Bank of America : March 31, 2022 (English)

Banc of America Securities Asia Limited

Regulatory Disclosure Statement

For the quarter ended Mar 31, 2022

Contents	Pages
1.	Key Prudential Ratios	1
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 31		as at 31	as at 30	as at 30	as at 31
		Mar 2022		Dec 2021	Sep 2021	Jun 2021	Mar 2021
	Regulatory capital (amount US$'000)
1	Common Equity Tier 1 (CET1)	549,832		545,174	540,323	541,611	541,705
2	Tier 1	549,832		545,174	540,323	541,611	541,705
3	Total capital	549,832		545,174	540,323	541,611	541,705
	RWA (amount US$'000)
4	Total RWA	370,884		308,492	266,000	130,106	104,234
	Risk-based regulatory capital ratios (as a percentage of RWA)
5	CET1 ratio (%)	148.25		176.72	203.13	416.29	519.70
6	Tier 1 ratio (%)	148.25		176.72	203.13	416.29	519.70
7	Total capital ratio (%)	148.25		176.72	203.13	416.29	519.70
	Additional CET1 buffer requirements (as a percentage of RWA)
8	Capital conservation buffer requirement (%)	2.50		2.50	2.50	2.50	2.50
9	Countercyclical capital buffer requirement (%)	0.01		-	-	-	-
	Higher loss absorbency requirements (%)
10	(applicable only to G-SIBs or D-SIBs)	NA		NA	NA	NA	NA
11	Total AI-specific CET1 buffer requirements (%)	2.51		2.50	2.50	2.50	2.50
	CET1 available after meeting the AI's minimum
12	capital requirements (%)	137.74		166.22	192.63	405.79	509.20
	Basel III leverage ratio
	Total leverage ratio (LR) exposure measure
13	(amount USD'000)	1,757,555		1,269,427	581,690	543,633	543,802
14	LR (%)	31.28		42.95	92.89	99.63	99.61
	Liquidity Coverage Ratio (LCR) / Liquidity Maintenance Ratio (LMR)
	Applicable to category 1 institution only:
15	Total high quality liquid assets (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:
17a	LMR (%)	8,905.74		13,671.43	14,001.85	28,952.88	484,275.17
	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 March 31, 2022, the LMR was 8,905.74%, decreased by 4,765.69% when compared to December 31, 2021. This is mainly driven by increase in average qualifying liabilities during the quarter.

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")

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BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

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
			31 Mar 2022		31 Dec 2021				31 Mar 2022
1	Credit risk for non-securitization exposures	26,536		30,808		2,123
2	Of which STC approach	26,536		30,808			2,123
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	50,044		22.512			4,004
7	Of which SA-CCR approach	34,023		14,496			2,722
7a	Of which CEM	-		-			-
8	Of which IMM(CCR) approach	-		-			-
9	Of which other	-		-			-
10	CVA Risk	16,021		8,016			1,282
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	270,455		234,347			21,536
21	Of which STM approach	270,455		234,347			21,536
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)*
24	Operational risk	23,849		20,825			1,908
24a	Sovereign concentration risk	-		-			-
25	Amounts below the thresholds for deduction (subject to	-		-			-
	250% RW)

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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
			31 Mar 2022		31 Dec 2021			31 Mar 2022
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	370,884		308,492		29,671

3. Leverage Ratio

					Leverage ratio			Leverage ratio
		Item			framework			framework
				US$'000			US$'000
					31 Mar 2022			31 Dec 2021
On-balance sheet exposures
1		On-balance sheet exposures (excluding those arising from derivative	1,670,264		1,225,205
	contracts and SFTs, but including collateral)
2		Less: Asset amounts deducted in determining Tier 1 capital	(95)		(289)
3		Total on-balance sheet exposures (excluding derivative contracts and SFTs)	1,670,169		1,224,916
Exposures arising from derivative contracts
4		Replacement cost associated with all derivative contracts (where applicable	26,441		469
	net of eligible cash variation margin and/or with bilateral netting)
5		Add-on amounts for PFE associated with all derivative transactions	60,945		44,042
		Gross-up for collateral provided in respect of derivative contracts where	-		-
6		deducted from the balance sheet assets pursuant to the applicable
		accounting framework.
		Less: Deductions of receivables assets for cash variation margin provided	-		-
7
	under derivative contracts
8		Less: Exempted CCP leg of client-cleared trade exposures	-		-
9		Adjusted effective notional amount of written credit derivative contracts	-		-
		Less: Adjusted effective notional offsets and add-on deductions for written	-		-
10
	credit derivative contracts
11		Total exposures arising from derivative contracts	87,386		44,511

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