HSBC 2009 Annual Report Download - page 162

HSBC HOLDINGS PLC
Report of the Directors: Impact of Market Turmoil (continued)
Overview of exposure > Nature and extent of exposures
160
HSBC’s consolidated holdings of ABSs, and direct lending held at fair value through profit or loss
2009 At 31 December 2009
Gross fair value
movements Realised Credit
Income
statement11
Other
compre-
hensive
income12
gains/
(losses) in
the income
statement13
Reclassi-
fied14
Gross
principal15
default
swap
gross
protection16
Net
principal
exposure17
Carrying
amount18
US$m US$m US$m US$m US$m US$m US$m US$m
Mortgage-related assets
Sub-prime residential
Direct lending .................... (227) – (40) – 1,703 – 1,703 1,439
MBSs8 ............................... (44) 187 (130) 795 7,483 1,248 6,235 3,419
– high grade10 .................... (16) 177 1 134 2,762 603 2,159 1,719
– rated C to A .................... (25) 10 (131) 661 4,616 645 3,971 1,700
– not publicly rated ........... (3) – – – 105 – 105 –
MBS CDOs8 ...................... (2) (9) – 2 138 15 123 29
– high grade10 .................... – (1) – – 36 15 21 17
– rated C to A .................... (1) (8) – 2 89 – 89 10
– not publicly rated ........... (1) – – – 13 – 13 2
(273) 178 (170) 797 9,324 1,263 8,061 4,887
US Alt-A residential
Direct lending .................... – – – – 129 – 129 113
MBSs8 ............................... 95 661 (143) 1,693 13,546 491 13,055 6,427
– high grade10 .................... (9) 361 1 317 1,625 428 1,197 1,237
– rated C to A .................... 103 300 (144) 1,376 11,885 63 11,822 5,176
– not publicly rated ........... 1 – – – 36 – 36 14
95 661 (143) 1,693 13,675 491 13,184 6,540
US Government agency and
sponsored enterprises
MBSs8
– high grade10 .................... 116 252 (2) (123) 15,827 – 15,827 16,040
Other residential
Direct lending .................... 79 – 70 – 463 – 463 452
MBSs8,9 .............................. 71 625 37 50 8,741 91 8,650 7,443
– high grade10 .................... 76 617 37 75 7,884 91 7,793 6,440
– rated C to A .................... (5) 10 – (34) 773 – 773 941
– not publicly rated ........... – (2) – 9 84 – 84 62
150 625 107 50 9,204 91 9,113 7,895
Commercial property
MBS and MBS CDOs8,9..... 35 702 (8) (104) 13,734 395 13,339 9,954
– high grade10 .................... 72 683 (8) (90) 9,805 264 9,541 7,537
– rated C to A .................... (37) 17 – (12) 3,860 131 3,729 2,365
– not publicly rated ........... – 2 – (2) 69 – 69 52
Leveraged finance-related assets
ABSs and ABS CDOs8 .......... (1) 721 – (40) 7,516 895 6,621 5,612
– high grade10 ....................... 14 758 – (41) 6,620 414 6,206 5,301
– rated C to A ....................... (15) (37) – 1 881 481 400 295
– not publicly rated .............. – – – – 15 – 15 16
Student loan-related assets
ABSs and ABS CDOs8 .......... (6) 569 2 32 7,192 224 6,968 5,122
– high grade10 ....................... 2 630 – 32 6,690 30 6,660 5,019
– rated C to A ....................... (8) (61) 2 – 477 194 283 76
– not publicly rated .............. – – – – 25 – 25 27
Other assets
ABS and ABS CDOs8 ........... 74 415 (17) 91 17,608 8,797 8,811 6,327
– high grade10 ....................... 18 288 10 31 12,846 8,607 4,239 3,564
– rated C to A ....................... 40 152 (29) 85 4,126 190 3,936 2,245
– not publicly rated .............. 16 (25) 2 (25) 636 – 636 518
Total ........................................... 190 4,123 (231) 2,396 94,080 12,156 81,924 62,377