2020年中国体育彩票业市场前瞻分析报告.docx
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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
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