HSBC 2008 Annual Report Download - page 157

155
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
Balance brought forward ........... (1,096) (353) (1,088) – 42,533 1,514 41,019 38,291
US government-sponsored
enterprises mortgage-related
assets
MBSs1
– high grade2 .......................... 12 (39) 3 – 16,125 – 16,125 15,904
Other US residential
mortgage-related assets
Direct lending ........................ (10) (29) – – 424 – 424 416
MBSs1 .................................... (34) – (1) – 1,587 821 766 756
– high grade2 .......................... (30) – (1) – 1,565 799 766 756
– rated C to A ........................ (4) – – – 22 22 – –
(44) (29) (1) – 2,011 821 1,190 1,172
Commercial property
mortgage-related assets
MBS and MBS CDOs1 .......... (30) – (141) – 5,981 685 5,296 5,196
– high grade2 .......................... (30) – (141) – 5,760 685 5,075 4,983
– not publicly rated ................ – – – – 221 – 221 213
Leveraged finance-related assets
ABSs and ABS CDOs1
– high grade2 .......................... (6) – (89) – 4,930 322 4,608 4,432
Student loan-related assets
ABSs and ABS CDOs1 .......... 5 – (338) – 7,352 – 7,352 7,196
– high grade2 .......................... 7 – (338) – 7,312 – 7,312 7,159
– rated C to A ........................ (2) – – – 40 – 40 37
Other assets
ABS and ABS CDOs1 ........... (100) (3) (134) – 8,943 2,735 6,208 6,204
– high grade2 .......................... (99) (3) (134) – 8,233 2,707 5,526 5,557
– rated C to A ........................ (1) – – – 595 28 567 550
– not publicly rated ................ – – – – 115 – 115 97
Total ........................................... (1,259) (424) (1,788) – 87,875 6,077 81,798 78,395
For footnotes, see page 162.
HSBC’s consolidated holdings of UK 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
UK non-conforming residential
mortgage-related assets
MBSs1 ..................................... (3) – (294) – 1,425 – 1,425 1,100
– high grade2 ........................ (1) – (268) – 1,349 – 1,349 1,051
– rated C to A ....................... (2) – (26) – 76 – 76 49
Other UK residential
mortgage-related assets
MBSs1 ..................................... (47) (8) (709) – 5,781 – 5,781 4,568
– high grade2 ........................ (27) (10) (694) – 5,289 – 5,289 4,185
– rated C to A ....................... (20) 2 (15) – 488 – 488 382
– not publicly rated .............. – – – – 4 – 4 1
Balance carried forward ............ (50) (8) (1,003) – 7,206 – 7,206 5,668