Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 334

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 334
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 of preparation detailed above.

| 244 | HSBC Holdings plcAnnual Report on Form 20-F |

Risk review

Sensitivity of capital and reserves Global Treasury maintains a portfolio of high-quality liquid assets for contingent liquidity and NII stabilisation purposes, which is in part accounted for under a hold-to-collect-and-sell business model. This hold-to-collect-and-sell portfolio, together with any associated derivatives in designated hedge accounting relationships, is accounted for at fair value through other comprehensive income and has an impact on CET1. The portfolio represents the vast majority of our hold-to-collect-and-sell capital risk and is risk managed with a variety of tools, including risk sensitivities and value at risk measures. The table below measures the sensitivity of the value of this portfolio to an instantaneous 100 basis point increase in interest rates, based on the risk sensitivity of a shift in value for a 1 basis point (‘bps‘) parallel movement in interest rates.

| Sensitivity of hold-to-collect-and-sell reserves to interest rate movements |         |
|                                                                             |      $m |
| At 31 Dec2024                                                               |         |
| +100 basis point parallel move in all yield curves                          |  -3,433 |
| As a percentage of total shareholders’ equity                               | (1.86)% |
| At 31 Dec2023                                                               |         |
| +100 basis point parallel move in all yield curves                          |  -2,264 |
| As a percentage of total shareholders’ equity                               | (1.22)% |

T he increase in the sensitivity of the portfolio during 2024 was mainly driven by an increase in NII stabilisation hedging in line with our strategy. While this hedging has increased the capital sensitivity of the portfolio it has the effect of further dampening the volatility of our banking NII over time and through the cycle. The figures in the table above do not take into account the effects of interest rate convexity. The portfolio mostly comprises vanilla sovereign bonds in a variety of currencies and the primary risk is interest rate duration risk, although the portfolio also generates asset swap, credit spread and asset spread risks that are managed within appetite as part of our risk management framework. A minus 100bps shock would lead to an approximately symmetrical gain. Alongside our monitoring of the hold-to-collect-and-sell reserve sensitivity, we also monitor the sensitivity of reported cash flow hedging reserves to interest rate movements on a yearly basis by assessing the expected reduction in valuation of cash flow hedges