HSBC 2010 Annual Report Download - page 136

HSBC HOLDINGS PLC
Report of the Directors: Operating and Financial Review (continued)
Risk > Credit risk > Securitisation exposures and other structured products
134
HSBC’s consolidated holdings of ABSs, and direct lending held at fair value through profit or loss
(Audited)
2010 At 31 December 2010
Gross fair value
movements Realised Credit
Income
statement43
Other
compre-
hensive
income44
gains/
(losses) in
the income
statement45
Reclassi-
fied46
Gross
principal47
default
swap
gross
protection48
Net
principal
exposure49
Carrying
Amount50
US$m US$m US$m US$m US$m US$m US$m US$m
Mortgage-related assets
Sub-prime residential
Direct lending .................. (35) – (20) – 2,233 – 2,233 1,078
MBSs41 ............................ 58 313 14 385 5,104 336 4,768 3,135
– high grade42 .................. 6 151 5 52 1,996 292 1,704 1,458
– rated C to A .................. 52 162 7 333 3,006 44 2,962 1,645
– not publicly rated ......... – – 2 – 102 – 102 32
MBS CDOs41 ................... – 7 – (3) 90 12 78 17
– high grade42 .................. – – – – 2 – 2 1
– rated C to A .................. – 6 – (3) 86 12 74 14
– not publicly rated ......... – 1 – – 2 – 2 2
23 320 (6) 382 7,427 348 7,079 4,230
US Alt-A residential
Direct lending .................. (1) – – – 108 – 108 96
MBSs41 ............................ 4 575 3 1,564 9,957 100 9,857 5,013
– high grade42 .................. – 35 3 45 660 100 560 473
– rated C to A .................. 4 539 – 1,520 9,254 – 9,254 4,503
– not publicly rated ......... – 1 – (1) 43 – 43 37
3 575 3 1,564 10,065 100 9,965 5,109
US Government agency and
sponsored enterprises
MBSs41
– high grade42 .................. 3 226 (11) (43) 23,739 – 23,739 24,388
Other residential
Direct lending .................. 63 – 35 – 424 – 424 417
MBSs41 ............................ 6 163 4 (7) 6,571 – 6,571 5,793
– high grade42 .................. 5 149 4 (7) 5,841 – 5,841 5,256
– rated C to A .................. 1 14 – – 648 – 648 450
– not publicly rated ......... – – – – 82 – 82 87
69 163 39 (7) 6,995 – 6,995 6,210
Commercial property
MBS and MBS CDOs41 ... 45 1,366 6 112 12,625 421 12,204 10,493
– high grade42 .................. 5 540 4 71 6,341 15 6,326 5,791
– rated C to A .................. 40 826 2 36 6,201 406 5,795 4,637
– not publicly rated ......... – – – 5 83 – 83 65
Leveraged finance-related
assets ....................................
ABSs and ABS CDOs41 ...... 5 453 – 18 7,148 788 6,360 5,721
– high grade42 ..................... 3 308 – (8) 6,078 351 5,727 5,148
– rated C to A ..................... 2 145 – 26 971 437 534 472
– not publicly rated ............ – – – – 99 – 99 101
Student loan-related assets
ABSs and ABS CDOs41 ...... 7 230 3 (6) 7,161 100 7,061 5,459
– high grade42 ..................... 9 44 3 (4) 4,080 – 4,080 3,626
– rated C to A ..................... (2) 157 – (2) 2,620 100 2,520 1,663
– not publicly rated ............ – 29 – – 461 – 461 170
Other assets
ABS and ABS CDOs41 ........ 2 385 1 67 15,497 7,765 7,732 5,622
– high grade42 ..................... – 188 – 1 10,947 7,447 3,500 2,884
– rated C to A ..................... 2 188 1 46 4,059 318 3,741 2,379
– not publicly rated ............ – 9 – 20 491 – 491 359
Total ......................................... 157 3,718 35 2,087 90,657 9,522 81,135 67,232