1、of the Portfolios risk before optimisation of the Portfolios income or return. In order to achieve these objectives, the liquid securities that the Bank invest in are liquid high credit rated fixed income securities such as US government bills or bonds, and short term bank deposits. ASIAN DEVELOPMEN
2、T BANK Office of the General Auditor - 2 - 4.Paragraph 13 of the Expanded Investment Authority states that the Bank can use financial futures and options contracts to have more control over the market risk of its Portfolio. The use of financial futures and options allows the Bank to separate its mar
3、ket risk decision from its security selection decision. In line with the Banks investment strategy and Paragraph 13, the Banks key objective of using financial futures and options should therefore be to minimise the risk of the Portfolio rather than for income generation. In other words, the Bank is
4、 allowed to use financial futures and options as hedging instruments, in contrast for example to an investment bank that might use these for pure trading/speculative purposes, i.e., to enhance the Portfolios return by taking a view on the market. 5.The Bank began its financial derivatives trading ac
5、tivities in 1994 and these activities are governed by the following policies and guidelines in addition to the Expanded Investment Authority: (i) Investment Guidelines, which was approved by the Banks President on 29 October 1991; (ii) Internal Guidelines for the Use of Exchange- Traded Financial Fu
6、tures and Options, which was issued by the Investment Division, TD (TDID); and (iii) Operational Guidelines and Procedures for the Settlement and Control of Transactions in Financial Futures and Options, which was also issued by TDID. 6.The Banks financial derivatives trading activities have been co
7、ncentrated primarily in interest rate futures contracts since it started its trading activities. A summary of the financial futures trading activities is given in Table 1. ASIAN DEVELOPMENT BANK Office of the General Auditor - 3 - Table 1 Financial Futures Trading Activities YEARNUMBER OF CONTRACTS
8、CONTRACT VALUE (USD) GAIN(LOSS) (USD) 199429,9975,295,940,9061,671,881 199514,7554,122,303,817(1,192,866) 19965,5601,128,614,352(1,092,168) 19975,036892,622,449(842,234) 19982,894399,604,964(51,291) TOTAL58,24211,839,086,488(1,506,678) 7.An audit was requested by the Audit Committee of the Board to
9、evaluate whether the derivatives transactions undertaken by the Bank were conducted in accordance with the Banks policy on derivatives trading. The Office of the General Auditor (OGA) engaged KPMG Consulting (Asia Pacific) to assist in this audit (the Audit). II.OBJECTIVES OF THE AUDIT 8.The objecti
10、ves of this Audit were to: i.Analyse the hedging activities in financial derivatives; ii.Analyse the derivatives transactions and determine the existence of abnormal trends; and iii.Identify essential and practical risk management measures necessary to mitigate the Banks exposure to risks identified
11、 from the above analyses as well as any weaknesses in the existing internal control systems. III.SCOPE OF AUDIT ASIAN DEVELOPMENT BANK Office of the General Auditor - 4 - 9.The Audit reviewed: (i) documentation concerning the Banks derivatives activities, including Board documents, operation policie
12、s, procedures and reports; (ii) a sample portfolio of the underlying and derivatives positions of the Bank from 1994 to 1998 to analyse whether the derivatives positions were transacted in accordance with the Banks investment strategy; (iii) prices of the derivatives transactions undertaken; and (iv
13、) trading patterns of the transactions undertaken. IV.FINDINGS, RECOMMENDATIONS AND COMMENT A.Duration 10.The Expanded Investment Authority defines market risk of the Banks Portfolio in terms of Duration. This document states that management is required to maintain the Portfolio Duration within a ve
14、ry broad 0-48 month band. This band is shortened further to a Duration of 0-24 months in the Investment Guidelines issued by the President for a long-term position within a currency sub-portfolio. Based on these broad Duration bands, TD sets target Duration for each major currency sub-portfolios on
15、a weekly basis. Given that Duration is used as a market risk measure, the Bank is essentially allowing TD to set its own market risk limits for the Portfolio. 11.To achieve these Duration or market risk targets, TDID can either: (i) change the Portfolio composition by buying and selling securities w
16、ith different maturity and / or coupons; or (ii) use financial futures and options to change the Portfolios Duration; as the yield curve of the various investments changes. ASIAN DEVELOPMENT BANK Office of the General Auditor - 5 - 12.Once the Portfolios Duration or market risk target is met based o
17、n the Duration target established by TD on a weekly basis, TDID then aims at optimising the Portfolios income. The optimisation strategy may involve using financial futures and options, and any optimisation will aim to maintain the Portfolios Duration or market risk target. 13.For consistency with t
18、he Banks Portfolio objectives, the main aim of using financial futures and options should be to minimise the Portfolio losses or risk exposures as a result of underlying price movements. In order words, the main aim of TDID using interest rate futures should be to decrease the Banks Portfolio Durati
19、on as interest rate rises rather than using interest rate futures as an optimisation of income tool. 14.Furthermore, while Duration is a measurement tool used by many fixed- income securities portfolio managers, it is essentially used for hedging applications, immunisation and asset/liability manage
20、ment, and not as a market risk measurement tool. Duration is not an appropriate measurement tool of market risk. Reasons include: (i) its use is only restricted to fixed-income securities; (ii) it only measures price return volatility from interest rate changes rather than total return volatility, i
21、.e., profit and loss; (iii) it is not a very dynamic measurement tool; (iv) it is not predictive; and (v) it does not take into account the effect of portfolio diversification. ASIAN DEVELOPMENT BANK Office of the General Auditor - 6 - Comments 15.Irrespective of whether Duration is a good measureme
22、nt tool of market risk, it is not “best practice” to allow the setting of risk limits, i.e., Duration targets, to be left too broadly to TD. The Banks Board of Directors and senior management must be proactively involved in the process of setting up risk limits. Most major G30 regulators expect the
23、Board of Directors or one of its designated members to oversee and steer the overall Risk Management Process of banks under their supervision. This includes the active participation in formulating a Risk Strategy and approves overall and specific risk limits. On a dadefaulthead0鎇醮!defaulthead0鎂醮!def
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25、definitions.pp鎂般醮!deguss鎇般醮!deguss鎂般醮!degussa-huels.pp搀攀氀鎂徧搀攀氀鎇徧鎂蜳醾!delet鎇蜳醾搀攀氀攀琀攀艁舃阰膖搀攀氀栀椀艁蜃阰膖搀攀氀栀椀艁舃阰膖搀攀氀栀椀砀氀猀艁蜃媧膭İ搀攀氀椀最栀琀蜄彡憧舭搀攀氀椀瘀鎇徧穟釞!deliv9鎇徧釞!deliver1天天文档在线 联系qq：744421982尽职调查报告调查截止时间：项目经理：第一部分 企业概况表一：基本情况 单位（万元）企业名称营业执照注册号住所企业法人代码经营范围企业类型成立时间营业期限职工人数 法人代表及简历姓名性别年龄民族籍贯常住地区最高学历联系电话起止年月工作/学习单位、任
26、职主要业绩总经理及简历姓名性别年龄民族国籍常住地区最高学历联系电话起止年月工作/学习单位、任职主要业绩第一大股东背景所能享受重大优惠政策情况1、2、3、有关审批情况1、2、3、公司股东结构股东名称法人代表占股比例应投金额实投金额投资方式甲方乙方丙方丁方戊方己方其它方合计说明： 1、企业类型填：有限责任公司、股份有限公司、中外合资有限责任公司、中外合资股份有限公司； 2、所享受重大优惠政策指国家、省、地级市（特区）所给予企业享受的资金、税收、进出口、土地使用权等方面的优惠； 3、有关审批情况是指公司成立、改制，企业所开发、生产的项目/产品进入市场所需国家、省、地级市（特区）有关管理部门批准文件；
27、4、投资方式指：现金、知识产权（无形资产）、固定资产、土地使用权等。表二： 财务报表 单位（万元）资产负债表资 产上年数本期数负债及所有者权益上年数本期数流动资产流动负债其中： 货币资金其中： 银行短期借款短期投资 其他短期借款 应收票据应收账款 预付账款应付票据其他应收款应付账款减：坏账准备预收账款应收及预付款净额其他应付款 应收补贴款应付工资存 货应付福利费待摊费用未交税金待处理流动资产净损失未付利润一年内到期长期债券投资其他未交款其他流动资产预提费用一年内到期的长期负债其他流动负债长期投资长期负债合并价差其中： 银行长期借款固定资产 应付债券其中：固定资产原值长期应付款减：累积折旧住房周
28、转金固定资产净值专项应付款固定资产清理其他长期负债在建工程待处理固定资产净损益递延税款贷项负债合计无形资产及递延资产少数股东权益其中： 无形资产递延资产本企业所有者权益其中： 实收资本资本公积其他长期资产盈余公积递延税款借项（公益金）未分配利润外币报表折算差额所有者权益合计资产合计负债及所有者权益合计损 益 表主营业销售收入产品销售成本其中： 产品收入其中： 产品成本 产品收入 产品成本 产品收入 产品成本销售费用销售税金及附加其他销售收入其他销售支出(含税金及附加)销售利润管理费用其它业务利润其中： 管理人员工资营业利润 长期租赁费用投资收益折旧费用其中： 项目收益办公费用 项目收益其他费用
29、 项目收益 项目收益补贴收入财务费用营业外收支净额其中： 利息支出其中： 项目收入 项目收入 以前年度损益调整汇兑损失（溢余为负）利润总额所得税净利润少数所有者权益按本企业占股比例计算的利润总额经常性收入占总收入比报表比率分析资产负债率销售毛利率有形净值债务率销售净利率流动比率总资产净利率速动比率净值报酬率应收账款周转率销售增长率存货周转率净利增长率流动资产周转率资产保值增值率总资产周转率已获利息倍数以下为股份有限公司填写每股净资产每股收益股利支付率每股股利表三：报表说明主要产品/服务销售明细产品/服务名称销售量单位单价销售额占总销售额比1、2、3、4、5、6、产品售后服务政策保修期维修服务收
30、费产品升级服务其他产品销售季节性/周期性变化固定资产清单固定资产类别数量原 值净 值状态（使用、闲置、报废、已抵押）无形资产清单名 称用 途价 值占总资产比占净资产比保护年限保护状况递延资产明细价值形成时间形成原因摊销方式备注短期投资证券品种买入价格投资时间持有时间收益情况备注长期投资投资对象金额投资时间占被投资公司股权收益情况备注关联交易(与关联企业、董事、监事、高管等有关供、产、销、服务、管理、资金融通等诸方面情况)交易方与企业关系交易内容形成时间金额备注其它说明事项应收账款说明对方公司名称金额占应收账款百分比一年以内一年以上二年以内二年以上三年以内三年以上存货说明名称购入时间用途购入价值
31、现在评估价值占存货总值比例资本公积说明价值形成时间形成原因备注表四：公司组织与管理公司组织结构图管理层姓名职务专业与学历背 景管理/技术人员变动情况（三年内或自公司创立以来）管理层团队评价知识结构管理水平组织构架团队合作员工部门、地域人员分布部门名称人数主管业务内容所在区域备注劳动力统计年龄分布30岁以下3040岁40岁以上平均年龄教育程度高中以下高中大专大专本科本科以上其它具体关键人员依赖程度描述报酬结构薪金制度高管人员平均月薪最高最低普通员工平均月薪最高最低 月工资支出总额年工资支出总额工资支出占费用支出比交通、通讯等补助标准其他说明奖励计划高管持股情况年终奖金发放标准其他说明保险、福利计
32、划年社会保险支出总额年人均社保支出年住房补贴支出总额年人均房补支出其他福利支出总额年人均其他福利补充说明表五：技术分析核心技术来源及所有权专利/专有技术名称所有权人来源方式备注主要技术指标及技术先进性专利/专有技术名称主要技术指标领先程度其他说明研发能力说明技术依托研发小组组成技术更新周期其他说明主导产品/业务/拟投资项目技术水平产品名称所用专利/专有技术名称产品性能水平备注产品生产技术所处阶段(基础研究中试小批大批量生产)产品/技术名称所处阶段生产/试验情况后续开发能力(技术贮备与创新安排)贮备技术/项目名称研发单位投资规模研发周期说明其他技术存在的纠纷或潜在的纠纷说明技术名称纠纷情况或潜在风险说明表六：生产过程及设施调查主要设施生产用地生产车间位置总建筑面积总使用面积所有权属使用成本其他说明重要设备来源设备/生产线名称位置来源购买价/年租金按使用年限估计总成本附加条件备注设施维修保养资本化与折旧政策设备名称维修/保养记录所耗费用折旧政策生产过程生产过程生产原料及主要辅助材料原料名称
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