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NPL turun menjadi 3,6 dari tahun sebelumnya 4,3, dan rasio cadangan kredit bermasalah
meningkat dari 120,6 menjadi 120,8.
2. Risiko Pasar
Pengelolaan risiko pasar yang komprehensif sangat penting, untuk itu diperlukan infrastruktur
risiko pasar yang mencakup: organisasi, proses, kebijakan dan prosedur, model kuantitatif,
teknologi informasi dan risk culture.
Sebagian besar risiko pasar Trading Book
bersumber dari aktivitas bisnis Tresuri, sementara risiko pasar Banking Book, khususnya interest rate
risk in banking book dan Posisi Devisa Neto PDN,
berasal dari seluruh aktivitas perusahaan. Organisasi pengelolaan bisnis Tresuri pada
dasarnya terbagi atas 3 tiga bagian, yaitu front office, middle office
, dan back office. Front office melakukan aktivitas bisnis dan berhubungan
dengan nasabah. Dalam melakukan aktivitasnya, bisnis Tresuri dibatasi dengan risk tolerance yang
ditetapkan oleh unit independen yaitu Divisi Enterprise Risk Management ERM dan Divisi
Internasional INT yang kemudian dipantau oleh Middle Office
dan Divisi ERM. Sedangkan untuk aktivitas pembukuan dan settlement dilakukan
oleh Divisi Operasional sebagai back office. Pengelolaan Posisi Devisa Neto PDN dan interest
rate risk in banking book dilakukan oleh Divisi
Tresuri, Divisi ERM, dan unit-unit terkait.
Untuk pengelolaan risiko pasar, BNI telah menyusun Pedoman Penerapan Manajemen
Risiko Pasar yang dituangkan lebih detail dalam SOP risiko pasar. Sedangkan untuk panduan
aktivitas Tresuri telah disusun SOP Transaksi Tresuri dan SOP Credit Counterparty Limit sebagai
panduan penetapan counterparty limit.
Identifikasi, pengukuran, pemantauan, dan pengendalian risiko pasar dilakukan oleh unit yang
independen dari unit bisnis. Identifikasi risiko pasar khususnya dilakukan untuk setiap produk
atau aktivitas baru. Pengukuran dan potensi risiko pasar Value at Risk dan mark to market
dilakukan secara harian oleh Divisi ERM yang hasilnya disampaikan ke unit bisnis. Informasi
perkembangan eksposur risiko pasar disampaikan kepada manajemen secara mingguan dan bulanan.
Sedangkan perkembangan risiko pasar banking loan NPL down by 3.6 from the previous
year 4.3 and the ratio of non performing loan reserve increased from 120.6 to 120.8.
2. Market Risk
A comprehensive management of market risk is crucial, therefore a market risk infrastructure
which covers the following is required: organizational, processes, policies and procedures,
quantitative models, information technology and risk culture.
Most of the market risk of Trading Book comes
from the business activity of Treasury, while the market risk of Banking Book, specifically interest
rate risk in banking book and net exchange position, comes from the entire activities of the
company.
The organization of Treasury business is basically divided into 3 three divisions: front office, middle
office, and back office. Front office conducted business activities and communicate with the
customers. In conducting its activities, Treasury is limited with risk tolerance determined by
the independent unit which are Enterprise Risk Management ERM Division and International
Division INT which then monitored by Middle Office and ERM Division. While bookkeeping and
settlement activities are done by the Operational Division as the back office. Management of net
foreign exchange and interest rate risk in banking book are done by Treasury Division, ERM Division
and related units.
To manage market risk, BNI has developed Market
Risk Management Implementation Guidelines that is translated in more details into market risk
SOPs. For guidance in Treasury activities, BNI has developed Treasury Transaction SOP and
Credit Counterparty Limit SOP as guidance in determining counterparty limits.
Identification, measurement, supervision and control of market risk are done by a unit
independent from the business unit. Identification of market risk is specifically done for every new
product or activity. Measurement and potential of market risk Value at Risk and mark to market are
done on a daily basis by the ERM Division, with result submitted to the business unit. Information
on the development of market risk exposure is submitted to the management on a weekly
and monthly basis. Development of market risk
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book dipantau secara ketat dan juga disampaikan
kepada manajemen melalui forum ALCO. BNI juga telah melaksanakan stress testing
risiko pasar untuk menilai ketahanan bank dalam menghadapi perubahan nilai tukar dan suku bunga
yang ekstrim.
Prinsip kehati-hatian menjadi hal yang utama dalam proses pembelian Surat Berharga, dimana
Divisi BNR melakukan analisa kelayakan Surat Berharga dan Unit PGV menetapkan pembatasan
persentase kepemilikan Surat Berharga untuk setiap issuer yang dipantau setiap bulan oleh Divisi
ERM.
Sementara untuk transaksi Forex dan Money Market
dilakukan analisa kelayakan terhadap setiap counterpart
oleh Divisi INT dengan menetapkan counterparty limit.
Untuk
mendukung business process
dan dalam rangka pengelolaan risiko pasar, BNI telah memiliki
market risk management tools . Sedangkan untuk
mendapatkan informasi data pasar diperoleh dari Reuters atau Bloomberg.
Model-model kuantitatif yang dipergunakan untuk mengelola potensi kerugian telah ditetapkan limit-
limit sebagai berikut: Value at Risk Limit VaR, yang merupakan
maksimum potensi kerugian yang mungkin terjadi pada waktu tertentu di masa datang
dengan tingkat kepercayaan tertentu. Loss limit yang dipergunakan untuk membatasi
realisasi kerugian aktivitas bisnis.
untuk membatasi konsentrasi pembelian surat berharga korporat juga telah ditetapkan
pembatasan berdasarkan rating dan jenis mata uang surat berharga.
asset
dan liability repricing gap untuk membatasi risiko suku bunga dalam banking
book .
in banking book is tightly monitored and also submitted to management through ALCO forum.
BNI has also conducted stress testing to the market risk to assess the bank’s resilience in
encountering extreme value and interest rate.
Prudent principle becomes the main issue in the purchase of Marketable Securities, where BNR
Division conducts analysis on the properness of Marketable Securities and PGV Unit determines
limitation on the ownership percentage of Marketable Securities for each issuer, monitored
on a monthly basis by the ERM Division.
For Forex and Money Market transactions, the INT Division conducts viability analysis of every
counterpart by determining counterparty limits.
To support business process and in order to
manage the market risk, BNI owns a market risk management tools. While information on market
data is obtained from Reuters or Bloomberg.
Quantitative models used to manage potential loss have been determined the following limits:
potential loss that may happen in the certain
future and trust.
if business activity loss.
that is used to limit the concentration of corporate marketable securities purchase as
well as limitation based on rating and type of currency of the marketable securities.
the risk for interest rate in banking book.
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3. Risiko Likuiditas
