HSBC 2010 Annual Report Download - page 137

135
Overview Operating & Financial Review Governance Financial Statements Shareholder Information
2009 At 31 December 2009
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 .................... (227) – (40) – 1,703 – 1,703 1,439
MBSs41 .............................. (44) 187 (130) 795 7,483 1,248 6,235 3,419
– high grade42 .................... (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 CDOs41 ..................... (2) (9) – 2 138 15 123 29
– high grade42 .................... – (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
MBSs41 .............................. 95 661 (143) 1,693 13,546 491 13,055 6,427
– high grade42 .................... (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
MBSs41
– high grade42 .................... 116 252 (2) (123) 15,827 – 15,827 16,040
Other residential
Direct lending .................... 79 – 70 – 463 – 463 452
MBSs41 .............................. 71 625 37 50 8,741 91 8,650 7,443
– high grade42 .................... 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 CDOs41 ..... 35 702 (8) (104) 13,734 395 13,339 9,954
– high grade42 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 CDOs41 ......... (1) 721 – (40) 7,516 895 6,621 5,612
– high grade42 ....................... 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 CDOs41 ........ (6) 569 2 32 7,192 224 6,968 5,122
– high grade42 ....................... 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 CDOs41 .......... 74 415 (17) 91 17,608 8,797 8,811 6,327
– high grade42 ....................... 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
For footnotes, see page 174.