Investor Presentaiton
Impacts of financial investments
Hold-to-collect-and-sell ('HTC&S') portfolio, $bn
347
(27)%
255
FY21
FY22
Strategy
4022 results
Appendix
As part of our interest rate hedging strategy, we hold a debt portfolio of financial
investments measured at fair value through other comprehensive income (FVOCI),
which are classified as hold-to-collect-and-sell. This portfolio totalled $255bn at FY22,
down $92bn (27%) vs. FY21
The increase in term market yield curves in FY22 drove a $5.5bn fall in the fair value of
securities through OCI (0.7ppts of CET1). Over time, these adverse OCI movements
will unwind as the instruments reach maturity, although not all instruments will
necessarily be held to maturity
We have taken actions in FY22 to reduce the duration risk of this portfolio and the
overall capital volatility of our hedging instruments, including decreasing the
amount of securities held under HTC&S (measured at FVOCI) and prospectively
increased those held under to hold-to-collect (measured at amortised cost)
Risk reduction has lowered the HTC&S stressed value at risk exposure of this
portfolio from $3.6bn at the end of 2021 to $2.2bn at the end of 2022
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