Committee's framework is structured around three 'pillars': Pillar 1, minimum capital requirements; Pillar 2, supervisory review process; and Pillar 3, market discipline. The aim of Pillar 3 is to produce disclosures that allow market participants to assess the scope of banks' application of the Basel Committee's framework. It also aims to assess their application of the rules in their jurisdiction, capital conditions, risk exposures and risk management processes, and hence their capital adequacy. All European legislation that was in place on 31 December 2020 was onshored into UK law, subject to certain amendments. EU regulations and directives (including including European Banking Authority ('EBA') technical standards technical standards) will continue to be relevant for HSBC's EU subsidiaries. Our Pillar 3 Disclosures at 30 June 2022 comprises quantitative and qualitative information required under Pillar 3. These disclosures are made in accordance with part Eight of the Capital Requirements Regulation and Directive, as implemented ('CRR II') and the PRA Rulebook, and use the PRA's disclosure templates and instructions which came into force on 1 January 2022. They are supplemented by specific additional requirements of the PRA and discretionary disclosures on our part. The Pillar 3 disclosures are governed by the disclosure policy framework approved by the Group Audit Committee. To give insight into movements during the year, we provide comparative figures, commentary on variances and flow tables for capital requirements. In all tables where the term 'capital requirements' is used, this represents the minimum total capital charge set at 8% of RWAs by article 92 of the Capital Requirements Regulation. Regulatory numbers and ratios are as presented at the date of reporting. Small changes may exist between these numbers and ratios and those subsequently submitted in regulatory filings. Where differences are significant, we will restate comparatives. Where disclosures have been enhanced, or are new, we do not generally restate or provide comparatives. Wherever specific rows and columns in the tables prescribed are not applicable or immaterial to our activities, we omit them and follow the same approach for comparatives. Pillar 3 requirements may be met by inclusion in other disclosure media. Where we adopt this approach, references are provided to the relevant pages of the Interim Report 2022 or to other documents.
CET1 capital as if IFRS 9 transitional arrangements had not been applied Tier 1 capital as if IFRS 9 transitional arrangements had not been applied Total capital as if IFRS 9 transitional arrangements had not been applied Total RWAs as if IFRS 9 transitional arrangements had not been applied CET1 as if IFRS 9 transitional arrangements had not been applied Tier 1 as if IFRS 9 transitional arrangements had not been applied Total capital as if IFRS 9 transitional arrangements had not been applied Additional own funds requirements based on Supervisory Review and CET1 available after meeting the total SREP own funds requirements Additional own funds requirements to address risks of excessive leverage (as a
• The references in this and subsequent tables identify lines prescribed in the relevant PRA template where applicable and where there is a value. ^ Figures have been prepared on an IFRS 9 transitional basis.
1 Capital figures and ratios are reported on a CRR II transitional basis for capital instruments.
2 These disclosures have been implemented from 1 January 2022, and are based on the PRA's disclosure templates and instructions which came into force at that time. N/A in prior periods indicated that the disclosure is new or changed and no comparatives are being provided. NSFR reflects the position as at 30 June and 31 March 2022 as is disclosed based on the PRA guidance that came in effect on 1 January 2022.
3 Leverage ratio is calculated using the CRR II end point basis for capital. The comparative leverage exposures and ratios are separately reported based on the Capital Requirements Regulation rues in force at that time and include claims on central banks.
4 LCR and NSFR ratio is calculated as at the end of each period rather than using average values. For further details, refer to page 94 of the .
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