HSBC 2001 Annual Report Download - page 226

HSBC HOLDINGS PLC
Notes on the Financial Statements (continued)
224
The table below summarises the carrying value and mark-to-market value of derivative contracts held for risk
management purposes. Mark-to-market values for assets and liabilities arising from derivatives held for non-
trading purposes are determined in the same way as those set out for trading derivatives above, including
internal positions.
2001 2000
Carryin
g
value
Mark-to-
marke
t
values Carryin
g
value
Mark-to-
marke
t
values
US$m US$m US$m US$m
Exchange rate assets.......................... 860 717 374 566
liabilities .................... (547) (289) (510) (631)
Interest rate assets.......................... 1,332 3,325 1,398 2,728
liabilities .................... (781) (2,247) (608) (1,594)
Equities assets.......................... 13 2 32 96
liabilities ....................
–
–
–
–
Concentrations of credit risk
Concentrations of credit risk exist if a number of counterparties are engaged in similar activities or activities in
the same region or have similar economic characteristics that would cause their ability to meet contractual
obligations to be similarly affected by changes in economic or other conditions.
The following table analyses the replacement cost of all third party exchange rate, interest rate and equities
contracts with positive mark-to-market gains, after netting where possible, by maturity and by category of
counterparty at 31 December 2001 and 31 December 2000. The table shows that the replacement cost of
derivatives is predominantly with banks and under five years.
Residual maturity
Less than
1 year 1-5 years Over
5 years
N
ettin
g
2001
Tota
l
2000
Tota
l
Governments..................................... 7 72 130 (64) 145 143
Banks ................................................ 7,878 8,419 2,881 (9,339) 9,839 10,735
Non-bank financial institutions
– exchanges*..................................... 270 64 4 (26) 312 469
– other............................................... 1,426 2,405 548 (868) 3,511 2,871
Other sectors ..................................... 1,506 1,076 316 (859) 2,039 2,267
Total 2001 ........................................ 11,087 12,036 3,879 (11,156) 15,846
Total 2000......................................... 13,917 7,740 3,296 (8,468) 16,485
*Exchanges with margining requirements.