HSBC 2015 Annual Report Download - page 399

HSBC HOLDINGS PLC
397
Strategic Report Financial Review Corporate Governance Financial Statements Shareholder Information
Notional contract amounts of derivatives designated in qualifying hedge accounting relationships by product type
HSBC HSBC Holdings
2015 2014 2015 2014
Cash flow
hedge
Fair value
hedge
Cash flow
hedge
Fair value
hedge
Fair value
hedge
Fair value
hedge
$m $m $m $m $m $m
Foreign exchange 32,128 196 25,340
–
1,120 1,120
Interest rate 107,796 105,127 190,902 90,338 5,132 5,477
At 31 December 139,924 105,323 216,242 90,338 6,252 6,597
Fair value hedges
HSBC’s fair value hedges principally consist of interest rate swaps that are used to protect against changes in the fair value of
fixed-rate long-term financial instruments due to movements in market interest rates.
Fair values of derivatives designated as fair value hedges
2015 2014
Assets Liabilities Assets Liabilities
$m $m $m $m
HSBC
Foreign exchange 2
–
–
–
Interest rate 672 3,395 387 4,012
At 31 December 674 3,395 387 4,012
HSBC Holdings
Foreign exchange
–
213
–
103
Interest rate 477
–
484
–
At 31 December 477 213 484 103
Gains or losses arising from fair value hedges
2015 2014 2013
$m $m $m
HSBC
Gains/(losses):
–
on hedging instruments 40 (2,542) 1,997
–
on the hedged items attributable to the hedged risk (51) 2,561 (1,932)
Year ended 31 December (11) 19 65
HSBC Holdings
Gains/(losses):
–
on hedging instruments (4) 423 14
–
on the hedged items attributable to the hedged risk 6(422) (21)
Year ended 31 December 21 (7)
Cash flow hedges
HSBC’s cash flow hedges consist principally of interest rate swaps, futures and cross-currency swaps that are used to protect
against exposures to variability in future interest cash flows on non-trading assets and liabilities which bear interest at variable
rates or which are expected to be re-funded or reinvested in the future. The amounts and timing of future cash flows,
representing both principal and interest flows, are projected for each portfolio of financial assets and liabilities on the basis of
their contractual terms and other relevant factors, including estimates of prepayments and defaults. The aggregate principal
balances and interest cash flows across all portfolios over time form the basis for identifying gains and losses on the effective
portions of derivatives designated as cash flow hedges of forecast transactions.
Fair values of derivatives designated as cash flow hedges
2015 2014
Assets Liabilities Assets Liabilities
$m $m $m $m
Foreign exchange 1,027 748 1,673 572
Interest rate 986 363 1,477 684
At 31 December 2,013 1,111 3,150 1,256