DBS BANK CHINA LIMITED NOTES TO THE FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2009 All amounts expressed in Rmb unless otherwise stated
[English translation for reference only]
54
45 FINANCIAL RISK
MANAGEMENT continued
45.3 Market risk continued i
Trading market risk continued
As at 1 January 2009 to 31 December 2009
Rmb in million 31 December 2009
Average Highest
Lowest Total 3.40
6.95 17.02
1.90 As at
1 January 2008 to 31 December 2008 31
December 2008
Average Highest
Lowest Total 4.57
5.23 10.94
1.90 using a 1-year historical observation period effective from 1 June 2009
using a 2-year historical observation period
ii Non-trading market risk
Non-trading market risk arises from changes in foreign exchange rates and interest rate. Non-trading market risk arises in the course of a the Bank’s management of funds
arising from banking intermediation and b the Bank’s banking business; specifically, from mismatches in the interest rate profile of assets and liabilities, from the effect of exchange
rate movements on the Bank’s earnings and capital accounts.
To optimize its income and balance sheet management, the Bank deploys funds in the interbank market. Derivatives may be used to hedge non-trading market risk. The market
risks arising in the course of managing surplus funds are monitored using risk sensitivity measures.
China BAC and Senior Management Committees oversee non-trading market risk and allocate core limits to risk taking units. China ALCOMRC is responsible for
managing the risks, including the setting of operational limits and guidelines to refine risk management.
A Currency risk
Non trading foreign exchange exposure covers the foreign exchange risk arising from foreign currency earnings. Foreign currency loans in fundable currencies are generally
funded in the same foreign currencies. However, positions arising from currencies which have high hedging costs or which are illiquid or controlled, will be reviewed by China
ALCOMRC and may be managed with alternative strategies or left unhedged. This non- trading foreign exchange risk is monitored using foreign exchange net open position
reports.
The table below summarizes the Bank’s exposure to foreign currency exchange rate risk at the end of each reporting period. Included in the table are the Bank’s assets and liabilities
at carrying amounts in Rmb, categorized by the original currency.
DBS BANK CHINA LIMITED NOTES TO THE FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2009 All amounts expressed in Rmb unless otherwise stated
[English translation for reference only]
55
45 FINANCIAL RISK MANAGEMENT continued
45.3 Market risk
