Market Risk Laporan Tahunan bank bjb 2015 AR BJB 2015 (web)

bank bjb Lapor an Tahunan 20 15 Annual Repor t bank bjb Lapor an Tahunan 20 15 Annual Repor t St ock Obligat ion Highlight s Management Discussion Analysis Good Cor por at e Gover nance Cor por at e Social Responsibilit y Consolidat ed Financial St at ement s Cor por at e Dat a 345 Sumber r isiko pasar banking book t imbul ant ar a lain disebabkan oleh per ubahan st ukt ur por t of olio ner aca dan r ekening adminst r at if bank yang sensit if t er hadap per ger akan suku bunga sehingga ber dampak t er hadap pendapat an bunga ber sih dan yang yang disebabkan pula kar ena per ubahan st r ukt ur por t of olio ner aca dan r ekening adminst r at if bank yang sensit if t er hadap per ger akan nilaii t ukar yang t er cer min dar i Posisi Devisa Net o bank.

1. Pengawasan Aktif Dewan Komisaris dan Direksi

Dewan Komisar is dan Dir eksi ber t anggungjawab at as ef ekt ivit as pener apan Manajemen Risiko Pasar di Bank. Ter kait wewenang dan t anggung jawab pengawasan akt if Dewan Komisar is dan Dir eksi bank bjb, Dewan Komisar is dan Dir eksi selalu memper oleh inf or masi yang jelas mengenai evaluasi dan pener apan manajemen r isiko eksposur r isiko pasar , pemant auan limit secar a har ian ser t a langkah-langkah yang diambil oleh Risk Taking Unit khususnya t er kait adanya pelampauan limit . Dalam pelaksanaan pengawasannya, Dewan Komisar is dibant u oleh Komit e Pemant au Risiko KPR bank secar a ber kala melakukan pengawasan melalui koor dinasi dengan Sat uan Ker ja Manajemen Risiko. Media koor dinasi yang digunakan dapat ber upa lapor an pemant auan r isiko oleh SKMR yang disampaikan kepada Komit e Pemant au Risiko at aupun melalui media r apat ant ar a kedua belah pihak. Pada implement asinya, pelaksanaan r apat yang diadakan umumnya membahas pener apan manajemen r isiko di bank bjb menyangkut diant ar anya pener apan pengukur an r isk t oler ance r isiko pasar , pembahasan pr of il r isiko yang ber sif at mat er ial, ser t a kecukupan dan evaluasi met odologi dan at au t ools pengukur an r isiko pasar yang diper gunakan Sat uan Ker ja Manajemen Risiko. Sour ces of banking book mar ket r isk ar ises par t ly due t o t he changes in t he por t f olio st r uct ur e of t he bank’s balance sheet s and administ r at ive account s t hat ar e sensit ive t o int er est r at e movement s impact ing t he net int er est income and which ar e also due t o changes in t he por t f olio st r uct ur e of t he bank’s balance sheet s and administ r at ive account s t hat ar e sensit ive t o movement s in exchange r at es which is r ef lect ed in t he Net Open Posit ion of bank.

1. Active Supervision by the Board of Commissioners and the Board of Directors

The Boar d of Commissioner s and t he Boar d of Dir ect or s ar e r esponsible f or t he ef f ect ive implement at ion of t he Bank’s Mar ket Risk Management . In r elat ions t o t he act ive super vision aut hor it y and r esponsibilit y of t he Boar d of Commissioner s and Boar d of Dir ect or s of bank bjb, t he Boar d of Commissioner s and t he Boar d of Dir ect or s always obt ain clear inf or mat ion on t he evaluat ion and implement at ion of r isk management of mar ket r isk exposur e, super vision of limit on a daily basis as well as st eps employed by t he Risk Taking Unit specif ically r elat ed t o t he lending limit . In t he implement at ion of it s super vision, t he Boar d of Commissioner s is assist ed by t he bank’s Risk Monit or ing Commit t ee RMC per iodically conduct super vision in coor dinat ion wit h t he Risk Management Unit . The coor dinat ion media ut ilized can be in t he f or m of r isk monit or ing r epor t s by SKMR submit t ed t o t he Risk Monit or ing Commit t ee or t hr ough t he media of meet ings bet ween t he t wo par t ies. In it s implement at ion, t he meet ing implement ed gener ally discusses t he implement at ion of r isk management in bank bjb, concer ning among ot her s, t he applicat ion of mar ket r isk measur ement of r isk t oler ance, mat er ial r isk pr of ile discussion, as well as t he adequacy and evaluat ion of met hodologies and or mar ket r isk measur ement t ools used by t he Risk Management Unit . bank bjb Lapor an Tahunan 20 15 Annual Repor t Analisa Pembahasan at as Kiner ja Per ser oan Management Discussion Analysis on Company Per f or mance bank bjb Lapor an Tahunan 20 15 Annual Repor t 346 Pengawasan yang dilakukan oleh Dir eksi adalah melalui pemant auan pener apan limit Tr easur y secar a ber kala baik t er jadi pelampauan limit br each limit maupun t idak t er jadi pelampauan limit , dan melakukan per set ujuan at as limit yang ber sif at bar u at aupun set elah dilakukan per ubahan. Pembahasan t ent ang pengelolaan r isiko pasar t er kait penent uan t ingkat suku bunga pr icing dan st r ukt ur aset kewajiban bank dilakukan dalam Rapat ALCO Asset Liabilit y Commit t ee sedangkan pembahasan eksposur r isiko pasar dibahas dalam r apat Komit e Manajemen Risiko Risk Management Commit t ee. Sejalan dengan kebijakan manajemen r isiko pasar mengenai t ahapan eskalasi pelampauan limit , set iap pelampauan limit akan diinf or masikan dan diset ujui apabila t er jadi kondisi abnor mal dalam Komit e Manajemen Risiko RMC. Pengelolaan r isiko pasar t er sebut disusun ke dalam bent uk kebijakan, pr osedur , limit r isiko dan hasil keput usan lainnya t er kait dengan pengelolaan r isiko pasar . Limit r isiko pasar dan r isk appet it e bank dievaluasi secar a per iodik at au sewakt u- wakt u diper lukan unt uk dilakukan evaluasi sesuai dengan per ubahan lingkungan bisnis bank.

2. Kecukupan Kebijakan, Prosedur dan Penetapan Limit

Sebagai pener apan manajemen r isiko pasar yang ber sif at dinamis, Sat uan Ker ja Manajemen Risiko bank melakukan pembahar uan dan evaluasi at as kebijakan dan pedoman manajemen r isiko bank secar a ber kala. Evaluasi pedoman pengukur an limit r isiko pasar oleh Sat uan Ker ja Manajemen Risiko secar a ber kala dan dilakukan pembahasan dengan r isk t aking unit Divisi Tr easur y dan selanjut nya akan diajukan kepada Dir eksi unt uk per set ujuan at as pedoman dimaksud. Ter kait dengan evaluasi penet apan limit Dealing Room Tr easur y dan ALM yang diajukan oleh Divisi Tr easur y, Sat uan Ker ja Manajemen Risiko melakukan evaluasi t er hadap limit t er sebut dengan met odologi yang t elah disahkan dalam pedoman manajemen r isiko bank. Limit unt uk level por t of olio t r easur y dievaluasi minimal sat u t ahun sekali at au dapat dilakukan lebih ser ing jika t er dapat per ger akan volat ilit as har ga pasar at au per ubahan business plan r isk t aking unit . Evaluasi analisa t er sebut sekur ang-kur angnya memuat Super vision car r ied out by t he Boar d of Dir ect or s is t hr ough t he monit or ing of t he implement at ion of t he Tr easur y limit per iodically in t he event of br each limit occur r ences or not , and pr ovide limit appr oval t hat ar e new or af t er being amended. Discussions on t he management of t he mar ket r isk r elat ed t o int er est r at e det er minat ion pr icing and t he st r uct ur e of t he bank’s asset s and liabilit ies ar e car r ied at t he ALCO Asset Liabilit y Commit t ee Meet ing, while discussions on t he mar ket r isk exposur es ar e discussed in t he Risk Management Commit t ee meet ings. In line wit h t he mar ket r isk management policies r egar ding t he st ages of escalat ion of limit br each, any limit br eaches will be inf or med and appr oved in t he event of abnor mal condit ions in t he Risk Management Commit t ee RMC. The management of t he mar ket r isk is ar r anged in t he f or m of policies, pr ocedur es, r isk limit s, and ot her decision r esult s r elat ing t o t he management of mar ket r isk. The limit of t he bank’s mar ket r isk and r isk appet it e ar e evaluat ed per iodically or at any t ime deemed needed t o be evaluat ed in accor dance wit h t he bank’s changing business envir onment .

2. Adequacy of Policy, Procedure, and

Establishment of Limit As an applicat ion of a dynamic mar ket r isk management , t he Risk Management Unit of t he bank per iodically updat es and evaluat es t he policies and guidelines of t he bank’s r isk management . The evaluat ion of t he mar ket r isk limit measur ement guidelines by t he Risk Management Unit ar e conduct ed per iodically and discussions wit h t he r isk t aking unit Tr easur y Division ar e subsequent ly submit t ed t o t he Boar d of Dir ect or s f or t he appr oval of t he int ended guidelines. Relat ed t o t he Dealing Room Tr easur y and ALM limit det er minat ion evaluat ion submit t ed by t he Tr easur y Division, t he Risk Management Unit evaluat es t he limit s t hr ough met hodologies t hat has been validat ed in t he bank’s r isk management guidelines. The limit f or t r easur y por t f olio level is evaluat ed at least once a year or can be car r ied out mor e f r equent ly in t he event of mar ket pr ice volat ile movement s or changes in t he business plan of t he r isk t aking unit . The analysis evaluat ion shall at least cont ain backgr ound inf or mat ion bank bjb Lapor an Tahunan 20 15 Annual Repor t bank bjb Lapor an Tahunan 20 15 Annual Repor t St ock Obligat ion Highlight s Management Discussion Analysis Good Cor por at e Gover nance Cor por at e Social Responsibilit y Consolidat ed Financial St at ement s Cor por at e Dat a 347 inf or masi mengenai lat ar belakang per ubahan limit , kondisi saat ini, dasar per hit ungan dalam melakukan per ubahan limit , kepat uhan t er hadap r egulasi dan dampak t er hadap modal.

3. Kecukupan Proses Identif ikasi, Pengukuran, Pemantauan, dan Pengendalian Risiko, serta

Sistem Inf ormasi Manajemen Risiko Dalam melakukan pener apan Manajemen Risiko melalui pr oses ident if ikasi, pengukur an, pemant auan, dan pengendalian Risiko, ser t a sist em inf or masi Manajemen Risiko unt uk Risiko Pasar sebagaimana Sur at Edar an Bank Indonesia Nomor 13 23 DPNP t anggal 25 Okt ober 20 11, Bank melakukan pener apan manajemen r isiko yait u:

a. Identif ikasi Risiko Pasar

Pr oses ident if ikasi r isiko pasar meliput i ident if ikasi dar i kar akt er ist ik pr oduk bar u, ident if ikasi sumber r isiko pasar yang dapat ber dampak kepada t r ansaksi yang akan dilakukan oleh Dealing Room Tr easur y. Pr oses ident if ikasi Risiko yang disesuaikan dengan Risiko Pasar melekat pada akt ivit as bisnis Bank yang meliput i r isiko suku bunga ant ar a lain r epr icing r isk, yield cur ve r isk, basis r isk, dan opt ionalit y r isk dan unt uk r isiko nilai t ukar ant ar a lain t er cer min dar i besar nya eksposur t r ansaksional. Sat uan Ker ja Manajemen Risiko juga melakukan review at au evaluasi at as pr oduk maupun akt ivit as yang t er ekspos pengar uh per ger akan var iabel pasar .

b. Pengukuran Risiko Pasar

Pengelolaan por t of olio Divisi Tr easur i t anpa adanya dasar per t imbangan dan penilaian r isiko akan mengakibat kan ker ugian di at as t oler ansi bank dalam menyer ap ker ugian. Salah sat u car a dalam menanggulangi kejadian r isiko yang dapat menyebabkan ker ugian di at as t oler ansi r isiko bank adalah penggunaan t oler ansi r isiko at au limit t r ansaksi yang diper kenankan manajemen bank. Pengajuan limit oleh Divisi Tr easur i sebagai r isk t aking unit har us mendapat kan kajian r isiko secar a t er ukur oleh Divisi Manajemen Risiko. Pengajuan limit ini ber t ujuan unt uk memper mudah Manajemen bank bjb dalam memahami r isiko yang dihadapi ser t a pengelolaan r isikonya. about limit changes, cur r ent condit ions, t he basis of calculat ions in conduct ing limit changes, compliance t o t he r egulat ions and t he impact s t o t he capit al.

3. Adequacy of Identification Process,

Measurement, Monitoring, and Risk Control, as well as the Risk Management Information System In conduct ing t he implement at ion of Risk Management t hr ough t he pr ocess of ident if icat ion, measur ement , monit or ing, and cont r olling r isks, as well as t he Risk Management inf or mat ion syst em f or t he Mar ket Risk as st ipulat ed in Bank Indonesia Cir cular Let t er No. 13 23 DPNP dat ed 25 Oct ober 20 11, t he Bank implement s t he r isk management , namely:

a. Market Risk Identif ication

The market risk identif ication process includes the identif ication of new product characteristics, identif ication of sources of market risk that may af f ect the transactions that will be conducted by the Dealing Room Treasury. The risk identif ication 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 f or f oreign exchange risk are among others as ref lected in the amount of transactional exposure. The Risk Management Unit also conducts reviews or evaluations on products or activities that are exposed to the inf luence of movements in market variables.

b. Market Risk Assessment

The por t f olio management of t he Tr easur y Division wit h no consider at ion basis nor r isk assessment s will r esult in t he loss of t oler ance of t he bank t o absor b losses. One way t o inhibit r isk occur r ences t hat may cause har m t o t he bank’s r isk t oler ance is t he applicat ion of r isk t oler ance or limit t r ansact ions t hat ar e allowed by t he management of t he bank. The limit applicat ion by t he Tr easur y Division as t he r isk t aking unit must obt ain a measur ed r isk assessment by t he Risk Management Division. The limit applicat ion is int ended t o f acilit at e t he management of bank bjb in under st anding r isk as well as it s management . bank bjb Lapor an Tahunan 20 15 Annual Repor t Analisa Pembahasan at as Kiner ja Per ser oan Management Discussion Analysis on Company Per f or mance bank bjb Lapor an Tahunan 20 15 Annual Repor t 348 Pengajuan limit har us meliput i kr it er ia- kr it er ia sebagai ber ikut : Divisi Tr easur i sebagai r isk t aking unit mener apkan “ t r ading” dan “hedging” secar a ber kala sebagai bagian dar i pr oses pengelolaan bisnis Tr easur y khususnya bidang Tr easur y Tr ading. Pada kont eks limit ber basis r isiko ini, yang dit ent ukan adalah limit yang ber kait an dengan akt ivit as Tr easur y. Dalam pr oses pener apan limit dilakukan usaha pendekat an dimana t er dapat komponen-komponen yang mendukung diant ar anya: a. Rencana Bisnis • Rencana bisnis har us secar a luas mencant umkan t ujuan dar i limit yang dimint a, t ar get pasar , pendapat an yang dihar apkan dan kebut uhan akan modal. Rencana t er sebut har us mengkualif ikasikan car a bagaimana limit t er sebut akan diper gunakan, cont oh “ t r ading” at au “hedging”. • Aplikasi limit har us mengident if ikasi mat a uang dan pasar spesif ik yang menjadi eksposur t er hadap t ujuan unit bisnis. b. Per syar at an Modal dan Pr oyeksi Pendapat an • Divisi Tr easur i memint a masukan dar i Divisi Manajemen Risiko dalam mengukur alokasi modal yang har us disediakan dalam memit igasi pot ensi ker ugian yang akan t imbul. • Divisi Tr easur i har us member ikan pr oyeksi pendapat an yang ber hubungan dengan aplikasi limit . Pr oyeksi t er sebut akan memudahkan Dir eksi dalam pr oses pengambilan keput usan per set ujuan limit . c. Penggunaan hist or is Divisi Tr easur i dapat member ikan analisa t r end mar ket out look dengan penggunaan hist or is yang ada at as eksposur r isiko at au limit yang akan dit er apkan. The limit applicat ion must include t he f ollowing cr it er ia: The Tr easur y Division as t he r isk t aking unit implement s “t r ading” and “hedging” on a r egular basis as par t of t he Tr easur y business management pr ocess par t icular ly in t he Tr easur y Tr ading f ield. In t his r isk-based limit cont ext , t he limit set is r elat ed t o Tr easur y act ivit ies. In t he limit implement at ion pr ocess, appr oaches ar e conduct ed t o t he suppor t ing component s, among ot her s: a. Business plan • The business plan must br oadly st at es t he pur pose of t he r equest ed limit , t he t ar get mar ket , expect ed r evenues and t he r equir ed capit al. The plan must qualif y how t he limit will be ut ilized, such as “t r ading” or “hedging”. • The limit applicat ion must ident if y a specif ic cur r ency and mar ket becoming exposur es t o t he business unit ’s object ives. b. Capit al Requir ement and Pr oject ed Revenues • The Tr easur y Division r equest s input f r om t he Risk Management Division in measur ing t he capit al allocat ion t hat should be pr ovided t o mit igat e pot ent ial losses t hat may ar ise. • The Tr easur y Division must pr ovide t he pr oject ed r evenues associat ed wit h t he limit applicat ion. The pr oject ions will f acilit at e t he Boar d of Dir ect or s in t he decision-making pr ocess of limit appr oval. c. The Use of Hist or ical The Tr easur y Division can pr ovide t he mar ket out look t r end analysis wit h t he use of exist ing hist or ic on r isk exposur es or limit which will be implement ed. bank bjb Lapor an Tahunan 20 15 Annual Repor t bank bjb Lapor an Tahunan 20 15 Annual Repor t St ock Obligat ion Highlight s Management Discussion Analysis Good Cor por at e Gover nance Cor por at e Social Responsibilit y Consolidat ed Financial St at ement s Cor por at e Dat a 349 Pr osedur ker ja pengukur an limit unit bisnis Tr easur i memper t imbangkan beber apa aspek yang dinilai cukup ber pot ensial dalam menimbulkan kejadian r isiko. Komponen yang mendasar i dalam pengukur an limit memuat yait u: a Fakt or sensit ivit as r isiko pasar Set iap akt ivit as Tr easur i t er dapat r isiko yang melekat r isk inher ent dimana pr oses dalam pengukur an r isiko har us didasar kan pada sensit ivit as r isiko yang melekat pada akt ivit as t r ansaksi Tr easur i. Fakt or sensit ivit as r isiko pasar meliput i yait u PV0 1, Dur at ion dan volat ilit as t r ansaksi. b Kecukupan Dat a Kecukupan dat a diper lukan sebagai kecukupan pr osedur analisis st at ist ik dan agar analisis pengukur an t er hadap r isiko menghasilkan out put yang memadai dan sesuai dengan eksposur r isiko yang dihadapi oleh bank. Dat a yang diper lukan adalah dat a hist or is yang dibut uhkan guna memper kuat suat u analisis pengukur an limit r isiko. c Pengukur an Value at Risk Model Value at Risk t er sebut diper gunakan dalam mengukur dan menganalisa r isiko t r ansaksi Tr easur i secar a kompr ehensif dan t er ukur . Misalnya, penggunaan VaR value at r isk unt uk mengukur ker ugian budget loss at as akt ivit as t r ansaksi Tr easur y t r ading selain it u kegunaan model ini juga dapat mengukur per kir aan ker ugian t er bur uk yang dapat dialami Bank dalam selang wakt u t er t ent u pada kondisi pasar yang nor mal dan t ingkat keper cayaan t er t ent u. Beber apa st r at egi pengelolaan r isiko pasar yang dilakukan bank bjb adalah mencakup sist em dan pr osedur dengan menggunakan t eknik Mar k To Mar ket , Value at Risk VaR, St r ess Test ing, Repr icing Gap Dur at ion Gap Model at au met oda lain yang sesuai unt uk mendapat kan nilai wajar eksposur secar a ber kala, sekaligus mer upakan plat f or m yang t epat unt uk menilai posisi r isiko. The Tr easur y business unit limit measur ement wor king pr ocedur es consider sever al aspect s t hat ar e assessed t o have t he pot ent ials of r isk occur r ences. Under lying component s in t he measur ement of limit ar e namely: a. Mar ket Risk Sensit ivit y Fact or Ther e ar e inher ent r isk in each Tr easur y act ivit ies in which t he pr ocess of r isk assessment shall be based on t he sensit ivit y of t he inher ent r isk in t he Tr easur y t r ansact ion act ivit ies. The mar ket r isk sensit ivit y f act or s include PV0 1, Dur at ion, Vega, Gamma, Thet a, Rho, and t r ansact ion volat ilit y. b. Adequacy of Dat a Dat a adequacy is r equir ed as a st at ist ic analysis pr ocedur e adequacy and t o ensur e t he r isk assessment analysis gener at es adequat e out put and in accor dance wit h t he r isk exposur e f aced by t he bank. The dat a r equir ed is hist or ical dat a needed t o st r engt hen a measur ement analysis of r isk limit . c. Value at Risk Assessment The Value at Risk model is used in measur ing and analyzing t he Tr easur y’s t r ansact ion r isks in a compr ehensive and measur able manner . For example, t he use of VaR value at r isk t o measur e budget loss over t he Tr easur y t r ading t r ansact ion act ivit ies in addit ion t he benef it of t his model can also measur e t he expect ed wor st loss caused t o t he Bank in a cer t ain t ime int er val in nor mal mar ket condit ions and a cer t ain conf idence level. Sever al mar ket r isk management st r at egies conduct ed by bank bjb include syst ems and pr ocedur es t hr ough t he ut ilizat ion of Mar k To Mar ket , Value at Risk VaR, St r ess Test ing, Repr icing Gap and Dur at ion Gap Model t echniques or ot her appr opr iat e met hods t o obt ain a f air exposur e value on a r egular basis, as well as an accur at e plat f or m t o assess t he r isk posit ion. bank bjb Lapor an Tahunan 20 15 Annual Repor t Analisa Pembahasan at as Kiner ja Per ser oan Management Discussion Analysis on Company Per f or mance bank bjb Lapor an Tahunan 20 15 Annual Repor t 350 Pada saat ini bank bjb mener apkan met ode yang mampu mengukur r isiko t er hadap nilai t ukar yait u dengan menggunakan Model Nilai Tukar Var EWMA Exponent ial Weight ed Moving Aver age yang dilengkapi dengan Fundament al Analysis dan Hist or ical Simulat ion unt uk menangkap t ingkat r isiko nilai t ukar yang t er cer min dalam Posisi Devisa Net t o. bank bjb juga t elah membangun model pengukur an r isiko t ingkat suku bunga dengan menggunakan met odologi yang dapat menangkap r isiko suku bunga dar i por t of olio aset dan kewajiban yang sensit if t er hadap per ubahan suku bunga ser t a menent ukan besar an r isiko t er hadap bank melalui Repr icing Pr of ile, Dur at ion GAP, dan Economic Value of Equit y EVE. Dalam pr oses pengukur an pot ensi ker ugian baik it u suku bunga dan nilai t ukar dar i t r ansaksi-t r ansaksi Tr easur y diukur melalui VaR simulasi hist or is baik secar a sist em OPICS Risk maupun manual. Pengujian kelayakan int er nal VaR simulasi hist or is melalui back t est ing VaR vs Pr of it Loss Tr easur y dan dilakukan secar a ber kala.

c. Pemantauan Risiko Pasar

Akt ivit as manajemen r isiko dalam melakukan pr oses pemant auan akt ivit as bisnis ant ar a lain melalui: 1. Adanya RMA Risk Manegement Agency yang ber f ungsi unt uk melakukan pr oses manajemen r isiko pasar t r ading book melalui pemant auan limit Tr easur i secar a har ian, misalnya ket ent uan GWM, open posit ion, budget loss, r isk sensit ivit y limit , dll. Sebagai upaya pr oses pemant auan yang ef ekt if dan akur at , bank t elah memiliki sist em OPICS Risk yang ber f ungsi dalam mengukur eksposur r isiko t r ading book yang dilakukan oleh dealing r oom Tr easur y. 2. Pemant auan r isiko nilai t ukar banking book dilakukan melalui pemant auan Posisi Devisa Net o per 30 menit ser t a secar a har ian agar ber ada dalam t oler ansi limit int er nal bank dan r egulasi Bank Indonesia. At t his t ime t he bank bjb applying met hods capable of measur ing t he r isk of t he exchange r at e is by using t he Exchange Rat e Model Var EWMA Exponent ial Weight ed Moving Aver age equipped wit h Fundament al Analysis and Hist or ical Simulat ion t o capt ur e t he exchange r at e r isk is r ef lect ed in t he Net Open Posit ion. bank bjb have also built a model measur ing int er est r at e r isk by using a met hodology t hat can capt ur e t he int er est r at e r isk of t he por t f olio of asset s and liabilit ies t hat ar e sensit ive t o changes in int er est r at es and t o det er mine t he amount of r isk t o t he bank t hr ough t he r epr icing Pr of ile, Dur at ion GAP and Economic Value of Equit y EVE. In t he pr ocess of measur ing t he pot ent ial loss of bot h int er est r at es and t he exchange r at e of t he Tr easur y t r ansact ions ar e measur ed t hr ough hist or ical simulat ion VaR bot h syst ems OPICS Risk or manually. Int er nal f easibilit y t est ing t hr ough t he hist or ical simulat ion VaR back t est ing VaR vs. Pr of it Loss Tr easur y and done r egular ly.

c. Market Risk Monitoring

The act ivit y of r isk management in conduct ing business act ivit ies’ monit or ing pr ocess ar e t hr ough, among ot her s: 1. The exist ence of t he RMA Risk Management Agency which ser ves t o per f or m t r ading book mar ket r isk management pr ocess t hr ough t he daily monit or ing of t he Tr easur ies’ limit , f or example t he pr ovisions on minimum r eser ve r equir ement , open posit ion, budget loss, r isk sensit ivit y limit , and ot her s. As an ef f ect ive and accur at e monit or ing pr ocess ef f or t , t he bank has had t he OPICS Risk syst em which ser ves t o measur e t he t r ading book’s r isk exposur es under t aken by t he Tr easur y dealing r oom. 2. Monit or ing of t he t r ading book exchange r at e r isk monit or ing is per f or med t hr ough t he monit or ing of t he Net Open Posit ion per 30 minut es as well as daily t o be in t he int er nal bank’s limit t oler ance and t he r egulat ions of Bank Indonesia. bank bjb Lapor an Tahunan 20 15 Annual Repor t bank bjb Lapor an Tahunan 20 15 Annual Repor t St ock Obligat ion Highlight s Management Discussion Analysis Good Cor por at e Gover nance Cor por at e Social Responsibilit y Consolidat ed Financial St at ement s Cor por at e Dat a 351 3. Pemant auan r isiko suku bunga banking book dilakukan melalui pengukur an Repr icing GAP, Dur at ion GAP, dan Economic Value of Equit y EVE unt uk melihat sensit ivit as por ot f olio akt iva dan pasiva bank dalam menghadapi per ubahan suku bunga di masa dat ang. 4. Melakukan evaluasi t er hadap eksposur r isiko yang dimiliki oleh bank. 5. Apabila ter jadi pelampauan limit , Divisi Manajemen Risiko seger a melakukan pelampauan t er sebut kepada Dir eksi. 6. Apabila ter jadi pelampauan limit , Divisi Manajemen Risiko seger a melakukan pelampauan t er sebut kepada Dir eksi.

d. Pengendalian Risiko Pasar

St r at egi yang diambil oleh bank dalam pr oses pengendalian r isiko pasar , ant ar a lain melalui hedging, squar ing posit ion, back-t o-back dan car a lain yang ber t ujuan unt uk meng- of f - set suat u t r ansaksi posisi yang mengalami ker ugian ser t a st r ess t est ing guna melihat ket ahanan posisi keuangan bank dalam menghadapi kondisi kr isis. Selain it u pula dapat digunakan unt uk ment r ansf er r isiko yang dimiliki dealing r oom Tr easur y bank sepanjang t r ansf er r isiko t er sebut masih ber ada dalam r isk limit bank. Bank juga membat asi at au melar ang jenis t r ansaksi at au inst r umen t er t ent u unt uk dit r ansaksikan oleh bisnis unit , ser t a mengur angi r isiko dengan car a member ikan bat as maksimum t r ansaksi at au por t of olio sesuai dengan r isk appet it e bank. 3. Monit or ing of t he banking book int er est r at e r isk conduct ed t hr ough t he measur ement of Repr icing GAP, Dur at ion GAP and Economic Value of Equit y EVE t o see t he por t f olio sensit ivit y of t he bank’s asset s and liabilit ies in encount er ing t he changes in int er est r at es in t he f ut ur e. 4. Monit or ing t he sover eign r isk Cr edit Def ault Swap 5 Year as an indicat or of invest ment r isk assessor s of a count er par t y or a f or eign count r y t hr ough t he r isk management inf or mat ion syst em. In t he event t he CDS level incr eased signif icant ly, t he business unit must under t ake decisions t o avoid huge losses t o t he bank. 5. To evaluat e t he bank’s r isk exposur es. 6. In t he event of limit br each, t he Risk Management Division immediat ely r epor t t he br each t o t he Boar d of Dir ect or s.

d. Market Risk Control

The st r at egy adopt ed by t he bank in t he mar ket r isk cont r ol pr ocess, among ot her s t hr ough hedging, squar ing posit ion, back- t o-back and ot her met hods t hat aimed t o of f -set a t r ansact ion posit ion exper iencing loss as well as st r ess t est ing t o obser ve t he r esilience of t he bank’s f inancial posit ion in t he f ace of cr isis. In addit ion, it can also be used t o t r ansf er t he r isk of t he Tr easur y dealing r oom as long as t he r isk t r ansf er is st ill in t he bank’s r isk limit . The Bank also r est r ict s or pr ohibit s cer t ain t ypes of t r ansact ions or inst r ument s t o be t r ansact ed by t he business unit , as well as r educing r isk by pr oviding a maximum t r ansact ion or por t f olio limit in accor dance wit h t he r isk appet it e of t he bank. bank bjb Lapor an Tahunan 20 15 Annual Repor t Analisa Pembahasan at as Kiner ja Per ser oan Management Discussion Analysis on Company Per f or mance bank bjb Lapor an Tahunan 20 15 Annual Repor t 352

4. Sistem Pengendalian Intern yang Menyeluruh

Dalam r angka pengembangan pener apan manajemen r isiko yang dinamis, Sat uan Ker ja Manajemen Risiko selalu melakukan evaluasi at as kebijakan, pr osedur dan limit r isiko pasar secar a ber kala. Sebagai upaya pengendalian r isiko pasar ber upa kecukupan kebijakan dan pr osedur Sat uan Ker ja Manajemen Risiko, kaji ulang at as kebijakan dan pr osedur dilakukan oleh unit independen baik di int er nal at aupun pihak ekst er nal. Pelaksanaan kaji ulang dan evaluasi t er hadap pengukur an r isiko yang dilakukan oleh Divisi Manajemen Risiko meliput i: • Kesesuaian kebijakan, desain pr oses Manajemen Risiko, sist em inf or masi, dan pelapor an manajemen r isiko bank dengan kebut uhan bisnis Bank, ser t a per kembangan per at ur an dan pr akt ik t er baik best pr act ice t er kait Manajemen Risiko; • Met ode, asumsi, dan var iabel yang digunakan unt uk mengukur Risiko dan menet apkan limit r isiko pasar ; • Per bandingan ant ar a asumsi yang digunakan dalam met ode pengukur an r isiko yang diper gunakan dengan kondisi yang sebenar nya akt ual; • Per bandingan ant ar a limit yang dit et apkan dengan eksposur yang sebenar nya akt ual; Hasil kaji ulang Sat uan Ker ja Manajemen Risiko Divisi Manajemen Risiko yang t elah dikaji ulang oleh Sat uan Ker ja Audit Int er n SKAI akan disampaikan dalam Komit e Manajemen Risiko RMC unt uk kemudian dimint a per set ujuannya kepada Dir eksi. Pembahasan t er sebut dilakukan pula dengan Dewan Komisar is yang dibant u oleh Komit e Pemant au Risiko. Kaji ulang yang dilakukan oleh Sat uan Ker ja Audit Int er n SKAI meliput i:

4. Comprehensive Internal Control System

In or der t o develop t he implement at ion of a dynamic r isk management , t he Risk Management Unit cont inuously evaluat es t he policies, pr ocedur es and mar ket r isk limit s on a r egular basis. As an ef f or t t o cont r ol t he mar ket r isk in t he f or m of adequacy of policies and pr ocedur es of t he Risk Management Unit , a r eview on t he policies and pr ocedur es is car r ied out by an independent unit bot h int er nally or ext er nal par t ies. The implement at ion of r eview and evaluat ion t o t he r isk measur ement per f or med by t he Risk Management Division include: • The conf or mit y of policy, Risk Management pr ocess design, inf or mat ion syst ems, and t he bank’s r isk management r epor t ing wit h t he Bank’s business needs, as well as r egulat or y development s and best pr act ices r elat ed t o Risk Management ; • Met hods, assumpt ions, and var iables used t o measur e Risk and det er mining t he mar ket r isk limit s; • The compar ison bet ween t he assumpt ions used in t he r isk measur ement met hods t hat ar e ut ilized and t he act ual condit ions; • Compar ison bet ween t he set limit and t he act ual exposur e; The r eview r esult s of t he Risk Management Unit Risk Management Division which have been r eviewed by t he Int er nal Audit Unit SKAI will be conveyed in t he Risk Management Commit t ee RMC t o be subsequent ly pr ompt ed f or appr oval t o t he Boar d of Dir ect or s. The discussion is also held wit h t he Boar d of Commissioner s, assist ed by t he Risk Monit or ing Commit t ee. The r eview car r ied out by t he Int er nal Audit Unit SKAI includes: bank bjb Lapor an Tahunan 20 15 Annual Repor t bank bjb Lapor an Tahunan 20 15 Annual Repor t St ock Obligat ion Highlight s Management Discussion Analysis Good Cor por at e Gover nance Cor por at e Social Responsibilit y Consolidat ed Financial St at ement s Cor por at e Dat a 353 • Keandalan ker angka Manajemen Risiko, yang mencakup kebijakan, st r ukt ur or ganisasi, alokasi sumber daya, desain pr oses Manajemen Risiko, sist em inf or masi, dan pelapor an Risiko Bank; • Pr oses pemant auan yang dilakukan oleh Sat uan Ker ja Manajemen Risiko; • Evaluasi at as met odologi pengukur an Sat uan Ker ja Manajemen Risiko;

5. Pengungkapan Kuantitatif Risiko Pasar

Tabel 7.1. Pengungkapan Risiko Pasar dengan Menggunakan Met ode St andar Rp Jut a dalam jut aan r upiah No Keterangan 31 Desember 20 15 December 31, 20 15 31 Desember 20 14 December 31, 20 14 bank bjb Konsolidasi Consolidat ed bank bjb Konsolidasi Consolidat ed Beban Modal Capit al Char ge ATMR RWA Beban Modal Capit al Char ge ATMR RWA Beban Modal Capit al Char ge ATMR RWA Beban Modal Capit al Char ge ATMR RWA 1 2 3 4 5 6 7 8 9 10 1 Risiko Suku Bunga Int er est Rat e Risk 91.233 1.140 .40 8 91.233 1.140 .40 8 85.747 1.0 71.834 85.747 1.0 71.834 a. Risiko Spesif ik a. Specif ic Risk 91.233 1.140 .40 8 91.233 1.140 .40 8 85.747 1.0 71.834 85.747 1.0 71.834 b. Risiko Umum b. Gener al Risk - - - - 2 Risiko Nilai Tukar For eign Exchange Risk 1.946 24.327 1.946 24.327 8.911 111.389 8.911 111.389 3 Risiko Ekuit as Equit y Risk - - - - 4 Risiko Komodit as Commodit y Risk - - - - 5 Risiko Opt ion Opt ion Risk - - - - Tot al 93.179 1.164.735 93.179 1.164.735 93.162 1.164.523 93.162 1.164.523

C. Risiko Likuiditas

Risiko Likuidit as adalah r isiko akibat ket idakmampuan bank unt uk memenuhi kewajiban yang t imbul at au kewajiban yang t elah jat uh t empo. Risiko ini t er jadi akibat kegagalan pengelolaan sumber dana dan penanaman dana mismat ch at au kekur angan likuidit as shor t age yag mengakibat kan bank t idak mampu memenuhi kewajiban keuangannya pada wakt u yang t elah dit et apkan. • Reliabilit y of Risk Management f r amewor k, which includes policies, or ganizat ional st r uct ur e, r esour ce allocat ion, Risk Management pr ocess design, inf or mat ion syst ems, and r epor t ing of Bank’s Risks; • Monit or ing pr ocess conduct ed by t he Risk Management Unit ; • Evaluat ion on t he measur ement met hodology of t he Risk Management Unit ;

5. Quantitative Disclosure of the Market Risk

Table 7.1. Mar ket Risk Disclosur e using St andar dized Appr oach Rp Million

C. Liquidity Risk

Liquidit y r isk is t he r isk due t o t he inabilit y of t he bank t o meet obligat ions or liabilit ies t hat have mat ur ed. This r isk is due t o t he f ailur e of invest ment management and f und invest ment mismat ch or a liquidit y shor t age which leads t o t he inabilit y of t he bank t o meet it s f inancial obligat ions at a pr edet er mined t ime. bank bjb Lapor an Tahunan 20 15 Annual Repor t Analisa Pembahasan at as Kiner ja Per ser oan Management Discussion Analysis on Company Per f or mance bank bjb Lapor an Tahunan 20 15 Annual Repor t 354 Risiko likuidit as dapat dikat egor ikan sebagai ber ikut : • Risiko Likuidit as Pasar , yait u r isiko yang t imbul kar ena bank t idak mampu melakukan of f set t ing posisi t er t ent u dengan har ga pasar kar ena kondisi likuidit as pasar yang t idak memadai at au t er jadi gangguan di pasar mar ket disr upt ion; • Risiko Likuidit as Pendanaan, yait u r isiko yang t imbul kar ena bank t idak mampu mencair kan aset nya at au memper oleh pendanaan dar i sumber dana lain.

1. Pengawasan Aktif Dewan Komisaris dan Direksi

Dewan Komisar is dan Dir eksi ber t anggungjawab at as ef ekt ivit as pener apan Manajemen Risiko Likuidit as di Bank. Ter kait wewenang dan t anggung jawab pengawasan akt if Dewan Komisar is dan Dir eksi bank bjb, Dewan Komisar is dan Dir eksi selalu memper oleh inf or masi yang jelas mengenai evaluasi dan pener apan manajemen r isiko eksposur r isiko likuidit as, pemant auan limit secar a har ian ser t a langkah- langkah yang diambil oleh Risk Taking Unit khususnya t er kait adanya pelampauan limit . Dalam pelaksanaan pengawasannya, Dewan Komisar is dibant u oleh Komit e Pemant au Risiko KPR bank yang secar a ber kala melakukan pengawasan melalui koor dinasi dengan Sat uan Ker ja Manajemen Risiko. Media koor dinasi yang digunakan dapat ber upa lapor an pemant auan r isiko oleh SKMR yang disampaikan kepada Komit e Pemant au Risiko maupun melalui media r apat ant ar a kedua belah pihak. Adapun r apat yang diadakan t er sebut pada umumnya membahas pener apan manajemen r isiko di bank bjb menyangkut diant ar anya pener apan pengukur an r isk t oler ance r isiko likuidit as, st r ess t est ing likuidit as, pembahasan pr of il r isiko likuidit as yang ber sif at mat er ial, dan kecukupan met odologi pengukur an yang diper gunakan Sat uan Ker ja Manajemen Risiko. Pengawasan yang dilakukan oleh Dir eksi yait u memant au pener apan limit Tr easur y secar a ber kala baik t er jadi pelampauan limit br each limit maupun t idak t er jadi pelampauan limit , melakukan per set ujuan at as limit yang ber sif at bar u at aupun per ubahannya. Pembahasan t ent ang pengelolaan r isiko likuidit as seper t i komposisi deposan int i, mat ur it y pr of ile bank dilakukan dalam Rapat Liquidit y r isk can be cat egor ized as f ollows: • Mar ket liquidit y r isk, namely t he r isk ar ising f rom t he bank’s inabilit y t o of f set a cer t ain posit ion wit h t he mar ket pr ice due t o inadequat e mar ket liquidit y condit ions or mar ket disr upt ion; • Funding liquidit y r isk, namely t he r isk ar ising fr om t he bank’s inabilit y t o disbur se it s asset s or obt ain f unding f r om ot her sour ces.

1. Active Supervision by the Board of Commissioners and the Board of Directors

The Boar d of Commissioner s and t he Boar d of Dir ect or s ar e r esponsible f or t he ef f ect ive implement at ion of Liquidit y Risk Management of t he Bank. In r elat ions t o t he act ive super vision aut hor it y and r esponsibilit y of t he Boar d of Commissioner s and Boar d of Dir ect or s of bank bjb, t he Boar d of Commissioner s and t he Boar d of Dir ect or s always obt ain clear inf or mat ion on t he evaluat ion and implement at ion of r isk management of liquidit y r isk exposur e, super vision of limit on a daily basis as well as st eps employed by t he Risk Taking Unit specif ically r elat ed t o t he lending limit . In t he implement at ion of it s super vision, t he Boar d of Commissioner s is assist ed by t he bank’s Risk Monit or ing Commit t ee RMC which per iodically conduct super vision in coor dinat ion wit h t he Risk Management Unit . The coor dinat ion media ut ilized can be in t he f or m of r isk monit or ing r epor t s by t he SKMR which is submit t ed t o t he Risk Monit or ing Commit t ee or t hr ough t he media of meet ings bet ween t he t wo par t ies. The meet ing implement ed gener ally discusses t he implement at ion of r isk management in bank bjb concer ning among ot her s t he r isk t oler ance measur ement applicat ion of t he liquidit y r isk, liquidit y st r ess t est ing, mat er ial liquidit y r isk pr of iles, and adequacy of t he measur ement met hodology ut ilized by t he Risk Management Unit . Super vision car r ied out by t he Boar d of Dir ect or s is t hr ough t he monit or ing of t he implement at ion of t he Tr easur y limit per iodically in t he event of br each limit occur r ences or not , and t he pr ovision of limit appr oval t hat ar e new or af t er being amended. Discussions on t he management of t he liquidit y r isk, such as t he cor e deposit or s’ composit ion, mat ur it y pr of ile of t he bank, ar e car r ied out in t he ALCO Asset