HSBC 2012 Annual Report Download - page 219

217
Overview Operating & Financial Review Corporate Governance Financial Statements Shareholder Information
Market risk
Page App1Tables Page
Market risk in 2012 ............................................. 218
Overview of market risk in global businesses ....... 265
Monitoring and limiting market risk exposures .... 265
Sensitivity analysis ............................................... 266
Value at risk and stressed value at risk .................. 266
Stress testing .......................................................... 267
Trading and non-trading portfolios ................... 218 Types of risk by global business ............................................ 218
Overview of risk reporting .................................................... 218
Market risk linkages to the accounting balance sheet .......... 219
Market risk reporting measures ............................. 218
Value at risk of the trading and non-trading
portfolios ............................................................ 219 Trading and non-trading value at risk .................................. 219
Daily trading and non-trading VAR ...................................... 219
Trading portfolios ................................................ 220 268
Value at risk of the trading portfolios .................... 220 Trading value at risk ............................................................. 220
Daily VAR (trading portfolios) .............................................. 220
Daily revenue ......................................................................... 220
Daily distribution of Global Markets’ trading and other
trading revenues ................................................................ 220
VAR by risk type for trading activities .................................. 220
Stressed value at risk (1-day equivalent) .............................. 221
Stressed value at risk of the trading portfolio ....... 221
Gap risk .................................................................. 268
ABS/MBS exposures ............................................. 268
Non-trading portfolios ......................................... 221 268
Value at risk of the non-trading portfolios ............ 221 Non-trading value at risk ...................................................... 221
Daily VAR (non-trading portfolios) ...................................... 221
Credit spread risk for available-for-sale debt
securities ............................................................ 221 268
Equity securities classified as available for sale ... 222 Fair value of equity securities ............................................... 222
Structural foreign exchange exposures .............. 222 268
Non-trading interest rate risk ............................. 222
Balance Sheet Management ................................ 222 Analysis of third party assets in Balance Sheet
Management ...................................................................... 223
Sensitivity of net interest income ........................ 223 269 Sensitivity of projected net interest income ........................... 223
Sensitivity of reported reserves to interest rate movements . 224
Defined benefit pension schemes ........................ 224 269 HSBC’s defined benefit pension schemes .............................. 224
Additional market risk measures
applicable only to the parent company ......... 224 270
Foreign exchange risk ............................................ 225 HSBC Holdings - foreign exchange VAR .............................. 225
Sensitivity of net interest income .......................... 225 Sensitivity of HSBC Holdings net interest income to
interest rate movements .................................................... 225
Interest rate repricing gap table ............................. 226 Repricing gap analysis of HSBC Holdings ........................... 226
1 Appendix to Risk – risk policies and practices.