Beruflich Dokumente
Kultur Dokumente
Presentation of information
Introduction
These Pillar 3 Disclosures 2014 contain certain forwardlooking statements with respect to the financial
condition, results of operations and business of the
group.
Capital management
Pillar 1
Consolidation basis
Regulatory capital
Credit risk
Overview
15
18
Market risk
19
Operational risk
19
19
Overview
19
20
20
Insurance risk
20
Pension risk
20
Liquidity risk
21
21
Residual risk
21
Reputational risk
21
Business risk
21
22
Remuneration
22
Verification
24
Appendices
26
26
II Glossary
28
Contents
Tables
Table 1: Reconciliation of balance sheets financial accounting to regulatory scope of
consolidation
10
11
Introduction
The bank is a wholly owned subsidiary of HSBC Holdings
plc. HSBC is one of the largest banking and financial
services organisations in the world, with a market
capitalisation of US$ 182 billion at 31 December 2014.
The group provides a comprehensive range of banking
and related financial services and divides its activities
into four business segments: Retail Banking, Commercial
Banking, Global Banking and Markets, and Global Private
Banking.
Further details of the groups principal activities can be
found on page 2 of the HSBC Bank plc Annual Report
and Accounts 2014 (HSBC Bank 2014 Accounts).
14
14
15
16
17
18
19
19
22
23
23
23
24
26
Capital management
Pillar 1
Risk category
Credit risk
Equity
Securitisation
Market risk
Operational risk
Consolidation basis
Assets
Cash and balances at central banks
Items in the course of collection from other banks
Trading assets
Financial assets designated at fair value
Derivatives
Loans and advances to banks
Loans and advances to customers, of which:
- impairment allowances on IRB portfolios
- impairment allowances on standardised portfolios
Reverse repurchase agreements (non-trading)
Financial investments
Prepayments, accrued income and other assets, of which:
- goodwill and intangible assets in disposal groups held for sale
- retirement benefit assets
Current tax assets
Interests in associates and joint ventures
Goodwill and intangible assets
Deferred tax assets
Total assets
Liabilities and equity
Liabilities
Deposits by banks
Customer accounts
Reverse repurchase agreements (non-trading)
Items in the course of transmission to other banks
Trading liabilities
Financial liabilities designated at fair value, of which:
- other instruments disallowed in tier 1 capital
- term subordinated debt included in tier 2 capital
Derivatives
Debt securities in issue
Accruals, deferred income and other liabilities, of which:
- retirement benefit liabilities
- contingent liabilities and contractual commitments, of which:
- credit-related provisions on IRB portfolios
- credit-related provisions on standardised portfolios
Current tax liabilities
Liabilities under insurance contracts issued
Provisions
Deferred tax liabilities
Subordinated liabilities, of which:
- other instruments disallowed in tier 1 capital
- perpetual subordinated debt included in tier 2 capital
- term subordinated debt included in tier 2 capital
Total liabilities
Equity
Called up share capital
Share premium account, of which:
- preference share premium disallowed in tier 1 capital
Other equity instruments
Other reserves
Retained earnings
Total equity attributable to the shareholders of the parent company
Non-controlling interests, of which:
- preference shares issued by subsidiaries disallowed in tier 1 capital
- surplus non-controlling interest disallowed in CET 1
Total equity
Total equity and liabilities
Ref
h
j
g
f
i
l
f
h
j
i
k
l
a
a
c
d
e
Deconsolidation Consolidation of
Accounting
of insurance/
banking
balance sheet
other entities
associates
Regulatory
balance sheet
42,853
973
130,127
6,899
187,736
25,262
257,252
2,179
658
41,945
76,194
20,396
77
3,060
190
69
7,217
176
797,289
1,213
(69)
(18)
(6,862)
(20,657)
(1,446)
(6)
(474)
(28,319)
86
14
37
(22)
115
42,939
973
131,340
6,899
187,667
25,258
250,390
2,179
658
41,945
55,537
18,987
77
3,060
190
41
6,743
176
769,085
27,590
346,507
23,353
667
82,600
22,552
317
2,503
188,278
27,921
12,417
333
(91)
(30)
17
(6,262)
(3,589)
(1)
87
23
7
27,677
346,416
23,353
667
82,570
22,552
317
2,503
188,295
21,659
8,851
339
14
2
255
17,522
1,707
364
8,858
1,402
2,841
3,284
760,591
(50)
(17,522)
(16)
(27,543)
1
4
115
14
2
206
1,695
364
8,858
1,402
2,841
3,284
733,163
797
20,733
431
2,196
772
11,580
36,078
620
150
117
36,698
797,289
(776)
(776)
(776)
(28,319)
115
797
20,733
431
2,196
772
10,804
35,302
620
150
117
35,922
769,085
1. The references (a) (l) identify balance sheet components which are used in the calculation of regulatory capital on page 6.
Regulatory capital
Table 2 below sets out the composition of the groups regulatory capital and risk-weighted assets at 31 December 2014.
Table 2: Composition of regulatory capital CRD IV transitional basis
Tier 1 capital
Shareholders equity1
Shareholders equity per balance sheet
Foreseeable interim dividend
Preference share premium
Deconsolidation of special purpose entities2
Deconsolidation of insurance entities
Non-controlling interests
Non-controlling interests per balance sheet
Preference share non-controlling interests
Surplus non-controlling interest excluded from CET 1
Regulatory adjustments to the accounting basis
Unrealised gains/(losses) on available-for-sale debt and equities3
Own credit spread
Debit valuation adjustment
Defined benefit pension fund adjustment4
Cash flow hedging reserve
Reserves arising from revaluation of property
Other equity instruments
Other regulatory adjustments
Deductions
Goodwill and intangible assets
Deferred tax assets that rely on future profitability (excluding temporary differences)
Additional valuation adjustment (referred to as PVA)
50% of securitization positions
50% of excess of expected losses over impairment allowances
50% of tax credit adjustment for expected losses
Excess of expected losses over impairment allowances
Common equity tier 1
Additional tier 1 capital
Other tier 1 capital before deductions
Preference shares and related premium
Other instruments
Deductions
Unconsolidated investments5
50% of tax credit adjustment for expected losses
Tier 1 capital
Tier 2 capital
Total qualifying tier 2 capital before deductions
Reserves arising from revaluation of property and unrealised gains in available-for-sale equities
Collective impairment allowances6
Perpetual subordinated debt
Term subordinated debt
Total deductions other than from tier 1 capital
Unconsolidated investments5
50% of securitisation positions
50% of excess of expected losses over impairment allowances
Other deductions
Total regulatory capital
Ref
a
b
a
a
c
d
e
h
h
b
i
j
k
l
CRD IV year 1
transition
At 31 December
2014
m
Basel 2.5
At 31 December
2013
m
34,562
36,079
(315)
(431)
(86)
(685)
353
620
(150)
(117)
(5,444)
(837)
245
(88)
(2,400)
(163)
(2,195)
(6)
(8,380)
(6,822)
(21)
(588)
(949)
21,091
31,993
32,370
(431)
53
1
399
549
(150)
(1,389)
(656)
218
(946)
13
(16)
(2)
(8,565)
(7,218)
(902)
(477)
32
22,438
4,047
464
3,583
25,138
2,353
581
1,772
(683)
(715)
32
24,108
8,628
2,844
5,784
(210)
(210)
33,556
11,582
221
139
2,683
8,539
(2,147)
(715)
(902)
(477)
(53)
33,543
Ref
Risk-weighted assets
Credit risk
Counterparty credit risk
Market risk
Operational risk
Capital ratios
Common equity tier 1 ratio
Tier 1 ratio
Total capital ratio
CRD IV year 1
transition
At 31 December
2014
m
243,652
168,600
30,364
22,437
22,251
Basel 2.5
At 31 December
2013
m
185,879
129,459
16,450
17,931
22,039
8.7%
10.3%
13.8%
12.1%
13.0%
18.0%
1. Includes externally verified profits for the year to 31 December 2014 and the interim dividend of 315 million declared by the Board of Directors
after 31 December 2014. 2013 figures exclude the dividend of 630m declared in February 2014.
2. Mainly comprises unrealised gains on available-for-sale securities owned by deconsolidated special purpose entities.
3. Under CRD IV transitional rules, unrealised gains on available-for-sale securities must be excluded from capital resources.
4. CRD IV rules require banks to exclude from capital resources any surplus in a defined benefit pension scheme.
5. Mainly comprises investment in insurance entities. Under CRD IV rules, the value of unconsolidated investments in insurance entities in 2014 falls
below the 10% threshold for deductions.
6. Under previous PRA rules, collective impairment allowances on loan portfolios under the standardised approach were allowable in tier 2 capital.
Table 3: Reconciliation of regulatory capital from transitional basis to an estimated CRD IV end point basis
At 31
December
2014
CET1 on year 1 transitional basis
Unrealised gains in available-for-sale reserves
21,091
837
21,928
4,047
Grandfathered instruments
Preference share premium
(1,852)
(345)
Other instruments
AT1 on end point basis
T2 on year 1 transitional basis
Grandfathered instruments
Term subordinated debt
T2 on end point basis
Total capital on end point basis
(1,507)
2,195
8,418
(2,326)
(2,326)
6,092
30,215
Credit risk
Overview
Credit risk is the risk of financial loss if a customer or
counterparty fails to meet a payment obligation under a
contract. It arises principally from direct lending, trade
finance and leasing business, but also from off-balance
sheet products such as guarantees and credit
derivatives, and from the groups holdings of debt and
other securities.
For credit risk, with the PRAs approval, the group has
adopted the IRB advanced approach for the majority of
its business, with the remainder on either IRB
foundation or standardised approaches. A rollout plan is
in place to extend coverage of the advanced approach
over the next few years, leaving a residue of exposures
on the standardised approach.
2.
Exposure
value
m
333,742
Average
exposure
value
m
366,480
RWA
m
100,014
Capital
required1
m
8,000
1,550
92,450
22,373
8,438
14,881
139,692
16,464
18,537
159,049
12,268
28
12,240
22,406
6,587
126,809
79,692
25
2,126
10,305
24,290
3,590
2,830
696
673
133
769
1,680
501,811
1,599
93,366
22,204
9,089
14,672
140,930
17,289
20,706
187,555
11,087
14
11,073
23,217
6,046
136,352
87,999
19
2,187
10,235
22,509
4,122
2,933
761
672
98
1,133
3,684
543,182
376
5,130
4,453
3,788
3,550
17,297
3,336
7,451
71,930
8,208
6
8,202
25,675
3,309
31,394
83
5
2,800
19,419
2,587
1,005
876
1,009
133
1,648
1,829
168,600
30
410
356
303
284
1,383
267
596
5,754
656
656
2,054
265
2,512
7
224
1,554
207
80
70
81
11
132
146
13,487
270,815
277,686
82,805
6,624
93,608
22,329
10,402
15,633
141,972
18,150
12,045
98,648
10,104
10,104
24,276
155,224
101,075
1,176
10,416
23,839
4,647
3,351
433
303
80
833
9,071
460,419
93,372
21,854
9,526
15,125
139,877
20,597
20,412
96,800
9,876
9,876
25,998
156,320
93,090
1,203
9,829
31,432
4,668
4,331
427
211
76
833
10,220
469,880
5,639
4,761
5,122
4,754
20,276
3,103
4,855
54,571
5,937
5,937
11,417
29,300
17
2,132
14,731
3,663
1,350
530
454
80
941
5,402
129,459
451
381
410
380
1,622
248
388
4,366
475
475
913
2,344
1
170
1,178
293
107
42
36
6
75
432
10,356
In this, and all following tables where the term appears, capital required is calculated as 8% of RWA.
Includes items such as tangible fixed assets, prepayments, deferred taxation and immaterial exposure classes under the standardised approach.
Continental
Europe
m
Other
m
Total
m
282,522
46,287
4,932
333,742
26
90,610
22,372
5,690
4,244
122,942
10,801
13,475
135,304
110
110
20,332
5,453
83,915
64,516
3,739
12,567
559
576
17
507
151
1,283
392,332
1,524
1,840
1
2,748
10,637
16,749
2,351
3,442
23,745
12,158
28
12,130
2,073
944
35,637
15,118
25
2,126
6,549
7,447
857
1,716
517
156
133
618
375
97,099
3,312
1,620
190
7,257
58
17
4,276
2,174
538
162
10
22
12,380
1,550
92,450
22,373
8,438
14,881
139,692
16,464
18,537
159,049
12,268
28
12,240
22,406
6,587
126,809
79,692
25
2,126
10,305
24,290
3,590
2,830
696
673
133
769
1,680
501,811
217,667
47,921
5,227
270,815
91,309
22,318
5,966
4,823
124,416
11,951
6,818
74,482
168
168
22,351
105,239
80,205
3,751
12,499
768
679
16
216
227
6,876
345,425
2,299
11
4,436
10,810
17,556
2,420
3,779
24,166
9,936
9,936
1,925
41,330
20,870
1,176
6,663
6,992
1,206
1,983
268
87
80
182
1,823
101,112
3,779
1,448
8,655
2
4,348
2,673
689
149
424
372
13,882
93,608
22,329
10,402
15,633
141,972
18,150
12,045
98,648
10,104
10,104
24,276
155,224
101,075
1,176
10,416
23,839
4,647
3,351
433
303
80
833
9,071
460,419
10
Personal
m
129,705
Manufacturing
m
27,482
International
trade and
services
m
40,407
Property
and other
business
activities
m
57,212
Government
and public
administration
m
19,045
Other
commercial
m
21,982
92,450
22,373
14,881
129,704
1
145
145
7,029
1,117
2,988
2,690
234
136,879
8
528
536
26,946
5,017
5,017
6,005
5,721
135
79
70
38,504
20
1,484
1,504
38,903
2,952
2,952
3,657
3,464
80
40
72
1
47,016
1,485
4,608
6,093
51,119
737
737
2,724
2,114
306
3
83
134
-84
60,673
7
437
444
12,572
6,030
252
252
36,229
33,501
25
2,126
523
24
2
28
55,526
13
1,230
1,243
20,740
1,433
1,433
2,604
2,313
38
16
205
32
26,019
11
Financial
m
37,907
Noncustomer
assets
m
-
Total
m
333,742
17
151
168
3,892
18,537
15,310
1,732
28
1,704
22,406
67,760
46,061
10,305
9,038
19
4
506
133
685
1,009
129,805
6,587
801
130
671
7,388
1,550
92,450
22,373
8,438
14,881
139,692
16,464
18,537
159,049
12,268
28
12,240
22,406
6,587
126,809
79,692
25
2,126
10,305
24,290
3,590
2,830
696
673
133
769
1,680
501,811
Personal
m
132,214
Manufacturing
m
17,914
International
trade and
services
m
19,048
93,608
22,329
15,633
131,570
644
19
19
7,379
159
3,783
3,213
224
139,612
508
508
17,406
4,445
4,445
5,488
5,155
251
45
37
27,847
879
879
18,169
2,696
2,696
3,401
3,199
144
32
26
25,145
12
Property
and other
business
activities
m
41,479
Government
and public
administration
m
17,102
Other
commercial
m
15,800
Financial
m
27,258
Non-customer
assets
m
-
Total
m
270,815
8,171
8,171
33,308
444
444
1,883
1,380
329
37
45
87
6
43,806
163
163
12,892
90
3,957
169
169
32,445
30,556
1,176
652
48
3
8
2
49,716
430
430
15,370
809
809
3,436
3,256
67
21
91
20,045
251
251
5,258
11,955
9,794
1,522
1,522
24,181
96,823
70,519
10,412
10,038
25
2
216
80
827
4,703
149,784
95
4,369
4
4,366
4,464
93,608
22,329
10,402
15,633
141,972
18,150
12,045
98,648
10,104
10,104
24,276
155,224
101,075
1,176
10,416
23,839
4,647
3,351
433
303
80
833
9,071
460,419
Less than 1
year
m
127,803
Between 1
and 5 years
m
84,153
More than
5 years
m
121,786
Undated
m
-
Total
m
333,742
37
1,574
22,363
1,779
860
26,613
6,359
12,255
82,576
5,008
28
4,980
5,862
78,021
46,245
183
10,296
18,143
1,712
138
316
14
973
216,694
107
1,481
9
4,384
4,710
10,691
6,831
5,379
61,252
6,393
6,393
2,868
30,343
21,817
2
1,109
9
4,899
1,599
467
201
240
123,757
1,406
89,395
1
2,275
9,311
102,388
3,274
903
15,221
867
867
13,676
16,837
11,630
23
834
1,248
279
2,225
179
419
153,166
6,587
1,608
133
769
707
8,195
1,550
92,450
22,373
8,438
14,881
139,692
16,464
18,537
159,049
12,268
28
12,240
22,406
6,587
126,809
79,692
25
2,126
10,305
24,290
3,590
2,830
696
673
133
769
1,680
501,811
73,676
79,502
117,637
270,815
1,426
22,308
1,987
1,082
26,803
9,137
6,221
31,515
4,207
4,207
94,758
67,912
8,418
16,529
1,425
225
248
1
172,641
1,859
10
5,159
5,349
12,377
7,116
5,437
54,572
5,184
5,184
36,491
24,347
1,176
1,980
4,894
3,000
980
70
44
121,177
90,323
11
3,256
9,202
102,792
1,897
387
12,561
713
713
22,351
13,734
8,816
18
2,416
222
2,146
115
1
154,435
1,925
10,241
303
80
833
9,025
12,166
93,608
22,329
10,402
15,633
141,972
18,150
12,045
98,648
10,104
10,104
24,276
155,224
101,075
1,176
10,416
23,839
4,647
3,351
433
303
80
833
9,071
460,419
13
Specialised lending
Category 1 - strong
Category 2 - good
Category 3 - satisfactory
Category 4 - weak
Category 5 - default
Exposure
At 31
At 31
December
December
2014
2013
m
m
6,447
4,663
4,255
4,721
1,686
2,554
708
664
978
1,215
14,074
13,817
Impairment
Allowances
at 31
Charge for
December
the year1
m
m
9
80
1,893
1,095
20
253
223
446
153
3,077
1
20
1,534
638
10
182
103
228
115
2,193
1
406
14
(51)
(5)
70
421
10
93
2,239
1,254
213
265
533
243
3,595
1
21
1,655
1,050
202
198
434
216
2,727
774
84
(21)
68
2
35
858
Details of amounts written off and recoveries taken straight to the income statement can be found in the tables on page 51 of the HSBC Bank
plc 2014 Accounts.
14
United Kingdom
Continental Europe
Other
2014
Expected
loss at 31
December
m
2,347
710
20
3,077
United Kingdom
Continental Europe
Other
2013
2,836
735
23
3,595
Impairment
Allowances
at 31
Charge for
December
the year
m
m
1,606
326
582
95
5
2,193
421
2,109
613
5
2,727
771
87
858
Financial collateral
In the institutional sector, trading facilities are
supported by charges over financial instruments such as
cash, debt securities and equities. Financial collateral in
the form of marketable securities is used in much of the
groups over-the-counter (OTC) derivatives activities
and in securities financing transactions (SFTs) such as
repos, reverse repos, securities lending and borrowing.
Netting is used extensively and is a prominent feature of
market standard documentation.
Valuing collateral
Valuation strategies are established to monitor
collateral mitigants to ensure that they continue to
provide the anticipated secure secondary repayment
source. Market trading activities such as collateralised
OTC derivatives and SFTs typically include daily
15
16
Exposure
value
covered by
eligible
financial
collateral
m
298
298
298
2014
Exposure
value
covered by
credit
derivatives
or
guarantees
m
10,224
189
281
1,240
8,514
277
277
10,501
Exposure
value
covered
by eligible
financial
collateral1
m
319
319
319
Total IRB
exposure
value
covered
by CRM
m
18,239
5
106
5,527
12,601
400
400
18,639
Total IRB
exposure
value
covered by
CRM
m
10,224
189
281
1,240
8,514
575
575
10,799
2013
Exposure
value
covered by
credit
derivatives
or
guarantees
m
18,239
5
106
5,527
12,601
81
81
18,320
Standardised approach
Central governments or central banks
Institutions
Corporates
Retail
Secured by mortgages on immovable
property
Exposures in default
Items associated with particularly high risk
At 31 December
Exposure
value
covered by
eligible
financial
and other
collateral
m
2014
Exposure
value
covered by
credit
derivatives
or
guarantees
m
1
850
118
15
7
991
Total
standardised
exposure
value
covered by
CRM
m
Exposure
value
covered
by eligible
financial
and other
collateral1
m
2013
Exposure
value
covered by
credit
derivatives
or
guarantees
m
Total
standardised
exposure
value
covered by
CRM
m
517
-
1
1,367
118
956
108
1,262
2,057
1,973
1
1,262
2,057
2,929
109
517
15
7
1,508
3
-
1,067
5,293
3
6,360
17
Table 13: Counterparty credit risk exposure by exposure class and product
At 31 December 2014
RWA
Capital
required
m
m
By exposure class
IRB advanced approach
Central governments and central banks
Institutions
Corporates
IRB foundation approach
Central governments and central banks
Institutions
Corporates
Standardised approach
Central governments or central banks
Institutions
Corporates
CVA Advanced approach
CVA Standardised approach
CCP Standardised approach
By product
Derivatives
Securities financing transactions
Other
CVA Advanced approach
CVA Standardised approach
CCP default fund contribution
1. Includes settlement risk and free deliveries not deducted from regulatory capital.
Market risk
Market risk is the risk that movements in market risk
factors, including foreign exchange rates, commodity
prices, interest rates, credit spreads and equity prices
will reduce the groups income or the value of its
portfolios. Market risk is measured using internal market
risk models where approved by the PRA, PRA approved
local VAR models or the standardised approach for
position risk under CRD IV.
The tables below set out details of the groups market
risk exposures by type and approach. Further
explanation of the groups approach to managing
market risk can be found:
18
At 31 December 2013
Capital
RWA
required
m
m
18,237
358
7,951
9,928
1,373
1,373
4,069
3,558
511
1,459
29
636
794
110
110
326
285
41
12,556
271
4,124
8,161
842
842
3,052
2,590
462
1,005
22
330
653
67
67
244
207
37
2,515
3,292
878
30,364
201
263
70
2,429
16,450
1,316
19,819
3,331
878
1,586
267
70
13,324
2,408
718
1,066
193
57
2,515
3,292
529
30,364
201
263
42
2,429
16,450
1,316
2013
RWA
m
Capital
required1
m
RWA
m
Capital
required1
m
17,510
3,870
5,540
4,470
3,630
4,927
1,351
141
78
1
3,356
22,437
1,401
310
443
358
290
393
108
11
6
268
1,794
15,326
2,415
2,897
4,736
5,278
2,605
1,375
38
51
3
1,138
17,931
1,226
193
232
379
422
208
110
3
4
91
1,434
1. Calculated as 8% of RWAs.
2. Covers a) France and Germany (local VAR approval), and b) Turkey, Armenia, and Russia (treated as consolidation by aggregation).
Operational risk
The current Basel requirements include a capital
requirement for operational risk, based on three levels
of sophistication. The capital required under the basic
indicator approach is a simple percentage of gross
revenues, whereas under the standardised approach it is
one of three different percentages of gross revenues
allocated to each of eight defined business lines. Both
these approaches use an average of the last three
financial years revenues. Finally, the advanced
measurement approach (AMA) uses a banks own
statistical analysis and modelling of operational risk data
to determine capital requirements. We have historically
adopted, and currently use, the standardised approach
in determining our operational risk capital requirements.
At 31 December 2014
RWA
m
22,251
Capital
required
m
1,780
At 31 December 2013
RWA
m
22,039
Capital
required
m
1,763
19
20
Insurance risk
Pension risk
The groups management of pension risk is also
described on pages 82 - 83 of the HSBC Bank plc 2014
Accounts.
We operate a number of pensions; some of them are
defined benefit plans. Sponsoring Group companies
(and in some instances, employees) make regular
contributions in accordance with advice from actuaries
and in consultation with the plans trustees (where
relevant). In situations where a funding deficit emerges,
sponsoring Group companies agree to make additional
contributions to the plans, to address the deficit over an
appropriate repayment period.
21
22
Remuneration
Table 16: Aggregate remuneration expenditure
By Global business
Retail
Banking
and Wealth
Management
m
Commercial
Banking
m
Global
Banking and
Markets
m
Global
Private
Banking
m
Other
m
Total
m
7.1
16.5
230.0
10.1
50.6
314.3
1. Includes salary and incentives awarded in respect of performance in the year 2014 (including deferred component) and any pension or benefits
outside of policy.
23
Non-senior
management
Total
27
408
435
Fixed
Cash based
Shares based
10.4
10.3
124.1
25.3
134.5
35.6
Total fixed
20.7
149.4
170.1
3.1
3.1
4.3
5.9
34.1
32.4
30.3
30.8
37.2
35.5
34.6
36.7
16.4
127.6
144.0
Number of MRTs
Variable1
Cash
Non-deferred shares2
Deferred cash
Deferred shares
Total variable pay3
1. Variable pay awarded in respect of performance in the year 2014.
2. Vested shares, subject to a six-month retention period.
3. In accordance with shareholder approval received on 23 May 2014, for each MRT the variable component of remuneration for any one year is
limited to 200% of fixed component of total remuneration of the MRT.
Senior
management
Non-senior
management
Total
45.2
20.3
7.4
-
171.6
89.5
51.0
-
216.8
109.8
58.4
-
1. This table provides details of actions taken during the performance year 2014. For details of variable pay awards granted for the performance
years 2014, please refer to both the Remuneration tables above.
Non-senior
management
Total
0.3
1
0.3
1
1.1
5
0.3
1.1
5
0.3
Sign-on payments
24
0 1,000,000
1,000,001 1,500,000
1,500,001 2,000,000
2,000,001 2,500,000
2,500,001 3,000,000
3,000,001 3,500,000
3,500,001 4,000,000
4,000,001 4,500,000
4,500,001 5,000,000
5,000,001 6,000,000
6,000,001 7,000,000
7,000,001 8,000,000
Senior
management
Number of MRTs
Non-senior
management
Total
10
5
3
2
2
2
298
71
16
10
6
4
2
308
76
19
12
8
6
2
2
1
1. Table prepared in euros in accordance with Article 450 of the CRR, using the rates published by the European Commission for financial
programming and budget for December 2014 as published on their website.
Tier 1 capital
Tier 1 capital comprises shareholders equity, related
non-controlling interests (subject to limits) and
qualifying capital instruments, after certain regulatory
adjustments.
Common Equity Tier 1
Called up ordinary shares issued by the bank to its
parent are fully paid-up and the proceeds of issuance
are immediately and fully available. There is no
obligation to pay a coupon or dividend to the
shareholder arising from this type of capital. The share
capital is available for unrestricted and immediate use to
cover any risks and losses.
25
Tier 2 capital
Tier 2 capital comprises eligible capital securities and
any related share premium and other qualifying tier 2
capital securities subject to limits. Holdings of tier 2
capital of financial sector entities are deducted.
26
Appendix I
Table 21: Transitional own funds disclosure
At
31
December
2014
CRR
prescribed
residual
amount
Final CRD
IV text
21,100
9,928
21,100
9,928
866
866
353
467
353
467
32,714
32,714
(588)
(588)
(6,821)
(21)
(6,821)
(21)
(163)
(163)
(950)
245
(950)
245
(88)
(2,400)
(88)
(2,400)
Regulatory adjustments applied to common equity tier 1 in respect of amounts subject to preCRR treatment
Regulatory adjustments relating to unrealised gains and losses
Total regulatory adjustments to Common equity tier 1 (CET1)
Common equity tier 1 (CET1) capital
Additional Tier 1 (AT1) capital: instruments
Capital instruments and the related share premium accounts
Amount of qualifying items and the related share premium accounts subject to
phase out from AT1
Additional Tier 1 (AT1) capital
Tier 1 capital (T1 = CET1 + AT1)
Tier 2 (T2) capital: instruments and provisions
(837)
837
(11,623)
837
(10,786)
21,091
837
20,254
2,195
1,852
(1,852)
2,195
--
4,047
(1,852)
2,195
25,138
(1,015)
24,123
6,302
6,302
Amount of qualifying items and the related share premium accounts subject to
phase out from T2
1,965
(1,965)
361
(361)
8,628
(2,326)
6,302
(210)
(210)
(210)
(210)
8,418
(2,326)
6,092
33,556
243,652
(3,341)
-
30,215
243,652
27
8.7%
9.1%
10.3%
13.8%
10.0%
12.5%
At
31
December
2014
CRR
prescribed
residual
amount
Final CRD
IV text
Direct and indirect holdings of the capital of financial sector entities where the institution does
not have a significant investment in those entities (amount below 10% threshold and net of
eligible short positions
1,241
1,241
Direct and indirect holdings by the institution of the CET 1 instruments of financial sector
entities where the institution has a significant investment in those entities (amount below 10%
threshold and net of eligible short positions)
Deferred tax assets arising from temporary differences (amount below 10%
threshold, net of related tax liability)
586
586
619
619
80%
Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)
463
(463)
80%
-
28
Appendix II
Glossary
Term
Definition
A
Available-for-sale (AFS) financial Those derivative financial assets that are designated as available for sale or are not
assets
classified as a) loans and receivables b) held-to-maturity investments or c) financial
assets at fair value through profit or loss.
B
Basel II
Basel 2.5
The update to Basel II including changes to capital and disclosure requirements for
securitisation and market risk, which took effect in December 2011.
Basel III
In December 2010, the Basel Committee issued Basel III rules: a global regulatory
framework for more resilient banks and banking systems and International
framework for liquidity risk measurement, standards and monitoring. Together
these documents present the Basel Committees reforms to strengthen global
capital and liquidity rules with the goal of promoting a more resilient banking sector.
In June 2011, the Basel Committee issued a revision to the former document setting
out the finalised capital treatment for counterparty credit risk in bilateral trades.
The Basel III requirements were phased in with full implementation by 1 January
2019.
C
Capital conservation buffer
A capital buffer, prescribed by regulators under Basel III, and designed to ensure banks
build up capital buffers outside periods of stress which can be drawn down as losses
are incurred. Should a banks capital levels fall with in the capital conservation
buffer range, capital distributions will be constrained by regulator.
Common equity tier 1 capital (CET The highest quality form of regulatory capital under Basel III that comprises common
1)
shares issued and related share premium, retained earnings and other reserves
excluding the cash flow hedging reserve, less specified regulatory adjustments.
Countercyclical capital buffer
(CCB)
A capital buffer, prescribed by regulators under Basel III, which aims to ensure that
capital requirements take account of the macro-financial environment in which
banks operate. This aims to provide the banking sector with additional capital to
protect it against potential future losses, when excess credit growth in the financial
system as a whole is associated with an increase in system-wide risk.
CRE
D
Derivatives
E
Economic capital
The internally calculated capital requirement which is deemed necessary by the group
29
A regulatory calculation of the amount expected to be lost on an exposure using a 12month time horizon and downturn loss estimates. EL is calculated by multiplying the
PD (by the EAD (an amount) and LGD (a percentage).
Exposure
The amount expected to be outstanding after any credit risk mitigation, if and when
the counterparty defaults. EAD reflects drawn balances as well as allowance for
undrawn amounts of commitments and contingent exposures.
F
Fair value
Fair value is the price that would be received to sell and asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement
date.
I
Incremental risk charge (IRC)
The IRC model captures the potential distribution of profit and loss due to default and
migration for a portfolio of credit positions. For credit positions held on the trading
book, and subject to specific interest rate risk VAR for regulatory capital, an IRC
th
based on the 99.9 percentile of the IRC distribution, over a 0ne-year capital
horizon, is used as a capital add-on to VAR.
Institutions
Insurance risk
A risk, other than financial risk, transferred from the holder of a contract to the
insurance provider. The principal insurance risk is that, over time, the combined cost
of claims, administration and acquisition of the contract may exceed the aggregate
amount of premiums received and investment income.
One of three methods defined in the Basel framework to determine exposure values
for counterparty credit risk.
The groups own assessment of the levels of capital that it needs to hold through an
examination of its risk profile from regulatory and economic capital viewpoints.
A method of calculating credit risk capital requirements using internal, rather than
supervisory, estimates of risk parameters.
A method of calculating credit risk capital requirements using internal PD, LGD and EAD
models.
A method of calculating credit risk capital requirements using internal PD models but
with supervisory estimates of LGD and conversion factors for the calculation of EAD.
L
Liquidity risk
The risk that the group does not have sufficient financial resources to meet its
obligations as they fall due, or will have to do so at an excessive cost. This risk arises
from mismatches in the timing of cash flows.
The estimated ratio (percentage) of the loss on an exposure to the amount outstanding
at default (EAD) upon default of a counterparty.
P
Pillar 1
Minimum capital requirements the calculation of regulatory capital for credit, market
and operational risk.
Pillar 2
The supervisory review process sets out the process by which a bank should review
its overall capital adequacy and the processes under which the supervisors evaluate
how well financial institutions are assessing their risks and take appropriate actions
in response to the assessments.
Pillar 3
Market discipline sets out the disclosure requirements for banks to publish certain
details of their risks, capital and risk management, with the aim of strengthening
market discipline.
30
Q
Qualifying revolving retail
exposures
Retail IRB exposures that are revolving, unsecured, and, to the extent they are not
drawn, immediately and unconditionally cancellable, such as credit cards and
overdrafts.
R
Regulatory capital
The capital that a bank holds, determined in accordance with rules established by the
PRA for the consolidated group and by local regulators for individual group
companies.
Risk appetite
The aggregate level and types of risk a firm is willing to assume within its risk capacity
to achieve its strategic objectives and business plan.
S
Securitisation
A transaction or scheme whereby the credit risk associated with an exposure, or pool
of exposures, is tranched and where payments to investors in the transaction or
scheme are dependent upon the performance of the exposure or pool of exposures.
A traditional securitisation involves the transfer of the exposures being securitised to
an SPE which issues securities. In a synthetic securitisation, the tranching is achieved
by the use of credit derivatives and the exposures are not removed from the
balance sheet of the originator.
Standardised approach
In relation to credit risk, method for calculating credit risk capital requirements using
supervisory risk weights.
In relation to operational risk, a method of calculating the operational capital
requirement by the application of a supervisory defined percentage charge to the
gross income of eight specified business lines.
The PRAs rules regarding the calculation of market risk capital requirements for trading
book exposures which are not subject to VAR model permissions. The rules divide
risks into a number of standard types, within which risk is measured by the
application of defined percentage charges to both net and gross exposures.
Stressed VAR
A market risk measure based on potential market movements for a continuous oneyear period of stress for a trading portfolio.
T
Tier 1 capital
A component of regulatory capital, comprising common equity tier 1 capital and other
tier 1 capital. Other tier 1 capital includes qualifying capital instruments such as noncumulative perpetual preference shares and other tier 1 capital securities.
Tier 2 capital
V
Value at risk (VAR)
A measure of the loss that could occur on risk positions as a result of adverse
movements in market risk factors (e.g. rates, prices, volatilities) over a specified
time horizon and to a given level of confidence.
31