Company: HBCYF
Filing Date: 2025-02-20
Form Type: 20-F
Source: 0001089113-25-000040
Chunk: 575

Company: HSBC HOLDINGS PLC
Filing Date: 2025-02-20
Form: 20-F
Chunk 575
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 922 |                              |                            |                     |        |                     |      |
| total return swaps                                                                   |                349 |         847 | Market proxy                 | Price                      |                   0 |    104 |                   0 |  104 |
| other credit derivatives                                                             |                 27 |          75 |                              |                            |                     |        |                     |      |
| –  other derivatives                                                                 |                  9 |           4 |                              |                            |                     |        |                     |      |
| Other portfolios                                                                     |             10,512 |         787 |                              |                            |                     |        |                     |      |
| –  repurchase agreements                                                             |              1,739 |         742 | Model – Discounted cash flow | Interest rate curve        |                  0% |    26% |                  3% |   8% |
| –  bonds                                                                             |              4,300 |          27 | Market proxy                 | Price                      |                   0 |    140 |                   0 |  101 |
| –  other1                                                                            |              4,473 |          18 |                              |                            |                     |        |                     |      |
| At 31 Dec 2024                                                                       |             31,302 |      12,743 |                              |                            |                     |        |                     |      |

1 ‘Other’ includes a range of asset holdings including loans and deposits, syndicated loans and infrastructure debt.

2 ‘Private equity including strategic investments’ includes private equity, private credit and private equity fund, primarily held as part of our Insurance business and

for strategic investments. The analysis for private equity positions has been enhanced with the range of key unobservable inputs now quoted.

| 414 | HSBC Holdings plcAnnual Report on Form 20-F |

Notes on the financial statements

The range of values above shows the highest and lowest unobservable inputs that have been used to value significant Level 3 exposures and reflects the diversity of the underlying financial instruments in scope and subsequent differentiation in pricing. Private equity including strategic investments The ‘private equity’ holdings include private equity investments and private equity funds held as limited partners. The key unobservable input is the current value of the underlying positions, determined using valuation techniques in line with the International Capital Valuation Guidelines. The inputs represented are an appropriate range of inputs normalised across different exposure types. Prepayment rates Prepayment rates are a measure of the anticipated future speed at which a loan portfolio will be rep