Banc of America Securities Asia Limited

RegulatoryDisclosure Statement

For the quarter ended Mar 31, 2024

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 follow ing 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 2024

Dec 2023

Sep 2023

Jun 2023

Mar 2023

Regulatorycapital (amount US$'000)

1

Common Equity Tier 1 (CET1)

75,796

75,252

614,420

602,828

587,613

2

Tier 1

75,796

75,252

614,420

602,828

587,613

3

Total capital

75,796

75,252

614,420

602,828

587,613

RWA (amount US$'000)

4

Total RWA

104,285

110,245

1,002,143

941,973

785,955

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

5

CET1 ratio (%)

72.68

68.26

61.31

64.00

74.76

6

Tier 1 ratio (%)

72.68

68.26

61.31

64.00

74.76

7

Total capital ratio (%)

72.68

68.26

61.31

64.00

74.76

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 (%)

-

1.85

1.97

1.00

0.99

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 (%)

2.50

4.35

4.47

3.50

3.49

CET1 available after meeting the AI's minimum

12

capital requirements (%)

62.18

55.91

48.84

51.49

63.27

Basel III leverage ratio

Total leverage ratio (LR) exposure measure

13

(amount USD'000)

82,871

83,904

2,639,299

3,165,050

3,361,222

14

LR (%)

91.46

89.69

23.28

19.05

17.48

Liquidity Coverage Ratio (LC / 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 (%)

160.06

1,182.35

15,459.90

40,196.28

67,615.68

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, 2024, the LMR w as 160.06%, decreased by 1022.29% when compared to December 31, 2023. This is mainly driven by decrease in average qualifying liabilities and decrease in average qualifying assets during the quarter.

- 1 -

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 Framew ork
  • Banking (Liquidity) Rules ("BLR")

2. Overview of Risk Weighted Assets

The follow ing table sets out the Banks's risk-w eighted 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 2024

31 Dec 2023

31 Mar 2024

1

Credit risk for non-securitization exposures

16,523

18,973

1,322

2

Of w hich STC approach

16,523

18,973

1,322

2a

Of w hich BSC approach

-

-

-

3

Of w hich foundation IRB approach

-

-

-

4

Of w hich supervisory slotting criteria approach

-

-

-

5

Of w hich advanced IRB approach

-

-

-

6

Counterparty default risk and default fund contributions

-

-

-

7

Of w hich SA-CCR approach

-

-

-

7a

Of w hich CEM

-

-

-

8

Of w hich IMM(CCR) approach

-

-

-

9

Of w hich other

-

-

-

10

CVA Risk

-

-

-

11

Equity positions in banking book under the simple risk- w eight 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 w hich SEC-IRBA

-

-

-

18

Of w hich SEC-ERBA (including IAA)

-

-

-

19

Of w hich SEC-SA

-

-

-

19a

Of w hich SEC-FBA

-

-

-

20

Market risk

-

256

-

21

Of w hich STM approach

-

256

-

22

Of w hich IMM approach

-

-

-

- 2 -

BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

Minimum

RWA

capital

requirements

US$'000

US$'000

As at

As at

As at

31 Mar 2024

31 Dec 2023

31 Mar 2024

23

Capital charge for sw itch between exposures in trading

-

-

-

book and banking book (not applicable before the revised

market risk framew ork takes effect)*

24

Operational risk

87,762

91,016

7,021

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 w hich portion of regulatory reserve for general

-

-

-

banking risks and collective provisions w hich is not

included in Tier 2 Capital

26c

Of w hich portion of cumulative fair value gains arising

-

-

-

fromthe revaluation of land and buildings w hich is not

included in Tier 2 Capital

27

Total

104,285

110,245

8,343

3. Leverage Ratio

Leverage ratio

Leverage ratio

Item

framework

framework

US$'000

US$'000

31 Mar 2024

31 Dec 2023

On-balance sheet exposures

1

On-balance sheet exposures (excluding those arising from derivative

8 3 ,594

8 4 ,625

contracts and SFTs, but including collateral)

2

Less: Asset amounts deducted in determining Tier 1 capital

-7 23

-7 21

3

Total on-balance sheet exposures (excluding derivativecontracts and SFTs)

8 2 ,871

8 3 ,904

Exposures arising from derivative contracts

4

Replacement cost associated with all derivative contracts (where applicable

-

-

net of eligible cash variation margin and/or w ith bilateral netting)

5

Add-on amounts for PFE associated w ith all derivative transactions

-

-

Gross-up for collateral provided in respect of derivative contracts w here

-

-

6

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 w ritten credit derivative contracts

-

-

10

Less: Adjusted effective notional offsets and add-on deductions for written

-

-

credit derivative contracts

11

Total exposures arising fromderivative contracts

-

-

- 3 -

BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)

Item

Leverage ratio

Leverage ratio

framework

framework

US$'000

US$'000

31 Mar 2024

31 Dec 2023

Exposures arising from SFTs

12

Gross SFT assets (w ith 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 fromSFTs

-

-

Other off-balance sheet exposures

17

Off-balance sheet exposure at gross notional amount

-

-

18

Less: Adjustments for conversion to credit equivalent amounts

-

-

19

Off-balance sheet items

-

-

Capital and total exposures

20

Tier 1 capital

7 5 ,796

7 5 ,252

20a

Total exposures before adjustments for specific and collective provisions

8 2 ,871

8 3 ,904

20b

Adjustments for specific and collective provisions

-

-

21

Total exposures after adjustments for specific and collective provisions

8 2 ,871

8 3 ,904

Leverage ratio

22

Leverage ratio

91.46%

89.69%

4. Statement of Compliance

Upon consultation w ith the HKMA under section 16(2)(a) of the Banking (Disclosure) Rules ("BDR"), BASAL had sought consent fromthe HKMA to continue uploading the required financial disclosure information to the w ebsite 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 w ebsite, since BASAL does not currently maintain its own internet w ebsite. This is the reason that led BASAL to seek the aforementioned consent formHKMA.

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

https://investor.bankofamerica.com/regulatory-and-other-filings/subsidiary-and-country-disclosures

This information is also the closest available alternative to the information w hich have been the subject of the required disclosures.

- 4 -

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Disclaimer

Bank of America Corporation published this content on 27 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 27 May 2024 12:18:13 UTC.