Banc of America Securities Asia Limited
Regulatory Disclosure Statement
For the quarter ended Sep 30, 2020
Contents | Pages | |
1. | Key Prudential Ratios | 1 - 2 |
2. | Overview of Risk Weighted Assets | 2 - 3 |
3. | Leverage Ratio | 3 - 4 |
4. | Statement of Compliance | 4 |
BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)
1. Key Prudential Ratios:
The following table provides an overview of the Bank's key prudential ratios.
as at 30 Sep | as at 30 Jun | as at 31 Mar | as at 31 Dec | as at 30 Sep | ||
2020 | 2020 | 2020 | 2019 | 2019 | ||
Regulatory capital (amount US$'000) | ||||||
1 | Common Equity Tier 1 (CET1) | 538,256 | 536,056 | 535,154 | 534,222 | 534,872 |
2 | Tier 1 | 538,256 | 536,056 | 535,154 | 534,222 | 534,872 |
3 | Total capital | 538,256 | 536,056 | 535,154 | 534,222 | 534,872 |
RWA (amount US$'000) | ||||||
4 | Total RWA | 113,666 | 144,349 | 137,218 | 116,731 | 162,655 |
Risk-based regulatory capital ratios (as a percentage of RWA)
5 | CET1 ratio (%) | 473.54 | 371.36 | 390.00 | 457.65 | 328.84 | |
6 | Tier 1 ratio (%) | 473.54 | 371.36 | 390.00 | 457.65 | 328.84 | |
7 | Total capital ratio (%) | 473.54 | 371.36 | 390.00 | 457.65 | 328.84 | |
Additional CET1 buffer requirements (as a percentage of RWA) | |||||||
Capital conservation buffer | |||||||
8 | requirement (%) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |
Countercyclical capital buffer | |||||||
9 | requirement (%) | 0.02 | 0.83 | - | - | - | |
Higher loss absorbency requirements | |||||||
(%) (applicable only to G-SIBs or D- | |||||||
10 | SIBs) | NA | NA | NA | NA | NA | |
Total AI-specific CET1 buffer | |||||||
11 | requirements (%) | 2.52 | 3.33 | 2.50 | 2.50 | 2.50 | |
CET1 available after meeting the AI's | |||||||
12 | minimum capital requirements (%) | 463.02 | 360.03 | 379.50 | 447.15 | 318.34 | |
Basel III leverage ratio | |||||||
Total leverage ratio (LR) exposure | |||||||
13 | measure (amount USD'000) | 551,690 | 649,908 | 673,993 | 580,765 | 693,091 | |
14 | LR (%) | 97.57 | 82.48 | 79.40 | 91.99 | 77.17 | |
Liquidity Coverage Ratio (LCR) / Liquidity Maintenance Ratio (LMR) | |||||||
Applicable to category 1 institution | |||||||
only: | |||||||
Total high quality liquid assets | |||||||
15 | (HQLA) | NA | NA | NA | NA | NA | |
16 | Total net cash outflows | NA | NA | NA | NA | NA | |
17 | LCR (%) | NA | NA | NA | NA | NA | |
Applicable to category 2 institution | |||||||
only: | |||||||
333,333,333, | |||||||
17a | LMR (%) | 22,652.19 | 252,336.43 | 577,337.34 | 4,278,110.69 | 336,243.00 | |
Net Stable Funding Ratio (NSFR) / Core Funding Ratio (CFR) | |||||||
Applicable to category 1 institution | |||||||
only: | |||||||
18 | Total available stable funding | NA | NA | NA | NA | NA | |
19 | Total required stable funding | NA | NA | NA | NA | NA | |
20 | NSFR (%) | NA | NA | NA | NA | NA | |
Applicable to category 2A institution | |||||||
only: | |||||||
20a | CFR (%) | NA | NA | NA | NA | NA |
As of 30th Sep 2020, the LMR was 22,652.19%, decreased by 229,684.24% when compared to 30th Jun 2020. This is mainly driven by increase in comparative average qualifying liabilities during the quarter.
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BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)
The above key regulatory ratios were calculated in accordance with the following Rules, where relevant, issued by the HKMA.
- Banking (Capital) Rules ("BCR")
- Leverage Ratio Framework
- Banking (Liquidity) Rules ("BLR")
2. Overview of Risk Weighted Assets
The following table sets out the Banks's risk-weighted assets ("RWA") and the corresponding minimum capital requirements by risk types.
Minimum | |||||||||||
RWA | capital | ||||||||||
requirements | |||||||||||
US$'000 | |||||||||||
US$'000 | |||||||||||
As at | As at | As at | |||||||||
30 Sep 2020 | 30 Jun 2020 | 30 Sep 2020 | |||||||||
1 | Credit risk for non-securitization exposures | 70,704 | 50,571 | 5,656 | |||||||
2 | Of which STC approach | 70,704 | 50,571 | 5,656 | |||||||
2a | Of which BSC approach | - | - | - | |||||||
3 | Of which foundation IRB approach | - | - | - | |||||||
4 | Of which supervisory slotting criteria approach | - | - | - | |||||||
5 | Of which advanced IRB approach | - | - | - | |||||||
6 | Counterparty default risk and default fund contributions | 1,568 | 35,308 | 125 | |||||||
7 | Of which SA-CCR | - | - | - | |||||||
7a | Of which CEM | 1,077 | 29,494 | 86 | |||||||
8 | Of which IMM(CCR) approach | - | - | - | |||||||
9 | Of which other | - | - | - | |||||||
10 | CVA Risk | 491 | 5,814 | 39 | |||||||
11 | Equity positions in banking book under the simple risk- | - | - | - | |||||||
weight method and internal models method | |||||||||||
12 | Collective investment scheme ("CIS") exposures - LTA | - | - | - | |||||||
13 | CIS exposures - MBA | - | - | - | |||||||
14 | CIS exposures - FBA | - | - | - | |||||||
14a CIS exposures - combination of approaches | - | - | - | ||||||||
15 | Settlement risk | - | - | - | |||||||
16 | Securitization exposures in banking book | - | - | - | |||||||
17 | Of which SEC-IRBA | - | - | - | |||||||
18 | Of which SEC-ERBA (including IAA) | - | - | - | |||||||
19 | Of which SEC-SA | - | - | - | |||||||
19a | Of which SEC-FBA | - | - | - | |||||||
20 | Market risk | 20,509 | 38,968 | 1,641 | |||||||
21 | Of which STM approach | 20,509 | 38,968 | 1,641 | |||||||
22 | Of which IMM approach | - | - | - | |||||||
23 | Capital charge for switch between exposures in trading | - | - | - | |||||||
book and banking book (not applicable before the revised | |||||||||||
market risk framework takes effect)* | |||||||||||
- 2 -
BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)
Minimum | ||||||||||||||
RWA | capital | |||||||||||||
requirements | ||||||||||||||
US$'000 | ||||||||||||||
US$'000 | ||||||||||||||
As at | As at | As at | ||||||||||||
30 Sep 2020 | 30 Jun 2020 | 30 Sep 2020 | ||||||||||||
24 | Operational risk | 20,885 | 19,502 | 1,671 | ||||||||||
24a | Sovereign concentration risk | - | - | - | ||||||||||
25 | Amounts below the thresholds for deduction (subject to | - | - | - | ||||||||||
250% RW) | ||||||||||||||
26 | Capital floor adjustment | - | - | - | ||||||||||
26a | Deduction to RWA | - | - | - | ||||||||||
26b | Of which portion of regulatory reserve for general | - | - | - | ||||||||||
banking risks and collective provisions which is not | ||||||||||||||
included in Tier 2 Capital | ||||||||||||||
26c | Of which portion of cumulative fair value gains arising | - | - | - | ||||||||||
from the revaluation of land and buildings which is not | ||||||||||||||
included in Tier 2 Capital | ||||||||||||||
27 | Total | 113,666 | 144,349 | 9,093 | ||||||||||
3. Leverage Ratio
Leverage ratio | Leverage ratio | ||||||||||||
Item | framework | framework | |||||||||||
US$'000 | US$'000 | ||||||||||||
30 Sep 2020 | 30 Jun 2020 | ||||||||||||
On-balance sheet exposures | |||||||||||||
1 | On-balance sheet exposures (excluding those arising from derivative | 550,327 | 539,732 | ||||||||||
contracts and SFTs, but including collateral) | |||||||||||||
2 | Less: Asset amounts deducted in determining Tier 1 capital | (792) | (1,405) | ||||||||||
3 | Total on-balance sheet exposures (excluding derivative contracts and | 549,535 | 538,327 | ||||||||||
SFTs | |||||||||||||
Exposures arising from derivative contracts | |||||||||||||
Replacement cost associated with all derivative contracts (where | |||||||||||||
4 | applicable net of eligible cash variation margin and/or with bilateral | - | 13,633 | ||||||||||
netting) | |||||||||||||
5 | Add-on amounts for PFE associated with all derivative contracts | 2,155 | 11,948 | ||||||||||
6 | Gross-up for derivatives collateral provided where deducted from the | - | - | ||||||||||
balance sheet assets pursuant to the applicable accounting framework | |||||||||||||
7 | Less: Deductions of receivables assets for cash variation margin provided | - | - | ||||||||||
under derivative contracts | |||||||||||||
8 | Less: Exempted CCP leg of client-cleared trade exposures | - | - | ||||||||||
9 | Adjusted effective notional amount of written credit derivative contracts | - | - | ||||||||||
10 | Less: Adjusted effective notional offsets and add-on deductions for written | - | - | ||||||||||
credit derivative contracts | |||||||||||||
11 | Total exposures arising from derivative contracts | 2,155 | 25,581 | ||||||||||
- 3 -
BANC OF AMERICA SECURITIES ASIA LIMITED (Unaudited information)
Exposures arising from SFTs
Leverage ratio | Leverage ratio | ||||||||||
framework | framework | ||||||||||
US$'000 | US$'000 | ||||||||||
30 Sep 2020 | 30 Jun 2020 | ||||||||||
12 | Gross SFT assets (with no recognition of netting), after adjusting for sale | - | - | ||||||||
accounting transactions | |||||||||||
13 | Less: Netted amounts of cash payables and cash receivables of gross | - | - | ||||||||
SFT assets | |||||||||||
14 | CCR exposure for SFT assets | - | - | ||||||||
15 | Agent transaction exposures | - | - | ||||||||
16 | Total exposures arising from SFTs | - | - | ||||||||
Other off-balance sheet exposures | |||||||||||
17 | Off-balance sheet exposure at gross notional amount | - | 86,000 | ||||||||
18 | Less: Adjustments for conversion to credit equivalent amounts | - | - | ||||||||
19 | Off-balance sheet items | - | 86,000 | ||||||||
Capital and total exposures | |||||||||||
20 | Tier 1 capital | 538,256 | 536,056 | ||||||||
20a | Total exposures before adjustments for specific and collective provisions | 551,690 | 649,908 | ||||||||
20b | Adjustments for specific and collective provisions | - | - | ||||||||
21 | Total exposures after adjustments for specific and collective provisions | 551,690 | 649,908 | ||||||||
Leverage ratio | |||||||||||
22 | Leverage ratio | 97.57% | 82.48% | ||||||||
4. Statement of Compliance
Upon consultation with the HKMA under section 16(2)(a) of the Banking (Disclosure) Rules ("BDR"), BASAL had sought consent from the HKMA to continue uploading the required financial disclosure information to the website of its ultimate parent entity, Bank of America Corporation.
It is not practicable for BASAL to disclose under section 16(FE)(1)(b) of the BDR the full terms and conditions of all of its relevant regulatory capital instruments on its internet website, since BASAL does not currently maintain its own internet website. This is the reason that led BASAL to seek the aforementioned consent form HKMA.
Herein included below is the direct link to Bank of America Corporation's internet website, whereby the full terms and conditions of all of BASAL's relevant regulatory capital instruments and financial disclosure information can be accessed.
http://investor.bankofamerica.com/phoenix.zhtml?c=71595&p=subsidiaries#fbid=eDBVweHpCCU
This information is also identical to, if not the closest available alternative to, the information which have been the subject of the required disclosures if BASAL had not been so unable to make the required disclosures on its own internet website.
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Bank of America Corporation published this content on 20 November 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 24 November 2020 17:40:09 UTC