Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 333

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 333
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.1 |                     -222.9 |   695.8 |
| Maximum                     |       1,000.6 |         369.1 |                            | 1,097.6 |
| Minimum                     |         292.1 |         242.4 |                            |   408.7 |
| Balance at 31 Dec 2023      |         549.6 |         356.7 |                     -329.5 |   576.7 |
| Average                     |         494.0 |         266.1 |                     -201.6 |   558.6 |
| Maximum                     |         638.6 |         368.0 |                          — |   709.4 |
| Minimum                     |         344.0 |         174.5 |                          — |   401.5 |

1 Portfolio diversification is the market risk dispersion effect of holding a portfolio containing different risk types. It represents the reduction in unsystematic

market risk that occurs when combining a number of different risk types – such as interest rate and credit spreads – together in one portfolio. It is measured as

the difference between the sum of the VaR by individual risk type and the combined total VaR. A negative number represents the benefit of portfolio

diversification. As the maximum and minimum occurs on different days for different risk types, it is not meaningful to calculate a portfolio diversification benefit

for these measures.

2 The total VaR is non-additive across risk types due to diversification effects.

The VaR for non-trading activity decreased by $23m from $577m at 31 December 2023 to $554m at 31 December 2024 due to the 2022 inflation-driven stress period dropping out of our two-year historical scenario window, decreasing the volatility calibrated by the model during the second half of the year, largely offset by an increase in the duration risk of Global Treasury’s portfolios. Prior to this change in calibration, non-trading VaR peaked at $1,097m during May 2024, driven by an increase in the duration of Global Treasury’s portfolios, higher market yields and more volatile historical scenarios from March 2022. The average portfolio diversification effect between interest rate and credit spread exposure remained broadly stable. Non-trading VaR is managed and controlled through a limit approved by the Group Chief Risk and Compliance Officer for HSBC Holdings. The limit was rescaled higher to reflect the change in the basis