Professional Documents
Culture Documents
ALM Reports
It also looks at a couple of ALM applications with respect to banks and insurance companies that illustrate immunization
and portfolio dedication respectively.
Asset Liability Management Tool – Price Sensitive Alat Manajemen Liabilitas Aset – Kesenjangan
Gap Sensitif Harga
The first Asset Liability Management Tool that we will look Alat Manajemen Aset Liabilitas pertama yang akan
at is the Price Sensitive Gap report. The report evaluates the kita lihat adalah laporan Price Sensitive Gap. Laporan
impact on the economic value of balance sheet items of mengevaluasi dampak pada nilai ekonomi item
shifts in a given term structure.
neraca pergeseran dalam struktur istilah tertentu.
Step 1: Slot each asset and liability item of the balance Langkah 1: Tempatkan setiap item aset dan
sheet into their respective maturity buckets. kewajiban di neraca ke dalam keranjang jatuh tempo
masing-masing.
Step2: Calculate the marked to market value of each item Langkah 2: Hitung nilai mark to market dari setiap
on the revaluation date. This is will be denoted as the initial item pada tanggal revaluasi. Ini akan dilambangkan
market value.
sebagai nilai pasar awal.
Step3: Recalculate a new marked to market value assuming
shifts in the underlying term structure.
Langkah 3: Hitung ulang nilai baru yang ditandai ke
nilai pasar dengan asumsi pergeseran dalam struktur
jangka waktu yang mendasarinya.
Step4: Calculate the difference between the initial and new Langkah 4: Hitung selisih antara nilai pasar awal dan
market values (and the % change in the market value) to baru (dan % perubahan nilai pasar) untuk menilai
assess the gain or loss resulting from a shift in the term
keuntungan atau kerugian akibat pergeseran struktur
structure.
jangka waktu.
Asset Liability Management Tool – Liquidity Gap
The liquidity gap report which evaluates the liquidity gap and assesses the overall concentration of assets and liabilities
across the maturity buckets.
The methodology followed is similar to rate sensitive gap however, here the focus is on liquid assets and liabilities rather
than rate sensitive assets and liabilities.
Where,
DA is the weighted average duration of assets,
DL is the weighted average duration of liabilities,
MVL is the total MTM of liabilities,
MVA is the total MTM of assets.
Step 7: Calculate the change in the market value of equity for a Di % rise in interest rates.
This is approximated using the following formula:
DMVE @ (-DGAP) * Di * MVA / (1 + y)
Where,
Di = The change in the interest rate,
y = The effective yield to maturity of all the assets.
Coupon 10%
YTM 12%
Frequency 2
The most common ALM applications of portfolio dedication are to fund the pay-out obligations of the retired lives portion of
pension funds; to fund fixed payouts for insurance company products such as structured settlements.
The first step in bond portfolio dedication is to determine the schedule of liability payments to be funded.
Step two is to specify portfolio constraints such as sector, quality, issuer and lot sizes.
An assumption regarding the reinvestment rate must also be made as it is not always possible to match the
timing of payments and so excess funds need to be reinvested until the next liability payout date. It is desirable
to have very little cash to reinvest each period as this reduces the reinvestment risk.
The benefit of a dedicated portfolio is not only a reduction in interest rate risk but could also lead to a reduction in the
actuarial liability of the pension fund/ insurance product.
For example, for a pension fund, the calculation of the actuarial liability of current retired lives is dependent on an assumed
actuarial investment rate. This rate is usually set conservatively because of the unpredictability of the investment
performance of the fund. Conservative rates lead to increased liability which could mean higher contributions. This could
diminish both corporate cash flows and current profits for the sponsoring entity.
Through a dedicated portfolio, it may be possible to fund these benefits at a higher yield than that assumed in calculating
the liability. If the entity were to purchase the portfolio, the actuary could then be comfortable increasing the assumed
investment rate to the yield of the dedicated portfolio. This could result in a lower actuarial liability which consequently
could lead to lower current contribution requirements.