HSBC 2008 Annual Report Download - page 155

153
HSBC’s consolidated holdings of US ABSs, and direct lending held at fair value through profit or loss
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
US sub-prime residential
mortgage-related assets
Direct lending ........................ (494) 7 – – 3,653 – 3,653 2,789
MBSs1 .................................... (784) 1 (1,578) – 6,845 794 6,051 3,044
– high grade2 .......................... (243) 6 (290) – 2,903 507 2,396 1,634
– rated C to A ........................ (444) (4) (1,288) – 3,913 287 3,626 1,399
– not publicly rated ................ (97) (1) – – 29 – 29 11
MBS CDOs1 .......................... (110) – (55) (50) 1,042 234 808 61
– high grade2 .......................... – – (78) – 172 27 145 45
– rated C to A ........................ (110) – 23 (50) 870 207 663 16
(1,388) 8 (1,633) (50) 11,540 1,028 10,512 5,894
US Alt-A residential
mortgage-related assets
Direct lending ........................ (11) – – – 264 – 264 246
MBSs1 .................................... (737) 9 (6,416) (510) 16,860 436 16,424 7,174
– high grade2 .......................... (446) 17 (3,012) (82) 9,804 317 9,487 4,869
– rated C to A ........................ (292) (7) (3,404) (428) 7,041 119 6,922 2,293
– not publicly rated ................ 1 (1) – – 15 – 15 12
(748) 9 (6,416) (510) 17,124 436 16,688 7,420
US government agency
mortgage-related assets
MBSs1
– high grade2 .......................... 3 9 122 – 8,448 – 8,448 8,551
US government-sponsored
enterprises mortgage-related
assets
MBSs1
– high grade2 .......................... (54) 31 270 – 15,022 – 15,022 15,349
Other US residential
mortgage-related assets
Direct lending ............................ 23 (9) – – 691 – 691 677
MBSs1 .................................... (65) (37) 33 – 1,039 284 755 614
– high grade2 .......................... (63) (37) 33 – 959 262 697 574
– rated C to A ........................ (2) – – – 80 22 58 40
(42) (46) 33 – 1,730 284 1,446 1,291
Commercial property
mortgage-related assets
MBS and MBS CDOs1 .......... (57) (19) (1,709) – 5,797 553 5,244 3,182
– high grade2 .......................... (57) (18) (1,696) – 5,658 553 5,105 3,059
– rated C to A ........................ – (1) (13) – 108 – 108 94
– not publicly rated ................ – – – – 31 – 31 29
Balance carried forward ............ (2,286) (8) (9,333) (560) 59,661 2,301 57,360 41,687