HSBC 2008 Annual Report Download - page 159

157
HSBC’s consolidated holdings of ABSs, and direct lending held at fair value through profit or loss, other than those
supported by US and UK-originated assets
2008 At 31 December 2008
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
Non-US and non-UK non-
sub-prime residential
mortgage-related assets
MBSs1 ..................................... – – – (8) 47 – 47 39
– high grade2 ........................ – – –(8) 46 – 46 38
– rated C to A ....................... – –––1 – 1 1
MBS CDOs1 ............................ (15) – (3) – 53 – 53 26
– high grade2 ........................ (14) – (3) – 40 – 40 23
– rated C to A ....................... (1) –––11 – 11 1
– not publicly rated .............. – –––2 – 2 2
Other non-US and non-UK
residential mortgage-related
assets
MBSs1 ..................................... (66) (27) (62) – 2,411 – 2,411 2,051
– high grade2 ........................ (59) (28) (62) – 2,184 – 2,184 1,878
– rated C to A ....................... (6) – –– 149 – 149 127
– not publicly rated .............. (1) 1 –– 78 – 78 46
Commercial property
mortgage-related assets
MBS and MBS CDOs1 ........... (123) (2) (463) – 3,051 – 3,051 2,311
– high grade2 ........................ (91) (14) (453) – 2,928 – 2,928 2,234
– rated C to A ....................... (32) 12 (7) – 112 – 112 69
– not publicly rated .............. – – (3) – 11 – 11 8
Leveraged finance-related assets
ABSs and ABS CDOs1
– high grade2 ........................ (4) 1
(229) – 1,419 1 1,418 1,098
Other assets
ABS and ABS CDOs1 ............. (209) (13) (241) (51) 5,604 1,853 3,751 3,188
– high grade2 ........................ (168) (6) (92) – 4,379 1,679 2,700 2,199
– rated C to A ....................... (41) (7) (149) – 906 174 732 707
– not publicly rated .............. – – –(51) 319 – 319 282
Total ........................................... (417) (41) (998) (59) 12,585 1,854 10,731 8,713
2007 At 31 December 2007
Unrealised
gains and
(losses)3
Realised
gains and
(losses)4
Fair value
movements
through
equity5
Impair-
ment6
Gross
principal7
CDS
gross
protection8
Net
principal
exposure9
Carrying
amount10
US$m US$m US$m US$m US$m US$m US$m US$m
Non-US and non-UK non-
sub-prime residential
mortgage-related assets
MBSs1 .................................... – – – – 624 – 624 385
– high grade2 ........................ – – – – 447 – 447 279
– rated C to A ....................... – – – – 104 – 104 38
– not publicly rated .............. – – – – 73 – 73 68
Other non-US and non-UK
residential mortgage-related
assets
MBSs1 .................................... (20) (10) (6) – 4,001 814 3,187 3,055
– high grade2 .......................... (16) (8) (6) – 3,703 710 2,993 2,869
– rated C to A ........................ (6) – – – 130 90 40 36
– not publicly rated ................ 2 (2) – – 168 14 154 150
Balance carried forward ............ (20) (10) (6) – 4,625 814 3,811 3,440