NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2012
All amounts expressed in Rmb unless otherwise stated [English translation for reference only]
65
48 FINANCIAL RISK MANAGEMENT continued
48.4 Liquidity risk continued C
Off-balance sheet items No later than
1 year 1-5 years
Over 5 years Total
31 December 2012
Letters of credit issued 21,865,545,724
- -
21,865,545,724 Letters of guarantee issued
969,822,408 123,206,955
19,000,000 1,112,029,363
Irrevocable loan commitment 236,046,796
355,557,020 145,157,699
736,761,515 Bank acceptances
1,194,520,292 -
- 1,194,520,292
Standby letter of credit 948,702,502
125,710,000 -
1,074,412,502 Operating lease commitments
138,469,484 177,319,528
- 315,789,012
Total 25,353,107,206
781,793,503 164,157,699
26,299,058,408
31 December 2011
Letters of credit issued 10,692,871,136
257,000,000 -
10,949,871,136 Letters of guarantee issued
1,468,209,892 86,929,793
19,000,000 1,574,139,685
Irrevocable loan commitment 332,087,337
822,962,107 374,888,081
1,529,937,525 Bank acceptances
1,065,096,451 -
- 1,065,096,451
Standby letter of credit 705,632,344
126,018,000 -
831,650,344 Operating lease commitments
99,225,441 214,054,617
- 313,280,058
Total 14,363,122,601
1,506,964,517 393,888,081
16,263,975,199
48.5 Fair values of financial assets and liabilities
Fair values estimation is made in accordance with information of market and financial instruments in some specific point. Estimation is based on following methods and supposition:
i Cash and due from other banks and financial institutions, Deposits with the central bank, Deposits
with other banks, Due to other banks and financial institutions, Interest receivable, Interest payable, Other assets and Other liabilities.
Given that maturities of these financial assets and liabilities are either short-term or re-priced more than once every year; the carrying amount approximates the fair value.
ii Loans and advances
Because the Rmb loan interest rates follows the movement of PBOC benchmark interest rates, and interest tares for loans denominated in foreign exchange are generally floating rates, fair value of
loans is close to carrying value.
iii Customer deposits The fair value of current, savings and money market accounts is the amount payable on demand at
the reporting date. The carrying value of fixed interest-bearing deposits and placements approximates to its fair value because they are mainly payable in short term period.
NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2012
All amounts expressed in Rmb unless otherwise stated [English translation for reference only]
66
48 FINANCIAL RISK MANAGEMENT continued
48.6 Fair value hierarchy
CBRC guidance specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. Observable inputs reflect market data
obtained from independent sources; unobservable inputs reflect the Bank ’s market assumptions.
These two types of inputs have created the following fair value hierarchy: • Level 1
– Quoted prices unadjusted in active markets for identical assets or liabilities. • Level 2
– Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly that is, as prices or indirectly that is, derived from prices. This level
includes the majority of the OTC derivative contracts and Rmb debt instruments traded in inter-bank market. The sources of input parameters like LIBOR yield curve or counterparty credit risk are
Bloomberg and China Bond.
• Level 3 – inputs for the asset or liability that are not based on observable market data
unobservable inputs. This level includes structured financial instruments. This hierarchy requires the use of observable market data when available. The Bank considers
relevant and observable market prices in its valuations where possible.
31 December 2012
Level 1 Level 2
Level 3 Total
Financial assets at fair value through profit or loss
- Trading securities -
3,987,444,525 -
3,987,444,525 - Derivatives assets
- 2,871,929,620
1,894,307 2,873,823,927
Available –for-sale investments
- 3,051,065,805
- 3,051,065,805
Total Assets
- 9,910,439,950
1,894,307 9,912,334,257
Financial liabilities at fair value - Derivative liabilities
- 2,741,810,723 2,269,986 2,744,080,709
- Repos - 2,141,329,682
- 2,141,329,682
Financial liabilities designated as fair value through profit or loss - SIPs
- 3,384,042,912 722,115 3,384,765,027
Total Liabilities - 8,267,183,317
2,992,101 8,270,175,418
NOTES TO THE FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2012
All amounts expressed in Rmb unless otherwise stated [English translation for reference only]
67
48 FINANCIAL RISK MANAGEMENT continued
48.6 Fair value hierarchy continued
