The balances in the above table will not agree with the balances in the consolidated balance sheet as the table incorporates all cash flows, on an undiscounted basis, related to both principal as well as future interest payments.
Customer assets and liabilities including non-maturing savingscurrent deposits are represented on a contractual basis or in a period when it can legally be withdrawn. On a behavioral basis for liquidity risk analysis, the assets and liabilities cash flows may differ from
contractual basis.
46.1 Derivatives settled on a gross basis
The table below shows the Group’s derivative financial instruments in the period where they mature based on the remaining period to contractual maturity date as at the balance sheet date. The amounts disclosed in the table are the contractual undiscounted cash
flows on a gross settlement basis.
Less than 1 week to
1 to 3 3 to 12
More than In millions
7 days 1 month
months months
1 year Total
2011
Foreign exchange derivatives – outflow
62,640 61,447
112,085 147,500
65,387 449,059
– inflow 62,494
61,360 112,600
147,560 64,508
448,522 2010
Foreign exchange derivatives – outflow
37,345 47,079
64,501 98,369
50,635 297,929
– inflow 37,356
47,244 64,632
98,767 50,249
298,248
46.2 Contingent liabilities and commitments
The table below shows the Group’s contingent liabilities and commitments in the period where they expire based on the remaining period to contractual maturity date as at the balance sheet date:
Less than Over
In millions 1 year
1 to 3 years 3 to 5 years
5 years Total
2011
Guarantees, endorsements and other contingent items 20,789
– –
– 20,789
Undrawn loan commitments
a
and other facilities 109,321
3,255 3,333
502 116,411
Operating lease commitments 149
300 241
191 881
Capital commitments 30
3 –
– 33
Total 130,289
3,558 3,574
693 138,114
2010
Guarantees, endorsements and other contingent items 16,031
– –
– 16,031
Undrawn loan commitments
a
and other facilities 90,044
2,410 1,949
553 94,956
Operating lease commitments 132
312 185
292 921
Capital commitments 40
1 –
– 41
Total 106,247
2,723 2,134
845 111,949
a Undrawn loan commitments are recognised at activation stage and include commitments which are unconditionally cancellable by the Group
The Group expects that not all of the contingent liabilities and undrawn loan commitments will be drawn before expiry.
141 DBS Annual Report 2011
NOTES TO THE FINANCIAL STATEMENTS
for the year ended 31 December 2011
46.3 Behavioural profiling
For the purpose of liquidity risk management, the Group actively monitors and manages its liquidity profile within a 1-year period. A conservative view is adopted in the behavioural profiling of assets, liabilities and off-balance sheet commitments that have exhibited
cash flow patterns that differ significantly from the actual contractual maturity profile.
The table below shows the Group’s behavioural net and cumulative maturity mismatch between assets and liabilities over a 1-year period under a normal scenario without incorporating growth projections:
Less than 1 week to 1
1 to 3 3 to 6
6 months to In millions
a
7 days month
months months
1 year
2011
Net liquidity mismatch 15,272
1,120 9,694
4,586 2,670
Cumulative mismatch 15,272
14,152 23,846
28,432 31,102
2010
Net liquidity mismatch 15,969
6,844 16,810
2,297 3,328
Cumulative mismatch 15,969
22,813 39,623
37,326 40,654
a Positive indicates a position of liquidity surplus. Negative indicates a liquidity shortfall that has to be funded
As the behavioural assumptions used to determine the maturity mismatch between assets and liabilities are updated from time to time, the information presented above is not directly comparable across past balance sheet dates. Notwithstanding this, the change
from the previous year reflects the strong loan growth relative to deposits increase over 2011.
47 CAPITAL MANAGEMENT
The Group’s capital management policies are to diversify its sources of capital, to allocate capital efficiently, guided by the need to maintain a prudent relationship between available capital and the risks of its underlying businesses and to meet the expectations of
key constituencies, including investors, regulators and rating agencies. The Group has complied with all capital adequacy ratios prescribed by the regulators.
The capital management process, which is under the oversight of the Capital and Balance Sheet Committee, includes periodic reviews of both the demand for and supply of capital across the Group. Overseas subsidiaries and non-banking subsidiaries of the
Group may be required to comply with country-specific and industry-specific capital requirements depending on the applicable jurisdiction and industry they operate in. Available capital is allocated across competing demands, guided by the policies outlined
above, and to ensure regulatory compliance. Quarterly updates are provided to the Board of Directors.
The Group has adopted the capital adequacy requirements of Basel II as set out in the revised Monetary Authority of Singapore Notice to Banks No. 637 Notice on Risk Based Capital Adequacy Requirements for Banks incorporated in Singapore with effect
from 1 January 2008.
142
The following table sets forth details of capital resources and capital adequacy ratios for the Group. MAS Notice to Banks No. 637 “Notice on Risk Based Capital Adequacy Requirements for Banks incorporated in Singapore” sets out the current requirements
relating to the minimum capital adequacy ratios for a bank incorporated in Singapore and the methodology a bank incorporated in Singapore shall use for calculating these ratios.
In millions 2011
2010
Tier 1 Capital Share capital
9,350 8,780
Disclosed reserves and others 23,308
23,927 Less: Tier 1 Deductions
5,123 5,064
Eligible Tier 1 Capital 27,535
27,643 Tier 2 Capital
Loan allowances admitted as Tier 2 1,151
696 Subordinated debts
5,305 5,281
Revaluation surplus from equity securities 29
149 Less: Tier 2 Deductions
192 142
Total eligible capital 33,828
33,627
Risk-weighted assets 213,722
182,694 Capital Adequacy Ratio
Tier 1 ratio 12.9
15.1 Total Tier 1 and 2 ratio
15.8 18.4
