HSBC 2001 Annual Report Download - page 225

223
2001 2000
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.......................... 11,182 11,933 12,824 11,214
liabilities .................... (11,113) (12,298)(13,309) (13,973)
Interest rate assets.......................... 14,043 12,790 9,623 5,046
liabilities .................... (13,572) (12,547)(10,013) (6,551)
Equities assets.......................... 1,506 1,737 2,145 2,170
liabilities .................... (1,871) (1,813)(2,347) (2,674)
Total assets.......................... 26,731 26,460 24,592 18,430
liabilities .................... (26,556) (26,658) (25,669) (23,198)
Netting ....................................................... 11,156 9,977 8,468 4,562
The above amounts are stated after deducting cash collateral meeting the offset criteria of FRS5 as follows:
Offset against assets .................................. 367 24
Offset against liabilities ............................. 108 14
Derivatives used for risk management purposes
The majority of the transactions undertaken for risk management purposes are between business units within
HSBC, one of which is a trading desk, which then lays off the resulting position by trading in the external
market. Internal positions are integral to HSBC’ s asset and liability management and are included within
analyses of non-trading positions in the tables below.
The following table summarises the contract amount and replacement cost of derivatives used for risk
management purposes by product type. The replacement cost shown represents the accounting loss HSBC
would incur if the counterparty to a derivative contract failed to perform according to the terms of the contract
and the collateral, if any, for the amount due proved to be of no value.
2001 2000
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 ........... 55,552 17 73,668 67
Currency swaps, futures and options
purchased ............................................... 10,832 52 6,474 43
Total exchange rate contracts..................... 66,384 69 80,142 110
Interest rate swaps...................................... 174,194 541 155,389 475
Interest rate futures, forward rate
agreements, collars and options
purchased ............................................... 8,091 3 26,654 13
Total interest rate contracts........................ 182,285 544 182,043 488
Equities, futures and options purchased..... 333
–
571
–
Other contracts........................................... 297
–
19
–
Total equities contracts .............................. 630
–
590
–
*Third party contracts only