Management report
Corporate governance
Consolidated financial statements
Financial statements
Recom
mendation
Description
Capital Adequacy
and Risk
Management
Report 2015
Annual Report
2015
Consolidated
Financial
Statements
2015
Funding
19
Summarise encumbered and unencumbered assets in a tabular format by balance sheet
categories, including collateral received that can be rehypothecated or otherwise redeployed. This
is to facilitate an understanding of available and unrestricted assets to support potential funding
and collateral needs.
See paragraph
10.2
See page 100
20
Tabulate consolidated total assets, liabilities and off-balance sheet commitments by remaining
contractual maturity at the balance sheet date. Present separately (i) senior unsecured borrowing
(ii) senior secured borrowing (separately for covered bonds and repos) and (iii) subordinated
borrowing. Banks should provide a narrative discussion of management's approach to
determining the behavioural characteristics of financial assets and liabilities.
See page 99
See paragraph
4.6
21
Discuss the bank's funding strategy, including key sources and any funding concentrations,
to enable effective insight into available funding sources, reliance on wholesale funding, any
geographical or currency risks and changes in those sources over time.
See paragraph
10.2
See page 98
Market risk
22
Provide information that facilitates users' understanding of the linkages between line items in
the balance sheet and the income statement with positions included in the traded market risk
disclosures (using the bank's primary risk management measures such as Value at Risk (VaR)) and
non-traded market risk disclosures such as risk factor sensitivities, economic value and earnings
scenarios and/or sensitivities.
See paragraph 9
See page 93
23
Provide further qualitative and quantitative breakdowns of significant trading and nontrading
market risk factors that may be relevant to the bank's portfolios beyond interest rates, foreign
exchange, commodity and equity measures.
See page 93
24
Provide qualitative and quantitative disclosures that describe significant market risk measurement
model limitations, assumptions, validation procedures, use of proxies, changes in risk measures
and models through time and descriptions of the reasons for back-testing exceptions, and how
these results are used to enhance the parameters of the model.
See page 93
25
Provide a description of the primary risk management techniques employed by the bank to
measure and assess the risk of loss beyond reported risk measures and parameters, such as VaR,
earnings or economic value scenario results, through methods such as stress tests, expected
shortfall, economic capital, scenario analysis, stressed VaR or other alternative approaches. The
disclosure should discuss how market liquidity horizons are considered and applied within such
measures.
See paragraph
9.1.1
Credit risk
26
Provide information that facilitates users' understanding of the bank's credit risk profile, including
any significant credit risk concentrations. This should include a quantitative summary of aggregate
credit risk exposures that reconciles to the balance sheet, including detailed tables for both retail
and corporate portfolios that segments them by relevant factors. The disclosure should also
incorporate credit risk likely to arise from off-balance sheet commitments by type.
See paragraph
6.2.1
27
Describe the policies for identifying impaired or non-performing loans, including how the bank
defines impaired or non-performing, restructured and returned-to-performing (cured) loans as
well as explanations of loan forbearance policies.
See paragraph
6.2.2
See page 87
28
Provide a reconciliation of the opening and closing balances of non-performing or impaired loans
in the period and the allowance for loan impairments. Disclosures should include an explanation of
the effects of loan acquisitions on ratio trends, and qualitative and quantitative information about
restructured loans.
See paragraph
6.2.2 and 6.2.3
See section 11
29
Provide a quantitative and qualitative analysis of the bank's counterparty credit risk that arises
from its derivatives transactions. This should quantify notional derivatives exposure, including
whether derivatives are over-the-counter (OTC) or traded on recognised exchanges. Where the
derivatives are OTC, the disclosure should quantify how much is settled by central counterparties
and how much is not, as well as provide a description of collateral agreements.
See paragraph 6.3
30
Provide qualitative information on credit risk mitigation, including collateral held for all sources
of credit risk and quantitative information where meaningful. Collateral disclosures should be
sufficiently detailed to allow an assessment of the quality of collateral. Disclosures should also
discuss the use of mitigants to manage credit risk arising from market risk exposures (i.e. the
management of the impact of market risk on derivatives counterparty risk) and single name
concentrations.
See paragraph 6.2
See paragraph
4.4.1 and 4.4.4
Other risks
31
Describe 'other risk' types based on management's classifications and discuss how each one
is identified, governed, measured and managed. In addition to risks such as operational risk,
reputational risk, fraud risk and legal risk, it may be relevant to include topical risks such as business
continuity, regulatory compliance, technology, and outsourcing.
See paragraph 8.1
See page 100
32
Discuss publicly known risk events related to other risks, including operational, regulatory
compliance and legal risks, where material or potentially material loss events have occurred.
Such disclosures should concentrate on the effect on the business, the lessons learned and the
resulting changes to risk processes already implemented or in progress.
See paragraph 8.2
See paragraph
4.10
389 14. Appendices