HSBC 2008 Annual Report Download - page 177

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administrative services, and for the liquidity and
credit support it gives to the conduits. The asset
pools acquired by the conduits are structured so that
the credit enhancement the conduits receive, which
equates to senior investment grade ratings, and the
benefit of liquidity facilities typically provided by
HSBC mean that the CP issued by the multi-seller
conduits is itself highly rated.
During 2008, the finance provided by HSBC to
Abington Square Funding LLC at the end of 2007
was repaid using the proceeds received from
refinancing the assets within the conduit. The
conduit did not enter into any new securitisation
transactions during the period.
An analysis of the assets held by HSBC’s SIVs
and conduits is set out below:
Ratings analysis of assets
Solitaire
Other
SICs
Total
SICs
Total
multi-seller
conduits
Total
SIVs
US$bn
US$bn US$bn
US$bn
US$bn
S&P ratings at 31 December 2008
AAA ............................................................. 8.1 12.0 20.1 6.1 0.3
AA ................................................................ 0.7 1.4 2.1 1.8 –
A ................................................................... 1.0 4.7 5.7 1.6 –
BBB .............................................................. 0.8 1.0 1.8 1.2 –
BB ................................................................ 0.3 0.4 0.7 0.2 –
B ................................................................... 0.1 0.2 0.3 0.5 –
CCC .............................................................. 0.2 0.2 0.4 1.8 –
D ................................................................... – – – 0.3 –
Total investments ............................................ 11.2 19.9 31.1 13.5 0.3
Cash and other investments ............................ 0.9 0.3 1.2 0.4 0.1
12.1 20.2 32.3 13.9 0.4
S&P ratings at 31 December 2007
AAA ............................................................. 20.8 – 20.8 9.7 28.3
AA ................................................................ – – – 1.6 3.3
A ................................................................... – – – 3.9 3.4
BBB .............................................................. – – – 0.1 0.1
Total investments ............................................ 20.8 – 20.8 15.3 35.1
Cash and other investments ............................ 0.8 – 0.8 0.5 5.6
21.6 – 21.6 15.8 40.7
Composition of asset portfolio
Solitaire
Other
SICs
Total
SICs
Total
multi-seller
conduits1
Total
SIVs
US$bn
US$bn US$bn
US$bn
US$bn
Asset class at 31 December 2008
Structured finance
Vehicle loans and equipment leases ............ – – – 3.9 –
Consumer receivables .................................. – – – 0.7 –
Credit card receivables ................................ 0.2 – 0.2 1.4 –
Residential MBSs ........................................ 4.4 5.7 10.1 0.6 –
Commercial MBSs ....................................... 2.1 3.1 5.2 0.2 –
Auto floor plan ............................................. – – – 2.2 –
Trade receivables ......................................... – – – 2.7 –
Student loan securities ................................. 2.2 2.0 4.2 – –
Vehicle finance loan securities .................... – 0.3 0.3 – –
Leverage loan securities .............................. 1.5 2.2 3.7 – –
Other ABSs .................................................. 0.8 1.3 2.1 1.7 –
11.2 14.6 25.8 13.4 –