Investor Presentaiton
Appendix
GBM and CMB IRB RWA inflation and mitigating actions.
Wholesale counterparty IRB RWAS and exposures
All CRR Bands
FY19
FY20
A
RWA, $bn
341
346
EAD, $bn
695
680
RWA density, %
49.0
50.8
1.8ppt
•
Weighted average PD, %
0.9
1.2
0.3ppt
Of which: CRR 1.1 - 5.3
FY19
FY20
A
RWA, $bn
318
314
EAD, $bn
678
655
RWA density, %
46.8
48.0
Weighted average PD, %
0.6
0.7
1.2ppt
0.1ppt
Of which: CRR 6.1+
FY19
FY20
A
RWA, $bn
23
EAD, $bn
17
32
25
RWA density, %
138.3
Weighted average PD, %
14.2
129.3
13.5
(9.0)ppt
(0.7)ppt
Strategy
Results
GBM & CMB wholesale performing IRB book:
includes: corporates, sovereigns and financial institutions.
excludes: slotting exposures, Markets Treasury allocations and
exposures in default
Some growth in RWAs due to credit risk migration over FY20
c.90% of the book is higher quality (CRR1-5) with RWAs stable vs.
FY19
Total RWA inflation is being mitigated through actions to maintain
book quality, namely maintenance of the CRR 1-5 book size and its
RWA density, including targeted saves under the transformation
programme
Of the higher risk bands, 56% of exposures sit in the top two bands (6.1
and 6.2). As at 31 December 2019, this percentage was 60%
CRR: Customer risk rating. CRR 1-3 considered Strong to Good credit quality (roughly equivalent to an S&P credit rating of AAA to BBB-); CRR 4-5 considered Satisfactory (BB+ to BB-); CRR 6+ considered Sub-
standard, broadly equivalent to a rating of B- or below
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