Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 323

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 323
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 status of HSBC’s progress against the BoE’s Resolvability Assessment Framework (‘RAF‘). The BoE acknowledged the significant progress made by HSBC in enhancing its resolvability capabilities. Overall, our recovery and resolution planning helps safeguard the Group’s financial and operational stability. HSBC has a programme of continuous improvement to maintain and enhance its recovery and resolution capabilities, designed to meet the BoE’s expectations and RAF requirements. Measurement of interest rate risk in the banking book processes Assessment and risk appetite Interest rate risk in the banking book (‘IRRBB’) is the risk of an adverse impact to earnings or capital due to changes in market interest rates or changes in expected interest rate repricing of client products that impact banking book positions. It is generated by our non-traded assets and liabilities, specifically loans, deposits and financial instruments that are not held for trading intent or in order to hedge positions held with trading intent. Our global IRRBB risk management framework is designed to ensure that all material sources of IRRBB are identified, measured, managed, and monitored, with policies and frameworks in place. Our IRRBB risks are measured and managed using a combination of earnings-based and economic value measures to ensure that the balance between stabilising earnings and generating value sensitivity is managed appropriately. These metrics measure IRRBB risks across the banking book, to support the overall monitoring against risk appetite, including: – Banking Net Interest Income (‘BNII’) Sensitivity; and – Economic Value of Equity (‘EVE’) Sensitivity. Banking net interest income sensitivity BNII sensitivity captures the risk to earnings generated from the Banking Book from changes in market implied interest rates over a 12-month period using static rolling balance sheet assumptions. The static rolling balance sheet assumptions are in place to ensure that IRRBB management actions are focused on risks which can be managed within Treasury. A notable exception to this is related to the price sensitivity of certain interest bearing non-maturity deposits, where we apply dynamic assumptions to ensure we capture any potential margin widening or compression over the corresponding shock horizon and rate scenario. Economic value of equity sensitivity EVE measures the present value of our banking book assets and liabilities excluding equity, based on a run-off balance sheet. EVE sensitivity measures the impact to EVE from a movement in interest rates, including the assumed term profile of non-maturing deposits having adjusted for stability and price sensitivity. It is measured and reported as part of our internal risk metrics, regulatory rules (including the Supervisory Outlier Test) and Pillar 3 disclosures. Further details