HSBC 2008 Annual Report Download - page 253

251
Repricing gap analysis of HSBC Holdings
(Audited)
Total
Up to
1 year
1-5 years 5-10 years
More than
10 years
Non-
interest
bearing
US$m US$m US$m US$m US$m US$m
At 31 December 2008
Cash at bank and in hand:
– balances with HSBC undertakings ............ 443 443 – – – –
Derivatives .......................................................... 3,682 – – – – 3,682
Loans and advances to HSBC undertakings ...... 11,804 8,995 511 – 1,222 1,076
Financial investments ......................................... 2,629 – – 300 1,885 444
Investments in subsidiaries ................................. 81,993 1,459 1,094 – 875 78,565
Other assets ......................................................... 131 – – – – 131
Total assets .......................................................... 100,682 10,897 1,605 300 3,982 83,898
Amounts owed to HSBC undertakings .............. (4,042) (3,389) – – – (653)
Financial liabilities designated at fair values ..... (16,389) (4,210) (4,410) (5,290) (3,448) 969
Derivatives .......................................................... (1,324) – – – – (1,324)
Other liabilities ................................................... (1,816) – – – – (1,816)
Subordinated liabilities ....................................... (14,017) (1,500) (2,187) (2,962) (7,152) (216)
Total equity ......................................................... (62,587) – – – (3,650) (58,937)
Other non-interest bearing liabilities .................. (507) – – – – (507)
Total liabilities and equity .................................. (100,682) (9,099) (6,597) (8,252) (14,250) (62,484)
Off-balance sheet items attracting interest rate
sensitivity ........................................................ – (12,353) 4,410 5,046 3,760 (863)
Net interest rate risk gap ..................................... – (10,555) (582) (2,906) (6,508) 20,551
Cumulative interest rate gap ............................... – (10,555) (11,137) (14,043) (20,551) –
At 31 December 2007
Total assets .......................................................... 92,948 19,136 – – 2,774 71,038
Total liabilities .................................................... (92,948) (6,597) (6,546) (8,755) (8,864) (62,186)
Off-balance sheet items attracting interest rate
sensitivity ........................................................ – (13,619) 4,313 7,752 3,804 (2,250)
Net interest rate risk gap ..................................... – (1,080) (2,233) (1,003) (2,286) 6,602
Cumulative interest rate gap ............................... – (1,080) (3,313) (4,316) (6,602) –
As part of the continuous enhancement and
development of HSBC’s management tools, the net
interest income sensitivity projection over a 5-year
horizon and the interest rate repricing table shown
above have replaced the VAR analysis disclosed in
the Annual Report and Accounts 2007 as the
principal measures used to monitor interest rate risk
for HSBC Holdings. These enhanced reports are
considered to be more suitable risk management
measures for the longer term profile of a bank
holding company balance sheet.
Value at risk
Total foreign exchange VAR arising within HSBC
Holdings in 2008 and 2007 was as follows:
HSBC Holdings – value at risk
(Audited)
Foreign exchange
2008
US$m
2007
US$m
At 31 December ............................. 55.2 29.1
Average .......................................... 40.3 29.4
Minimum ....................................... 29.2 27.6
Maximum ....................................... 56.1 30.9
The foreign exchange risk largely arises from
loans to subsidiaries of a capital nature that are not
denominated in the functional currency of either the
provider or the recipient and which are accounted
for as financial assets. Changes in the carrying
amount of these loans due to foreign exchange rate
differences are taken directly to the income
statement. These loans, and the associated foreign
exchange exposures, are eliminated on a Group
consolidated basis.