Market Risk Annual Report Bank Artha Graha 2015 final lowres

390 Annual Report PT Bank Artha Graha Internasional, Tbk Informasi Bagi Pemegang Saham dan Investor Shareholders and Investors Information Report to Shareholders and Stakeholders Company Profile Laporan Kepada Pemegang Saham dan Pemangku Kepentingan e. PPJB juga dapat diterima sebagai jaminan apabila sertifikat tersebut dalam proses pemecahan; Namun harus ada cover note dari notaris yang menyatakan sedang ditingkatkan status sertifikatnya dan terdapat jangka waktu penyelesaiannya. f. PPJB masih dapat diterima apabila jaminan tersebut akan dijual. g. Jaminan pribadiperorangan dan jaminan perusahaan. Tidak Material : Seperti Hak Sewa atas kios, Garansi Bank, Letter of Indemnity, dan lain-lain. 2 Kebijakan, prosedur dan proses untuk menilai dan mengelola agunan. Pada prinsipnya pemberian pinjaman harus disesuaikan dengan kemampuan pembayarannya, tetapi analisa jaminan tetap dibutuhkan sebagai alternatif penyelesaian apabila pinjaman menjadi bermasalah. Jaminan yang diterima merupakan jaminan yang materiil dan memiliki nilai pasar yang tinggi dan diutamakan atas nama calon debitur. Agunan dilakukan penilaian oleh internal atau eksternal appraisal, dimana pinjaman Rp. 2 miliar ke atas, maka agunan harus dilakukan penilaian oleh independen appraisal sedangkan pinjaman dibawah Rp. 2 miliar dilakukan oleh Bagian Penilaian Jaminan internal Bank. 3 Pihak-pihak utama pemberi jaminangaransi dan kelayakan kredit dari pihak-pihak tersebut. Pihak-pihak utama pemberi jaminangaransi dan kelayakan kredit dari pihak-pihak tersebut telah diatur dan ditetapkan dalam Pedoman Kebijakan Perkreditan Bank.

2. Risiko Pasar

a. Organisasi Manajemen Risiko Pasar Dalam struktur organisasi Bank, Direktur Kepatuhan membawahi Divisi Manajemen Risiko yang bersifat independen dari unit kerja operasional, Divisi Kontrol, Divisi Kepatuhan, dan SKAI. Divisi Manajemen Risiko terdiri dari 2 dua Bagian yaitu Bagian Manajemen Risiko Kredit dan Bagian Manajemen Risiko Non Risiko Kredit dan ditambah Sektretariat Divisi. Salah satu tugas dan tanggung jawab Bagian Manajemen Risiko Non Risiko Kredit bertanggung jawab untuk melakukan pengelolaan risiko non risiko kredit dalam hal penerapan proses manajemen risiko pasar berupa identifikasi, kajian, analisa, review, penilaian, tinjauan, pemantauan dan pengendalian risiko pasar yang dihadapi Bank. e. Sales and Purchase Agreement is also acceptable as collateral if the certificate is in settlement process; But there must be a cover note from the notary stating that the certificate status is being upgraded and there is period of completion. f. Sales and Purchase Agreement is acceptable if such collateral will be sold. g. Personal guarantee and corporate guarantee. Non-Material : Such as leasehold on kios, Bank Guarantee, Letter of Indemnity, etc. 2 Policy, procedure, and process to assess and manage collateral. In principle, lending shall be adapted to the payment capability, but assurance analysis remain required as an alternative solution if the loan becomes problematic. Guarantee received is a material guarantee and has a marketable and preferably registered in the name of debtor. Appraisal on the collateral is conducted by internal or external appraisal, for loan amounted to Rp 2 billion - above, collateral shall be appraised by independent appraisal, as for loan below Rp 2 billion, the appraisal is conducted by Bank’s Internal Collateral Appraisal Department. 3 Main parties granting a guarantee and creditworthiness of such parties. Main parties granting a guarantee and creditworthiness of such parties is governed and determined in Bank’s Credit Policy Guidelines.

2. Market Risk

a. Market Risk Management Organization In the organizational structure of the Bank, Compliance Director oversees the Risk Management Division which is independent from operational units, Controls Division, Compliance Division, and Internal Audit. Risk Management Division consists of 2 two Department namely Credit Risk Department and Non-Credit Risk Management Division as well as Secretary Division. One of the duties and responsibilities of Non Credit Risk of Risk Management Department is responsible for the risk management of non-credit risk in terms of the implementation market risk management process in form of identification, study , analysis, review, assessment, observation, monitoring and control of market risks faced by the Bank. 391 PT Bank Artha Graha Internasional, Tbk Tinjauan Pendukung Bisnis Overview Business Support Management Discussion and Analysis Good Corporate Governance Tanggung Jawab Sosial Perusahaan Corporate Social Responsibility b. Pengelolaan portofolio trading book dan banking book serta metodologi valuasi yang digunakan. Dalam melaksanakan aktivitasnya, Bank terekspos pada risiko pasar yaitu risiko pada posisi neraca dan rekening administratif termasuk transaksi derivatif, akibat perubahan secara keseluruhan dari kondisi pasar, termasuk risiko perubahan harga option. Risiko pasar meliputi risiko suku bunga dan risiko nilai tukar, timbul disebabkan posisi on balance sheet maupun off balance sheet yang tergolong dalam trading book atau banking book. Pengelolaan risiko suku bunga dilakukan terhadap posisi instrumen keuangan dalam trading book maupun banking book. Risiko suku bunga dalam banking book dikelola dengan melakukan analisa repricing gap antara Risk Sensitivite Asset RSA dan Risk Sensitive Liabilities RSL. Analisa dilakukan untuk mengukur sensitivitas pendapatan bunga bersih Net Interest IncomeNII dan kecukupan modal atas pergerakan suku bunga. Pengelolaan risiko nilai tukar valuta asing dan suku bunga Bank pada trading book antara lain dilakukan melalui analisa dan pengendalian risiko serta penetapan limit untuk aktivitas trading yang meliputi transaksi money market, foreign exchange dan surat-surat berharga. Selain itu, pengendalian risiko juga dilakukan melalui penetapan dan pemantauan risk appetite, risk tolerance, dan risk limit untuk risiko pasar. Proses mark to market atau valuasi untuk posisi trading dilakukan secara harian oleh bagian Divisi Treasury Operation dan dilakukan verifikasi terhadap valuasi yang dilakukan oleh Divisi Manajemen Risiko secara periodik dengan membandingkan harga pasar yang digunakan untuk mark to market dengan harga yang terjadi di pasar dengan beberapa sumber harga antara lain harga pasar di Bursa Efek Indonesia BEI, IDMA Bloomberg danatau broker. Hasil verifikasi disampaikan kepada Direksi dan Divisi terkait. Pengelolaan risiko nilai tukar, berpedoman pada batas Posisi Devisa Neto PDN sesuai ketentuan Bank Indonesia yaitu Bank wajib mengelola dan memelihara PDN paling tinggi sebesar 20 dari modal Bank. c. Mekanisme pengukuran risiko pasar untuk keperluan pemantauan risiko secara periodik maupun perhitungan kecukupan modal, baik pada banking book maupun trading book. Dalam rangka pemantauan, Divisi Manajemen Risiko melakukan pengukuran profil risiko pasar setiap bulan untuk melihat trend risiko pasar terutama jika terjadi b. Trading book and banking book portfolio Management as well as valuation methodology used In carrying out its activities, the Bank is exposed to market risk namely the risk on the balance sheet and administrative account position including derivative transactions, due to overall changes in market conditions, including the risk of changes in option prices. Market risk includes interest rate risk and exchange rate risk, arising due to the on balance sheet and off balance sheet position classified in the banking book or the trading book. Interest rate risk management is carried out to the financial instrument position in trading book or banking book. Interest rate risk in the banking book is managed by analyzing the repricing gap between Risk Sensitive Assets RSA and the Risk Sensitive Liabilities RSL. The analyzes is carried out to measure the sensitivity of net interest income NII and capital adequacy on interest rate movements. Risk management of foreign exchange rates and interest rates in the Bank’s trading book, such as conducted through analysis and risk control as well as the establishment of limits for trading activities, which include money market transactions, foreign exchange and securities. In addition, risk control is also carried out through establishment and monitoring of risk appetite, risk tolerance, and risk limit for market risk. The process of mark to market or valuation of trading positions are carried out daily by the Treasury Operation division and verification is carried out over the valuation carried out by the Risk Management Division periodically by comparing the market prices used to mark to market at a price in the market with some resources among others market price at the Indonesian Stock Exchange BEI, IDMA Bloomberg and or broker. Verification results are submitted to the Board of Directors and relevant Division. Foreign exchange risk management, refers to the limits of the Net Open Position NOP in accordance with Bank Indonesia provision namely Bank requires to manage and maintain the NOP maximum of 20 of the Bank’s capital. c. Market risk measurement mechanisms for periodic risk mapping purposes as well as calculation of capital adequacy, both in the banking book or the trading book In the framework of the monitoring, the Risk Management Division conducts measurement on market risk profile every month to see the trend of 392 Annual Report PT Bank Artha Graha Internasional, Tbk Informasi Bagi Pemegang Saham dan Investor Shareholders and Investors Information Report to Shareholders and Stakeholders Company Profile Laporan Kepada Pemegang Saham dan Pemangku Kepentingan peningkatan risiko dan parameter-parameter yang mempengaruhi. Pemantauan risiko pasar dilakukan pula terhadap transaksi yang dilakukan oleh Divisi Treasury secara harian. Risiko pasar berupa risiko suku bunga dalam trading book dan risiko nilai tukar dihitung dengan menggunakan Pendekatan Standar Standardized Approach sesuai dengan ketentuan Bank Indonesia yang berlaku. Di samping itu untuk kepentingan internal, Bank telah memiliki aplikasi Market Risk Measurement MRM untuk pengukuran kebutuhan modal dalam mengcover risiko pasar dengan menggunakan pendekatan Value at Risk VaR yang saat ini masih dalam tahap penyempurnaan oleh Divisi Teknologi Informasi. d. Cakupan portofolio trading dan banking book yang diperhitungkan dalam Kewajiban Penyediaan Modal Minimum KPMM Dalam KPMM, perhitungan risiko suku bunga dilakukan terhadap posisi instrumen keuangan dalam trading book yang terekspos risiko suku bunga yaitu penempatan dalam Surat Berharga. Cakupan portofolio yang masuk dalam pengukuran risiko nilai tukar adalah seluruh penempatan pada valuta asing baik portofolio di neraca maupun rekening off balance sheet. e. Langkah-langkah dan rencana dalam mengantisipasi risiko pasar atas transaksi mata uang asing baik karena perubahan kurs maupun fluktuasi suku bunga, termasuk penjelasan mengenai semua penyediaan dana dan ikatan tanpa proteksi atau lindung nilai, serta utang yang suku bunganya berfluktuasi atau yang tidak ditentukan terlebih dahulu. Mitigasi risiko nilai tukar valuta asing ditengah volatilitas nilai tukar valuta asing yang cenderung meningkat khususnya pada periode krisis, maka pengelolaan Posisi Devisa Neto PDN dilakukan dengan hati-hati melalui kebijakan mengontrol mutasi transaksi valuta asing di seluruh Kantor Cabang dan Unit Bisnis dan penetapan limit transaksi serta limit risiko. Mitigasi risiko suku bunga, penempatan dana pada aktiva produktif dilakukan lebih selektif pada portofolio yang dapat memberikan keuntungan optimal dan dilakukan review suku bunga sisi aset dan kewajiban yang lebih intensif apabila terjadi pergerakan suku bunga pasar yang signifikan. Selain itu, upaya pengelolaan repricing gap sisi aset dengan sisi kewajiban disesuaikan dengan memperhatikan arah pergerakan suku bunga sehingga dapat meminimalkan risiko suku bunga. market risks, especially if there is an increased affecting risk and parameters. Market risk monitoring is carried out to transaction performed by treasury Division on daily basis. Market risk in the form of interest rate risk in the trading book and exchange rate risk is calculated using Standardized Approach in accordance with applicable Bank Indonesia provision. In addition for internal purposes, the Bank has established Market Risk Measurement MRM application for the measurement of capital requirements in covering market risk using Value at Risk VaR approach, which is currently still in improvement phase by the Information Technology Division. d. Portfolio Scope trading adn banking book calculated in the Minimum Capital Adequacy Requirement KPMM. In Minimum Capital Adequacy Requirement, the calculation of interest rate risk is carried to the position of financial instruments in the trading book which is exposed by interest rate risk namely the placement in the Securities. Portfolio Scope included in the measurement of exchange rate risk is all placements in foreign exchange both portfolio in the balance sheet and off balance sheet accounts. e. Measures and plans in anticipating market risk on foreign currency transactions either because of changes in the exchange rate and interest rate fluctuations, including descriptions of all the provision of funds and agreement without protection or hedging, and debt with fluctuating interest rate or that are not determined in advance. Foreign exchange rate risk mitigation in the middle of the volatility of foreign exchange rate is likely to increase, especially in the crisis period, the management of the Net Open Position NOP is carried out carefully through foreign exchange transaction controlling policy in all Branch Office and Business Units and determination of transaction limits as well as risk limits. Interest rate risk mitigation, the placement of funds in productive assets is carried out more selective in the portfolio that may provide optimal benefits and review on the interest rate assets and liabilities is carried out more intensive if there is significant market interest rate movement. In addition, repricing gap management effort in terms of assets with liabilities side is adjusted with regard to the interest rate movements so as to minimize the interest rate risk. 393 PT Bank Artha Graha Internasional, Tbk Tinjauan Pendukung Bisnis Overview Business Support Management Discussion and Analysis Good Corporate Governance Tanggung Jawab Sosial Perusahaan Corporate Social Responsibility Dalam melakukan pengukuran risiko, dilakukan stress test dengan beberapa skenario, diantaranya skenario terburuk worst case scenario sesuai Pedoman Manajemen Risiko Bank dan peraturan Bank Indonesia. Hal ini ditujukan untuk mengetahui tingkat kemampuan Bank dalam menghadapi berbagai tingkat pergerakan hingga kondisi pasar yang tidak normal. Sebagai salah satu bentuk pengawasan aktif atas pengendalian risiko, hasil dari proses identifikasi, pengukuran dan pemantauan risiko pasar disajikan dalam bentuk pelaporan secara bulanan maupun triwulanan kepada Direksi, Komite Manajemen Risiko, dan Komite Pemantau Risiko.

3. Risiko Likuiditas