HSBC 2008 Annual Report Download - page 156

HSBC HOLDINGS PLC
Report of the Directors: Impact of Market Turmoil (continued)
Nature and extent of exposures
154
HSBC’s consolidated holdings of US ABSs, and direct lending held at fair value through profit or loss (continued)
2008 At 31 December 2008
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
Balance brought forward ........... (2,286) (8) (9,333) (560) 59,661 2,301 57,360 41,687
Leveraged finance-related assets
ABSs and ABS CDOs1 .......... (15) – (1,000) – 5,212 551 4,661 3,390
– high grade2 ........................ (15) – (996) – 5,193 551 4,642 3,375
– rated C to A ....................... – – (4) – 19 – 19 15
Student loan-related assets
ABSs and ABS CDOs1 .......... (63) (4) (1,959) – 7,610 279 7,331 4,908
– high grade2 ........................ (47) (4) (1,649) – 6,888 279 6,609 4,523
– rated C to A ....................... (16) – (310) – 722 – 722 385
Other assets
ABS and ABS CDOs1 ........... (247) (90) (807) (33) 7,885 1,539 6,346 4,277
– high grade2 ........................ (153) (71) (589) – 5,216 1,370 3,846 2,725
– rated C to A ....................... (94) (19) (218) (13) 1,916 169 1,747 805
– not publicly rated .............. – – – (20) 753 – 753 747
Total ........................................... (2,611) (102) (13,099) (593) 80,368 4,670 75,698 54,262
2007 At 31 December 2007
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
US sub-prime residential
mortgage-related assets11
Direct lending ......................... (385) (251) – – 6,288 – 6,288 5,825
MBSs1 ..................................... (564) (69) (290) – 9,576 657 8,919 7,981
– high grade2 ........................ (121) (10) (289) – 9,079 647 8,432 7,807
– rated C to A ....................... (275) (36) (1) – 462 10 452 153
– not publicly rated .............. (168) (23) – – 35 – 35 21
MBS CDOs1 ............................ (21) – (45) – 1,157 652 505 440
– high grade2 ........................ (19) – (40) – 923 454 469 411
– rated C to A ....................... (2) – (5) – 234 198 36 29
(970) (320) (335) – 17,021 1,309 15,712 14,246
US Alt-A residential
mortgage-related assets
Direct lending ......................... – – – – 341 – 341 342
MBSs1 ..................................... (128) (36) (802) – 19,175 205 18,970 17,708
– high grade2 ........................ (122) (6) (802) – 19,099 205 18,894 17,640
– rated C to A ....................... (6) (30) – – 64 – 64 56
– not publicly rated .............. – – – – 12 – 12 12
(128) (36) (802) – 19,516 205 19,311 18,050
US government agency
mortgage-related assets
MBSs1
– high grade2 ........................ 2 3 49 – 5,996 – 5,996 5,995
Balance carried forward ............ (1,096) (353) (1,088) – 42,533 1,514 41,019 38,291