China CITIC Bank International Limited

中信銀行（國際）有限公司

Regulatory Disclosure Statement

30 June 2021

(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 2021 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. Certain comparative figures have been restated in conformity with the latest books and records of the Group and returns submitted by the Bank to the HKMA.

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

2021

2021

2020

2020

2020

(a)

(b)

(c)

(d)

(e)

HK$' 000

HK$' 000

HK$' 000

HK$' 000

HK$' 000

Regulatory capital

1

Common Equity Tier 1 (CET1)

37,897,448

37,523,949

36,932,733

37,309,461

37,595,770

2

Tier 1

45,669,508

45,296,009

44,704,793

45,081,521

45,367,830

3

Total capital

53,037,482

52,724,843

51,893,699

52,320,444

52,120,353

RWA

4

Total RWA

309,556,121

314,060,053

301,278,255

298,128,143

273,013,890

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

5

CET1 ratio (%)

12.2%

11.9%

12.3%

12.5%

13.8%

6

Tier 1 ratio (%)

14.8%

14.4%

14.8%

15.1%

16.6%

7

Total capital ratio (%)

17.1%

16.8%

17.2%

17.6%

19.1%

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)

0.621%

0.571%

0.565%

0.592%

0.567%

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 (%)

3.121%

3.071%

3.065%

3.092%

3.067%

12

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

7.7%

7.4%

7.8%

8.0%

9.3%

Basel III leverage ratio

13

Total leverage ratio (LR) exposure measure

428,549,955

448,824,611

413,136,530

418,199,262

381,002,257

14

LR (%)

10.7%

10.1%

10.8%

10.8%

11.9%

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

Applicable to category 1 institution only:

15

Total high quality liquid assets (HQLA)

64,539,318

52,632,299

53,443,312

45,423,352

42,386,001

16

Total net cash outflows

26,048,868

23,427,107

25,357,457

19,029,738

19,066,123

17

LCR (%)

249%

225%

217%

240%

224%

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

245,755,499

256,242,691

247,594,441

247,414,150

236,248,495

19

Total required stable funding

201,679,036

200,384,352

192,719,256

185,268,561

169,746,648

20

NSFR (%)

122%

128%

128%

134%

139%

Applicable to category 2A institution only:

20a

CFR (%)

N/A

N/A

N/A

N/A

N/A

N/A - Non-Applicable

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

2021

2021

2021

HK$' 000

HK$' 000

HK$' 000

1

Credit risk for non-securitization exposures

265,705,457

267,389,334

21,256,437

2

Of which STC approach

265,705,457

267,389,334

21,256,437

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

5,432,230

9,299,583

434,578

7

Of which SA-CCR approach

5,001,566

Not applicable

400,125

7a

Of which CEM

-

9,088,325

-

8

Of which IMM (CCR) approach

-

-

-

9

Of which others

430,664

211,258

34,453

10

CVA risk

6,640,213

6,746,075

531,217

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

15,709,538

14,325,925

1,256,763

21

Of which STM approach

15,709,538

14,325,925

1,256,763

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

14,983,338

15,117,200

1,198,667

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

192,193

95,602

15,375

26b

Of which portion of regulatory reserve for general banking risks and collective provisions

which is not included in Tier 2 Capital

93,174

-

7,454

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

99,019

95,602

7,922

27

Total

309,556,121

314,060,053

24,764,490

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 decreased was mainly due to decrease in RWA for counterparty default risk as a result of SA-CCR implementation effective on 30 June 2021.

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 2021

HK$' 000

CET1 capital: instruments and reserves

1

Directly issued qualifying CET1 capital instruments plus any related share premium

18,404,013

(3) + (4)

2

Retained earnings

21,616,754

(7)

3

Disclosed reserves

931,528

(5)

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

40,952,295

CET1 capital: regulatory deductions

7

Valuation adjustments

18,235

(10)

8

Goodwill (net of associated deferred tax liabilities)

-

9

Other intangible assets (net of associated deferred tax liabilities)

607,325

(15)

10

Deferred tax assets (net of deferred tax liabilities)

112,986

(1)

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

162

(2)

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

2,316,139

26a

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

180,035

(6) + (9)

26b

Regulatory reserve for general banking risks

2,136,104

(8)

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

This is an excerpt of the original content. To continue reading it, access the original document here.

Attachments

  • Original document
  • Permalink

Disclaimer

China CITIC Bank Corporation Limited published this content on 29 September 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 September 2021 10:01:09 UTC.