HSBC 2009 Annual Report Download - page 163

161
2008 At 31 December 2008
Gross fair value
movements Realised
Credit
Income
statement11
Other
compre-
hensive
income12
gains/
(losses) in
the income
statement13
Reclassi-
fied14
Gross
principal15
default
swap
gross
protection16
Net
principal
exposure17
Carrying
amount18
US$m US$m US$m US$m US$m US$m US$m US$m
Mortgage-related assets
Sub-prime residential
Direct lending .................... (494) – 7 – 3,653 – 3,653 2,789
MBSs8 ............................... (787) (1,872) 1 (8) 8,317 794 7,523 4,183
– high grade10 .................... (244) (558) 6 (8) 4,298 507 3,791 2,723
– rated C to A .................... (446) (1,314) (4) – 3,990 287 3,703 1,449
– not publicly rated ........... (97) – (1) – 29 – 29 11
MBS CDOs8 ...................... (125) (58) – (50) 1,095 234 861 87
– high grade10 .................... (14) (81) – – 212 27 185 68
– rated C to A .................... (111) 23 – (50) 881 207 674 17
– not publicly rated ........... – – – – 2 – 2 2
(1,406) (1,930) 8 (58) 13,065 1,028 12,037 7,059
US Alt-A residential
Direct lending .................... (11) – – – 264 – 264 246
MBSs8 ............................... (737) (6,416) 9 (240) 16,860 436 16,424 7,174
– high grade10 .................... (446) (3,012) 17 (82) 9,804 317 9,487 4,869
– rated C to A .................... (292) (3,404) (7) (158) 7,041 119 6,922 2,293
– not publicly rated ........... 1 – (1) – 15 – 15 12
(748) (6,416) 9 (240) 17,124 436 16,688 7,420
US Government agency and
sponsored enterprises
MBSs8
– high grade10 .................... (51) 392 40 – 23,470 – 23,470 23,902
Other residential
Direct lending .................... 23 – (9) – 691 – 691 677
MBSs8,9 .............................. (178) (738) (72) – 8,391 284 8,107 6,511
– high grade10 .................... (149) (723) (75) – 7,592 262 7,330 5,915
– rated C to A .................... (28) (15) 2 – 717 22 695 549
– not publicly rated ........... (1) – 1 – 82 – 82 47
(155) (738) (81) – 9,082 284 8,798 7,188
Commercial property
MBS and MBS CDOs8,9..... (292) (2,743) (27) – 13,524 553 12,971 9,232
– high grade10 .................... (231) (2,709) (38) – 13,091 553 12,538 8,925
– rated C to A .................... (61) (31) 11 – 376 – 376 264
– not publicly rated ........... – (3) – – 57 – 57 43
Leveraged finance-related assets
ABSs and ABS CDOs8 .......... (19) (1,306) 1 – 7,392 936 6,456 4,781
– high grade10 ....................... (19) (1,302) 1 – 7,373 936 6,437 4,766
– rated C to A ....................... – (4) – – 19 – 19 15
Student loan-related assets
ABSs and ABS CDOs8 .......... (63) (1,959) (4) – 7,708 279 7,429 4,963
– high grade10 ....................... (47) (1,649) (4) – 6,986 279 6,707 4,578
– rated C to A ....................... (16) (310) – – 722 – 722 385
Other assets
ABS and ABS CDOs8 ........... (466) (1,461) (107) (84) 21,112 8,494 12,618 9,462
– high grade10 ....................... (329) (733) (81) – 11,346 3,049 8,297 6,531
– rated C to A ....................... (137) (728) (26) (13) 3,592 343 3,249 1,902
– not publicly rated .............. – – – (71) 6,174 5,102 1,072 1,029
Total ........................................... (3,200) (16,161) (161) (382) 112,477 12,010 100,467 74,007
For footnotes, see page 195.