Bank exposures
Credit Risk Rating
PD range Exposure
amount HK’M
Exposure-weighted average risk-weight
2014 1-3
0.03 - 0.10 107,522
23
4A4B 0.10 - 0.33
8,084 63
5 0.33 - 0.47
2,340 72
6A6B 0.47 - 1.11
877 98
7A-9 1.11 - 99.99
764 134
Total 119,587
Credit Risk Rating
PD range Exposure
amount HK’M
Exposure-weighted average risk-weight
2013 1-3
0.03 - 0.10 112,988
23 4A4B
0.10 - 0.33 9,861
65 5
0.33 - 0.47 2,821
66 6A6B
0.47 - 1.11 2,810
106 7A-9
1.11 - 99.99 1,185
134 Total
129,665
Corporate exposures
Credit Risk Rating
PD range Exposure
amount HK’M
Exposure-weighted average risk-weight
2014 1-3
0.03 - 0.10 2,982
19
4A4B 0.10 - 0.33
2,049 52
5 0.33 - 0.47
2,028 61
6A6B 0.47 - 1.11
13,639 82
7A-9 1.11 - 99.99
62,991 111
10A-11 100
1,029 188
Total
84,718
Credit Risk Rating
PD range Exposure
amount HK’M
Exposure-weighted average risk-weight
2013 1-3
0.03 - 0.10 2,353
17 4A4B
0.10 - 0.33 1,542
41 5
0.33 - 0.47 1,256
68 6A6B
0.47 - 1.11 13,564
84 7A-9
1.11 - 99.99 60,574
115 10A-11
100 906
102 Total
80,195 Bank exposures are assessed using a bank rating model covering
various credit risk factors such as capital levels and liquidity, asset quality, earnings, management and market sensitivity. The
risk ratings derived are benchmarked against external credit risk ratings to ensure that the internal rating systems are well
aligned and appropriately calibrated.
Corporate credits are assessed using approved models and reviewed by credit risk managers taking into consideration of
relevant credit risk factors. Credit factors considered in the rating process include the obligor’s inancial standing and
non-inancial factors such as management quality, industry outlook and market position. The Counterparty Risk Rating
assigned to smaller business borrowers is primarily based on the borrower’s inancial position and strength, which are assessed
via the use of validated quantitative tool. This is supplemented by qualitative factors such as facility utilisation.
Credit ratings under the Foundation IRB portfolios are reviewed on an annual basis at a minimum unless credit conditions
require more frequent assessment. The Counterparty Risk Rating process is reinforced by the Facility Risk Rating Framework
which considers other exposure risk mitigations, such as collateral, third party guarantees and transfer risks.
A default is considered to have occurred with regard to a particular obligor when either or both of the two following
events have taken place.
– Subjective default: Obligor is unlikely to pay its credit obligations in full, without recourse by the Bank to actions
such as realising security if held. – Technical default: Obligor is past due more than 90 days on
any credit obligation to the Bank. The following tables summarise the Bank’s wholesale exposures
as at 31 December:
Sovereign exposures
Credit Risk Rating
PD range Exposure
amount HK’M
Exposure-weighted average risk-weight
2014 1-3
0.00 - 0.10 24,209
