HSBC 2007 Annual Report Download - page 187

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up to the par value of their holding in the capital
notes.
The holders of the capital notes in Asscher
continue to bear the risk of any first losses in the
assets held by the SIV. It is proposed to reorganise
Asscher following the completion of the Cullinan
exchange.
The effect of consolidating Cullinan and
Asscher on HSBC’s balance sheet was to include
US$42.5 billion of both assets and liabilities from
November 2007. This included capital notes of
US$38.1 million, holdings of CP of US$4.7 billion
and repos of US$8.5 billion previously recognised
on HSBC’s balance sheet.
An analysis of the assets held by Cullinan and
Asscher at 31 December 2007 and 2006 is set out
below.
Cullinan – Ratings analysis of assets
2007 2006
US$bn US$bn
S&P ratings
AAA ................................................. 22.2 23.1
AA .................................................... 2.9 2.3
A ...................................................... 3.1 3.5
BBB ................................................. 0.1 0.1
Total investments ............................. 28.3 29.0
Cash and other assets ....................... 5.0 1.5
Total assets ...................................... 33.3 30.5
Cullinan – Composition of asset portfolio
2007 2006
US$bn US$bn
Asset class
Structured finance
Residential mortgage-backed
securities .................................... 9.9 11.9
Commercial mortgage-backed
securities .................................... 3.7 3.9
Collateralised debt obligations ...... 3.8 3.0
Student loan securities ................... 2.2 2.3
Home equity lines of credit
securities .................................... 1.3 2.0
Vehicle finance loans securities .... 0.3 0.4
Credit loan securities ..................... 0.1 0.2
Other asset-backed securities ........ 4.5 0.8
Total structured finance assets ...... 25.8 24.5
Finance
Commercial bank debt
securities and deposits ............... 6.3 5.1
Investment bank debt securities .... 0.7 0.6
Finance company debt securities.... 0.5 0.3
Total bank and finance company
assets .......................................... 7.5 6.0
Total assets .................................... 33.3 30.5
These assets included US$2 billion (2006:
US$2.7 billion) of exposure to US sub-prime
mortgages, all of which are rated AAA.
Cullinan – Total assets by balance sheet
classification
2007
US$bn
Derivative assets ................................................... 0.2
Loans and advances to banks ............................... 2.4
Financial investments ........................................... 30.5
Other assets ........................................................... 0.2
33.3
Cullinan – Weighted-average maturity of assets
2007 2006
US$bn US$bn
0-6 months ..................................... 6.1 1.5
6-12 months ................................... 1.6 1.0
Greater than 12 months .................. 25.6 28.0
Total assets ..................................... 33.3 30.5
The weighted average life of the portfolio at
31 December 2007 was 4 years (2006: 3.63 years).
Cullinan – Funding structure
Total
Provided
by HSBC
US$bn US$bn
2007
Capital notes .................................. 1.0 –
Commercial paper .......................... 5.3 2.3
Medium-term notes ........................ 19.7 3.8
Term repos executed ...................... 7.1 7.1
33.1 13.2
2006
Capital notes .................................. 1.8 –
Commercial paper .......................... 9.1 –
Medium-term notes ........................ 19.2 –
30.1 –
The weighted average life of CP funding was
0.56 years (2006: 0.13 years) and the weighted
average life of medium-term note funding was
1.13 years (2006: 0.64 years).
Asscher – Ratings analysis of assets
2007
US$bn
S&P ratings
AAA ...................................................................... 6.1
AA ......................................................................... 0.4
A ........................................................................... 0.3
Total investments .................................................. 6.8
Cash and other assets ............................................ 0.6
Total assets ............................................................ 7.4