Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 332

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 332
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 are predominantly based on historical simulation that incorporates the following features: – historical market rates and prices, which are calculated with reference to interest rates, credit spreads and the associated volatilities; – potential market movements that are calculated with reference to data from the past two years; and – calculations to a 99% confidence level and using a 10-day holding period. Although a valuable guide to risk, VaR is used for non-trading portfolios with awareness of its limitations. For example: – The use of historical data as a proxy for estimating future market moves may not encompass all potential market events, particularly those that are extreme in nature. As the model is calibrated on the last 500 business days, it does not adjust instantaneously to a change in market regime. – The use of a 10-day holding period for risk management purposes of non-trading books is only an indication of exposure and not indicative of the time period required to hedge or liquidate positions. – The use of a 99% confidence level by definition does not take into account losses that might occur beyond this level of confidence. Non-trading VaR includes non-trading financial instruments held in portfolios managed by Global Treasury. The management of interest rate risk in the banking book is described further in ‘Banking net interest income sensitivity’ on page 242 . The interest rate risk on the fixed-rate securities issued by HSBC Holdings is not included in the Group non-trading VaR. The management of this risk is described on page 245 . Non-trading VaR also excludes the equity risk on securities held at fair value and non- trading book foreign exchange risk. The daily levels of total non-trading VaR in 2024 are set out in the graph below.

| Weekly VaR (non-trading portfolios), 99% 10 day ($m) |

The Group non-trading VaR for 2024 is shown in the table below.

| Non-trading VaR, 99% 10 day |               |               |                            |         |
| (Audited)                   |               |               |                            |         |
|                             | Interest rate | Credit spread | Portfolio diversification1 |  Total2 |
|                             |            $m |            $m |                         $m |      $m |
| Balance at 31 Dec 2024      |         528.4 |         246.1 |                     -220.7 |   553.8 |
| Average                     |         603.7 |         315