毕博上海银行咨询Report to client (Final).docVIP

DRAFT ASIAN DEVELOPMENT BANK Office of the General Auditor FOR INTERNAL USE ONLY (Do Not Reproduce – Return to OGA After Use) AUDIT REPORT ON FINANCIAL DERIVATIVES This Copy: Draft Report No.4 19 May 1999REPORT ON AN AUDIT OF FINANCIAL DERIVATIVES TABLE OF CONTENTS Para. Nos. HIGHLIGHTS I BACKGROUND 1-7 II OBJECTIVES OF THE AUDIT 8 III SCOPE OF AUDIT 9 IV FINDINGS, RECOMMENDATIONS AND COMMENTS Duration 10-15 B. Relationship Between Duration and Futures Trading 16-24 C. Portfolio Risk Profile 25-39 D. Authentication of Trades Data 40 E. Distribution of Trades 41-48 Appendices Table of Audit Recommendations US Dollar Portfolio Duration vs. Futures Transactions French Franc Portfolio Duration vs. Futures Transactions US Dollar Profit and Loss Analysis Japanese Yen Profit and Loss Analysis French Franc Profit and Loss Analysis Authentication of Trades Data REPORT ON AN AUDIT OF FINANCIAL DERIVATIVES HIGHLIGHTS BACKGROUND 1. The Expanded Investment Authority of the Treasurer’s Department (TD), which was approved by the Asian Development Bank’s (Bank) Board of Directors on 24 October 1991, allows the Bank to trade exchange-traded financial futures and options contracts for the purpose of managing market risk of the Bank’s investment portfolio (Portfolio). 2. The Portfolio is maintained primarily as part of the Bank’s cash flow management process to allow the Bank to continue to function should its borrowing operations be interrupted. Given that the key aim of maintaining the Portfolio is to manage the cash flow of the Bank, more consideration is accorded to the security and liquidity of investments rather than the income they generate. Hence funds are invested to achieve the principal objectives of security and liquidity, and maximising return on the Portfolio is only an ancillary objective. This implies that the primary investment strategy of the Portfolio is minimisation of the Portfolio’s risk bef