Investor Presentaiton

Appendix Footnotes -2 1. 2. 3. 34 4. 599 7. 8. 9. 10. 11. 12. 13. HSBC SFH Investor Report, Selection on 30 June 2018 HSBC SFH (France) believes that, at the time of its issuance and based on transparency data made publicly available by HSBC SFH (France), these covered bonds would satisfy the eligibility criteria for Article 129(7) of the Capital Requirements Regulation (EU) 648/2012. It should be noted, however, that whether or not exposures in the form of covered bonds are eligible to preferential treatment under Regulation (EU) 648/2012 is ultimately a matter to be determined by a relevant investor institution and its relevant supervisory authority and HSBC SFH (France) does not accept any responsibility in this regard. Annualised Unless otherwise stated, risk-weighted assets and capital are calculated using (i) the CRD IV transitional arrangement as implemented in the UK by the Prudential Regulation Authority; and (ii) EU's regulatory transitional arrangements for IFRS 9 in article 473a of the Capital Requirements Regulation. Figures at 31 December 2017 are reported under IAS 39 This table excludes POCI balances and related allowances. Full details can be found on page 55 of the 1H18 Interim Report Pro forma buffer to MDA trigger based on RWAs and CET1 capital resources at 30 June 2018 Pillar 2A requirements are shown as applicable on 30 June 2018 and are subject to change, held constant for illustrative purposes. The capital buffers on an end point basis include: a) the fully phased-in capital conservation buffer of 2.5% of RWAs; b) the countercyclical capital buffer, which is dependent on the prevailing rates set in the jurisdictions where HSBC has relevant credit exposures (this buffer amounts to 0.7% of RWAS on an end-point basis, based on confirmed rates as of July 2018); c) the fully phased-in Global Systemically Important Institutions Buffer (G-SII buffer) of 2% of RWAs. With the exception of the capital conservation buffer, the remaining buffers are subject to change. Minimum requirement for own funds and eligible liabilities (MREL) consists of a minimum level of equity and eligible debt liabilities that will need to be maintained pursuant to a direction from the Bank of England in the exercise of its powers under the Bank Recovery and Resolution Directive (BRRD) and associated UK legislation, with the purpose of absorbing losses and recapitalise an institution upon failure whilst ensuring the continuation of critical economic functions. The criteria for eligibility is defined in "The Bank of England's approach to setting a minimum requirement for own funds and eligible liabilities (MREL)" policy statement, published in June 2018 (updating November 2016). In November 2016, the European Commission also published proposed amendments to MREL which are yet to be finalised. The final MREL rules are subject to change pending the outcome and timing of these amendments, alongside the UK withdrawal from the EU. End-point MREL requirements calculated as a % of Group consolidated RWAs. The Bank of England (BOE) has written to HSBC outlining its current expectation with regard to the Group's Multiple Point of Entry resolution strategy and the Group's indicative MREL to be met by 2019 and 2022. The Group's MREL requirements are expected to be set at the higher of (i) 16% of RWAS (consolidated) from 1 Jan 2019 and 18% of RWAs (consolidated) from 1 Jan 2022; (ii) 6% of leverage exposures (consolidated) from 1 Jan 2019 and 6.75% from 1 Jan 2022; and (iii) the sum of requirements relating to our resolution groups, and entities/sub-groups located outside these resolution groups, which are not fully known. The 2019 and 2022 MREL requirements are subject to a number of caveats including: changes to the firm and its balance sheet (RWAS, FX and leverage); liability management and share buy backs; changes in accounting and regulatory policy; stress test requirements and, not least, confirmation of the final requirements from the Bank of England and other regulators, including the resolution strategy which is subject to revision on a regular basis. Balances presented by quarter are on a constant currency basis. Reported equivalents for 'Loans and advances to customers' are as follows: 1Q17: $876bn, 2Q17: $920bn, 3Q17: $945bn, 4Q17: $963bn, 1Q18: $981bn, 2Q18: $973bn. Reported equivalents for 'Customer Accounts' are as follows: 1Q17: $1,273bn, 2Q17: $1,312bn, 3Q17: $1,337bn, 4Q17: $1,364bn, 1Q18: $1,380bn, 2018: $1,356bn Red-inked balances relate to corporate customers in the UK, who settle their overdraft and deposit balances on a net basis. CMB red-inked balances 1Q17: $5bn, 2Q17: $5bn, 3Q17: $6bn, 4Q17: $6bn, 1Q18: $6bn, 2Q18: $6bn; GB&M red-inked balances: 1Q17: $13bn, 2Q17: $16bn, 3Q17: $18bn, 4Q17: $20bn, 1Q18: $19bn, 2Q18: $20bn Source: Form 20-F; Average balances on a reported basis 42 24

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