HSBC 2012 Annual Report Download - page 228

HSBC HOLDINGS PLC
Report of the Directors: Operating and Financial Review (continued)
Risk > Market risk > Parent company // Operational risk > ORMF
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take into account the effect of actions that could be
taken to mitigate this interest rate risk.
Interest rate repricing gap table
The interest rate risk on the fixed-rate securities
issued by HSBC Holdings is not included within the
Group VAR but is managed on a repricing gap basis.
The interest rate repricing gap table below analyses
the full-term structure of interest rate mismatches
within HSBC Holdings’ balance sheet.
Repricing gap analysis of HSBC Holdings
(Audited)
Total
Up to
1 year
Between
1 and 5
years
Between
5 and 10
years
More than
10 years
Non-interest
bearing
US$m US$m US$m US$m US$m US$m
At 31 December 2012
Cash at bank and in hand:
– balances with HSBC undertakings .............. 353 312 – – – 41
Derivatives .......................................................... 3,768 – – – – 3,768
Loans and advances to HSBC undertakings ...... 41,675 38,473 – 1,477 630 1,095
Financial investments ......................................... 1,208 – 300 731 – 177
Investments in subsidiaries ................................. 92,234 – – – – 92,234
Other assets ......................................................... 246 – – – – 246
Total assets .......................................................... 139,484 38,785 300 2,208 630 97,561
Amounts owed to HSBC undertakings .............. (12,856) (12,259) – – – (597)
Financial liabilities designated at fair values ..... (23,195) (1,654) (6,334) (7,708) (4,301) (3,198)
Derivatives .......................................................... (760) – – – – (760)
Debt securities in issue ....................................... (2,691) – (1,648) – (1,051) 8
Other liabilities ................................................... (1,048) – – – – (1,048)
Subordinated liabilities ....................................... (11,907) – (808) (2,110) (8,828) (161)
Total equity ......................................................... (87,027) – – – – (87,027)
Total liabilities and equity .................................. (139,484) (13,913) (8,790) (9,818) (14,180) (92,783)
Off-balance sheet items attracting interest rate
sensitivity ........................................................ – (18,583) 6,348 7,341 4,325 569
Net interest rate risk gap ..................................... – 6,289 (2,142) (269) (9,225) 5,347
Cumulative interest rate gap ............................... – 6,289 4,147 3,878 (5,347) –
At 31 December 2011
Cash at bank and in hand:
– balances with HSBC undertakings .............. 316 280 – – – 36
Derivatives .......................................................... 3,568 – – – – 3,568
Loans and advances to HSBC undertakings ...... 28,048 25,373 1,175 279 603 618
Financial investments ......................................... 1,078 – 300 731 – 47
Investments in subsidiaries ................................. 90,621 – – – – 90,621
Other assets ......................................................... 231 – – – – 231
Total assets .......................................................... 123,862 25,653 1,475 1,010 603 95,121
Amounts owed to HSBC undertakings .............. (2,479) (2,260) – – – (219)
Financial liabilities designated at fair values ..... (21,151) (2,694) (6,423) (6,157) (5,156) (721)
Derivatives .......................................................... (1,067) – – – – (1,067)
Debt securities in issue ....................................... (2,613) – (1,617) – (1,006) 10
Other liabilities ................................................... (1,919) – – – – (1,919)
Subordinated liabilities ....................................... (12,450) (776) (774) (2,070) (8,671) (159)
Total equity ......................................................... (82,183) – – – – (82,183)
Total liabilities and equity .................................. (123,862) (5,730) (8,814) (8,227) (14,833) (86,258)
Off-balance sheet items attracting interest rate
sensitivity ........................................................ – (17,945) 6,405 5,749 5,048 743
Net interest rate risk gap ..................................... – 1,978 (934) (1,468) (9,182) (9,606)
Cumulative interest rate gap ............................... – 1,978 1,044 (424) (9,606) –