Module I

1
What is the Risk?
Risk is the the possibility of something bad
happening at some time in the future; a situation
that could be dangerous or have a bad result.
Source: Oxford Advanced Learner’s Dictionary

What has risk got to do with a bank ?

A bank is all about taking risk, different types of risks,
to make a reasonable and sustainable return.

Raw material = Risk End product = Revenue

2
 Market risk represents the potential
loss a bank may incur as a result of
absolute and relative price
movements of financial instruments.
These price movements include
changes in interest rates, currency
fluctuations, changes in market
liquidity and changes in price
volatility etc.

Market risk
classifications

Foreign Interest Equity Credit

Volatility
Exchange Rates Spread

3
 PERATURAN OTORITAS JASA KEUANGAN NOMOR 18 /POJK.03/2016
TENTANG PENERAPAN MANAJEMEN RISIKO BAGI BANK UMUM
 SURAT EDARAN OTORITAS JASA KEUANGAN NOMOR 38
/SEOJK.03/2016 TENTANG PEDOMAN PENGGUNAAN METODE
STANDAR DALAM PERHITUNGAN KEWAJIBAN PENYEDIAAN MODAL
MINIMUM BANK UMUM DENGAN MEMPERHITUNGKAN RISIKO PASAR

 PADG No 19/5/PADG/2017 Tentang Pelaksanaan Sertifikasi Treasury

& Penerapan Kode Etik Pasar
 IFEMC Brown book –adopsi dan penerapan kerangka Market Conduct
di pasar Indonesia

4
FRTB – The new market risk paradigm
The Basel Committee of Banking Supervision (BCBS) published the Fundamental Review
of Trading Book (FRTB) final rule on January 14, 2016 after five years of discussion and
finalized in Feb 2019. However implementation will be differ to 2023 due to pandemic
Covid 19.

Value-at-Risk (VaR) is replaced with

expected shortfall (ES) risk measure
in revised IMA in order to address
the inadequacy of threshold-based
risk measures and to capture the
magnitude of losses in the tail of
distribution. VaR at 99 percent
(in Basel 2.5) has been replaced by
ES at 97.5 percent confidence level
in revised IMA. This also eliminates
the double counting of risk (by
use of VaR and stressed VaR)
and replaces it with a single risk
measure, expected shortfall (ES).

The liquidity horizons in FRTB range from 10 to 120 days depending on the complexity of
the asset type.

5
 Managing the Liquidity & Daily Cashflow.
 Managing Foreign Exchange and Interest Rate Risk
(i.e Hedging)
 To achieve the target profit from FX, MM and
Derivatives or Structure Products (if any)
 To achieve the Fee Based Income target trough
sales and brokerage business.
 Develop upcoming new products to fulfill the
customer needs.

6
 Online
Limit
check

 Counterparty Limit check

 Currency limit
 Trader limit
 Short sell (for Fixed Income only)
 Others

System set up

Middle Office
Post  Mandate check  Holding Period Limit  Off Market Rate
deal 

Stop Loss limit
PV01 Limit
 Round-trip 

Traded Benchmark Rates
Area Portfolio Review & Check
 Moneyness (Pin Risk)
Limit  NOP limit  Back to Back check (Dormant portfolio folder check)
 VaR limit  Late Deal Monitoring (off hour)

check  CS01 limit 
Internal Transfer Check
Price Discovery
 Point Parking
 Stale Rate check
Market Risk
7
 To be responsible for ensuring that market risk is
appropriately managed, including minimising the Bank’s
exposure to unforeseen losses arising from such risks.
(Market Risk Oversight)
 To develop the Market Risk policies
 To develop clear segregation between Trading & Banking
Book
 To identify and classify of Market Risk factor
 To do assessments of Treasury Trading limit proposal
 To provide risk opinion for new product assessment
 To develop Market Risk control infrastructure and
processes
 To adopt specific risk control measures
 Perform independent MTM – daily basis
 Perform The Risk Reporting & Monitoring
 Provide periodic Testing of Risk Control Measures

8
 The Independent unit which monitoring Treasury activities at
deal level.
 The Typical Role of Middle Office are as follows:
 Ensuring that every deals are transacted in accordance with dealing
mandate (Ccy, Product, Tenor, B2B etc.)
 Monitoring Holding Period of bond portfolio
 Back to Back Check
 Off Market Rate Transaction Monitoring
 Conduct Traded Benchmark Rates Monitoring
 Area Portfolio Review & Check (Dormant portfolio folder check)
 Conduct Late Deal Monitoring
 Point Parking
 Internal Transfer Check
 Moneyness Monitoring
 Round Trip
 Stale Rate check
 Price Discovery

9
Front Office
The front office is responsible
for:
 Working with the business
to identify exposures;
 Providing market
information and pricing
advice to the organization;
 Cash management;
 Dealing (money markets,
FX, interest rates, long-
term funding); and
 Deal entry into the treasury
management system (TMS).
Back Office
The back office administers and
supports the front office; its main
functions are to:
 Confirm treasury transactions in
a timely manner;
 Settle deals when due;
 Perform bank reconciliations in
order to ensure all funds have
moved as expected;
 Account for transactions;
 Provide all necessary reporting
where no middle office exists
10
 Profit & Loss
Deal Detail related
Reconciliation &
Finance check
Valuation

Middle Risk
Office Mgt

Treasury Trade Market Price

Operation Reconciliation Control

11
• Build scalable • Play active role in
framework to support Corporate
business and revenue Governance
growth
• Ensure survivability
• Ensure sustainability during crises
of profits

Regulatory requirements of independent risk function

12
Purpose:
 Layout the Risk Organisation and define
trading and banking book activities as
adopted by the bank.
 Define the market risk limits application
process.
 A structured framework for the
management of the market risk that the
bank undertakes vis-a-vis a set of
structured limits, delegated authorities
and escalation processes.

13
 Market Risk

Bankwide Policy &

Analytics
Limit Monitoring Procedure

14
Trading Book (TB) Banking Book (BB)
 Short Term Horizon  Long Term /
 Capital Gain Investment
 Enable to hedge  Liquidity Buffer

 As per accounting  Yield Enhancement

Role a result of MTM oriented
shall be recognized  Rebalancing Portfolio
in the Profit & Loss  As per accounting
Role a result of MTM
shall be recognized
in bank’s capital

15
 To optimise risk-return earnings
potential, while ensuring that losses in
adverse market circumstances remain
within acceptable levels. Hence, all
risk-taking activities must yield a
return that commensurate with the
risk taken.

16
 VaR

NOP
PV01

Risk
Measures

Stop Loss /
Management
Action Trigger
Notional
Option
Greeks
PV01 – Present Value of 1bps move in yield
CS01 - Present Value of 1bps move in credit spread 17
 Interest rate
Risk
FX Risk
Volatility Risk

Risk
Types
Commodity
risk

Basis
Equity Risk
Risk

18
Board of
Commissioners

BOD / ALCO

Treasury Director Risk Management Director

Treasury Market Risk Management

Dealer Level Market Risk / Middle Office

Staff

Limit Escalation
Limit Delegation

19
Trading, hedging and underwriting limits
annually as part of their business
management process. Limit application and
approval exercises are conducted to
coincide with the Bank’s annual budget
exercise. These applications are prepared by
the respective business units and submitted
to the Risk Director and ALCO for approval
through MRD.

20
The Contents are:

 Business Plan
 Limit Justification
 Risk Mitigation
 Historical Utilization
 Capital Requirements*

These components cover every aspect of managing each

respective BU in a manner that is risk and capital efficient

* If possible, the limit application must be accompanied by a

computation of capital required for the business.

21
 purpose of the requested limits,
 the target markets,
 the expected income,
 the expected capital requirements.
 must identify the currencies and specific
markets that the business units intend to
be exposed to.
 The plan should qualify how the limits
would be utilized, for example, trading or
hedging.

22
 The business unit must justify its limit
application. Business units justify the
requests for limits based on their business
plans for the financial year. Supporting
factors could include target market, and
expected business volume. Another useful
basis for justifying limit requests is data on
historical limit utilization.
 While certain markets may offer potentially
high returns, business units must be able to
defend limit requests for these markets
striking a balance between risk and
rewards.

23
Step 1 Step 2
Step 3
BU Proposed the Risk management
Annual limit (with Division Head
notification by should Review the Proposal goes to
Treasury Proposal and gives ALCO for Approval
Directors) to Risk recommendation to
Management Risk Management
Division Directors

24
 Treasury

Trading Book Banking Book

Based on characteristic between Trading & Banking

Book, The “Bank” should decide which transaction should
go into the respective books.
This will depend on “THE INTENTION” of The Treasury.

25
26
27
 Interest Rate Risk
 Equity Risk
 FX Risk
 Commodity Risk
 Credit Spread Risk
 Option Risk

28
 Credit spreads are generally measured and
quoted as the yield difference between a
government bond and a corporate bond
properly adjusted for coupon and maturity.
The credit spread risk measures the impact
of changes in the credit spread of the
issuer/borrower on the institution that is
holding the paper. Such risk is embedded in
corporate bonds that are traded by Fixed
Income Trading Desk.

29
 Notional Limit  VaR Limit
 PV01 Limit  Duration Limit
 NOP Limit  CS01 Limit
 Cut loss/Stop loss  Greeks Limit

30
SOFT AND HARD LIMIT : First, Second and Third Line of Defense

NOTIONAL

PV01

CS01
Management STOP LOSS
DURATION Action MTD, YTD
Triggers
GREEKS

VAR

31
 Net Open Position Limit
 PV01 or Duration Limit
 Stop Loss
 Management Action Trigger Limit

32
 Limit for FX Risk
 NOP is calculated as:
FCY Asset (On & Off) - FCY Liab. (On & Off)

 Set as per Currency

 Limited to Central Bank Regulation (<= 20%)

33
 These limits control PV01, which is a
sensitivity measure for interest rate risk.
PV01 measures the change in value of a given
position given a 1BP or 0.01% rise in interest
rates.
 PV01 limits are by each currency exposure,
and further broken into tenor buckets.

34
 Price and yield are inversely related
c1 c2 cn
p( y)   2
  n
 y  y  y
1   1   1  
 2  2  2

$175.00

$150.00

$125.00
Bond price ($)

$100.00

$75.00

$50.00

$25.00

$0.00
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
Yield to maturity (% per year)

Two year bond Five year bond

 Long bonds are more sensitive to yield changes than short

bonds

35
 Duration is a weighted average of the time
until the expected cash flows from a
security will be received, relative to the
security’s price
k n
CFt (t) CFt (t)

◦ Macaulay’s Duration
(1 + r) t t =1 (1 + r)
t
D = t =k1 
CFt Price of the Security

t =1 (1 + r)
t
37
Modified duration is a modified version of the Macaulay
model that accounts for changing interest rates.
Because they affect yield, fluctuating interest rates will
affect duration, so this modified formula shows how
much the duration changes for each percentage change
in yield.

For bonds without any embedded features, bond price

and interest rate move in opposite directions, so there
is an inverse relationship between modified duration
and an approximate one-percentage change in yield.
Because the modified duration formula shows how a
bond's duration changes in relation to interest rate
movements, the formula is appropriate for investors
wishing to measure the volatility of a particular bond.
Modified duration is calculated as the following:

38
39
40
 Definition: (modified) duration is the proportional decline in price
associated with a unit increase n yield
slope of price - yield relation
D
price
dp / dy

p
 Formula with semiannual compounding and complete first period:

n
dp / dy 1 j
D
p
  w
1  y / 2 j 1 2 j
cj
where w j  j
p1  y / 2 

 Usage
 p   p  D   y

(Approximation good for small changes in y)

 Remarks
◦ Weight wj is fraction of value due to the jth payment
◦ Sum is weighted average life of payments

41
 Stop Loss Limits are maximum allowable loss
to avoid accumulation of excessive trading
losses.
 It defines risk appetite by defining the
maximum aggregated loss that management is
willing to take.
 The loss limits can be calculated on daily,
monthly and annual basis.
 This limit begins at a bankwide aggregate
trading stop loss limits and this is delegated
down to divisions and right to dealer level.

42
 MAT are management action triggers (usually
around 70% or 75% of the stop loss limits).
 Applicable on a MTD and YTD basis.
 Once triggered, The process will require
reporting to delegators and director risk and an
action plan by the trader/division head (if
necessary).
 It acts as an alert to require the BU to reassess
their position and strategy going forward.

43
 Delta: is the option Greek that measures the estimated change in
option premium/price for a change in the price of the underlying.

 Gamma : measures the estimated change in the Delta of an option

for a change in the price of the underlying.

 Vega : measures the estimated change in the option price for a

change in the volatility of the underlying.

 Theta: measures the estimated change in the option price for a

change in the time to option expiry.

 Rho: measures the estimated change in the option price for a

change in the risk free interest rates.
 Value at Risk is an estimate of the worst
possible loss an investment could realize over a
given time horizon, under normal market
conditions (defined by a given level of
confidence).
 Risk measured in currency unit (e.g., dollars)
instead of standard deviation of returns
 For a given “probability”and a given future
“investment horizon”,
an estimate of the maximum dollar loss that
would be incurred on a given portfolio position
if the position is not changed over the
investment horizon.
 VaR is widely used for Internal model for
Minimum Capital requirement

45
Developed in early 1990’s by J.P. Morgan by Chairman Dennis
Weatherstone.

He wanted a single measure of overall portfolio risk summarizing

the company’s overall global risk exposure during the next 24 hours. The
resulting report was known as the 4.15 Report.

In 1994 J P Morgan provided all #’s used in their calculations on a web site.

Widely used today. Some impetus for VaR is fact that regulators require
banks to calculate VaR and use it in determining required bank capital.

In recent market moves of late 1998, some VaR did not work. Consultants
are now looking at possibility of developing VaR measures that look at more
than a single risk (market price risk).

46
 “an attempt to provide a single number for senior
management summarizing the total risk in a
portfolio of assets”
– Hull, OF&OD

 “an estimate, with a given degree of confidence, of

how much one can lose from one’s portfolio over a
given time horizon”
– Wilmott, PWOQF

47
 Market Risk-VaR
Calculation Methods

Analytical method
Using historical data, calculates stdev of percentage
price changes of the portfolio and calculates the
related VAR assuming normal distribution

Historical Simulation
Using historical data, calculates daily return & VaR derived by
percentile method, mostly used by international banks

48
 Streamlining trading organizations and
improving how capital is managed are areas
of importance for many businesses
 VAR is more advance compare to PV01 & NOP

49
 Summary measurement
 Forward looking in order to expect future loss
under certain confidence level
 Dependable on Time Horizon Parameter
 Dependable on probability level chosen

Source: P. Jorion

50
 Dynamic, captures both changing market
circumstances and the changing portfolio
composition of each unit
 A Clear comprehensive view of risk in
homogeneous units
 Could also directly impact to Capital Charge
Calculation (if using internal model)

51
52
 Assuming Market data are Normally distributed
 Pros:
1. able to show the correlation impact
 2. Good basic concept in explaining VaR
 Cons:
1. Does not handle cases in which continuos returns from a
“strategy” (or asset class) are not normally distributed (options
and option like strategies)
2. Complex on calculation portfolio VaR
 3. Sometimes tail risk go high

53
54
55
Standard Deviation (σ) The Square
Root of the average of the squared
distances of the observation from the
mean. Standard Deviation

17.5

17

16.5

16

15.5

15

Data

14.5 Linear
(Data)

14
0 2 4 6 8 10 12 14 16

56
 Correlation Analysis is the statistical tools we
can use to describe the degree to which one
variable is linearly related to another

r2 = 1-(∑(Y-Y’)2/∑(Y-Y”)2)

Y’ = Y estimate
Y” = Y average

57
MATRIX CORRELATION

USD EURO JPY SGD AUD HKD GBP

0.70 0.46 0.92 0.63 0.99 0.51

USD 1.0000 38 15 70 59 85 55

1.00 0.52 0.73 0.82 0.71 0.82

EURO 0.7038 00 45 60 40 34 43

0.52 1.00 0.63 0.46 0.47 0.29

JPY 0.4615 45 00 55 19 53 41

0.73 0.63 1.00 0.62 0.92 0.44

SGD 0.9270 60 55 00 11 96 20

0.82 0.46 0.62 1.00 0.63 0.84

AUD 0.6359 40 19 11 00 74 39

0.71 0.47 0.92 0.63 1.00 0.51

HKD 0.9985 34 53 96 74 00 69

0.82 0.29 0.44 0.84 0.51 1.00

GBP 0.5155 43 41 20 39 69 00
58
FX Value at Risk
Confidence Interval 99.00%
Holding Period 1 Days

Normsinv 2.326347874
Holding Period 1.0000

Backtesting
Confidence Interval n p z
99% 731 1% 2.326347874

Individual VaR
USD EURO JPY
Current VaR (30 Days Volatility) 0.72% 1.14% 1.13%
1/12/2003
Open Position (Base Currency) 2,000,000 1,000,000 400,000
Exchange Rate (Againts IDR) 8,918.00 9,431.68 74.74
Open Position (IDR) 17,836,000,000 9,431,676,800 29,896,078
Capital Charge (IDR) 128,133,673 107,568,989 336,385

Agregate VaR
Position (IDR)
individual VaR -Sum (IDR)
Agregate VaR (IDR)
Bank's Capital (IDR)
Capital Charge (IDR)
Multiplier
54,861,402,109.99
420,800,427.08 0.77% Againts the Position
413,633,760.98 0.75% Againts the Position
1,200,000,000,000.00 4.57% % Position (IDR) Againts The Bank's Capital
20,681,688,049.08 1.72% % Capital Charge Againts Banking Capital
4

59
 Using actual market returns for the period of
potential loss
 Pros:
1. Straight forward
2. Simple to calculate

 Cons:
1. Requires reliable historical data of returns
 2. there is still possibility of future distribution of
returns will be different than past distribution

60
 Prepare 250 or 300 daily return data
 To aggregate individual daily return on Day t
 Short series of daily returns (Maximum to Minimum)
 Calculates percentile using confidence interval
 VaR level is at day “X” …. Based on (1-CL) *number of historical past
returns days

61
62
15000

14000

13000

12000

11000

10000

9000

8000

7000
0 0.083 0.167 0.25 0.333 0.417 0.5 0.583 0.667 0.75 0.833 0.917 1

63
Traditional limit VAR Limit
 Not directly  Can directly
comparable against comparable against
unit unit
 Do not incorporate  Incorporate leverage
leverage effect effect (for analytics
 Do not contain VaR)
volatility simulation  Already covered
 May misrepresent the volatility simulation
risk of derivatives  Able to represent the
portfolio aggregate risk of
portfolio

64
65
 It is a formal statistical framework that consist of
verifying that actual losses are in line with
projected losses
 This involves systematically comparing the history
of VaR forecasts with their associated portfolio
return
 Model Validation, the general process of checking
weather model is adequate
 Back testing is also central to Basle Committee’s
ground breaking decision to allow internal VaR
model for Capital requirement

66
(np – Z0.005(np(1-p)) <  < (np + Z0.005(np(1-p))

n = Data sample
p = 1-
Z.005 = Z table; 2 tailed:  = 1%
 = Error Event

67
68
 Does not account for fat tails
 Does not capture default risk A fixed holding
period fails to account fully for liquidity risks Is not
a coherent measure of risk
 Does not account for intra-day risks Is a static
measure of risk
 May not capture illiquid risk factors such as basis
risks

69
 Call Put
Buyer

Unlimited
Profit
St St
Seller

Unlimited
Loss

St St
 Options are volatile and risky instruments.
The link between probability theory and
investment risk makes it possible to quantify
option investment risk in very precise ways.
Any change in the variables used in the
valuation model (interest rate, future price,
days to expiration, and volatility) will affect
the options' prices. These variables represent
risks to an option portfolio.
 Delta: is the option Greek that measures the estimated change in option
premium/price for a change in the price of the underlying.

 Gamma : measures the estimated change in the Delta of an option for a

change in the price of the underlying.

 Vega : measures the estimated change in the option price for a change
in the volatility of the underlying.

 Theta: measures the estimated change in the option price for a change
in the time to option expiry.

 Rho: measures the estimated change in the option price for a change in
the risk free interest rates.
ATM
Probability for Option to be Exercised
 Buy 1mm of 3m 1.1050 EUR-USD Call with Spot=1.1000
Premium=$16,267 Delta=42%
Spot hedge = -Delta * Notional = -42% * EUR1mm

Spot hedge: Sell EUR 420,000 at 1.1000

If Spot moves to 1.0995,
new option premium=$16,057, so it lost $210

but spot hedge position gained (1.1000-1.0995) * 420k = $210

75
 To define your organisation's risk appetite and
determine the acceptable level of risk, you
should answer the following questions:

• Where do we feel we should allocate our limited

time and resources to minimize risk
exposures?
• What level of risk exposure requires immediate
action?
• What level of risk requires a formal response
strategy to mitigate the potentially material
impact?
• What events have occurred in the past, and at
what level were they managed?
76
 MTD Stop IR (PV01)
Loss

Target Capital
VaR Charge
Profit for
market
risk

YTD Stop Loss FX (NOP)

• Set up Appetite for: K(mtd); K(ytd); interest moved up to max Holding Period
• Calculates FX Volatility (Annualized)
• Input target profit, capital data
• Conduct simulation on PV01, NOP
• Running VaR for understanding historical usage

77
78
 NOP Limit
 PV01 Limit (in USD)
 CS01 Limit (in USD)
 YTD & MTD Stop Loss
 MAT YTD & MTD Stop Loss

79
Capital Rp 2.000.000.000.000
Profit Target Rp 30.000.000.000
Volatility - 1 year 5%
YTD's Coefficient 6,00
YTD Stop Loss 15.000.000.000
MAT YTD STOP LOSS 11.250.000.000

Assumed:
IDR/USD 14500
Volatility - 1 year 725 pips

Currency Limit- USD/IDR

Scenario NOP Position (IDR) % of Capital NOP Potential loss

in USD in IDR

A 300.000.000.000 15,00% USD 20.689.655 Rp 15.000.000.000

Check should be Zero Rp -

80
NOP Limit ?

Assumption : Bank's Capital 2.000.000.000.000

Spot 14500
Volatility 5% Note
NOP (% of Capital) 15% Max 20% of NOP WITHIN REGULATORY LIMIT
NOP (in IDR) 300.000.000.000
NOP (in USD) 20.689.655
Potential Loss for FX form Stop Loss YTD (IDR) 15.000.000.000
Potential Loss for FX from Volatility (IDR) 15.000.000.000

Check should be zero - Target goal seek !!!!!!!!!

81
 Treasury Budget 20XX
Total IDR 120.000.000.000

MTD Stop Loss 30.000.000.000 MAT - MTD 22.500.000.000

- k MTD 3 Months Risk Appetite 75%

YTD Stop Loss 60.000.000.000 MAT - YTD 45.000.000.000

- k YTD 6 Months Risk Appetite 75%

82
Summary results

Stop Loss (MTD &YTD) ?

- MTD 30.000.000.000
- YTD 60.000.000.000
Sub limit : YTD Stop Loss for Fixed Income Trading 35.000.000.000
Sub limit : YTD Stop Loss for FX Trading 15.000.000.000
MAT for both MTD & YTD Stop Loss ?
- MTD 22.500.000.000
- YTD 45.000.000.000

PV01 & CS01 Limit ?

> PV01 48.276 goal seek

> CS01 13.793 goal seek

83
 Limit Type Sub-Limit Current Limit Treasury's Proposal Market Risk's Remarks
recommendation
Based on Hypothetical P&L inline with
target profit.
NOP Limit (in USD Total 30 20,7 20
Mn) BI’s regulation requires Bank NOP (On
and off balance sheet) to be maximum
20% of capital, which is currently USD ------
-- Mio

(in USD Mio) USD 20 18 13

SGD 5 4 3 The increase/decrease of Total NOP is
AUD 5 4 3 inline with profit budget
EUR 5 4 3
GBP 5 4 3
HKD 5 4 3
JPY 5 4 3
Others 1 2 1

PV01 (USD '000) > Fixed Income trading 30 48 48 If interest rate moved to 100bp, will only
hit x% of profit target
CS01 (USD '000) > Corporate Bond 30 14 14

PV01 Tenor
Month to Date 15,00 25 50 Calculation is based on formula:
(IDR Bio)
Stop Loss k-mtd * monthly profit

Year to Date 30,00 50 50 Base on formula:

(IDR Bio)
k-ytd * monthly profit

Year to Date 11,25 18,8 18 Calculation is based on formula:

Management Action
trigger (IDR Bio)
(MAT) MAT is 75% of Stop Loss

Month to Date 22,5 37,5 37

(IDR Bio)
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Treasury Budget 20XX
Trading profit target for Treasury in year 20xx is IDR xxx Bio,
consist of profit from FX (IDR xxx Bio) and from Interest rate (IDR xxxx Bio).
From trading interest rate, Treasury plans to do bond’s trading and others (Corporate Bond).

in IDR
FX Trading 50.000.000.000,00
Interest Rate Risk/Credit Spread Trading
> Fixed Income trading 50.000.000.000,00
> Corporate Bond 30.000.000.000,00
130.000.000.000,00

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Assumptions
Risk Appetite for Stop Loss
- Risk Appetite - MTD 3 Months

- Risk Appetite - YTD 6 Months

MAT is defined for ….% of Stop loss 85%

The Yield Curve is assumed to move…...Bps pararelly shifted form the original yield curve 100 Bps

Every impact calculations should not reach more than …...% of budget profit 100%
All FX open position would be reflected in USD/IDR
Annual Volatility for USD/IDR is 5%
and the exchange rate is at level of 14500

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 NOP Limit
 PV01 Limit (in USD)
 CS01 Limit (in USD)
 YTD & MTD Stop Loss
 MAT YTD & MTD Stop Loss

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