BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
HSBC’s capital requirements for internally modelled UK residential mortgages could more than double to £995 million ($1.38 billion) under an incoming Bank of England (BoE) 10% risk-weight floor, according to Risk Quantum analysis.
The lender reported £6.2 billion of risk-weighted assets (RWAs) for performing retail mortgages covered by the internal ratings-based (IRB) approach as of end-June, equivalent to 5% of the exposures’ face value. A risk density of 10% – as per the weighted average
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