HSBC 2015 Annual Report Download - page 168
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Report of the Directors: Risk (continued)
Market risk
HSBC HOLDINGS PLC
166
Market risk
Page App1Tables Page
Market risk in 2015 167
Market risk in global businesses 211 Types of risk by global business 211
Market risk governance 211
Market risk measures 212
Monitoring and limiting market risk exposures 167 212
Sensitivity analysis 167 212
Value at risk 167 212
Stress testing 167 213 Market risk stress testing 213
Trading portfolios 167 213
Volcker Rule 213
Value at risk of the trading portfolios 167 Daily VaR (trading portfolios) 168
Trading VaR 168
Back-testing 168 214 Back-testing of trading VaR against hypothetical
profit and loss for the Group 168
Gap risk 214
De-peg risk 214
ABS/MBS exposures 214
Non-trading portfolios 169 214
Value at risk of the non-trading portfolios 169 Dail
y
VaR (non-trading portfolios) 169
Non-trading VaR 169
Equity securities classified as available for sale 169 215 Fair value of equity securities 169
Market risk balance sheet linkages 170 Balances included and not included in trading VaR 170
Market risk linkages to the accounting balance shee
t
171
Structural foreign exchange exposures 171 215
Non-trading interest rate risk 171 215
Interest rate risk behaviouralisation 172 215
Balance Sheet Management 216
Third-party assets in Balance Sheet Management 172 Thir
d
-
p
arty assets in Balance Sheet Managemen
t
172
Sensitivity of net interest income 172 216 Sensitivity of projected net interest income 173
Sensitivity of capital and reserves 173 Sensitivity of cash flow hedging reported reserves to interest
rate movements 173
Defined benefit pension schemes 174 216
Additional market risk measures
applicable only to the parent company 174 216
Foreign exchange risk 174 HSBC Holdings
–
foreign exchange VaR 174
Sensitivity of net interest income 174 Sensitivity of HSBC Holdings net interest income to
interest rate movements 174
Interest rate repricing gap table 175 Repricing gap analysis of HSBC Holdings 175
1 Appendix to Risk – risk policies and practices.