Bank of America : 30th September 2020 Interim Financial Information Disclosure Statement (English)

Banc of America Securities Asia Limited

Regulatory Disclosure Statement

For the quarter ended Sep 30, 2020

Contents	Pages
1.	Key Prudential Ratios	1 - 2
2.	Overview of Risk Weighted Assets	2 - 3
3.	Leverage Ratio	3 - 4
4.	Statement of Compliance	4

BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

1. Key Prudential Ratios:

The following table provides an overview of the Bank's key prudential ratios.

		as at 30 Sep	as at 30 Jun	as at 31 Mar	as at 31 Dec	as at 30 Sep
		2020	2020	2020	2019	2019
	Regulatory capital (amount US$'000)
1	Common Equity Tier 1 (CET1)	538,256	536,056	535,154	534,222	534,872
2	Tier 1	538,256	536,056	535,154	534,222	534,872
3	Total capital	538,256	536,056	535,154	534,222	534,872
	RWA (amount US$'000)
4	Total RWA	113,666	144,349	137,218	116,731	162,655

Risk-based regulatory capital ratios (as a percentage of RWA)

5	CET1 ratio (%)	473.54	371.36	390.00	457.65	328.84
6	Tier 1 ratio (%)	473.54	371.36	390.00	457.65	328.84
7	Total capital ratio (%)	473.54	371.36	390.00	457.65	328.84
		Additional CET1 buffer requirements (as a percentage of RWA)
		Capital conservation buffer
8	requirement (%)	2.50	2.50	2.50	2.50	2.50
		Countercyclical capital buffer
9	requirement (%)	0.02	0.83	-	-	-
		Higher loss absorbency requirements
		(%) (applicable only to G-SIBs or D-
10	SIBs)	NA	NA	NA	NA	NA
		Total AI-specific CET1 buffer
11	requirements (%)	2.52	3.33	2.50	2.50	2.50
		CET1 available after meeting the AI's
12	minimum capital requirements (%)	463.02	360.03	379.50	447.15	318.34
		Basel III leverage ratio
		Total leverage ratio (LR) exposure
13	measure (amount USD'000)	551,690	649,908	673,993	580,765	693,091
14	LR (%)	97.57	82.48	79.40	91.99	77.17
		Liquidity Coverage Ratio (LCR) / Liquidity Maintenance Ratio (LMR)
		Applicable to category 1 institution
		only:
		Total high quality liquid assets
15	(HQLA)	NA	NA	NA	NA	NA
16	Total net cash outflows	NA	NA	NA	NA	NA
17	LCR (%)	NA	NA	NA	NA	NA
		Applicable to category 2 institution
		only:
							333,333,333,
	17a	LMR (%)	22,652.19	252,336.43	577,337.34	4,278,110.69	336,243.00
		Net Stable Funding Ratio (NSFR) / Core Funding Ratio (CFR)
		Applicable to category 1 institution
		only:
18	Total available stable funding	NA	NA	NA	NA	NA
19	Total required stable funding	NA	NA	NA	NA	NA
20	NSFR (%)	NA	NA	NA	NA	NA
		Applicable to category 2A institution
		only:
	20a	CFR (%)	NA	NA	NA	NA	NA

As of 30th Sep 2020, the LMR was 22,652.19%, decreased by 229,684.24% when compared to 30th Jun 2020. This is mainly driven by increase in comparative average qualifying liabilities during the quarter.

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BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

The above key regulatory ratios were calculated in accordance with the following Rules, where relevant, issued by the HKMA.

• Banking (Capital) Rules ("BCR")
• Leverage Ratio Framework
• Banking (Liquidity) Rules ("BLR")

2. Overview of Risk Weighted Assets

The following table sets out the Banks's risk-weighted assets ("RWA") and the corresponding minimum capital requirements by risk types.

									Minimum
					RWA			capital
							requirements
					US$'000
						US$'000
					As at		As at		As at
					30 Sep 2020		30 Jun 2020		30 Sep 2020
	1	Credit risk for non-securitization exposures			70,704		50,571		5,656
	2	Of which STC approach			70,704		50,571		5,656
	2a	Of which BSC approach			-		-		-
	3	Of which foundation IRB approach			-		-		-
	4	Of which supervisory slotting criteria approach			-		-		-
	5	Of which advanced IRB approach			-		-		-
	6	Counterparty default risk and default fund contributions			1,568		35,308		125
	7	Of which SA-CCR			-		-		-
	7a	Of which CEM			1,077		29,494		86
	8	Of which IMM(CCR) approach			-		-		-
	9	Of which other			-		-		-
	10	CVA Risk			491		5,814		39
	11	Equity positions in banking book under the simple risk-			-		-		-
		weight method and internal models method
	12	Collective investment scheme ("CIS") exposures - LTA	-		-		-
	13	CIS exposures - MBA	-		-		-
	14	CIS exposures - FBA	-		-		-
	14a CIS exposures - combination of approaches	-		-		-
	15	Settlement risk	-		-		-
	16	Securitization exposures in banking book			-		-		-
	17	Of which SEC-IRBA			-		-		-
	18	Of which SEC-ERBA (including IAA)			-		-		-
	19	Of which SEC-SA			-		-		-
	19a	Of which SEC-FBA			-		-		-
	20	Market risk			20,509		38,968		1,641
	21	Of which STM approach			20,509		38,968		1,641
	22	Of which IMM approach			-		-		-
	23	Capital charge for switch between exposures in trading			-		-		-
		book and banking book (not applicable before the revised
		market risk framework takes effect)*

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BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

												Minimum
					RWA					capital
									requirements
					US$'000
								US$'000
					As at			As at				As at
					30 Sep 2020			30 Jun 2020				30 Sep 2020
	24	Operational risk	20,885			19,502				1,671
	24a	Sovereign concentration risk	-			-				-
	25	Amounts below the thresholds for deduction (subject to			-			-				-
		250% RW)
	26	Capital floor adjustment			-			-				-
	26a	Deduction to RWA			-			-				-
	26b	Of which portion of regulatory reserve for general			-			-				-
		banking risks and collective provisions which is not
		included in Tier 2 Capital
	26c	Of which portion of cumulative fair value gains arising			-			-				-
		from the revaluation of land and buildings which is not
		included in Tier 2 Capital
	27	Total			113,666			144,349				9,093

3. Leverage Ratio

								Leverage ratio				Leverage ratio
				Item				framework				framework
							US$'000				US$'000
								30 Sep 2020				30 Jun 2020
				On-balance sheet exposures
	1			On-balance sheet exposures (excluding those arising from derivative	550,327		539,732
			contracts and SFTs, but including collateral)
	2			Less: Asset amounts deducted in determining Tier 1 capital	(792)		(1,405)
	3			Total on-balance sheet exposures (excluding derivative contracts and	549,535		538,327
			SFTs
				Exposures arising from derivative contracts
				Replacement cost associated with all derivative contracts (where
	4			applicable net of eligible cash variation margin and/or with bilateral	-		13,633
				netting)
	5			Add-on amounts for PFE associated with all derivative contracts	2,155		11,948
	6			Gross-up for derivatives collateral provided where deducted from the	-		-
			balance sheet assets pursuant to the applicable accounting framework
	7			Less: Deductions of receivables assets for cash variation margin provided	-		-
			under derivative contracts
	8			Less: Exempted CCP leg of client-cleared trade exposures	-		-
	9			Adjusted effective notional amount of written credit derivative contracts	-		-
	10			Less: Adjusted effective notional offsets and add-on deductions for written	-		-
			credit derivative contracts
	11		Total exposures arising from derivative contracts		2,155			25,581

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BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

Exposures arising from SFTs

							Leverage ratio			Leverage ratio
							framework			framework
							US$'000			US$'000
							30 Sep 2020			30 Jun 2020
	12				Gross SFT assets (with no recognition of netting), after adjusting for sale	-		-
				accounting transactions
	13				Less: Netted amounts of cash payables and cash receivables of gross	-		-
				SFT assets
	14			CCR exposure for SFT assets	-		-
	15			Agent transaction exposures	-		-
	16			Total exposures arising from SFTs	-		-
					Other off-balance sheet exposures
	17			Off-balance sheet exposure at gross notional amount	-		86,000
	18			Less: Adjustments for conversion to credit equivalent amounts	-		-
	19			Off-balance sheet items	-		86,000
					Capital and total exposures
	20			Tier 1 capital	538,256		536,056
	20a		Total exposures before adjustments for specific and collective provisions	551,690		649,908
	20b		Adjustments for specific and collective provisions	-		-
	21			Total exposures after adjustments for specific and collective provisions	551,690		649,908
					Leverage ratio
	22				Leverage ratio		97.57%			82.48%

4. Statement of Compliance

Upon consultation with the HKMA under section 16(2)(a) of the Banking (Disclosure) Rules ("BDR"), BASAL had sought consent from the HKMA to continue uploading the required financial disclosure information to the website of its ultimate parent entity, Bank of America Corporation.

It is not practicable for BASAL to disclose under section 16(FE)(1)(b) of the BDR the full terms and conditions of all of its relevant regulatory capital instruments on its internet website, since BASAL does not currently maintain its own internet website. This is the reason that led BASAL to seek the aforementioned consent form HKMA.

Herein included below is the direct link to Bank of America Corporation's internet website, whereby the full terms and conditions of all of BASAL's relevant regulatory capital instruments and financial disclosure information can be accessed.

http://investor.bankofamerica.com/phoenix.zhtml?c=71595&p=subsidiaries#fbid=eDBVweHpCCU

This information is also identical to, if not the closest available alternative to, the information which have been the subject of the required disclosures if BASAL had not been so unable to make the required disclosures on its own internet website.

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