Last checked at 18 Mar 2016 17:04
15 Financial assets designated at fair value
Accounting policy
Financial instruments, other than those held for trading, are classified in this category if they meet one or more of the criteria set out below, and are so designated irrevocably at inception. HSBC may designate financial instruments at fair value when the designation: · eliminates or significantly reduces measurement or recognition inconsistencies that would otherwise arise from measuring financial instruments or recognising gains and losses on different bases from related positions. Under this criterion, the main class of financial assets designated by HSBC are financial assets under unit-linked insurance and unit-linked investment contracts. Liabilities to customers under linked contracts are determined based on the fair value of the assets held in the linked funds. If no fair value designation was made for the related assets, the assets would be classified as available for sale, with changes in fair value recorded in other comprehensive income. The related financial assets and liabilities are managed and reported to management on a fair value basis. Designation at fair value of the financial assets and related liabilities allows the changes in fair values to be recorded in the income statement and presented in the same line; · applies to groups of financial instruments that are managed, and their performance evaluated, on a fair value basis in accordance with a documented risk management or investment strategy, and where information about the groups of financial instruments is reported to management on that basis. For example, certain financial assets are held to meet liabilities under non-linked insurance contracts. HSBC has documented risk management and investment strategies designed to manage and monitor the market risk of those assets on a net basis, after considering non-linked liabilities. Fair value measurement is also consistent with the regulatory reporting requirements under the appropriate regulations for those insurance operations; and · relates to financial instruments containing one or more non-closely related embedded derivatives. Designated financial assets are recognised at fair value when HSBC enters into contracts with counterparties, which is generally on trade date, and are normally derecognised when sold. Subsequent changes in fair values are recognised in the income statement in 'Net income from financial instruments designated at fair value'. |
Financial assets designated at fair value
2015 | 2014 | |||
$m | $m | |||
Financial assets designated at fair value: | ||||
- not subject to repledge or resale by counterparties | 23,852 | 28,357 | ||
- which may be repledged or resold by counterparties | - | 680 | ||
At 31 December | 23,852 | 29,037 | ||
Treasury and other eligible bills | 396 | 56 | ||
Debt securities | 4,341 | 8,891 | ||
Equity securities | 18,995 | 20,006 | ||
Securities designated at fair value | 23,732 | 28,953 | ||
Loans and advances to banks and customers | 120 | 84 | ||
At 31 December | 23,852 | 29,037 |
Securities designated at fair value1
2015 | 2014 | |||
$m | $m | |||
US Treasury and US Government agencies2 | 145 | 8 | ||
UK Government | 103 | 140 | ||
Hong Kong Government | 33 | 40 | ||
Other government | 1,020 | 4,088 | ||
Asset-backed securities3 | 25 | 18 | ||
Corporate debt and other securities | 3,411 | 4,653 | ||
Equities | 18,995 | 20,006 | ||
At 31 December | 23,732 | 28,953 |
1 Included within these figures are debt securities issued by banks and other financial institutions of $1,536m (2014: $1,388m), of which $35m (2014: $24m) are guaranteed by various governments.
2 Includes securities that are supported by an explicit guarantee issued by the US Government.
3 Excludes asset-backed securities included under US Treasury and US Government agencies.
Securities listed on a recognised exchange and unlisted
Treasury and other eligible bills | Debt securities | Equity securities | Total | |||||
$m | $m | $m | $m | |||||
Fair value | ||||||||
Listed1 | - | 2,458 | 11,690 | 14,148 | ||||
Unlisted | 396 | 1,883 | 7,305 | 9,584 | ||||
At 31 December 2015 | 396 | 4,341 | 18,995 | 23,732 |
Securities listed on a recognised exchange and unlisted (continued)
Treasury and other eligible bills | Debt securities | Equity securities | Total | |||||
$m | $m | $m | $m | |||||
Fair value | ||||||||
Listed1 | 5 | 2,731 | 13,837 | 16,573 | ||||
Unlisted | 51 | 6,160 | 6,169 | 12,380 | ||||
At 31 December 2014 | 56 | 8,891 | 20,006 | 28,953 |
1 Included within listed investments are $1,181m of investments listed on a recognised exchange in Hong Kong (2014: $1,361m).
16 Derivatives
Accounting policy
| Derivatives Derivatives are financial instruments that derive their value from the price of underlying items such as equities, bonds, interest rates, foreign exchange, credit spreads, commodities and equity or other indices. Derivatives are recognised initially, and are subsequently measured, at fair value. Fair values of derivatives are obtained either from quoted market prices or by using valuation techniques. Derivatives are classified as assets when their fair value is positive or as liabilities when their fair value is negative. Embedded derivatives are bifurcated from the host contract when their economic characteristics and risks are not clearly and closely related to those of the host non-derivative contract, their terms would otherwise meet the definition of a stand-alone derivative and the combined contract is not held for trading or designated at fair value. The bifurcated embedded derivatives are measured at fair value with changes therein recognised in the income statement. Derivative assets and liabilities arising from different transactions are only offset for accounting purposes if the offsetting criteria presented in Note 32 are met. Gains and losses from changes in the fair value of derivatives, that do not qualify for hedge accounting are reported in 'Net trading income'. Gains and losses on derivatives managed in conjunction with financial instruments designated at fair value are reported in 'Net income from financial instruments designated at fair value' together with the gains and losses on the economically hedged items. Where the derivatives are managed with debt securities issued by HSBC that are designated at fair value, the contractual interest is shown in 'Interest expense' together with the interest payable on the issued debt. Hedge accountingWhen derivatives are designated in hedge relationships, HSBC classifies them as either: (i) hedges of the change in fair value of recognised assets or liabilities or firm commitments ('fair value hedges'); (ii) hedges of the variability in highly probable future cash flows attributable to a recognised asset or liability, or a forecast transaction ('cash flow hedges'); or (iii) a hedge of a net investment in a foreign operation ('net investment hedges'). HSBC formally designates and documents each hedge relationship from inception, setting out the risk management objective and strategy for undertaking the hedge along with the specifically identified hedging instrument, hedged item or transaction, the nature of the risk being hedged and the method for assessing hedge effectiveness. The method selected to assess hedge effectiveness will depend on the risk management strategy. To qualify for hedge accounting, HSBC requires that a hedge must be expected to be highly effective at inception and on an ongoing basis for the duration of the hedge relationship with each hedge relationship subject to an ongoing retrospective and prospective hedge effectiveness assessment. Fair value hedgeChanges in the fair value of derivatives that are designated and qualify as fair value hedges are recorded in the income statement, along with changes in the fair value of the hedged assets or liabilities attributable to the hedged risk. If a hedge relationship no longer meets the criteria for hedge accounting, hedge accounting is discontinued; the cumulative adjustment to the carrying amount of the hedged item is amortised to the income statement on a recalculated effective interest rate over the residual period to maturity, unless the hedged item has been derecognised, in which case it is recognised in the income statement immediately. Cash flow hedgeThe effective portion of changes in the fair value of derivatives that are designated and qualify as cash flow hedges is recognised in other comprehensive income; the ineffective portion of the change in fair value is recognised immediately in the income statement within 'Net trading income'. The accumulated gains and losses recognised in other comprehensive income are reclassified to the income statement in the same periods in which the hedged item affects profit or loss. In hedges of forecast transactions that result in recognition of a non-financial asset or liability, previous gains and losses recognised in other comprehensive income are included in the initial measurement of the asset or liability. When a hedge relationship is discontinued, any cumulative gain or loss recognised in other comprehensive income remains in equity until the forecast transaction is recognised in the income statement. When a forecast transaction is no longer expected to occur, the cumulative gain or loss previously recognised in other comprehensive income is immediately reclassified to the income statement. |
| Net investment hedge Hedges of net investments in foreign operations are accounted for in a similar way to cash flow hedges. A gain or loss on the effective portion of the hedging instrument is recognised in other comprehensive income; the residual change in fair value is recognised immediately in the income statement. Gains and losses previously recognised in other comprehensive income are reclassified to the income statement on the disposal, or part disposal, of the foreign operation. Derivatives that do not qualify for hedge accountingNon-qualifying hedges are derivatives entered into as economic hedges of assets and liabilities for which hedge accounting was not applied. |
Fair values of derivatives by product contract type held by HSBC
Assets | Liabilities | |||||||||||
Trading | Hedging | Total | Trading | Hedging | Total | |||||||
$m | $m | $m | $m | $m | $m | |||||||
Foreign exchange | 95,201 | 1,140 | 96,341 | 94,843 | 755 | 95,598 | ||||||
Interest rate | 277,496 | 1,658 | 279,154 | 267,609 | 3,758 | 271,367 | ||||||
Equities | 8,732 | - | 8,732 | 10,383 | - | 10,383 | ||||||
Credit | 6,961 | - | 6,961 | 6,884 | - | 6,884 | ||||||
Commodity and other | 3,148 | - | 3,148 | 2,699 | - | 2,699 | ||||||
Gross total fair values | 391,538 | 2,798 | 394,336 | 382,418 | 4,513 | 386,931 | ||||||
Offset (Note 32) | (105,860) | (105,860) | ||||||||||
At 31 December 2015 | 288,476 | 281,071 | ||||||||||
Foreign exchange | 95,584 | 1,728 | 97,312 | 95,187 | 572 | 95,759 | ||||||
Interest rate | 471,379 | 1,864 | 473,243 | 463,456 | 4,696 | 468,152 | ||||||
Equities | 11,694 | - | 11,694 | 13,654 | - | 13,654 | ||||||
Credit | 9,340 | - | 9,340 | 10,061 | - | 10,061 | ||||||
Commodity and other | 3,884 | - | 3,884 | 3,508 | - | 3,508 | ||||||
Gross total fair values | 591,881 | 3,592 | 595,473 | 585,866 | 5,268 | 591,134 | ||||||
Offset (Note 32) | (250,465) | (250,465) | ||||||||||
At 31 December 2014 | 345,008 | 340,669 | ||||||||||
Derivative assets and liabilities decreased during 2015, primarily driven by 'portfolio compression' exercises, with a corresponding decrease in the offset amount.
Fair values of derivatives by product contract type held by HSBC Holdings with subsidiaries
Assets | Liabilities | |||||||||||
Trading | Hedging | Total | Trading | Hedging | Total | |||||||
$m | $m | $m | $m | $m | $m | |||||||
Foreign exchange | 390 | - | 390 | 2,065 | 213 | 2,278 | ||||||
Interest rate | 1,600 | 477 | 2,077 | - | - | - | ||||||
At 31 December 2015 | 1,990 | 477 | 2,467 | 2,065 | 213 | 2,278 | ||||||
Foreign exchange | 680 | - | 680 | 1,066 | 103 | 1,169 | ||||||
Interest rate | 1,607 | 484 | 2,091 | - | - | - | ||||||
At 31 December 2014 | 2,287 | 484 | 2,771 | 1,066 | 103 | 1,169 | ||||||
Use of derivatives
For details regarding use of derivatives, see page 171 under Market Risk.
Trading derivatives
Most of HSBC's derivative transactions relate to sales and trading activities. Sales activities include the structuring and marketing of derivative products to customers to enable them to take, transfer, modify or reduce current or expected risks. Trading activities include market-making and risk management. Market-making entails quoting bid and offer prices to other market participants for the purpose of generating revenues based on spread and volume. Risk management activity is undertaken to manage the risk arising from client transactions, with the principal purpose of retaining client margin. Other derivatives classified as held for trading include non-qualifying hedging derivatives.
Substantially all of HSBC Holdings' derivatives entered into with subsidiaries are managed in conjunction with financial liabilities designated at fair value.
The notional contract amounts of derivatives held for trading purposes indicate the nominal value of transactions outstanding at the balance sheet date; they do not represent amounts at risk.
Notional contract amounts of derivatives held for trading purposes by product type
HSBC | HSBC Holdings | |||||||
2015 | 2014 | 2015 | 2014 | |||||
$m | $m | $m | $m | |||||
Foreign exchange | 5,658,030 | 5,548,075 | 19,036 | 15,595 | ||||
Interest rate | 14,462,113 | 22,047,278 | 10,150 | 8,650 | ||||
Equities | 501,834 | 568,932 | - | - | ||||
Credit | 463,344 | 550,197 | - | - | ||||
Commodity and other | 51,683 | 77,565 | - | - | ||||
At 31 December | 21,137,004 | 28,792,047 | 29,186 | 24,245 | ||||
Credit derivatives
HSBC trades credit derivatives through its principal dealing operations and acts as a principal counterparty to a broad range of users, structuring transactions to produce risk management products for its customers or making markets in certain products. Risk is typically controlled through entering into offsetting credit derivative contracts with other counterparties.
HSBC manages the credit risk arising on buying and selling credit derivative protection by including the related credit exposures within its overall credit limit structure for the relevant counterparty. Trading of credit derivatives is restricted to a small number of offices within the major centres which have the control infrastructure and market skills to manage effectively the credit risk inherent in the products.
Credit derivatives are also deployed to a limited extent for the risk management of the Group's loan portfolios. The notional contract amount of credit derivatives of $463bn (2014: $550bn) consisted of protection bought of $237bn (2014: $272bn) and protection sold of $226bn (2014: $278bn). The credit derivative business operates within the market risk management framework described on page 211.
Derivatives valued using models with unobservable inputsThe difference between the fair value at initial recognition (the transaction price) and the value that would have been derived had valuation techniques used for subsequent measurement been applied at initial recognition, less subsequent releases, is as follows:
Unamortised balance of derivatives valued using models with significant unobservable inputs
2015 | 2014 | |||
$m | $m | |||
Unamortised balance at 1 January | 114 | 167 | ||
Deferral on new transactions | 196 | 177 | ||
Recognised in the income statement during the year: | (207) | (234) | ||
- amortisation | (121) | (114) | ||
- subsequent to unobservable inputs becoming observable | (2) | (13) | ||
- maturity, termination or offsetting derivative | (84) | (107) | ||
- risk hedged | - | - | ||
Exchange differences | (6) | 4 | ||
Unamortised balance at 31 December1 | 97 | 114 |
1 This amount is yet to be recognised in the consolidated income statement.
Hedge accounting derivatives
HSBC uses derivatives (principally interest rate swaps) for hedging purposes in the management of its asset and liability portfolios and structural positions. This enables HSBC to optimise the overall cost to the Group of accessing debt capital markets, and to mitigate the market risk which would otherwise arise from structural imbalances in the maturity and other profiles of its assets and liabilities.
The notional contract amounts of derivatives designated in qualifying hedge accounting relationships indicate the nominal value of transactions outstanding at the balance sheet date; they do not represent amounts at risk.
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 | ||||||
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 | 2 | 1 | (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 | ||||
Forecast principal balances on which interest cash flows are expected to arise
3 months or less | More than 3 months but less than 1 year | 5 years or less but more than 1 year | More than 5 years | |||||
$m | $m | $m | $m | |||||
Net cash inflows/(outflows) exposure | ||||||||
Assets | 94,256 | 93,528 | 62,664 | 971 | ||||
Liabilities | (16,241) | (17,179) | (11,681) | (3,326) | ||||
At 31 December 2015 | 78,015 | 76,349 | 50,983 | (2,355) | ||||
Net cash inflows/(outflows) exposure | ||||||||
Assets | 131,694 | 122,728 | 79,529 | 959 | ||||
Liabilities | (60,814) | (46,582) | (36,371) | (8,169) | ||||
At 31 December 2014 | 70,880 | 76,146 | 43,158 | (7,210) |
This table reflects the interest rate repricing profile of the underlying hedged items.
During the year to 31 December 2015 a gain of $15m (2014: gain of $34m; 2013: gain of $22m) was recognised due to hedge ineffectiveness.
Hedges of net investments in foreign operationsThe Group applies hedge accounting in respect of certain consolidated net investments. Hedging is undertaken using forward foreign exchange contracts or by financing with foreign currency borrowings.
At 31 December 2015, the fair values of outstanding financial instruments designated as hedges of net investments in foreign operations were assets of $111m (2014: $55m), liabilities of $12m (2014: $1m) and notional contract values of $4,210m (2014: $3,525m).
Ineffectiveness recognised in 'Net trading income' in the year ended 31 December 2015 was nil (2014 and 2013: nil).
17 Financial investments
Accounting policy
Treasury bills, debt securities and equity securities intended to be held on a continuing basis, other than those designated at fair value, are classified as available for sale or held to maturity. They are recognised on the trade date when HSBC enters into contractual arrangements to purchase those instruments, and are normally derecognised when either the securities are sold or redeemed. (i) Available-for-sale financial assets are initially measured at fair value plus direct and incremental transaction costs. They are subsequently remeasured at fair value, and changes therein are recognised in other comprehensive income until the assets are either sold or become impaired. When available-for-sale financial assets are sold, cumulative gains or losses previously recognised in other comprehensive income are recognised in the income statement as 'Gains less losses from financial investments'. Interest income is recognised over a debt security's expected life. Premiums and/or discounts arising on the purchase of dated debt securities are included in the interest recognised. Dividends from equity assets are recognised in the income statement when the right to receive payment is established. (ii) Held-to-maturity investments are non-derivative financial assets with fixed or determinable payments and fixed maturities that HSBC positively intends and is able to hold to maturity. Held-to-maturity investments are initially recorded at fair value plus any directly attributable transaction costs, and are subsequently measured at amortised cost, less any impairment losses. The accounting policy relating to impairments of available-for-sale securities is presented in Note 1. Available-for-sale financial assets are reclassified to held to maturity if there is a change in intention or ability to hold those assets to maturity due to a change in the way they are managed. The fair value on reclassification becomes the new amortised cost and the assets are subsequently carried at amortised cost rather than fair value. |
Financial investments
2015 | 2014 | |||
$m | $m | |||
Financial investments: | ||||
- not subject to repledge or resale by counterparties | 420,905 | 380,419 | ||
- which may be repledged or resold by counterparties | 8,050 | 35,048 | ||
At 31 December | 428,955 | 415,467 |
Carrying amount and fair value of financial investments
2015 | 2014 | |||||||
Carrying amount | Fair value | Carrying amount | Fair value | |||||
$m | $m | $m | $m | |||||
Treasury and other eligible bills | 104,551 | 104,551 | 81,517 | 81,517 | ||||
- available for sale | 104,551 | 104,551 | 81,517 | 81,517 | ||||
Debt securities | 318,569 | 319,725 | 323,256 | 324,668 | ||||
- available for sale | 274,467 | 274,467 | 285,505 | 285,505 | ||||
- held to maturity | 44,102 | 45,258 | 37,751 | 39,163 | ||||
Equity securities | 5,835 | 5,835 | 10,694 | 10,694 | ||||
- available for sale | 5,835 | 5,835 | 10,694 | 10,694 | ||||
At 31 December | 428,955 | 430,111 | 415,467 | 416,879 | ||||
Financial investments at amortised cost and fair value
Amortised cost1 | Fair value2 | |||
$m | $m | |||
US Treasury | 61,585 | 61,779 | ||
US Government agencies3 | 22,910 | 22,843 | ||
US Government sponsored entities3 | 10,365 | 10,627 | ||
UK Government | 27,250 | 27,316 | ||
Hong Kong Government | 53,676 | 53,674 | ||
Other government | 141,329 | 143,370 | ||
Asset-backed securities4 | 14,239 | 13,375 | ||
Corporate debt and other securities | 89,860 | 91,292 | ||
Equities | 4,057 | 5,835 | ||
At 31 December 2015 | 425,271 | 430,111 | ||
US Treasury | 33,931 | 34,745 | ||
US Government agencies3 | 18,326 | 18,516 | ||
US Government sponsored entities3 | 9,339 | 9,761 | ||
UK Government | 28,680 | 29,758 | ||
Hong Kong Government | 43,573 | 43,574 | ||
Other government | 159,846 | 163,402 | ||
Asset-backed securities4 | 20,911 | 19,177 | ||
Corporate debt and other securities | 84,387 | 87,252 | ||
Equities | 7,421 | 10,694 | ||
416,879 | ||||
At 31 December 2014 | 406,414 | 416,879 | ||
US Treasury | 50,369 | 50,421 | ||
US Government agencies3 | 19,211 | 18,771 | ||
US Government sponsored entities3 | 5,263 | 5,445 | ||
UK Government | 23,565 | 23,580 | ||
Hong Kong Government | 49,570 | 49,579 | ||
Other government | 153,619 | 156,208 | ||
Asset-backed securities4 | 25,961 | 24,115 | ||
Corporate debt and other securities | 87,469 | 88,999 | ||
Equities | 8,081 | 9,140 | ||
At 31 December 2013 | 423,108 | 426,258 |
1 Represents the amortised cost or cost basis of the financial investment.
2 Included within 'Fair value' figures are debt securities issued by banks and other financial institutions of $61bn (2014: $54bn; 2013: $55bn), of which $18bn (2014: $9bn; 2013: $9bn) are guaranteed by various governments.
3 Includes securities that are supported by an explicit guarantee issued by the US Government.
4 Excludes asset-backed securities included under US Government agencies and sponsored entities.
Financial investments listed and unlisted
Treasury and other eligible bills available for sale | Debt securities available for sale | Debt securities held to maturity | Equity securities available for sale | Total | ||||||
$m | $m | $m | $m | $m | ||||||
Carrying amount | ||||||||||
Listed1 | 6,151 | 170,271 | 9,565 | 842 | 186,829 | |||||
Unlisted2 | 98,400 | 104,196 | 34,537 | 4,993 | 242,126 | |||||
104,551 | ||||||||||
At 31 December 2015 | 104,551 | 274,467 | 44,102 | 5,835 | 428,955 | |||||
Carrying amount | ||||||||||
Listed1 | 4,101 | 168,879 | 6,037 | 5,928 | 184,945 | |||||
Unlisted2 | 77,416 | 116,626 | 31,714 | 4,766 | 230,522 | |||||
At 31 December 2014 | 81,517 | 285,505 | 37,751 | 10,694 | 415,467 |
1 The fair value of listed held-to-maturity debt securities as at 31 December 2015 was $10bn (2014: $6bn). Included within listed investments were $5bn (2014: $4bn) of investments listed on a recognised exchange in Hong Kong.
2 Unlisted treasury and other eligible bills available for sale primarily comprise treasury bills not listed on an exchange but for which there is a liquid market.
Maturities of investments in debt securities at their carrying amount
1 year or less | 5 years or less but over 1 year | 10 years or less but over 5 years | Over 10 years | Total | ||||||
$m | $m | $m | $m | $m | ||||||
Available for sale | 61,664 | 131,023 | 42,140 | 39,640 | 274,467 | |||||
Held to maturity | 2,428 | 10,242 | 8,881 | 22,551 | 44,102 | |||||
At 31 December 2015 | 64,092 | 141,265 | 51,021 | 62,191 | 318,569 | |||||
Available for sale | 68,344 | 134,815 | 44,938 | 37,408 | 285,505 | |||||
Held to maturity | 1,396 | 9,622 | 7,087 | 19,646 | 37,751 | |||||
At 31 December 2014 | 69,740 | 144,437 | 52,025 | 57,054 | 323,256 |
Contractual maturities and weighted average yields of investment debt securities
Within one year | After one year but within five years | After five years but within ten years | After ten years | |||||||||||||
Amount | Yield | Amount | Yield | Amount | Yield | Amount | Yield | |||||||||
$m | % | $m | % | $m | % | $m | % | |||||||||
Available for sale | ||||||||||||||||
US Treasury | 9,316 | 0.5 | 20,352 | 1.2 | 12,805 | 2.1 | 3,594 | 3.3 | ||||||||
US Government agencies | - | - | 6 | 4.2 | 33 | 3.9 | 13,575 | 2.5 | ||||||||
US Government-sponsored agencies | 8 | 5.3 | 3,029 | 3.0 | 911 | 2.2 | 1,716 | 3.0 | ||||||||
UK Government | 2,479 | 1.7 | 8,005 | 1.3 | 8,518 | 1.4 | 1,215 | 0.1 | ||||||||
Hong Kong Government | 674 | 0.5 | 1,408 | 1.1 | - | - | - | - | ||||||||
Other governments | 37,197 | 2.0 | 60,899 | 2.4 | 10,312 | 2.9 | 2,543 | 3.0 | ||||||||
Asset-backed securities | 18 | 1.4 | 657 | 1.4 | 2,530 | 1.3 | 11,027 | 1.3 | ||||||||
Corporate debt and other securities | 12,285 | 1.5 | 35,210 | 1.4 | 5,937 | 1.9 | 6,287 | 3.0 | ||||||||
Total amortised cost at 31 December 2015 | 61,977 | 129,566 | 41,046 | 39,957 | ||||||||||||
Total carrying value | 61,664 | 131,023 | 42,140 | 39,640 | ||||||||||||
Held to maturity | ||||||||||||||||
US Treasury | 2 | 0.9 | 76 | 4.9 | 46 | 4.8 | 119 | 4.2 | ||||||||
US Government agencies | - | - | 13 | 1.4 | 30 | 4.0 | 9,254 | 2.4 | ||||||||
US Government-sponsored agencies | - | - | 112 | 1.3 | 597 | 2.7 | 3,991 | 2.9 | ||||||||
Hong Kong Government | 4 | 0.7 | 44 | 1.4 | 16 | 1.8 | 9 | 1.4 | ||||||||
Other governments | 59 | 5.5 | 217 | 4.7 | 184 | 5.3 | 725 | 4.6 | ||||||||
Asset-backed securities | - | - | - | - | - | - | 7 | 6.5 | ||||||||
Corporate debt and other securities | 2,363 | 3.0 | 9,780 | 3.5 | 8,008 | 3.7 | 8,446 | 4.1 | ||||||||
Total amortised cost at 31 December 2015 | 2,428 | 10,242 | 8,881 | 22,551 | ||||||||||||
Total carrying value | 2,428 | 10,242 | 8,881 | 22,551 | ||||||||||||
The maturity distributions of ABSs are presented in the above table on the basis of contractual maturity dates. The weighted average yield for each range of maturities is calculated by dividing the annualised interest income for the year ended 31 December 2015 by the book amount of available-for-sale debt securities at that date. The yields do not include the effect of related derivatives.