Pengukuran Risiko Pasar Market Risk

371 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data pemantauan, dan pengendalian Risiko, serta sistem informasi Manajemen Risiko untuk Risiko Pasar sebagaimana Surat Edaran Bank Indonesia Nomor 1323DPNP tanggal 25 Oktober 2011, Bank melakukan penerapan manajemen risiko yaitu: D ,GHQWLÀNDVL5LVLNR3DVDU 1SPTFT JEFOUJmLBTJ SJTJLP QBTBS NFMJQVUJ JEFOUJmLBTJ EBSJ LBSBLUFSJTUJL QSPEVL CBSV JEFOUJmLBTJ TVNCFS SJTJLP QBTBS ZBOH EBQBU berdampak kepada transaksi yang akan dilakukan oleh Dealing Room Treasury. Proses JEFOUJmLBTJ 3JTJLP ZBOH EJTFTVBJLBO EFOHBO Risiko Pasar melekat pada aktivitas bisnis Bank yang meliputi risiko suku bunga antara lain repricing risk, yield curve risk, basis risk, dan optionality risk dan untuk risiko nilai tukar antara lain tercermin dari besarnya eksposur transaksional. Satuan Kerja Manajemen Risiko juga melakukan review atau evaluasi atas produk maupun aktivitas yang terekspos pengaruh pergerakan variabel pasar.

b. Pengukuran Risiko Pasar

Pengelolaan portofolio Divisi Treasuri tanpa adanya dasar pertimbangan dan penilaian risiko akan mengakibatkan kerugian di atas toleransi bank dalam menyerap kerugian. Salah satu cara dalam menanggulangi kejadian risiko yang dapat menyebabkan kerugian di atas toleransi risiko bank adalah penggunaan toleransi risiko atau limit transaksi yang diperkenankan manajemen bank. Pengajuan limit oleh Divisi Treasuri sebagai risk taking unit harus mendapatkan kajian risiko secara terukur oleh Divisi Manajemen Risiko. Pengajuan limit ini bertujuan untuk mempermudah Manajemen bank bjb dalam memahami risiko yang dihadapi serta pengelolaan risikonya. Pengajuan limit harus meliputi kriteria-kriteria sebagai berikut: Divisi Treasuri sebagai risk taking unit menerapkan “ trading” dan “hedging” secara berkala sebagai bagian dari proses RISK MANAGEMENT monitoring, and controlling risks, as well as the Risk Management information system for the Market Risk as stipulated in Bank Indonesia Circular Letter No. 1323 DPNP dated 25 October 2011, the Bank implements the risk management, namely: D 0DUNHW5LVN,GHQWLÀFDWLRQ 5IF NBSLFU SJTL JEFOUJmDBUJPO QSPDFTT JODMVEFT UIF JEFOUJmDBUJPO PG OFX QSPEVDU DIBSBDUFSJTUJDT JEFOUJmDBUJPO PG TPVSDFT PG NBSLFU SJTL UIBU NBZ affect the transactions that will be conducted by UIFFBMJOH3PPN5SFBTVSZ5IFSJTLJEFOUJmDBUJPO process that are adapted to the Market Risks is inherent in the Bank’s business activities which includes in the interest rates risk, among others, repricing risk, yield curve risk, basis risk and optionality risk and for foreign exchange risk BSF BNPOH PUIFST BT SFnFDUFE JO UIF BNPVOU PG transactional exposure. The Risk Management Unit also conducts reviews or evaluations on products PS BDUJWJUJFT UIBU BSF FYQPTFE UP UIF JOnVFODF PG movements in market variables.

b. Market Risk

Assessment The portfolio management of the Treasury Division with no consideration basis nor risk assessments will result in the loss of tolerance of the bank to absorb losses. One way to inhibit risk occurrences that may cause harm to the bank’s risk tolerance is the application of risk tolerance or limit transactions that are allowed by the management of the bank. The limit application by the Treasury Division as the risk taking unit must obtain a measured risk assessment by the Risk Management Division. The limit application is intended to facilitate the management of bank bjb in understanding risk as well as its management. The limit application must include the following criteria: The Treasury Division as the risk taking unit implements “trading” and “hedging” on a regular basis as part of the Treasury business management 372 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO pengelolaan bisnis Treasury khususnya bidang Treasury Trading. Pada konteks limit berbasis risiko ini, yang ditentukan adalah limit yang berkaitan dengan aktivitas Treasury. Dalam proses penerapan limit dilakukan usaha pendekatan dimana terdapat komponen- komponen yang mendukung diantaranya: a. Rencana Bisnis • Rencana bisnis harus secara luas mencantumkan tujuan dari limit yang diminta, target pasar, pendapatan yang diharapkan dan kebutuhan akan modal. Rencana tersebut harus NFOHLVBMJmLBTJLBO DBSB CBHBJNBOB limit tersebut akan dipergunakan, contoh “ trading” atau “hedging”. t QMJLBTJ MJNJU IBSVT NFOHJEFOUJmLBTJ NBUB VBOH EBO QBTBS TQFTJmL ZBOH menjadi eksposur terhadap tujuan unit bisnis. b. Persyaratan Modal dan Proyeksi Pendapatan • Divisi Treasuri meminta masukan dari Divisi Manajemen Risiko dalam mengukur alokasi modal yang harus disediakan dalam memitigasi potensi kerugian yang akan timbul. • Divisi Treasuri harus memberikan proyeksi pendapatan yang berhubungan dengan aplikasi limit. Proyeksi tersebut akan memudahkan Direksi dalam proses pengambilan keputusan persetujuan limit. F 3HQJJXQDDQKLVWRULV Divisi Treasuri dapat memberikan analisa trend market outlook dengan penggunaan historis yang ada atas eksposur risiko atau limit yang akan diterapkan. Prosedur kerja pengukuran limit unit bisnis Treasuri mempertimbangkan beberapa aspek yang dinilai cukup berpotensial dalam menimbulkan kejadian risiko. Komponen yang mendasari pengukuran limit ini adalah: MANAJEMEN RISIKO QSPDFTTQBSUJDVMBSMZJOUIF5SFBTVSZ5SBEJOHmFMEO this risk-based limit context, the limit set is related to Treasury activities. In the limit implementation process, approaches are conducted to the supporting components, among others: a. Business Plan • The business plan must broadly states the purpose of the requested limit, the target market, expected revenues and the required capital. The plan must qualify how the limit will be utilized, such as “trading” or “hedging”. t 5IFMJNJUBQQMJDBUJPONVTUJEFOUJGZBTQFDJmD currency and market becoming exposures to the business unit’s objectives. E DSLWDO5HTXLUHPHQWDQG3URMHFWHG5HYHQXHV • The Treasury Division requests input from the Risk Management Division in measuring the capital allocation that should be provided to mitigate potential losses that may arise. • The Treasury Division must provide the projected revenues associated with the limit application. The projections will facilitate the Board of Directors in the decision-making process of limit approval. F 7KH8VHRI+LVWRULFDO The Treasury Division can provide the market outlook trend analysis with the use of existing historic on risk exposures or limit which will be implemented. The Treasury business unit limit measurement working procedures consider several aspects that are assessed to have the potentials of risk occurrences. Underlying components in the measurement of limit are namely: 373 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data D DNWRU6HQVLWLYLWDV5LVLNR3DVDU Setiap aktivitas Treasuri terdapat risiko yang melekat risk inherent dimana proses dalam pengukuran risiko harus didasarkan pada sensitivitas risiko yang melekat pada aktivitas transaksi Treasuri. Faktor sensitivitas risiko pasar meliputi yaitu PV01, Duration, Vega, Gamma, Theta, Rho, dan volatilitas transaksi. E .HFXNXSDQDWD Kecukupan data diperlukan sebagai kecukupan prosedur analisis statistik dan agar analisis pengukuran terhadap risiko menghasilkan output yang memadai dan sesuai dengan eksposur risiko yang dihadapi oleh bank. Data yang diperlukan adalah data historis yang dibutuhkan guna memperkuat suatu analisis pengukuran limit risiko. F 3HQJXNXUDQ Value at Risk Model Value at Risk tersebut dipergunakan dalam mengukur dan menganalisa risiko transaksi Treasuri secara komprehensif dan terukur. Misalnya, penggunaan VaR value at risk untuk mengukur kerugianbudget loss atas aktivitas transaksi Treasury trading selain itu kegunaan model ini juga dapat mengukur perkiraan kerugian terburuk yang dapat dialami Bank dalam selang waktu tertentu pada kondisi pasar yang normal dan tingkat kepercayaan tertentu. Beberapa strategi pengelolaan risiko pasar yang dilakukan bank bjb adalah mencakup sistem dan prosedur dengan menggunakan teknik Mark To Market, Value at Risk VaR, Stress Testing, Repricing Gap Duration Gap Model atau metoda lain yang sesuai untuk mendapatkan nilai wajar eksposur secara berkala, sekaligus merupakan platform yang tepat untuk menilai posisi risiko. Pada saat ini bank bjb menerapkan metode yang mampu mengukur risiko terhadap nilai tukar yaitu dengan menggunakan Model Nilai Tukar VaR EWMA Exponential Weighted Moving Average RISK MANAGEMENT D 0DUNHW5LVN6HQVLWLYLW\DFWRU There are inherent risk in each Treasury activities in which the process of risk assessment shall be based on the sensitivity of the inherent risk in the Treasury transaction activities. The market risk sensitivity factors include PV01, Duration, Vega, Gamma, Theta, Rho, and transaction volatility. E GHTXDF\RIDWD Data adequacy is required as a statistic analysis procedure adequacy and to ensure the risk assessment analysis generates adequate output and in accordance with the risk exposure faced by the bank. The data required is historical data needed to strengthen a measurement analysis of risk limit. c. Value at Risk Assessment The Value at Risk model is used in measuring and analyzing the Treasury’s transaction risks in a comprehensive and measurable manner. For example, the use of VaR value at risk to measure budget loss over the Treasury trading transaction BDUJWJUJFT JO BEEJUJPO UIF CFOFmU PG UIJT model can also measure the expected worst loss caused to the Bank in a certain time interval in normal market conditions BOEBDFSUBJODPOmEFODFMFWFM Several market risk management strategies conducted by bank bjb include systems and procedures through the utilization of Mark To Market, Value at Risk VaR, Stress Testing, Repricing Gap and Duration Gap Model techniques or other appropriate methods to obtain a fair exposure value on a regular basis, as well as an accurate platform to assess the risk position. Currently bank bjb applied a method that is capable of measuring the risk of the exchange rate, namely the Exponential Weighted Moving Average EWMA which is equipped with Fundamental 374 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO yang dilengkapi dengan Fundamental Analysis dan Historical Simulation untuk menangkap tingkat risiko nilai tukar yang tercermin dalam Posisi Devisa Netto. bank bjb juga telah membangun model pengukuran risiko tingkat suku bunga dengan menggunakan metodologi yang dapat menangkap risiko suku bunga dari portofolio aset dan kewajiban yang sensitif terhadap perubahan suku bunga serta menentukan besaran risiko terhadap bank melalui 3FQSJDJOH1SPmMF , Duration GAP, dan Economic Value of Equity EVE. Dalam proses pengukuran potensi kerugian baik itu suku bunga dan nilai tukar dari transaksi-transaksi Treasury diukur melalui VaR simulasi historis baik secara sistem OPICS Risk maupun manual. Pengujian kelayakan internal VaR simulasi historis NFMBMVJ CBDL UFTUJOH 7B3 WT 1SPmU Loss Treasury dan dilakukan secara berkala. F 3HPDQWDXDQ5LVLNR3DVDU Aktivitas manajemen risiko dalam melakukan proses pemantauan aktivitas bisnis antara lain melalui: 1. Adanya RMA Risk Manegement Agency yang berfungsi untuk melakukan proses manajemen risiko pasar trading book melalui pemantauan limit Treasuri secara harian, misalnya ketentuan GWM, open position, budget loss, risk sensitivity limit, dan lain-lain. Sebagai upaya proses pemantauan yang efektif dan akurat, bank telah memiliki sistem OPICS Risk yang berfungsi dalam mengukur eksposur risiko trading book yang dilakukan oleh dealing room Treasury. 2. Pemantauan risiko nilai tukar banking book dilakukan melalui pemantauan Posisi Devisa Neto per 30 menit serta secara harian agar berada dalam toleransi limit internal bank dan regulasi Bank Indonesia. 3. Pemantauan risiko suku bunga banking book dilakukan melalui pengukuran Repricing GAP, Duration GAP, dan Economic Value of Equity EVE untuk melihat sensitivitas porotfolio aktiva dan pasiva bank dalam menghadapi MANAJEMEN RISIKO Analysis and Historical Simulation to capture the FYDIBOHF SBUF SJTL UIBU JT SFnFDUFE JO UIF FU Open Position. bank bjb has also developed an interest rate level measurement model using a methodology that can capture the interest rate risk from the portfolio of assets and liabilities that are sensitive to changes in interest rates as well as determine the amount of risk to the bank UISPVHI UIF 3FQSJDJOH 1SPmMF VSBUJPO 1 BOE Economic Value of Equity EVE. In the process of measuring the potential loss both in interest rates and exchange rates from Treasury transactions are measured through historical simulation of VaR both by systems OPICS Risk or manually. Internal feasibility studies of VaR historical simulation are DPOEVDUFE UISPVHI CBDL UFTUJOH 7B3 WT 1SPmU Loss Treasury and performed periodically. F 0DUNHW5LVN0RQLWRULQJ The activity of risk management in conducting business activities’ monitoring process are through, among others: 1. The existence of the RMA Risk Management Agency which serves to perform trading book market risk management process through the daily monitoring of the Treasuries’ limit, for example the provisions on minimum reserve requirement, open position, budget loss, risk sensitivity limit, and others. As an effective and accurate monitoring process effort, the bank has had the OPICS Risk system which serves to measure the trading book’s risk exposures undertaken by the Treasury dealing room. 2. Monitoring of the trading book exchange rate risk monitoring is performed through the monitoring of the Net Open Position per 30 minutes as well as daily to be in the internal bank’s limit tolerance and the regulations of Bank Indonesia. 3. Monitoring of the banking book interest rate risk conducted through the measurement of Repricing GAP, Duration GAP and Economic Value of Equity EVE to see the portfolio sensitivity of the bank’s assets and 375 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data perubahan suku bunga di masa datang. 4. Monitoring risiko sovereign Credit Default Swap 5 Year sebagai indikator penilai risiko investasi dari counterparty atau suatu negara asing melalui sistem informasi manajemen risiko. Apabila tingkat CDS NFOJOHLBU TFDBSB TJHOJmLBO NBLB VOJU bisnis harus melakukan keputusan yang menghindari kerugian yang sangat besar bagi bank. 5. Melakukan evaluasi terhadap eksposur risiko yang dimiliki oleh bank. 6. Apabila terjadi pelampauan limit, Divisi Manajemen Risiko segera melakukan pelampauan tersebut kepada Direksi. G 3HQJHQGDOLDQ5LVLNR3DVDU Strategi yang diambil oleh bank dalam proses pengendalian risiko pasar, antara lain melalui hedging, squaring position, back-to-back dan cara lain yang bertujuan untuk meng- off- set suatu transaksiposisi yang mengalami kerugian serta stress testing guna melihat ketahanan posisi keuangan bank dalam menghadapi kondisi krisis. Selain itu pula dapat digunakan untuk mentransfer risiko yang dimiliki dealing room Treasury bank sepanjang transfer risiko tersebut masih berada dalam risk limit bank. Bank juga membatasi atau melarang jenis transaksi atau instrumen tertentu untuk ditransaksikan oleh bisnis unit, serta mengurangi risiko dengan cara memberikan batas maksimum transaksi atau portofolio sesuai dengan risk appetite bank. 6LVWHP3HQJHQGDOLDQ,QWHUQ\DQJ0HQ\HOXUXK Dalam rangka pengembangan penerapan manajemen risiko yang dinamis, Satuan Kerja Manajemen Risiko selalu melakukan evaluasi atas kebijakan, prosedur dan limit risiko pasar secara berkala. Sebagai upaya pengendalian risiko pasar berupa kecukupan kebijakan dan prosedur Satuan Kerja Manajemen Risiko, kaji ulang atas kebijakan dan prosedur dilakukan oleh unit independen baik di internal ataupun pihak eksternal. RISK MANAGEMENT liabilities in encountering the changes in interest rates in the future. 4. Monitoring the sovereign risk Credit Default Swap 5 Year as an indicator of investment risk assessors of a counterparty or a foreign country through the risk management information system. In the FWFOUUIF4MFWFMJODSFBTFETJHOJmDBOUMZ the business unit must undertake decisions to avoid huge losses to the bank. 5. To evaluate the bank’s risk exposures. 6. In the event of limit breach, the Risk Management Division immediately report the breach to the Board of Directors. G 0DUNHW5LVNRQWURO The strategy adopted by the bank in the market risk control process, among others through hedging, squaring position, back-to- back and other methods that aimed to off-set a transaction position experiencing loss as well as stress testing to observe the resilience of the CBOLTmOBODJBMQPTJUJPOJOUIFGBDFPGDSJTJTO addition, it can also be used to transfer the risk of the Treasury dealing room as long as the risk transfer is still in the bank’s risk limit. The Bank also restricts or prohibits certain types of transactions or instruments to be transacted by the business unit, as well as reducing risk by providing a maximum transaction or portfolio limit in accordance with the risk appetite of the bank. RPSUHKHQVLYH,QWHUQDORQWURO6\VWHP In order to develop the implementation of a dynamic risk management, the Risk Management Unit continuously evaluates the policies, procedures and market risk limits on a regular basis. As an effort to control the market risk in the form of adequacy of policies and procedures of the Risk Management Unit, a review on the policies and procedures is carried out by an independent unit both internally or external parties. 376 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO Pelaksanaan kaji ulang dan evaluasi terhadap pengukuran risiko yang dilakukan oleh Divisi Manajemen Risiko meliputi: • Kesesuaian kebijakan, desain proses Manajemen Risiko, sistem informasi, dan pelaporan manajemen risiko bank dengan kebutuhan bisnis Bank, serta perkembangan peraturan dan praktik terbaik best practice terkait Manajemen Risiko; • Metode, asumsi, dan variabel yang digunakan untuk mengukur Risiko dan menetapkan limit risiko pasar; • Perbandingan antara asumsi yang digunakan dalam metode pengukuran risiko yang dipergunakan dengan kondisi yang sebenarnyaaktual; • Perbandingan antara limit yang ditetapkan dengan eksposur yang sebenarnyaaktual; Hasil kaji ulang Satuan Kerja Manajemen Risiko Divisi Manajemen Risiko yang telah dikaji ulang oleh Satuan Kerja Audit Intern SKAI akan disampaikan dalam Komite Manajemen Risiko RMC untuk kemudian diminta persetujuannya kepada Direksi. Pembahasan tersebut dilakukan pula dengan Dewan Komisaris yang dibantu oleh Komite Pemantau Risiko. Kaji ulang yang dilakukan oleh Satuan Kerja Audit Intern SKAI meliputi: • Keandalan kerangka Manajemen Risiko, yang mencakup kebijakan, struktur organisasi, alokasi sumber daya, desain proses Manajemen Risiko, sistem informasi, dan pelaporan Risiko Bank; • Proses pemantauan yang dilakukan oleh Satuan Kerja Manajemen Risiko; • Evaluasi atas metodologi pengukuran Satuan Kerja Manajemen Risiko; 3HQJXQJNDSDQ.XDQWLWDWLI5LVLNR3DVDU MANAJEMEN RISIKO The implementation of review and evaluation to the risk measurement performed by the Risk Management Division include: • The conformity of policy, Risk Management process design, information systems, and the bank’s risk management reporting with the Bank’s business needs, as well as regulatory developments and best practices related to Risk Management; • Methods, assumptions, and variables used to measure Risk and determining the market risk limits; • The comparison between the assumptions used in the risk measurement methods that are utilized and the actual conditions; • Comparison between the set limit and the actual exposure; The review results of the Risk Management Unit Risk Management Division which have been reviewed by the Internal Audit Unit SKAI will be conveyed in the Risk Management Committee RMC to be subsequently prompted for approval to the Board of Directors. The discussion is also held with the Board of Commissioners, assisted by the Risk Monitoring Committee. The review carried out by the Internal Audit Unit SKAI includes: • Reliability of Risk Management framework, which includes policies, organizational structure, resource allocation, Risk Management process design, information systems, and reporting of Bank’s Risks; • Monitoring process conducted by the Risk Management Unit; • Evaluation on the measurement methodology of the Risk Management Unit; 4XDQWLWDWLYHLVFORVXUHRIWKH0DUNHW5LVN 377 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data 7DEOH0DUNHW5LVNLVFORVXUHXVLQJ6WDQGDUGL]HG SSURDFK Rp Million LTXLGLW\5LVN Liquidity risk is the risk due to the inability of the bank to meet obligations or liabilities that have matured. This risk is due to the failure of investment management and fund investment mismatch or a liquidity shortage which leads UPUIFJOBCJMJUZPGUIFCBOLUPNFFUJUTmOBODJBMPCMJHBUJPOT at a predetermined time. Liquidity risk can be categorized as follows: • Market liquidity risk, namely the risk arising from the bank’s inability to offset a certain position with the market price due to inadequate market liquidity conditions or market disruption; • Funding liquidity risk, namely the risk arising from the bank’s inability to disburse its assets or obtain funding from other sources. FWLYH 6XSHUYLVLRQ E\ WKH RDUG RI RPPLVVLRQHUVDQGWKHRDUGRILUHFWRUV The Board of Commissioners and the Board of Directors are responsible for the effective implementation of Liquidity Risk Management of the Bank. In relations to the active supervision authority and responsibility of the Board of Commissioners and Board of Directors of bank 7DEHO 3HQJXQJNDSDQ 5LVLNR 3DVDU GHQJDQ 0HQJJXQDNDQ0HWRGH6WDQGDU Rp Juta No Keterangan HVHPEHUHFHPEHU HVHPEHUHFHPEHU HVFULSWLRQ bank bjb .RQVROLGDVL Consolidated bank bjb .RQVROLGDVL Consolidated Beban 0RGDO Capital Charge ATMR RWA Beban 0RGDO Capital Charge ATMR RWA Beban 0RGDO Capital Charge ATMR RWA Beban 0RGDO Capital Charge ATMR RWA 1 2 3 4 5 6 7 8 9 10 2 1 Risiko Suku Bunga 85.747 1.071.834 85.747 1.071.834 88.052 1.100.645 88.052 1.100.645 Interest Rate Risk B3JTJLP4QFTJmL 85.747 1.071.834 85.747 1.071.834 88.052 1.100.645 88.052 1.100.645 B4QFDJmD3JTL b. Risiko Umum - - - - b. General Risk 2 Risiko Nilai Tukar 8.911 111.389 8.911 111.389 5.110 63.878 5.110 63.878 Foreign Exchange Risk 3 Risiko Ekuitas - - - - Equity Risk 4 Risiko Komoditas - - - - Commodity Risk 5 Risiko Option - - - - Option Risk Total 94.658 1.183.223 94.658 1.183.223 93.162 1.164.523 93.162 1.164.523 Total 5LVLNRLNXLGLWDV Risiko Likuiditas adalah risiko akibat ketidakmampuan bank untuk memenuhi kewajiban yang timbul atau kewajiban yang telah jatuh tempo. Risiko ini terjadi akibat kegagalan pengelolaan sumber dana dan penanaman dana mismatch atau kekurangan likuiditas shortage yag mengakibatkan bank tidak mampu memenuhi kewajiban keuangannya pada waktu yang telah ditetapkan. Risiko likuiditas dapat dikategorikan sebagai berikut: • Risiko Likuiditas Pasar, yaitu risiko yang timbul karena bank tidak mampu melakukan offsetting posisi tertentu dengan harga pasar karena kondisi likuiditas pasar yang tidak memadai atau terjadi gangguan di pasar market disruption; • Risiko Likuiditas Pendanaan, yaitu risiko yang timbul karena bank tidak mampu mencairkan asetnya atau memperoleh pendanaan dari sumber dana lain. 3HQJDZDVDQ NWLI HZDQ .RPLVDULV GDQ LUHNVL Dewan Komisaris dan Direksi bertanggungjawab atas efektivitas penerapan Manajemen Risiko Likuiditas di Bank. Terkait wewenang dan tanggung jawab pengawasan aktif Dewan Komisaris dan Direksi bank bjb, Dewan Komisaris dan Direksi selalu memperoleh informasi yang jelas RISK MANAGEMENT 378 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO mengenai evaluasi dan penerapan manajemen risiko eksposur risiko likuiditas, pemantauan limit secara harian serta langkah-langkah yang diambil oleh Risk Taking Unit khususnya terkait adanya pelampauan limit. Dalam pelaksanaan pengawasannya, Dewan Komisaris dibantu oleh Komite Pemantau Risiko KPR bank yang secara berkala melakukan pengawasan melalui koordinasi dengan Satuan Kerja Manajemen Risiko. Media koordinasi yang digunakan dapat berupa laporan pemantauan risiko oleh SKMR yang disampaikan kepada Komite Pemantau Risiko maupun melalui media rapat antara kedua belah pihak. Adapun rapat yang diadakan tersebut pada umumnya membahas penerapan manajemen risiko di bank bjb menyangkut diantaranya penerapan pengukuran risk tolerance risiko likuiditas, stress testing MJLVJEJUBT QFNCBIBTBOQSPmMSJTJLPMJLVJEJUBT yang bersifat material, dan kecukupan metodologi pengukuran yang dipergunakan Satuan Kerja Manajemen Risiko. Pengawasan yang dilakukan oleh Direksi yaitu memantau penerapan limit Treasury secara berkala baik terjadi pelampauan limit breach limit maupun tidak terjadi pelampauan limit, melakukan persetujuan atas limit yang bersifat baru ataupun perubahannya. Pembahasan tentang pengelolaan risiko likuiditas seperti komposisi deposan inti, NBUVSJUZ QSPmMF bank dilakukan dalam Rapat ALCO Asset Liability Committee sedangkan pembahasan eksposur SJTJLP MJLVJEJUBT TFQFSUJ QSPmM SJTJLP MJLVJEJUBT ZBOH bersifat material, liquidity stress testing, dan eksposur risiko likuiditas lainnya dibahas dalam rapat Komite Manajemen Risiko RMC. Terkait limit risiko likuiditas dan risk appetite bank dievaluasi secara periodik namun dapat dipercepat sesuai dengan perubahan lingkungan bisnis bank. MANAJEMEN RISIKO bjb, the Board of Commissioners and the Board of Directors always obtain clear information on the evaluation and implementation of risk management of liquidity risk exposure, supervision of limit on a daily basis as well as steps employed by the Risk 5BLJOH6OJUTQFDJmDBMMZSFMBUFEUPUIFMFOEJOHMJNJU In the implementation of its supervision, the Board of Commissioners is assisted by the bank’s Risk Monitoring Committee RMC which periodically conduct supervision in coordination with the Risk Management Unit. The coordination media utilized can be in the form of risk monitoring reports by the SKMR which is submitted to the Risk Monitoring Committee or through the media of meetings between the two parties. The meeting implemented generally discusses the implementation of risk management in bank bjb concerning among others the risk tolerance measurement application of the liquidity risk, liquidity stress testing, material MJRVJEJUZ SJTL QSPmMFT BOE BEFRVBDZ PG UIF measurement methodology utilized by the Risk Management Unit. Supervision carried out by the Board of Directors is through the monitoring of the implementation of the Treasury limit periodically in the event of breach limit occurrences or not, and the provision of limit approval that are new or after being amended. Discussions on the management of the liquidity risk, such as the core EFQPTJUPST DPNQPTJUJPO NBUVSJUZ QSPmMF PG UIF bank, are carried out in the ALCO Asset Liability Committee Meeting, while discussions on the liquidity risk exposures such as material liquidity SJTL QSPmMFT MJRVJEJUZ TUSFTT UFTUJOH BOE PUIFS liquidity risk exposures are discussed in the Risk Management Committee meetings. The limit of the bank’s market risk and risk appetite are evaluated periodically or at any time deemed needed to be evaluated in accordance with the bank’s changing business environment. 379 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data .HFXNXSDQ.HELMDNDQ3URVHGXUGDQ3HQHWDSDQ Limit Sebagai upaya menghadapi permasalahan likuiditas mendasar, bank telah memiliki kebijakan dan pedoman terkait penerapan manajemen risiko likuiditas. Kebijakan dan pedoman tersebut memuat diantaranya prosedur pengukuran risiko likuiditas, stress testing likuiditas yang memuat skenario general market crisis dan bank TQFDJmD crisis. Terkait kebijakan penerapan limit gap likuiditas, prosedur eskalasi pelampauan limit, rencana kontinjensi pendanaan likuiditas, saat ini bank masih menyusun prosedur dan langkah- langkahnya bersama risk taking unit dimana untuk ke depannya akan dijadikan kebijakan aturan yang perlu dipatuhi oleh risk taking unit. Penetapan limit likuiditas yang berjalan di bank yaitu penetapan limit primary reserve, secondary reserve dan ekses reserve GWM sedangkan untuk penetapan pagu kas di Cabang Operasional dilakukan oleh Divisi Operasional. Satuan Kerja Manajemen Risiko selalu melakukan evaluasi atas kebijakan, prosedur dan analisis kinerja bank terhadap limit yang diterapkan. Adapun perubahan limit dilakukan oleh risk taking unit untuk kemudian dilakukan evaluasi melalui pengukuran yang telah distandardisasi oleh Satuan Kerja Manajemen Risiko. .HFXNXSDQ 3URVHV ,GHQWLÀNDVL 3HQJXNXUDQ 3HPDQWDXDQ GDQ 3HQJHQGDOLDQ 5LVLNR VHUWD Sistem Informasi Manajemen Risiko Kebijakan risiko likuiditas mencakup risiko yang menyebabkan bank menderita kerugian akibat meningkatnya biaya dana atau adanya hambatan keterbatasan dalam memenuhi kewajiban yang KBUVI UFNQP 4FCBHJBO CFTBS USBOTBLTJ mOBOTJBM atau komitmen mempunyai dampak terhadap likuiditas bank. Oleh karena itu, bank sangat rentan terhadap masalah likuiditas, baik bagi bank itu sendiri maupun pengaruhnya terhadap industri perbankan secara keseluruhan. Bank berkewajiban memenuhi kewajiban keuangannya secara tepat waktu sehingga bank harus mampu memelihara suatu tingkat likuiditas yang memadai setiap waktu. RISK MANAGEMENT GHTXDF\RI3ROLF\3URFHGXUHDQGVWDEOLVKPHQW of Limit As an effort to encounter fundamental liquidity issues, the bank has established policies and guidelines related to liquidity risk management. The policies and guidelines contain among others procedures for liquidity risk measurement, liquidity stress testing which JODMVEFTHFOFSBMNBSLFUDSJTJTBOECBOLTQFDJmDDSJTJT scenarios. In relations to the policy implementation of liquidity gap limits, limit breaches escalation procedures, funding liquidity contingency plan, the bank is currently still formulating the procedures and methods with the risk taking unit which in the future will be used as a policy provisions which needs to be adhered by the risk taking unit. The determination of liquidity limits which will be performed by the bank are namely the limit determination of primary reserve, secondary reserve and excess reserve of the Statutory Reserves while the determination of maximum cash at Operational Branches will be conducted by the Operational Division. The Risk Management Unit continuously evaluates the policies, procedures and performance analysis of the bank towards the applied limit. While limit changes are conducted by the risk-taking units to then be evaluated through a measurement that has been standardized by the Risk Management Unit. GHTXDF\RI,GHQWLÀFDWLRQ3URFHVV0HDVXUHPHQW 0RQLWRULQJ DQG 5LVN RQWURO DV ZHOO DV 5LVN Management Information System Liquidity risk policy covers risks that caused the bank to suffer losses due to the rising cost of funds or the presence of barriers limitations to meet its maturing PCMJHBUJPOT.PTUmOBODJBMUSBOTBDUJPOTPSDPNNJUNFOUT have impacts on the liquidity of the bank. Therefore, banks are highly vulnerable to liquidity issues, both for the bank itself and its impact on the banking industry BTBXIPMF5IFCBOLJTPCMJHFEUPNFFUJUTmOBODJBM obligations in a timely manner, therefore, the bank must be able to maintain an adequate level of liquidity at all times. 380 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO Dalam menentukan limit risiko likuiditas, bank memperhatikan kondisi likuiditas dari aktiva- pasiva bank. Likuiditas yang cukup besar perlu dikelola secara baik dan dijadikan indikator dalam menerapkan limit risiko likuiditas untuk NFOEVLVOH VQBZB QFOJOHLBUBO QSPmUBCJMJUBT bank, karena likuiditas yang cukup besar justru akan meningkatkan idle fund dan akan merugikan bagi bank terutama bank yang didanai nasabah korporasi. Gap likuiditas secara historis dapat dijadikan patokan dalam menentukan limit risiko likuiditas bagi bank. Penerapan limit likuiditas yang berjalan di bank yaitu penetapan limit primary reserve, secondary reserve dan ekses reserve GWM sedangkan untuk penetapan pagu kas di Cabang Operasional dilakukan oleh Divisi Operasional. Saat ini bank sedang mengembangkan sistem informasi pengukuran risiko likuiditas seperti maturity QSPmMF yang terintegrasi. Satuan Kerja Manajemen Risiko bersama Risk Taking Unit dalam tahapan integrasi sistem informasi maturity QSPmMF tersebut selalu diadakan rapat sebagai upaya mengetahui utilisasi progres yang telah dilakukan. Sistem pelaporan maturity QSPmMF valas telah terintegrasi dan tervalidasi dengan memadai sehingga pelaporannya tidak memerlukan proses manual lagi. Sebagai langkah koordinasi manajemen bank dalam menghadapi kejadian krisis likuiditas dikemudian hari, bank sedang menyusun Tim Manajemen Krisis Likuiditas Liquidity Crisis Management Team sebagai langkah antisipatif dalam menyikapi krisis likuiditas dengan menjalankan prosedur rencana pendanaan darurat sesuai dengan kerangka kerja Contingency Funding Plan Scenario yang telah ditetapkan berdasarkan hasil rapat ALCO Asset Liability Committee. MANAJEMEN RISIKO In determining the liquidity risk limits, the bank considers the liquidity condition of the bank’s assets and liabilities. Substantial liquidity needs to be managed well and used as indicators in the implementation of liquidity risk limits to support the efforts to increase the QSPmUBCJMJUZPGUIFCBOL CFDBVTFBMBSHFMJRVJEJUZXJMM increase idle funds and would be detrimental to the bank, especially banks that are funded by corporate customers. Historic liquidity gap can be used as a benchmark in determining the liquidity risk limits for a bank. The implementation of liquidity limit performed by the bank are namely the limit determination of primary reserve, secondary reserve, and excess reserve of the Statuary Reserve while the determination of maximum cash at Operational Branches will be conducted by the Operational Division. Currently the bank is developing a liquidity risk measurement information systems such as an JOUFHSBUFE NBUVSJUZ QSPmMF 5IF 3JTL .BOBHFNFOU Unit along with the Risk Taking Unit in the integration TUBHF PG UIF NBUVSJUZ QSPmMF JOGPSNBUJPO TZTUFN conduct meetings in an attempt to know the utilization of progress that have been performed. The maturity QSPmMFPGGPSFJHODVSSFODZSFQPSUJOHTZTUFNIBTCFFO TVGmDJFOUMZJOUFHSBUFEBOEWBMJEBUFEUIBUJUTSFQPSUJOH does not require any manual process. As a coordinative measure by the bank’s management in facing liquidity crisis occurrences in the future, the bank is forming the Liquidity Crisis Management Team as an anticipatory measure in response to the liquidity crisis by executing emergency procedures in accordance with the Contingency Funding Plan Scenario framework which has been established based on the ALCO Asset Liability Committee meeting results. 381 RISK MANAGEMENT bank bjb Annual Report 2014 4UPDL0CMJHBUJPOJHIMJHIUT Management Discussion Analysis on Company Performance Good Corporate Governance PSQPSBUF4PDJBM3FTQPOTJCJMJUZ POTPMJEBUFEJOBODJBM4UBUFNFOUT Corporate Data RISK MANAGEMENT Dalam proses pemantauan limit Risk Taking Unit, Satuan Kerja Manajemen Risiko selalu melakukan pemantauan limit secara harian dan dilaporkan kepada Direksi secara berkala. Adapun apabila terjadi eskalasi pelampauan limit maka akan segera dilaporkan kepada Direksi termasuk upaya contingency plan yang akan dilakukan oleh Risk Taking Unit. Terkait menuju implementasi Basel III yang terfokus kepada permasalahan likuiditas, Satuan Kerja Manajemen Risiko bekerja sama dengan Unit Bisnis dan Supporting Unit melakukan pengukuran dampak Basel III terhadap bank dengan melakukan simulasi perhitungan rasio LCR dan NSFR yang dibutuhkan oleh bank agar terhindari dari dampak risiko likuiditas dan kepatuhan internal maupun eksternal. 6LVWHP3HQJHQGDOLDQ,QWHUQ\DQJ0HQ\HOXUXK Dalam rangka pengembangan penerapan manajemen risiko yang dinamis, Satuan Kerja Manajemen Risiko selalu melakukan evaluasi atas kebijakan, prosedur dan limit risiko likuiditas secara berkala. Sebagai upaya pengendalian risiko pasar berupa kecukupan kebijakan dan prosedur Satuan Kerja Manajemen Risiko, kaji ulang atas kebijakan dan prosedur dilakukan oleh unit independen baik di internal ataupun pihak eksternal. Satuan Kerja Manajemen Risiko pun melakukan stress testing likuiditas bank bjb dan memberikan informasi kondisi kecukupan aset likuid yang dipandang memadai untuk mengcover penarikan dana oleh nasabah secara tiba-tiba dan dalam jumlah besar. Laporan tersebut diinformasikan kepada Direksi dan risk taking unit agar mendapatkan feed back dan menciptakan risk awareness. 3HQJXQJNDSDQ.XDQWLWDWLI5LVLNRLNXLGLWDV B 1SPmM.BUVSJUBT3VQJBIoBOLTFDBSBOEJWJEVBM In the Risk Taking Unit limit monitoring process, the Risk Management Unit continuously monitors the daily limit and report it to the Board of Directors on a regular basis. Limit escalation breach occurrences will be immediately reported to the Board of Directors including contingency plan efforts which will be conducted by the Risk Taking Unit. In relations to the implementation of Basel III, which focuses on liquidity issues, the Risk Management Unit is working with the Business Unit and Supporting Unit in measuring the impacts of Basel III on the bank and calculate the ratio of the LCR and NSFR required by the bank in order to avoid the impact of liquidity risk and internal and external compliance. RPSUHKHQVLYH,QWHUQDORQWURO6\VWHP In order to develop a dynamic risk management, the Risk Management Unit continuously evaluates the policies, procedures and limits for liquidity risk on a regular basis. In an effort to control the market risk in the form of the adequacy of policies and procedures of the Risk Management Unit, reviews on the policies and procedures are carried out by an independent unit by both internal and external parties. The Risk Management Unit also conducts bank bjb’s liquidity stress testing and provide information on the liquid assets adequacy conditions that are deemed TVGmDJFOUUPDPWFSBTVEEFOBOEJOMBSHFBNPVOUGVOET withdrawal by customers. The report is conveyed to the Board of Directors and the risk taking unit in order to obtain feed back and create risk awareness. 4XDQWLWDWLYHLVFORVXUHRIWKHLTXLGLW\5LVN B OEJWJEVBM3VQJBIoBOL.BUVSJUZ1SPmMF 382 MANAJEMEN RISIKO bank bjb Laporan Tahunan 2014 LIUJTBS4BIBN0CMJHBTJ Analisa Pembahasan atas Kinerja Perseroan 5BUB,FMPMB1FSVTBIBBO 5BOHHVOH+BXBC4PTJBM1FSVTBIBBO -BQPSBO,FVBOHBO,POTPMJEBTJBO BUB1FSVTBIBBO 3HQJXQJNDSDQ 3URÀO 0DWXULWDV 5XSLDK ² DQN VHFDUD,QGLYLGXDO7DEHOD Rp Juta 3RVSRV Post 6DQGL Code 6DOGR Balance 1 minggu 1 week I. NeracaBalance Sheet

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