HSBC 2003 Annual Report Download - page 313

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(b) Interest rate sensitivity gap table
In accordance with FRS 13, the table below discloses the mismatch of the dates on which interest receivable on
assets and interest payable on liabilities are next reset to market rate on a contractual basis or, if earlier, the dates
on which the instruments mature. Actual reset dates may differ from contractual dates owing to prepayments
and the exercise of options. In addition, contractual terms may not be representative of the behaviour of assets
and liabilities. For these reasons, HSBC manages its interest rate risk on a different basis from that presented
below, taking into account the behavioural characteristics of the relevant assets and liabilities.
At 31 December 2003
Not more
than
three
months
More
than
three
months
but not
more
than six
months
More
than six
months
but not
more
than one
year
More
than one
year but
not more
than five
years
More
than five
years
Non-
interest
bearing
Banking
book
total
Trading
book
total Total
US$m US$m US$m US$m US$m US$m US$m US$m US$m
Assets
Treasury bills and
other eligible bills .... 11,447 2,275 1,383 694 – – 15,799 4,592 20,391
Loans and advances
to banks ................... 76,899 5,291 4,377 425 427 2,954 90,373 26,800 117,173
Loans and advances
to customers ............. 357,183 24,249 19,006 61,618 26,804 9,469 498,329 30,648 528,977
Debt securities and
equity shares ............ 53,442 8,489 12,751 40,477 15,722 5,425 136,306 82,295 218,601
Other assets ................. 962 – – – – 117,092 118,054 31,020 149,074
Total assets .................. 499,933 40,304 37,517 103,214 42,953 134,940 858,861 175,355 1,034,216
Liabilities
Deposits by banks ....... (40,448
)
(3,159
)
(1,190
)
(3,510
)
(1,126
)
(5,474
)
(54,907
)
(15,519
)
(70,426
)
Customer accounts ...... (455,677
)
(12,275
)
(9,022
)
(9,168
)
(1,398
)
(54,942
)
(542,482
)
(30,648
)
(573,130
)
Debt securities in
issue ......................... (124,552
)
(5,406
)
(3,683
)
(14,379
)
(1,653
)
(8
)
(149,681
)
(3,881
)
(153,562
)
Other liabilities ............ (243
)
(6
)
(10
)
(280
)
(46
)
(70,802
)
(71,387
)
(59,160
)
(130,547
)
Loan capital and
other subordinated
liabilities .................. (4,916
)
(1,487
)
(678
)
(1,871
)
(12,245
)
– (21,197
)
– (21,197
)
Minority interests and
shareholders’ funds .. –––––(83,531
)
(83,531
)
(1,823
)
(85,354
)
Internal funding of
the trading book ....... 59,643 1,387 2,392 1,346 (22
)
(422
)
64,324 (64,324
)
–
Total liabilities ............ (566,193
)
(20,946
)
(12,191
)
(27,862
)
(16,490
)
(215,179
)
(858,861
)
(175,355
)
(1,034,216
)
Off-balance-sheet
items ........................ (41,162
)
(9,525
)
15,536 27,430 7,721 – – – –
Interest rate
sensitivity gap .......... (107,422
)
9,833 40,862 102,782 34,184 (80,239
)
–– –
Cumulative interest
rate sensitivity gap ... (107,422
)
(97,589
)
(56,727
)
46,055 80,239 – – – –
A positive interest rate sensitivity gap exists where more assets than liabilities re-price during a given period.
Although a positive gap position tends to benefit net interest income in a rising interest rate environment, the
actual effect will depend on a number of factors, including the extent to which repayments are made earlier or
later than the contracted date and variations in interest rates within re-pricing periods and among currencies.
Similarly, a negative interest rate sensitivity gap exists where more liabilities than assets re-price during a given
period. In this case, a negative gap position tends to benefit net interest income in a declining interest rate
environment, but again the actual effect will depend on the same factors as for positive interest rate gaps, as
described above.