HSBC 2008 Annual Report Download - page 153

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• US Government sponsored enterprises
mortgage-related assets: securities that are
guaranteed by US Government sponsored
entities, including Fannie Mae and Freddie Mac;
• UK non-conforming mortgage-related assets:
UK mortgages that do not meet normal lending
criteria. This includes instances where the
normal level of documentation has not been
provided (for example, in the case of self-
certification of income), or where increased risk
factors, such as poor credit history, result in
lending at a rate that is higher than the normal
lending rate. UK non-conforming mortgages are
treated as sub-prime exposures; and
• other mortgage-related assets: residential
mortgage-related assets that do not meet any of
the classifications described above. Prime
residential mortgage-related assets are included
in this category.
HSBC’s exposure to non-residential mortgage-
related ABSs and direct lending includes:
• commercial property mortgage-related
assets: MBSs with collateral other than
residential mortgage-related assets;
• leveraged finance-related assets: securities
with collateral relating to leveraged finance
loans;
• student loan-related assets: securities with
collateral relating to student loans; and
• other assets: securities with other receivable-
related collateral.
Carrying amount of HSBC’s consolidated holdings of ABSs, and direct lending held at fair value through profit or loss
At 31 December 2008
Trading
Available
for sale
Held to
maturity
Designated
at fair value
through
profit or loss
Loans and
receivables Total
Of which
held through
consolidated
SPEs
US$m US$m US$m US$m US$m US$m US$m
Sub-prime residential
mortgage-related assets .......... 3,372 3,741 – 1 453 7,567 4,230
Direct lending ......................... 2,789 – – – – 2,789 1,300
MBSs and MBS CDOs1 ......... 583 3,741 – 1 453 4,778 2,930
US Alt-A residential
mortgage-related assets .......... 618 5,829 185 – 1,056 7,688 3,831
Direct lending ......................... 246 – – – - 246 –
MBSs1 ..................................... 372 5,829 185 – 1,056 7,442 3,831
US government agency
mortgage-related assets
MBSs1 ..................................... 640 7,418 494 – – 8,552 441
US government-sponsored
enterprises mortgage-related
assets
MBSs1 ..................................... 487 12,894 1,918 51 – 15,350 –
Other residential mortgage-
related assets ........................... 1,633 4,272 – 31 2,135 8,071 2,822
Direct lending ......................... 677 – – – – 677 –
MBSs1 ..................................... 956 4,272 – 31 2,135 7,394 2,822
Commercial property mortgage-
related assets
MBSs and MBS CDOs1 ......... 589 6,802 – 86 1,402 8,879 4,985
Leveraged finance-related assets
ABSs and ABS CDOs1 ........... 784 4,489 – – 204 5,477 3,667
Student loan-related assets
ABSs and ABS CDOs1 ........... 214 4,809 – 3 81 5,107 4,028
Other assets
ABSs and ABS CDOs1 ........... 3,068 5,957 – 6,371 2,660 18,056 3,941
11,405 56,211 2,597 6,543 7,991 84,747 27,945
For footnotes, see page 162.
The above table excludes leveraged finance transactions, which are shown separately on page 160.