HSBC 2008 Annual Report Download - page 158

HSBC HOLDINGS PLC
Report of the Directors: Impact of Market Turmoil (continued)
Nature and extent of exposures
156
HSBC’s consolidated holdings of UK ABSs, and direct lending held at fair value through profit or loss (continued)
2008 At 31 December 2008
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
Balance brought forward ........... (50) (8) (1,003) – 7,206 – 7,206 5,668
Commercial property
mortgage-related assets
MBS and MBS CDOs1 ........... (112) (6) (571) – 3,836 – 3,836 3,017
– high grade2 ........................ (83) (6) (560) – 3,665 – 3,665 2,910
– rated C to A ....................... (29) – (11) – 156 – 156 101
– not publicly rated .............. – – – – 15 – 15 6
Leveraged finance-related assets
ABSs and ABS CDOs1
– high grade2 ........................ – – (77) – 761 384 377 293
Student loan-related assets
ABSs and ABS CDOs1
– high grade2 ........................ – – – – 98 – 98 55
Other assets
ABS and ABS CDOs1.............. (10) (4) (413) – 7,623 5,102 2,521 1,997
– high grade2 ........................ (8) (4) (52) – 1,751 – 1,751 1,607
– rated C to A ....................... (2) – (361) – 770 – 770 390
– not publicly rated .............. – – – – 5,102 5,102 – –
Total ........................................... (172) (18) (2,064) – 19,524 5,486 14,038 11,030
2007 At 31 December 2007
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
UK non-conforming residential
mortgage-related assets
MBSs1 ..................................... (5) – (15) – 3,355 – 3,355 3,211
– high grade2 ........................ (3) – (15) – 3,321 – 3,321 3,183
– rated C to A ....................... (2) – – – 28 – 28 24
– not publicly rated .............. – – – – 6 – 6 4
Other UK residential
mortgage-related assets
MBSs1 ..................................... (53) (14) (121) – 5,943 – 5,943 5,640
– high grade2 ........................ (22) (14) (118) – 5,411 – 5,411 5,156
– rated C to A ....................... (31) – (3) – 520 – 520 472
– not publicly rated .............. – – – – 12 – 12 12
Commercial property
mortgage-related assets
MBS and MBS CDOs1 ........... (64) (2) (40) – 5,330 – 5,330 4,902
– high grade2 ........................ (54) (2) (39) – 4,437 – 4,437 4,095
– rated C to A ....................... (10) – (1) – 173 – 173 113
– not publicly rated .............. – – – – 720 – 720 694
Leveraged finance-related assets
ABSs and ABS CDOs1 ........... – – (8) – 675 330 345 336
– high grade2 ........................ – – (8) – 366 21 345 336
– not publicly rated .............. – – – – 309 309 – –
Other assets
ABS and ABS CDOs1 ............. (13) – (38) – 9,385 6,802 2,583 2,511
– high grade2 ........................ (8) – (38) – 2,225 – 2,225 2,170
– rated C to A ....................... (5) – – – 26 – 26 29
– not publicly rated .............. – – – – 7,134 6,802 332 312
Total ........................................... (135) (16) (222) – 24,688 7,132 17,556 16,600
For footnotes, see page 162.