XML 208 R86.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Report Of The Directors Financial Review Risk Report (Tables)
 12 Months Ended
Dec. 31, 2019
Report Of The Directors Financial Review Risk Report [Abstract]  
Disclosure of detailed information about financial instruments
Summary of financial instruments to which the impairment requirements in IFRS 9 are applied
(Audited)
 
 
 
 
 
 
 
31 Dec 2019
 At 31 Dec 2018
 
 
Gross carrying/nominal amount

Allowance for
ECL1

Gross carrying/nominal amount

Allowance for ECL1

 
Footnotes
$m

$m

$m

$m

Loans and advances to customers at amortised cost
 
1,045,475

(8,732
)
990,321

(8,625
)
– personal
 
434,271

(3,134
)
394,337

(2,947
)
– corporate and commercial
 
540,499

(5,438
)
534,577

(5,552
)
– non-bank financial institutions
 
70,705

(160
)
61,407

(126
)
Loans and advances to banks at amortised cost
 
69,219

(16
)
72,180

(13
)
Other financial assets measured at amortised cost
 
615,179

(118
)
582,917

(55
)
– cash and balances at central banks
 
154,101

(2
)
162,845

(2
)
– items in the course of collection from other banks
 
4,956

—

5,787

—

– Hong Kong Government certificates of indebtedness
 
38,380

—

35,859

—

– reverse repurchase agreements – non-trading
 
240,862

—

242,804

—

– financial investments
 
85,788

(53
)
62,684

(18
)
– prepayments, accrued income and other assets
2
91,092

(63
)
72,938

(35
)
Total gross carrying amount on-balance sheet
 
1,729,873

(8,866
)
1,645,418

(8,693
)
Loans and other credit-related commitments
 
600,029

(329
)
592,008

(325
)
– personal
 
223,314

(15
)
207,351

(13
)
– corporate and commercial
 
278,524

(307
)
271,022

(305
)
– non-bank financial institutions
 
98,191

(7
)
113,635

(7
)
Financial guarantees
 
 
20,214

(48
)
23,518

(93
)
– personal
 
804

(1
)
927

(1
)
– corporate and commercial
 
14,804

(44
)
17,355

(85
)
– non-bank financial institutions
 
4,606

(3
)
5,236

(7
)
Total nominal amount off-balance sheet
3
620,243

(377
)
615,526

(418
)
 
 
2,350,116

(9,243
)
2,260,944

(9,111
)
 
 
 
 
 
 
 
 
Fair value

Memorandum allowance for ECL4

Fair value

Memorandum allowance for
ECL4

 
 
$m

$m

$m

$m

Debt instruments measured at fair value through other comprehensive income (‘FVOCI’)

 
355,664

(166
)
343,110

(84
)
1
The total ECL is recognised in the loss allowance for the financial asset unless the total ECL exceeds the gross carrying amount of the financial asset, in which case the ECL is recognised as a provision.
2
Includes only those financial instruments that are subject to the impairment requirements of IFRS 9. ‘Prepayments, accrued income and other assets’, as presented within the consolidated balance sheet on page 262, includes both financial and non-financial assets.
3
Represents the maximum amount at risk should the contracts be fully drawn upon and clients default.
4
Debt instruments measured at FVOCI continue to be measured at fair value with the allowance for ECL as a memorandum item. Change in ECL is recognised in ‘Change in expected credit losses and other credit impairment charges’ in the income statement
Maximum exposure to credit risk
 
 
 
(Audited)
 
 
 
 
2019
2018
 
Maximum
exposure

Offset

Net

Maximum
exposure

Offset

Net

 
$m

$m

$m

$m

$m

$m

Loans and advances to customers held at amortised cost
1,036,743

(28,524
)
1,008,219

981,696

(29,534
)
952,162

– personal
431,137

(4,640
)
426,497

391,390

(3,679
)
387,711

– corporate and commercial
535,061

(21,745
)
513,316

529,025

(23,421
)
505,604

– non-bank financial institutions
70,545

(2,139
)
68,406

61,281

(2,434
)
58,847

Loans and advances to banks at amortised cost
69,203

—

69,203

72,167

—

72,167

Other financial assets held at amortised cost
616,648

(28,826
)
587,822

585,600

(21,788
)
563,812

– cash and balances at central banks
154,099

—

154,099

162,843

—

162,843

– items in the course of collection from other banks
4,956

—

4,956

5,787

—

5,787

– Hong Kong Government certificates of indebtedness
38,380

—

38,380

35,859

—

35,859

– reverse repurchase agreements – non-trading
240,862

(28,826
)
212,036

242,804

(21,788
)
221,016

– financial investments
85,735

—

85,735

62,666

—

62,666

– prepayments, accrued income and other assets
92,616

—

92,616

75,641

—

75,641

Derivatives
242,995

(232,908
)
10,087

207,825

(194,306
)
13,519

Total on-balance sheet exposure to credit risk
1,965,589

(290,258
)
1,675,331

1,847,288

(245,628
)
1,601,660

Total off-balance sheet
893,246

—

893,246

874,751

—

874,751

– financial and other guarantees
95,967

—

95,967

94,810

—

94,810

– loan and other credit-related commitments
797,279

—

797,279

779,941

—

779,941

At 31 Dec
2,858,835

(290,258
)
2,568,577

2,722,039

(245,628
)
2,476,411

Unamortised balance of derivatives valued using models with significant unobservable inputs


2019

2018


Footnotes
$m

$m

Unamortised balance at 1 Jan

86

106

Deferral on new transactions

145

161

Recognised in the income statement during the year:

(154
)
(158
)
– amortisation

(80
)
(96
)
– subsequent to unobservable inputs becoming observable

(3
)
(2
)
– maturity, termination or offsetting derivative

(71
)
(60
)
Exchange differences

1

(4
)
Other

(5
)
(19
)
Unamortised balance at 31 Dec
1
73

86

1
This amount is yet to be recognised in the consolidated income statement.
Disclosure of credit risk
Summary of credit risk (excluding debt instruments measured at FVOCI) by stage distribution and ECL coverage by industry sector at
31 December 2019
(Audited)
 
Gross carrying/nominal amount1
 
Allowance for ECL
 
ECL coverage %
 
 
Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1
Stage 2
Stage 3
POCI2
Total
 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

%
%
%
%
%
Loans and advances to customers at amortised cost
951,583

80,182

13,378

332

1,045,475

(1,297
)
(2,284
)
(5,052
)
(99
)
(8,732
)
0.1
2.8
37.8
29.8
0.8
– personal
413,669

15,751

4,851

—

434,271

(583
)
(1,336
)
(1,215
)
—

(3,134
)
0.1
8.5
25.0
—
0.7
– corporate and commercial
472,253

59,599

8,315

332

540,499

(672
)
(920
)
(3,747
)
(99
)
(5,438
)
0.1
1.5
45.1
29.8
1.0
– non-bank financial institutions
65,661

4,832

212

—

70,705

(42
)
(28
)
(90
)
—

(160
)
0.1
0.6
42.5
—
0.2
Loans and advances to banks at amortised cost
67,769

1,450

—

—

69,219

(14
)
(2
)
—

—

(16
)
—
0.1
—
—
—
Other financial assets measured at amortised cost
613,200

1,827

151

1

615,179

(38
)
(38
)
(42
)
—

(118
)
—
2.1
27.8
—
—
Loan and other credit-related commitments
577,631

21,618

771

9

600,029

(137
)
(133
)
(59
)
—

(329
)
—
0.6
7.7
—
0.1
– personal
221,490

1,630

194

—

223,314

(13
)
(2
)
—

—

(15
)
—
0.1
—
—
—
– corporate and commercial
259,138

18,804

573

9

278,524

(118
)
(130
)
(59
)
—

(307
)
—
0.7
10.3
—
0.1
– financial
97,003

1,184

4

—

98,191

(6
)
(1
)
—

—

(7
)
—
0.1
—
—
—
Financial guarantees
17,684

2,340

186

4

20,214

(16
)
(22
)
(10
)
—

(48
)
0.1
0.9
5.4
—
0.2
– personal
802

1

1

—

804

(1
)
—

—

—

(1
)
0.1
—
—
—
0.1
– corporate and commercial
12,540

2,076

184

4

14,804

(14
)
(21
)
(9
)
—

(44
)
0.1
1.0
4.9
—
0.3
– financial
4,342

263

1

—

4,606

(1
)
(1
)
(1
)
—

(3
)
—
0.4
100.0
—
0.1
At 31 Dec 2019
2,227,867

107,417

14,486

346

2,350,116

(1,502
)
(2,479
)
(5,163
)
(99
)
(9,243
)
0.1
2.3
35.6
28.6
0.4
1
Represents the maximum amount at risk should the contracts be fully drawn upon and clients default.
2
Purchased or originated credit-impaired (‘POCI’).
Summary of credit risk (excluding debt instruments measured at FVOCI) by stage distribution and ECL coverage by industry sector at
31 December 20183 (continued)
(Audited)
 
Gross carrying/nominal amount1
 
Allowance for ECL
 
ECL coverage %
 
 
Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1
Stage 2
Stage 3
POCI2
Total
 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

%
%
%
%
%
Loans and advances to customers at amortised cost
908,393

68,581

13,023

324

990,321

(1,276
)
(2,108
)
(5,047
)
(194
)
(8,625
)
0.1
3.1
38.8
59.9
0.9
– personal
374,681

15,075

4,581

—

394,337

(534
)
(1,265
)
(1,148
)
—

(2,947
)
0.1
8.4
25.1
—
0.7
– corporate and commercial
474,700

51,341

8,212

324

534,577

(698
)
(812
)
(3,848
)
(194
)
(5,552
)
0.1
1.6
46.9
59.9
1.0
– non-bank financial institutions
59,012

2,165

230

—

61,407

(44
)
(31
)
(51
)
—

(126
)
0.1
1.4
22.2
—
0.2
Loans and advances to banks at amortised cost
71,873

307

—

—

72,180

(11
)
(2
)
—

—

(13
)
—
0.7
—
—
—
Other financial assets measured at amortised cost
581,118

1,673

126

—

582,917

(27
)
(6
)
(22
)
—

(55
)
—
0.4
17.5
—
—
Loan and other credit-related commitments
567,232

23,857

912

7

592,008

(143
)
(139
)
(43
)
—

(325
)
—
0.6
4.7
—
0.1
– personal
205,183

1,760

408

—

207,351

(12
)
(1
)
—

—

(13
)
—
0.1
—
—
—
– corporate and commercial
249,587

20,925

503

7

271,022

(126
)
(136
)
(43
)
—

(305
)
0.1
0.6
8.5
—
0.1
– financial
112,462

1,172

1

—

113,635

(5
)
(2
)
—

—

(7
)
—
0.2
—
—
—
Financial guarantees
20,834

2,384

297

3

23,518

(19
)
(29
)
(45
)
—

(93
)
0.1
1.2
15.2
—
0.4
– personal
920

3

4

—

927

(1
)
—

—

—

(1
)
0.1
—
—
—
0.1
– corporate and commercial
14,963

2,101

288

3

17,355

(16
)
(25
)
(44
)
—

(85
)
0.1
1.2
15.3
—
0.5
– financial
4,951

280

5

—

5,236

(2
)
(4
)
(1
)
—

(7
)
—
1.4
20.0
—
0.1
At 31 Dec 2018
2,149,450

96,802

14,358

334

2,260,944

(1,476
)
(2,284
)
(5,157
)
(194
)
(9,111
)
0.1
2.4
35.9
58.1
0.4

1
Represents the maximum amount at risk should the contracts be fully drawn upon and clients default.
2
Purchased or originated credit-impaired (‘POCI’).
3
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount. For further details, see page 122.
Disclosure of financial assets that are either past due or impaired
Stage 2 days past due analysis at 31 December 20182
(Audited)
 
Gross carrying amount

Allowance for ECL

ECL coverage %

 
 
Of which:

Of which:

 
Of which:

Of which:

 
Of which:
Of which:
 
                    Stage 2


1 to 29
DPD1

30 and > DPD1

                    Stage 2


1 to 29
DPD1

30 and > DPD1

                    Stage 2

1 to 29
DPD1
30 and > DPD1
 
$m

$m

$m

$m

$m

$m

%
%
%
Loans and advances to customers at amortised cost
68,581

2,561

1,914

(2,108
)
(204
)
(254
)
3.1
8.0
13.3
–
personal
15,075

1,807

1,383

(1,265
)
(165
)
(220
)
8.4
9.1
15.9
–
corporate and commercial
51,341

744

485

(812
)
(39
)
(34
)
1.6
5.2
7.0
–
non-bank financial institutions
2,165

10

46

(31
)
—

—

1.4
—
—
Loans and advances to banks at amortised cost
307

—

—

(2
)
—

—

0.7
—
—
Other financial assets measured at amortised cost
1,673

10

26

(6
)
—

—

0.4
—
—
1
Days past due (‘DPD’). Up to date accounts in stage 2 are not shown in amounts.
2
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount. For further details, see page 122.
Stage 2 days past due analysis at 31 December 2019
(Audited)
 
Gross carrying amount
Allowance for ECL
ECL coverage %
 
 
Of which:

Of which:

 
Of which:

Of which:

 
Of which:

Of which:
 
Stage 2

1 to 29 DPD1

30 and > DPD1

Stage 2

1 to 29 DPD1

30 and > DPD1

Stage 2
1 to 29 DPD1

30 and > DPD1
 
$m

$m

$m

$m

$m

$m

%
%

%
Loans and advances to customers at amortised cost
80,182

2,471

1,676

(2,284
)
(208
)
(247
)
2.8
8.4

14.7
–
personal
15,751

1,804

1,289

(1,336
)
(178
)
(217
)
8.5
9.9

16.8
–
corporate and commercial
59,599

657

385

(920
)
(30
)
(30
)
1.5
4.6

7.8
–
non-bank financial institutions
4,832

10

2

(28
)
—

—

0.6
—

—
Loans and advances to banks at amortised cost
1,450

—

—

(2
)
—

—

0.1
—

—
Other financial assets measured at amortised cost
1,827

14

30

(38
)
—

—

2.1
—

—
1
Days past due (‘DPD’). Up to date accounts in stage 2 are not shown in amounts.
Summary of credit risk (excluding debt instruments measured at FVOCI) by stage distribution and ECL coverage by industry sector at
31 December 20183 (continued)
(Audited)
 
Gross carrying/nominal amount1
 
Allowance for ECL
 
ECL coverage %
 
 
Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1

Stage 2

Stage 3

POCI2

Total

Stage 1
Stage 2
Stage 3
POCI2
Total
 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

%
%
%
%
%
Loans and advances to customers at amortised cost
908,393

68,581

13,023

324

990,321

(1,276
)
(2,108
)
(5,047
)
(194
)
(8,625
)
0.1
3.1
38.8
59.9
0.9
– personal
374,681

15,075

4,581

—

394,337

(534
)
(1,265
)
(1,148
)
—

(2,947
)
0.1
8.4
25.1
—
0.7
– corporate and commercial
474,700

51,341

8,212

324

534,577

(698
)
(812
)
(3,848
)
(194
)
(5,552
)
0.1
1.6
46.9
59.9
1.0
– non-bank financial institutions
59,012

2,165

230

—

61,407

(44
)
(31
)
(51
)
—

(126
)
0.1
1.4
22.2
—
0.2
Loans and advances to banks at amortised cost
71,873

307

—

—

72,180

(11
)
(2
)
—

—

(13
)
—
0.7
—
—
—
Other financial assets measured at amortised cost
581,118

1,673

126

—

582,917

(27
)
(6
)
(22
)
—

(55
)
—
0.4
17.5
—
—
Loan and other credit-related commitments
567,232

23,857

912

7

592,008

(143
)
(139
)
(43
)
—

(325
)
—
0.6
4.7
—
0.1
– personal
205,183

1,760

408

—

207,351

(12
)
(1
)
—

—

(13
)
—
0.1
—
—
—
– corporate and commercial
249,587

20,925

503

7

271,022

(126
)
(136
)
(43
)
—

(305
)
0.1
0.6
8.5
—
0.1
– financial
112,462

1,172

1

—

113,635

(5
)
(2
)
—

—

(7
)
—
0.2
—
—
—
Financial guarantees
20,834

2,384

297

3

23,518

(19
)
(29
)
(45
)
—

(93
)
0.1
1.2
15.2
—
0.4
– personal
920

3

4

—

927

(1
)
—

—

—

(1
)
0.1
—
—
—
0.1
– corporate and commercial
14,963

2,101

288

3

17,355

(16
)
(25
)
(44
)
—

(85
)
0.1
1.2
15.3
—
0.5
– financial
4,951

280

5

—

5,236

(2
)
(4
)
(1
)
—

(7
)
—
1.4
20.0
—
0.1
At 31 Dec 2018
2,149,450

96,802

14,358

334

2,260,944

(1,476
)
(2,284
)
(5,157
)
(194
)
(9,111
)
0.1
2.4
35.9
58.1
0.4

Distribution of financial instruments by credit quality at 31 December 2019
(Audited)
 
Gross carrying/notional amount
Allowance for ECL/other credit provisions

Net

 
Strong

Good

Satisfactory

Sub-standard

Credit impaired

Total

 
$m

$m

$m

$m

$m

$m

$m

$m

In-scope for IFRS 9
 
 
 
 
 
 
 
 
Loans and advances to customers held at amortised cost
524,889

258,402

228,485

20,007

13,692

1,045,475

(8,732
)
1,036,743

– personal
354,461

45,037

27,636

2,286

4,851

434,271

(3,134
)
431,137

– corporate and commercial
138,126

190,470

186,383

16,891

8,629

540,499

(5,438
)
535,061

– non-bank financial institutions
32,302

22,895

14,466

830

212

70,705

(160
)
70,545

Loans and advances to banks held at amortised cost
60,636

5,329

1,859

1,395

—

69,219

(16
)
69,203

Cash and balances at central banks
151,788

1,398

915

—

—

154,101

(2
)
154,099

Items in the course of collection from other banks
4,935

18

3

—

—

4,956

—

4,956

Hong Kong Government certificates of indebtedness
38,380

—

—

—

—

38,380

—

38,380

Reverse repurchase agreements – non-trading
193,157

37,947

9,621

137

—

240,862

—

240,862

Financial investments
78,318

6,503

906

61

—

85,788

(53
)
85,735

Prepayments, accrued income and other assets
70,675

8,638

11,321

306

152

91,092

(63
)
91,029

– endorsements and acceptances
1,133

4,651

4,196

230

4

10,214

(16
)
10,198

– accrued income and other
69,542

3,987

7,125

76

148

80,878

(47
)
80,831

Debt instruments measured at
fair value through other comprehensive income1
333,158

10,966

7,222

544

1

351,891

(166
)
351,725

Out-of-scope for IFRS 9
















Trading assets
135,059

15,240

22,964

2,181

—

175,444

—

175,444

Other financial assets designated and otherwise mandatorily measured at fair value through profit or loss
4,655

1,391

5,584

139

—

11,769

—

11,769

Derivatives
187,636

42,642

11,894

821

2

242,995

—

242,995

Total gross carrying amount on balance sheet
1,783,286

388,474

300,774

25,591

13,847

2,511,972

(9,032
)
2,502,940

Percentage of total credit quality
70.9%

15.5%

12.0%

1.0%

0.6%

100%





Loan and other credit-related commitments
369,424

146,988

77,499

5,338

780

600,029

(329
)
599,700

Financial guarantees
7,441

6,033

5,539

1,011

190

20,214

(48
)
20,166

In-scope: Irrevocable loan commitments and financial guarantees
376,865

153,021

83,038

6,349

970

620,243

(377
)
619,866

Loan and other credit-related commitments2
66,148

69,890

58,754

2,605

182

197,579

—

197,579

Performance and other guarantees
30,099

23,335

20,062

2,057

380

75,933

(132
)
75,801

Out-of-scope: Revocable loan commitments and non-financial guarantees
96,247

93,225

78,816

4,662

562

273,512

(132
)
273,380



Distribution of financial instruments by credit quality at 31 December 2018 (continued)
(Audited)
 
Gross carrying/notional amount
Allowance for ECL/other credit provisions

Net

 
Strong

Good

Satisfactory

Sub-
standard

Credit impaired

Total

 
$m

$m

$m

$m

$m

$m

$m

$m

In-scope for IFRS 9
 
 
 
 
 
 
 
 
Loans and advances to customers held at amortised cost
485,451

244,199

230,357

16,993

13,321

990,321

(8,625
)
981,696

– personal
316,616

43,764

27,194

2,182

4,581

394,337

(2,947
)
391,390

– corporate and commercial
140,387

181,984

189,357

14,339

8,510

534,577

(5,552
)
529,025

– non-bank financial institutions
28,448

18,451

13,806

472

230

61,407

(126
)
61,281

Loans and advances to banks held at amortised cost
60,249

7,371

4,549

11

—

72,180

(13
)
72,167

Cash and balances at central banks
160,995

1,508

324

18

—

162,845

(2
)
162,843

Items in the course of collection from other banks
5,765

21

1

—

—

5,787

—

5,787

Hong Kong Government certificates of indebtedness
35,859

—

—

—

—

35,859

—

35,859

Reverse repurchase agreements – non-trading
200,774

29,423

12,607

—

—

242,804

—

242,804

Financial investments
56,031

5,703

949

1

—

62,684

(18
)
62,666

Prepayments, accrued income and other assets
55,424

8,069

9,138

181

126

72,938

(35
)
72,903

– endorsements and acceptances
1,514

4,358

3,604

155

3

9,634

(11
)
9,623

– accrued income and other
53,910

3,711

5,534

26

123

63,304

(24
)
63,280

Debt instruments measured at fair value through other comprehensive income1

319,632

12,454

7,210

2,558

12

341,866

(84
)
341,782

Out-of-scope for IFRS 9
















Trading assets
139,484

18,888

16,991

1,871

—

177,234

—

177,234

Other financial assets designated and otherwise mandatorily measured at fair value through profit or loss
6,079

2,163

6,683

9

—

14,934

—

14,934

Derivatives
169,121

31,225

6,813

625

41

207,825

—

207,825

Total gross carrying amount on balance sheet
1,694,864

361,024

295,622

22,267

13,500

2,387,277

(8,777
)
2,378,500

Percentage of total credit quality
71%

15.1%

12.4%

0.9%

0.6%

100%





Loan and other credit-related commitments
373,302

137,076

75,478

5,233

919

592,008

(325
)
591,683

Financial guarantees
9,716

7,400

5,505

597

300

23,518

(93
)
23,425

In-scope: Irrevocable loan commitments and financial guarantees
383,018

144,476

80,983

5,830

1,219

615,526

(418
)
615,108

Loan and other credit-related commitments2
188,258

—

—

—

—

188,258

—

188,258

Performance and other guarantees
26,679

25,743

16,790

1,869

403

71,484

(99
)
71,385

Out-of-scope: Revocable loan commitments and non-financial guarantees
214,937

25,743

16,790

1,869

403

259,742

(99
)
259,643

1
For the purposes of this disclosure, gross carrying value is defined as the amortised cost of a financial asset before adjusting for any loss allowance. As such, the gross carrying value of debt instruments at FVOCI as presented above will not reconcile to the balance sheet as it excludes fair value gains and losses.
2
In 2018, revocable loan and other commitments, which are out of scope of IFRS 9, are presented within the ‘Strong’ classification.
Distribution of financial instruments to which the impairment requirements in IFRS 9 are applied, by credit quality and stage allocation
(Audited)
 
 
Gross carrying/notional amount
Allowance for ECL

Net

 
 
Strong

Good

Satisfactory

Sub-
standard

Credit impaired

Total

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

$m

Loans and advances to customers at amortised cost
 
524,889

258,402

228,485

20,007

13,692

1,045,475

(8,732
)
1,036,743

– stage 1
 
523,092

242,631

181,056

4,804

—

951,583

(1,297
)
950,286

– stage 2
 
1,797

15,771

47,429

15,185

—

80,182

(2,284
)
77,898

– stage 3
 
—

—

—

—

13,378

13,378

(5,052
)
8,326

– POCI
 
—

—

—

18

314

332

(99
)
233

Loans and advances to banks at amortised cost
 
60,636

5,329

1,859

1,395

—

69,219

(16
)
69,203

– stage 1
 
60,548

5,312

1,797

112

—

67,769

(14
)
67,755

– stage 2
 
88

17

62

1,283

—

1,450

(2
)
1,448

– stage 3
 
—

—

—

—

—

—

—

—

– POCI
 
—

—

—

—

—

—

—

—

Other financial assets measured at amortised cost
 
537,253

54,505

22,766

503

152

615,179

(118
)
615,061

– stage 1
 
536,942

54,058

21,921

279

—

613,200

(38
)
613,162

– stage 2
 
311

447

845

224

—

1,827

(38
)
1,789

– stage 3
 
—

—

—

—

151

151

(42
)
109

– POCI
 
—

—

—

—

1

1

—

1

Loan and other credit-related commitments
 
369,424

146,988

77,499

5,338

780

600,029

(329
)
599,700

– stage 1
 
368,711

141,322

66,283

1,315

—

577,631

(137
)
577,494

– stage 2
 
713

5,666

11,216

4,023

—

21,618

(133
)
21,485

– stage 3
 
—

—

—

—

771

771

(59
)
712

– POCI
 
—

—

—

—

9

9

—

9

Financial guarantees
 
7,441

6,033

5,539

1,011

190

20,214

(48
)
20,166

– stage 1
 
7,400

5,746

4,200

338

—

17,684

(16
)
17,668

– stage 2
 
41

287

1,339

673

—

2,340

(22
)
2,318

– stage 3
 
—

—

—

—

186

186

(10
)
176

– POCI
 
—

—

—

—

4

4

—

4

At 31 Dec 2019
 
1,499,643

471,257

336,148

28,254

14,814

2,350,116

(9,243
)
2,340,873

Debt instruments at FVOCI
1
 
 
 
 
 
 
 
 
– stage 1
 
333,072

10,941

6,902

—

—

350,915

(39
)
350,876

– stage 2
 
86

25

320

544

—

975

(127
)
848

– stage 3
 
—

—

—

—

—

—

—

—

– POCI
 
—

—

—

—

1

1

—

1

At 31 Dec 2019
 
333,158

10,966

7,222

544

1

351,891

(166
)
351,725

1
For the purposes of this disclosure, gross carrying value is defined as the amortised cost of a financial asset before adjusting for any loss allowance. As such, the gross carrying value of debt instruments at FVOCI as presented above will not reconcile to the balance sheet as it excludes fair value gains and losses.

Distribution of financial instruments to which the impairment requirements in IFRS 9 are applied, by credit quality and stage allocation2 
(continued)
(Audited)
 
 
Gross carrying/notional amount
 
 
 
 
Strong

Good

Satisfactory

Sub-standard

Credit impaired

Total

Allowance for ECL

 Net

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

$m

Loans and advances to customers at amortised cost
 
485,451

244,199

230,357

16,993

13,321

990,321

(8,625
)
981,696

– stage 1
 
483,170

232,004

187,773

5,446

—

908,393

(1,276
)
907,117

– stage 2
 
2,281

12,195

42,584

11,521

—

68,581

(2,108
)
66,473

– stage 3
 
—

—

—

—

13,023

13,023

(5,047
)
7,976

– POCI
 
—

—

—

26

298

324

(194
)
130

Loans and advances to banks at amortised cost
 
60,249

7,371

4,549

11

—

72,180

(13
)
72,167

– stage 1
 
60,199

7,250

4,413

11

—

71,873

(11
)
71,862

– stage 2
 
50

121

136

—

—

307

(2
)
305

– stage 3
 
—

—

—

—

—

—

—

—

– POCI
 
—

—

—

—

—

—

—

—

Other financial assets measured at amortised cost
 
514,848

44,724

23,019

200

126

582,917

(55
)
582,862

– stage 1
 
514,525

44,339

22,184

70

—

581,118

(27
)
581,091

– stage 2
 
323

385

835

130

—

1,673

(6
)
1,667

– stage 3
 
—

—

—

—

126

126

(22
)
104

– POCI
 
—

—

—

—

—

—

—

—

Loan and other credit-related commitments
 
373,302

137,076

75,478

5,233

919

592,008

(325
)
591,683

– stage 1
 
372,529

131,278

62,452

973

—

567,232

(143
)
567,089

– stage 2
 
773

5,798

13,026

4,260

—

23,857

(139
)
23,718

– stage 3
 
—

—

—

—

912

912

(43
)
869

– POCI
 
—

—

—

—

7

7

—

7

Financial guarantees
 
9,716

7,400

5,505

597

300

23,518

(93
)
23,425

– stage 1
 
9,582

6,863

4,231

158

—

20,834

(19
)
20,815

– stage 2
 
134

537

1,274

439

—

2,384

(29
)
2,355

– stage 3
 
—

—

—

—

297

297

(45
)
252

– POCI
 
—

—

—

—

3

3

—

3

At 31 Dec 2018
 
1,443,566

440,770

338,908

23,034

14,666

2,260,944

(9,111
)
2,251,833

Debt instruments at FVOCI
1
—








– stage 1
 
319,623

12,358

6,856

2,218

—

341,055

(33
)
341,022

– stage 2
 
9

96

354

340

—

799

(50
)
749

– stage 3
 
—

—

—

—

8

8

(1
)
7

– POCI
 
—

—

—

—

4

4

—

4

At 31 Dec 2018
 
319,632

12,454

7,210

2,558

12

341,866

(84
)
341,782

1
For the purposes of this disclosure, gross carrying value is defined as the amortised cost of a financial asset before adjusting for any loss allowance. As such, the gross carrying value of debt instruments at FVOCI as presented above will not reconcile to the balance sheet as it excludes fair value gains and losses.
2
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount. For further details, see page 122.
Disclosure of reconciliation of changes in loss allowance and explanation of changes in gross carrying amount for financial instruments
Reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to banks and customers including
loan commitments and financial guarantees
(Audited)

Non-credit impaired
Credit impaired


Stage 1
Stage 2
Stage 3
POCI
Total

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL


$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2019
1,502,976

(1,449
)
95,104

(2,278
)
14,232

(5,135
)
334

(194
)
1,612,646

(9,056
)
Transfers of financial instruments:
(36,244
)
(543
)
31,063

1,134

5,181

(591
)
—

—

—

—

– transfers from stage 1 to stage 2
(108,434
)
487

108,434

(487
)
—

—

—

—

—

—

– transfers from stage 2 to stage 1
73,086

(1,044
)
(73,086
)
1,044

—

—

—

—

—

—

– transfers to stage 3
(1,284
)
59

(5,022
)
665

6,306

(724
)
—

—

—

—

– transfers from stage 3
388

(45
)
737

(88
)
(1,125
)
133

—

—

—

—

Net remeasurement of ECL arising from transfer of stage
—

669

—

(676
)
—

(114
)
—

—

—

(121
)
New financial assets originated or purchased
504,064

(534
)
—

—

—

—

135

(21
)
504,199

(555
)
Assets derecognised (including final repayments)
(352,961
)
112

(19,909
)
553

(2,712
)
656

(26
)
8

(375,608
)
1,329

Changes to risk parameters – further lending/repayment
(72,239
)
291

(2,560
)
67

402

(6
)
28

12

(74,369
)
364

Changes to risk parameters – credit quality
—

2

—

(1,208
)
—

(2,704
)
—

(51
)
—

(3,961
)
Changes to models used for ECL calculation
—

(6
)
—

4

—

14

—

—

—

12

Assets written off
—

—

—

—

(2,657
)
2,657

(140
)
140

(2,797
)
2,797

Credit-related modifications that resulted in derecognition
—

—

—

—

(268
)
125

—

—

(268
)
125

Foreign exchange
16,838

(9
)
1,201

(40
)
160

(31
)
1

1

18,200

(79
)
Others
(821
)
3

652

3

(3
)
8

13

6

(159
)
20

At 31 Dec 2019
1,561,613

(1,464
)
105,551

(2,441
)
14,335

(5,121
)
345

(99
)
1,681,844

(9,125
)
ECL income statement change for the period


534



(1,260
)


(2,154
)


(52
)


(2,932
)
Recoveries


















361

Others


















(20
)
Total ECL income statement change for the period


















(2,591
)
 
At 31 Dec 2019
12 months ended 
31 Dec 2019

 
Gross carrying/nominal amount

Allowance for ECL

ECL charge

 
$m

$m

$m

As above
1,681,844

(9,125
)
(2,591
)
Other financial assets measured at amortised cost
615,179

(118
)
(26
)
Non-trading reverse purchase agreement commitments
53,093

—

—

Performance and other guarantees not considered for IFRS 9
—

—

(34
)
Summary of financial instruments to which the impairment requirements in IFRS 9 are applied/Summary consolidated income statement
2,350,116

(9,243
)
(2,651
)
Debt instruments measured at FVOCI
355,664

(166
)
(105
)
Total allowance for ECL/total income statement ECL change for the period
n/a

(9,409
)
(2,756
)
Reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to banks and customers including
loan commitments and financial guarantees1,2
(Audited)
 
Non-credit impaired
Credit impaired
Total
 
Stage 1
Stage 2
Stage 3
POCI
 
Gross exposure

Allowance/ provision for ECL

Gross exposure

Allowance/ provision for ECL

Gross exposure

Allowance/ provision for ECL

Gross exposure

Allowance/ provision for ECL

Gross exposure

Allowance/ provision for ECL

 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2018
1,446,857

(1,469
)
102,032

(2,406
)
15,083

(5,722
)
1,042

(242
)
1,565,014

(9,839
)
Transfers of financial instruments:
(8,747
)
(685
)
3,582

1,185

5,165

(500
)
—

—

—

—

– transfers from stage 1 to stage 2
(84,181
)
319

84,181

(319
)
—

—

—

—

—

—

– transfers from stage 2 to stage 1
77,325

(999
)
(77,325
)
999

—

—

—

—

—

—

– transfers to stage 3
(2,250
)
35

(4,439
)
607

6,689

(642
)
—

—

—

—

– transfers from stage 3
359

(40
)
1,165

(102
)
(1,524
)
142

—

—

—

—

Net remeasurement of ECL arising from transfer of stage
—

620

—

(605
)
—

(103
)
—

—

—

(88
)
Net new lending and further lending/payments
126,868

(512
)
(16,162
)
564

(2,902
)
733

(587
)
42

107,217

827

Changes to risk parameters – credit quality
—

423

—

(1,087
)
—

(2,238
)
—

(51
)
—

(2,953
)
Changes to models used for ECL calculation
—

—

—

—

—

—

—

—

—

—

Assets written off
—

—

—

—

(2,568
)
2,552

(1
)
1

(2,569
)
2,553

Foreign exchange
(52,911
)
76

(2,935
)
99

(636
)
232

(26
)
6

(56,508
)
413

Other
(9,091
)
98

8,587

(28
)
90

(89
)
(94
)
50

(508
)
31

At 31 Dec 2018
1,502,976

(1,449
)
95,104

(2,278
)
14,232

(5,135
)
334

(194
)
1,612,646

(9,056
)
ECL income statement change for the period
 
531

 
(1,128
)
 
(1,608
)
 
(9
)
 
(2,214
)
Recoveries
 
 
 
 
 
 
 
 
 
408

Others
 
 
 
 
 
 
 
 
 
(62
)
Total ECL income statement change for the period
 
 
 
 
 
 
 
 
 
(1,868
)
 
At 31 Dec 2018
12 months ended 31 Dec 2018

 
Gross carrying/nominal amount

Allowance for ECL

ECL charge

 
$m

$m

$m

As above
1,612,646

(9,056
)
(1,868
)
Other financial assets measured at amortised cost
582,917

(55
)
21

Non-trading reverse purchase agreement commitments
65,381

—

—

Performance and other guarantees not considered for IFRS 9
—

—

(25
)
Summary of financial instruments to which the impairment requirements in IFRS 9 are applied/ Summary consolidated income statement
2,260,944

(9,111
)
(1,872
)
Debt instruments measured at FVOCI
343,110

(84
)
105

Total allowance for ECL/total income statement ECL change for the period
n/a

(9,195
)
(1,767
)
1
The 31 December 2018 comparative ‘Reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to banks and customers‘ disclosure presents ‘New financial assets originated or purchased’, ‘Assets derecognised (including final repayments)’ and ‘Changes to risk parameters – further lending/repayments’ under ‘Net new lending and further lending/repayments’. To provide greater granularity, these amounts have been separately presented in the 31 December 2019 disclosure.
2
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount for 31 December 2018 only. For further details, see page 122.
Wholesale lending – reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to banks and
customers including loan commitments and financial guarantees1 

(Audited)
 
Non-credit impaired
Credit impaired
 
 
Stage 1
Stage 2
Stage 3
POCI
Total
 
Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2018
897,529

(873
)
84,354

(1,249
)
10,209

(4,410
)
1,042

(242
)
993,134

(6,774
)
Transfers of financial instruments
(4,477
)
(274
)
1,535

386

2,942

(112
)
—

—

—

—

Net remeasurement of ECL arising from transfer of stage
—

262

—

(231
)
—

(92
)
—

—

—

(61
)
Net new and further lending/repayments
74,107

(271
)
(13,709
)
342

(2,414
)
406

(587
)
42

57,397

519

Changes to risk parameters – credit quality
—

157

—

(301
)
—

(1,041
)
—

(51
)
—

(1,236
)
Assets written off
—

—

—

—

(1,182
)
1,172

(1
)
1

(1,183
)
1,173

Foreign exchange and other
(44,967
)
97

6,086

41

(316
)
90

(120
)
56

(39,317
)
284

At 31 Dec 2018
922,192

(902
)
78,266

(1,012
)
9,239

(3,987
)
334

(194
)
1,010,031

(6,095
)
ECL income statement change for the period
 
148

 
(190
)
 
(727
)
 
(9
)
 
(778
)
Recoveries
 
 
 
 
 
 
 
 
 
118

Others
 
 
 
 
 
 
 
 
 
(69
)
Total ECL income statement change for the period
 
 
 
 
 
 
 
 
 
(729
)

1
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount for 31 December 2018 only. For further details, see page 122.
Wholesale lending – reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to banks and
customers including loan commitments and financial guarantees

(Audited)
 
Non-credit impaired
Credit impaired
 
 
Stage 1
Stage 2
Stage 3
POCI
Total
 
Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

 
$m

$m

$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2019
922,192

(902
)
78,266

(1,012
)
9,239

(3,987
)
334

(194
)
1,010,031

(6,095
)
Transfers of financial instruments
(31,493
)
(169
)
28,418

276

3,075

(107
)
—

—

—

—

Net remeasurement of ECL arising from transfer of stage
—

223

—

(268
)
—

(38
)
—

—

—

(83
)
Net new and further lending/ repayments
27,918

(134
)
(20,121
)
167

(1,552
)
369

137

(1
)
6,382

401

Change in risk parameters – credit quality
—

102

—

(193
)
—

(1,514
)
—

(51
)
—

(1,656
)
Changes to models used for ECL calculation
—

—

—

(56
)
—

—

—

—

—

(56
)
Assets written off
—

—

—

—

(1,312
)
1,312

(140
)
140

(1,452
)
1,452

Credit-related modifications that resulted in derecognition
—

—

—

—

(268
)
125

—

—

(268
)
125

Foreign exchange and other
7,035

13

1,606

(17
)
107

(66
)
14

7

8,762

(63
)
At 31 Dec 2019
925,652

(867
)
88,169

(1,103
)
9,289

(3,906
)
345

(99
)
1,023,455

(5,975
)
ECL income statement change for the period

191


(350
)

(1,183
)

(52
)

(1,394
)
Recoveries













47

Others

 
 
 
 
 
 
 
 
(24
)
Total ECL income statement change for the period









(1,371
)
Personal lending – reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to
customers including loan commitments and financial guarantees

(Audited)

 
 
 
Non-credit impaired
Credit impaired
 
 
Stage 1
Stage 2
Stage 3
Total
 
Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

 
$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2019
580,784

(547
)
16,838

(1,266
)
4,993

(1,148
)
602,615

(2,961
)
Transfers of financial instruments
(4,751
)
(374
)
2,645

858

2,106

(484
)
—

—

Net remeasurement of ECL arising from transfer of stage
—

446

—

(408
)
—

(76
)
—

(38
)
Net new and further lending/repayments
50,946

3

(2,348
)
453

(758
)
281

47,840

737

Change in risk parameters – credit quality
—

(100
)
—

(1,015
)
—

(1,190
)
—

(2,305
)
Changes to models used for ECL calculation
—

(6
)
—

60

—

14

—

68

Assets written off
—

—

—

—

(1,345
)
1,345

(1,345
)
1,345

Foreign exchange and other
8,982

(19
)
247

(20
)
50

43

9,279

4

At 31 Dec 2019
635,961

(597
)
17,382

(1,338
)
5,046

(1,215
)
658,389

(3,150
)
ECL income statement change for the period


343



(910
)


(971
)


(1,538
)
Recoveries














314

Other














4

Total ECL income statement change for the period














(1,220
)
Personal lending – reconciliation of changes in gross carrying/nominal amount and allowances for loans and advances to customers
including loan commitments and financial guarantees

(Audited)

 
Non-credit impaired
Credit impaired
 
 
Stage 1
Stage 2
Stage 3
Total
 
Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

Gross carrying/ nominal amount

Allowance for ECL

 
$m

$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2018
549,328

(596
)
17,678

(1,157
)
4,874

(1,312
)
571,880

(3,065
)
Transfers of financial instruments
(4,270
)
(411
)
2,047

799

2,223

(388
)
—

—

Net remeasurement of ECL arising from transfer of stage
—

358

—

(374
)
—

(11
)
—

(27
)
Net new and further lending/repayments
52,761

(241
)
(2,453
)
222

(488
)
327

49,820

308

Changes to risk parameters – credit quality
—

266

—

(786
)
—

(1,197
)
—

(1,717
)
Assets written off
—

—

—

—

(1,386
)
1,380

(1,386
)
1,380

Foreign exchange and other
(17,035
)
77

(434
)
30

(230
)
53

(17,699
)
160

At 31 Dec 2018
580,784

(547
)
16,838

(1,266
)
4,993

(1,148
)
602,615

(2,961
)
ECL income statement change for the period


383



(938
)


(881
)


(1,436
)
Recoveries
 
 
 
 
 
 
 
290

Others
 
 
 
 
 
 
 
(18
)
Total ECL income statement change for the period

 
 
 
 
 
 
 
(1,164
)
Disclosure of financial assets and off-balance sheet commitments
Wholesale lending – commercial real estate loans and advances including loan commitments by level of collateral for key
countries/territories (by stage)
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%
$m

%
$m

%
$m

%
Stage 1
 
 
 
 
 
 
 
 
Not collateralised
61,820

0.1
7,266

0.1
32,478

—
541

—
Fully collateralised
89,319

0.1
18,535

—
41,798

—
4,722

—
LTV ratio:












– less than 50%
46,318

0.1
7,018

0.1
28,776

—
1,703

0.1
– 51% to 75%
32,583

0.1
9,349

—
10,815

0.1
2,854

—
– 76% to 90%
5,018

0.1
1,649

0.1
1,436

0.1
96

—
– 91% to 100%
5,400

0.2
519

—
771

—
69

—
Partially collateralised (A):
6,563

0.2
682

—
1,627

0.1
—

—
– collateral value on A
3,602

 
535


1,142


—


Total
157,702

0.1
26,483

0.1
75,903

—
5,263

—
Stage 2
 
 
 
 
 
 
 
 
Not collateralised
3,040

1.2
1,857

1.2
440

0.2
—

—
Fully collateralised
5,184

1.1
1,419

1.2
1,501

0.6
354

1.4
LTV ratio:












– less than 50%
2,167

1.1
615

1.8
955

0.3
62

—
– 51% to 75%
1,986

0.9
712

0.6
497

1.0
292

1.4
– 76% to 90%
333

2.1
16

6.3
29

—
—

—
– 91% to 100%
698

1.1
76

1.3
20

—
—

—
Partially collateralised (B):
500

0.6
296

0.3
42

—
—

—
– collateral value on B
203


56

 
25


—

 
Total
8,724

1.1
3,572

1.1
1,983

0.5
354

—
Stage 3
 
 
 
 
 
 
 
 
Not collateralised
315

57.8
66

92.4
—

—
—

—
Fully collateralised
557

14.9
404

12.9
17

11.8
—

—
LTV ratio:












– less than 50%
87

16.1
42

7.1
6

16.7
—

—
– 51% to 75%
90

7.8
69

4.3
10

—
—

—
– 76% to 90%
89

15.7
72

4.2
—

—
—

—
– 91% to 100%
291

16.5
221

19.5
1

—
—

—
Partially collateralised (C):
773

41.5
507

27.8
—

—
—

—
– collateral value on C
380


166

 
—


—


Total
1,645

35.6
977

26.0
17

11.8
—

—
POCI
 
 
 
 
 
 
 
 
Not collateralised
—

—
—

—
—

—
—

—
Fully collateralised
1

—
—

—
—

—
—

—
LTV ratio:












– less than 50%
1

—
—

—
—

—
—

—
– 51% to 75%
—

—
—

—
—

—
—

—
– 76% to 90%
—

—
—

—
—

—
—

—
– 91% to 100%
—

—
—

—
—

—
—

—
Partially collateralised (D):
—

—
—

—
—

—
—

—
– collateral value on D
—

 
—

 
—

 
—

 
Total
1

—
—

—
—

—
—

—
At 31 Dec 2019
168,072

0.5
31,032

1.0
77,903

0.1
5,617

0.1
Wholesale lending – commercial real estate loans and advances including loan commitments by level of collateral for key
countries/territories (by stage)1 (continued)
 
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL
coverage
Gross carrying/nominal amount

ECL
coverage
Gross carrying/nominal amount

ECL
coverage
Gross carrying/nominal amount

ECL
coverage
 
$m

%
$m

%
$m

%
$m

%
Stage 1
 
 
 
 
 
 
 
 
Not collateralised
61,486

0.1
9,920

0.2
31,224

—
—

—
Fully collateralised
86,960

0.1
17,196

0.1
39,174

—
4,862

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
46,650

0.1
7,673

0.1
25,870

—
3,463

—
– 51% to 75%
29,384

0.1
7,937

0.1
10,452

0.1
787

—
– 76% to 90%
5,167

0.1
1,038

—
1,168

0.1
519

—
– 91% to 100%
5,759

0.2
548

0.2
1,684

0.1
93

—
Partially collateralised (A):
6,101

0.1
487

0.2
2,130

—
—

—
– collateral value on A
3,735

 
285

 
1,401

 
—

 
Total
154,547

0.1
27,603

0.1
72,528

—
4,862

—
Stage 2
 
 
 
 
 
 
 
 
Not collateralised
2,886

0.9
1,083

1.0
1,140

0.2
—

—
Fully collateralised
5,309

1.1
1,352

2.6
1,576

0.4
439

0.5
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
2,372

0.9
727

1.9
795

0.4
303

0.7
– 51% to 75%
1,667

0.7
567

0.7
505

0.4
7

—
– 76% to 90%
363

5.0
34

44.1
29

—
129

—
– 91% to 100%
907

1.0
24

8.3
247

—
—

—
Partially collateralised (B):
289

1.4
52

5.8
15

—
—

—
– collateral value on B
156

 
20

 
5

 
—

 
Total
8,484

1.1
2,487

2.0
2,731

0.3
439

0.5
Stage 3
 
 
 
 
 
 
 
 
Not collateralised
338

57.1
61

85.2
—

—
—

—
Fully collateralised
606

12.7
433

9.2
12

—
—

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
412

10.0
304

9.2
2

—
—

—
– 51% to 75%
88

27.3
58

6.9
10

—
—

—
– 76% to 90%
38

2.6
35

5.7
—

—
—

—
– 91% to 100%
68

16.2
36

16.7
—

—
—

—
Partially collateralised (C):
474

56.5
261

42.9
—

—
—

—
– collateral value on C
321

 
137

 
—

 
—

 
Total
1,418

37.9
755

27.0
12

—
—

—
POCI
 
 
 
 
 
 
 
 
Not collateralised
—

—
—

—
—

—
—

—
Fully collateralised
15

53.3
—

—
—

—
—

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
13

61.5
—

—
—

—
—

—
– 51% to 75%
2

—
—

—
—

—
—

—
– 76% to 90%
—

—
—

—
—

—
—

—
– 91% to 100%
—

—
—

—
—

—
—

—
Partially collateralised (D):
—

—
—

—
—

—
—

—
– collateral value on D
—

 
—

 
—

 
—

 
Total
15

53.3
—

—
—

—
—

—
At 31 Dec 2018
164,464

0.5
30,845

0.9
75,271

—
5,301

0.1
1
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount. For further details, see page 122.

Wholesale lending – commercial real estate loans and advances including loan commitments by level of collateral for key
countries/territories
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%
$m

%
$m

%
$m

%
Rated CRR/PD1 to 7
 
 
 
 
 
 
 
 
Not collateralised
64,850

0.1
9,119

0.3
32,918

—
541

—
Fully collateralised
94,299

0.1
19,833

0.1
43,299

0.1
5,021

0.1
Partially collateralised (A):
7,052

0.2
971

0.1
1,669

0.1
—

—
– collateral value on A
3,796

 
586

 
1,167

 
—

 
Total
166,201

0.1
29,923

0.1
77,886

—
5,562

0.1
Rated CRR/PD8
 
 
 
 
 
 
 
 
Not collateralised
10

50.0
4

100.0
—

—
—

—
Fully collateralised
204

4.9
121

5.0
—

—
55

3.6
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
47

8.5
27

14.8
—

—
13

—
– 51% to 75%
120

3.3
68

1.5
—

—
42

4.8
– 76% to 90%
25

4.0
15

6.7
—

—
—

—
– 91% to 100%
12

8.3
11

—
—

—
—

—
Partially collateralised (B):
11

—
7

—
—

—
—

—
– collateral value on B
9

 
5

 
—

 
—

 
Total
225

6.7
132

7.6
—

—
55

3.6
Rated CRR/PD9 to 10
 
 
 
 
 
 
 
 
Not collateralised
315

57.8
66

92.4
—

—
—

—
Fully collateralised
557

14.9
404

12.9
17

11.8
—

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
87

16.1
42

7.1
6

16.7
—

—
– 51% to 75%
90

7.8
69

4.3
10

—
—

—
– 76% to 90%
89

15.7
72

4.2
—

—
—

—
– 91% to 100%
291

16.5
221

19.5
1

100.0
—

—
Partially collateralised (C):
774

41.6
507

27.8
—

—
—

—
– collateral value on C
380

 
166

 
—

 
—

 
Total
1,646

35.7
977

26.0
17

11.8
—

—
At 31 Dec 2019
168,072

0.5
31,032

1.0
77,903

0.1
5,617

0.1
Rated CRR/PD1 to 7
 
 
 
 
 
 
 
 
Not collateralised
64,324

0.1
11,001

0.2
32,364

—
—

—
Fully collateralised
91,791

0.1
18,112

0.2
40,747

0.1
5,282

0.1
Partially collateralised (A):
6,377

0.2
532

0.6
2,145

—
—

—
– collateral value on A
3,879


299


1,406


—


Total
162,492

0.1
29,645

0.3
75,256

—
5,282

0.1
Rated CRR/PD8








Not collateralised
49

2.0
2

—
—

—
—

—
Fully collateralised
477

1.5
435

1.1
3

33.3
19

—
LTV ratio:








– less than 50%
178

1.7
149

1.3
3

33.3
19

—
– 51% to 75%
269

0.4
265

0.4
—

—
—

—
– 76% to 90%
13

7.7
7

14.3
—

—
—

—
– 91% to 100%
17

11.8
14

14.3
—

—
—

—
Partially collateralised (B):
13

7.7
8

12.5
—

—
—

—
– collateral value on B
12


6


—


—


Total
539

1.7
445

1.3
3

33.3
19

—
Rated CRR/PD9 to 10








Not collateralised
338

57.1
61

85.2
—

—
—

—
Fully collateralised
621

13.5
433

9.2
12

—
—

—
LTV ratio:








– less than 50%
425

11.5
304

9.2
2

—
—

—
– 51% to 75%
90

26.7
58

6.9
10

—
—

—
– 76% to 90%
38

2.6
35

5.7
—

—
—

—
– 91% to 100%
68

16.2
36

16.7
—

—
—

—
Partially collateralised (C):
474

56.5
261

42.9
—

—
—

—
– collateral value on C
321


137


—


—


Total
1,433

38.0
755

27.0
12

—
—

—
At 31 Dec 2018
164,464

0.5
30,845

0.9
75,271

—
5,301

0.1
Wholesale lending – other corporate, commercial and financial (non-bank) loans and advances including loan commitments by level
of collateral for key countries/territories (by stage)
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%
$m

%
$m

%
$m

%
Stage 1
 
 
 
 
 
 
 
 
Not collateralised
680,079

0.1
132,197

0.2
116,536

—
112,911

—
Fully collateralised
128,290

0.1
40,172

0.1
32,818

0.1
14,830

—
LTV ratio:








– less than 50%
48,012

0.1
13,831

0.1
11,009

0.1
5,326

—
– 51% to 75%
37,891

0.1
11,903

0.2
12,783

0.1
3,717

0.1
– 76% to 90%
13,072

0.1
3,399

0.2
4,697

0.1
130

—
– 91% to 100%
29,315

—
11,039

—
4,329

0.1
5,657

—
Partially collateralised (A):
52,890

0.1
8,122

0.1
20,162

0.1
1,629

—
– collateral value on A
25,824


3,809


9,616


1,337


Total
861,259

0.1
180,491

0.2
169,516

—
129,370

—
Stage 2








Not collateralised
61,540

1.2
13,318

2.2
13,308

0.7
10,129

0.9
Fully collateralised
21,126

0.8
3,139

1.8
12,934

0.6
868

0.8
LTV ratio:








– less than 50%
7,081

0.9
1,208

2.0
3,845

0.6
303

0.3
– 51% to 75%
8,482

0.9
1,111

1.8
5,580

0.7
465

1.1
– 76% to 90%
2,684

0.9
282

2.1
1,646

0.5
47

2.1
– 91% to 100%
2,879

0.6
538

1.3
1,863

0.2
53

—
Partially collateralised (B):
8,463

0.8
1,516

1.4
3,768

0.4
124

1.6
– collateral value on B
3,669


370


1,801


53


Total
91,129

1.1
17,973

2.1
30,010

0.6
11,121

0.9
Stage 3








Not collateralised
4,768

49.2
1,899

33.0
504

83.5
2

50.0
Fully collateralised
1,479

22.4
494

12.6
86

12.8
214

—
LTV ratio:








– less than 50%
335

35.2
103

17.5
9

33.3
2

—
– 51% to 75%
352

24.4
198

8.6
21

4.8
—

—
– 76% to 90%
373

23.6
101

20.8
40

7.5
—

—
– 91% to 100%
419

9.1
92

7.6
16

25.0
212

—
Partially collateralised (C):
1,367

44.8
369

20.1
87

48.3
92

44.6
– collateral value on C
693


192


34


65


Total
7,614

43.2
2,762

27.6
677

70.0
308

13.6
POCI








Not collateralised
223

32.7
32

96.9
7

—
—

—
Fully collateralised
28

3.6
—

—
10

—
—

—
LTV ratio:








– less than 50%
2

50.0
—

—
—

—
—

—
– 51% to 75%
26

—
—

—
10

—
—

—
– 76% to 90%
—

—
—

—
—

—
—

—
– 91% to 100%
—

—
—

—
—

—
—

—
Partially collateralised (D):
97

33.0
57

1.8
31

90.3
—

—
– collateral value on D
57


19


30


—


Total
348

30.5
89

36.0
48

58.3
—

—
At 31 Dec 2019
960,350

0.5
201,315

0.7
200,251

0.4
140,799

0.1

Wholesale lending – other corporate, commercial and financial (non-bank) loans and advances including loan commitments by level
of collateral for key countries/territories (by stage)1,2 (continued)
(Audited)

 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%
$m

%
$m

%
$m

%
Stage 1
 
 
 
 
 
 
 
 
Not collateralised
673,589

0.1
137,269

0.2
122,259

—
116,001

—
Fully collateralised
127,443

0.1
30,492

0.1
36,730

0.1
11,229

0.1
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
39,509

0.1
8,519

0.2
12,032

0.1
4,686

—
– 51% to 75%
49,518

0.1
9,275

0.2
14,264

0.1
2,424

—
– 76% to 90%
12,627

0.1
3,201

0.2
4,567

0.1
318

—
– 91% to 100%
25,789

0.1
9,497

—
5,867

0.1
3,801

—
Partially collateralised (A):
54,412

0.1
6,668

0.2
21,942

—
1,875

—
– collateral value on A
23,857

 
3,250

 
10,263

 
912

 
Total
855,444

0.1
174,429

0.2
180,931

—
129,105

—
Stage 2
 
 
 
 
 
 
 
 
Not collateralised
61,464

1.1
21,035

1.7
6,212

0.4
10,085

1.2
Fully collateralised
13,633

1.2
5,645

1.5
3,378

0.5
1,131

9.3
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
5,109

1.1
2,047

1.7
1,421

0.4
342

0.6
– 51% to 75%
4,950

1.3
2,154

1.8
1,290

0.6
467

0.6
– 76% to 90%
1,399

1.8
496

1.2
391

0.5
85

1.2
– 91% to 100%
2,175

0.8
948

0.4
276

0.4
237

1.7
Partially collateralised (B):
6,623

0.7
1,793

1.2
2,287

0.3
63

1.6
– collateral value on B
2,324

 
339

 
971

 
16

 
Total
81,720

1.1
28,473

1.6
11,877

0.4
11,279

1.1
Stage 3
 
 
 
 
 
 
 
 
Not collateralised
5,240

50.2
1,882

38.8
478

81.2
1

100.0
Fully collateralised
1,460

22.9
517

6.2
146

—
130

13.8
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
361

36.0
133

10.5
11

—
4

—
– 51% to 75%
328

9.8
179

1.7
62

—
—

—
– 76% to 90%
427

24.6
131

13.7
32

—
—

—
– 91% to 100%
344

19.8
74

8.1
41

—
126

—
Partially collateralised (C):
1,147

43.1
228

21.1
158

15.2
71

31.0
– collateral value on C
580

 
132

 
38

 
55

 
Total
7,847

44.1
2,627

31.2
782

52.7
202

10.9
POCI
 
 
 
 
 
 
 
 
Not collateralised
232

66.8
—

—
25

20.0
—

—
Fully collateralised
37

2.7
—

—
9

—
—

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
1

—
—

—
—

—
—

—
– 51% to 75%
—

—
—

—
—

—
—

—
– 76% to 90%
22

—
—

—
—

—
—

—
– 91% to 100%
14

—
—

—
9

—
—

—
Partially collateralised (D):
49

63.3
8

—
35

85.7
—

—
– collateral value on D
38

 
3

 
34

 
—

 
Total
318

59.2
8

—
69

50.7
—

—
At 31 Dec 2018
945,329

0.6
205,537

0.8
193,659

0.3
140,586

0.1
1
During the period, the Group has re-presented the UK wholesale lending stage 1 and stage 2 amount. For further details, see page 122.
2
The 2018 comparative amounts have been re-presented to reclassify amounts from fully collateralised to not collateralised and to include not collateralised amounts previously excluded. The impact of these re-presentations is to increase stage 1 not collateralised amounts by $130bn and decrease fully collateralised amounts by $105bn; increase stage 2 not collateralised amounts by $14bn and decrease fully collateralised amounts by $12bn; and to increase stage 3 not collateralised amounts by $0.3bn and decrease fully collateralised amounts by $0.1bn.
Wholesale lending – other corporate, commercial and financial (non-bank) loans and advances including loan commitments by level
of collateral for key countries/territories
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%
$m

%
$m

%
$m

%
Rated CRR/PD8
 
 
 
 
 
 
 
 
Not collateralised
2,499

5.8
285

13.0
10

70.0
1,645

3.3
Fully collateralised
694

3.3
382

2.6
—

—
166

1.2
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
246

2.8
120

1.7
—

—
85

1.2
– 51% to 75%
189

4.2
93

3.2
—

—
18

—
– 76% to 90%
97

2.1
42

2.4
—

—
45

2.2
– 91% to 100%
162

3.7
127

3.9
—

—
18

—
Partially collateralised (A):
279

4.7
53

5.7
73

2.7
66

3.0
– collateral value on A
152


34


6


39


Total
3,472

5.2
720

6.9
83

12.0
1,877

3.0
Rated CRR/PD9 to 10
 
 
 

 

 

Not collateralised
4,991

48.5
1,930

34.1
510

82.5
2

50.0
Fully collateralised
1,507

22.0
494

12.6
96

11.5
214

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
338

35.2
103

17.5
10

—
2

—
– 51% to 75%
377

22.8
198

8.6
30

3.3
—

—
– 76% to 90%
373

23.6
101

20.8
40

7.5
—

—
– 91% to 100%
419

9.1
92

7.6
16

—
212

—
Partially collateralised (B):
1,464

44.0
427

17.6
119

58.8
92

44.6
– collateral value on B
750


211


64


65


Total
7,962

42.7
2,851

27.9
725

69.2
308

13.6
At 31 Dec 2019
11,434

31.3
3,571

23.7
808

63.4
2,185

4.5
Rated CRR/PD8
 
 
 
 
 
 
 
 
Not collateralised
1,243

5.4
565

6.2
94

7.4
191

5.2
Fully collateralised
1,895

3.6
74

4.1
11

9.1
1,621

3.1
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
693

4.2
21

4.8
—

—
594

4.2
– 51% to 75%
292

2.7
49

2.0
11

9.1
169

2.4
– 76% to 90%
45

15.6
2

—
—

—
20

—
– 91% to 100%
865

2.8
2

—
—

—
838

—
Partially collateralised (A):
212

2.8
23

4.3
153

1.3
—

—
– collateral value on A
84

 
14

 
49

 
—

 
Total
3,350

4.2
662

6
258

3.9
1,812

3.4
Rated CRR/PD9 to 10
 
 
 
 
 
 
 
 
Not collateralised
5,199

53.2
1,775

42.1
503

78.1
6

16.7
Fully collateralised
1,719

24.8
513

6.2
155

—
188

9.6
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
608

36.0
181

7.7
11

—
77

22.1
– 51% to 75%
503

8.7
172

1.7
62

—
103

1.0
– 76% to 90%
405

24.2
86

10.5
32

—
—

—
– 91% to 100%
203

31.5
74

8.1
50

—
8

—
Partially collateralised (B):
974

46.1
187

21.9
193

28.0
5

60.0
– collateral value on B
466

 
116

 
73

 
2

 
Total
7,892

46.1
2,475

33.2
851

52.6
199

11.1
At 31 Dec 2018
11,242

33.7
3,137

27.4
1,109

41.3
2,011

4.2
Personal lending – residential mortgage loans including loan commitments by level of collateral for key countries/territories by stage
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage

Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage

Gross carrying/nominal amount

ECL coverage
 
$m

%

$m

%
$m

%

$m

%
Stage 1
 
 
 
 
 
 
 
 
Fully collateralised
326,510

—

143,772

—
86,049

—

16,079

—
LTV ratio:
 
 
 
 
 
 
 
 
– less than 50%
168,923

—

70,315

—
57,043

—

8,170

—
– 51% to 60%
55,287

—

21,898

—
13,169

—

3,330

—
– 61% to 70%
44,208

—

19,903

—
6,478

—

2,702

—
– 71% to 80%
33,049

—

17,649

—
3,195

—

1,610

—
– 81% to 90%
18,157

—

11,127

—
3,685

—

198

—
– 91% to 100%
6,886

—

2,880

—
2,479

—

69

—
Partially collateralised (A):
1,384

0.1
326

—
284

—

5

—
LTV ratio:








– 101% to 110%
843

0.1
89

—
281

—

3

—
– 111% to 120%
195

0.2
48

—
1

—

1

—
– greater than 120%
346

0.1
189

—
2

—

1

—
– collateral value on A
1,232


232


279


5


Total
327,894

—

144,098

—
86,333

—

16,084

—
Stage 2








Fully collateralised
7,087

0.9
1,941

1.0
1,116

—

1,074

0.3
LTV ratio:








– less than 50%
3,781

0.5
1,146

0.7
892

—

680

0.2
– 51% to 60%
923

1.1
233

1.5
95

—

184

0.3
– 61% to 70%
909

1.2
262

1.2
59

—

130

0.6
– 71% to 80%
894

1.1
231

1.0
32

—

53

1.3
– 81% to 90%
425

1.6
36

2.9
25

—

17

2.7
– 91% to 100%
155

4.4
33

1.8
13

—

10

1.1
Partially collateralised (B):
76

7.2
23

1.8
1

—

4

—
LTV ratio:








– 101% to 110%
45

5.4
20

1.5
1

—

2

—
– 111% to 120%
10

11.1
1

4.8
—

—

1

—
– greater than 120%
21

9.0
2

3.0
—

—

1

—
– collateral value on B
69


20


1


3


Total
7,163

1.0
1,964

1.0
1,117

—

1,078

0.3
Stage 3








Fully collateralised
2,725

9.0
1,177

9.9
44
0.5

695

0.7
LTV ratio:








– less than 50%
1,337

7.1
711

7.8
39

0.5

279

0.7
– 51% to 60%
410

7.0
159

10.0
3

0.2

126

0.8
– 61% to 70%
358

7.9
136

10.6
—

—

125

0.8
– 71% to 80%
309

13.4
100

18.9
1

—

93

1.1
– 81% to 90%
178

13.8
47

12.3
1

—

51

—
– 91% to 100%
133

21.8
24

26.3
—

—

21

—
Partially collateralised (C):
371

47.6
25

27.3
—

—

13

0.2
LTV ratio:








– 101% to 110%
97

36.4
11

19.1
—

—

7

0.3
– 111% to 120%
62

37.8
6

22.7
—

—

2

0.3
– greater than 120%
212

55.6
8

42.0
—

—

4

—
– collateral value on C
305


24


—


13


Total
3,096

13.7
1,202

10.3
44
0.5

708

0.7
At 31 Dec 2019
338,153

0.2
147,264

0.1
87,494

—

17,870

0.1
Personal lending – residential mortgage loans including loan commitments by level of collateral for key countries/territories by stage
(continued)
(Audited)
 
 
 
Of which:
 
Total
UK
Hong Kong
US
 
Gross carrying/nominal amount

ECL coverage

Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
Gross carrying/nominal amount

ECL coverage
 
$m

%

$m

%
$m

%
$m

%
Stage 1
 
 
 
 
 
 
 
 
Fully collateralised
299,072

—

130,646

—
79,180

—
15,321

—
LTV ratio:








– less than 50%
160,563

—

66,834

—
54,262

—
8,060

—
– 51% to 60%
51,415

—

20,937

—
11,591

—
3,382

—
– 61% to 70%
40,273

—

17,480

—
5,979

—
2,473

—
– 71% to 80%
28,383

—

15,086

—
2,986

—
1,113

—
– 81% to 90%
14,191

—

8,824

—
2,637

—
158

—
– 91% to 100%
4,247

0.1
1,485

—
1,725

—
135

—
Partially collateralised (A):
1,420

0.1
581

—
300

—
10

—
LTV ratio:








– 101% to 110%
808

0.1
334

—
256

—
5

—
– 111% to 120%
184

0.2
46

—
41

—
2

—
– greater than 120%
428

0.2
201

—
3

—
3

—
– collateral value on A
1,266


493


284


8


Total
300,492

—

131,227

—
79,480

—
15,331

—
Stage 2








Fully collateralised
6,170

1.0
1,234

1.3
867

—
1,435

0.3
LTV ratio:








– less than 50%
3,334

0.7
917

0.9
699

—
814

0.1
– 51% to 60%
932

1.1
113

3.0
74

—
268

0.4
– 61% to 70%
853

1.0
105

2.2
43

—
231

0.3
– 71% to 80%
586

1.3
39

3.4
28

—
79

0.9
– 81% to 90%
331

1.7
27

3.1
20

—
32

1.6
– 91% to 100%
134

2.4
33

1.5
3

—
11

0.8
Partially collateralised (B):
123

2.9
46

0.2
1

—
5

0.3
LTV ratio:








– 101% to 110%
76

1.5
44

0.1
1

—
3

0.5
– 111% to 120%
17

4.5
1

4.3
—

—
1

—
– greater than 120%
30

5.3
1

0.6
—

—
1

—
– collateral value on B
118


44


1


4


Total
6,293

1.0
1,280

1.3
868

—
1,440

0.3
Stage 3








Fully collateralised
2,557

12.3
1,023

10.9
25

0.9
671

1.0
LTV ratio:








– less than 50%
1,255

13.6
638

7.8
24

0.9
219

0.9
– 51% to 60%
359

8.3
151

11.3
1

—
107

0.9
– 61% to 70%
336

12.0
119

18.4
—

—
105

1.0
– 71% to 80%
280

9.9
70

14.8
—

—
114

0.9
– 81% to 90%
190

9.4
33

19.4
—

—
81

1.2
– 91% to 100%
137

19.8
12

45.9
—

—
45

2.2
Partially collateralised (C):
391

33.6
23

15.8
—

—
24

0.4
LTV ratio:








– 101% to 110%
73

17.4
10

14.3
—

—
14

0.6
– 111% to 120%
68

24.2
5

26.4
—

—
6

0.3
– greater than 120%
250

40.8
8

11.1
—

—
4

0.2
– collateral value on C
372


20


—


22


Total
2,948

15.1
1,046

11.0
25

0.9
695

1.0
At 31 Dec 2018
309,733

0.2
133,553

0.1
80,373

—
17,466

0.1
Disclosure of balance sheet amounts related to insurance manufacturing subsidiaries
Balance sheet of insurance manufacturing subsidiaries by type of contract
(Audited)
 
 
 
 
 
 
 
 
With
DPF

Unit-linked

Other contracts1

Shareholder
assets and liabilities

Total

 
Footnotes
$m

$m

$m

$m

$m

Financial assets
 
73,929

7,333

17,514

8,269

107,045

– trading assets
 
—

—

—

—

—

– financial assets designated and otherwise mandatorily measured at fair value through profit or loss
 
21,652

7,119

3,081

2,426

34,278

– derivatives
 
202

(6
)
9

3

208

– financial investments at amortised cost
 
35,299

18

13,436

4,076

52,829

– financial investments at fair value through other comprehensive income
 
12,447

—

445

1,136

14,028

– other financial assets
2
4,329

202

543

628

5,702

Reinsurance assets
 
2,208

72

1,563

1

3,844

PVIF
3
—

—

—

8,945

8,945

Other assets and investment properties
 
2,495

2

211

602

3,310

Total assets
 
78,632

7,407

19,288

17,817

123,144

Liabilities under investment contracts designated at fair value
 
—

2,011

3,881

—

5,892

Liabilities under insurance contracts
 
77,147

6,151

14,141

—

97,439

Deferred tax
4
197

23

6

1,297

1,523

Other liabilities
 
—

—

—

4,410

4,410

Total liabilities
 
77,344

8,185

18,028

5,707

109,264

Total equity
 
—

—

—

13,879

13,879

Total liabilities and equity at 31 Dec 2019
 
77,344

8,185

18,028

19,586

123,143

Balance sheet of insurance manufacturing subsidiaries by type of contract (continued)
(Audited)
 
 
 
 
 
 
 
 
With
DPF

Unit-linked

Other contracts1

Shareholder
assets and liabilities

Total

 
Footnotes
$m

$m

$m

$m

$m

Financial assets
 
66,735

7,337

15,552

7,120

96,744

– trading assets
 
—

—

—

—

—

– financial assets designated and otherwise mandatorily measured at fair value through profit or loss

 
17,855

7,099

3,024

1,264

29,242

– derivatives
 
200

—

33

4

237

– financial investments at amortised cost

 
33,575

70

11,597

4,171

49,413

– financial investments at fair value through other comprehensive income

 
11,499

—

450

1,385

13,334

– other financial assets
2
3,606

168

448

296

4,518

Reinsurance assets
 
1,255

69

1,368

—

2,692

PVIF
3
—

—

—

7,149

7,149

Other assets and investment properties
 
2,670

2

235

453

3,360

Total assets
 
70,660

7,408

17,155

14,722

109,945

Liabilities under investment contracts designated at fair value
 
—

1,574

3,884

—

5,458

Liabilities under insurance contracts
 
69,269

5,789

12,272

—

87,330

Deferred tax
4
179

21

15

1,051

1,266

Other liabilities
 
—

—

—

3,659

3,659

Total liabilities
 
69,448

7,384

16,171

4,710

97,713

Total equity
 
—

—

—

12,232

12,232

Total liabilities and equity at 31 Dec 2018
 
69,448

7,384

16,171

16,942

109,945

1
‘Other Contracts’ includes term insurance, credit life insurance, universal life insurance and investment contracts not included in the ‘Unit-linked’ or ‘With DPF’ columns.
2
Comprise mainly loans and advances to banks, cash and inter-company balances with other non-insurance legal entities.
3
Present value of in-force long-term insurance business.
4
‘Deferred tax’ includes the deferred tax liabilities arising on recognition of PVIF.
Balance sheet of insurance manufacturing subsidiaries by geographical region1
(Audited)
 
 
Europe

Asia

Latin
America

Total

 
Footnotes
$m

$m

$m

$m

Financial assets
 
31,613

74,237

1,195

107,045

– trading assets
 
—

—

—

—

– financial assets designated and otherwise mandatorily measured at fair value through profit or loss
 
15,490

18,562

226

34,278

– derivatives
 
84

124

—

208

– financial investments – at amortised cost
 
100

52,186

543

52,829

– financial investments – at fair value through other comprehensive income
 
13,071

582

375

14,028

– other financial assets
2
2,868

2,783

51

5,702

Reinsurance assets
 
237

3,604

3

3,844

PVIF
3
945

7,841

159

8,945

Other assets and investment properties
 
1,085

2,176

49

3,310

Total assets
 
33,880

87,858

1,406

123,144

Liabilities under investment contracts designated at fair value
 
1,139

4,753

—

5,892

Liabilities under insurance contracts
 
28,437

67,884

1,118

97,439

Deferred tax
4
229

1,275

19

1,523

Other liabilities
 
2,212

2,172

26

4,410

Total liabilities
 
32,017

76,084

1,163

109,264

Total equity
 
1,862

11,774

243

13,879

Total liabilities and equity at 31 Dec 2019
 
33,879

87,858

1,406

123,143

 
 
 
 
 
 
Balance sheet of insurance manufacturing subsidiaries by geographical region1 (continued)
 
 
Europe

Asia

Latin
America

Total

 
Footnotes
$m

$m

$m

$m

Financial assets
 
28,631

66,793

1,320

96,744

– trading assets
 
—

—

—

—

– financial assets designated and otherwise mandatorily measured at fair value through profit or loss
 
13,142

15,744

326

29,242

– derivatives
 
121

116

—

237

– financial investments – at amortised cost
 
296

48,595

522

49,413

– financial investments – at fair value through other comprehensive income
 
12,453

440

441

13,334

– other financial assets
2
2,619

1,868

31

4,518

Reinsurance assets
 
249

2,438

5

2,692

PVIF
3
832

6,195

122

7,149

Other assets and investment properties
 
1,053

2,280

27

3,360

Total assets
 
30,765

77,706

1,474

109,945

Liabilities under investment contracts designated at fair value
 
780

4,678

—

5,458

Liabilities under insurance contracts
 
26,375

59,829

1,126

87,330

Deferred tax
4
209

1,050

7

1,266

Other liabilities
 
1,690

1,911

58

3,659

Total liabilities
 
29,054

67,468

1,191

97,713

Total equity
 
1,711

10,238

283

12,232

Total liabilities and equity at 31 Dec 2018
 
30,765

77,706

1,474

109,945

1
HSBC has no insurance manufacturing subsidiaries in Middle East and North Africa or North America.
2
Comprise mainly loans and advances to banks, cash and inter-company balances with other non-insurance legal entities.
3
Present value of in-force long-term insurance business.
4
‘Deferred tax’ includes the deferred tax liabilities arising on recognition of PVIF.
Disclosure of financial return guarantees
Financial return guarantees
(Audited)
 
 
2019
2018
 
 
Investment returns implied by guarantee
Long-term investment returns on relevant portfolios
Cost of guarantees

Investment returns implied by guarantee
Long-term investment returns on relevant portfolios
Cost of guarantees

 
Footnotes
%
%
$m

%
%
$m

Capital
 
0.0
1.3 - 3.9
110

0.0
2.2-3.0
100

Nominal annual return
 
0.1 - 2.0
3.0-4.5
118

0.1-2.0
3.6-3.7
78

Nominal annual return
1
2.0 - 4.0
2.4 - 4.5
355

2.1-4.0
2.7-4.6
420

Nominal annual return
 
4.1 - 5.0
2.3 - 4.1
110

4.1-5.0
2.7-4.1
71

At 31 Dec
 


693



669

1
A block of contracts in France with guaranteed nominal annual returns in the range 1.25%–3.72% is reported entirely in the 2.0%–4.0% category in line with the average guaranteed return of 2.6% offered to policyholders by these contracts.
Disclosure of sensitivity analysis to insurance risk factors
Sensitivity of HSBC’s insurance manufacturing subsidiaries to market risk factors
(Audited)
 
2019
2018
 
Effect on
profit after tax

Effect on
total equity

Effect on
profit after tax

Effect on
total equity

 
$m

$m

$m

$m

+100 basis point parallel shift in yield curves
43

(37
)
9

(61
)
-100 basis point parallel shift in yield curves
(221
)
(138
)
(28
)
46

10% increase in equity prices
270

270

213

213

10% decrease in equity prices
(276
)
(276
)
(202
)
(202
)
10% increase in US dollar exchange rate compared with all currencies
41

41

36

36

10% decrease in US dollar exchange rate compared with all currencies
(41
)
(41
)
(36
)
(36
)
Sensitivity analysis
(Audited)

2019

2018


$m

$m

Effect on profit after tax and total equity at 31 Dec




10% increase in mortality and/or morbidity rates
(88
)
(77
)
10% decrease in mortality and/or morbidity rates
88

82

10% increase in lapse rates
(99
)
(95
)
10% decrease in lapse rates
114

107

10% increase in expense rates
(106
)
(92
)
10% decrease in expense rates
105

93
Disclosure of expected maturity of insurance contract liabilities
Expected maturity of insurance contract liabilities
(Audited)
 
Expected cash flows (undiscounted)
 
Within 1 year

1-5 years

5-15 years

Over 15 years

Total

 
$m

$m

$m

$m

$m

Unit-linked
1,296

3,153

2,654

1,955

9,058

With DPF and Other contracts
7,907

26,906

50,576

71,731

157,120

At 31 Dec 2019
9,203

30,059

53,230

73,686

166,178

 
 
 
 
 
 
Unit-linked
1,119

2,932

2,684

1,962

8,697

With DPF and Other contracts
7,459

27,497

46,217

55,989

137,162

At 31 Dec 2018
8,578

30,429

48,901

57,951

145,859
Disclosure of funding sources and uses
Funding sources
(Audited)
 
2019

2018

 
$m

$m

Customer accounts
1,439,115

1,362,643

Deposits by banks
59,022

56,331

Repurchase agreements – non-trading
140,344

165,884

Debt securities in issue
104,555

85,342

Cash collateral, margin and settlement accounts
71,002

54,066

Liabilities of disposal groups held for sale
—

313

Subordinated liabilities
24,600

22,437

Financial liabilities designated at fair value
164,466

148,505

Liabilities under insurance contracts
97,439

87,330

Trading liabilities
83,170

84,431

– repos
558

1,495

– stock lending
9,702

10,998

– other trading liabilities
72,910

71,938

Total equity
192,668

194,249

Other balance sheet liabilities
338,771

296,593

At 31 Dec
2,715,152

2,558,124


Funding uses
(Audited)
 
 
2019

2018

 
Footnotes
$m

$m

Loans and advances to customers
 
1,036,743

981,696

Loans and advances to banks
 
69,203

72,167

Reverse repurchase agreements – non-trading
 
240,862

242,804

Prepayments, accrued income and other assets
1
63,891

47,159

– cash collateral, margin and settlement accounts
 
63,891

47,159

Assets held for sale
 
123

735

Trading assets
 
254,271

238,130

– reverse repos
 
13,659

9,893

– stock borrowing
 
7,691

8,387

– other trading assets
 
232,921

219,850

Financial investments
 
443,312

407,433

Cash and balances with central banks
 
154,099

162,843

Other balance sheet assets
 
452,648

405,157

At 31 Dec
 
2,715,152

2,558,124

1
Includes only those financial instruments that are subject to the impairment requirements of IFRS 9. ‘Prepayments, accrued income and other assets’ as presented within the consolidated balance sheet on page 262 includes both financial and non-financial assets.
Disclosure of value at risk (VaR)
The Group trading VaR for the year is shown in the table below.
Trading VaR, 99% 1 day1
(Audited)
 
 
 
 
 
 
 
Foreign
exchange and commodity

Interest
rate

Equity

Credit
spread

Portfolio diversification2

Total3

 
$m

$m

$m

$m

$m

$m

Balance at 31 Dec 2019
7.7

28.2

15.7

15.2

(26.4
)
40.3

Average
6.9

29.9

16.2

23.7

(29.0
)
47.8

Maximum
13.5

36.5

24.9

33.2



59.3

Minimum
4.1

22.9

12.4

11.7



33.3

 
 
 
 
 
 
 
Balance at 31 Dec 2018
12.6

33.9

22.6

25.9

(37.9
)
57.1

Average
9.5

36.4

22.5

20.7

(34.3
)
54.8

Maximum
21.8

49.9

33.8

35.2

 
71.2

Minimum
5.5

27.0

13.5

12.2

 
43.9


1
Trading portfolios comprise positions arising from the market-making and warehousing of customer-derived positions.
2
Portfolio diversification is the market risk dispersion effect of holding a portfolio containing different risk types. It represents the reduction in unsystematic market risk that occurs when combining a number of different risk types – such as interest rate, equity and foreign exchange – together in one portfolio. It is measured as the difference between the sum of the VaR by individual risk type and the combined total VaR. A negative number represents the benefit of portfolio diversification. As the maximum and minimum occurs on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit for these measures.
3
The total VaR is non-additive across risk types due to diversification effects.
The Group non-trading VaR for the year is shown in the table below.
Non-trading VaR, 99% 1 day
(Audited)
 
Interest
rate

Credit
spread

Portfolio
diversification1

Total2

 
$m

$m

$m

$m

Balance at 31 Dec 2019
96.2

62.5

(28.2
)
130.5

Average
65.9

44.2

(25.6
)
84.5

Maximum
100.1

81.2



132.8

Minimum
49.2

26.6



60.9

 
 
 
 
 
Balance at 31 Dec 2018
61.4

37.2

(30.6
)
68

Average
96.8

48.3

(29.1
)
116

Maximum
129.3

96

 
154.1

Minimum
59.9

27.6

 
68

1
Portfolio diversification is the market risk dispersion effect of holding a portfolio containing different risk types. It represents the reduction in unsystematic market risk that occurs when combining a number of different risk types – such as interest rate, equity and foreign exchange – together in one portfolio. It is measured as the difference between the sum of the VaR by individual risk type and the combined total VaR. A negative number represents the benefit of portfolio diversification. As the maximum and minimum occurs on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit for these measures.
2
The total VaR is non-additive across risk types due to diversification effects.