HSBC 2015 Annual Report Download - page 390

HSBC HOLDINGS PLC
388
Notes on the Financial Statements (continued) 13 – Fair values of financial instruments carried at fair value
Quantitative information about significant unobservable inputs in Level 3 valuations (continued)
Fair value Key unobservable
Assets Liabilities Valuation technique inputs Full range of inputs Core range of inputs
$m $m Lower Higher Lower Higher
Private equity including strategic investments 3,716 47 See notes on page 389 See notes on page 389 n/a n/a n/a n/a
Asset-backed securities 2,078
–
–
CLO/CDO1 1,122
–
Model
–
Discounted cash flow Prepayment rate 1% 6% 1% 6%
Market proxy Bid quotes 0100 54 85
Other ABSs 956
–
Loans held for securitisation 39
–
Structured notes 26,092
–
equity-linked notes
–
4,744 Model
–
Option model Equity volatility 0.2% 65% 18% 38%
Model
–
Option model Equity correlation 27% 92% 44% 79%
–
fund-linked notes
–
562 Model
–
Option model Fund volatility 6% 8% 6% 8%
–
FX-linked notes 2477 Model
–
Option model FX volatility 2% 70% 4% 16%
–
other
–
309
Derivatives with monolines 239 1Model
–
Discounted cash flow Credit spread 3% 5% 4% 4%
Other derivatives 2,685 1,906
Interest rate derivatives:
–
securitisation swaps 449 1,023 Model
–
Discounted cash flow Prepayment rate 0% 50% 6% 18%
–
long-dated swaptions 1,044 152 Model
–
Option model IR volatility 2% 59% 16% 36%
–
other 755 151
FX derivatives:
–
FX options 89 95 Model
–
Option model FX volatility 0.1% 70% 4% 14%
–
other 7 7
Equity derivatives:
–
long-dated single stock options 192 256 Model
–
Option model Equity volatility 9% 65% 16% 40%
–
other 34 162
Credit derivatives:
–
other 115 60
Other portfolios 6,347
–
–
structured certificates 4,420
–
Model
–
Discounted cash flow Credit volatility 0.8% 3% 0.8% 3%
–
EM corporate debt 372
–
Market proxy Credit spread 1% 4% 1% 3%
Market proxy Bid quotes 58 131 106 130
–
other2 1,555
–
At 31 December 2014 15,106 8,046
1 Collateralised loan obligation/collateralised debt obligation.
2 Includes a range of smaller asset holdings.