Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 582

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 582
---
’ includes foreign exchange risk.

For some debt securities held, HSBC manages interest rate risk in a dynamic risk management strategy. The assets in scope of this strategy

are high-quality fixed-rate debt securities, which may be sold to meet liquidity and funding requirements.

The interest rate risk of the HSBC fixed-rate debt securities issued is managed in a non-dynamic risk management strategy.

| 420 | HSBC Holdings plcAnnual Report on Form 20-F |

Notes on the financial statements

Cash flow hedges

HSBC’s cash flow hedging instruments consist principally of interest rate swaps and cross-currency swaps that are used to manage the

variability in future interest cash flows of non-trading financial assets and liabilities, arising due to changes in market interest rates and foreign-

currency basis.

HSBC applies macro cash flow hedging for interest rate risk exposures on portfolios of replenishing current and forecasted issuances of non-

trading assets and liabilities that bear interest at variable rates, including rolling such instruments. 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 cash flows representing both principal

balances and interest cash flows across all portfolios are used to determine the effectiveness and ineffectiveness. Macro cash flow hedges are

considered to be dynamic hedges.

HSBC also hedges the variability in future cash flows on foreign-denominated financial assets and liabilities arising due to changes in foreign

exchange market rates with cross-currency swaps, which are considered dynamic hedges.

| Hedging instrument by hedged risk |                    |                 |             |                          |                      |                      |                             |                                                                                     |
|                                   | Hedging instrument |                 |             |                          |                      |          Hedged item |             Ineffectiveness |                                                                                     |
|                                   |                    | Carrying amount |             |                          | Change infair value2 | Change in fairvalue3 | Recognisedin profitand loss | Profit and losspresentation                                                         |
|                                   |    Notionalamount1 |          Assets | Liabilities | Balancesheetpresentation |                      |                      |                             |                                                                                     |
| Hedged risk                       |                 $m |              $m |          $m | $m                       |                   $m |                   $m |                             |                                                                                     |
| Foreign currency                  |             47,194 |           2,088 |          68