HSBC 2015 Annual Report Download - page 171

HSBC HOLDINGS PLC
169
Strategic Report Financial Review Corporate Governance Financial Statements Shareholder Information
Non-trading portfolios
Value at risk of the non-trading portfolios
Non-trading VaR of the Group includes contributions from
all global businesses. There is no commodity risk in the
non-trading portfolios. The increase of non-trading VaR
during 2015 was due primarily to the lengthening of the
duration in the non-trading book from higher interest
rates, especially US rates. There was no overall trend in
the non-trading VaR during the year and no significant
movements. The increase in non-trading interest rate and
credit spread VaR components were offset by an increase
in portfolio diversification effects.
Non-trading VaR also includes the interest rate risk of
non-trading financial instruments held in portfolios
managed by Balance Sheet Management (‘BSM’). The
management of interest rate risk in the banking book is
described further in ‘Non-trading interest rate risk’ below,
including the role of BSM.
Non-trading VaR excludes the insurance operations which
are discussed further on page 180.
The daily levels of total non-trading VaR over the last year
are set out in the graph below.
Daily VaR (non-trading portfolios), 99% 1 day ($m)
The Group non-trading VaR for the year is shown in the table below.
Non-trading VaR, 99% 1 day
(Audited)
Interest
Rate (IR)
Credit
Spread (CS)
Portfolio
diversification Total
$m $m $m $m
At 31 December 2015 114.1 72.7 (54.0) 132.8
Average 97.5 65.7 (42.0) 121.2
Maximum 131.5 89.4 156.8
Minimum 70.5 52.1 91.5
At 31 December 2014 88.2 62.5 (28.5) 122.2
Average 103.3 73.3 (37.4) 139.2
Maximum 147.7 91.9 189.0
Minimum 83.3 49.6 92.3
Non-trading VaR excludes equity risk on available-for-sale
securities, structural foreign exchange risk and interest rate
risk on fixed-rate securities issued by HSBC Holdings. This
section and the sections below describe the scope of HSBC’s
management of market risks in non-trading books.
Equity securities classified as available for sale
Fair value of equity securities
(Audited)
2015 2014
$bn $bn
Private equity holdings32 1.9 2.0
Investment to facilitate ongoing
business33
1.9 1.2
Other strategic investments 2.1 7.5
At 31 December 5.9 10.7
For footnotes, see page 192.
-80
-40
0
40
80
120
160
Jan-15 Feb-15 Apr-15 May-15 Jul-15 Aug-15 Oct-15 Dec-15
Non-trading VAR
Portfolio
diversification
IR non-trading
CS non-trading