HSBC 2003 Annual Report Download - page 307

305
2003 2002
Contract
amount
Replacemen
t
cos
t
1Contract
amount
Replacemen
t
cos
t
1
US$m US$m US$m US$m
Spot and forward foreign exchange ......................... 67,370 142 59,422 24
Currency swaps, futures and options purchased ...... 40,130 1,342 17,900 77
Total exchange rate contracts .................................. 107,500 1,484 77,322 101
Interest rate swaps ................................................... 358,491 906 248,553 902
Interest rate futures, forward rate agreements and
options purchased ................................................ 27,288 3 19,420 16
Total interest rate contracts ..................................... 385,779 909 267,973 918
Equities, futures and options purchased .................. 91 59 90 –
Other contracts ........................................................ 71 – 228 –
Total equities contracts ............................................ 162 59 318 –
1Third party contracts only.
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.
2003 2002
Carrying
value
Mark-to-
market values
Carrying
value
Mark-to-
market values
US$m US$m US$m US$m
Exchange rate assets ............................... 3,658 4,297 325 456
liabilities.......................... (3,147
)
(3,495
)
(1,224
)
(1,533
)
Interest rate assets ............................... 1,824 5,814 1,532 5,975
liabilities.......................... (2,312
)
(4,136
)
(617
)
(3,834
)
Equities assets ............................... 459 7–
(vi) 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, equities and
credit derivative contracts with positive mark-to-market gains by category of counterparty and by maturity,
including netting where available at 31 December 2003 and 31 December 2002. 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 Netting
2003
Total
2002
Total
US$m US$m US$m US$m US$m US$m
Governments ...................................... 72 99 232 (287
)
116 74
Banks ................................................. 13,363 16,457 9,339 (23,074
)
16,085 12,751
Non-bank financial institutions:
Exchanges1 ..................................... 607 194 – (3
)
798 333
Other .............................................. 2,846 4,060 2,407 (3,670
)
5,643 4,326
Other sectors ...................................... 2,674 2,444 847 (1,544
)
4,421 2,820
Total 2003 ......................................... 19,562 23,254 12,825 (28,578
)
27,063
Total 2002 .......................................... 14,731 19,622 9,773 (23,822
)
20,304
1Exchanges with margining requirements.