Transcription
Pillar 3For the year ended 31 December 2021www.icbcstandard.com
ICBC Standard Bank Pillar 3 Disclosures 2021ContentsStatement on Ownership . 61.Foreword . 71.11.21.2.11.2.21.2.31.31.41.52.Overview . 43.54.Introduction . 7ICBCS Disclosure Policy . 7Basis of Preparation . 7Frequency of Disclosure . 7Verification . 7Risk Profile Disclosure . 8Statement of ICBC Support. 8Regulatory update . 8Risk types . 9Highlights for 2021 . 9General . 9Risk appetite and stress testing . 9Credit risk . 10Market risk . 10Operational risk . 11Capital Management . 11Regulatory Consolidation . 12Scope of Consolidation . 12Sub-Group Disclosures . 12Solo Consolidation . 12Consolidated Balance Sheet under Regulatory Consolidation . 12Group Structure . 13Risk and Capital Management . 144.1Board Responsibility . 144.1.1Board Recruitment . 144.1.2Diversity and Composition . 144.1.3Board Review . 154.2Risk Management Framework. 164.3Approaches to Risk Management . 164.4Risk Appetite . 164.5Capital Management . 174.5.1Objective . 174.5.2Governance. 174.5.3Capital Transferability . 184.6Regulatory Capital . 184.6.1Minimum Capital Adequacy . 184.6.2 Pillar 2A requirements. 194.6.3 Capital Buffers . 194.6.4 Regulatory approaches adopted for capital purposes . 204.7ICBCS Group’s approach to managing capital . 214.7.1External requirements . 214.7.2Internal requirements . 214.7.3Measurement and Planning . 214.7.4Monitoring . 224.8Capital Position . 224.8.1Summary . 224.8.2Capital Resources . 234.8.3Capital Requirements. 242
ICBC Standard Bank Pillar 3 Disclosures 20214.9Regulatory Capital Instruments . 244.10Liquidity Risk Management . 254.10.1Liquidity Management Framework . 254.10.2Organisational structure . 264.10.3Liquidity stress testing . 264.10.4Meeting Liquidity Requirements . 274.10.5Liquidity and funding risk monitoring . 274.10.6Reporting . 274.10.7Liquidity Coverage Ratio (LCR). 275.Credit Risk . 85.95.9.16.Credit Risk Mitigation . 26.3.36.3.46.3.56.46.4.16.4.27.7.1Definition . 29Approach to managing credit risk . 29Governance Committees. 29Regulatory Capital Approach for Credit Risk . 30Scope of Risk Reporting Systems . 30Credit Risk Adjustments. 30Performing loans . 30Non-performing loans and impairments . 30IFRS 9. 31Credit Risk Portfolio Characteristics . 32Analysis of Credit Portfolio . 32Concentration risk . 33Use of Credit Ratings . 35Counterparty Credit Risk . 35Approach to managing counterparty credit risk . 35Measuring Exposures for Counterparty Credit Risk . 36Internal Credit Limits . 36Securing Collateral and Establishing Credit Reserves. 36Wrong Way Risk . 37Contingent Risk . 38Collateral requirements in the event of a downgrade . 39Derivative Valuation Adjustments. 39Governance committees . 39Counterparty Risk Portfolio Characteristics . 40Credit Derivatives . 40Use of Credit Risk Mitigation . 42Internal Policies and Controls . 42Credit principles, policy and collateral management . 42Controls over rating systems . 42Concentration risk . 42Cross-border exposures . 43Stress testing and scenario analysis . 43Valuation . 44Principal types of Credit Risk Mitigation . 44Derivative Netting . 44Master Netting Agreements . 44Guarantees and Standby Letters of Credit. 44Credit Derivatives . 44Collateral . 45Regulatory Capital Approach for Credit Risk Mitigation . 45Application of Credit Risk Mitigation under the Standardised Approach . 46Credit Risk Mitigation Recognised . 46Country Risk . 48Definition . 483
ICBC Standard Bank Pillar 3 Disclosures 20217.27.2.18.Market risk . .Approach to Managing Country Risk . 48Scope of Risk Reporting Systems . 48Definition . 49Governance Committees . 49Market and Liquidity Risk Committee (MLRC) . 49Market Risk in the Trading Book . 49Definition. 49Approach to managing market risk in the trading book . 50Output from the Internal Market Risk Models . 54Market Risk in the Banking Book . 55Interest rate risk in the banking book . 55Equity Risk in the Banking Book . 57Foreign Currency Risk in the Banking Book . 58Operational risk . 599.1Definition . 599.2Approach to managing operational risk . 599.3Governance committees . 609.3.1Business Continuity Management Framework . 619.3.2Scope of Risk Reporting Systems . 619.4Regulatory capital approach . 619.5Operational risk sub-types . 629.5.1.1 Compliance Risk Management . 629.5.1.2 Financial Crime Risk Management. 629.5.1.3 Legal Risk Management . 639.5.1.4 Information Risk Management . 639.5.2.1 Information Technology Risk Management . 639.5.3.1 Model Risk Management . 639.5.3.2 Tax Risk Management . 649.5.4.1 Environmental Risk Management . 649.5.5Causal Factors . 649.5.5.1 Change Risk Management . 6410.Climate Risk . 6510.1 Definition. 6510.2 Approach to managing climate risk . 6510.3 Governance Committees. 713.7.113.7.213.7.3Leverage. 68Factors that had an impact on the leverage ratio during 2021. 68Approaches to managing the risk of excessive leverage . 68Asset Encumbrance . 69Asset encumbrance as at 31 December 2021 . 71Remuneration . 73Material Risk Takers . 73Remuneration Philosophy . 73Reward Framework . 74Remuneration Committee . 75Remuneration Policy Governance . 75Remuneration Strategy . 76Analysis of 2021 Remuneration . 77Outstanding Deferred Remuneration . 77Remuneration by band . 78Sign on and severance payments . 78Annex A: Main Features of Capital Instruments . 794
ICBC Standard Bank Pillar 3 Disclosures 2021Annex B: Transitional Own funds Disclosure Template . 81Annex C: Geographical Distribution of Credit Exposures. 85Annex D: Leverage Ratio . 87Annex E: Non-performing & forborne exposures . 89Annex F: Glossary . 93Annex G: List of Tables .101Annex H: Acronyms and abbreviations .102Contact information .1035
ICBC Standard Bank Pillar 3 Disclosures 2021Statement on OwnershipIndustrial and Commercial Bank of China Limited (ICBC) and Standard Bank Group Limited (SBGL) hold 60% and 40%respectively of the issued share capital of ICBC Standard Bank Plc (ICBCS).ICBC Group ProfileOn 28 October 2005, ICBC was restructured as a joint-stock limited company. On 27 October 2006, ICBC was listed on both theShanghai and Hong Kong stock exchanges and has developed into one of the largest listed banks in the world, possessing asignificant customer base, a diversified busines
During 2021, the Operational Risk team has developed a framework for assessing operational risks arising from change initiatives within the group. The Operational Risk team has also contributed, as the second line, to the Operational Resilience initiative and the Operational Risk Management framework for Climate Change. 2.2.5.2 Focus areas for 2022
