Bank of New York Mellon : Pershing Securities International Limited Pillar 3 Disclosure 2018

Pershing Securities International Limited
	Executive summary
1	Article 431 CRR - Scope of disclosure requirements......................................	6
1.1	Disclosure policy...............................................................................................................	6
1.2	The Basel III framework....................................................................................................	7
1.3	Purpose of pillar 3.............................................................................................................	8
1.4	Article 432 CRR - Non-material, proprietary or confidential information...........................	8
1.5	Article 433/434 CRR - Frequency and means of disclosure.............................................	9
1.6	Board approval .................................................................................................................	9
1.7	Key 2018 and subsequent events ....................................................................................	9
1.8	Key metrics.......................................................................................................................	9
1.9	Article 436 CRR - Scope of application ............................................................................	11
1.10	Core business lines ..........................................................................................................	12
	Capital
2	Article 438 CRR - Capital requirements ............................................................	15
2.1	Calculating capital requirements ......................................................................................	16
	Risk
3	Article 435 CRR - Risk management objectives and policies.........................	17
3.1	Board of Directors.............................................................................................................	20
3.2	Risk management framework...........................................................................................	22
3.3	Risk appetite.....................................................................................................................	23
3.4	Stress testing....................................................................................................................	23
4	Article 442 CRR - Credit risk adjustments........................................................	24
4.1	Definition and identification...............................................................................................	25
4.2	Management of credit risk ................................................................................................	25
4.3	Governance ......................................................................................................................	26
4.4	Analysis of credit risk........................................................................................................	26
4.5	Analysis of past due and impaired exposures ..................................................................	28
5	Article 453 CRR - Credit risk mitigation............................................................	32
5.1	Collateral valuation and management ..............................................................................	32
5.2	Wrong-wayrisk.................................................................................................................	32
5.3	Credit risk concentration...................................................................................................	32
6	Article 444 CRR - External credit rating assessment institutions..................	34

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Pershing Securities International Limited
7	Article 439 CRR - Exposure to counterparty credit risk..................................	37
7.1	Credit valuation adjustment ..............................................................................................	38
8	Article 443 CRR - Asset encumbrance..............................................................	39
9	Article 445 CRR - Exposure to market risk.......................................................	41
10	Article 448 CRR - Interest rate risk in the banking book.................................	42
11	Article 446 CRR - Operational risk ....................................................................	43
11.1	Operational risk management framework.........................................................................	43
	Human resources
12	Article 450 CRR - Remuneration policy ............................................................	44
12.1	Governance ......................................................................................................................	44
12.2	Aligning pay with performance .........................................................................................	44
12.3	Fixed remuneration...........................................................................................................	45
12.4	Ratio between fixed and variable pay...............................................................................	45
12.5	Variable compensation funding and risk adjustment ........................................................	45
12.6	Deferral policy and vesting criteria ...................................................................................	46
12.7	Variable remuneration of control function staff .................................................................	47
12.8	Quantitative disclosures ...................................................................................................	47

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Pershing Securities International Limited
Index of tables
Table 1: KM1 - Key metrics .................................................................................................................	10
Table 2: EU OV1 - Overview of RWAs ................................................................................................	16
Table 3: EU CRB-B - Total and average net amount of exposures .....................................................	27
Table 4: EU CRB-C- Geographical breakdown of exposures ............................................................	27
Table 5: EU CRB-D - Concentration of exposures by counterparty types...........................................	28
Table 6: EU CRB-E- Maturity of exposures........................................................................................	28
Table 7: EU CR1-A - Credit quality of exposures by exposure class and instrument..........................	29
Table 8: EU CR1-B- Credit quality of exposures by industry..............................................................	29
Table 9: EU CR1-C - Credit quality of exposures by geography .........................................................	30
Table 10: EU CR3 - Credit risk mitigation techniques - overview........................................................	33
Table 11: Mapping of ECAIs credit assessments to credit quality steps .............................................	34
Table 12: Credit quality steps and risk-weights ...................................................................................	34
Table 13: EU CR4 - Credit risk exposure and credit risk mitigation ('CRM') effects............................	35
Table 14: EU CR5 - Credit risk exposure by risk-weight post CCF and CRM.....................................	35
Table 15: EU CCR1 - Analysis of the counterparty credit risk ('CCR') exposure by approach............	37
Table 16: EU CCR3 - CCR exposures by regulatory portfolio and risk ...............................................	38
Table 17: EU CCR5-A - Impact of netting and collateral held on exposure values .............................	38
Table 18: AE-A- Encumbered assets..................................................................................................	39
Table 19: AE-B- Collateral ..................................................................................................................	39
Table 20: AE-C- Sources of encumbrance .........................................................................................	40
Table 21: EU MR1 - Market risk ..........................................................................................................	41

Any discrepancies between the totals and sums of components within the tables and graphs within this report are due to rounding.

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Pershing Securities International Limited
	Appendices
Appendix 1 - Other risks ...................................................................................................	48
Liquidity risk......................................................................................................................................	48
Group risk .........................................................................................................................................	48
Business and financial risk ...............................................................................................................	48
Residual risk .....................................................................................................................................	49
Appendix 2 - Glossary of terms........................................................................................	50
Appendix 3 - CRD IV reference.........................................................................................	55

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