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MarketScreener Homepage  >  Equities  >  Hong Kong Stock Exchange  >  China CITIC Bank Corporation Limited    998   CNE1000001Q4

CHINA CITIC BANK CORPORATION LIMITED

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China CITIC Bank : 2020 Interim

09/22/2020 | 02:05pm EST

China CITIC Bank International Limited

中信銀行(國際)有限公司

Regulatory Disclosure Statements

30 June 2020

(Unaudited)

These disclosures are prepared under

the Banking (Disclosure) Rules

Regulatory Disclosure Statement

CONTENTS

PAGE

Part I: Key prudential ratios and overview of Risk-Weighted Asset (RWA)

KM1:

Key prudential ratios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1

OV1:

Overview of RWA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2

Part IIA: Composition of regulatory capital

CC1:

Composition of regulatory capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3-8

CC2:

Reconciliation of regulatory capital to balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9

CCA:

Main features of regulatory capital instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10-12

Part IIB: Macroprudential supervisory measures

CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer . . . . . . . . . . . . .

13

Part IIC: Leverage ratio

LR1:

Summary comparison of accounting assets against leverage ratio exposure measure . . . . . . . . . . . . . .

13

LR2:

Leverage ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14

Part IID: Liquidity

LIQ1:

Liquidity Coverage Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

15

LIQ2:

Net Stable Funding Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

16-17

Part III: Credit risk for non-securitization exposures

CR1:

Credit quality of exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18

CR2:

Changes in defaulted loans and debt securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18

CR3:

Overview of recognised credit risk mitigation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18

CR4:

Credit risk exposures and effects of recognised credit risk mitigation - for STC approach . . . . . . . . .

19

CR5:

Credit risk exposures by asset classes and by risk weights - for STC approach. . . . . . . . . . . . . . . . . .

20

Part IV: Counterparty credit risk

CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches . . . . . . . . .

21

CCR2: CVA capital charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

21

CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and

by risk weights - STC approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

22

CCR5: Composition of collateral for counterparty default risk exposures (including those for

contracts or transactions cleared through CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23

CCR8

Exposures to CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23

Part V: Market risk

MR1:

Market risk under STM approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24

Regulatory Disclosure Statement (continued)

The information contained in this regulatory disclosure statement is for China CITIC Bank International Limited ("the Bank") and its subsidiaries (together "the Group"), and is prepared in accordance with the Banking (Disclosure) Rules and the disclosure templates issued by the Hong Kong Monetary Authority ("HKMA"). It should be read in conjunction with the Group's 2020 Interim Report. These regulatory disclosures are governed by the Group's disclosure policy, which set out the governance, control and assurance requirements for publication of the document.

PART I: KEY PRUDENTIAL RATIOS AND OVERVIEW OF RISK-WEIGHTED ASSET (RWA)

KM1: Key prudential ratios

At

At

At

At

At

30 June

31 March

31 December

30 September

30 June

2020

2020

2019

2019

2019

(a)

(b)

(c)

(d)

(e)

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

Regulatory capital

1

Common Equity Tier 1 (CET1)

37,595,770

38,063,930

37,430,332

36,488,587

35,484,890

2

Tier 1

45,367,830

45,835,990

45,202,392

44,260,647

43,256,950

3

Total capital

52,120,354

53,146,712

52,476,903

51,711,502

50,656,115

RWA

4

Total RWA

272,597,282

270,651,826

262,432,341

268,285,972

266,263,985

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

5

CET1 ratio (%)

13.8%

14.1%

14.3%

13.6%

13.3%

6

Tier 1 ratio (%)

16.6%

16.9%

17.2%

16.5%

16.2%

7

Total capital ratio (%)

19.1%

19.6%

20.0%

19.3%

19.0%

Additional CET1 buffer requirements (as a percentage of RWA)

8

Capital conservation buffer requirement (%)

2.500%

2.500%

2.500%

2.500%

2.500%

9

Countercyclical capital buffer requirement (%) (CCyB ratio) (Remark)

0.593%

0.584%

1.119%

1.355%

1.393%

10

Higher loss absorbency requirements (%) (applicable only to G-SIBs or

D-SIBs)

N/A

N/A

N/A

N/A

N/A

11

Total AI-specific CET1 buffer requirements (%)

3.093%

3.084%

3.619%

3.855%

3.893%

12

CET1 available after meeting the AI's minimum capital requirements (%)

9.3%

9.6%

9.8%

9.1%

8.8%

Basel III leverage ratio

13

Total leverage ratio (LR) exposure measure

378,711,875

361,828,522

384,491,342

359,966,028

373,673,578

14

LR (%)

12.0%

12.7%

11.8%

12.3%

11.6%

Liquidity Coverage Ratio (LCR)/Liquidity Maintenance Ratio (LMR)

Applicable to category 1 institution only:

15

Total high quality liquid assets (HQLA)

42,386,001

47,011,755

35,466,051

33,068,768

34,551,660

16

Total net cash outflows

19,064,904

17,320,678

15,799,506

15,960,920

15,470,046

17

LCR (%)

223.8%

272.2%

225.7%

207.6%

224.0%

Applicable to category 2 institution only:

17a

LMR (%)

N/A

N/A

N/A

N/A

N/A

Net Stable Funding Ratio (NSFR)/Core Funding Ratio (CFR)

Applicable to category 1 institution only:

18

Total available stable funding

236,248,495

231,887,605

240,558,288

234,709,644

240,406,580

19

Total required stable funding

169,098,438

167,498,538

165,902,045

168,209,740

168,044,582

20

NSFR (%)

139.7%

138.4%

145.0%

139.5%

143.1%

Applicable to category 2A institution only:

20a

CFR (%)

N/A

N/A

N/A

N/A

N/A

N/A - Non-Applicable Remark:

In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.

1

Regulatory Disclosure Statement (continued)

PART I: KEY PRUDENTIAL RATIOS AND RISK-WEIGHTED ASSET (RWA)

OV1: Overview of RWA

The following table provides an overview of the Bank's RWA by various risk types and the corresponding minimum capital requirements (i.e. 8% of RWA), as required by the HKMA.

(a)

(b)

(c)

Minimum

capital

RWA

requirements

At 30 June

At 31 March

At 30 June

2020

2020

2020

HK$' 000

HK$' 000

HK$' 000

1

Credit risk for non-securitization exposures

226,829,304

222,005,195

18,146,344

2

Of which STC approach

226,829,304

222,005,195

18,146,344

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

9,318,660

10,902,844

745,493

7

Of which SA-CCR*

Not applicable

Not applicable

Not applicable

7a

Of which CEM

9,166,050

10,761,655

733,284

8

Of which IMM (CCR) approach

-

-

-

9

Of which others

152,610

141,189

12,209

10

CVA risk

6,218,213

6,392,738

497,457

11

Equity positions in banking book under the simple risk-weight method and internal models

method

-

-

-

12

Collective investment scheme ("CIS") exposures - LTA*

Not applicable

Not applicable

Not applicable

13

CIS exposures - MBA*

Not applicable

Not applicable

Not applicable

14

CIS exposures - FBA*

Not applicable

Not applicable

Not applicable

14a

CIS exposures - combination of approaches*

Not applicable

Not applicable

Not applicable

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

13,771,575

14,721,788

1,101,726

21

Of which STM approach

13,771,575

14,721,788

1,101,726

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)*

Not applicable

Not applicable

Not applicable

24

Operational risk

15,283,950

15,433,913

1,222,716

24a

Sovereign concentration risk

-

-

-

25

Amounts below the thresholds for deduction (subject to 250% RW)

1,277,538

1,277,538

102,203

26

Capital floor adjustment

-

-

-

26a

Deduction to RWA

101,958

82,190

8,157

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

101,958

82,190

8,157

27

Total

272,597,282

270,651,826

21,807,782

Remark:

Items marked with an asterisk (*) will be applicable only after their respective policy frameworks take effect. Until then, "Not applicable" is reported in the rows.

The Bank has adopted the "standardised approach" for calculating the risk-weighted amount for credit risk and market risk and the "basic indicator approach" for calculating operational risk.

Total RWA increased mainly due to an increase in RWA for credit RWA for non-securitisation exposures, which was also driven mainly by an increase in loans and advances to customers.

2

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital

(a)

(b)

Source based on

reference number

of the balance

sheet under the

regulatory scope of

Amount

consolidation

At 30 June 2020

HK$' 000

CET1 capital: instruments and reserves

1

Directly issued qualifying CET1 capital instruments plus any related share premium

18,404,013

(4)+(5)

2

Retained earnings

20,669,005

(8)

3

Disclosed reserves

907,815

(6)

4

Directly issued capital subject to phase out from CET1 capital (only applicable to non-joint stock companies)

Not applicable

Not applicable

5

Minority interests arising from CET1 capital instruments issued by consolidated bank subsidiaries and held by third

parties (amount allowed in CET1 capital of the consolidation group)

-

6

CET1 capital before regulatory adjustments

39,980,833

CET1 capital: regulatory deductions

7

Valuation adjustments

11,100

(11)

8

Goodwill (net of associated deferred tax liabilities)

-

9

Other intangible assets (net of associated deferred tax liabilities)

590,874

(16)

10

Deferred tax assets (net of deferred tax liabilities)

73,349

(2)

11

Cash flow hedge reserve

-

12

Excess of total EL amount over total eligible provisions under the IRB approach

-

13

Credit-enhancinginterest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from

securitization transactions

-

14

Gains and losses due to changes in own credit risk on fair valued liabilities

2,633

(3)

15

Defined benefit pension fund net assets (net of associated deferred tax liabilities)

-

16

Investments in own CET1 capital instruments (if not already netted off paid-in capital on reported balance sheet)

-

17

Reciprocal cross-holdings in CET1 capital instruments

-

18

Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope

of regulatory consolidation (amount above 10% threshold)

-

19

Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope

of regulatory consolidation (amount above 10% threshold)

-

20

Mortgage servicing rights (net of associated deferred tax liabilities)

Not applicable

Not applicable

21

Deferred tax assets arising from temporary differences (net of associated deferred tax liabilities)

Not applicable

Not applicable

22

Amount exceeding the 15% threshold

Not applicable

Not applicable

23

of which: significant investments in the ordinary share of financial sector entities

Not applicable

Not applicable

24

of which: mortgage servicing rights

Not applicable

Not applicable

25

of which: deferred tax assets arising from temporary differences

Not applicable

Not applicable

26

National specific regulatory adjustments applied to CET1 capital

1,707,107

26a

Cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment properties)

185,378

(7)+(10)

26b

Regulatory reserve for general banking risks

1,521,729

(9)

26c

Securitization exposures specified in a notice given by the Monetary Authority

-

26d

Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings

-

26e

Capital shortfall of regulated non-bank subsidiaries

-

3

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

(a)

(b)

Source based on

reference number

of the balance

sheet under the

regulatory scope of

Amount

consolidation

At 30 June 2020

HK$' 000

26f

Capital investment in a connected company which is a commercial entity (amount above 15% of the reporting

institution's capital base)

-

27

Regulatory deductions applied to CET1 capital due to insufficient AT1 capital and Tier 2 capital to cover deductions

-

28

Total regulatory deductions to CET1 capital

2,385,063

29

CET1 capital

37,595,770

AT1 capital: instruments

30

Qualifying AT1 capital instruments plus any related share premium

7,772,060

(12)+ (13)

31

of which: classified as equity under applicable accounting standards

7,772,060

32

of which: classified as liabilities under applicable accounting standards

-

33

Capital instruments subject to phase out arrangements from AT1 capital

-

34

AT1 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in AT1

capital of the consolidation group)

-

35

of which: AT1 capital instruments issued by subsidiaries subject to phase out arrangements

-

36

AT1 capital before regulatory deductions

7,772,060

AT1 capital: regulatory deductions

37

Investments in own AT1 capital instruments

-

38

Reciprocal cross-holdings in AT1 capital instruments

-

39

Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope

of regulatory consolidation (amount above 10% threshold)

-

40

Significant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of

regulatory consolidation

-

41

National specific regulatory adjustments applied to AT1 capital

-

42

Regulatory deductions applied to AT1 capital due to insufficient Tier 2 capital to cover deductions

-

43

Total regulatory deductions to AT1 capital

-

44

AT1 capital

7,772,060

45

Tier 1 capital (Tier 1 = CET1 + AT1)

45,367,830

4

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

(a)

(b)

Source based on

reference number

of the balance

sheet under the

regulatory scope of

Amount

consolidation

At 30 June 2020

HK$' 000

Tier 2 capital: instruments and provisions

46

Qualifying Tier 2 capital instruments plus any related share premium

3,875,098

(15)

47

Capital instruments subject to phase out arrangements from Tier 2 capital

-

(14)

Tier 2 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in Tier 2

48

capital of the consolidation group)

-

49

of which: capital instruments issued by subsidiaries subject to phase out arrangements

-

50

Collective provisions and regulatory reserve for general banking risks eligible for inclusion in Tier 2 capital

2,794,006

[(1) + (9)] x 100%

51

Tier 2 capital before regulatory deductions

6,669,104

Tier 2 capital: regulatory deductions

52

Investments in own Tier 2 capital instruments

-

53

Reciprocal cross-holdings in Tier 2 capital instruments and non-capital LAC liabilities

-

Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial

sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold and, where

54

applicable, 5% threshold)

-

Insignificant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of

regulatory consolidation (amount formerly designated for the 5% threshold but no longer meets the conditions) (for

54a

institutions defined as "section 2 institution" under s2(1) of Schedule 4F to BCR only)

-

Significant LAC investments in Tier 2 capital instruments issued by financial sector entities that are outside the scope

55

of regulatory consolidation (net of eligible short positions)

-

Significant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of

55a

regulatory consolidation (net of eligible short positions)

-

56

National specific regulatory adjustments applied to Tier 2 capital

(83,420)

Add back of cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment

56a

properties) eligible for inclusion in Tier 2 capital

(83,420)

[(7) + (10)] x 45%

56b

Regulatory deductions applied to Tier 2 capital to cover the required deductions falling within s48(1)(g) of BCR

-

57

Total regulatory deductions to Tier 2 capital

(83,420)

58

Tier 2 capital (T2)

6,752,524

59

Total regulatory capital (TC = T1 + T2)

52,120,354

60

Total RWA

272,597,282

Capital ratios (as a percentage of RWA)

61

CET1 capital ratio

13.79%

62

Tier 1 capital ratio

16.64%

63

Total capital ratio

19.12%

Institution - specific buffer requirement (capital conservation buffer plus countercyclical capital buffer plus

64

higher loss absorbency requirements)

7.59%

65

of which: capital conservation buffer requirement

2.50%

66

of which: bank specific countercyclical capital buffer requirement

0.59%

67

of which: higher loss absorbency requirements

0.00%

68

CET1 (as a percentage of RWA) available after meeting minimum capital requirements

9.29%

5

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

(a)

(b)

Source based on

reference number

of the balance

sheet under the

regulatory scope of

Amount

consolidation

At 30 June 2020

HK$' 000

National minima (if different from Basel III minimum)

69

National CET1 minimum ratio

Not applicable

Not applicable

70

National Tier 1 minimum ratio

Not applicable

Not applicable

71

National Total capital minimum ratio

Not applicable

Not applicable

Amounts below the thresholds for deduction (before risk weighting)

Insignificant LAC investments in CET1, AT1 and Tier 2 capital instruments issued by, and non-capital LAC liabilities

72

of, financial sector entities that are outside the scope of regulatory consolidation

113,666

Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope

73

of regulatory consolidation

511,015

74

Mortgage servicing rights (net of associated deferred tax liability)

Not applicable

Not applicable

75

Deferred tax assets arising from temporary differences (net of associated deferred tax liability)

Not applicable

Not applicable

Applicable caps on the inclusion of provisions in Tier 2 capital

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the BSC approach, or the STC approach

76

and SEC- ERBA, SEC-SA and SEC-FBA (prior to application of cap)

2,794,006

Cap on inclusion of provisions in Tier 2 under the BSC approach, or the STC approach, and SEC-ERBA,SEC-SA and

77

SEC-FBA

2,794,006

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the IRB approach and SEC-IRBA (prior to

78

application of cap)

-

79

Cap for inclusion of provisions in Tier 2 under the IRB approach and SEC-IRBA

-

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)

80

Current cap on CET1 capital instruments subject to phase out arrangements

Not applicable

Not applicable

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

Not applicable

Not applicable

82

Current cap on AT1 capital instruments subject to phase out arrangements

-

83

Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities)

-

84

Current cap on Tier 2 capital instruments subject to phase out arrangements

-

85

Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities)

-

6

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

Row No.

Description

Hong Kong basis

Basel III basis

Other intangible assets (net of associated deferred tax liability)

590,874

590,874

Explanation

As set out in paragraph 87 of the Basel III text issued by the Basel Committee (December 2010), mortgage servicing rights ("MSRs") may be given limited recognition

9

in CET1 capital (and hence be excluded from deduction from CET1 capital up to the specified threshold). In Hong Kong, an AI is required to follow the accounting

treatment of including MSRs as part of intangible assets reported in the AI's financial statements and to deduct MSRs in full from CET1 capital. Therefore, the amount

to be deducted as reported in row 9 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the

amount reported in row 9 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of MSRs to be deducted to the extent not in excess

of the 10% threshold set for MSRs and the aggregate 15% threshold set for MSRs, DTAs arising from temporary differences and significant investments in CET1 capital

instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures to connected companies) under Basel III.

Deferred tax assets (net of associated deferred tax liabilities)

73,349

73,349

Explanation

As set out in paragraphs 69 and 87 of the Basel III text issued by the Basel Committee (December 2010), DTAs of the bank to be realized are to be deducted, whereas

DTAs which relate to temporary differences may be given limited recognition in CET1 capital (and hence be excluded from deduction from CET1 capital up to the

10

specified threshold). In Hong Kong, an AI is required to deduct all DTAs in full, irrespective of their origin, from CET1 capital. Therefore, the amount to be deducted as

reported in row 10 may be greater than that required under Basel III. The amount reported under the column "Basel III

basis" in this box represents the amount reported

in row 10 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of DTAs to be deducted which relate to temporary differences to the

extent not in excess of the 10% threshold set for DTAs arising from temporary differences and the aggregate 15% threshold set for MSRs, DTAs arising from temporary

differences and significant investments in CET1 capital instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures

to connected companies) under Basel III.

Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside

the scope of regulatory consolidation (amount above 10% threshold)

-

-

Explanation

For the purpose of determining the total amount of insignificant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to

18

aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector

entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial

sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit

exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 18 may be greater than that required under

Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 18 (i.e. the amount reported under the "Hong Kong

basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under

the Hong Kong approach.

7

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

Row No.

Description

Hong Kong basis

Basel III basis

Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the

scope of regulatory consolidation (amount above 10% threshold)

-

-

Explanation

For the purpose of determining the total amount of significant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector

19 entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 19 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 19 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside

the scope of regulatory consolidation (amount above 10% threshold)

-

-

Explanation

The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose

39 of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in AT1 capital instruments may be smaller. Therefore, the amount to be deducted as reported in row 39 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 39 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of,

financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold

and, where applicable, 5% threshold)

-

-

Explanation

54 The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in Tier 2 capital instruments and non-capital LAC liabilities may be smaller. Therefore, the amount to be deducted as reported in row 54 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 54 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Remarks:

The amount of the 10% threshold and 5% threshold mentioned above is calculated based on the amount of CET1 capital determined in accordance with the deduction methods set out in BCR Schedule 4F. The 15% threshold is referring to paragraph 88 of the Basel III text issued by the Basel Committee (December 2010) and has no effect to the Hong Kong regime.

Abbreviations:

CET1 : Common Equity Tier 1

AT1 : Additional Tier 1

8

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC2: Reconciliation of regulatory capital to balance sheet

At 30 June 2020

Balance sheet

Under

as in published

regulatory

financial

scope of

statements

consolidation

Reference

HK$' 000

HK$' 000

Assets

Cash and balances with banks, central banks and other financial institutions

18,215,283

18,199,039

Placements with and advances to banks, central banks and other financial institutions

52,317,786

52,317,786

Financial assets at fair value through profit or loss

5,070,340

4,402,580

Derivative financial instruments

10,285,832

10,285,832

Loans and advances to customers and other accounts

200,359,205

200,841,397

of which: Expected credit losses allowances eligible for inclusion in Tier 2 Capital

-

1,272,277

(1)

Financial assets at fair value through other comprehensive income

78,092,672

78,092,672

Amortised cost investments

54,283

54,283

Property and equipment

- Investment property

266,386

266,386

- Other property and equipment

497,778

493,118

Intangible assets

590,874

590,874

(16)

Tax recoverable

28,141

28,141

Deferred tax assets

73,349

73,349

(2)

Total Assets

365,851,929

365,645,457

Liabilities

Deposits and balances of banks and other financial institutions

16,005,933

15,797,495

Deposits from customers

275,304,962

275,304,962

Derivative financial instruments

10,805,484

10,805,484

of which: Debit valuation adjustments in respect of derivative contracts

2,633

(3)

Financial liabilities at fair value through profit or loss

209,108

209,108

Certificates of deposit issued

193,755

193,755

Current tax liabilities

65,078

65,078

Deferred tax liabilities

1,379

1,379

Other liabilities

11,723,474

11,654,686

Loan capital

3,850,478

3,862,265

of which:

Loan capital not eligible for inclusion in regulatory capital

-

-

(14)

Loan capital eligible for inclusion in regulatory capital

-

3,875,098

(15)

Total Liabilities

318,159,651

317,894,212

Equity

Total shareholders' equity

39,921,866

39,980,833

of which: Paid-in share capital

18,404,013

18,404,013

(4)

of which: non-qualifying CET1 Capital

-

(5)

Other Reserves

901,725

907,815

(6)

of which: Regulatory reserve of properties

134,931

134,931

(7)

Retained earnings

20,616,128

20,669,005

(8)

of which: Regulatory reserve earmarked

1,521,729

(9)

of which: Cumulative retained earnings for investment properties

50,447

(10)

of which: Valuation Adjustments

11,100

(11)

Additional equity instruments

7,770,412

7,770,412

(12)

of which: Transaction costs for additional equity instruments

1,648

(13)

Total Equity

47,692,278

47,751,245

Total Equity and Liabilities

365,851,929

365,645,457

9

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments

Share Capital

Subordinated notes (due 2029) with US$500 million at 4.625% per annum

(1)

Issuer

China CITIC Bank International

China CITIC Bank International Limited

Limited

(2)

Unique identifier

N/A

XS1897158892

(3)

Governing law(s) of the instrument

Hong Kong laws

English laws (subordination governed by Hong Kong laws)

Regulatory treatment

(4)

- Transitional Basel III rules (1)

N/A

N/A

(5)

- Post-transitional Basel III rules (2)

Common Equity Tier 1

Tier 2

(6)

- Eligible at solo/group/group and solo

Group and solo

Group and solo

(7)

- Instrument type (types to be specified by each jurisdiction)

Ordinary Shares

Debt instruments

(8)

Amount recognised in regulatory capital (Currency in million, as

HK$18,404.01 million

HK$3,862.27 million

of most recent reporting date)

(9)

Par value of instrument

N/A

US$500.00 million

(10)

Accounting classification

Shareholders' equity

Liability - amortised cost

(11)

Original date of issuance

10 December 1954

28 February 2019

(12)

Perpetual or dated

Perpetual

Dated

(13)

- Original maturity date

No maturity

28 February 2029

(14)

Issuer call subject to prior supervisory approval

N/A

Yes

(15)

- Optional call date, contingent call dates and redemption amount

N/A

- 28 February 2024 (Call Date). Included tax and regulatory call options.

- Redemption at par, subject to adjustment following the occurrence of a Non-Viability Event.

(16)

- Subsequent call dates, if applicable

N/A

N/A

Coupons/dividends

(17)

- Fixed or floating dividend/coupon

N/A

Fixed

(18)

- Coupon rate and any related index

N/A

At a fixed rate of 4.625% per annum until (but excluding) 28 February 2024 and thereafter reset

at then prevailing five-year U.S. Treasury rate plus the initial spread of 2.25% per annum.

(19)

- Existence of a dividend stopper

N/A

No

(20)

- Fully discretionary, partially discretionary or mandatory

Fully discretionary

Mandatory

(21)

- Existence of step up or other incentive to redeem

No

No

(22)

- Non-cumulative or cumulative

Non-cumulative

Cumulative

(23)

Convertible or non-convertible

Non-convertible

Non-convertible

(24)

- If convertible, conversion trigger(s)

N/A

N/A

(25)

- If convertible, fully or partially

N/A

N/A

(26)

- If convertible, conversion rates

N/A

N/A

(27)

- If convertible, mandatory or optional conversion

N/A

N/A

(28)

- If convertible, specify instrument type convertible into

N/A

N/A

(29)

- If convertible, specify issuer of instrument if converts into

N/A

N/A

(30)

Write-down feature

No

Yes

(31)

- If write-down,write-down trigger(s)

N/A

Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a

Non-Viability Event Notice, irrevocably reduce the then prevailing principal amount and cancel

any accrued but unpaid interest of each Note in whole or in part.

"Non-Viability Event" means the earlier of:

(a)

the Hong Kong Monetary Authority (the "HKMA") notifying the Issuer in writing that the

HKMA is of the opinion that a write-off or conversion is necessary, without which the

Issuer would become non- viable; and

(b) the HKMA notifying the Issuer in writing that a decision has been made by the

government body, a government officer or other relevant regulatory body with the

authority to make such a decision, that a public sector injection of capital or equivalent

support is necessary, without which the Issuer would become non-viable.

(32)

- If write-down, full or partial

N/A

Full or partial

(33)

- If write-down, permanent or temporary

N/A

Permanent

(34)

- If temporary write-down, description of write-up mechanise

N/A

N/A

(35)

Position in subordination hierarchy in liquidation (specify

N/A

Immediately subordinated to indebtedness/unsecured senior notes

instrument type immediately senior to instrument in the

insolvency creditor hierarchy of the legal entity concerned).

(36)

Non-compliant transitioned features

No

No

(37)

If yes, specify non-compliant features

N/A

N/A

N/A - Non-Applicable

Footnotes:

  1. Regulatory treatment of capital instruments subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules
  2. Regulatory treatment of capital instruments not subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules

Full terms and conditions of regulatory capital instruments can be viewed in the Regulatory Discloses section of the Bank's corporate website www.cncbinternational.com.

10

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments (continued)

Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 4.25% per annum

(1)

Issuer

China CITIC Bank International Limited

(2)

Unique identifier

XS1499209861

(3)

Governing law(s) of the instrument

English laws (subordination governed by Hong Kong laws)

Regulatory treatment

(4)

- Transitional Basel III rules (1)

N/A

(5)

- Post-transitional Basel III rules (2)

Additional Tier 1

(6)

- Eligible at solo/group/group and solo

Group and solo

(7)

- Instrument type (types to be specified by each jurisdiction)

Undated Non-Cumulative Subordinated Capital Securities

(8)

Amount recognised in regulatory capital (Currency in million, as of

HK$3,863.55 million

most recent reporting date)

(9)

Par value of instrument

US$500.00 million

(10)

Accounting classification

Equity - par value

(11)

Original date of issuance

11 October 2016

(12)

Perpetual or dated

Perpetual

(13)

- Original maturity date

No maturity

(14)

Issuer call subject to prior supervisory approval

Yes

(15)

- Optional call date, contingent call dates and redemption amount

- 11 October 2021 (First Call Date)

- No fixed redemption date.

- Optional Redemption (on a designated date in 2021 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption

are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time.

Redemption amount will be the outstanding principal amount together with distributions accrued to the date of redemption.

(16)

- Subsequent call dates, if applicable

N/A

Coupons/dividends

(17)

- Fixed or floating dividend/coupon

Fixed

(18)

- Coupon rate and any related index

- At a fixed rate of 4.25% per annum until (but excluding) 11 October 2021.

- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the

then-prevailing five year U.S. Treasury Rate plus 3.107% per annum.

- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event.

(19)

- Existence of a dividend stopper

Yes

(20)

- Fully discretionary, partially discretionary or mandatory

Fully Discretionary

(21)

- Existence of step up or other incentive to redeem

No

(22)

- Non-cumulative or cumulative

Non-cumulative

(23)

Convertible or non-convertible

Non-convertible

(24)

- If convertible, conversion trigger(s)

N/A

(25)

- If convertible, fully or partially

N/A

(26)

- If convertible, conversion rates

N/A

(27)

- If convertible, mandatory or optional conversion

N/A

(28)

- If convertible, specify instrument type convertible into

N/A

(29)

- If convertible, specify issuer of instrument if converts into

N/A

(30)

Write-down feature

Yes

(31)

- If write-down,write-down trigger(s)

Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce the then

prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part.

"Non-Viability Event" means the earlier of:

(a)

the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without which the

Issuer would become non-viable; and

(b)

the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other relevant

regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is necessary,

without which the Issuer would become non-viable.

At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1

Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong Financial

Institutions (Resolution) Ordinance (Cap.628).

(32)

- If write-down, full or partial

Full or partial

(33)

- If write-down, permanent or temporary

Permanent

(34)

- If temporary write-down, description of write-up mechanise

N/A

(35)

Position in subordination hierarchy in liquidation (specify

Subordinated to the claims of:

instrument type immediately senior to instrument in the insolvency

(i)

all unsubordinated creditors (including depositors),

creditor hierarchy of the legal entity concerned).

(ii)

creditors in respect of Tier 2 Capital Securities, and

(iii)

all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital

Securities by operations of law or contract.

(36)

Non-compliant transitioned features

No

(37)

If yes, specify non-compliant features

N/A

N/A - Non-Applicable

11

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments (continued)

Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 7.10% per annum

(1)

Issuer

China CITIC Bank International Limited

(2)

Unique identifier

XS1897158546

(3)

Governing law(s) of the instrument

English laws (subordination governed by Hong Kong laws)

Regulatory treatment

(4)

- Transitional Basel III rules (1)

N/A

(5)

- Post-transitional Basel III rules (2)

Additional Tier 1

(6)

- Eligible at solo/group/group and solo

Group and solo

(7)

- Instrument type (types to be specified by each jurisdiction)

Undated Non-Cumulative Subordinated Capital Securities

(8)

Amount recognised in regulatory capital(Currency in million, as of

HK$3,908.51 million

most recent reporting date)

(9)

Par value of instrument

US$500.00 million

(10)

Accounting classification

Equity - par value

(11)

Original date of issuance

6 November 2018

(12)

Perpetual or dated

Perpetual

(13)

- Original maturity date

No maturity

(14)

Issuer call subject to prior supervisory approval

Yes

(15)

- Optional call date, contingent call dates and redemption amount

- 6 November 2023 (First Call Date)

- No fixed redemption date.

- Optional Redemption (on a designated date in 2023 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption

are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time. Redemption

amount will be the outstanding principal amount together with distributions accrued to the date of redemption.

(16)

- Subsequent call dates, if applicable

N/A

Coupons/dividends

(17)

- Fixed or floating dividend/coupon

Fixed

(18)

- Coupon rate and any related index

- At a fixed rate of 7.10% per annum until (but excluding) 6 November 2023.

- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the

then-prevailing five year U.S. Treasury Rate plus 4.151% per annum.

- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event.

(19)

- Existence of a dividend stopper

Yes

(20)

- Fully discretionary, partially discretionary or mandatory

Fully Discretionary

(21)

- Existence of step up or other incentive to redeem

No

(22)

- Non-cumulative or cumulative

Non-cumulative

(23)

Convertible or non-convertible

Non-convertible

(24)

- If convertible, conversion trigger(s)

N/A

(25)

- If convertible, fully or partially

N/A

(26)

- If convertible, conversion rates

N/A

(27)

- If convertible, mandatory or optional conversion

N/A

(28)

- If convertible, specify instrument type convertible into

N/A

(29)

- If convertible, specify issuer of instrument if converts into

N/A

(30)

Write-down feature

Yes

(31)

- If write-down,write-down trigger(s)

Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce

the then prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part.

"Non-Viability Event" means the earlier of:

(a)

the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without

which the Issuer would become non-viable; and

(b) the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other

relevant regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is

necessary, without which the Issuer would become non-viable.

At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1

Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong

Financial Institutions (Resolution) Ordinance (Cap.628).

(32)

- If write-down, full or partial

Full or partial

(33)

- If write-down, permanent or temporary

Permanent

(34)

- If temporary write-down, description of write-up mechanise

N/A

(35)

Position in subordination hierarchy in liquidation (specify

Subordinated to the claims of:

instrument type immediately senior to instrument in the insolvency

(i)

all unsubordinated creditors (including depositors),

creditor hierarchy of the legal entity concerned).

(ii)

creditors in respect of Tier 2 Capital Securities, and

(iii)

all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital

Securities by operations of law or contract.

(36)

Non-compliant transitioned features

No

(37)

If yes, specify non-compliant features

N/A

N/A - Non-Applicable

12

Regulatory Disclosure Statement (continued)

PART IIB: MACROPRUDENTIAL SUPERVISORY MEASURES

CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer

At 30 June 2020

a

b

c

d

Geographical breakdown by

Jurisdiction (J)

Applicable JCCyB ratio in effect

RWA used in computation of CCyB ratio

AI-specific CCyB ratio

CCyB amount

HK$' 000

HK$' 000

1

Hong Kong SAR

1.0000%

117,793,713

2

Luxembourg

0.2500%

66,711

3

Norway

1.0000%

1,020

Sum (Remark 1)

117,861,444

Total (Remark 2 & 3)

198,634,436

0.593%

1,616,793

Remark:

  1. This represents the sum of RWA for the private sector credit exposures in jurisdictions with a non-zero countercyclical buffer rate.
  2. The total RWA used in the computation of the CCyB ratio in column (b) represents the total RWA for the private sector credit exposures in all jurisdictions to which the banks is exposed, including jurisdictions with no countercyclical buffer rate or with a countercyclical buffer rate set at zero. The CCyB amount in column (d) represents the Group's total RWA multiplied by the Group specific CCyB ratio in column (c).
  3. In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.

PART IIC: LEVERAGE RATIO

LR1: Summary comparison of accounting assets against leverage ratio exposure measure

Value under the LR

framework

Item

At 30 June 2020

HK$' 000

1

Total consolidated assets as per published financial statements

365,851,929

2

Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but

outside the scope of regulatory consolidation

206,472

3

Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting standard but excluded from the

LR exposure measure

-

4

Adjustments for derivative contracts

11,065,771

5

Adjustment for SFTs (i.e. repos and similar secured lending)

1,457,604

6

Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures)

16,989,259

6a

Adjustment for specific and collective provisions that are allowed to be excluded from exposure measure

(71,926)

7

Other adjustments

(16,787,234)

8

Leverage ratio exposure measure

378,711,875

13

Regulatory Disclosure Statement (continued)

PART IIC: LEVERAGE RATIO

LR2: Leverage ratio

(a)

(b)

At 30 June 2020

At 31 March 2020

HK$' 000

HK$' 000

On-balance sheet exposures

1

On-balance sheet exposures (excluding those arising from derivative contracts and SFTs, but including collateral)

351,642,497

336,425,797

2

Less: Asset amounts deducted in determining Tier 1 capital

(2,371,330)

(1,103,140)

3

Total on-balance sheet exposures (excluding derivative contracts and SFTs)

349,271,167

335,322,657

Exposures arising from derivative contracts

4

Replacement cost associated with all derivative contracts (where applicable net of eligible cash variation margin and/

or with bilateral netting)

3,852,486

3,862,935

5

Add-on amounts for PFE associated with all derivative contracts

9,061,296

9,373,994

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

(1,848,011)

(2,965,026)

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

11,065,771

10,271,903

Exposures arising from SFTs

12

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions

1,457,604

982,337

13

Less: Netted amounts of cash payables and cash receivables of gross SFT assets

-

-

14

CCR exposure for SFT assets

-

929

15

Agent transactions exposures

-

-

16

Total exposures arising from SFTs

1,457,604

983,266

Other off-balance sheet exposures

17

Off-balance sheet exposure at gross notional amount

104,624,840

94,579,479

18

Less: Adjustments for conversion to credit equivalent amounts

(87,635,581)

(79,239,466)

19

Off-balance sheet items

16,989,259

15,340,013

Capital and total exposures

20

Tier 1 capital

45,367,830

45,835,990

20a

Total exposures before adjustments for specific and collective provisions

378,783,801

361,917,839

20b

Adjustments for specific and collective provisions

(72,926)

(89,317)

21

Total exposures after adjustments for specific and collective provisions

378,711,875

361,828,522

Leverage ratio

22

Leverage ratio

11.98%

12.67%

The decrease in leverage ratio during the period is mainly due to the increase in total exposures after adjustments for specific and collective provisions for the quarter ended 30 June 2020.

14

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ1: Liquidity Coverage Ratio - for category 1 institution

Number of data points used in calculating the average value of the LCR

For the quarter ended 30 June 2020:

For quarter ended 31 March 2020:

and related components set out in this template

(73 data points)

(74 data points)

UNWEIGHTED

WEIGHTED

UNWEIGHTED

WEIGHTED

AMOUNT

AMOUNT

AMOUNT

AMOUNT

Basis of disclosure: Consolidated

(Average)

(Average)

(Average)

(Average)

HK$' 000

HK$' 000

HK$' 000

HK$' 000

A. High Quality Liquid Assets (HQLA)

1

Total HQLA

42,386,001

47,011,755

B. Cash outflows

2

Retail deposits and small business funding, of which

144,367,085

10,444,010

150,292,952

10,716,130

3

Stable retail deposits and stable small business funding

10,262,650

513,133

10,375,467

518,773

4

Less stable retail deposits and less stable small business funding

64,513,098

6,451,310

64,025,150

6,402,569

4a

Retail term deposits and small business term funding

69,591,337

3,479,567

75,892,335

3,794,788

5

Unsecured wholesale funding (other than small business funding), and

debt securities and prescribed instruments issued by the AI, of which:

92,851,979

53,348,951

86,133,440

47,299,317

6

Operational deposits

-

-

-

-

7 Unsecured wholesale funding (other than small business funding) not

covered in Row 6

90,779,597

51,276,569

85,137,314

46,303,191

8 Debt securities and prescribed instruments issued by the AI and

redeemable within the LCR period

2,072,382

2,072,382

996,126

996,126

9

Secured funding transactions (including securities swap transactions)

-

-

10

Additional requirements, of which

10,093,219

3,754,041

9,385,866

4,023,144

11 Cash outflows arising from derivative contracts and other transactions, and additional liquidity needs arising from related collateral

requirements

2,867,656

2,867,656

3,207,857

3,207,857

12

Cash outflows arising from obligations under structured financing

transactions and repayment of funding obtained from such transactions

-

-

-

-

13 Potential drawdown of undrawn committed facilities (including

committed credit facilities and committed liquidity facilities)

7,225,563

886,385

6,178,009

815,287

14

Contractual lending obligations (not otherwise covered in Section B) and

other contractual cash outflows

6,029,170

6,029,170

6,176,335

6,176,335

15

Other contingent funding obligations (without contractual or non-

contractual)

91,101,674

419,554

89,461,641

390,993

16

Total cash outflows

73,995,726

68,605,919

C. Cash Inflows

17

Secured lending transactions (including securities swap transactions)

850,651

240,299

632,218

279,695

18 Secured and unsecured loans (other than secured lending transactions covered in row 17) and operational deposits placed at other financial

institutions

78,420,741

58,495,903

82,137,192

62,032,935

19

Other cash inflows

5,319,465

5,289,082

4,760,412

4,736,314

20

Total cash inflows

84,590,857

64,025,284

87,529,822

67,048,944

D. Liquidity Coverage Ratio

21

Total HQLA

42,386,001

47,011,755

22

Total Net Cash Outflows

19,064,904

17,320,678

23

LCR (%)

223.8%

272.2%

15

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ2: Net Stable Funding Ratio - for category 1 institution

For the quarter ended 30 June 2020

Unweighted value by residual maturity

No specified

< 6 months or

term to

repayable on

6 months to

12 months

Weighted

Basis of disclosure: Consolidated

maturity

demand

< 12 months

or more

amount

  1. Available stable funding ("ASF") item

1

Capital

48,606,014

-

-

3,862,266

52,468,280

2

Regulatory capital

48,606,014

-

-

3,862,266

52,468,280

2a

Minority interests not covered by row 2

-

-

-

-

-

3

Other capital instruments

-

-

-

-

-

4

Retail deposits and small business funding:

-

138,498,139

4,421,810

123,619

129,274,834

5

Stable deposits

10,333,264

131,964

608

9,942,574

6

Less stable deposits

128,164,875

4,289,846

123,011

119,332,260

7

Wholesale funding:

-

146,974,931

3,046,823

1,102,509

54,505,381

8

Operational deposits

-

-

-

-

9

Other wholesale funding

-

146,074,931

3,046,823

1,102,509

54,505,381

10

Liabilities with matching interdependent assets

-

-

-

-

-

11

Other liabilities:

4,661,696

1,378,148

-

-

-

12

Net derivative liabilities

694,372

13

All other funding and liabilities not included in the above categories

3,967,324

1,378,148

-

-

-

14

Total ASF

236,248,495

  1. Required stable funding ("RSF") item

15

Total HQLA for NSFR purposes

50,727,294

9,747,008

16

Deposits held at other financial institutions for operational purposes

-

-

-

-

-

17

Performing loans and securities:

1,054,320

142,024,837

49,991,062

100,036,889

148,388,842

18

Performing loans to financial institutions secured by Level 1 HQLA

-

1,172,168

-

-

117,217

19 Performing loans to financial institutions secured by non-Level 1 HQLA

and unsecured performing loans to financial institutions

-

81,097,554

6,641,937

3,267,116

18,752,718

20 Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange Fund,

central banks and PSEs, of which:

1,054,320

51,255,413

37,894,154

50,649,513

88,217,522

21With a risk-weight of less than or equal to 35% under the STC

approach

29

1,390,257

701,120

1,527,480

2,038,551

22

Performing residential mortgages, of which:

-

649,407

635,486

24,232,425

16,411,110

23

With a risk-weight of less than or equal to 35% under the STC

approach

-

647,255

633,392

24,144,578

16,334,318

24

Securities that are not in default and do not qualify as HQLA, including

exchange-traded equities

-

7,850,295

4,819,485

21,887,835

24,890,275

25

Assets with matching interdependent liabilities

-

-

-

-

-

26

Other assets

9,941,542

1,270,607

54,453

-

10,193,722

27

Physical traded commodities, including gold

-

-

28 Assets posted as initial margin for derivative contracts and contributions to

default funds of CCPs

50,251

50,251

29

Net derivative assets

-

-

30

Total derivative liabilities before deduction of variation margin posted

-

-

31

All other assets not included in the above categories

9,891,291

1,270,607

54,453

-

10,143,471

32

Off-balance sheet items

101,284,358

443,647

33

Total derivative liabilities

6,504,371

325,219

34

Total RSF

169,098,438

35

Net Stable Funding Ratio (%)

139.7%

16

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ2: Net Stable Funding Ratio - for category 1 institution (continued)

For the quarter ended 31 March 2020

Unweighted value by residual maturity

No specified

< 6 months or

term to

repayable on

6 months to

12 months

Weighted

Basis of disclosure: Consolidated

maturity

demand

< 12 months

or more

amount

  1. Available stable funding ("ASF") item

1

Capital

49,352,137

2,359,374

-

3,862,993

53,215,130

2

Regulatory capital

49,352,137

2,359,374

-

3,862,993

53,215,130

2a

Minority interests not covered by row 2

-

-

-

-

-

3

Other capital instruments

-

-

-

-

-

4

Retail deposits and small business funding:

-

131,782,513

5,338,742

185,691

129,505,159

5

Stable deposits

10,054,476

152,290

697

9,697,125

6

Less stable deposits

127,728,037

5,186,452

184,994

119,808,034

7

Wholesale funding:

-

124,486,293

2,504,534

940,158

49,167,316

8

Operational deposits

-

-

-

-

9

Other wholesale funding

-

124,486,293

2,504,534

940,158

49,167,316

10

Liabilities with matching interdependent assets

-

-

-

-

-

11

Other liabilities:

4,522,221

6,084,885

-

-

-

12

Net derivative liabilities

395,848

13

All other funding and liabilities not included in the above categories

4,126,373

6,084,885

-

-

-

14

Total ASF

231,887,605

  1. Required stable funding ("RSF") item

15

Total HQLA for NSFR purposes

56,851,737

11,064,282

16

Deposits held at other financial institutions for operational purposes

-

-

-

-

-

17

Performing loans and securities:

1,038,847

117,573,483

49,586,187

105,082,543

148,520,454

18

Performing loans to financial institutions secured by Level 1 HQLA

-

790,988

-

-

79,099

19 Performing loans to financial institutions secured by non-Level 1

HQLA and unsecured performing loans to financial institutions

-

58,573,095

7,789,689

3,250,787

15,931,596

20 Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange

Fund, central banks and PSEs, of which:

1,038,847

51,401,600

34,817,043

55,441,692

90,857,795

21With a risk-weight of less than or equal to 35% under the STC

approach

-

629,277

462,279

1,299,918

1,390,725

22

Performing residential mortgages, of which:

-

627,152

629,456

23,191,259

15,716,774

23With a risk-weight of less than or equal to 35% under the STC

approach

-

625,269

627,585

23,120,506

15,654,756

24 Securities that are not in default and do not qualify as HQLA,

including exchange-traded equities

-

6,180,648

6,349,999

23,198,805

25,935,190

25

Assets with matching interdependent liabilities

-

-

-

-

-

26

Other assets

6,767,618

1,468,154

23,770

-

7,232,413

27

Physical traded commodities, including gold

-

-

28 Assets posted as initial margin for derivative contracts and

contributions to default funds of CCPs

50,251

50,251

29

Net derivative assets

-

-

30

Total derivative liabilities before deduction of variation margin posted

-

-

31

All other assets not included in the above categories

6,717,367

1,468,154

23,770

-

7,182,162

32

Off-balance sheet items

92,746,605

303,790

33

Total derivative liabilities

7,551,977

377,599

33

Total RSF

167,498,538

34

Net Stable Funding Ratio (%)

138.4%

17

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR1: Credit quality of exposures

(a)

(b)

(c)

(d)

(e)

(f)

(g)

Of which ECL accounting

provisions for credit losses on

Of which ECL

Gross carrying amounts of

STC approach exposures

accounting

Allocated in

Allocated in

provisions

regulatory

regulatory

for credit

category

category of

losses on IRB

Defaulted

Non-defaulted

Allowances/

of specific

collective

approach

Net values

exposures

exposures

impairments

provisions

provisions

exposures

(a+b-c)

At 30 June 2020

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

1

Loans

4,706,216

187,973,748

(1,530,763)

(258,486)

(1,272,277)

-

191,149,201

2

Debt securities

-

83,103,663

(34)

-

-

-

83,103,629

3

Off-balance sheet exposures

-

7,057,607

(70,531)

-

(70,531)

-

6,987,076

4

Total

4,706,216

278,135,018

(1,601,328)

(258,486)

(1.342,808)

-

281,239,906

CR2: Changes in defaulted loans and debt securities

(a)

Amount

At 30 June 2020

HK$' 000

1

Defaulted loans and debt securities at end of the previous reporting period

2,021,970

2

Loans and debt securities that have defaulted since the last reporting period

5,310,301

3

Returned to non-defaulted status

(11)

4

Amounts written off

(2,495,966)

5

Other changes (Note)

(130,078)

6

Defaulted loans and debt securities at end of the current reporting period

4,706,216

Note: Other changes mainly due to repayments from loan customers and settlement for debt securities.

The increase in defaulted loans and advances and debt securities in the first half of 2020 was mainly due to the downgrading of isolated large-size loan exposures.

CR3: Overview of recognised credit risk mitigation

(a)

(b1)

(b)

(d)

(f)

Exposures

Exposures

Exposures

secured by

Exposures

secured by

secured by

recognized

unsecured:

Exposures to be

recognized

recognized

credit derivative

carrying amount

secured

collateral

guarantees

contracts

At 30 June 2020

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

1

Loans

181,141,010

10,008,191

4,540,049

5,468,142

-

2

Debt securities

83,103,629

-

-

-

-

3

Total

264,244,639

10,008,191

4,540,049

5,468,142

-

4

Of which defaulted

4,058,925

609,305

605,657

3,648

-

18

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR4: Credit risk exposures and effects of recognised credit risk mitigation - for STC approach

(a)

(b)

(c)

(d)

(e)

(f)

Exposures post-CCF and

Exposures pre-CCF and pre-CRM

post-CRM

RWA and RWA density

On-balance

Off-balance

On-balance

Off-balance

At 30 June 2020

sheet amount

sheet amount

sheet amount

sheet amount

RWA

RWA density

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

%

Exposure classes

1

Sovereign exposures

23,712,409

-

23,726,496

-

524,214

2%

2

PSE exposures

1,101,961

3,000,000

1,386,545

-

271,616

20%

2a

Of which: domestic PSEs

1,073,497

3,000,000

1,358,081

-

271,616

20%

2b

Of which: foreign PSEs

28,464

-

28,464

-

-

-

3

Multilateral development bank exposures

-

-

-

-

-

-

4

Bank exposures

87,915,092

3,340,482

91,535,375

3,361,223

27,545,478

29%

5

Securities firm exposures

4,175,627

5,745,028

4,291,944

133,126

2,216,551

50%

6

Corporate exposures

174,335,214

67,752,707

166,912,303

4,409,675

159,938,103

93%

7

CIS exposures

-

-

-

-

-

-

8

Cash items

221,078

-

4,155,470

542,286

102,245

2%

9

Exposures in respect of failed delivery on

transactions entered into on a basis other than a

delivery-versus-payment basis

-

-

-

-

-

-

10

Regulatory retail exposures

9,388,770

21,163,140

9,239,259

8,901

6,936,120

75%

11

Residential mortgage loans

25,519,730

-

25,262,269

-

8,888,220

35%

12

Other exposures which are not past due

exposures

13,880,083

3,623,484

13,740,304

-

13,740,304

100%

13

Past due exposures

4,668,230

-

4,668,229

-

6,666,453

143%

14

Significant exposures to commercial entities

-

-

-

-

-

-

15

Total

344,918,194

104,624,841

344,918,194

8,455,211

226,829,304

64%

19

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR5: Credit risk exposures by asset classes and by risk weights - for STC approach

At 30 June 2020

(a)

(b)

(c)

(d)

(e)

(f)

(g)

(h)

(ha)

(i)

(j)

Risk Weight

Total credit

risk exposures

amount (post

CCF and post

Exposure class

0%

10%

20%

35%

50%

75%

100%

150%

250%

Others

CRM)

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

1

Sovereign exposures

21,105,425

-

2,621,071

-

-

-

-

-

-

-

23,726,496

2

PSE exposures

28,464

-

1,358,081

-

-

-

-

-

-

-

1,386,545

2a

Of which: domestic PSEs

-

-

1,358,081

-

-

-

-

-

-

-

1,358,081

2b

Of which: foreign PSEs

28,464

-

-

-

-

-

-

-

-

-

28,464

Multilateral development bank

3

exposures

-

-

-

-

-

-

-

-

-

-

-

4

Bank exposures

-

-

66,722,457

-

27,946,308

-

227,833

-

-

-

94,896,598

5

Securities firm exposures

-

-

-

-

4,417,038

-

8,032

-

-

-

4,425,070

6

Corporate exposures

-

-

1,741,098

-

24,704,191

-

140,154,493

4,722,196

-

-

171,321,978

7

CIS exposures

-

-

-

-

-

-

-

-

-

-

-

8

Cash items

4,186,667

-

511,055

-

-

-

34

-

-

-

4,697,756

Exposures in respect of failed

delivery on transactions entered

into on a basis other than a

9

delivery-versus-payment basis

-

-

-

-

-

-

-

-

-

-

-

10

Regulatory retail exposures

-

-

-

-

-

9,248,160

-

-

-

-

9,248,160

11

Residential mortgage loans

-

-

-

25,173,281

-

45,663

43,325

-

-

-

25,262,269

Other exposures which are not

12

past due exposures

-

-

-

-

-

-

13,740,304

-

-

-

13,740,304

13

Past due exposures

30,790

-

560

-

-

-

577,955

4,058,924

-

-

4,668,229

Significant exposures to

14

commercial entities

-

-

-

-

-

-

-

-

-

-

-

15

Total

25,351,346

-

72,954,322

25,173,281

57,067,537

9,293,823

154,751,976

8,781,120

-

-

353,373,405

20

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches

(a)

(b)

(c)

(d)

(e)

(f)

Alpha (α) used

Replacement

for computing

Default risk

cost

default risk

exposure after

(RC)

PFE

Effective EPE

exposure

CRM

RWA

At 30 June 2020

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

1

SA-CCR (for derivative contracts)

-

-

-

-

-

1a

CEM

6,515,447

10,664,763

-

17,180,210

8,885,190

2

IMM (CCR) approach

-

-

-

-

3

Simple Approach (for SFTs)

1,457,604

280,860

4

Comprehensive Approach (for SFTs)

-

-

5

VaR (for SFTs)

-

-

6

Total

9,166,050

Remark:

Prior to the implementation of SA-CCR, exposures corresponding to the counterparty credit risk reported here are calculated using current exposure method.

CCR2: CVA capital charge

(a)

(b)

EAD post CRM

RWA

At 30 June 2020

HK$' 000

HK$' 000

Netting sets for which CVA capital charge is calculated by the advanced CVA method

-

-

1

(i) VaR (after application of multiplication factor if applicable)

-

2

(ii) Stressed VaR (after application of multiplication factor if applicable)

-

3

Netting sets for which CVA capital charge is calculated by the standardized CVA method

23,981,210

6,218,213

4

Total

23,981,210

6,218,213

21

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights - STC approach

At 30 June 2020

(a)

(b)

(c)

(ca)

(d)

(e)

(f)

(g)

(ga)

(h)

(i)

Risk Weight

Total

default risk

exposure

Exposure class

0%

10%

20%

35%

50%

75%

100%

150%

250%

Others

after CRM

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

1

Sovereign exposures

-

-

55,527

-

-

-

-

-

-

-

55,527

2

PSE exposures

-

-

-

-

-

-

-

-

-

-

-

2a

Of which: domestic PSEs

-

-

-

-

-

-

-

-

-

-

-

2b

Of which: foreign PSEs

-

-

-

-

-

-

-

-

-

-

-

3

Multilateral development bank exposures

-

-

-

-

-

-

-

-

-

-

-

4

Bank exposures

-

-

3,763,266

-

11,928,325

-

23,242

-

-

-

15,714,833

5

Securities firm exposures

-

-

-

-

711,686

-

-

-

-

-

711,686

6

Corporate exposures

-

-

-

-

14,016

-

2,008,250

4,627

-

-

2,026,893

7

CIS exposures

-

-

-

-

-

-

-

-

-

-

-

8

Regulatory retail exposures

-

-

-

-

-

195

-

-

-

-

195

9

Residential mortgage loans

-

-

-

-

-

-

-

-

-

-

-

10

Other exposures which are not past due exposures

91,758

-

279

-

-

-

36,643

-

-

-

128,680

11

Significant exposures to commercial entities

-

-

-

-

-

-

-

-

-

-

-

12

Total

91,758

-

3,819,072

-

12,654,027

195

2,068,135

4,627

-

-

18,637,814

22

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR5: Composition of collateral for counterparty default risk exposures (including those for contracts or transactions cleared through CCPs)

(a)

(b)

(c)

(d)

(e)

(f)

Derivative contracts

SFTs

Fair value of recognized

Fair value of

Fair value

collateral received

Fair value of posted collateral

recognized

collateral

of posted

Segregated

Unsegregated

Segregated

Unsegregated

received

collateral

At 30 June 2020

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

Cash - domestic currency

11,705

-

232,915

-

-

-

Cash - other currencies

13,131

1,982,276

402,712

1,113,517

-

-

Total

24,836

1,982,276

635,627

1,113,517

-

-

CCR8: Exposures to CCPs

(a)

(b)

Exposure after CRM

RWA

At 30 June 2020

HK$' 000

HK$' 000

1

Exposures of the AI as clearing member or client to qualifying CCPs (total)

152,610

2

Default risk exposures to qualifying CCPs (excluding items disclosed in rows 7 to 10), of which:

5,070,804

101,416

3

(i) OTC derivative transactions

5,070,804

101,416

4

(ii) Exchange-traded derivative contracts

-

-

5

(iii) Securities financing transactions

-

-

6

(iv) Netting sets subject to valid cross-product netting agreements

-

-

7

Segregated initial margin

-

8

Unsegregated initial margin

-

-

9

Funded default fund contributions

50,251

3,025

10

Unfunded default fund contributions

-

-

11

Exposures of the AI as clearing member or client to non-qualifying CCPs (total)

-

12

Default risk exposures to non-qualifying CCPs (excluding items disclosed in rows 17 to 20), of which:

-

-

13

(i) OTC derivative transactions

2,408,453

48,169

14

(ii) Exchange-traded derivative contracts

-

-

15

(iii) Securities financing transactions

-

-

16

(iv) Netting sets subject to valid cross-product netting agreements

-

-

17

Segregated initial margin

-

18

Unsegregated initial margin

-

-

19

Funded default fund contributions

-

-

20

Unfunded default fund contributions

-

-

23

Regulatory Disclosure Statement (continued)

PART V: MARKET RISK

MR1: Market risk under STM approach

(a)

RWA

At 30 June 2020

HK$' 000

Outright product exposures

1

Interest rate exposures (general and specific risk)

12,579,425

2

Equity exposures (general and specific risk)

-

3

Foreign exchange (including gold) exposures

1,157,450

4

Commodity exposures

-

Option exposures

5

Simplified approach

-

6

Delta-plus approach

34,700

7

Other approach

-

8

Securitization exposures

-

9

Total

13,771,575

24

Disclaimer

China CITIC Bank Corporation Limited published this content on 21 September 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 September 2020 18:04:07 UTC


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