HSBC 2002 Annual Report Download - page 262

HSBC HOLDINGS PLC
Notes on the Financial Statements (continued)
260
2002 2001
Contrac
t
amoun
t
R
eplacemen
t
cos
t
*
Contrac
t
amoun
t
R
eplacemen
t
cos
t
*
US$m US$m US$m US$m
Spot and forward foreign exchange ........... 668,784 11,096 685,674 7,770
Currency swaps, futures and options
purchased ............................................... 183,070 3,927 127,120 3,045
Currency options written ........................... 57,300
–
36,087
–
Other contracts........................................... 24,901 404 7,530 104
Total exchange rate contracts..................... 934,055 15,427 856,411 10,919
Interest rate swaps...................................... 1,381,970 23,442 1,013,807 12,703
Interest rate futures, forward rate
agreements, collars and options
purchased ............................................... 431,777 2,316 408,758 1,261
Interest rate options written ....................... 151,420
–
87,245
–
Total interest rate contracts........................ 1,965,167 25,758 1,509,810 13,964
Equities, futures and options purchased..... 24,582 1,593 18,583 1,309
Equities options written ............................. 18,762
–
16,235
–
Other contracts........................................... 5,250 329 5,442 197
Total equities contracts .............................. 48,594 1,922 40,260 1,506
Netting ....................................................... (23,822) (11,156)
Total........................................................... 2,947,816 19,285 2,406,481 15,233
* Third party contracts only
Included in the above table are third party credit derivatives with a contract amount of US$17,405 million
(2001: US$2,171 million) and a replacement cost of US$272 million (2001: US$18 million). These amounts
represent mainly credit default protection products bought or sold.
2002 2001
Mark-to-
market values
at year en
d
Average
mark-to-
market values
for the year
Mark-to-
market values
at year en
d
Average
Mark-to-
Market values
for the year
US$m US$m US$m US$m
Exchange rate assets.......................... 16,866 13,348 11,182 11,933
liabilities .................... (17,263) (13,656)(11,113) (12,298)
Interest rate assets.......................... 26,197 18,560 14,043 12,790
liabilities .................... (26,873) (18,173)(13,572) (12,547)
Equities assets.......................... 1,923 1,836 1,506 1,737
liabilities .................... (1,993) (2,354)(1,871) (1,813)
Total assets.......................... 44,986 33,744 26,731 26,460
liabilities .................... (46,129) (34,183) (26,556) (26,658)
Netting ....................................................... 23,822 15,073 11,156 9,977
The above amounts are stated after deducting cash collateral meeting the offset criteria of FRS5 as follows:
Offset against assets .................................. 1,992 367
Offset against liabilities ............................. 327 108