Standard Chartered PLC — Audit Report / Information 2017

Aug 9, 2017

PILLAR 3 DISCLOSURES

30 June 2017

Contents

1. Introduction 2

1.1.	Purpose and basis of presentation	2
	1.2. Highlights	2
	1.3. Accounting and regulatory consolidation	3
	1.4. Significant subsidiaries	4
2. Capital
2.1.	Capital management	5
	2.2. Capital resources	5
	2.3. Countercyclical capital buffer	8
	2.4. Capital requirements	10
	2.5. UK leverage ratio	13
	3. Credit risk	15
3.1.	Exposure values	15
	3.2. Risk grade profile	16
	3.3. Credit risk mitigation	38
	3.4. Standardised risk weight profile	40
	3.5. Counterparty credit risk	42
	4. Market risk	56
	5. Forward-looking statements	59
Acronyms		60
Glossary		61

Tables

1.	Regulatory consolidation	3
2.	Capital base	5
3.	Capital ratios and risk-weighted assets	7
4.	Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer	8
5.	Amount of institution specific countercyclical capital buffer	9
6.	Overview of RWA (OV1)	10
7.	Movement analysis for RWA	11
8.	RWA flow statements of credit risk exposures under IRB (CR8)	11
9.	RWA flow statements of market risk exposures under an IMA (MR2-B)	12
	10. UK leverage ratio and CRR leverage Ratio	13
	11. Leverage ratio	13
	12. Leverage ratio common disclosure	14
	13. Leverage ratio: Analysis of on-balance sheet exposures	14
	14. Total and average exposure at default	15
	15. IRB – credit risk exposures by exposure class	16
	16. IRB – credit risk exposure by internal PD grade for Central governments or central banks (CR6)	18
	17. IRB – credit risk exposure by internal PD grade for Institutions (CR6)	20
	18. IRB – credit risk exposure by internal PD grade for Corporates – Main (CR6)	22
	19. IRB – credit risk exposure by internal PD grade for Corporates – SME (CR6)	24
	20. IRB – credit risk exposure by internal PD grade for Corporates – Specialised Lending (CR6)	26
	21. IRB – credit risk exposure by internal PD grade for Retail – Main (CR6)	28
	22. IRB – credit risk exposure by internal PD grade for Retail – Secured by real estate non-SME (CR6)	30
	23. IRB – credit risk exposure by internal PD grade for Retail – Qualifying Revolving (CR6)	32
	24. IRB – credit risk exposure by internal PD grade for Retail – Other SME (CR6)	34

25. IRB – credit risk exposure by internal PD grade for Retail – Other non-SME (CR6)	36
26. Effect of guarantees and collateral	38
27. Standardised approach – credit risk exposure and credit risk mitigation (CRM) effects (CR4)	39
28. Standardised approach – exposures by asset classes and risk weights (pre-CRM pre-CCF) (CR5)	40
29. Standardised approach – exposures by asset classes and risk weights (post-CRM post-CCF) (CR5)	41
30. Counterparty credit risk (CCR5-A)	42
31. Exposures to central counterparties (CCR8)	43
32. Credit derivatives exposures (CCR6)	43
33. Credit valuation adjustment (CVA) capital charge (CCR2)	43
34. Standardised approach – CCR exposures by regulatory portfolio and risk (CCR3)	44
35. IRB – CCR exposures by exposure class	45
36. IRB – CCR exposures by PD grade for Central governments or central banks (CCR4)	46
37. IRB – CCR exposures by PD grade for Institutions (CCR4)	48
38. IRB – CCR exposures by PD grade for Corporates - Main (CCR4)	50
39. IRB – CCR exposures by PD grade for Corporates – SME (CCR4)	52
40. IRB – CCR exposures by PD grade for Corporates – Specialised Lending (CCR4)	54
41. Market risk regulatory capital requirements	56
42. Market risk under standardised approach (MR1)	57
43. IMA values for trading portfolios (MR3)	57
44. Market risk under internal model approach (MR2-A)	57
45. Comparison of VaR estimates with hypothetical gains/losses (MR4)	58
46. Comparison of VaR estimates with actual gains/losses (MR4)	58

Standard Chartered PLC (SC PLC) is headquartered in London where it is authorised by the UK's Prudential Regulation Authority (PRA), and Standard Chartered PLC Group and Standard Chartered Bank are regulated by the Financial Conduct Authority (FCA) and the PRA. Within this document 'the Group' refers to Standard Chartered PLC together with its subsidiary undertakings. The regions of Greater China, North East (NE) Asia, South Asia, ASEAN, MENAP, are defined in the Glossary on pages 61 – 65. Throughout this document, unless specified, the disclosures are at Group level. Throughout this document, unless another currency is specified, the word 'dollar' or symbol \$ means United States dollar. Throughout this document IRB refers to advanced internal ratings-based models. The Group does not use the Foundation IRB approach.

1 Introduction

1.1 Purpose and basis of presentation

The Pillar 3 Disclosures comprise detailed information on the underlying drivers of risk-weighted assets (RWA) and capital ratios as at 30 June 2017 in accordance with the European Union's (EU) Capital Requirements Regulation (CRR) as implemented in the United Kingdom (UK) by the Prudential Regulation Authority (PRA).

This report presents the interim Pillar 3 disclosures of Standard Chartered PLC ('the Group') as at 30 June 2017 and should be read in conjunction with the Group's Half Year Report 2017.

The disclosures have been prepared in accordance with the European Banking Authority (EBA)'s revised guidelines on Pillar 3 disclosure formats and frequency, that were published in December 2016. In addition to summary capital and leverage disclosures, the guidelines require specific templates to be disclosed on a semi-annual basis, and those templates that were early adopted as at 2016 year end are included within this report. We have included the EBA table references in the titles of those early adopted templates in brackets. The full set of disclosures in the EBA Guidelines will be adopted fully at 2017 year end.

The information presented in this Pillar 3 report is not required to be, and has not been, subjected to external audit.

1.2 Highlights

• • The Group is well capitalised with low leverage and high levels of loss absorbing capacity.
• • The Group's CET1 ratio of 13.8 per cent was ahead of both the current requirement of 8.0 per cent and the expected end-state requirement for 2019 of 9.9 per cent, which includes the Pillar 1 and 2A minimum requirements and the CRD IV capital buffers that are known at this time.
• • The Group has low leverage with a UK leverage ratio of 6.0 per cent which is above the current minimum requirement of 3.2 per cent.
• • The Group's risk-weighted assets (RWA) increased by \$4.7 billion, or 2 per cent from 31 December 2016 to \$274.2 billion. This was mainly due to a \$6.8 billion increase in credit risk RWA (including counterparty credit risk and amounts below the thresholds for deduction) and a \$1.1 billion increase in market risk RWA, partly offset by a \$3.2 billion decrease in operational risk RWA. The main drivers are asset growth and foreign currency translation, offset by lower operational risk RWA on account of lower average income.

1.3 Accounting and regulatory consolidation

The Pillar 3 Disclosures are prepared at the Group consolidated level. All banking subsidiaries are fully consolidated and the treatment is the same for both regulatory and accounting purposes. For associates and joint ventures, the regulatory treatment differs from the accounting policy, which applies the equity accounting method.

The regulatory consolidation approaches used by the Group are shown in the following table, which identifies the principal undertakings, including investments, associates and joint ventures, which are all

principally engaged in the business of banking and provision of other financial services.

The primary difference between financial consolidation and regulatory consolidation is PT Bank Permata Tbk, which is equity accounted for in the accounts and fully consolidated for regulatory purposes. PT Bank Permata Tbk's Annual Report and Accounts are completed in compliance with their local regulations and are published on their website www.permatabank.com/TentangKami/Hubungan-Investor/

Table 1: Regulatory consolidation

Type	Description	Regulatory consolidation	Principal undertakings within each category
Investment (non-significant)	The Group holds no more than 10 per cent of the issued share capital	The Group risk-weights the investment subject to the CRD IV threshold calculation	Agricultural Bank of China
Associate	The Group holds more than 10 per cent and less than 20 per cent of the issued share capital	The Group risk-weights the investment subject to the CRD IV threshold calculation	Asia Commercial Bank China Bohai Bank
Associate	The Group holds at least 20 per cent and up to 50 per cent of the issued share capital	The Group proportionately consolidates its share of the assets, liabilities, income, expenses and exposures	Canas Leasing Limited1 Elviria Leasing Limited1
Joint venture	The Group enters into a contractual arrangement to exercise joint control over an undertaking	Where the Group's liability to the joint venture is greater than the capital held, full consolidation is undertaken. Otherwise joint ventures are proportionately consolidated.	PT Bank Permata Tbk
Subsidiary	The Group holds more than 50 per cent of the issued share capital	The Group fully consolidates the undertaking	Standard Chartered Bank Standard Chartered Bank Korea Limited Standard Chartered Bank Malaysia Berhad Standard Chartered Bank (Pakistan) Limited Standard Chartered Bank (Taiwan) Limited Standard Chartered Bank (Hong Kong) Limited Standard Chartered Bank (China) Limited Standard Chartered Bank (Singapore) Limited Standard Chartered Bank (Thai) Public Company Limited Standard Chartered Bank Nigeria Limited Standard Chartered Bank Kenya Limited Standard Chartered Private Equity Limited, Hong Kong
Insurance subsidiaries	Insurance sector entities excluded from the scope of banking prudential consolidation	The Group risk-weights the insurance subsidiary subject to the CRD IV threshold calculation	Standard Chartered Assurance Limited Standard Chartered Insurance Limited

1 Aircraft leasing company

1.4 Significant subsidiaries

CRR Article 13 concerns the application of disclosure requirements of significant subsidiaries of EU parent institutions and those which are of material significance to their local market. The chart below represents a simplified Group structure.

1 Standard Chartered Bank (Hong Kong) Limited is owned 49% by Standard Chartered Holdings Limited and 51% by Standard Chartered Bank

Standard Chartered Bank is the main operating subsidiary of the Group. The Group has four other significant subsidiaries

• • Standard Chartered Bank (Hong Kong) Limited (regulated by the Hong Kong Monetary Authority) and it is a Domestically Systemically Important Bank (D-SIB)
• • Standard Chartered Bank Korea Limited (regulated by the Financial Supervisory Service (FSS) in Korea)
• • Standard Chartered Bank (Singapore) Limited (regulated by the Monetary Authority Of Singapore) and
• • Standard Chartered Bank (Uganda) Limited (regulated by the Bank of Uganda)

Standard Chartered Bank (Singapore) Limited and Standard Chartered Bank (Uganda) Limited qualify as the Group's significant subsidiaries as they are D-SIBs.

2 Capital

2.1 Capital management

The Group's capital and leverage position is managed within the Board-approved risk appetite. The Group is well capitalised with low leverage and high levels of loss absorbing capacity.

2.2 Capital resources

All capital instruments included in the capital base meet the requirements set out in the CRR for their respective tier of capital, except for those that are subject to a grandfathering period. Grandfathered capital instruments will be fully phased out of their respective tier of capital by 1 January 2022.

Table 2 below summarises the consolidated capital position of the Group.

Table 2: Capital base 30.06.17

	\$million	31.12.16 \$million
Total equity per balance sheet	51,362	48,658
Foreseeable dividend net of scrip	(509)	(212)
Other equity instruments (included in AT1)	(6,455)	(5,463)
Non-controlling interests	527	488
Regulatory consolidation adjustments	(118)	–
Common Equity Tier 1 capital before regulatory adjustments	44,807	43,471

2.2 Capital resources continued

Table 2: Capital base continued

	30.06.17 Transitional position \$million	30.06.17 End point adjustment \$million	30.06.17 End point position \$million	31.12.16 Transitional position \$million
Common Equity Tier 1 (CET1) capital: instruments and reserves
Capital instruments and the related share premium accounts	5,601	–	5,601	5,597
Of which: Share premium accounts	3,957	–	3,957	3,957
Retained earnings1	25,463	–	25,463	26,000
Accumulated other comprehensive income (and other reserves)	12,229	–	12,229	11,524
Non-controlling interests (amount allowed in consolidated CET1)	833	–	833	809
Independently reviewed interim and year-end profits/(loss)2 Foreseeable dividends net of scrip3	1,190 (509)	– –	1,190 (509)	(247) (212)
Common Equity Tier 1 capital before regulatory adjustments	44,807	–	44,807	43,471
Common Equity Tier 1 capital: regulatory adjustments
Additional value adjustments	(557)	–	(557)	(660)
Intangible assets	(5,103)	–	(5,103)	(4,856)
Deferred tax assets that rely on future profitability	(224)	–	(224)	(197)
Fair value reserves related to gains or losses on cash flow hedges	57	–	57	85
Negative amounts resulting from the calculation of excess expected loss	(1,044)	–	(1,044)	(740)
Gains or losses on liabilities at fair value resulting from changes in own credit	7	–	7	(289)
Defined-benefit pension fund assets	(11)	–	(11)	(18)
Fair value gains and losses from own credit risk related to derivative liabilities	1	–	1	(20)
Exposure amounts which could qualify for risk-weighting of 1250%	(152)	–	(152)	(168)
Of which: securitisation positions	(136)	–	(136)	(134)
Of which: free deliveries	(16)	–	(16)	(34)
Total regulatory adjustments to Common Equity Tier 1 capital	(7,026)	–	(7,026)	(6,863)
Common Equity Tier 1 capital	37,781	–	37,781	36,608
Additional Tier 1 (AT1) capital: instruments
Capital Instruments and the related share premium accounts	6,708	(1,747)	4,961	5,704
Of which: classified as equity under applicable accounting standards	6,455	(1,494)	4,961	5,463
Of which: classified as liabilities under applicable accounting standards	253	(253)	–	241
Additional Tier 1 capital before regulatory adjustments4	6,708	(1,747)	4,961	5,704
Additional Tier 1 capital: regulatory adjustments Direct and indirect holdings by an institution of own Additional Tier 1
instruments and subordinated loans	(20)	–	(20)	(20)
Total regulatory adjustments to Additional Tier 1 capital	(20)	–	(20)	(20)
Additional Tier 1 capital	6,688	(1,747)	4,941	5,684
Tier 1 capital (T1 = CET1 + AT1)	44,469	(1,747)	42,722	42,292
Tier 2 (T2) capital: instruments and provisions
Capital instruments and the related share premium accounts	12,552	–	12,552	13,587
Qualifying items and the related share premium accounts subject to phase out from T2	567	(567)	–	471
Qualifying own funds instruments included in T2 issued by subsidiaries and held by third parties	777	(130)	647	1,118
Tier 2 capital before regulatory adjustments4	13,896	(697)	13,199	15,176
Tier 2 capital: regulatory adjustments Direct and indirect holdings by an institution of own Tier 2 instruments and
subordinated loans	(30)	–	(30)	(30)
Total regulatory adjustments to Tier 2 capital	(30)	–	(30)	(30)
Tier 2 capital	13,866	(697)	13,169	15,146
Total capital (TC = T1 + T2)	58,335	(2,444)	55,891	57,438
Total risk-weighted assets (Table 6)	274,163	–	274,163	269,445

2.2 Capital resources continued

Table 3: Capital ratios and risk-weighted assets

	30.06.17 Transitional position \$million	30.06.17 End point adjustment \$million	30.06.17 End point position \$million	31.12.16 Transitional position \$million
Amounts below the thresholds for deduction (before risk-weighting) Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount
below 10% threshold and net of eligible short positions) Direct and indirect holdings by the institution of the CET1 instruments of	937	–	937	954
financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) Deferred tax assets arising from temporary differences (amount below 10%	1,545	–	1,545	1,347
threshold, net of related tax liability where the conditions in Article 38 (3) are met)	1,283	–	1,283	1,173
Risk-weighted assets
Credit risk	220,186	–	220,186	211,585
Credit valuation adjustment risk	535	–	535	2,290
Operational risk	30,478	–	30,478	33,693
Market risk	22,964	–	22,964	21,877
Total risk-weighted assets	274,163	–	274,163	269,445
Capital ratios
Common Equity Tier 1 capital	13.8%	–	13.8%	13.6%
Tier 1 capital	16.2%	(0.6%)	15.6%	15.7%
Total capital	21.3%	(0.9%)	20.4%	21.3%
Capital buffers
Institution specific buffer requirement (sum of CET1 requirement in accordance with article 92 (1) (a), Pillar 2A CET1 requirement, capital conservation buffer, countercyclical capital buffer, and systemically important institution buffer
expressed as a percentage of risk exposure amount)	8.0%	1.9%	9.9%	7.1%
Of which: capital conservation buffer requirement	1.25%	1.25%	2.5%	0.6%
Of which: countercyclical capital buffer requirement	0.15%	0.13%	0.28%	0.1%
Of which systemic risk buffer requirement	–	–	–	–
Of which: Global systemically important institution (G-SII) or Other systemically important institution (O-SII) buffer	0.5%	0.5%	1.0%	0.3%
Common Equity Tier 1 available to meet buffers (as percentage of risk exposure amount)	7.7%	(0.2)%	7.5%	7.5%

1 Retained earnings under CRD IV include the effect of regulatory consolidation adjustments

2 Independently reviewed interim and year-end profits/(loss) are in accordance with the regulatory consolidation

3 Foreseeable dividend as at H1 2017 represents ordinary dividends and preference dividends payable during the next six months in 2017. The ordinary dividends are reduced by any scrip dividends applicable at H1 2017

4 Movement of AT1, T2 instruments refer to Half Year Report 2017 on page 60

The Group's countercyclical capital buffer (CCyB) requirement is determined by applying various country specific CCyB rates to the Group's qualifying credit exposures in the relevant country (based on the jurisdiction of the obligor) on a weighted average basis.

As at 30 June 2017, the Group's CCyB requirement was 0.15 per cent. The majority of this CCyB requirement related to exposures to Hong Kong counterparties, with exposures to other jurisdictions having an immaterial impact on the Group's CCyB.

Table 4 represents the requirement of the EBA/RTS/2014/17 on disclosure for own funds to disclose further relevant information for countries to which we have an exposure. This is also required where no countercyclical capital buffer rate has been implemented.

Countries are where the relevant own funds requirements of the country is greater than 1 per cent of the Group's total relevant own funds requirements for CCyB calculation.

Table 4: Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer

		30.06.17
								\$million
Breakdown by country			Sweden Norway	United Kingdom2	Hong Kong3	Czech	Republic Iceland Slovakia				India Indonesia Netherlands Taiwan Bahrain Kenya
General credit exposures	Exposure value for SA1 Exposure value for IRB1	6 405	– 504	2,285	4,525 20,229 64,814	– 12	– –	–	5,724 5 19,562	8,434 3,952		12 1,968 4,077 7,463	955	884 1,402 1,152
Trading book exposures	Sum of long and short positions of trading book exposures for SA Value of trading book exposures for internal models	– –	– –	424 –	26 –	– –	– –	– –	2,449 –	200 –	69 –	461 –	198 –	107 –
Securitisation exposures	Exposure value for SA Exposure value for IRB	– –	– –	– 23,513	– –	– –	– –	– –	– –	– –	– –	– –	– –	– –
Own funds requirements	General credit exposures Trading book exposures Securitisation exposures Total	16 – – 16	8 – – 8	636 34 240 910	1,655 20 – 1,675	– – – –	– – – –	– – – –	1,542 67 – 1,609	908 36 – 944	181 3 – 184	228 3 – 231	136 17 – 153	174 9 – 183
Own funds requirements weights		0.1%	0.1%		6.3% 11.5%	–	–		– 11.1%	6.5%		1.3% 1.6%		1.1% 1.3%
CCyB rate as at 30 June 2017		2.0%	1.5%		– 1.25%	0.5%	1.0%	–	–	–	–	–	–	–

1 SA stands for standardised approach. IRB stands for internal ratings-based approach

2 The FPC has increased the UK CCyB rate to 0.5 per cent, effective June 2018. The FPC has also indicated that absent a material change in the outlook, they expect to increase the rate to 1 per cent, effective November 2018. These changes, including the expected 1 per cent CCyB in the UK, will have an impact of circa 13bps on the Group's CCyB, assuming 30 June 2017 exposures remain constant

3 The Hong Kong Monetary Authority has announced a CCyB rate of 1.875 per cent, effective January 2018

2.3 Countercyclical capital buffer continued

Table 4: Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer continued

			30.06.17
								\$million
Breakdown by country		Singapore	China	Korea	United Arab Emirates	United			States Malaysia Pakistan Bangladesh Nigeria Ghana Mauritius Thailand					Other countries
General credit exposures	Exposure value for SA1 Exposure		5,750 6,172	1,350	3,275	548	943	667	1,328	784	156	15	1,022	7,244
	value for IRB1				33,357 12,272 37,266 14,353 19,268		8,537	2,149		2,569 2,981	954	1,668	2,550	52,617
Trading book exposures	Sum of long and short positions of trading book exposures for SA Value of trading book exposures for internal models	–	373 1881 –	1,311 –	86 –	112 –	574 –	104 –	12 –	418 –	149 –	2 –	698 –	1,621 –
Securitisation exposures	Exposure value for SA Exposure value for IRB	– –	– –	– –	– –	– –	– –	– –	– –	– –	– –	– –	– –	– –
Own funds requirements	General credit exposures Trading book	1,300	963	906	912	473	473	182	232	209	140	215	164	2,134
	exposures Securitisation exposures	12 –	73 –	5 –	11 –	7 –	11 –	13 –	1 –	65 –	14 –	– –	10 –	108 –
	Total		1,312 1,036	911	923	480	484	195	233	274	154	215	174	2,242
Own funds requirements weights		9.0%	7.1%	6.3%	6.3%	3.3%	3.3%	1.3%	1.6%		1.9% 1.1%	1.5%	1.2%	15.2%
	CCyB rate as at 30 June 2017	–	–	–	–	–	–	–	–	–	–	–	–	–

1 SA stands for standardised approach. IRB stands for internal ratings-based approach

Table 5: Amount of institution specific countercyclical capital buffer

	\$ million
Total risk-weighted assets (Table 6: Overview of RWA)	274,163
Institution specific countercyclical capital buffer rate	0.15%
Institution specific countercyclical capital buffer requirement	403

2.4 Capital requirements

Table 6: Overview of RWA (OV1)

Table 6 below presents the RWA and capital requirements calculated at 8 per cent of RWA. Further information on credit risk RWA can be found in Table 8 for the RWA flow statements for credit risk exposures under IRB (which includes securitisation balances below); Table 15 for credit risk exposures under IRB (which excludes counterparty credit risk); Table 27 for exposures under the standardised approach (which includes amounts below the threshold for deduction) and section 3.5 for exposures subject to counterparty credit risk.

Regulatory capital requirement3 \$million

Risk-weighted assets \$million

Regulatory capital requirement3 \$million

Risk-weighted assets \$million

30.06.17 31.03.17 31.12.16 Risk-weighted assets \$million Regulatory capital requirement3 \$million Credit risk (excluding counterparty credit risk)1 196,570 15,726 195,902 15,672 187,275 14,983 Of which advanced IRB approach (Table 8) 152,359 12,189 151,936 12,155 144,317 11,546 Of which standardised approach (SA)

(Table 27)	44,211	3,537	43,966	3,517	42,958	3,437
Counterparty credit risk2	14,088	1,127	14,621	1,170	17,353	1,388
Of which mark to market method	11,136	891	11,146	892	12,800	1,024
Of which risk exposure amount for
contributions to the default fund of a CCP	192	15	243	19	338	27
Of which CVA (Table 33)	535	43	1,069	86	2,290	183
Settlement risk	1	–	1	–	15	1
Securitisation exposures in the
banking book	2,994	240	3,647	292	2,933	235
Of which IRB ratings based approach	2,482	199	3,107	249	2,406	193
Of which IRB supervisory formula approach	512	41	540	43	527	42
Of which standardised approach	–	–	–	–	–	–
Market risk (Table 41)	22,964	1,837	22,103	1,768	21,877	1,750
Of which internal model approach (Table 9)	11,575	926	12,610	1,009	13,147	1,052
Of which standardised approach (Table 42)	11,389	911	9,493	759	8,730	698
Large exposures	–	–	–	–	–	–
Operational risk	30,478	2,438	30,478	2,438	33,693	2,695
Of which standardised approach	30,478	2,438	30,478	2,438	33,693	2,695
Amounts below the thresholds for
deduction (subject to 250% risk weight)
(Table 27)	7,068	565	6,551	524	6,299	504
Floor adjustment	–	–	–	–	–	–
Total	274,163	21,933	273,303	21,864	269,445	21,556

1 Credit risk (excluding counterparty credit risk) includes non-credit obligation assets

2 Counterparty credit risk includes assets which are assessed under IRB and Standardised approaches

3 The regulatory capital requirement is calculated at 8 per cent of the risk-weighted assets representing the minimum total capital ratio in accordance with CRR Article 92 (1)

The Group's risk-weighted assets (RWA) increased by \$4.7 billion, or 2 per cent from 31 December 2016. This was mainly due to a \$6.8 billion increase in credit risk RWA (including counterparty credit risk and amounts below the thresholds for deduction) and a \$1.1 billion increase in market risk RWA partly offset by a \$3.2 billion decrease in operational risk RWA. The main drivers are asset growth and foreign currency translation offset by lower operational risk RWA on account of lower average income.

2.4 Capital requirements continued

Table 7 below shows the significant drivers of credit risk, market risk and operational risk RWA movements from 1 January 2017.

Table 7: Movement analysis for RWA

	Credit risk IRB \$million	Credit risk SA \$million	Credit risk Total1 \$million	Counterparty Credit risk \$million	Operational risk \$million	Market risk \$million	Total1 \$million
As at 1 January 2017	147,250	49,272	196,522	17,353	33,693	21,877	269,445
Asset size	4,793	779	5,572	(1,755)	–	–	3,817
Asset quality	1,659	–	1,659	(394)	–	–	1,265
Model updates	–	–	–	–	–	–	–
Methodology and policy	–	–	–	–	–	80	80
Acquisitions and disposals	–	–	–	–	–	–	–
Foreign exchange movements	1,881	467	2,348	114	–	–	2,462
Other non-credit risk movements2	–	–	–	(697)	(3,215)	146	(3,766)
As at 31 March 2017	155,583	50,518	206,101	14,621	30,478	22,103	273,303
Asset size	(478)	634	156	(72)	–	–	84
Asset quality	(140)	–	(140)	409	–	–	269
Model updates	–	–	–	–	–	–	–
Methodology and policy	–	–	–	–	–	–	–
Acquisitions and disposals	–	–	–	–	–	–	–
Foreign exchange movements	389	127	516	94	–	–	610
Other non-credit risk movements2	–	–	–	(964)	–	861	(103)
As at 30 June 2017	155,354	51,279	206,633	14,088	30,478	22,964	274,163

1 See Table 6: Overview of RWA (OV1). Securitisation and Settlement risks included in credit risk

2 RWA efficiencies have been disclosed against 'Other non-credit risk movements'.

Table 8 below shows the significant drivers of credit risk IRB RWA movements (excluding counterparty credit risk and standardised credit risk) from 1 January 2017.

Table 8: RWA flow statements of credit risk exposures under IRB (CR8)

	RWA amounts2 \$million	Capital requirements \$million
As at 1 January 2017	147,250	11,780
Asset size	4,793	384
Asset quality	1,659	133
Model updates	–	–
Methodology and policy	–	–
Acquisitions and disposals	–	–
Foreign exchange movements	1,881	150
As at 31 March 2017	155,583	12,447
Asset size	(478)	(39)
Asset quality	(140)	(11)
Model updates	–	–
Methodology and policy	–	–
Acquisitions and disposals	–	–
Foreign exchange movements	389	31
As at 30 June 20171	155,354	12,428

1 See Table 6: Overview of RWA (OV1). \$155,354 million in Table 8 comprises Advanced IRB \$152,359 million, Securitisation of \$2,994 million and Settlement risk of \$1 million

2 Includes securitisation and non-credit obligation assets but excludes counterparty credit risk

2.4 Capital requirements continued

Table 9 below shows the RWA flow statements of market risk exposures under the Internal Model Approach (IMA).

Table 9: RWA flow statements of market risk exposures under an IMA (MR2-B)

	VaR \$million	SVaR \$million	IRC1 \$million	CRM1 \$million	Other1 \$million	Total RWA \$million	Total capital requirements \$million
As at 1 January 2017	3,161	7,931	–	–	2,055	13,147	1,052
Regulatory adjustment	–	–	–	–	–	–	–
RWAs post adjustment as at 1 January 2017	3,161	7,931	–	–	2,055	13,147	1,052
Movement in risk levels	(730)	(724)	–	–	917	(537)	(43)
Model updates/changes	–	–	–	–	–	–	–
Methodology and policy	–	–	–	–	–	–	–
As at 30 June 2017	–	–	–	–	–	–	–
Regulatory adjustment	–	–	–	–	–	–	–
RWAs post adjustment as at 31 March 2017	2,431	7,207	–	–	2,972	12,610	1,009
Regulatory adjustment	–	–	–	–	–	–	–
RWAs post adjustment as at 31 March 2017	2,431	7,207	–	–	2,972	12,610	1,009
Movement in risk levels	(317)	(59)	–	–	(659)	(1,035)	(83)
Model updates/changes	–	–	–	–	–	–	–
Methodology and policy	–	–	–	–	–	–	–
As at 30 June 2017	2,114	7,148	–	–	2,313	11,575	926
Regulatory adjustment	–	–	–	–	–	–	–
RWAs post adjustment as at 30 June 2017	2,114	7,148	–	–	2,313	11,5752	926

1 Other IMA capital add-ons for market risks not fully captured in either Value-at-risk (VaR) or Stressed VaR (SVaR). The Group does not have IMA approval for Incremental risk charge (IRC) or Comprehensive risk measure (CRM). More details on Risks not in VaR can be found in the Half Year Report 2017 on page 52

2 See Table 6: Overview of RWA (OV1)

2.5 UK leverage ratio

UK banks are subject to a minimum leverage ratio of 3 per cent, together with a supplementary leverage ratio buffer set at 35 per cent of the corresponding G-SII capital buffer and the countercyclical capital buffer, as those buffers are applicable to individual banks and as phased in.

At 30 June 2017, the Group's current minimum requirement was 3.2 per cent. The Group's UK leverage ratio is also above the expected future requirement of 3.5 per cent from 2019, which comprises:

• (i) the minimum 3 per cent,
• (ii) a 0.4 per cent G-SII leverage ratio buffer and
• (iii) a 0.1 per cent countercyclical capital leverage ratio buffer, based on currently known pending countercyclical capital buffer rates and assuming a constant proportion of exposures to the relevant jurisdictions.

The Group's current UK leverage ratio of 6.0 per cent is above the current minimum requirement. The leverage ratio in the period remained flat mainly due to an increase in Tier 1 capital offset by an increase in the leverage exposure measure.

Table 10: UK leverage Ratio and CRR leverage Ratio

During the period, the Bank of England's Financial Policy Committee (FPC) and PRA proposed changes to the UK leverage ratio framework. The FPC has made a recommendation to the PRA to exclude qualifying claims on central banks exposures from the leverage exposure measure in the UK leverage ratio framework and to compensate for the resulting reduction in capital required by increasing the minimum leverage requirement from 3 per cent to 3.25 per cent.

Due to the PRA having granted a waiver, the Group has been reporting the leverage ratio on a UK basis (excluding qualifying claims on central banks exposures) from March 2017, and does not expect any material impact arising from the proposed increase in minimum requirements.

Table 10 below presents both the Group's UK leverage ratio, and CRR leverage ratio. The UK leverage ratio is approximately 30 basis points higher than on a CRR basis as at 30 June 2017 due to the exclusion of qualifying claims on central banks exposures from the exposure measure.

	30.06.2017 \$million	31.03.20171 \$million	31.12.20161 \$million
Tier 1 capital (end point)2	42,722	42,700	40,557
UK leverage exposure	710,434	721,906	674,327
UK leverage ratio	6.0%	5.9%	6.0%
CRR leverage exposure	749,293	766,646	717,768
CRR leverage ratio	5.7%	5.6%	5.7%
UK leverage exposure quarterly average	705,547	713,705	–
UK leverage ratio quarterly average	6.1%	5.9%	–
Countercyclical leverage ratio buffer	0.1%	0.1%	–
G-SII additional leverage ratio buffer	0.2%	0.2%	0.1%

1 Represented on the UK leverage ratio basis, excluding qualifying claims on central banks exposures from the leverage exposure measure

2 Tier 1 capital (end point) differs from Tier 1 capital in Table 2 due to the ineligibility of certain preference shares that do not qualify for inclusion in Tier 1 capital on an end point basis

The UK leverage ratio increased by 10 basis points in Q2 2017 mainly due to a decrease in the exposure measure.

CRR leverage ratio

Table 11, Table 12 and Table 13 are presented under the CRR basis.

Table 11. Leverage ratio

	30.06.17 \$million	31.12.16 \$million
Total assets as per published financial statements	657,638	646,692
Adjustment difference between the accounting scope of consolidation and the regulatory scope of consolidation	10,355	11,950
Adjustments for derivative financial instruments	(14,952)	(5,268)
Adjustments for securities financing transactions (SFTs)	8,949	10,412
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet
exposures)	94,341	60,535
Other adjustments	(7,038)	(6,553)
Total leverage ratio exposure	749,293	717,768

2.5 UK leverage ratio continued

Table 12. Leverage ratio common disclosure

	30.06.17 \$million	31.12.16 \$million
On-balance sheet exposures (excluding derivatives and SFTs) On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) (Asset amounts deducted in determining Tier 1 capital)	573,089 (7,038)	548,201 (6,553)
Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)	566,051	541,648
Derivative exposures Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) Exposure determined under Original Exposure Method	9,148 32,270 –	17,164 49,607 –
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework (Deductions of receivables assets for cash variation margin provided in derivatives transactions) Exempted CCP leg of client-cleared trade exposures	– (9,667) –	– (13,825) –
Adjusted effective notional amount of written credit derivatives (Adjusted effective notional offsets and add-on deductions for written credit derivatives)	10,783 (9,630)	10,184 (2,873)
Total derivative exposures	32,904	60,257
Securities financing transaction exposures Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions Netted amounts of cash payables and cash receivables of gross SFT assets Counterparty credit risk exposure for SFT assets	47,048 – 8,949	44,916 – 10,412
Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No 575/2013 Agent transaction exposures Exempted CCP leg of client-cleared SFT exposure	– – –	– – –
Total securities financing transaction exposures	55,997	55,328
Other off-balance sheet exposures Off-balance sheet exposures at gross notional amount (Adjustments for conversion to credit equivalent amounts)	281,705 (187,364)	216,052 (155,517)
Other off-balance sheet exposures	94,341	60,535
Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off-balance sheet) Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet) (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) Capital and total exposures	– – –	– – –
Tier 1 capital (end point)	42,722	40,557
Total leverage ratio exposures	749,293	717,768
Leverage ratio	5.7%	5.7%
Choice on transitional arrangements and amount of derecognised fiduciary items Choice on transitional arrangements for the definition of the capital measure Amount of derecognised fiduciary items in accordance with Article 429 (11) of Regulation (EU) NO 575/2013	Fully phased in –	Fully phased in –

Table 13: Leverage ratio: Analysis of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

	30.06.17 \$million	31.12.16 \$million
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:	573,089	548,201
Trading book exposures	48,040	39,700
Banking book exposures, of which:	525,049	508,501
Covered bonds	4,957	5,004
Exposures treated as sovereigns	177,275	173,174
Exposures to regional governments, MDB, international organisations
and PSE not treated as sovereigns	35	26
Institutions	69,660	64,547
Secured by mortgages of immovable properties	77,216	73,790
Retail exposures	23,723	22,789
Corporates	124,152	123,670
Exposures in default	10,323	10,083
Other exposures (e.g. equity, securitisations and other non-credit obligation assets)	37,707	35,418

3.1 Exposure values

Table 14 below details the Group's Exposure at Default (EAD), including counterparty risk, before the effect of collateral but after the effect of substitution. Credit risk EAD is based on the current outstanding exposure and accrued interest and fees, which are recognised in the

Group's balance sheet in accordance with IFRS, plus a proportion of any undrawn facility. For Standardised EAD, the proportion of any undrawn facility included is dependent on the facility type and tenor, and for IRB exposure classes this proportion is modelled.

Table 14: Total and average exposure at default

	30.06.17		31.12.16
	EAD before the effect of CRM1 \$million	Average EAD before the effect of CRM6 \$million	EAD before the effect of CRM1 \$million	Average EAD before the effect of CRM6 \$million
IRB Exposure Class
Central governments or central banks	128,732	127,404	125,654	133,003
Institutions	124,549	122,364	119,128	123,421
Corporates	213,455	216,681	221,817	222,438
Of which specialised lending	7,394	6,892	6,411	6,640
Of which SME	7,562	7,787	7,819	9,220
Retail4	99,125	97,114	93,896	94,713
Secured by real estate collateral	69,637	68,586	66,639	66,954
Of which SME	260	253	252	281
Of which non-SME	69,377	68,333	66,387	66,673
Qualifying revolving retail	17,252	16,604	15,867	16,303
Other retail	12,236	11,924	11,390	11,456
Of which SME	940	906	875	881
Of which non-SME	11,296	11,018	10,515	10,575
Equity	–	–	–	–
Non-credit obligation assets2	1,537	1,690	–	–
Total IRB3	567,398	565,253	560,495	573,575
Standardised Exposure Class
Central governments or central banks	51,814	49,737	44,311	33,646
Multilateral development banks	13,920	14,195	14,922	16,139
Institutions	31,358	27,059	21,414	15,486
Corporates	37,463	36,336	35,352	33,314
Of which SME	14,512	13,954	13,146	14,435
Retail4	12,378	12,136	11,974	12,328
Of which SME	3,096	3,048	3,049	3,179
Secured on real estate property	10,533	10,273	9,986	11,530
Of which SME	3,512	3,357	3,233	3,646
Past due items	320	278	334	317
Items belonging to regulatory high-risk categories	2,535	2,573	2,614	3,021
Equity	1,545	1,440	–	–
Other items5	10,789	9,850	10,157	10,181
Total Standardised	172,655	163,877	151,064	135,962
Total	740,053	729,130	711,559	709,537

1 EAD in this table is before the effect of collateral but after substitution

2 Non-credit obligation assets excluded for 2016 year-end

3 Excludes Securitisation exposures

4 The combined Retail IRB exposure class includes both mortgages (Secured by real estate collateral) and other types of retail exposure. The Standardised Retail exposure class excludes mortgages which are included in a separate class under the heading Secured on real estate property

5 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities. Equity was included under Other items at 2016 year-end and now in a separate line above

6 Averages are calculated from the past three quarters at half year

3.2 Risk grade profile

Table 15 sets out analysis of credit risk EAD (excluding counterparty credit risk) within the IRB portfolios by regulatory exposure classes. EAD has been calculated after taking into account the impact of credit risk mitigation. Where an exposure is guaranteed or covered by credit derivatives, it is shown against the exposure class of the guarantor or

Table 15: IRB – credit risk exposures by exposure class

derivative issuer. A further split of the exposure classes by credit grade can be seen in Tables 16 to 25.

The 2016 comparative tables have been presented to exclude counterparty credit risk exposures in Tables 15 to 25.

	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density %	Expected Loss \$million	Value adjustments and Provisions3 \$million
IRB Exposure Class
Central governments
or central banks	112,311	174,258	2	118,212	0.19	–	46	505	19,859	17	105	–
Institutions	69,149	130,968	5	77,534	0.52	2	28	338	15,483	20	228	168
Corporates4	114,930	228,614	22	161,726	6.72	56	41	549	95,170	59	5,705	5,223
Of which SME	6,418	4,643	25	7,007	11.55	42	30	549	4,082	58	324	299
Of which Specialised
lending4	7,190	3,353	27	6,371	6.50	–	27	1,364	4,503	71	154	106
Retail	79,204	32,598	61	99,125	1.40	4,231	34		– 20,310	20	773	68
Secured by real
estate collateral	67,123	2,541	99	69,637	0.61	364	12	–	4,706	7	53	31
Of which SME	255	7	70	260	3.32	1	–	–	–	–	–	–
Of which non-SME	66,868	2,534	99	69,377	0.60	363	12	–	4,706	7	53	31
Qualifying revolving
retail	3,186	24,643	57	17,252	2.35	3,281	87	–	5,200	30	293	3
Other retail	8,895	5,414	62	12,236	4.54	586	83		– 10,404	85	427	34
Of which SME	917	462	5	940	5.84	7	74	–	695	74	34	17
Of which non-SME	7,978	4,952	67	11,296	4.44	579	83	–	9,709	86	393	17
Equity	–	–	–	–	–	–	–	–	–	–	–	–
Non-credit obligation
assets	1,537	–	–	1,537	–	–	–	–	1,537	100	–	–
Total IRB	377,131	566,438	14	458,134	2.80	4,289	38		384 152,359	33	6,811	5,459

30.06.17

1 Weighted averages are based on exposure at default

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates and on individual pools of clients for Retail

3 Includes individual specific provisions. This applies to Tables 16 to 25

4 Includes slotting. Tables 18 and 20 exclude slotting

Table 15: IRB - credit risk exposures by exposure class continued

						31.12.16
	On-balance sheet exposure \$million	Off-balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjustments and Provisions3 \$million
IRB Exposure Class
Central governments
or central banks	113,047	176,993	1	118,962	0.16	–	46	515	18,577	16	89	–
Institutions	66,688	197,754	3	73,447	0.56	2	28	330	14,177	19	228	169
Corporates4	112,797	235,285	21	160,129	6.69	61	41	520	91,573	57	5,576	5,221
Of which SME	6,358	4,947	25	6,968	11.03	45	33	574	4,499	65	304	288
Of which Specialised
lending4	6,304	2,644	27	5,272	9.18	–	28	1,326	3,815	72	195	152
Retail	75,734	31,205	58	93,895	1.47	4,257	34		– 19,202	20	785	64
Secured by real
estate collateral	64,220	2,450	99	66,639	0.61	365	12	–	4,467	7	51	29
Of which SME	250	6	64	252	2.86	1	–	–	–	–	–	–
Of which Non SME	63,970	2,444	99	66,387	0.60	364	13	–	4,467	7	51	29
Qualifying revolving
retail	3,242	23,589	54	15,866	2.53	3,301	87	–	4,907	31	292	3
Other retail	8,272	5,166	60	11,390	5.05	591	83	–	9,828	86	442	32
Of which SME	855	404	6	875	5.20	5	76	–	593	68	27	15
Of which Non SME	7,417	4,762	65	10,515	5.03	586	84	–	9,235	88	415	17
Equity	–	–	–	–	–	–	–	–	–	–	–	–
Non-credit obligation
assets	788	–	–	788	–	–	–	–	788	100	–	–
Total IRB	369,054	641,237	12	447,221	2.84	4,320	39		379 144,317	32	6,678	5,454

1 Weighted averages are based on exposure at default

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates and on individual pools of clients for Retail

3 Includes individual specific provisions. This applies to Tables 16 to 25

4 Includes slotting. Tables 18 and 20 exclude slotting

Tables 16 to 25 provide further detail on the exposure classes subject to credit risk but excluding counterparty credit risk, in particular for Central governments or central banks, Institutions, Corporates and

Retail. These have been split by internal credit grade which relate to the PD ranges presented.

Table 16: IRB – credit risk exposure by internal PD grade for Central governments or central banks (CR6)

							30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density %	Expected Loss \$million	Value adjust ments and Pro visions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	50,909	82,885	1	51,882	0.01	36	47	512	2,483	5	2		AAA/AA+
1B	0.016 – 0.025	17,389	33,529	1	18,080	0.02	52	47	454	1,291	7	2		AA/AA
2A	0.026 – 0.035	24,518	23,542	1	27,380	0.03	50	46	467	2,656	10	5		A+
2B	0.036 – 0.045	–	828	98	853	0.04	1	26	628	98	11	–		A
3A	0.046 – 0.060	1,712	4,177	2	1,988	0.05	15	46	670	348	17	–		A
3B	0.061 – 0.083	–	–	100	113	0.07	1	26	1,232	26	23	–		BBB+
4A	0.084 – 0.110	870	3,412	–	875	0.09	4	46	830	256	29	–		BBB+
4B	0.111 – 0.170	543	1,426	2	573	0.13	8	46	514	164	29	–		BBB
5A	0.171 – 0.300	6,497	6,451	–	6,771	0.22	17	46	695	3,046	45	7		BBB/BBB
5B	0.301 – 0.425	412	3,789	–	562	0.39	10	46	734	350	62	1		BB+
6A	0.426 – 0.585	321	925	2	343	0.51	5	46	417	209	61	1		BB+
6B	0.586 – 0.770	986	–	–	986	0.67	5	46	442	697	71	3		BB
7A	0.771 – 1.020	2,347	5,140	–	2,364	0.89	11	46	376	1,843	78	10		BB/BB
7B	1.021 – 1.350	199	60	–	199	1.17	5	46	422	179	90	1		BB
8A	1.351 – 1.750	2,860	4,297	1	2,876	1.54	15	46	365	2,796	97	20		B+
8B	1.751 – 2.350	348	692	1	358	2.03	6	46	370	385	108	3		B+
9A	2.351 – 3.050	1,597	1,648	2	1,196	2.67	21	45	735	1,546	129	14		B
9B	3.051 – 4.000	301	730	1	309	3.51	12	45	386	395	128	5		B/B
10A	4.001 – 5.300	1	144	–	1	4.62	3	46	365	1	143	–		B
	11A/B/C 7.001 – 15.750	501	583	–	503	13.14	12	46	369	1,090	217	31		CCC
	12A/B/C 15.751 – 50.000	–	–	–	–	–	–	–	–	–	–	–		N/A
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–		N/A
14	100.000	–	–	–	–	–	–	–	–	–	–	–		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)		112,311 174,258		2 118,212	0.19	289	46		505 19,859	17	105	–

1 Weighted averages are based on exposure at default

Table 16: IRB – credit risk exposure by internal PD grade for Central governments or central banks (CR6) continued

							31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	54,786	91,803	–	54,974	0.01	44	46	504	2,564	5	3		AAA/AA+
1B	0.016 – 0.025	13,172	33,282	4	14,921	0.02	63	45	532	1,173	8	1		AA/AA
2A	0.026 – 0.035	27,473	20,718	1	30,560	0.03	58	46	477	3,010	10	4		A+
2B	0.036 – 0.045	–	277	16	79	0.04	8	49	1,622	25	32	–		A
3A	0.046 – 0.060	1,682	4,578	1	1,846	0.05	15	45	735	338	18	–		A
3B	0.061 – 0.083	–	–	–	4	0.07	31	46	525	1	22	–		BBB+
4A	0.084 – 0.110	1,161	3,595	–	1,373	0.09	13	46	921	420	31	1		BBB+
4B	0.111 – 0.170	332	1,403	2	356	0.13	7	46	619	109	31	–		BBB
5A	0.171 – 0.300	5,864	5,158	1	6,211	0.22	16	46	757	2,869	46	6		BBB/BBB
5B	0.301 – 0.425	350	4,334	–	350	0.39	9	46	370	175	50	1		BB+
6A	0.426 – 0.585	–	532	–	–	0.51	5	40	365	–	–	–		BB+
6B	0.586 – 0.770	1,026	–	–	1,026	0.67	5	46	451	718	70	3		BB
7A	0.771 – 1.020	2,021	3,767	–	2,042	0.89	12	46	380	1,563	77	8		BB/BB
7B	1.021 – 1.350	393	57	–	393	1.17	5	47	413	346	88	2		BB
8A	1.351 – 1.750	2,990	3,970	1	3,011	1.54	16	46	375	2,893	96	21		B+
8B	1.751 – 2.350	425	844	1	435	2.03	10	46	385	463	106	4		B+
9A	2.351 – 3.050	769	1,403	2	763	2.67	20	43	415	827	108	9		B
9B	3.051 – 4.000	233	681	2	247	3.51	16	46	363	311	126	4		B/B
10A	4.001 – 5.300	–	107	–	1	4.62	3	46	365	1	141	–		B
	11A/B/C 7.001 – 15.750	370	484	–	370	12.36	11	46	371	771	208	22		CCC
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–		N/A
14	100.000	–	–	–	–	–	–	–	–	–	–	–		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)	113,047 176,993			1 118,962	0.16	367	46	515	18,577	16	89	–

1 Weighted averages are based on exposure at default

Table 17: IRB – credit risk exposure by internal PD grade for Institutions (CR6)

							30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA/AA+
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA/AA
2A	0.026 – 0.035	28,769	44,010	5	33,821	0.03	225	24	428	2,040	6	2		A+
2B	0.036 – 0.045	8,359	12,994	2	9,076	0.04	97	25	277	588	6	1		A
3A	0.046 – 0.060	4,740	14,861	3	5,773	0.05	127	29	369	552	10	1		A
3B	0.061 – 0.083	3,675	9,266	3	4,034	0.07	105	28	303	465	12	1		BBB+
4A	0.084 – 0.110	2,146	6,187	3	2,545	0.09	93	27	282	341	13	1		BBB+
4B	0.111 – 0.170	2,688	7,316	9	3,424	0.13	106	29	203	631	18	1		BBB
5A	0.171 – 0.300	4,663	9,940	3	4,520	0.22	128	34	353	1,462	32	3		BBB/BBB
5B	0.301 – 0.425	7,459	8,616	2	6,610	0.39	109	36	235	3,186	48	11		BB+
6A	0.426 – 0.585	1,191	4,039	8	1,347	0.51	82	38	204	726	54	3		BB+
6B	0.586 – 0.770	1,353	2,191	3	1,334	0.69	60	31	204	691	52	3		BB
7A	0.771 – 1.020	593	2,149	13	816	0.89	75	39	192	612	75	3		BB/BB
7B	1.021 – 1.350	981	1,987	10	1,018	1.17	81	40	147	874	86	5		BB
8A	1.351 – 1.750	836	2,850	21	1,303	1.54	96	41	81	1,225	94	8		B+
8B	1.751 – 2.350	492	1,374	7	535	2.05	78	41	105	563	105	4		B+
9A	2.351 – 3.050	602	2,047	17	770	2.67	94	40	118	885	115	8		B
9B	3.051 – 4.000	185	807	4	160	3.52	36	29	186	159	99	2		B/B
10A	4.001 – 5.300	154	9	1	154	4.97	8	13	572	81	52	1		B
10B	5.301 – 7.000	4	32	35	16	6.76	8	41	168	26	166	–		CCC
	11A/B/C 7.001 – 15.750	47	199	13	34	13.77	46	41	98	74	218	2		CCC
	12A/B/C 15.751 – 50.000	8	24	6	9	22.82	17	16	369	9	95	–		N/A
13	50.001 – 99.999	35	69	42	64	99.99	4	37	200	293	458	–		N/A
14	100.000	169	1	100		171 100.00	6	41	354	–	–	168		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)		69,149 130,968	5	77,534	0.52	1,681	28		338 15,483	20	228	168

1 Weighted averages are based on exposure at default

Table 17: IRB – credit risk exposure by internal PD grade for Institutions (CR6) continued

							31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA/AA+
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA/AA
2A	0.026 – 0.035	27,026	75,166	3	31,325	0.03	226	24	408	1,799	6	2		A+
2B	0.036 – 0.045	7,875	19,401	1	8,741	0.04	97	25	319	583	7	1		A
3A	0.046 – 0.060	4,465	28,505	2	5,717	0.05	125	28	341	563	10	1		A
3B	0.061 – 0.083	2,487	16,219	2	2,976	0.07	112	29	204	321	11	1		BBB+
4A	0.084 – 0.110	3,035	8,275	2	3,345	0.09	111	28	297	474	14	1		BBB+
4B	0.111 – 0.170	2,439	10,571	6	3,499	0.13	115	29	241	644	18	1		BBB
5A	0.171 – 0.300	4,611	10,590	3	4,512	0.22	160	33	315	1,348	30	3		BBB/BBB
5B	0.301 – 0.425	8,427	11,436	2	6,678	0.40	121	35	237	3,057	46	9		BB+
6A	0.426 – 0.585	1,049	3,354	4	1,047	0.51	95	37	259	564	54	2		BB+
6B	0.586 – 0.770	1,415	2,353	3	1,320	0.68	67	32	202	710	54	3		BB
7A	0.771 – 1.020	564	2,417	10	657	0.90	79	35	169	433	66	2		BB/BB
7B	1.021 – 1.350	964	2,059	8	768	1.18	81	39	121	625	81	4		BB
8A	1.351 – 1.750	711	3,072	23	1,083	1.54	102	41	115	1,038	96	7		B+
8B	1.751 – 2.350	525	1,355	10	515	2.04	83	41	100	535	104	4		B+
9A	2.351 – 3.050	522	1,782	18	585	2.67	75	40	142	672	115	6		B
9B	3.051 – 4.000	105	714	2	91	3.49	25	34	248	105	116	1		B/B
10A	4.001 – 5.300	173	129	35	219	4.62	16	15	651	130	59	2		B
10B	5.301 – 7.000	8	81	11	16	6.16	23	41	141	26	159	–		CCC
	11A/B/C 7.001 – 15.750	42	159	30	70	10.68	49	38	232	120	172	3		CCC
	12A/B/C 15.751 – 50.000	40	6	34	42	32.51	12	41	18	105	248	6		N/A
13	50.001 – 99.999	36	109	31	70	99.99	4	37	238	325	461	–		N/A
14	100.000	169	1	100		171 100.00	7	41	354	–	–	169		N/A
Total	(Table 15)		66,688 197,754	3	73,447	0.56	1,785	28		330 14,177	19	228	169

1 Weighted averages are based on exposure at default

Table 18: IRB – credit risk exposure by internal PD grade for Corporates – Main (CR6)

							30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA+
2A	0.026 – 0.035	3,537	8,724	23	7,084	0.03	200	45	527	813	11	1		AA
2B	0.036 – 0.045	1,499	4,393	20	3,906	0.04	84	35	585	506	13	1		AA
3A	0.046 – 0.060	3,529	14,876	22	7,671	0.05	261	39	545	1,112	14	2		AA
3B	0.061 – 0.083	4,384	18,424	20	9,393	0.07	574	36	566	1,621	17	2		A+
4A	0.084 – 0.110	9,195	22,446	18	14,171	0.09	740	46	518	3,363	24	6		A/A
4B	0.111 – 0.170	6,456	21,370	22	11,911	0.13	888	48	609	3,985	33	7		BBB+
5A	0.171 – 0.300	10,954	35,010	23	18,610	0.22	1,844	43	492	7,112	38	18		BBB
5B	0.301 – 0.425	10,227	22,306	21	13,690	0.39	1,104	37	623	6,323	46	19		BBB
6A	0.426 – 0.585	6,194	18,297	19	9,022	0.51	1,239	43	558	5,454	60	20		BB+
6B	0.586 – 0.770	7,647	13,225	22	10,262	0.68	1,600	37	563	6,197	60	27		BB+
7A	0.771 – 1.020	6,494	10,884	23	8,545	0.89	1,874	35	562	5,346	63	27		BB
7B	1.021 – 1.350	6,220	8,196	25	7,497	1.18	7,640	36	549	5,584	74	35		BB
8A	1.351 – 1.750	5,603	7,194	31	6,764	1.54	13,076	39	546	5,690	84	41		BB
8B	1.751 – 2.350	4,914	5,949	21	5,825	2.03	5,885	37	540	5,203	89	47		BB
9A	2.351 – 3.050	2,939	3,808	29	3,661	2.69	3,558	37	632	3,671	100	37		B+
9B	3.051 – 4.000	3,659	3,540	22	3,119	3.51	2,776	38	487	3,352	107	42		B+
10A	4.001 – 5.300	2,892	1,664	22	2,723	4.63	2,017	41	385	3,366	124	53		B
10B	5.301 – 7.000	1,843	1,009	22	1,809	6.14	1,674	35	425	2,192	121	39		B
	11A/B/C 7.001 – 15.750	5,188	3,607	29	3,892	11.37	2,487	36	558	6,400	164	157		B
	12A/B/C 15.751 – 50.000	1,519	1,499	33	1,909	27.21	851	35	679	3,794	199	183		N/A
13	50.001 – 99.999	924	146	17	931	99.99	474	44	677	4,042	434	93		N/A
14	100.000	7,686	1,601	12		7,790 100.00	5,281	57	482	8,768	113	4,835		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)		113,503 228,168		22 160,185	6.72	56,127	41		549 93,894	59	5,692	5,223

1 Weighted averages are based on exposure at default

Table 18: IRB – credit risk exposure by internal PD grade for Corporates – Main (CR6) continued

							31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust Standard ments & Poor's and external Provisions rating \$million equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	4,650	18,516	7	6,556	0.03	333	43	394	598	9	2	AA
2B	0.036 – 0.045	909	4,678	20	4,656	0.04	124	35	378	498	11	1	AA
3A	0.046 – 0.060	2,759	13,110	23	7,181	0.05	300	40	490	1,110	15	1	AA
3B	0.061 – 0.083	3,805	20,288	22	9,808	0.07	685	34	554	1,488	15	2	A+
4A	0.084 – 0.110	6,855	20,095	23	12,512	0.09	753	48	510	2,924	23	6	A/A
4B	0.111 – 0.170	8,674	25,156	20	13,972	0.13	1,134	46	512	3,950	28	9	BBB+
5A	0.171 – 0.300	9,728	29,228	22	16,228	0.22	2,078	44	532	5,874	36	16	BBB
5B	0.301 – 0.425	9,806	22,356	18	13,415	0.39	1,897	37	552	5,874	44	19	BBB
6A	0.426 – 0.585	5,126	14,574	21	7,887	0.51	3,453	41	516	4,233	54	16	BB+
6B	0.586 – 0.770	7,576	13,413	23	10,488	0.68	10,735	39	562	6,152	59	26	BB+
7A	0.771 – 1.020	6,234	11,622	23	8,276	0.89	12,202	41	528	5,703	69	29	BB
7B	1.021 – 1.350	5,824	7,738	25	7,325	1.17	3,803	35	553	4,680	64	29	BB
8A	1.351 – 1.750	6,306	8,531	17	6,247	1.55	2,786	40	498	5,166	83	37	BB
8B	1.751 – 2.350	4,742	7,176	28	6,266	2.04	2,661	35	623	5,126	82	43	BB
9A	2.351 – 3.050	3,603	4,328	34	4,226	2.69	3,404	36	589	3,762	89	37	B+
9B	3.051 – 4.000	4,576	4,391	21	4,329	3.52	2,722	42	527	4,849	112	60	B+
10A	4.001 – 5.300	3,268	2,114	34	3,419	4.63	1,862	38	386	3,689	108	57	B
10B	5.301 – 7.000	1,900	1,088	22	1,829	6.13	1,451	44	361	2,579	141	48	B
	11A/B/C 7.001 – 15.750	5,210	3,991	22	4,003	11.66	2,281	43	541	5,936	148	148	B
	12A/B/C 15.751 – 50.000	1,806	549	23	1,692	25.62	622	34	761	2,606	154	177	N/A
13	50.001 – 99.999	911	136	33	946	99.99	545	48	577	4,530	479	96	N/A
14	100.000	7,439	1,707	16		7,631 100.00	4,960	56	469	9,261	121	4,698	N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–	N/A
Total	(Table 15)	111,707 234,785			21 158,892	6.69	60,791	41		520 90,588	57	5,557	5,221

1 Weighted averages are based on exposure at default

Table 19: IRB – credit risk exposure by internal PD grade for Corporates – SME (CR6)

							30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA+
2A	0.026 – 0.035	264	122	36	307	0.03	10	46	757	34	11	–		AA
2B	0.036 – 0.045	1	–	20	1	0.04	2	18	1,741	–	11	–		AA
3A	0.046 – 0.060	21	290	11	54	0.05	5	50	912	11	20	–		AA
3B	0.061 – 0.083	–	7	51	3	0.07	3	20	360	–	5	–		A+
4A	0.084 – 0.110	32	277	8	55	0.09	11	51	660	13	24	–		A/A
4B	0.111 – 0.170	28	432	26	206	0.13	24	50	695	66	32	–		BBB+
5A	0.171 – 0.300	224	321	27	488	0.23	180	21	741	75	15	–		BBB
5B	0.301 – 0.425	120	271	38	222	0.39	50	45	349	96	43	–		BBB
6A	0.426 – 0.585	189	238	20	250	0.52	124	33	736	104	42	–		BB+
6B	0.586 – 0.770	134	208	15	151	0.69	662	34	530	64	43	–		BB+
7A	0.771 – 1.020	289	296	27	368	0.92	1,108	23	726	124	34	1		BB
7B	1.021 – 1.350	716	195	26	666	1.21	6,813	15	501	146	22	1		BB
8A	1.351 – 1.750	1,016	419	48	1,021	1.54	12,368	23	573	413	41	4		BB
8B	1.751 – 2.350	602	344	17	572	2.05	5,230	32	520	373	65	4		BB
9A	2.351 – 3.050	504	299	33	496	2.70	2,858	28	486	272	55	4		B+
9B	3.051 – 4.000	464	159	17	432	3.55	2,316	27	420	225	52	4		B+
10A	4.001 – 5.300	293	158	26	291	4.64	1,740	28	424	170	58	4		B
10B	5.301 – 7.000	343	132	21	334	6.11	1,430	23	448	202	60	5		B
	11A/B/C 7.001 – 15.750	442	234	26	362	11.24	1,542	28	404	349	96	12		B
	12A/B/C 15.751 – 50.000	115	42	25	89	26.74	634	43	463	180	203	10		N/A
13	50.001 – 99.999	85	36	22	93	99.99	330	33	350	347	374	3		N/A
14	100.000	536	163	17		546 100.00	4,397	53	506	818	150	272		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)	6,418	4,643	25	7,007	11.55	41,837	30	549	4,082	58	324	299

1 Weighted averages are based on exposure at default

Table 19: IRB – credit risk exposure by internal PD grade for Corporates – SME (CR6) continued

							31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA+
2A	0.026 – 0.035	223	180	32	281	0.03	8	41	793	25	9	–		AA
2B	0.036 – 0.045	1	–	–	1	0.04	2	16	1,818	–	7	–		AA
3A	0.046 – 0.060	–	15	43	6	0.05	2	18	785	–	6	–		AA
3B	0.061 – 0.083	77	190	19	118	0.07	10	51	636	23	19	–		A+
4A	0.084 – 0.110	49	423	36	203	0.09	11	68	562	63	31	–		A/A
4B	0.111 – 0.170	31	260	30	181	0.13	31	50	664	58	32	–		BBB+
5A	0.171 – 0.300	154	276	29	428	0.23	196	31	736	103	24	–		BBB
5B	0.301 – 0.425	88	241	17	130	0.41	661	19	1,072	30	23	–		BBB
6A	0.426 – 0.585	174	268	16	224	0.51	2,152	42	548	105	47	–		BB+
6B	0.586 – 0.770	138	329	26	232	0.68	9,708	48	886	179	77	1		BB+
7A	0.771 – 1.020	153	178	21	191	0.93	11,323	23	617	62	33	–		BB
7B	1.021 – 1.350	640	302	23	611	1.20	2,930	17	512	155	25	1		BB
8A	1.351 – 1.750	1,060	379	25	958	1.56	1,985	26	689	460	48	4		BB
8B	1.751 – 2.350	685	386	28	679	2.06	1,849	28	517	382	56	4		BB
9A	2.351 – 3.050	705	391	17	582	2.68	2,632	26	442	291	50	4		B+
9B	3.051 – 4.000	517	363	34	565	3.55	2,182	36	526	460	81	7		B+
10A	4.001 – 5.300	346	154	15	319	4.68	1,539	28	416	194	61	4		B
10B	5.301 – 7.000	301	118	17	281	6.16	1,207	30	405	230	82	5		B
	11A/B/C 7.001 – 15.750	399	252	22	314	10.93	1,265	25	452	243	77	8		B
	12A/B/C 15.751 – 50.000	60	18	19	58	28.79	409	33	435	82	143	5		N/A
13	50.001 – 99.999	75	24	25	80	99.99	381	44	473	352	439	8		N/A
14	100.000	482	200	31		526 100.00	4,062	50	431	1,002	190	253		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)	6,358	4,947	25	6,968	11.03	44,545	33	574	4,499	65	304	288

1 Weighted averages are based on exposure at default

Table 20: IRB – credit risk exposure by internal PD grade for Corporates – Specialised Lending (CR6)

							30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA+
2A	0.026 – 0.035	31	3	37	32	0.03	2	37	550	3	9	–		AA
2B	0.036 – 0.045	–	–	–	–	–	–	–	–	–	–	–		AA
3A	0.046 – 0.060	12	–	–	12	0.05	4	5	621	–	2	–		AA
3B	0.061 – 0.083	131	52	37	92	0.07	3	29	1,779	24	26	–		A+
4A	0.084 – 0.110	294	37	2	290	0.09	24	16	1,746	49	17	–		A/A
4B	0.111 – 0.170	244	289	–	244	0.13	22	25	1,134	57	24	–		BBB+
5A	0.171 – 0.300	581	400	27	531	0.22	37	20	1,617	162	30	–		BBB
5B	0.301 – 0.425	667	640	24	593	0.39	30	27	1,660	347	59	1		BBB
6A	0.426 – 0.585	474	167	31	209	0.52	14	29	1,547	149	71	1		BB+
6B	0.586 – 0.770	552	247	22	572	0.67	19	29	1,606	415	73	2		BB+
7A	0.771 – 1.020	262	172	12	208	0.89	15	38	1,570	215	103	1		BB
7B	1.021 – 1.350	456	198	69	499	1.19	42	24	1,185	383	77	5		BB
8A	1.351 – 1.750	389	132	44	337	1.55	16	36	1,325	378	112	2		BB
8B	1.751 – 2.350	279	97	15	236	2.02	17	26	940	235	99	4		BB
9A	2.351 – 3.050	225	37	15	204	2.68	21	14	713	91	44	1		B+
9B	3.051 – 4.000	614	201	59	166	3.59	11	23	1,106	146	90	2		B+
10A	4.001 – 5.300	96	–	–	96	4.58	5	25	1,059	118	122	2		B
10B	5.301 – 7.000	41	85	35	47	6.08	2	35	1,662	71	152	1		B
	11A/B/C 7.001 – 15.750	120	130	62	165	11.63	11	21	841	177	107	5		B
	12A/B/C 15.751 – 50.000	66	7	75	60	22.09	7	49	847	181	303	7		N/A
13	50.001 – 99.999	18	–	–	18	99.99	1	16	1,408	26	149	1		N/A
14	100.000	211	13	57		219 100.00	9	40	1,021	–	–	106		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)	5,763	2,907	27	4,830	6.50	312	27	1,364	3,227	67	141	106

1 Weighted averages are based on exposure at default

Table 20: IRB – credit risk exposure by internal PD grade for Corporates – Specialised Lending (CR6) continued

							31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–		AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–		AA+
2A	0.026 – 0.035	35	–	–	35	0.03	3	37	564	3	9	–		AA
2B	0.036 – 0.045	–	–	–	–	–	1	–	–	–	–	–		AA
3A	0.046 – 0.060	14	–	–	14	0.05	3	62	691	4	26	–		AA
3B	0.061 – 0.083	66	120	–	53	0.07	3	23	1,826	11	21	–		A+
4A	0.084 – 0.110	254	35	11	252	0.09	25	21	1,631	111	44	1		A/A
4B	0.111 – 0.170	290	35	2	291	0.13	20	26	1,381	124	43	1		BBB+
5A	0.171 – 0.300	394	456	26	380	0.22	17	26	1,720	191	50	1		BBB
5B	0.301 – 0.425	747	237	3	246	0.40	16	30	1,554	207	84	2		BBB
6A	0.426 – 0.585	248	216	3	229	0.52	7	31	1,593	156	68	–		BB+
6B	0.586 – 0.770	493	130	36	500	0.67	12	32	1,734	464	93	2		BB+
7A	0.771 – 1.020	188	138	32	140	0.89	14	44	1,378	181	130	1		BB
7B	1.021 – 1.350	322	251	65	437	1.19	40	22	1,254	273	62	2		BB
8A	1.351 – 1.750	187	40	40	130	1.54	11	34	925	148	114	1		BB
8B	1.751 – 2.350	420	94	7	328	2.03	22	24	1,136	286	87	3		BB
9A	2.351 – 3.050	254	111	20	245	2.70	21	14	804	103	42	1		B+
9B	3.051 – 4.000	821	109	29	208	3.53	12	25	1,211	210	101	4		B+
10A	4.001 – 5.300	55	–	–	55	4.62	2	37	1,495	101	183	1		B
10B	5.301 – 7.000	12	1	–	12	6.10	1	30	1,811	16	133	–		B
11A/B/C	7.001 – 15.750	100	142	72	157	10.08	13	27	508	183	117	4		B
	12A/B/C 15.751 – 50.000	8	2	100	10	16.80	1	37	1,686	22	216	1		N/A
13	50.001 – 99.999	16	–	–	16	99.99	1	16	1,567	27	164	–		N/A
14	100.000	290	27	26		297 100.00	11	35	788	9	3	151		N/A
	Unrated	–	–	–	–	–	–	–	–	–	–	–		N/A
Total	(Table 15)	5,214	2,144	26	4,035	9.18	256	28	1,326	2,830	70	176	152

1 Weighted averages are based on exposure at default

Table 21: IRB – credit risk exposure by internal PD grade for Retail – Main (CR6)

						30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	20,281	2,735	87	22,649	0.03	350	13	–	406	2	1
2B	0.036 – 0.045	7,923	270	94	8,178	0.04	66	12	–	242	3	–
3A	0.046 – 0.060	7,439	300	81	7,682	0.05	74	13	–	291	4	1
3B	0.061 – 0.083	5,944	2,380	43	6,977	0.07	196	25	–	374	5	1
4A	0.084 – 0.110	5,163	4,076	60	7,621	0.10	275	41	–	479	6	3
4B	0.111 – 0.170	4,346	4,846	61	7,325	0.14	417	47	–	628	9	5
5A	0.171 – 0.300	7,704	5,786	67	11,571	0.22	428	41	–	1,510	13	11
5B	0.301 – 0.425	3,046	2,207	70	4,595	0.36	199	51	–	1,063	23	8
6A	0.426 – 0.585	2,801	1,692	64	3,892	0.50	191	49	–	1,052	27	9
6B	0.586 – 0.770	2,287	949	68	2,932	0.67	108	45	–	928	32	9
7A	0.771 – 1.020	1,767	1,978	43	2,616	0.88	196	55	–	1,061	41	13
7B	1.021 – 1.350	1,458	526	61	1,780	1.17	80	50	–	857	48	10
8A	1.351 – 1.750	1,055	440	65	1,340	1.54	70	58	–	806	60	12
8B	1.751 – 2.350	1,818	1,124	59	2,481	2.01	176	53	–	1,601	65	27
9A	2.351 – 3.050	1,025	544	45	1,269	2.66	159	71	–	1,146	90	24
9B	3.051 – 4.000	1,582	796	52	1,997	3.54	217	72	–	1,994	100	51
10A	4.001 – 5.300	898	546	40	1,114	4.49	221	76	–	1,208	108	38
10B	5.301 – 7.000	670	265	43	783	6.10	125	77	–	960	123	37
	11A/B/C 7.001 – 15.750	847	879	27	1,089	10.11	428	77	–	1,632	150	85
	12A/B/C 15.751 – 50.000	538	227	36	620	36.42	155	67	–	1,075	173	151
13	50.001 – 99.999	13	12	3	13	99.99	–	59	–	48	366	4
14	100.000	599	20	9	601	100.00	100.0	57	–	949	158	273
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	79,204	32,598	61	99,125	1.40	4,231	34	–	20,310	20	773	68

1 Weighted averages are based on exposure at default

Table 21: IRB – credit risk exposure by internal PD grade for Retail – Main (CR6) continued

						31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	18,241	2,634	87	20,524	0.03	338	13	–	295	1	1
2B	0.036 – 0.045	7,357	242	94	7,585	0.04	65	12	–	198	3	–
3A	0.046 – 0.060	7,359	1,025	48	7,855	0.05	125	17	–	284	4	1
3B	0.061 – 0.083	6,560	4,483	39	8,313	0.07	316	32	–	433	5	2
4A	0.084 – 0.110	5,220	2,582	60	6,768	0.09	201	34	–	444	7	2
4B	0.111 – 0.170	5,383	4,125	60	7,840	0.14	441	41	–	659	8	5
5A	0.171 – 0.300	6,429	5,140	66	9,826	0.22	390	42	–	1,339	14	9
5B	0.301 – 0.425	2,783	1,879	71	4,124	0.36	188	50	–	954	23	7
6A	0.426 – 0.585	2,703	1,500	63	3,654	0.50	181	48	–	1,003	27	9
6B	0.586 – 0.770	2,241	881	68	2,839	0.67	110	44	–	902	32	8
7A	0.771 – 1.020	1,588	2,024	42	2,432	0.88	207	54	–	956	39	12
7B	1.021 – 1.350	1,411	545	62	1,749	1.17	83	50	–	853	49	10
8A	1.351 – 1.750	1,031	457	67	1,335	1.54	74	58	–	816	61	12
8B	1.751 – 2.350	1,370	720	54	1,762	2.07	147	53	–	1,198	68	19
9A	2.351 – 3.050	1,077	496	46	1,306	2.67	166	71	–	1,202	92	26
9B	3.051 – 4.000	1,203	666	53	1,553	3.53	192	70	–	1,485	96	38
10A	4.001 – 5.300	1,047	492	39	1,240	4.51	228	75	–	1,359	110	42
10B	5.301 – 7.000	607	255	46	721	6.07	134	78	–	885	123	34
11A/B/C	7.001 – 15.750	940	822	32	1,206	10.00	416	79	–	1,841	153	96
12A/B/C	15.751 – 50.000	551	203	38	628	36.35	144	68	–	1,113	177	157
13	50.001 – 99.999	13	11	–	13	99.99	–	55	–	38	297	4
14	100.000	620	23	10	622	100.00	111	58	–	945	152	291
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	75,734	31,205	58	93,895	1.47	4,257	34	–	19,202	20	785	64

1 Weighted averages are based on exposure at default

Table 22: IRB – credit risk exposure by internal PD grade for Retail – Secured by real estate non-SME (CR6)

						30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	20,216	673	100	20,889	0.03	90	7	–	367	2	–
2B	0.036 – 0.045	7,910	193	100	8,104	0.04	38	11	–	240	3	–
3A	0.046 – 0.060	7,415	138	99	7,551	0.05	36	12	–	287	4	–
3B	0.061 – 0.083	5,883	171	99	6,052	0.07	31	15	–	320	5	1
4A	0.084 – 0.110	4,927	122	99	5,049	0.10	31	16	–	304	6	3
4B	0.111 – 0.170	3,981	105	97	4,083	0.14	27	16	–	287	7	1
5A	0.171 – 0.300	6,711	701	99	7,403	0.21	43	16	–	595	8	2
5B	0.301 – 0.425	2,137	49	96	2,183	0.36	12	14	–	222	10	1
6A	0.426 – 0.585	1,909	52	96	1,959	0.50	12	14	–	240	12	1
6B	0.586 – 0.770	1,577	29	97	1,604	0.66	12	14	–	230	14	1
7A	0.771 – 1.020	981	20	96	1,001	0.88	5	13	–	168	17	1
7B	1.021 – 1.350	803	12	96	815	1.16	5	14	–	165	20	1
8A	1.351 – 1.750	420	6	96	425	1.54	3	14	–	104	25	1
8B	1.751 – 2.350	776	226	99	1,000	2.00	4	15	–	303	30	3
9A	2.351 – 3.050	215	2	95	217	2.66	1	15	–	79	36	1
9B	3.051 – 4.000	309	28	99	337	3.59	2	15	–	150	45	2
10A	4.001 – 5.300	155	1	99	157	4.59	2	13	–	68	44	1
10B	5.301 – 7.000	81	1	100	82	6.11	1	15	–	47	58	1
11A/B/C	7.001 – 15.750	120	1	100	122	9.74	2	17	–	96	79	2
12A/B/C	15.751 – 50.000	142	3	100	144	37.46	2	16	–	134	93	8
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	200	1	–	200	100.00	4	22	–	300	150	22
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	66,868	2,534	99	69,377	0.60	363	12	–	4,706	7	53	31

1 Weighted averages are based on exposure at default

Table 22: IRB – credit risk exposure by internal PD grade for Retail – Secured by real estate non-SME (CR6) continued

						31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	18,180	675	100	18,853	0.03	83	7	–	258	1	–
2B	0.036 – 0.045	7,343	172	100	7,515	0.04	39	11	–	197	3	–
3A	0.046 – 0.060	7,322	126	99	7,447	0.05	37	13	–	269	4	1
3B	0.061 – 0.083	6,343	163	99	6,505	0.07	34	16	–	339	5	1
4A	0.084 – 0.110	5,047	121	99	5,166	0.09	32	17	–	333	6	1
4B	0.111 – 0.170	5,021	154	97	5,170	0.14	37	18	–	386	7	1
5A	0.171 – 0.300	5,450	604	99	6,048	0.22	32	15	–	503	8	2
5B	0.301 – 0.425	2,009	58	96	2,065	0.36	12	15	–	217	11	1
6A	0.426 – 0.585	1,836	40	94	1,873	0.50	13	14	–	232	12	1
6B	0.586 – 0.770	1,535	36	97	1,571	0.66	12	14	–	228	15	1
7A	0.771 – 1.020	939	19	96	957	0.89	6	13	–	163	17	1
7B	1.021 – 1.350	789	16	93	804	1.17	5	14	–	167	21	1
8A	1.351 – 1.750	418	8	97	426	1.54	3	14	–	108	25	1
8B	1.751 – 2.350	532	209	100	739	2.02	4	15	–	227	31	2
9A	2.351 – 3.050	218	2	96	220	2.67	1	14	–	74	34	1
9B	3.051 – 4.000	313	37	99	349	3.60	2	15	–	157	45	2
10A	4.001 – 5.300	153	1	98	155	4.55	2	13	–	69	45	1
10B	5.301 – 7.000	78	1	100	78	6.08	1	14	–	43	54	1
11A/B/C	7.001 – 15.750	108	1	100	109	9.46	2	16	–	83	76	2
12A/B/C	15.751 – 50.000	137	1	100	138	36.04	3	16	–	128	93	8
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	199	–	–	199	100.00	4	21	–	286	144	22
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	63,970	2,444	99	66,387	0.60	364	13	–	4,467	7	51	29

1 Weighted averages are based on exposure at default

Table 23: IRB – credit risk exposure by internal PD grade for Retail – Qualifying revolving (CR6)

						30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	22	2,007	82	1,672	0.03	259	88	–	34	2	–
2B	0.036 – 0.045	5	74	81	65	0.04	27	75	–	1	2	–
3A	0.046 – 0.060	6	157	67	112	0.06	38	74	–	3	3	–
3B	0.061 – 0.083	40	2,051	38	819	0.08	161	88	–	37	5	1
4A	0.084 – 0.110	188	3,715	59	2,369	0.10	241	91	–	134	6	2
4B	0.111 – 0.170	213	4,242	59	2,724	0.14	374	89	–	202	7	3
5A	0.171 – 0.300	310	3,699	58	2,441	0.23	307	88	–	270	11	5
5B	0.301 – 0.425	173	1,352	70	1,115	0.36	139	85	–	173	16	3
6A	0.426 – 0.585	171	1,156	65	917	0.50	140	85	–	184	20	4
6B	0.586 – 0.770	122	571	71	528	0.67	71	84	–	133	25	3
7A	0.771 – 1.020	137	1,625	40	789	0.87	164	81	–	233	30	6
7B	1.021 – 1.350	109	309	68	319	1.17	54	84	–	122	38	3
8A	1.351 – 1.750	99	261	75	295	1.53	45	85	–	140	48	4
8B	1.751 – 2.350	157	709	50	510	1.94	131	80	–	272	53	8
9A	2.351 – 3.050	148	433	46	347	2.67	119	87	–	253	73	8
9B	3.051 – 4.000	234	689	52	592	3.54	166	86	–	517	87	18
10A	4.001 – 5.300	220	473	42	419	4.50	166	89	–	446	106	17
10B	5.301 – 7.000	175	227	44	276	6.05	105	85	–	343	124	14
11A/B/C	7.001 – 15.750	339	707	31	557	10.01	384	84	–	912	164	47
12A/B/C	15.751 – 50.000	161	178	38	229	33.64	135	82	–	509	223	64
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	157	8	–	157	100.00	55	67	–	282	180	83
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	3,186	24,643	57	17,252	2.35	3,281	87	–	5,200	30	293	3

1 Weighted averages are based on exposure at default

Table 23: IRB – credit risk exposure by internal PD grade for Retail – Qualifying revolving (CR6) continued

						31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	22	1,909	82	1,591	0.03	254	88	–	32	2	–
2B	0.036 – 0.045	4	68	81	60	0.04	26	75	–	1	2	–
3A	0.046 – 0.060	16	866	41	375	0.05	89	86	–	12	3	–
3B	0.061 – 0.083	186	4,064	36	1,663	0.07	278	90	–	71	4	1
4A	0.084 – 0.110	125	2,290	57	1,441	0.10	166	90	–	80	6	1
4B	0.111 – 0.170	210	3,591	57	2,271	0.14	392	88	–	170	7	3
5A	0.171 – 0.300	327	3,184	56	2,125	0.22	280	87	–	227	11	4
5B	0.301 – 0.425	154	1,095	70	920	0.36	132	85	–	142	15	3
6A	0.426 – 0.585	168	975	64	792	0.50	130	85	–	158	20	3
6B	0.586 – 0.770	117	506	71	475	0.68	71	84	–	119	25	3
7A	0.771 – 1.020	136	1,692	38	782	0.87	174	80	–	229	29	5
7B	1.021 – 1.350	106	309	69	320	1.18	55	83	–	122	38	3
8A	1.351 – 1.750	102	277	76	311	1.53	49	84	–	146	47	4
8B	1.751 – 2.350	126	382	35	260	2.04	110	81	–	146	56	4
9A	2.351 – 3.050	140	384	45	312	2.68	121	86	–	225	72	7
9B	3.051 – 4.000	227	561	51	512	3.53	156	87	–	454	88	16
10A	4.001 – 5.300	206	415	42	382	4.50	162	89	–	406	106	15
10B	5.301 – 7.000	174	217	47	276	6.07	109	85	–	344	125	14
11A/B/C	7.001 – 15.750	360	644	37	601	10.09	364	85	–	1,000	166	53
12A/B/C	15.751 – 50.000	180	150	41	241	34.03	121	84	–	548	227	69
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	156	10	–	156	100.00	62	68	–	275	176	84
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	3,242	23,589	54	15,866	2.53	3,301	87	–	4,907	31	292	3

1 Weighted averages are based on exposure at default

Table 24: IRB – credit risk exposure by internal PD grade for Retail – Other SME (CR6)

						30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	–	–	–	–	–	–	–	–	–	–	–
2B	0.036 – 0.045	1	2	4	2	0.04	–	73	–	–	8	–
3A	0.046 – 0.060	3	4	–	3	0.05	–	97	–	–	12	–
3B	0.061 – 0.083	–	–	–	–	0.07	–	67	–	–	11	–
4A	0.084 – 0.110	7	7	–	7	0.09	–	84	–	1	18	–
4B	0.111 – 0.170	12	14	7	13	0.15	–	69	–	3	19	–
5A	0.171 – 0.300	98	43	14	104	0.25	1	67	–	27	26	–
5B	0.301 – 0.425	37	15	10	39	0.36	–	70	–	13	34	–
6A	0.426 – 0.585	46	16	13	48	0.51	–	70	–	20	41	–
6B	0.586 – 0.770	61	19	8	63	0.68	–	75	–	32	52	–
7A	0.771 – 1.020	110	29	5	112	0.90	1	74	–	65	59	1
7B	1.021 – 1.350	101	30	5	102	1.21	1	71	–	65	64	1
8A	1.351 – 1.750	125	43	2	124	1.57	1	75	–	94	74	1
8B	1.751 – 2.350	98	38	4	100	2.05	1	79	–	85	85	2
9A	2.351 – 3.050	44	35	1	45	2.75	1	83	–	44	99	1
9B	3.051 – 4.000	57	17	3	57	3.51	1	85	–	56	98	2
10A	4.001 – 5.300	27	12	4	27	4.59	–	83	–	27	100	1
10B	5.301 – 7.000	13	5	2	13	6.15	–	78	–	12	98	1
11A/B/C	7.001 – 15.750	32	110	3	35	10.51	–	69	–	35	99	3
12A/B/C	15.751 – 50.000	14	5	2	14	44.23	–	76	–	18	128	5
13	50.001 – 99.999	11	12	3	11	99.99	–	67	–	48	416	4
14	100.000	20	6	7	21	100.00	–	66	–	50	243	12
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	917	462	5	940	5.84	7	74	–	695	74	34	17

1 Weighted averages are based on exposure at default

Table 24: IRB – credit risk exposure by internal PD grade for Retail – Other SME (CR6) continued

						31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	–	–	–	–	–	–	–	–	–	–	–
2B	0.036 – 0.045	1	2	24	2	0.04	–	85	–	–	9	–
3A	0.046 – 0.060	2	2	–	2	0.05	–	94	–	–	11	–
3B	0.061 – 0.083	–	–	–	–	0.08	–	66	–	–	11	–
4A	0.084 – 0.110	6	5	–	6	0.09	–	86	–	1	18	–
4B	0.111 – 0.170	12	11	9	13	0.15	–	72	–	3	21	–
5A	0.171 – 0.300	126	46	11	131	0.21	1	71	–	32	25	–
5B	0.301 – 0.425	49	12	3	49	0.37	–	76	–	18	37	–
6A	0.426 – 0.585	90	23	11	92	0.51	–	75	–	41	44	–
6B	0.586 – 0.770	110	26	8	113	0.67	–	76	–	59	52	1
7A	0.771 – 1.020	56	16	7	57	0.88	–	76	–	35	60	–
7B	1.021 – 1.350	75	28	8	76	1.21	–	75	–	52	68	1
8A	1.351 – 1.750	89	32	6	91	1.55	1	77	–	71	77	1
8B	1.751 – 2.350	77	24	4	78	2.07	1	83	–	70	90	1
9A	2.351 – 3.050	42	20	1	42	2.68	1	89	–	44	106	1
9B	3.051 – 4.000	33	11	5	33	3.47	–	80	–	30	93	1
10A	4.001 – 5.300	17	13	2	17	4.67	–	72	–	15	87	1
10B	5.301 – 7.000	10	4	7	9	6.14	–	77	–	8	99	–
11A/B/C	7.001 – 15.750	21	110	2	24	10.46	1	73	–	24	101	2
12A/B/C	15.751 – 50.000	11	2	3	11	41.76	–	77	–	13	124	4
13	50.001 – 99.999	11	11	–	11	99.99	–	65	–	38	349	4
14	100.000	17	6	15	18	100.00	–	59	–	39	218	10
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	855	404	6	875	5.20	5	76	–	593	68	27	15

1 Weighted averages are based on exposure at default

Table 25: IRB – credit risk exposure by internal PD grade for Retail – Other non-SME (CR6)

						30.06.17
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Pro visions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	43	54	83	88	0.03	1	56	–	5	6	–
2B	0.036 – 0.045	4	–	100	4	0.04	–	22	–	–	3	–
3A	0.046 – 0.060	8	1	61	9	0.05	–	22	–	–	4	–
3B	0.061 – 0.083	20	158	53	104	0.07	4	77	–	17	16	–
4A	0.084 – 0.110	24	230	67	177	0.10	4	86	–	39	22	–
4B	0.111 – 0.170	115	485	75	480	0.15	16	83	–	137	28	1
5A	0.171 – 0.300	554	1,338	77	1,590	0.23	74	84	–	620	39	3
5B	0.301 – 0.425	692	792	71	1,251	0.35	48	84	–	655	52	4
6A	0.426 – 0.585	668	468	63	961	0.50	39	83	–	607	63	4
6B	0.586 – 0.770	515	330	63	722	0.68	26	82	–	533	74	4
7A	0.771 – 1.020	527	303	58	702	0.88	26	83	–	595	85	5
7B	1.021 – 1.350	430	175	57	530	1.17	21	83	–	505	95	5
8A	1.351 – 1.750	385	131	63	468	1.53	22	79	–	468	100	6
8B	1.751 – 2.350	755	151	57	842	2.05	40	81	–	942	112	13
9A	2.351 – 3.050	588	74	57	630	2.64	38	84	–	771	122	14
9B	3.051 – 4.000	979	62	47	1,008	3.52	48	84	–	1,271	126	30
10A	4.001 – 5.300	492	60	28	508	4.45	54	85	–	667	131	19
10B	5.301 – 7.000	397	32	37	408	6.12	19	85	–	558	137	21
11A/B/C	7.001 – 15.750	348	60	31	367	10.29	41	89	–	590	161	34
12A/B/C	15.751 – 50.000	213	42	29	225	38.30	17	85	–	413	184	74
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	221	6	–	222	100.00	41	82	–	316	142	156
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	7,978	4,952	67	11,296	4.44	579	83	–	9,709	86	393	17

1 Weighted averages are based on exposure at default

Table 25: IRB – credit risk exposure by internal PD grade for Retail – Other non-SME (CR6) continued

						31.12.16
Group internal ratings	PD range %	On balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Expected Loss \$million	Value adjust ments and Provisions \$million
1A	0.000 – 0.015	–	–	–	–	–	–	–	–	–	–	–
1B	0.016 – 0.025	–	–	–	–	–	–	–	–	–	–	–
2A	0.026 – 0.035	39	51	83	81	0.03	1	58	–	5	6	–
2B	0.036 – 0.045	5	–	105	5	0.04	–	22	–	–	3	–
3A	0.046 – 0.060	12	31	39	24	0.05	–	56	–	2	9	–
3B	0.061 – 0.083	29	255	45	144	0.07	4	81	–	24	17	–
4A	0.084 – 0.110	26	167	67	139	0.10	3	84	–	30	21	–
4B	0.111 – 0.170	116	370	67	363	0.14	11	83	–	102	28	–
5A	0.171 – 0.300	490	1,302	76	1,482	0.23	76	83	–	578	39	3
5B	0.301 – 0.425	566	714	73	1,085	0.36	44	85	–	576	53	3
6A	0.426 – 0.585	604	462	62	891	0.50	38	84	–	572	64	4
6B	0.586 – 0.770	471	313	65	673	0.67	27	82	–	495	74	4
7A	0.771 – 1.020	444	296	60	624	0.88	27	83	–	530	85	5
7B	1.021 – 1.350	423	192	57	533	1.17	23	84	–	512	96	5
8A	1.351 – 1.750	392	139	62	478	1.54	22	81	–	490	103	6
8B	1.751 – 2.350	610	107	48	658	2.13	32	83	–	755	114	11
9A	2.351 – 3.050	643	89	60	696	2.67	42	85	–	858	123	16
9B	3.051 – 4.000	629	57	46	655	3.49	34	86	–	845	129	20
10A	4.001 – 5.300	666	62	26	682	4.50	64	82	–	870	128	25
10B	5.301 – 7.000	341	33	39	354	6.07	24	87	–	489	138	19
11A/B/C	7.001 – 15.750	445	67	33	467	9.98	49	88	–	734	157	41
12A/B/C	15.751 – 50.000	219	49	28	233	38.99	20	84	–	424	182	77
13	50.001 – 99.999	–	–	–	–	–	–	–	–	–	–	–
14	100.000	247	6	–	248	100.00	45	82	–	344	139	176
	Unrated	–	–	–	–	–	–	–	–	–	–	–
Total	(Table 15)	7,417	4,762	65	10,515	5.03	586	84	–	9,235	88	415	17

1 Weighted averages are based on exposure at default

3.3 Credit risk mitigation

Table 26 below shows the unfunded credit protection held by the Group, consisting of credit derivatives and guarantees, and funded

credit protection, including financial collateral. Exposure class has been defined based on the guarantor of the exposure.

Table 26: Effect of guarantees and collateral

	30.06.17		31.12.16
	Exposures covered by unfunded credit protection \$million	Exposures covered by funded credit protection \$million	Exposures covered by unfunded credit protection \$million	Exposures covered by funded credit protection \$million
IRB exposure class
Central governments or central banks	5,102	7,051	4,839	4,664
Institutions	5,044	31,350	5,414	30,472
Corporates	13,925	59,160	13,790	62,647
Retail2	6	68,300	4	65,106
Securitisation positions	–	1,075	–	611
Total IRB	24,077	166,936	24,047	163,500
Standardised exposure class
Central governments or central banks	1,066	206	1,377	119
Multilateral development banks	1,053	169	706	163
Institutions	192	20,351	314	12,534
Corporates	37	19,812	12	17,567
Retail2	3	350	2	549
Secured on real estate property	–	1	–	35
Exposures in default	–	3	–	91
Items belonging to regulatory high risk categories	–	26	–	9
Other items1	36	1	27	13
Total Standardised	2,387	40,919	2,438	31,080
Total exposure	26,464	207,855	26,485	194,580

1 Other items mainly include cash, equity holdings, fixed assets, prepayments and accrued income, and exposures to public sector entities

2 The combined Retail IRB exposure class includes both mortgages (Secured by real estate collateral) and other types of retail exposure. The Standardised Retail exposure class excludes mortgages which are included in a separate class under the heading Secured on real estate property

3.3 Credit risk mitigation continued

Table 27 below presents the EAD before and after the effect of CRM, including credit substitution and collateral, with a further split into on balance sheet and off balance sheet exposures and excluding

counterparty credit risk. Off balance sheet exposures are presented before and after the application of standardised CCFs.

Table 27: Standardised approach – credit risk exposure and Credit Risk Mitigation (CRM) effects (CR4)

			30.06.17
	Exposures before CCF and CRM1		Exposures post CCF and CRM1		RWA and RWA density
	On balance sheet \$million	Off balance sheet \$million	On balance sheet \$million	Off balance sheet \$million	RWA \$million	RWA density %
Standardised exposure class
Central governments or central banks	50,142	45,544	50,891	233	5,013	10
Multilateral development banks	10,834	8,620	11,779	17	–	–
Institutions	3,176	2,299	2,474	47	403	16
Corporates	24,063	28,921	13,791	1,271	14,915	99
Retail	12,086	7,545	11,739	276	8,557	71
Secured on real estate property	10,294	515	10,294	239	5,797	55
Exposures in default	310	17	307	10	317	100
Items belonging to regulatory high-risk categories	2,596	468	2,453	55	3,762	150
Equity	1,545	–	1,545	–	3,862	250
Other items2	10,593	255	10,627	145	8,653	80
Total Standardised (Table 28)	125,639	94,184	115,900	2,293	51,2793	43

1 EAD before the effect of collateral and substitution

2 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities

3 See Table 6: Overview of RWA (OV1) Standardised approach \$44,211 million and amount below threshold for deduction \$7,068 million

			31.12.16
	Exposures before CCF and CRM1		Exposures post CCF and CRM1		RWA and RWA density
	On balance sheet2	Off balance sheet	On balance sheet	Off balance sheet	RWA	RWA density
	\$million	\$million	\$million	\$million	\$million	%
Standardised exposure class
Central governments or central banks	42,499	49,958	43,695	112	5,143	12
Multilateral development banks	11,885	11,474	12,493	26	–	–
Institutions	3,537	1,862	2,398	33	355	15
Corporates	23,680	30,059	14,240	1,379	15,435	99
Retail	11,734	5,832	11,229	215	8,140	71
Secured on real estate property	9,773	491	9,738	212	5,515	55
Exposures in default	448	13	323	8	330	100
Items belonging to regulatory high risk categories	2,578	466	2,430	50	3,720	150
Equity	1,347	–	1,347	–	3,367	250
Other items3	8,742	86	8,766	27	7,252	82
Total Standardised4 (Table 28)	116,223	100,241	106,659	2,062	49,2574	45

1 EAD before the effect of collateral and substitution

2 On balance sheet exposures before CCF and CRM have been represented to net off credit risk adjustments

3 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities. Equity holdings are represented in a separate line

4 See Table 6: Overview of RWA (OV1) Standardised approach \$42,958 million and amount below threshold for deduction \$6,299 million

3.4 Standardised risk weight profile

External ratings, where available, are used to assign risk weights for standardised approach (SA) exposures. These external ratings must come from EU approved rating agencies, known as External Credit Assessment Institutions (ECAI); which currently includes Moody's, Standard & Poor's and Fitch. The Group uses the ECAI ratings from these agencies in its day-to-day business, which are tracked and kept updated. Assessments provided by approved ECAI are mapped to credit quality steps as prescribed by the CRR.

The Group currently does not use assessments provided by expert credit agencies for the purpose of calculating RWA in the Standardised Approach.

Table 28 and Table 29 set out an analysis of Standardised credit risk EAD before and after CRM associated with each risk weight as prescribed in Part Three, Title II, Chapter 2 of the CRR, excluding counterparty credit risk. Regulatory risk weights based on the exposure classes are applied to unrated exposures. The 2016 comparative tables are re-presented to exclude counterparty credit risk.

Table 28: Standardised approach – exposures by asset classes and risk weights (pre-CRM pre-CCF) (CR5)

	30.06.17
							Risk weight							Of which
	0%	2%	4%	20%	35%	50%	75%	100%	150%	250%	Others Deducted		Total	unrated
Standardised Exposure Class
Central governments or central banks	90,973	–	–	71	–	2,804	–	548	7	1,283	–		– 95,686	–
Multilateral development banks	19,454	–	–	–	–	–	–	–	–	–	–		– 19,454	–
Institutions	–	1,505	–	1,698	–	2,075	–	197	–	–	–	–	5,475	2,799
Corporates	–	–	–	587	–	15		– 52,382	–	–	–		– 52,984	52,276
Retail	–	–	–	–	–		– 19,631	–	–	–	–		– 19,631	19,595
Secured on real estate property	–	–	–	–	3,936	3,951	–	2,247	–	–	675		– 10,809	10,809
Exposures in default	–	–	–	–	–	–	–	327	–	–	–	–	327	327
Items belonging to regulatory high-risk
categories	–	–	–	–	–	–	–	–	3,064	–	–	–	3,064	3,057
Equity	–	–	–	–	–	–	–	–	–	1,545	–	–	1,545	1,545
Other items1	1,710	–	–	60	–	–	–	7,633	–	–	1,445		– 10,848	10,848
Total Standardised	112,137	1,505	–	2,416	3,936	8,845	19,631	63,334	3,071	2,828	2,120			– 219,823 101,256

1 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities

	31.12.16
							Risk weight							Of which
	0%	2%	4%	20%	35%	50%	75%	100%	150%	250%		Others Deducted	Total	unrated
Standardised Exposure Class
Central governments or central banks	87,040	–	–	16	–	3,693	–	509	–	1,173	27	–	92,458	–
Multilateral development banks	23,359	–	–	–	–	–	–	–	–	–	–	–	23,359	–
Institutions	–	1,459	–	1,649	–	2,140	–	151	–	–	–	–	5,399	3,113
Corporates	–	–	–	543	–	32		– 53,165	–	–	–	–	53,740	52,560
Retail	–	–	–	–	–		– 17,566	–	–	–	–	–	17,566	17,566
Secured on real estate property	–	–	–	–	3,732	3,577	–	2,163	–	–	792	–		10,264 10,264
Exposures in default	–	–	–	–	–	–	–	461	–	–	–	–	461	276
Items belonging to regulatory high-risk
categories	–	–	–	–	–	–	–	–	3,044	–	–	–	3,044	3,044
Equity	–	–	–	–	–	–	–	–	–	1,347	–	–	1,347	1,347
Other items1	1,368	–	–	47	–	–	–	5,860	–	–	1,552		8,827	8,827
Total Standardised	111,767	1,459	–	2,255	3,732	9,442	17,566	62,309	3,044	2,520	2,371		– 216,465 96,997

1 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities. Equity holdings are represented in a separate line

3.4 Standardised risk weight profile continued

Table 29: Standardised approach – exposures by asset classes and risk weights (post-CRM post-CCF) (CR5)

							30.06.17
						Risk weight							Of which
	0%	2%	20%	35%	50%	75%	100%	150%	250%	Others Deducted		Total	unrated
Standardised Exposure Class
Central governments or central banks	46,582	–	11	–	2,895	–	346	7	1,283	–		– 51,124	–
Multilateral development
banks	11,796	–	–	–	–	–	–	–	–	–		– 11,796	–
Institutions	–	1,505	733	–	114	–	169	–	–	–	–	2,521	1,902
Corporates	–	–	71	–	13		– 14,978	–	–	–		– 15,062	14,968
Retail	–	–	–	–		– 12,015	–	–	–	–		– 12,015	12,015
Secured on real estate
property	–	–	–	3,899	3,795	–	2,179	–	–	660		– 10,533	10,533
Exposures in default	–	–	–	–	–	–	317	–	–	–	–	317	317
Items belonging to regulatory
high-risk categories	–	–	–	–	–	–	–	2,508	–	–		2,508	2,504
Equity	–	–	–	–	–	–	–	–	1,545	–	–	1,545	1,545
Other items1	1,710	–	95	–	–	–	7,522	–	–	1,445		– 10,772	10,736
Total Standardised	60,088	1,505	910	3,899	6,817	12,015	25,511	2,515	2,828	2,105		– 118,193	54,520

1 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities

	31.12.16
						Risk weight							Of which
	0%	2%	20%	35%	50%	75%	100%	150%	250%		Others Deducted	Total	unrated
Standardised Exposure Class
Central governments or central banks	38,541	–	16	–	3,764	–	285	–	1,173	27		– 43,806	–
Multilateral development banks	12,519	–	–	–	–	–	–	–	–	–		– 12,519	–
Institutions	–	1,459	752	–	89	–	131	–	–	–	–	2,431	1,680
Corporates	–	–	133	–	14		– 15,472	–	–	–		– 15,619	15,441
Retail	–	–	–	–		– 11,444	–	–	–	–		– 11,444	11,444
Secured on real estate property	–	–	–	3,694	3,454	–	2,069	–	–	733	–	9,950	9,950
Exposures in default	–	–	–	–	–	–	331	–	–	–	–	331	324
Items belonging to regulatory high-risk categories	–	–	–	–	–	–	–	2,480	–	–	–	2,480	2,480
Equity	–	–	–	–	–	–	–	–	1,347	–	–	1,347	1,347
Other items1	1,368	–	74	–	–	–	5,800	–	–	1,551	–	8,793	8,768
Total Standardised	52,428	1,459	975	3,694	7,321	11,444	24,088	2,480	2,520	2,311		– 108,720	51,434

1 Other items mainly include cash, fixed assets, prepayments and accrued income, and exposures to public sector entities. Equity holdings are represented in a separate line

3.5 Counterparty credit risk

Counterparty credit risk (CCR) is the risk that the Group's counterparty in a foreign exchange, interest rate, commodity, equity or credit derivative contract defaults prior to the maturity date of the contract and that the Group at the time has a claim on the counterparty. CCR arises predominantly in the trading book, but also arises in the non-trading book due to hedging of external funding.

CCR is managed within the overall credit risk appetite for corporate and financial institutions and CCR limits are set for individual counterparties (including central clearing counterparties) and specific portfolio concentrations. Such limits take into account the credit quality and nature of the counterparty and are set in exposure value terms.

The Group reduces its credit exposures to counterparties by entering into contractual netting agreements which result in a single amount

Table 30: Counterparty credit risk (CCR5-A)

owed by or to the counterparty through netting the sum of the positive (amounts owed by the counterparty) and negative (amounts owed by the Group) mark-to-market (MTM) values of these transactions. Following International Accounting Standard (IAS) 32 requirements, the Group is permitted to offset assets and liabilities and present these net on the Group's balance sheet, only if there is a legally enforceable right to set off and the Group intends to settle on a net basis or realise the asset and liability simultaneously.

Table 30 below covers the credit exposure on derivative transactions after taking into account the benefits from legally enforceable netting agreements and the capital requirement by derivative type. The notional values settled with central counterparties and on a recognised trading exchange are also shown.

			30.06.17
	EAD before netting benefit \$million	Netting benefits \$million	Netted current credit exposure \$million	Collateral held \$million	Net credit exposure \$million
Derivative contracts	110,661	(64,032)	46,629	(7,019)	39,610
Repo style transactions	107,410	–	107,410	(90,608)	16,802
Credit derivatives	1,664	(681)	983	(250)	733
Total	219,735	(64,713)	155,022	(97,877)	57,145
			31.12.16
	EAD before netting benefit \$million	Netting benefits \$million	Netted current credit exposure \$million	Collateral held \$million	Net credit exposure \$million

	netting benefit \$million	Netting benefits \$million	credit exposure \$million	Collateral held \$million	exposure \$million
Derivative contracts	125,514	(73,545)	51,969	(8,948)	43,021
Repo style transactions	96,194	–	96,194	(79,011)	17,183
Credit derivatives	1,391	(774)	617	(140)	477
Total	223,099	(74,319)	148,780	(88,099)	60,681

Table 31 below details EAD and RWA corresponding to exposures to central counterparties (CCPs).

Table 31: Exposures to central counterparties (CCR8)

	30.06.17		31.12.16
	EAD post CRM \$million	RWA \$million	EAD post CRM \$million	RWA \$million
Exposures to qualifying CCPs
Trade exposure1	7,490	151	5,793	116
Of which OTC derivatives	3,373	69	3,197	64
Of which exchange-traded derivatives	2,352	47	1,794	36
Of which SFTs	1,765	35	802	16
Collateral posted	1,505	30	1,460	29
Prefunded default fund contributions	414	192	178	338
Total2	9,409	373	7,431	483

1 Excludes initial margin and default fund contributions

2 Excludes non-qualifying CCPs due to its immateriality

Table 32 below sets out the notional amounts of credit derivative transactions segregated between protection bought and sold within each product type.

Table 32: Credit derivatives exposures (CCR6)

		30.06.17			31.12.16 Bought Sold \$million \$million 13,960 9,708 886 408 72 68 14,918 10,184 82 90
	Bought \$million	Sold \$million	Total1 \$million			Total1 \$million
Notionals
Credit default swaps	15,400	10,435	25,835			23,668
Total return swaps	2,184	–	2,184			1,294
Other credit derivatives	3	393	396			140
Total notionals	17,587	10,828	28,415			25,102
Fair values
Positive fair value (asset)	46	158	204			171
Negative fair value (liability)	563	34	597	301	170	472

1 Principally related to intermediary activity for Trading

Table 33 below details the exposure value and related RWA for the regulatory credit valuation adjustment (CVA) charge. CVA measures the risk of mark-to-market losses arising from deterioration in the credit quality of a counterparty to an over-the-counter (OTC) derivative transaction. It complements the CCR capital requirements, which measure the risk of default of a counterparty to these transactions.

Table 33: Credit valuation adjustment (CVA) capital charge (CCR2)

	30.06.17		31.12.16
	Exposure value \$million	Risk-weighted assets1 \$million	Exposure value \$million	Risk-weighted assets1 \$million
Total portfolios subject to the Advanced Method	–	–	–	–
(i) VaR component (including the 3x multiplier)	–	–	–	–
(ii) Stressed VaR component (including the 3x multiplier)	–	–	–	–
All portfolios subject to the Standardised Method	21,310	535	24,900	2,290
Based on Original Exposure Method	–	–	–	–
Total subject to the CVA capital charge1	21,310	535	24,900	2,290

1 See Table 6: Overview of RWA (OV1)

Table 34 sets out an analysis of EAD after the effect of collateral associated with each risk weight prescribed in Part Three, Title II, Chapter 2 of the CRR.

Table 34: Standardised approach – CCR exposures by regulatory portfolio and risk (CCR3)

							30.06.17
						Risk weight							Of which
	0%	2%	4%	10%	20%	50%	70%	75%	100%	150%	Others	Total	unrated
Standardised Exposure Class
Central governments or central banks	469	–	–	–	4	–	–	–	–	–	–	473	–
Multilateral development banks	1,936	–	–	–	–	–	–	–	–	–	–	1,936	–
Institutions	–	7,482	–	–	4	14	–	–	–	–	–	7,500	–
Corporates	–	–	–	–	1,057	2	–	–	260	–	–	1,319	401
Retail	–	–	–	–	–	–	–	–	–	–	–	–	–
Secured on real estate property	–	–	–	–	–	–	–	–	–	–	–	–	–
Exposures in default	–	–	–	–	–	–	–	–	–	–	–	–	–
Items belonging to regulatory high-risk categories	–	–	–	–	–	–	–	–	–	–	–	–	–
Other items	–	–	–	–	–	–	–	–	16	–	–	16	16
Total Standardised	2,405	7,482	–	–	1,065	16	–	–	276	–		– 11,244	417

							31.12.16
						Risk weight							Of which
	0%	2%	4%	10%	20%	50%	70%	75%	100%	150%	Others	Total	unrated
Standardised Exposure Class
Central governments or central
banks	374	–	–	–	4	–	–	–	–	–	–	378	–
Multilateral development banks	2,232	–	–	–	–	–	–	–	–	–	–	2,232	–
Institutions	–	5,792	–	–	1	17	–	–	–	–	–	5,810	–
Corporates	–	–	–	–	857	1	–	–	420	–	–	1,278	542
Retail	–	–	–	–	–	–	–	–	–	–	–	–	–
Secured on real estate property	–	–	–	–	–	–	–	–	–	–	–	–	–
Exposures in default	–	–	–	–	–	–	–	–	–	–	–	–	–
Items belonging to regulatory
high-risk categories	–	–	–	–	–	–	–	–	–	3	–	3	1
Other items	–	–	–	–	–	–	–	–	4	–	–	4	4
Total Standardised	2,606	5,792	–	–	862	18	–	–	424	3	–	9,705	547

Table 35 below provides details on the exposure classes subject to counterparty credit risk, in particular for Central governments or central banks, Institutions and Corporates. These have been split by internal credit grade which relate to the PD ranges presented in Tables 36 to 40.

Table 35: IRB – CCR exposures by exposure class

				30.06.2017
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density %
IRB Exposure Class
Central governments
or central banks	10,520	0.07	134	19	121	499	5
Institutions	47,015	0.10	1,441	15	243	3,232	7
Corporates	51,702	0.33	11,597	21	248	8,964	17
Of which SME	555	0.14	412	64	1,173	207	37
Of which Specialised lending	997	1.91	114	27	1,671	479	48
Total IRB	109,237	0.21	13,172	18	234	12,6953	12

1 Weighted averages are based on exposure at default

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates

3 See Table 6: Overview of RWA (OV1). CCR RWA of \$14,088m comprises \$12,695 million for IRB, \$647 million for STA, \$727 million for CCP & CVA and Slotting of \$19 million

				31.12.2016
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %
IRB Exposure Class
Central governments
or central banks	6,692	0.07	128	20	201	360	5
Institutions	45,681	0.11	1,429	15	267	3,369	7
Corporates	61,669	0.28	11,857	22	239	10,255	17
Of which SME	851	0.41	454	64	1,172	534	63
Of which Specialised lending	1,122	1.53	103	26	1,679	466	42
Total IRB	114,042	0.20	13,414	19	248	13,984	12

1 Weighted averages are based on exposure at default

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates

Table 36: IRB – CCR exposures by PD grade for Central governments or central banks (CCR4)

				30.06.17
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	836	0.01	28	26	102	7	1	AAA/AA+
1B	0.016 – 0.025	4,050	0.02	30	12	61	45	1	AA/AA
2A	0.026 – 0.035	4,721	0.03	13	19	148	143	3	A+
2B	0.036 – 0.045	80	0.04	1	19	365	3	4	A
3A	0.046 – 0.060	9	0.05	6	46	365	1	12	A
3B	0.061 – 0.083	–	–	–	–	–	–	–	BBB+
4A	0.084 – 0.110	434	0.09	3	46	146	62	14	BBB+
4B	0.111 – 0.170	69	0.13	5	46	879	25	36	BBB
5A	0.171 – 0.300	121	0.22	8	31	20	20	17	BBB/BBB
5B	0.301 – 0.425	2	0.39	4	46	365	1	49	BB+
6A	0.426 – 0.585	10	0.51	3	46	365	6	57	BB+
6B	0.586 – 0.770	–	–	–	–	–	–	–	BB
7A	0.771 – 1.020	5	0.89	5	46	302	3	57	BB/BB
7B	1.021 – 1.350	–	–	–	–	–	–	–	BB
8A	1.351 – 1.750	37	1.54	4	46	365	26	69	B+
8B	1.751 – 2.350	–	–	–	–	–	–	–	B+
9A	2.351 – 3.050	130	2.67	15	46	262	135	104	B
9B	3.051 – 4.000	16	3.51	9	46	1,825	22	139	B/B
10A	4.001 – 5.300	–	–	–	–	–	–	–	B
10B	5.301 – 7.000	–	–	–	–	–	–	–	CCC
11A/B/C	7.001 – 15.750	–	–	–	–	–	–	–	CCC
12A/B/C	15.751 – 50.000	–	–	–	–	–	–	–	N/A
13	50.001 – 99.999	–	–	–	–	–	–	–	N/A
14	100.000	–	–	–	–	–	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		10,520	0.07	134	19	121	499	5

1 Weighted averages are based on exposure at default

Table 36: IRB – CCR exposures by PD grade for Central governments or central banks (CCR4) continued

				31.12.16
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	331	0.01	27	40	202	7	2	AAA/AA+
1B	0.016 – 0.025	4,225	0.02	32	15	162	81	2	AA/AA
2A	0.026 – 0.035	1,711	0.03	13	21	256	82	5	A+
2B	0.036 – 0.045	7	0.04	2	51	365	1	11	A
3A	0.046 – 0.060	39	0.05	4	46	148	3	9	A
3B	0.061 – 0.083	69	0.07	1	46	1,197	22	31	BBB+
4A	0.084 – 0.110	94	0.09	7	46	133	13	14	BBB+
4B	0.111 – 0.170	–	–	–	–	–	–	–	BBB
5A	0.171 – 0.300	9	0.22	4	46	365	3	35	BBB/BBB
5B	0.301 – 0.425	10	0.39	4	46	365	5	49	BB+
6A	0.426 – 0.585	4	0.51	3	46	365	2	57	BB+
6B	0.586 – 0.770	–	–	–	–	–	–	–	BB
7A	0.771 – 1.020	1	0.89	4	46	365	–	56	BB/BB
7B	1.021 – 1.350	126	1.17	2	46	23	91	72	BB
8A	1.351 – 1.750	43	1.54	4	46	365	31	71	B+
8B	1.751 – 2.350	–	–	–	–	–	–	–	B+
9A	2.351 – 3.050	3	2.67	10	46	912	2	69	B
9B	3.051 – 4.000	20	3.51	11	46	1,204	17	88	B/B
10A	4.001 – 5.300	–	–	–	–	–	–	–	B
10B	5.301 – 7.000	–	–	–	–	–	–	–	CCC
11A/B/C	7.001 – 15.750	–	–	–	–	–	–	–	CCC
12A/B/C	15.751 – 50.000	–	–	–	–	–	–	–	N/A
13	50.001 – 99.999	–	–	–	–	–	–	–	N/A
14	100.000	–	–	–	–	–	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		6,692	0.07	128	20	201	360	5

1 Weighted averages are based on exposure at default

Table 37: IRB – CCR exposures by PD grade for Institutions (CCR4)

				30.06.17
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA/AA+
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA/AA
2A	0.026 – 0.035	16,518	0.03	207	13	191	474	3	A+
2B	0.036 – 0.045	2,522	0.04	63	25	363	200	8	A
3A	0.046 – 0.060	13,332	0.05	133	13	254	476	4	A
3B	0.061 – 0.083	3,585	0.07	99	21	373	388	11	BBB+
4A	0.084 – 0.110	2,538	0.09	101	10	136	131	5	BBB+
4B	0.111 – 0.170	2,864	0.13	95	14	220	284	10	BBB
5A	0.171 – 0.300	2,146	0.22	124	17	352	350	16	BBB/BBB
5B	0.301 – 0.425	2,127	0.39	112	15	161	369	17	BB+
6A	0.426 – 0.585	610	0.51	84	20	389	208	34	BB+
6B	0.586 – 0.770	432	0.67	60	13	456	112	26	BB
7A	0.771 – 1.020	93	0.89	63	36	259	64	69	BB/BB
7B	1.021 – 1.350	40	1.17	60	34	410	28	70	BB
8A	1.351 – 1.750	152	1.54	86	19	118	67	44	B+
8B	1.751 – 2.350	19	2.03	51	38	752	23	121	B+
9A	2.351 – 3.050	36	2.67	76	39	1,228	56	156	B
9B	3.051 – 4.000	1	3.51	13	41	365	2	120	B/B
10A	4.001 – 5.300	–	–	–	–	–	–	–	B
10B	5.301 – 7.000	–	–	–	–	–	–	–	CCC
11A/B/C	7.001 – 15.750	–	13.77	14	41	365	–	217	CCC
12A/B/C	15.751 – 50.000	–	–	–	–	–	–	–	N/A
13	50.001 – 99.999	–	–	–	–	–	–	–	N/A
14	100.000	–	–	–	–	–	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		47,015	0.10	1,441	15	243	3,232	7

1 Weighted averages are based on exposure at default

Table 37: IRB – CCR exposures by PD grade for Institutions (CCR4) continued

				31.12.16
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA/AA+
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA/AA
2A	0.026 – 0.035	16,715	0.03	206	15	217	546	3	A+
2B	0.036 – 0.045	1,952	0.04	64	24	359	146	7	A
3A	0.046 – 0.060	11,339	0.05	126	14	281	397	4	A
3B	0.061 – 0.083	3,715	0.07	100	20	369	391	11	BBB+
4A	0.084 – 0.110	2,156	0.09	100	15	196	169	8	BBB+
4B	0.111 – 0.170	2,699	0.13	97	14	246	275	10	BBB
5A	0.171 – 0.300	3,332	0.22	126	15	301	484	15	BBB/BBB
5B	0.301 – 0.425	2,544	0.39	114	13	162	398	16	BB+
6A	0.426 – 0.585	315	0.51	86	17	592	103	32	BB+
6B	0.586 – 0.770	470	0.67	52	15	558	143	31	BB
7A	0.771 – 1.020	56	0.89	63	18	511	21	37	BB/BB
7B	1.021 – 1.350	38	1.17	66	29	319	21	56	BB
8A	1.351 – 1.750	155	1.54	87	32	107	114	74	B+
8B	1.751 – 2.350	22	2.03	52	17	181	10	44	B+
9A	2.351 – 3.050	173	2.67	60	21	1,746	151	87	B
9B	3.051 – 4.000	–	3.51	12	41	365	–	136	B/B
10A	4.001 – 5.300	–	4.62	12	31	365	–	111	B
10B	5.301 – 7.000	–	–	–	–	–	–	–	CCC
11A/B/C	7.001 – 15.750	–	13.77	6	41	365	–	223	CCC
12A/B/C	15.751 – 50.000	–	–	–	–	–	–	–	N/A
13	50.001 – 99.999	–	–	–	–	–	–	–	N/A
14	100.000	–	–	–	–	–	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		45,681	0.11	1,429	15	267	3,369	7

1 Weighted averages are based on exposure at default

Table 38: IRB – CCR exposures by PD grade for Corporates (CCR4)

Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	14,224	0.03	306	9	109	268	2	AA
2B	0.036 – 0.045	1,194	0.04	259	21	179	61	5	AA
3A	0.046 – 0.060	12,870	0.05	416	11	142	382	3	AA
3B	0.061 – 0.083	2,513	0.07	859	23	234	260	10	A+
4A	0.084 – 0.110	2,363	0.09	827	46	815	703	30	A/A
4B	0.111 – 0.170	3,929	0.13	851	25	369	688	18	BBB+
5A	0.171 – 0.300	3,695	0.22	1,764	48	324	993	27	BBB
5B	0.301 – 0.425	3,463	0.39	1,055	32	367	1,449	42	BBB
6A	0.426 – 0.585	3,786	0.51	1,027	17	207	895	24	BB+
6B	0.586 – 0.770	1,035	0.67	711	38	455	573	55	BB+
7A	0.771 – 1.020	674	0.89	550	37	499	447	66	BB
7B	1.021 – 1.350	529	1.17	537	51	721	413	78	BB
8A	1.351 – 1.750	244	1.54	405	38	517	223	91	BB
8B	1.751 – 2.350	424	2.03	372	55	787	504	119	BB
9A	2.351 – 3.050	238	2.67	290	53	490	331	139	B+
9B	3.051 – 4.000	159	3.51	232	39	384	72	45	B+
10A	4.001 – 5.300	54	4.62	129	88	1,033	164	305	B
10B	5.301 – 7.000	20	6.08	105	65	1,038	49	239	B
11A/B/C	7.001 – 15.750	243	12.73	544	35	347	382	157	B
12A/B/C	15.751 – 50.000	15	30.53	47	91	1,523	71	489	N/A
13	50.001 – 99.999	12	99.99	38	17	1,806	14	116	N/A
14	100.000	18	100.00	273	63	455	22	118	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		51,702	0.33	11,597	21	248	8,964	17

1 Weighted averages are based on exposure at default

Table 38: IRB – CCR exposures by PD grade for Corporates (CCR4) continued

				31.12.16
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	16,624	0.03	312	12	107	350	2	AA
2B	0.036 – 0.045	1,515	0.04	256	21	210	88	6	AA
3A	0.046 – 0.060	15,676	0.05	430	13	98	558	4	AA
3B	0.061 – 0.083	3,868	0.07	964	28	360	523	14	A+
4A	0.084 – 0.110	3,363	0.09	797	43	653	817	24	A/A
4B	0.111 – 0.170	7,409	0.13	991	19	318	960	13	BBB+
5A	0.171 – 0.300	2,870	0.22	1,717	37	373	958	33	BBB
5B	0.301 – 0.425	4,850	0.39	1,059	34	255	1,444	30	BBB
6A	0.426 – 0.585	1,867	0.51	973	25	271	635	34	BB+
6B	0.586 – 0.770	1,062	0.67	724	52	697	912	86	BB+
7A	0.771 – 1.020	625	0.89	592	52	670	529	85	BB
7B	1.021 – 1.350	402	1.17	539	58	520	449	112	BB
8A	1.351 – 1.750	223	1.54	403	59	697	296	133	BB
8B	1.751 – 2.350	569	2.03	415	50	758	461	81	BB
9A	2.351 – 3.050	166	2.67	287	45	703	198	119	B+
9B	3.051 – 4.000	293	3.51	262	64	509	404	138	B+
10A	4.001 – 5.300	47	4.62	167	64	392	86	185	B
10B	5.301 – 7.000	13	6.08	102	46	577	21	157	B
11A/B/C	7.001 – 15.750	162	11.22	504	59	417	411	254	B
12A/B/C	15.751 – 50.000	30	25.73	56	68	401	105	346	N/A
13	50.001 – 99.999	10	99.99	36	18	1,791	14	139	N/A
14	100.000	25	100.00	271	59	631	36	148	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		61,669	0.28	11,857	22	239	10,255	17

1 Weighted averages are based on exposure at default

Table 39: IRB – CCR exposures by PD grade for Corporates – SME (CCR4)

				30.06.17
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	200	0.03	1	55	1,826	48	24	AA
2B	0.036 – 0.045	–	–	–	–	–	–	–	AA
3A	0.046 – 0.060	9	0.05	6	55	685	1	17	AA
3B	0.061 – 0.083	–	–	–	–	–	–	–	A+
4A	0.084 – 0.110	77	0.09	4	73	367	18	23	A/A
4B	0.111 – 0.170	253	0.13	15	69	966	124	49	BBB+
5A	0.171 – 0.300	1	0.22	31	70	365	–	43	BBB
5B	0.301 – 0.425	9	0.39	16	70	365	7	71	BBB
6A	0.426 – 0.585	–	0.51	30	52	365	–	55	BB+
6B	0.586 – 0.770	1	0.67	19	71	366	1	80	BB+
7A	0.771 – 1.020	1	0.89	24	47	650	1	79	BB
7B	1.021 – 1.350	1	1.17	32	62	572	1	108	BB
8A	1.351 – 1.750	–	1.53	34	55	578	–	95	BB
8B	1.751 – 2.350	1	2.03	30	69	1,097	2	144	BB
9A	2.351 – 3.050	–	2.67	26	70	492	1	161	B+
9B	3.051 – 4.000	1	3.51	27	70	392	1	159	B+
10A	4.001 – 5.300	–	4.62	16	61	554	–	148	B
10B	5.301 – 7.000	–	6.08	15	42	647	–	114	B
11A/B/C	7.001 – 15.750	1	12.76	18	51	647	2	197	B
12A/B/C	15.751 – 50.000	–	33.00	3	6	365	–	31	N/A
13	50.001 – 99.999	–	99.99	8	72	365	–	897	N/A
14	100.000	–	100.00	57	6	365	–	78	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		555	0.14	412	64	1,173	207	37

1 Weighted averages are based on exposure at default

Table 39: IRB – CCR exposures by PD grade for Corporates – SME (CCR4) continued

				31.12.16
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	200	0.03	1	47	1,826	40	20	AA
2B	0.036 – 0.045	–	–	–	–	–	–	–	AA
3A	0.046 – 0.060	–	–	–	–	–	–	–	AA
3B	0.061 – 0.083	–	0.07	15	55	365	–	15	A+
4A	0.084 – 0.110	342	0.09	4	70	878	126	37	A/A
4B	0.111 – 0.170	12	0.13	15	55	1,240	6	53	BBB+
5A	0.171 – 0.300	1	0.22	28	74	373	–	47	BBB
5B	0.301 – 0.425	–	0.39	21	72	365	–	70	BBB
6A	0.426 – 0.585	3	0.48	31	41	405	1	49	BB+
6B	0.586 – 0.770	250	0.67	28	70	1,138	301	121	BB+
7A	0.771 – 1.020	2	0.89	30	24	429	1	36	BB
7B	1.021 – 1.350	1	1.17	31	18	365	–	29	BB
8A	1.351 – 1.750	4	1.54	33	34	519	2	67	BB
8B	1.751 – 2.350	4	2.03	32	65	378	6	143	BB
9A	2.351 – 3.050	18	2.67	40	84	1,109	36	194	B+
9B	3.051 – 4.000	3	3.51	25	68	427	5	165	B+
10A	4.001 – 5.300	5	4.62	21	51	370	6	124	B
10B	5.301 – 7.000	5	6.08	12	14	394	3	47	B
11A/B/C	7.001 – 15.750	1	9.62	19	42	797	1	152	B
12A/B/C	15.751 – 50.000	–	33.00	3	6	365	–	31	N/A
13	50.001 – 99.999	–	99.99	8	59	421	–	199	N/A
14	100.000	–	100.00	57	70	365	–	75	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		851	0.41	454	64	1,172	534	63

1 Weighted averages are based on exposure at default

Table 40: IRB – CCR exposures by PD grade for Corporates – Specialised Lending (CCR4)

				30.06.17
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	–	–	–	–	–	–	–	AA
2B	0.036 – 0.045	–	–	–	–	–	–	–	AA
3A	0.046 – 0.060	–	–	–	–	–	–	–	AA
3B	0.061 – 0.083	2	0.07	1	22	365	–	7	A+
4A	0.084 – 0.110	359	0.09	18	24	1,709	82	23	A/A
4B	0.111 – 0.170	94	0.13	6	24	1,688	25	27	BBB+
5A	0.171 – 0.300	117	0.22	14	25	1,805	46	39	BBB
5B	0.301 – 0.425	41	0.39	7	25	1,826	20	49	BBB
6A	0.426 – 0.585	110	0.51	7	29	1,587	64	58	BB+
6B	0.586 – 0.770	26	0.67	7	38	1,548	23	89	BB+
7A	0.771 – 1.020	51	0.89	6	23	1,805	29	56	BB
7B	1.021 – 1.350	67	1.17	6	27	1,591	43	64	BB
8A	1.351 – 1.750	34	1.54	10	47	1,708	46	134	BB
8B	1.751 – 2.350	18	2.03	9	33	1,637	17	94	BB
9A	2.351 – 3.050	24	2.67	8	45	1,030	29	117	B+
9B	3.051 – 4.000	23	3.51	2	24	1,814	20	88	B+
10A	4.001 – 5.300	–	–	–	–	–	–	–	B
10B	5.301 – 7.000	3	6.08	1	37	1,763	3	118	B
11A/B/C	7.001 – 15.750	15	11.04	8	28	707	17	116	B
12A/B/C	15.751 – 50.000	1	24.55	3	70	999	2	409	N/A
13	50.001 – 99.999	12	99.99	1	16	1,826	13	107	N/A
14	100.000	–	–	–	–	–	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		997	1.91	114	27	1,671	479	48

1 Weighted averages are based on exposure at default

Table 40: IRB – CCR exposures by PD grade for Corporates – Specialised Lending (CCR4) continued

				31.12.16
Group internal ratings	PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 days	RWA \$million	RWA density1 %	Standard & Poor's external rating equivalent
1A	0.000 – 0.015	–	–	–	–	–	–	–	AAA
1B	0.016 – 0.025	–	–	–	–	–	–	–	AA+
2A	0.026 – 0.035	–	–	–	–	–	–	–	AA
2B	0.036 – 0.045	–	–	–	–	–	–	–	AA
3A	0.046 – 0.060	–	–	–	–	–	–	–	AA
3B	0.061 – 0.083	49	0.07	2	24	1,354	8	16	A+
4A	0.084 – 0.110	460	0.09	17	24	1,737	103	22	A/A
4B	0.111 – 0.170	149	0.13	7	24	1,671	38	26	BBB+
5A	0.171 – 0.300	60	0.22	7	26	1,732	23	38	BBB
5B	0.301 – 0.425	86	0.39	7	42	1,793	70	82	BBB
6A	0.426 – 0.585	75	0.51	6	26	1,598	35	47	BB+
6B	0.586 – 0.770	20	0.67	5	44	1,826	20	100	BB+
7A	0.771 – 1.020	42	0.89	6	25	1,695	24	57	BB
7B	1.021 – 1.350	10	1.17	3	34	666	7	66	BB
8A	1.351 – 1.750	23	1.54	8	42	1,718	26	113	BB
8B	1.751 – 2.350	83	2.03	12	26	1,716	61	73	BB
9A	2.351 – 3.050	29	2.67	9	16	1,531	15	50	B+
9B	3.051 – 4.000	15	3.51	3	24	1,769	13	88	B+
10A	4.001 – 5.300	–	–	–	–	–	–	–	B
10B	5.301 – 7.000	–	–	–	–	–	–	–	B
11A/B/C	7.001 – 15.750	10	9.36	6	32	432	12	128	B
12A/B/C	15.751 – 50.000	–	–	–	–	–	–	–	N/A
13	50.001 – 99.999	10	99.99	1	16	1,826	11	115	N/A
14	100.000	1	100.00	4	18	1,704	–	–	N/A
	Unrated	–	–	–	–	–	–	–	N/A
Total (Table 35)		1,122	1.53	103	26	1,679	466	42

1 Weighted averages are based on exposure at default

4 Market risk

Market risk is the potential for loss of economic value due to adverse changes in financial market rates or prices. The Group's exposure to market risk arises predominantly from these sources:

• • Trading book: The Group provides clients access to financial markets, facilitation of which entails the Group taking moderate market risk positions. All trading teams support client activity; there are no proprietary trading teams. Hence, income earned from market risk-related activities is primarily driven by the volume of client activity rather than risk-taking. From 1 January 2016 Credit and Funding Valuation Adjustment (XVA) risk has been recognised in trading book market risk.
• • Non-trading book:
• – The Treasury Markets desk is required to hold a liquid assets buffer much of which is held in high-quality marketable debt securities.
• – The Group has capital invested and related income streams denominated in currencies other than US dollars. To the extent that these are not hedged the Group is subject to structural foreign exchange risk which is reflected in reserves.

Interest rate risk from non-trading book portfolios is transferred to local Treasury Markets desks under the supervision of local Asset and Liability Committees. Treasury Markets deals in the market in approved financial instruments in order to manage the net interest rate risk, subject to approved Value-at-Risk (VaR) and risk limits.

Table 41: Market risk regulatory capital requirements

The primary categories of market risk for the Group are:

• • interest rate risk: arising from changes in yield curves, credit spreads and implied volatilities on interest rate options including the risk arising from changes in the credit spread of derivatives' counterparties through CVA accounting;
• • currency exchange rate risk: arising from changes in exchange rates and implied volatilities on foreign exchange options; and,
• • commodity price risk: arising from changes in commodity prices and implied volatilities on commodity options; covering energy, precious metals, base metals and agriculture.

Market risk regulatory capital requirements

The PRA specifies minimum capital requirements against market risk in the trading book. Interest rate risk in the non-trading book is covered separately under the Pillar 2 framework.

The PRA has granted the Group permission to use the Internal Model Approach (IMA) covering the majority of interest rate, foreign exchange, and commodity market risk in the trading book. Positions outside the IMA scope are assessed according to standard PRA rules.

The minimum regulatory market risk capital requirements for the trading book are presented on the following page for the Group.

	30.06.17		31.12.16
Market risk capital requirements for trading book	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million
Interest rate1	7,159	573	3,918	314
Equity	14	1	17	1
Options	927	74	877	70
Commodity2	194	15	217	17
Foreign exchange2	3,095	248	3,701	296
Internal Models Approach3	11,575	926	13,147	1,052
Total4	22,964	1,837	21,877	1,750

1 Securitisation positions contributed \$5.0 million to the interest rate position risk requirement (PRR) and \$63 million to interest rate RWA as at 30 June 2017 (securitised positions contributed \$5.1 million to the interest rate PRR and \$63.3 million to interest rate RWA as at 31 December 2016)

2 Commodity and foreign exchange cover non-trading book as well as trading book

3 Where the risks are not within the approved scope of the IMA, they are captured in the relevant category above based on the standardised approach

4 See Table 6: Overview of RWA (OV1)

4. Market risk continued

Table 42: Market risk under standardised approach (MR1)

	30.06.17		31.12.16
	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million
Outright products
Interest rate risk	7,230	578	3,918	314
Equity risk	7	1	17	1
Foreign exchange risk	3,361	269	3,701	296
Commodity risk	103	8	217	17
Options	688	55	877	70
Simplified approach	–	–	–	–
Delta-plus method	11	1	–	–
Scenario approach	678	54	877	70
Securitisation (specific risk)1	63	5	63	5
Total	11,389	911	8,730	698

1 Securitisation (specific risk) is included in interest rate risk RWA

Internal Model Approach

Table 43 below shows the average, high and low Stressed VaR for the period January 2017 to June 2017, and the actual position on 30 June 2017. The Stressed VaR results reflect only the Group portfolio covered by the internal model approach and are calculated at a 99 per cent confidence level.

Table 43: IMA values for trading portfolios (MR3)

		30.06.17				31.12.16
	Average \$million	High1 \$million	Low1 \$million	Actual2 \$million	Average \$million	High1 \$million	Low1 \$million	Actual2 \$million
VaR (10 day 99%)-	45	99	32	38	67	92	32	63
Stressed VaR (10 day 99%)-	146	248	103	207	189	274	97	123
Incremental Risk Charge (99.9%)	–	–	–	–	–	–	–	–
Comprehensive Risk capital charge (99.9%)	–	–	–	–	–	–	–	–

1 Highest and lowest VaR for each risk factor are independent and usually occur on different days

2 Actual one day VaR as at period end date

Table 44: Market risk under internal model approach (MR2-A)

	30.06.17		31.12.16
	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million
VaR (higher of values a and b)	2,114	169	3,161	253
(a) Previous day's VaR	676	54	905	72
(b) Average of the daily VaR	2,114	169	3,161	253
SVaR (higher of values a and b)	7,148	572	7,931	634
(a) Latest SVaR	3,056	244	2,000	160
(b) Average of the SVaR	7,148	572	7,931	634
Other1	2,313	185	2,055	164
Total2	11,575	926	13,147	1,051

1 Other IMA capital add-ons for market risks not fully captured in either Value-at-risk (VaR) or Stressed VaR (SVaR). More details on Risks not in VaR can be found in the Half Year Report 2017 on page 52

2 There is zero Incremental risk charge (IRC) or Comprehensive risk measure (CRM) as the Group has not received model permissions

4. Market risk continued

Backtesting

Regulatory backtesting is applied at both Group and Solo levels. In the year to 30 June 2017, there have been no negative exceptions. (In the previous year to 30 June 2016, there were three exceptions at Group level and three exceptions at Solo level).

Up to four exceptions in a year due to market events are within the 'green zone' applied internationally to internal models by bank supervisors (Basel Committee on Banking Supervision: 'Supervisory framework for the use of "backtesting" in conjunction with the internal models approach to market risk capital requirements', January 1996).

The graphs below illustrate the performance of the VaR model used in the Group capital calculations. They compare the 99 percentile loss confidence level given by the VaR model with the Hypothetical and Actual profit and loss of each day given the real market movements. Actual backtesting profit and loss excludes from trading profit and loss brokerage expense, fees and commissions, non-market-related accounting valuation adjustments and accounting debit valuation adjustments. Hypothetical backtesting profit and loss further excludes profit and loss from new deals and market operations.

Table 45: Comparison of VaR estimates with hypothetical gains/losses (MR4)

June 2017 Backtesting chart for Internal Model Approach regulatory trading book at Group level with hypothetical profit and loss (P&L) versus VaR (99 per cent, one day)

Table 46: Comparison of VaR estimates with actual gains/losses (MR4)

June 2017 Backtesting chart for Internal Model Approach regulatory trading book at Group level with actual profit and loss (P&L) versus VaR (99 per cent, one day) Actual P&L Positive VaR at 99% Negative VaR at 99% -40 Jul 2016 -20 20 80 60 40 \$m Aug 2016 Sep 2016 Oct 2016 Nov 2016 Dec 2016 Jan 2017 Feb 2017 Mar 2017 Apr 2017 May 2017 Jun 2017 Positive exceptions

The June 2017 IMA Group level backtesting chart outliers are all positive, reflecting the additional elements of actual profit and loss (compared to hypothetical). There were two such positive actual outliers in the 250 days to June 2017, one in December 2016 and one in April 2017.

5 Forward-looking statements

This document may contain 'forward-looking statements' that are based on current expectations or beliefs, as well as assumptions about future events. These forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements often use words such as "may", "could", "will", "expect", "intend", "estimate", "anticipate", "believe", "plan", "seek", "continue" or other words of similar meaning. By their very nature, such statements are subject to known and unknown risks and uncertainties and can be affected by other factors that could cause actual results, and the Group's plans and objectives, to differ materially from those expressed or implied in the forward-looking statements. Recipients should not place reliance on, and are cautioned about relying on, any forward-looking statements.

There are several factors which could cause actual results to differ materially from those expressed or implied in forward-looking statements. The factors that could cause actual results to differ materially from those described in the forward-looking statements include (but are not limited to) changes in global, political, economic, business, competitive, market and regulatory forces or conditions, future exchange and interest rates, changes in tax rates, future business combinations or dispositions and other factors specific to the Group.

Any forward-looking statement contained in this document is based on past or current trends and/or activities of the Group and should not be taken as a representation that such trends or activities will continue in the future. No statement in this document is intended to be a profit forecast or to imply that the earnings of the Group for the current year or future years will necessarily match or exceed the historical or published earnings of the Group. Each forward-looking statement speaks only as of the date of the particular statement.

Except as required by any applicable laws or regulations, the Group expressly disclaims any obligation to revise or update any forwardlooking statement contained within this document, regardless of whether those statements are affected as a result of new information, future events or otherwise.

Nothing in this document shall constitute, in any jurisdiction, an offer or solicitation to sell or purchase any securities or other financial instruments, nor shall it constitute a recommendation or advice in respect of any securities or other financial instruments or any other matter.

Acronyms

ABS	Asset Backed Securities	LGD	Loss Given Default
ALCO	Asset and Liability Committee	MAC	Model Assessment Committee
AT1	Additional Tier 1	MR	Market Risk
BCBS	Basel Committee on Banking Supervision	O-SII	Other Systemically Important Institution
BRC	Board Risk Committee	OBSC	Operational Balance Sheet Committee
CCF	Credit Conversion Factor	OTC	Over the counter
CCR	Counterparty Credit Risk	NII	Net Interest Income
CCyB	Countercyclical capital buffer	PD	Probability of Default
CDOs	Collateralised Debt Obligations	PFE	Potential Future Exposure
CET1	Common Equity Tier 1	PIP	Portfolio Impairment Provision
CIB	Corporate and Institutional Banking	PIT	Point in Time
CMBS	Commercial Mortgage Backed Securities	PM	Portfolio Management
CPM	Credit & Portfolio Management	PRA	Prudential Regulation Authority
CRD	Capital Requirements Directive	PV01	Present Value 01
CRM	Credit Risk Mitigation	PVA	Prudent Valuation Adjustment
CRO	Chief Risk Officer	QCCP	Qualifying Central Counterparty
CRR	Capital Requirements Regulation	RMB	Renminbi
CSA	Credit Support Annex	RMBS	Residential Mortgage Backed Securities
CVA	Credit Valuation Adjustment	RNIV	Risk not in VaR
D-SIB	Domestically Systemically Important Bank	RWA	risk-weighted assets
EAD	Exposure at default	SA	Standardised Approach
EBA	European Banking Authority	SFT	Securities Financing Transactions
ECAI	External Credit Assessment Institution	SIF	Significant Influence Function
EL	Expected loss	SME	Small and Medium - sized Enterprise
FCA	Financial Conduct Authority	SPE	Special Purpose Entity
FPC	Financial Policy Committee	SVaR	Stressed VaR
FSS	Financial Supervisory Services (South Korea)	T1	Tier 1 capital
GCRO	Group Chief Risk Officer	T2	Tier 2 capital
G-SIB	Global Systemically Important Bank	TC	Total capital
G-SII	Global Systemically Important Institution	TLAC	Total loss-absorbing capacity
HKMA	Hong Kong Monetary Authority	TTC	Through the cycle
IAS	International Accounting Standard	VaR	Value at Risk
IFRS	International Financial Reporting Standard	VBC	Valuation and Benchmarks Committee
IMA	Internal Model Approach	XVA	Credit and Funding Valuation Adjustment
IRB	Internal Ratings Based

IRC Incremental Risk Charge

Glossary

Arrears	A debt or other financial obligation is considered to be in a state of arrears when payments are overdue. Loans and advances are considered to be delinquent when consecutive payments are missed. Also known as 'delinquency'.
Available for Sale	Non-derivative financial assets that are designated as available for sale or are not classified as loans and receivables; held to maturity investments, or financial assets at fair value through profit or loss.
ASEAN	Association of South East Asian Nations (ASEAN) which includes the Group's operation in Brunei, Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam.
Asset Backed Securities (ABS)	Securities that represent an interest in an underlying pool of referenced assets. The referenced pool can comprise any assets which attract a set of associated cash flows but are commonly pools of residential or commercial mortgages and in the case of Collateralised Debt Obligations (CDOs), the reference pool may be ABS.
Attributable profit to ordinary shareholders	Profit for the year after non-controlling interests and the declaration of dividends on preference shares classified as equity.
Backtesting	A statistical technique used to monitor and assess the accuracy of a model, and how that model would have performed had it been applied in the past.
Basel II	The capital adequacy framework issued by the Basel Committee on Banking Supervision (BCBS) in June 2006 in the form of the 'International Convergence of Capital Measurement and Capital Standards'.
Basel III	In December 2010, the BCBS issued the Basel III rules text, which were updated in June 2011, and represents the details of strengthened global regulatory standards on bank capital adequacy and liquidity. The new requirements will be phased in and fully implemented by 1 January 2019.
Basis point (bps)	One hundredth of a per cent (0.01 per cent); 100 basis points is 1 per cent. Used in quoting movements in interest rates or yields on securities.
	Capital conservation buffer A capital buffer prescribed by regulators under Basel III and designed to ensure banks build up capital buffers outside periods of stress which can be drawn down as losses are incurred. Should a bank's CET1 capital fall within the capital conservation buffer range, capital distributions will be constrained by the regulators.
Capital Requirements Directive (CRD)	A capital adequacy legislative package adopted by EU member states. CRD IV comprises a recast Capital Requirements Directive and a new Capital Requirements Regulation. The package implements the Basel III capital proposals, together with transitional arrangements for some of its requirements. CRD IV came into force on 1 January 2014.
Capital resources	Sum of Tier 1 and Tier 2 capital after regulatory adjustments.
Central Counterparty (CCP)	A CCP is a clearing house that acts as an intermediary between counterparties for certain products that are traded in one or more financial markets.
Common Equity Tier 1 capital	Common Equity Tier 1 capital consists of the common shares issued by the bank and related share premium, retained earnings, accumulated other comprehensive income and other disclosed reserves, eligible non-controlling interests and regulatory adjustments required in the calculation of Common Equity Tier 1.
	Common Equity Tier 1 ratio Common Equity Tier 1 capital as a percentage of risk-weighted assets.
Countercyclical capital buffer (CCyB)	A capital buffer prescribed by regulators under Basel III which aims to ensure that capital requirements take account of the macro-financial environment in which banks operate. This will provide the banking sector with additional capital to protect it against potential future losses when excess credit growth in the financial systems as a whole is associated with an increase in system-wide risk.
Counterparty credit risk	The risk that a counterparty defaults before satisfying its obligations under a contract.
CRD IV	Represents the Capital Requirements Directive (CRD) and Capital Requirements Regulation (CRR) that implement the Basel III proposals in Europe.
Credit Conversion Factor (CCF)	Either prescribed by CRR or modelled by the bank, an estimate of the amount the Group expects a customer to have drawn further on a facility limit at the point of default.
Credit Default Swap (CDS)	A derivative contract where a buyer pays a fee to a seller in return for receiving a payment in the event of a credit event (for example bankruptcy, payment default on a reference asset or assets, or downgrades by a rating agency) on an underlying obligation.
Credit quality step	Credit Quality Steps (CQS) are used to derive the risk-weight to be applied to exposures treated under the Standardised approach to credit risk.
Credit risk	Credit risk is the potential for loss due to the failure of a counterparty to meet its obligations to pay the Group in accordance with agreed terms and can arise from both the banking and trading books.

Credit risk mitigation (CRM)	Credit risk mitigation is a process to mitigate potential credit losses from any given account, customer or portfolio by using a range of tools such as collateral, netting agreements, credit insurance, credit derivatives and other guarantees.
Credit support annex	A legal document that regulates collateral for OTC derivative transactions between two parties.
Credit Valuation	Additional regulatory capital requirements in respect of mark-to-market losses associated with derivative

Adjustment (CVA)	transactions.
Debit Valuation Adjustment (DVA)	Adjustments required to Tier 1 capital to de-recognise any unrealised fair value gains and losses associated with fair valued liabilities that are attributable to the market's perception of the Group's credit worthiness.
Equity price risk	The financial risk involved in holding equity in a particular investment. Arises from changes in the prices of equities, equity indices, equity baskets and implied volatilities on related options.
Expected Loss (EL)	The Group measure of anticipated loss for exposures captured under an internal ratings-based credit risk approach for capital adequacy calculations. It is measured as the Group-modelled view of anticipated loss based on Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD), with a one-year time horizon.
Exposure	Credit exposures represent the amount lent to a customer, together with any undrawn commitment.
Exposure at default (EAD)	The estimation of the extent to which the Group may be exposed to a customer or counterparty in the event of, and at the time of, that counterparty's default. At default, the customer may not have drawn the loan fully or may already have repaid some of the principal, so that exposure is typically less than the approved loan limit.
External Credit Assessment Institutions (ECAI)	For the Standardised Approach to credit risk for sovereigns, corporates and institutions, external ratings are used to assign risk-weights. These external ratings must come from PRA approved rating agencies, known as External Credit Assessment Institutions (ECAI); namely Moody's, Standard & Poor's, Fitch and Dun and Bradstreet.
Fair value	The value of an asset or liability when it is transacted on an arm's length basis between knowledgeable and willing parties.
Financial Policy Committee (FPC)	The Financial Policy Committee is an independent committee at the Bank of England and is charged with a primary objective of identifying, monitoring and taking action to remove or reduce systemic risks with a view to protecting and enhancing the resilience of the UK financial system. The FPC has a secondary objective to support the economic policy of the Government.
Foreseeable dividends net of scrip	Includes both ordinary and preference share dividends reasonably expected to be paid out of any future residual interim or year-end profits. In case of ordinary dividends, the amount of foreseeable dividends deducted from the interim or year-end profits is equal to the amount of interim or year-end profits multiplied by the dividend payout ratio. In case of preference share dividends, the amount of foreseeable dividends is equal to the amount accrued during the relevant reporting period payable at a future date.
Foundation Internal Ratings-Based (Foundation IRB) Approach	A method of calculating credit risk capital requirements using internal PD models but with supervisory estimates of LGD and conversion factors for the calculation of EAD.
Free delivery	When a bank takes receipt of a debt or equity security, a commodity or foreign exchange without making payment, or where a bank delivers a debt or equity security, a commodity or foreign exchange without receiving payment.
Greater China	Greater China includes the Group's operation in the People's Republic of China, the Hong Kong Special Administrative Region of the People's Republic of China and Taiwan.
Global Systemically Important Bank (G-SIB)	In November 2011, the FSB published an integrated set of policy measures, which included identification of G-SIBs, using a methodology developed by BCBS. The group of G-SIBs is updated annually based on new data and published by the FSB each November. G-SIBs are subject to higher capital buffer requirements, Total Loss-Absorbing Capacity (TLAC) requirements, resolvability requirements and higher supervisory expectations and are being phased in from 1 January 2016.

Haircut	A haircut, or volatility adjustment, ensures the value of exposures and collateral are adjusted to account for the volatility caused by foreign exchange or maturity mismatches, when the currency and maturity of an exposure differ materially to the currency and maturity of the associated collateral.
Held-to-maturity	Held-to-maturity assets are non-derivative financial assets with fixed or determinable payments and fixed

maturities that the Group's management has the intention and ability to hold to maturity.

Glossary

Individual liquidity guidance	Guidance given to the Group about the amount, quality and funding profile of liquidity resources that the PRA has asked the Group to maintain.
Institution	A credit institution or an investment firm.
Internal Capital Adequacy Assessment Process (ICAAP)	A requirement on institutions under Pillar 2 of the Basel II / Basel III framework to undertake a comprehensive assessment of their risks and to determine the appropriate amounts of capital to be held against these risks where other mitigants are not available.
Internal Model Approach (IMA)	The approach used to calculate market risk capital and RWA with an internal market risk model approved by the PRA under the terms of CRD IV/CRR. Formerly referred to as CAD2.
Interest rate risk (IRR)	Interest rate risk arises due to the investment of equity and reserves into rate-sensitive assets, as well as some tenor mismatches between debt issuance and placements.
Internal ratings-based approach ('IRB')	An approach used to calculate risk-weighted assets based on a firm's own estimates of certain parameters.
Items belonging to regulatory high-risk categories	In relation to the Standardised Approach to credit risk, items which attract a risk-weight of 150 per cent. This includes exposures arising from venture capital business and certain positions in collective investment schemes.
Leverage ratio	A ratio introduced under CRD IV that compares Tier 1 capital to total exposures, including certain exposures held off balance sheet as adjusted by stipulated credit conversion factors. Intended to be a simple, non-risk based backstop measure.
Loans and advances	This represents lending made under bilateral agreements with customers entered into in the normal course of business and is based on the legal form of the instrument. An example of a loan product is a home loan.
Loss Given Default (LGD)	LGD is the percentage of an exposure that a lender expects to lose in the event of obligor default in economic downturn periods.
Mark-to-market approach	One of the approaches available to banks to calculate the exposure value associated with derivative transactions. The approach calculates the current replacement cost of derivative contracts, by determining the market value of the contract and considering any potential future exposure.
Market risk	The potential for loss of earnings or economic value due to adverse changes in financial market rates or prices.
Maturity	The time from the reporting date to the contractual maturity date of an exposure, capped at five years. Maturity is considered as part of the calculation of risk-weights for the Group's exposures treated under the IRB approach to credit risk and for the calculation of market risk capital requirements.
MENAP	Middle East, North Africa and Pakistan (MENAP) includes the Group's operation in Afghanistan, Bahrain, Egypt, Islamic Republic of Iran, Iraq, Jordan, Lebanon, Oman, Pakistan, Occupied Palestinian Territory, Qatar, Saudi Arabia and United Arab Emirates (UAE).
Minimum capital requirement	Minimum capital required to be held for credit, market and operational risk.
Model validation	The process of assessing how well a model performs using a predefined set of criteria including the discriminatory power of the model, the appropriateness of the inputs, and expert opinion.
Multilateral Development Banks	An institution created by a group of countries to provide financing for the purpose of development. Under the Standardised approach to credit risk, eligible multilateral development banks attract a zero per cent risk-weight.
North East (NE) Asia	North East (NE) Asia includes the Group's operation in the Democratic Republic of Korea and Japan.
Operational risk	The potential for loss arising from the failure of people, process, or technology, or the impact of external events.
Over-the-Counter (OTC) traded products / OTC derivatives	A bilateral transaction that is not exchange traded and is valued using valuation models.
Past due items	A loan payment that has not been made as of its due date.
Pillar 1	The first Pillar of the three pillars of Basel II/Basel III which provides the approach to the calculation of the minimum capital requirements for credit, market and operational risk. Minimum capital requirements are 8 per cent of the Group's risk-weighted assets.
Pillar 2	Pillar 2, 'Supervisory Review', requires banks to undertake a comprehensive assessment of their risks and to determine the appropriate amounts of capital to be held against these risks where other suitable mitigants are not available.
Pillar 3	Pillar 3 aims to provide a consistent and comprehensive disclosure framework that enhances comparability between banks and further promotes improvements in risk practices.
Point in time (PIT)	Considers the economic conditions at the point in the economic cycle at which default occurs when estimating the probability of default.

Portfolio Impairment Provision (PIP)	The amount of loan impairment provisions assessed on the collective portfolio that are charged to the income statement in the reporting period.
Potential Future Exposure (PFE)	A estimate of the potential exposure that may arise on a derivative contract in future, used to derive the exposure amount.
Probability of Default (PD)	PD is an internal estimate for each borrower grade of the likelihood that an obligor will default on an obligation within 12 months.
Present Value 01	This represents the change in present value of an asset or liability for a 1 basis point change in the nominal yield curve.
Prudential Regulatory Authority (PRA)	The Prudential Regulatory Authority is responsible for the prudential regulation and supervision of banks, building societies, credit unions, insurers and major investment firms.
Prudent Valuation Adjustment (PVA)	This represents adjustments to Tier 1 capital where the prudent value of a position in the trading book is assessed by the Group as being materially below the fair value recognised in the financial statements.
Qualifying Central Counterparty (QCCP)	A QCCP is a CCP that has been authorised and is subject to a certain minimum level of regulation by local regulators or overseer authorities.
Qualifying Revolving Retail Exposure (QRRE)	Retail IRB exposures that are revolving, unsecured, and, to the extent they are not drawn, immediately and unconditionally cancellable, such as credit cards.
Regulatory capital	Regulatory capital represents the sum of Tier 1 capital and Tier 2 capital after taking into account any regulatory adjustments. The Group is required to maintain regulatory capital at a minimum of 8 per cent of its risk-weighted assets.
Repurchase agreement (repo)/reverse repurchase agreement (reverse repo)	A short-term funding agreement which allows a borrower to sell a financial asset, such as ABS or government bonds as collateral for cash. As part of the agreement the borrower agrees to repurchase the security at some later date, usually less than 30 days, repaying the proceeds of the loan. For the party on the other end of the transaction (buying the security and agreeing to sell in the future) it is a reverse repurchase agreement or reverse repo.
Residential Mortgage Backed Securities (RMBS)	Securities that represent interests in a group of residential mortgages. Investors in these securities have the right to cash received from future mortgage payments (interest and/or principal).
Residual maturity	The remaining maturity of a facility from the reporting date until either the contractual maturity of the facility or the effective maturity date.
Retail Internal Ratings Based (Retail IRB) Approach	In accordance with the PRA handbook BIPRU 4.6/CRR, the approach to calculating credit risk capital requirements for eligible retail exposures.
Risk appetite	Risk appetite is an expression of the amount of risk we are willing to take in pursuit of our strategic objectives, reflecting our capacity to sustain losses and continue to meet our obligations arising from a range of different stress trading conditions.
Risk-weighted assets (RWA)	A measure of a bank's assets adjusted for their associated risks, expressed as a percentage of an exposure value in accordance with the applicable Standardised or IRB approach rules.
RWA density	The risk-weighted asset as a percentage of exposure at default.
Scrip dividends	Dividends paid to existing shareholders in securities instead of cash payment.
Securities Financing Transactions (SFT)	The act of loaning a stock, derivative, other security to an investor.
Securitisation	Securitisation is a process by which debt instruments are aggregated into a pool, which is used to back new securities. A company sells assets to a special purpose entity (SPE) who then issues securities backed by the assets based on their value. This allows the credit quality of the assets to be separated from the credit rating of the original company and transfers risk to external investors.

Securitisation position(s)	The positions assumed by the Group following the purchase of securities issued by Asset-Backed Securitisation
	programmes or those retained following the origination of a securitisation programme.

South Asia	South Asia includes the Group's operation in the People's Republic of Bangladesh, India, Nepal and Sri Lanka.
Specialised lending	Specialised lending exposures are defined as an exposure to an entity which was created specifically to finance
	and/or operate physical assets, where the contractual arrangements give the lender a substantial degree of

control over the assets and the income that they generate, and the primary source of repayment of the obligation is the income generated by the assets being financed, rather than the independent capacity of a broader commercial enterprise. Special Purpose Entities (SPEs) SPEs are entities that are created to accomplish a narrow and well-defined objective. There are often specific restrictions or limits around their ongoing activities. Transactions with SPEs take a number of forms, including: the provision of financing to fund asset purchases, or commitments to provide finance for future purchases;

derivative transactions to provide investors in the SPE with a specified exposure; the provision of liquidity or backstop facilities which may be drawn upon if the SPE experiences future funding difficulties; and direct investment in the notes issued by SPEs.

Standardised Approach	In relation to credit risk, a method for calculating credit risk capital requirements using External Credit Assessment Institutions (ECAI) ratings and supervisory risk-weights. In relation to operational risk, a method of calculating the operational risk capital requirement by the application of a supervisory defined percentage charge to the gross income of eight specified business lines.
Stressed Value at Risk (VaR)	A regulatory market risk measure based on potential market movements for a continuous one-year period of stress for a trading portfolio.
Sub-prime	Sub-prime is defined as loans to borrowers typically having weakened credit histories that include payment delinquencies and potentially more severe problems such as court judgements and bankruptcies.
Through the cycle (TTC)	Reduces the volatility in the estimation of the probability of default by considering the average conditions over the economic cycle at the point of default, versus the point in time (PIT) approach, which considers economic conditions at the point of the economic cycle at which default occurs.
Tier 1 capital	Tier 1 capital comprises Common Equity Tier 1 capital plus Additional Tier 1 securities and related share premium accounts.
Tier 1 capital ratio	Tier 1 capital as a percentage of risk-weighted assets.
Tier 2 capital	Tier 2 capital comprises qualifying subordinated liabilities and related share premium accounts.
Total Loss Absorbing Capacity (TLAC)	An international standard for TLAC issued by the FSB, which requires G-SIBs to have sufficient loss-absorbing and recapitalisation capacity available in resolution, to minimise impacts on financial stability, maintain the continuity of critical functions and avoid exposing public funds to loss.
Total Return Swap	A derivative transaction that swaps the total return on a financial instrument, including cash flows and capital gains or losses, for an interest rate return.
Trading book	The trading book consists of all positions in CRD financial instrument and commodities held either with trading intent or in order to hedge other elements of the trading book and which are either free of any restrictive covenants on their tradability or ability to be hedged.
Value at Risk (VaR)	VaR, in general, is a quantitative measure of market risk that applies recent historical market conditions to estimate the potential future loss in market value that will not be exceeded in a set time period at a set statistical confidence level.
Write downs	After an advance has been identified as impaired and is subject to an impairment allowance, the stage may be reached whereby it is concluded that there is no realistic prospect of further recovery. Write downs will occur when and to the extent that, the whole or part of a debt is considered irrecoverable.
Wrong way risk	Wrong way risk occurs when an exposure increase is coupled with a decrease in the credit quality of the obligor.