Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 573

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 573
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 the fair value of the embedded derivative is determined as described in the paragraph below on derivatives. These structured notes comprise principally equity-linked notes issued by HSBC, which provide the counterparty with a return linked to the performance of equity securities and other portfolios. Examples of the unobservable parameters include long-dated equity volatilities and correlations between equity prices, and interest and foreign exchange rates. Derivatives OTC derivative valuation models calculate the present value of expected future cash flows, based upon ‘no arbitrage’ principles. For many vanilla derivative products, the modelling approaches used are standard across the industry. For more complex derivative products, there may be some differences in market practice. Inputs to valuation models are determined from observable market data wherever possible, including prices available from exchanges, dealers, brokers or providers of consensus pricing. Certain inputs may not be observable in the market directly, but can be determined from observable prices via model calibration procedures or estimated from historical data or other sources.

| 412 | HSBC Holdings plcAnnual Report on Form 20-F |

Notes on the financial statements

Reconciliation of fair value measurements in Level 3 of the fair value hierarchy

| Movement in Level 3 financial instruments                                                                                                     |                      |               |                                                                               |             |                    |                        |             |
|                                                                                                                                               |               Assets |               |                                                                               |             |        Liabilities |                        |             |
|                                                                                                                                               | Financialinvestments | Tradingassets | Designated andotherwisemandatorilymeasured at fairvalue throughprofit or loss | Derivatives | Tradingliabilities | Designatedat fairvalue | Derivatives |
|                                                                                                                                               |                   $m |            $m |                                                                            $m |          $m |                 $m |                     $m |          $m |
| At 1 Jan 2024                                                                                                                                 |                2,618 |         4,306 |                                                                        19,788 |       2,069 |                478 |                 10,928 |       2,569 |
| Total gains/(losses) recognised in profit or loss                                                                                             |                   -9 |           280 |                                                                           896 |       1,037 |                 18 |                    496 |       1,268 |
| –  net income/(losses) from financial instrumentsheld for trading or managed on a fair value basis                                            |                    — |           280 |                                                                             — |       1,037 |                 18 |                    496 |       1,268 |
| –  net