INDUSTRIAL AND COMMERCIAL BANK OF CHINA …v.icbc.com.cn/userfiles/Resources/ICBC/haiwai/Asia/download/EN/... · 12 Securitization exposures in banking book ... It has no overdue

1

INDUSTRIAL AND COMMERCIAL BANK OF CHINA (ASIA) LIMITED

中國工商銀⾏（亞洲）有限公司 (Incorporated in Hong Kong with limited liability)

DISCLOSURES IN RELATION TO REVISED PILLAR 3

2017 2ND QUARTER

2

OV1: Overview of RWA

(HK$’000)

(a) (b) (c)

RWA Minimum

capital requirements

30/06/2017 31/03/2017 30/06/2017

1 Credit risk for non-securitization exposures 515,997,588 483,340,505 41,279,807

2 Of which STC approach 515,997,588 483,340,505 41,279,807

2a Of which BSC approach - - -

3 Of which IRB approach - - -

4 Counterparty credit risk 14,638,984 15,107,597 1,171,119

5 Of which SA-CCR - - -

5a Of which CEM 8,445,355 10,129,586 675,628

6 Of which IMM(CCR) approach - - -

7 Equity exposures in banking book under the

market-based approach - - -

8

CIS exposures 232,001 232,001 18,560 9

10

11 Settlement risk - - -

12 Securitization exposures in banking book - - -

13 Of which IRB(S) approach – ratings-based

method - - -

14 Of which IRB(S) approach – supervisory formula

method - - -

15 Of which STC(S) approach - - -

16 Market risk 21,829,363 29,606,525 1,746,349

17 Of which STM approach 21,829,363 29,606,525 1,746,349

18 Of which IMM approach - - -

19 Operational risk 21,930,038 21,630,300 1,754,403

20 Of which BIA approach 21,930,038 21,630,300 1,754,403

21 Of which STO approach - - -

21a Of which ASA approach - - -

22 Of which AMA approach N/A N/A N/A

23 Amounts below the thresholds for deduction (subject

to 250% RW) 10,847,975 6,722,610 867,838

3

(HK$’000)

(a) (b) (c)

RWA Minimum

capital requirements

30/06/2017 31/03/2017 30/06/2017

24 Capital floor adjustment - - -

24a Deduction to RWA 342,651 396,831 27,412

24b Of which portion of regulatory reserve for

general banking risks and collective provisions which

is not included in Tier 2 Capital

- - -

24c Of which portion of cumulative fair value gains

arising from the revaluation of land and buildings

which is not included in Tier 2 Capital

342,651 396,831 27,412

25 Total 585,133,298 556,242,707 46,810,664

N/A: Not applicable in the case of Hong Kong

The Group is in compliance with the Banking (Capital) Rules to regarding the calculation of

the risk-weighted assets (RWA). The Group adopts the standardized (credit risk) approach

(STC) for the non-securitization credit risk RWA (including equity exposure and CIS

exposure) calculation, the current exposure method (CEM) for the counterparty credit risk

RWA calculation, the standardized (market risk) approach (STM) for the market risk RWA

calculation, the basic indicator approach (BIA) for the operational risk RWA calculation.

There was no settlement risk, nor securitization exposure RWA on the reporting date.

There was neither regulatory reserve nor collective provision which needed to be

deducted from RWA. There was no RWA capital floor adjustment. As compared with the

market risk RWA as of 31 March 2017, total market risk RWA on 30 June 2017 decreased

mainly due to (i) a decrease in general interest rate risk RWA, which was in turn driven

largely by a decline in interest rate positions in Hong Kong Dollar and United States Dollar

and (ii) a decrease in commodity RWA, which was driven by a decline in gross positions in

crude oil. The 4.1 billion RWA increase of amounts below the thresholds for deduction

(subject to 250% RW) was due to increase in credit exposure to connected company of

HKD1.66 billion equivalent. Other RWA items only had small or moderate fluctuations due

to business development.

4

CR1: Credit quality of exposures

(HK$’000)

(a) (b) (c) (d)

Gross carrying amounts of Allowances /

impairments Net values Defaulted

exposures

Non-defaulted

exposures

1 Loans 3,277,534 665,088,530 3,854,740 664,511,324

2 Debt securities - 161,843,837 2,737 161,841,100

3 Off-balance sheet exposures - 257,562,425 - 257,562,425

4 Total 3,277,534 1,084,494,792 3,857,477 1,083,914,849

5

CR2: Changes in defaulted loans and debt securities

(HK$’000)

(a)

Amount

1 Defaulted loans and debt securities at end of the previous reporting period 3,196,214

2 Loans and debt securities that have defaulted since the last reporting period 329,234

3 Returned to non-defaulted status (11,126)

4 Amounts written off (19,701)

5 Other changes (217,087)

6 Defaulted loans and debt securities at end of the current reporting period 3,277,534

Loans and debt securities that have defaulted since the last reporting period amounted to

HKD329 million, which carries two major accounts: (1) one was an unsecured loan of

HKD150 million to a listed company in Hong Kong. The company is in the progress of

restructuring. (2) another major loan was a rescheduled loan with amount of HKD144

million. It has no overdue and under the observation period for repayments. Since

sufficient provision has been made based on assessments of the foresaid defaulted loans,

risk is considered as controllable.

6

CR3: Overview of recognized credit risk mitigation

(HK$’000)

(a) (b1) (b) (d) (f)

Exposures

unsecured:

carrying

amount

Exposures to

be secured

Exposures

secured by

recognized

collateral

Exposures

secured by

recognized

guarantees

Exposures

secured by

recognized

credit derivative

contracts

1 Loans 592,242,869 72,268,455 7,822,439 64,446,016 -

2 Debt securities 161,841,100 - - - -

3 Total 754,083,969 72,268,455 7,822,439 64,446,016 -

4 Of which defaulted 3,277,534 393,640 199,008 194,632 -

The Group adopts the standardized (credit risk) approach (STC) for all the

non-securitization credit risk RWA, and the simple approach in treatment of

recognized collateral for the purpose of calculating RWA. Meanwhile, the recognized

collateral and the recognized guarantees were used as risk mitigation measures to

manage the credit risk exposure, without involving any recognized credit derivative

contract.

7

CR4: Credit risk exposures and effects of recognized credit risk mitigation – for STC approach

(HK$’000) %

(a) (b) (c) (d) (e) (f)

Exposures pre-CCF and pre-CRM Exposures post-CCF and post-CRM RWA and RWA density

Exposure classes On-balance sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density

1 Sovereign exposures 57,984,653 - 58,597,711 4,424 - 0%

2 PSE exposures 1,882,422 1,794,000 1,882,422 97,000 395,884 20%

2a Of which: domestic PSEs 1,128,925 1,794,000 1,128,925 97,000 245,185 20%

2b Of which: foreign PSEs 753,497 - 753,497 - 150,699 20%

3 Multilateral development bank exposures 3,348,626 - 3,348,626 - - 0%

4 Bank exposures 259,046,390 5,917,041 322,873,858 3,729,867 106,910,692 33%

5 Securities firm exposures 700,874 4,022,941 700,874 - 350,437 50%

6 Corporate exposures 436,734,458 222,336,778 361,665,964 35,063,609 369,184,793 93%

7 CIS exposures - - - - - NA

8 Cash items 461,231 - 11,317,983 6,771,388 1,768,923 10%

9 Exposures in respect of failed delivery on

transactions entered into on a basis other

than a delivery-versus-payment basis

- - - - - NA

10 Regulatory retail exposures 17,578,075 22,286,618 17,418,471 35,370 13,090,382 75%

11 Residential mortgage loans 28,141,795 - 28,133,869 - 12,160,296 43%

12 Other exposures which are not past due

exposures 10,077,580 905,047 10,016,326 5 10,016,331 100%

13 Past due exposures 1,568,888 - 1,568,888 - 2,119,850 135%

14 Significant exposures to commercial

entities - - - - - NA

15 Total 817,524,992 257,262,425 817,524,992 45,701,663 515,997,588 60%

8

CR5: Credit risk exposures by asset classes and by risk weights – for STC approach

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (ha) (i) (j)

Risk Weight

Exposure class

0% 10% 20% 35% 50% 75% 100% 150% 250% Others

Total credit risk

exposures

amount (post

CCF and post

CRM)

1 Sovereign exposures 58,602,135 - - - - - - - - - 58,602,135

2 PSE exposures - - 1,979,422 - - - - - - - 1,979,422

2a Of which: domestic PSEs - - 1,225,925 - - - - - - - 1,225,925

2b Of which: foreign PSEs - - 753,497 - - - - - - - 753,497

3 Multilateral development

bank exposures 3,348,626 - - - - - - - - - 3,348,626

4 Bank exposures - - 193,726,204 - 129,919,124 - 2,463,412 494,985 - - 326,603,725

5 Securities firm exposures - - - - 700,874 - - - - - 700,874

6 Corporate exposures - - 3,330,973 - 50,223,191 - 342,712,221 463,188 - - 396,729,573

7 CIS exposures - - - - - - - - - - -

8 Cash items 9,244,755 - 8,844,616 - - - - - - - 18,089,371

9 Exposures in respect of

failed delivery on

transactions entered into on

a basis other than a

delivery-versus-payment

basis

- - - - - - - - - - -

10 Regulatory retail exposures - - - - - 17,453,841 - - - - 17,453,841

11 Residential mortgage loans - - - 24,535,169 - 102,852 3,495,848 - - - 28,133,869

9

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (ha) (i) (j)

Risk Weight

Exposure class

0% 10% 20% 35% 50% 75% 100% 150% 250% Others

Total credit risk

exposures

amount (post

CCF and post

CRM)

12 Other exposures which are

not past due exposures - - - - - - 10,016,331 - - - 10,016,331

13 Past due exposures 36,663 - - - - - 356,976 1,175,249 - - 1,568,888

14 Significant exposures to

commercial entities - - - - - - - - - - -

15 Total 71,232,179 - 207,881,215 24,535,169 180,843,189 17,556,693 359,044,788 2,133,422 - - 863,226,655

10

CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by

approaches

(HK$’000)

(a) (b) (c) (d) (e) (f)

Replacement

cost (RC) PFE

Effective

EPE

Alpha (α)

used for

computing

default risk

exposure

Default risk

exposure after

CRM

RWA

1 SA-CCR (for derivative contracts) - - 1.4 - -

1a CEM 8,172,774 14,037,521 - 22,210,295 8,445,355

2 IMM (CCR) approach - - - -

3 Simple Approach (for SFTs) 23,058,556 1,719,678

4 Comprehensive Approach (for SFTs) - -

5 VaR (for SFTs) - -

6 Total 10,165,033

11

CCR2: CVA capital charge

(HK$’000)

(a) (b)

EAD post CRM RWA

Netting sets for which CVA capital charge is calculated by the advanced

CVA method - -

1 (i) VaR (after application of multiplication factor if applicable) -

2 (ii) Stressed VaR (after application of multiplication factor if applicable) -

3 Netting sets for which CVA capital charge is calculated by the

standardized CVA method 24,370,811 4,227,725

4 Total 24,370,811 4,227,725

12

CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights – for STC approach

(HK$’000)

(a) (b) (c) (ca) (d) (e) (f) (g) (ga) (h) (i)

Risk Weight

Exposure class

0% 10% 20% 35% 50% 75% 100% 150% 250% Others

Total default risk

exposure after

CRM

1 Sovereign exposures 2,934,355 - - - - - - - - - 2,934,355

2 PSE exposures - - - - - - - - - - -

2a Of which: domestic PSEs - - - - - - - - - - -

2b Of which: foreign PSEs - - - - - - - - - - -

3 Multilateral development bank

exposures - - - - - - - - - - -

4 Bank exposures 12,671,245 - 20,902,839 - 5,290,215 - - - - - 38,864,299

5 Securities firm exposures - - - - - - - - - - -

6 Corporate exposures - - - - 252,791 - 3,072,654 - - - 3,325,445

7 CIS exposures - - - - - - - - - - -

8 Regulatory retail exposures - - - - - 17,779 105,581 - - - 123,360

9 Residential mortgage loans - - - - - - - - - - -

10 Other exposures which are not past

due exposures - - - - - - 21,392 - - - 21,392

11 Significant exposures to commercial

entities - - - - - - - - - - -

12 Total 15,605,600 - 20,902,839 - 5,543,006 17,779 3,199,627 - - - 45,268,851

13

CCR5: Composition of collateral for counterparty default risk exposures (including

those for contracts or transactions cleared through CCPs)

(HK$’000)

(a) (b) (c) (d) (e) (f)

Derivative contracts SFTs

Fair value of recognized

collateral received

Fair value of posted

collateral

Fair value of

recognized

collateral

received

Fair value of

posted

collateral Segregated Unsegregated Segregated Unsegregated

Cash - domestic currency - - - - - -

Cash - other currencies 194,746 - - - 8,919,624 19,948

Domestic sovereign debt - - - - - -

Other sovereign debt - - - - 3,139,101 6,058,010

Government agency debt - - - - - -

Corporate bonds - - - - - 965,676

Bank bonds/debts - - - - 7,093,104 5,988,131

Equity securities - - - - 223,538 -

Other collateral - - - - - -

Total 194,746 - - - 19,375,367 13,031,765

14

CCR6: Credit-related derivatives contracts

(HK$’000)

(a) (b)

Protection bought Protection sold

Notional amounts

Single-name credit default swaps - -

Index credit default swaps - -

Total return swaps - -

Credit-related options - -

Other credit-related derivative contracts - -

Total notional amounts - -

Fair values

Positive fair value (asset) - -

Negative fair value (liability) - -

15

CCR8: Exposures to CCPs

(HK$’000)

(a) (b)

Exposure after CRM RWA

1 Exposures of the AI as clearing member or client to qualifying

CCPs (total) 246,226

2 Default risk exposures to qualifying CCPs (excluding items disclosed

in rows 7 to 10), of which: 733,627 14,673

3 (i) OTC derivative transactions 733,627 14,673

4 (ii) Exchange-traded derivative contracts - -

5 (iii) Securities financing transactions - -

6 (iv) Netting sets subject to valid cross-product netting agreements - -

7 Segregated initial margin -

8 Unsegregated initial margin 497,502 9,950

9 Funded default fund contributions 52,116 221,603

10 Unfunded default fund contributions - -

11 Exposures of the AI as clearing member or client to

non-qualifying CCPs (total) -

12 Default risk exposures to non-qualifying CCPs (excluding items

disclosed in rows 17 to 20), of which: - -

13 (i) OTC derivative transactions - -

14 (ii) Exchange-traded derivative contracts - -

15 (iii) Securities financing transactions - -

16 (iv) Netting sets subject to valid cross-product netting agreements - -

17 Segregated initial margin -

18 Unsegregated initial margin - -

19 Funded default fund contributions - -

20 Unfunded default fund contributions - -

16

SEC1: Securitization exposures in banking book

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (i)

Acting as originator (excluding sponsor) Acting as sponsor Acting as investor

Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total

1 Retail (total) – of which: - - - - - - - - -

2 residential mortgage - - - - - - - - -

3 credit card - - - - - - - - -

4 other retail exposures - - - - - - - - -

5 re-securitization exposures - - - - - - - - -

6 Wholesale (total) – of which: - - - - - - - - -

7 loans to corporates - - - - - - - - -

8 commercial mortgage - - - - - - - - -

9 lease and receivables - - - - - - - - -

10 other wholesale - - - - - - - - -


17

SEC2: Securitization exposures in trading book

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (i)

Acting as originator (excluding sponsor) Acting as sponsor Acting as investor

Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total

1 Retail (total) – of which: - - - - - - - - -

2 residential mortgage - - - - - - - - -

3 credit card - - - - - - - - -

4 other retail exposures - - - - - - - - -


6 Wholesale (total) – of which: - - - - - - - - -

7 loans to corporates - - - - - - - - -

8 commercial mortgage - - - - - - - - -

9 lease and receivables - - - - - - - - -

10 other wholesale - - - - - - - - -


18

SEC3: Securitization exposures in banking book and associated capital requirements – where AI acts as originator

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (i) (j) (k) (l) (m) (n) (o) (p) (q)

Exposure values (by RW bands)

Exposure values

(by regulatory approach)

RWAs

(by regulatory approach) Capital charges after cap

≤2

0%

RW

>2

0%

to

50

% R

W

>5

0%

to

10

0%

RW

>1

00

% t

o

<1

25

0%

RW

12

50

%

RW

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

1 Total exposures - - - - - - - - - - - - - - - - -

2 Traditional securitization - - - - - - - - - - - - - - - - -

3 Of which securitization - - - - - - - - - - - - - - - - -

4 Of which retail - - - - - - - - - - - - - - - - -

5 Of which wholesale - - - - - - - - - - - - - - - - -

6 Of which re-securitization - - - - - - - - - - - - - - - - -

7 Of which senior - - - - - - - - - - - - - - - - -

8 Of which non-senior - - - - - - - - - - - - - - - - -

9 Synthetic securitization - - - - - - - - - - - - - - - - -


11 Of which retail - - - - - - - - - - - - - - - - -



14 Of which senior - - - - - - - - - - - - - - - - -


19

SEC4: Securitization exposures in banking book and associated capital requirements – where AI acts as investor

(HK$’000)

(a) (b) (c) (d) (e) (f) (g) (h) (i) (j) (k) (l) (m) (n) (o) (p) (q)

Exposure values (by RW bands)

Exposure values

(by regulatory approach)

RWAs

(by regulatory approach) Capital charges after cap

≤2

0%

RW

>2

0%

to

50

% R

W

>5

0%

to

10

0%

RW

>1

00

% t

o

<1

25

0%

RW

12

50

%

RW

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

IRB

(S)

RB

M

IRB

(S)

SFM

STC

(S)

12

50

%

1 Total exposures - - - - - - - - - - - - - - - - -

2 Traditional securitization - - - - - - - - - - - - - - - - -


4 Of which retail - - - - - - - - - - - - - - - - -



7 Of which senior - - - - - - - - - - - - - - - - -


9 Synthetic securitization - - - - - - - - - - - - - - - - -


11 Of which retail - - - - - - - - - - - - - - - - -



14 Of which senior - - - - - - - - - - - - - - - - -


20

MR1: Market risk under STM approach

(HK$’000)

(a)

RWA

Outright product exposures

1 Interest rate exposures (general and specific risk) 6,796,062

2 Equity exposures (general and specific risk) -

3 Foreign exchange (including gold) exposures 9,064,375

4 Commodity exposures 5,924,938

Option exposures

5 Simplified approach -

6 Delta-plus approach 43,988

7 Other approach -

8 Securitization exposures -

9 Total 21,829,363

21

The capital adequacy ratios and the leverage ratio for the Bank are calculated on a consolidated

basis.

Key capital ratios disclosures Consolidated

1. Capital Adequacy Ratio

At 30th June, At 31st March,

2017 2017

HK$ '000 HK$ '000

Common Equity Tier 1 capital 73,168,331 70,946,651

Total Tier 1 capital 80,961,923 78,705,695

Total capital 96,595,183 94,219,318

Total risk weighted assets 585,133,298 556,242,707

% %

Common Equity Tier 1 capital ratio 12.50% 12.75%

Tier 1 capital ratio 13.84% 14.15%

Total capital ratio 16.51% 16.94%

2. Leverage ratio

At 30th June, At 31st March,

2017 2017

HK$ '000 HK$ '000

Total Tier 1 capital 80,961,923 78,705,695

Exposure measure 955,420,219 866,914,557

% %

Leverage ratio 8.47% 9.08%

Documents

INDUSTRIAL AND COMMERCIAL BANK OF CHINA …v.icbc.com.cn/userfiles/Resources/ICBC/haiwai/Asia/download/EN/... · 12 Securitization exposures in banking book ... It has no overdue