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Banking and Capital Markets Balance sheet management benchmark survey Status of balance sheet management practices among international banks – 2009
Pricewaterhousecoopers
Balance sheet management
benchmark survey
Contents
Introduction 4
Background 5
Key findings 7
General information 8
Overall governance 9
ALM unit roles and responsibilities 11
Liquidity risk 13
Interest rate risk 19
Capital management 23
Funds transfer pricing 26
Discretionary investment portfolios 28
Systems 29
Contacts 30
3Pricewaterhousecoopers
Balance sheet management
benchmark survey
Introduction
This study covers the four main areas of balance sheet
management, namely interest rate risk management, liquidity
risk management, capital management and management of
discretionary investment portfolios. Many of these functions
would be covered by the asset and liability management (ALM)
function in banks, but we use the broader term ‘balance sheet
management’ because the study covers capital management as
well as the more traditional ALM focus areas.
The financial crisis has highlighted the need for organisations to take a more holistic
view of their balance sheets. The financial view of the organisation has evolved over
the past decade or so to one which looks at lines of business, rather than legal
entities, as the primary profit centres, and both finance departments and national
supervisors have been struggling with the tensions arising from this shift. At the same
time the risk view of the organisation has also been equally silo-driven, with risk
departments focusing on individual risk classes. Liquidity risk, in particular, has
thrown up some challenges to this way of viewing finance and risk. What may look
acceptable for each line of business on its own may turn out to be an unacceptable
level of risk or product concentration for the organisation as a whole. Likewise certain
financial products are not clearly assignable to any one risk class – Collateralized
Debt Obligations (CDO) in particular have been shown to present a lethal combination
of market, credit and liquidity risks. At the same time, national supervisors,
understandably keen to contain the risks to their own financial systems, have sought
to impose restrictions around cross-border financing and capital flows within
international banking groups.
These themes present a number of challenges to the way in which banking groups
manage their balance sheets, especially in the area of governance and oversight,
which is a major area of focus of this survey.
The objective of this survey is to provide the international banking industry with an
overview of the state of balance sheet management in banks, to identify areas for
improvement and help banks prepare for the future.
PricewaterhouseCoopers1 would like to extend our thanks to the many banks who
participated in this survey.
1 ‘PricewaterhouseCoopers’ refers to the network of member firms of PricewaterhouseCoopers International Limited,
each of which is a separate and independent legal entity.
4Pricewaterhousecoopers
Balance sheet management
benchmark survey
Background
PricewaterhouseCoopers is pleased to present the results of our survey of the balance sheet
management practices at 43 leading financial institutions across the world. The breadth of the
survey participants gives a good picture of developments internationally.
The financial institutions who participated in this survey The participants in the survey will receive an individual
were as follows: benchmarking report comparing them with their peers
internationally. This report summarises the aggregate responses
Americas • Nykredit but does not attribute data to specific individual respondents.
• Bank of America • Rabobank
• Citigroup • Royal Bank of Scotland Scope of benchmarking survey
• Wells Fargo • Santander The survey was designed to cover both the qualitative and
quantitative aspects of balance sheet management approaches
Europe • SNS REAAL
currently being utilised by industry participants, with a strong
• ABN Amro • Standard Chartered Bank focus on governance and organisation. The results of the
• Svenska Handelsbanken survey are intended to assist participating institutions by
• Banesto
providing peer benchmarks of industry practices. This report
• Bankinter • UBI Banca
has been organised around the following balance sheet
• Bank of Ireland • UBS management subject matter topics that were posed to each
• UniCredit of the survey respondents:
• Barclays
• BBVA Middle East and Africa • Overall governance • Capital management
• BNP Paribas • Absa • ALM unit roles and • Funds transfer pricing
• Britannia • FirstRand responsibilities • Discretionary investment
• Caixa Catalunya • Nedbank • Liquidity risk portfolios
• Caja Madrid • Standard Bank • Interest rate risk • Systems
• Credit Suisse Asia
• Danske Bank • CIMB
• HSBC • DBS Group Holdings
• ING • Kasikornbank
• Intesa Sanpaolo • Oversea-Chinese
• Landesbank Berlin Banking Corporation
• Landesbank • Siam Commercial Bank
Hessen-Thüringen
Australia
• Lloyds Banking Group
• Commonwealth Bank
• Nationwide Building of Australia
Society
• Nordea
5Pricewaterhousecoopers
Balance sheet management
benchmark survey
Survey methodology Survey confidentiality
Each section of this report includes an analysis of the survey The individual survey results and the survey questionnaire
results and a discussion of the underlying issues. Tables and itself are confidential to the responding institutions and
charts are presented to help the reader quickly ascertain the PricewaterhouseCoopers. Each institution’s individual results have
main issues associated with each topic and to assist in the been kept strictly confidential and peer responses have been
benchmarking of his/her respective institution’s practices. presented in a way that will not allow identification of any specific
institution based on its submitted data. The results are based
In order to display results provided by participating institutions, solely on survey responses as provided by each participant to
PricewaterhouseCoopers designed a survey methodology that PricewaterhouseCoopers. PricewaterhouseCoopers has not
strived to achieve the appropriate balance between: subjected the data contained herein to audit or review procedures
• Promoting maximum participation among institutions by or any other testing to validate the accuracy or reasonableness of
using data templates that required firms to report their the data provided by the participating companies.
actual practices;
• Ensuring soundness, integrity and comparability of the A word of thanks
survey to display results based on the actual data reported
We acknowledge that the highly detailed nature of the survey
by participants;
questionnaire required a considerable amount of effort on the
• Protecting confidentiality of participating institutions’ part of each participating institution to provide commensurately
responses while providing maximum insight into the detailed detailed and meaningful responses. We would like to extend
parameters needed for analysing balance sheet management. our thanks to the responding institutions for participating in this
study, and providing the breath and depth of qualitative and
The survey was carried out from April to June 2009, and the
quantitative response within balance sheet management topics.
methodology used was a questionnaire supplemented where
appropriate with interviews with representatives of participating We trust that you will find the survey results insightful and hope
institutions. that they serve as a catalyst for discussion and action within
your respective financial institutions.
Please note that totals do not always add up to 100 because
of rounding, or because respondents could choose more than If you have any comment or question regarding this survey,
one answer. or would like to request additional copies, please contact your
regional PricewaterhouseCoopers contacts listed in the
appendix to this report.
6Pricewaterhousecoopers
Balance sheet management
benchmark survey
Key findings
The scope of balance sheet management has expanded to embrace capital management as well
as a more ‘holistic’ view of the balance sheet, although this remains a work in progress.
Overall governance: There is still a trend for banks to measures are still quite crude, with many banks using either the
measure, manage and monitor the different risks separately, standard 200 bp shock or Net Interest Income (NII) simulation.
but an encouraging trend is the establishment of either capital
management committees, or a broader mandate for the Capital management: This includes capital planning, stress
existing Asset-Liability Committee (ALCO) to focus on capital. testing, capital allocation and economic capital calculation, and
The vast majority of banks operate a centralised ALM model, tends to sit broadly in the CFO function, although economic
which enables oversight of the entire group balance sheet, capital and stress testing at a number of banks resides within
usually supplemented with lower-level ALM units focusing the CRO’s area. With capital planning sitting in Finance,
either on business units or legal entities. having capital stress tests conducted in Risk can give rise
to issues around the consistency and coordination of linkages.
ALM unit roles and responsibilities: The responsibility for The common horizon for capital planning is usually three years
the ALM unit is almost evenly divided between the Treasury or longer; however, capital stress testing typically contemplates
and Chief Financial Officer (CFO) functions (see Figure 3.1). a shorter time horizon. Only a small minority of respondents
Only 51% of ALM units look at capital management (see conduct a single stress test scenario, with the vast majority
Figure 3.2), but in certain cases capital management lies using three or more scenarios.
with other departments, such as the Chief Risk Officer (CRO).
Most banks have benchmarked their ALM framework to the Funds transfer pricing (FTP): Despite the havoc which
Basel Committee on Banking Supervision (BCBS) guidance, the financial crisis played with liquidity and other financing
‘Principles for the Management and Supervision of Interest assumptions, banks seem generally quite satisfied with
Rate Risk’, and half of the respondents have conducted an their FTP framework and we have not noted any significant
independent third party review of the ALM framework within shifts in trends since our 2006 survey.
the last 12 months.
Discretionary investment portfolios: Other than standard
Liquidity risk: Not surprisingly, many banks have undertaken liquidity portfolios, there does not seem to be any industry
an extensive review of liquidity risk management, and a very consensus on the best way to manage discretionary
encouraging 88% now have a formal risk appetite for liquidity investments, and one is left with the distinct impression that
risk. An ongoing problem area is collateral management, these investment decisions are made on a very ad hoc basis,
as banks’ systems do not easily allow for identification of without much in the way of formal policies and processes
liquid assets that are encumbered (and thus not available to around them.
support liquidity needs). All respondents now conduct regular
Systems: Banks still tend to operate with a patchwork of
liquidity stress tests (vs. 75% in our 2006 ALM survey), and
legacy systems set up to manage different aspects of the
respondents report that their Boards are well informed with
balance sheet (liquidity risk, interest rate risk, etc.), but
respect to this risk class.
significant changes are planned. With different systems, any
Interest rate risk: Governance remains an area of potential kind of integrated balance sheet management simulation and
weakness for interest rate risk management, with the ALM unit stress testing is virtually impossible. We anticipate that, over
responsible for both management and measurement in around the coming years, banks will upgrade to a more integrated
half of respondents (emerging best practice is for measurement approach, allowing planning and stress scenarios to be carried
to be done by an independent unit, such as Finance). However, out across all aspects of the balance sheet. We expect that
we do see that a significant minority of banks now have the these integrated systems will cover:
Risk function in a monitoring role, but there is clearly still • IRRBB and funds transfer pricing;
a long way to go before this is general practice.
• Liquidity risk;
There has been further progress towards development of • Capital planning and stress testing; and
economic value measurement (as recommended by the BCBS),
• Credit portfolio management.
and 80% of respondents now assign capital to Interest Rate
Risk in the Banking Book (IRRBB) under Basel II Pillar 2
(in Australia it is part of Pillar 1). However, these capital
7Pricewaterhousecoopers
Balance sheet management
benchmark survey
General information
A total of 43 banks from around the world responded to the survey; participants provided a
reasonable mix of large and medium/small banks (see Figure 1.1).
Figure 1.1: Breakdown of participants by asset size The participants primarily operate in the global market (see
Figure 1.3), and are generally active in retail and commercial
0%
5% banking segments (see Figure 1.4).
18%
Figure 1.3: Participants’ market presence.
37%
26%
18%
0 – 10 $bn
43%
10 – 50 $bn
50 – 100 $bn
100 – 200 $bn
200 – 500 $bn
22% > 500 $bn
% of participants Local market
31%
Regional market
Source: PricewaterhouseCoopers
Global market
% of participants
The survey was conducted at the group head office level for all
Source: PricewaterhouseCoopers
participants, who represent a good geographical cross-section
of domiciles (see Figure 1.2).
Figure 1.4: Activities engaged in by participants
Figure 1.2: Breakdown of participants by region
0%
Consumer banking 88
7%
12%
9% Branch-based retail banking 95
2%
Wholesale banking 84
Investment banking 77
70%
Private banking 86
Asia
Australia/ New Zealand Wealth management 74
Europe
South Africa Insurance 58
America
Other 28
% of participants
% of participants
Source: PricewaterhouseCoopers
Source: PricewaterhouseCoopers
8Pricewaterhousecoopers
Balance sheet management
benchmark survey
Overall governance
We found that the ALCO remains the key executive governance body with the responsibility for
overseeing balance sheet management activities (see Figure 2.1).
It is interesting to note that some banks have started to integrate a centralised balance sheet model also supplement the central
overall balance sheet and risk oversight into an overarching executive unit with decentralised (subordinate) units, which are primarily
risk committee. This is a trend that is expected to continue within organised along legal entity, business unit or regional basis.
institutions that are taking the steps to promote a holistic view of, Most respondents noted that the subordinate units all operate
and governance over the full spectrum of risks and capital. under a consistently applied group framework and generally
report into the central balance sheet management function.
Figure 2.1: Body with primary oversight over balance
sheet management Figure 2.3: Organisation
0%
ALCO 88 0%
Is this ALM responsible body 91 9
centralised or decentralised?
Balance Sheet Management 7
Committee Centralised
Executive Management Decentralised
7
Committee
Source: PricewaterhouseCoopers
Group/Executive Risk Committee 16
Board 19 Figure 2.4: Reporting lines and supplemental balance sheet
management units
Board Risk Committee 12
0%
Board Audit Committee 0 By region 43 57
Other 16 By legal entity 31 56 13
Source: PricewaterhouseCoopers
By business unit 40 53 7
The ALCO maintains a key focus on the traditional areas of To regional head 100
interest rate risk and liquidity risk. In many cases the ALCO To Group body with ALM responsibility
Other
has broadened its scope across capital management and also
includes the oversight of traded market risk. Source: PricewaterhouseCoopers
Figure 2.2: Areas covered by body with primary oversight
The amount of time devoted by the primary body with group
0% oversight over balance sheet management matters is mainly around
Interest rate risk 100
a one- to two-hour meeting on a monthly basis (see Figure 2.5).
Liquidity risk 100 Figure 2.5: Frequency/length of primary oversight body meetings
Structural FX risk 79 0%
Daily 2
Capital management 74
Weekly 2 5
Funds transfer pricing 77
Bi-weekly 2 5
Discretionary investment portfolios 44
Monthly 2 49 26
Other 23
Bi-monthly 2
Source: PricewaterhouseCoopers
Quarterly 5
Centralised balance sheet management < 1 hour
1 – 2 hours
> 2 hours
Balance sheet management is largely centralised, with 91% of
respondents managing these activities on a consolidated or Source: PricewaterhouseCoopers
group basis (see Figure 2.3). However, many banks that do run
9Pricewaterhousecoopers
Balance sheet management
benchmark survey
The composition of the primary oversight body (see Figure 2.6) For the decentralised subordinate oversight bodies the meeting
includes the most senior bank representatives, with the chair frequency is at least monthly (see Figure 2.7). The sub-
generally held by the most senior person, being either the committees that meet on a monthly basis tend to be subsidiary,
Board Chairman or CEO. Major business unit heads are key business unit or regional ALCOs, while those meeting more
participants and voting members. Other voting members frequently will more actively focus on market movements and
include heads of market and credit risks, the chief economist comprise participants that are more closely aligned with the
and head of compliance. specific activities related to execution of ALCO mandates or
strategies.
Figure 2.6: Composition of primary oversight body
Figure 2.7: Frequency/length of subordinate oversight body meetings
0%
Board chairman 58 21 21
0%
Daily 38
Non-executive director 16 20 64
Weekly 5 3
CEO 44 56
Bi-weekly 2.5 2.5
CFO 38 62
Monthly 10 29 10
CRO 21 68 11
Bi-monthly 0
Treasurer 10 75 15
Quarterly 0
BU heads 85 15
< 1 hour
ALM unit head 6 47 47 1 - 2 hours
> 2 hours
Financial controller 6 56 38
Source: PricewaterhouseCoopers
Other 63 38
Chair
Voting member
Non-voting member
Source: PricewaterhouseCoopers
10Pricewaterhousecoopers
Balance sheet management
benchmark survey
ALM unit roles and responsibilities
All of the participating banks have a dedicated ALM support unit, which typically reports to either
the CFO or the Treasurer (see Figure 3.1).
However, there is also a growing percentage that have aligned Figure 3.3: Size of ALM unit (including subordinate units below
the reporting to the risk management function, under the CRO group level)
or the head of market risk.
Breakdown of staff by asset size
160 3.0
Figure 3.1: ALM unit reporting lines
140
2.5
0%
CEO 2 120
2.0
100
CFO 40
80 1.5
CRO 7
60
1.0
Treasurer 35 40
0.5
Other 16 20
0 0
Source: PricewaterhouseCoopers $10 – 50b $50 – 100b $100 – 200b $200 – 500b > $500b
Assets (USD billions)
The typical areas of focus of this unit remain the core Average
ALM activities of interest rate and liquidity risk management, Minimum
including funds transfer pricing (see Figure 3.2). Several Maximum
Staff per 10b of Assets (RHS)
respondents noted that there is more focus on the overall
balance sheet structure and optimisation of the funding and Source: PricewaterhouseCoopers
capital mix, along with oversight of impact of IAS39 and
hedge effectiveness. The primary objective of the ALM unit is to operate as a
support unit (see Figure 3.4). However, within this category
Figure 3.2: Areas of focus for ALM unit some responses would indicate that there is some overlap of
cost and profit performance objectives. This is the case where
0%
Interest rate risk 100 the unit may undertake hedging activities or positioning
strategies, but has no clear performance metric related to profit
Liquidity risk 93 or value add. This is one area that banks need to pay attention
Structural FX risk 70
to, with respect to segregation of duties, separating risk
measurement and monitoring from the management and
Capital management 51 decision making related to transaction execution.
Funds transfer pricing 77 Figure 3.4: Primary objective of ALM unit
Discretionary investment portfolios 40
0%
Profit centre 12
Other 26
Cost centre 5
Source: PricewaterhouseCoopers
Support unit 57
The size of the ALM department is generally related to the
Other 26
size of the institution, although the size of the unit can vary
greatly. Regarding the size of the ALM department, economies
Source: PricewaterhouseCoopers
of scale appear to realised for banks with assets between
50-100 $billion and 100-200 $billion as indicated by the downward
slope and the ‘staff per 10 $billion of assets’ trend line (see
Figure 3.3).
11Pricewaterhousecoopers
Balance sheet management
benchmark survey
Just over 83% of participants have benchmarked their ALM Figure 3.6: Reference point for ALM framework benchmarking
unit to a specific external reference point (see Figure 3.5).
0%
Figure 3.5: Benchmarking of ALM framework Basel Committee 71
IIF 43
16.28%
CEBS 40
Local regulator 69
Other 33
83.72%
Source: PricewaterhouseCoopers
Yes Figure 3.7: Period since last independent review of ALM framework
No
0%
Source: PricewaterhouseCoopers Within last 12 months 51
Within last 1 – 2 years
Of the organisations which have conducted external reviews, 30
the primary reference point has been the Basel ‘Principles for Within last 2 – 3 years 0
the Management and Supervision of Interest Rate Risk’ (see
Figure 3.6). In addition to the guidelines and standards in the Within last 3 – 5 years 5
public domain, many of these respondents noted that they
Not at all in last 5 years 14
have also used the last PwC ALM Survey published in 2006
as a reference point. Over 50% of respondents who have
Source: PricewaterhouseCoopers
conducted external benchmarking have done so within the
last 12 months (see Figure 3.7).
12Pricewaterhousecoopers
Balance sheet management
benchmark survey
Liquidity risk
Liquidity risk has moved up the agenda to be one of the most important areas of focus within
the ALM framework.
Certainly the painful experiences and lessons throughout the Figure 4.1: Responsibility for managing liquidity risk
financial crisis have highlighted the dimensions and severity
of consequences from liquidity problems. The Bank for 0%
Within trading desk/front office – 23
International Settlements (BIS) and Institute of International reporting to head of BU
Finance (IIF) have upgraded their guidelines for the management Dedicated treasury unit – 12
reporting to CEO
of liquidity risk to incorporate and reiterate what constitutes
Dedicated treasury unit – 28
sound practice. reporting to CFO
ALM unit – reporting 28
Many banks have undertaken extensive reviews and upgrades as under 3.1 above
of their liquidity risk frameworks. Now just over 88% of Other 9
participants have set a formal risk appetite for liquidity risk
at Board level compared with 72% in 2006. Source: PricewaterhouseCoopers
Figure 4.2: Responsibility for measuring liquidity risk
Management, measurement and monitoring
liquidity risk 0%
Within trading desk/front office – 2
In risk management, we distinguish between those reporting to head of BU
responsible for managing the risk (making day-to-day Dedicated treasury unit – 2
reporting to CEO
decisions and executing these (see Figure 4.1)), those
Dedicated treasury unit – 14
responsible for measuring the risk (producing metrics and reporting to CFO
reports (see Figure 4.2)), and those monitoring the risks ALM unit – reporting 42
as under 3.1 above
(ensuring adherence with policies and limits, and reviewing
Within CFO area
the overall risk profile (see Figure 4.3)). In the world of traded 9
market risk, these would be the front office, middle office and Within CRO area 16
risk management functions, respectively.
Other 14
However, for liquidity risk it seems that such segregation of
duties is not widely applied. The measurement and management Source: PricewaterhouseCoopers
of liquidity risk still generally resides within the same unit,
as does, in some cases, the monitoring of liquidity risk. Figure 4.3: Responsibility for monitoring liquidity risk
This is an area where we would expect to see growing 0%
Within trading desk/front
involvement from the risk management function, particularly office – reporting to head of BU
0
with respect to the measurement of liquidity risk being Dedicated treasury 2
separated from the management of liquidity risk. unit – reporting to CEO
Dedicated treasury 14
unit – reporting to CFO
ALM unit – reporting 33
as under 3.1 above
Within CFO area 12
Within CRO area 30
Other 9
Source: PricewaterhouseCoopers
13Pricewaterhousecoopers
Balance sheet management
benchmark survey
Governance and oversight
The committee or body with primary oversight for liquidity risk Figure 4.6: Board awareness of liquidity risk
is typically the ALCO (see Figure 4.4). 0%
Very high understanding with full grasp of 16
Figure 4.4: Body with primary oversight over liquidity risk the technical details
Broad understanding of the concepts with 74
some understanding of the technical details
0%
ALCO 70 Broad understanding of the concepts but little 2
or no understanding of the technical details
Balance Sheet 5 Limited understanding of the concepts 5
Management Committee
Executive Management Committee 7 Source: PricewaterhouseCoopers
Group Risk Committee 7
Over 65% of respondents indicated that there is regular reporting
Board
of liquidity risk to the full Board and/or Board Risk Committee.
0
Around 30% do so on an ad hoc basis (see Figure 4.7).
Board Risk Committee 5
Figure 4.7: Liquidity risk reporting to the Board
Board Audit Committee 0
0%
At every full Board meeting 68
Other 9
At every Board Risk 65
Committee meeting
Source: PricewaterhouseCoopers
On request/ad hoc to the full Board 35
Most banks feel that their liquidity risk policies are complete,
On request/ad hoc to the 30
up to date and fully implemented (58%), or there are only minor Board Risk Committee
gaps in policy or implementation (37%) (see Figure 4.5).
Source: PricewaterhouseCoopers
Figure 4.5: Status of liquidity risk management policy
0% Liquidity risk measurement
Policy is complete, up to date and fully implemented 58
The primary measure of liquidity risk is the static maturity gap
Policy is broadly complete and up to date, but there are 37
using a combination of contractual and expected term data
minor gaps in either the policy itself or its implementation
(see Figure 4.8). However, it seems that the use of cash flow
Policy is work in progress 54 forecasts using stressed or expected cash flows is gaining
greater prominence as the primary measure of liquidity risk.
We do not have a group liquidity risk policy 0
Figure 4.8: Liquidity risk measures
Source: PricewaterhouseCoopers
0%
Maturity gap based on 26
Board awareness of liquidity risk has undoubtedly been contractual maturity
heightened over the past three years, either by experience Maturity gap based on a mixture of 65
contractual and expected maturity
or observation. 90% of respondents feel that their Boards
Maturity gap based on
have good understanding of the concepts and technical expected maturity
26
details or better (see Figure 4.6). Loan/deposit ratio 33
Liquid assets ratio 49
Cash flow forecast based 51
on expected cash flows
Cash flow forecast based 53
on stress scenarios
Sources of quick liquidity 30
as % of funds at risk
Other 28
Source: PricewaterhouseCoopers
14Pricewaterhousecoopers
Balance sheet management
benchmark survey
These measures are typically produced on a daily basis and it Collateral management
is often the case that this is a regulatory requirement.
Collateral management is seen as material for 86% of respondents
Figure 4.9: Frequency of liquidity risk measurement (see Figure 4.11).
0%
Figure 4.11: Relevance of collateral management
Maturity gap based on 40 20 36 4
contractual maturity
14%
Maturity gap based on a mixture of 32 22 46
contractual and expected maturity
Maturity gap based on 25 43 29 4
expected maturity
Loan/deposit ratio 26 6 65 3
Liquid assets ratio 69 6 22 3 86%
Cash flow forecast based 59 16 22 3
on expected cash flows
Cash flow forecast based 29 21 47 3 Material
on stress scenarios
Immaterial
Other (please specify) 29 18 47 6
Source: PricewaterhouseCoopers
Daily
Weekly
Monthly It is essential to have clear, accurate and timely information
Other regarding collateral in order to be able to deal effectively with
Source: PricewaterhouseCoopers
liquidity events that may require the use of such assets. It is an
area where banks need to improve and apply greater rigour in
In measuring funding risk limits and concentration, the factors knowing precisely which assets can be quickly liquidated and
typically taken into account are the types of products and the at what price.
spread of maturities. Other factors such as currencies and
Figure 4.12: Collateral management monitoring
geographies are commonly used as well (see Figure 4.10).
Figure 4.10: Factors included in liquidity risk measurement 0%
We monitor the legal entity where 60 29
collateral is held in a timely manner
0%
Contractual maturities 70 We monitor the physical location where 52 33 2
collateral is held in a timely manner
Effective maturities 51 Agree
Partially agree
Types of products Disagree
77
Types of customers 67 Source: PricewaterhouseCoopers
Currencies 67 Figure 4.13: Collateral management infrastructure
Geographies/countries/regions 53
0%
MI systems that differentiate encumbered 40 45 2
Other 9 /unencumbered assets
MI systems that identify assets that 45 45 2
can be posted at the central bank
Source: PricewaterhouseCoopers
No work needed
Some improvement required
Requires major upgrade
Source: PricewaterhouseCoopers
15Pricewaterhousecoopers
Balance sheet management
benchmark survey
Liquidity stress tests Figure 4.16: Number and frequency of multiple scenarios
0%
All responding banks perform some form of liquidity stress 1 2
testing. This is an improvement from our 2006 survey which 0
revealed that liquidity stress testing was only conducted 0
by 75% of the banks surveyed. The most common type of 0
scenario is a pre-defined scenario based on expert judgement
2 5
(see Figure 4.14).
10
Figure 4.14: Liquidity stress test scenarios 19
0
0%
Pre-defined scenario 3 0
44
based on historical experience 7
Pre-defined scenario 77 10
based on expert judgement
2
Dynamic scenario 35
based on expert judgement
4–5 2
Reverse stress test 21 2
(or ‘stress to fail’)
10
Multiple scenarios 70
0
Source: PricewaterhouseCoopers >5 2
5
The one-month time horizon for such stress tests is the most 14
common; however, there is growing use of longer time frames 2
out to one year (see Figure 4.15).
Daily
Weekly
Figure 4.15: Liquidity stress test time horizons Monthly
Other (please specify)
0%
One day 21 Source: PricewaterhouseCoopers
Two days 14
Within the scenarios 63% of banks assume that central bank
Up to one week 40
funding will be available as part of their stress tests. More than
Up to one month 53 90% of banks distinguish between firm-specific (single name
Up to three months 42 crisis scenarios) and market-wide stresses in their scenarios.
Up to six months 19
Supervisory authorities have reviewed around three quarters of
Up to twelve months 40 the responding banks’ liquidity stress testing scenarios with 51%
Other 9 being ‘fully satisfactory’ (see Figure 4.17). This is an area that is
expected to continue to be of high priority with supervisors.
Source: PricewaterhouseCoopers
Figure 4.17: Supervisory review of liquidity stress scenarios
For those banks using multiple scenarios (see Figure 4.16), the 0%
number and frequency of scenarios are mostly performed on a Yes, and authority was fully satisfied 51
monthly basis using two to five or more scenarios.
Yes, but authority requires further 23
minor enhancements
Yes, but authority was dissatisfied 0
No, but authority has notified us that they 7
intend to review this in the next 12 months
Authority has not notified us that they plan 2
to review liquidity risk in the next 12 months
Other 14
Source: PricewaterhouseCoopers
16Pricewaterhousecoopers
Balance sheet management
benchmark survey
In performing stress tests, multiple factors are taken into All of the survey participants have done a comprehensive
account to modify contractual cash flows (see Figure 4.18). review of all of the modelling assumptions (see Figure 4.20).
Most emphasis is placed upon making assumptions on the Nearly all have done so within the last 12 months, further
value of liquid assets with ‘haircuts’ and behavioural factors highlighting the close attention being paid to liquidity risk.
that may have a significant impact on the estimated cash
Figure 4.20: Period of last review of liquidity risk
flows, such as a rapid withdrawal of funds. modelling assumptions
Figure 4.18: Modifications to contractual cash flows in liquidity
risk modelling 0%
Within last 12 months 95
0%
Within last 1 – 2 years 5
Prepayments 70
Within last 2 – 3 years 0
Pipeline 51
Within last 2 – 5 years 0
Drawdowns 74
Not at all in last 5 years 0
Non-maturing product profiles 72
Replicating portfolios Source: PricewaterhouseCoopers
19
Credit events 42
Contingency funding plan
Withdrawal of funding 74
Only 65% of participants have conducted a simulation of
Contingent liabilities 72 their contingency funding plans. Where simulations have
been completed, it was typically within the last 12 months
Haircuts 84
(see Figure 4.21).
Other 14
Figure 4.21: Period of last simulation of contingency funding plans
Source: PricewaterhouseCoopers 2% 2%
5%
Oversight over modelling assumptions 7%
93% of participants have had their modelling assumptions
reviewed and approved by ALCO or the equivalent body with 51%
primary oversight of liquidity risk. This is typically done on an
annual basis (see Figure 4.19). Within last 12 months
Within last 1 – 2 years
Figure 4.19: Frequency of ALCO review of liquidity risk Within last 2 – 3 years
Within last 2 – 5 years
modelling assumptions
Not at all in last 5 years
0 - 10 bn
0%
7% 5% Source: PricewaterhouseCoopers
5%
7% The bodies involved in the contingency funding plan are
19% primarily the ALCO and Treasury. It is worth noting the low
responses for the board and risk functions (see Figure 4.22).
Weekly
Monthly
Quarterly
Semi-annually
Annually
51% Ad-hoc
Other
Source: PricewaterhouseCoopers
17Pricewaterhousecoopers
Balance sheet management
benchmark survey
Figure 4.22 : Parties involved in contingency funding plans 86% of participants are expecting changes in the liquidity risk
regime set by their local supervisor, and over 90% believe their
0% supervisor is adequately skilled to supervise liquidity risk.
Board 0
Senior management
The challenges for the supervisors are to have policies that
16
are up to date with industry practices and to find the right
CFO 5 balance, the form and the substance of the bank’s liquidity
management practices (see Figure 4.24).
ALCO 40
Figure 4.24: Challenges in supervising liquidity risk
Treasury 26
Risk Control 0%
5
Policies that are out of date 33
compared to industry practice
Communication department 5
Focus on regulatory reporting 42
as opposed to interpretation
IT department of ALM risk management
0
Poor relationship with 12
host supervisors
Central banks 0
Ivory tower approach as 16
opposed to pragmatism
Other official sector parties 0
Source: PricewaterhouseCoopers
Other banks 0
Other 23
Source: PricewaterhouseCoopers
Disclosure
Figure 4.23: Liquidity risk disclosures
0%
Liquidity reserve 14
Liquidity gap 19
Funding diversification 19
Asset diversification 2
Regulator-required 23
ratios and measures
Other quantitative measures 12
(please specify)
Organisational issues 2
Methodologies of 19
measures (qualitatively)
Limit framework (qualitatively) 7
Other qualitative issues 14
Source: PricewaterhouseCoopers
18Pricewaterhousecoopers
Balance sheet management
benchmark survey
Interest rate risk
Interest rate risk in the banking book (IRRBB), as it is referred to in the various documents produced
by the Basel Committee, is the area that has probably had the most attention within banks’ ALM
functions over the years.
Nearly all banks have been performing some form of interest Figure 5.2: Management of IRRBB
rate risk management activities and have well-established
processes. However, with the heightened focus on the overall 0%
Within trading desk/front office – 19
Basel II application, both regulators and banks are reviewing reporting to head of BU
and updating their approach to IRRBB. Dedicated treasury unit – 9
reporting to CEO
While measures such as repricing gap and net interest income Dedicated treasury unit – 16
reporting to CFO
(NII) analysis are widely used, more attention is now paid to
ALM unit – reporting 47
measures of economic value and capital for IRRBB. Of equal as under 3.1 above
focus is the governance around the IRRBB framework, Other 9
including the Board-approved risk appetite, ALCO investment
and oversight, policies, limits, models and organisation structure. Source: PricewaterhouseCoopers
Figure 5.3: Measurement of IRRBB
Governance
Nearly all banks in the survey report having a formal risk 0%
Within trading desk/front office –
appetite for IRRBB. The primary oversight body was identified reporting to head of BU
0
by 70% of respondents as the ALCO (see Figure 5.1). Dedicated treasury unit – 2
reporting to CEO
Figure 5.1 Oversight of interest rate risk Dedicated treasury unit – 5
reporting to CFO
0% ALM unit – reporting 53
ALCO 70 as under 3.1 above
Within CFO area 2
Balance Sheet Management 5
Committee
Within CRO area 26
Executive Management 2
Committee
Other 12
Group Risk Committee 9
Board 0 Source: PricewaterhouseCoopers
Board Risk Committee 2
Figure 5.4: Monitoring of IRRBB
Board Audit Committee 0
0%
Other Within trading desk/front office – 0
14 reporting to head of BU
Dedicated treasury unit – 0
reporting to CEO
Source: PricewaterhouseCoopers
Dedicated treasury unit – 2
reporting to CFO
The main departments that support the ALCO framework
ALM unit – reporting 35
are Treasury, Finance, ALM and Risk Management. This is as under 3.1 above
an approach that reflects the general concept of segregation Within CFO area 0
of duties in relation to the governance of interest rate
Within CRO area
risk management. 44
Other 19
Source: PricewaterhouseCoopers
19Pricewaterhousecoopers
Balance sheet management
benchmark survey
The results show that a large percentage of respondents Figure 5.7: Board reporting
that have a structure that combines many of these activities
within an ALM unit. There is, however, some attention as to 0%
At every full Board meeting 47
how the traditional ALM unit may evolve, mainly in relation
to separating the management of IRRBB positions from the At every Board Risk 60
Committee meeting
unit that is measuring and/or monitoring the positions (see
On request/ad hoc to the full Board 33
Figure 5.2-5.4). Some banks have adopted a model akin to
the market risk function to handle the measurement and On request/ad hoc to the 21
monitoring, while the management aspect is conducted Board Risk Committee
within the Treasury or Finance division.
Source: PricewaterhouseCoopers
Nearly 80% have complete, up to date and fully implemented
policies for IRRBB (see Figure 5.5).
Investment term of equity
Figure 5.5: Policy
One of the key performance metrics for managing IRRBB is
the use of a benchmark for the investment term, or duration,
0%
Policy is complete, up to date and fully implemented 79 of equity. 58% of participants use this benchmark within
their interest rate risk frameworks. The most common period
Policy is broadly complete and up to date, but there are
minor gaps in either the policy itself or its implementation
19 targeted is the medium term of between one and five years
Policy is work in progress 2
for 42% of respondents (see Figure 5.8). This benchmark is
generally reviewed and/or changed on an ad hoc basis over
We do not have a group interest rate risk policy 0 the course of the year, indicating that many respondents will
change this target in accordance with their strategy and
Source: PricewaterhouseCoopers
outlook for the interest rate market (see Figure 5.9).
79% of respondents say their Board’s have a broad level of Figure 5.8: Target duration of equity
knowledge of the concepts and technical details for interest
rate risk management and 12% say that they have an even 0%
higher level (see Figure 5.6). Short term (i.e. less than 1 year) 9
Figure 5.6: Board understanding of IRRBB Medium term (i.e. between 42
1 and 5 years)
Long term (i.e. more than 5 years) 5
0%
Very high understanding with full grasp of 12
the technical details
Source: PricewaterhouseCoopers
Broad understanding of the concepts with 79
some understanding of the technical details
Figure 5.9: Frequency of review of equity duration benchmark
Broad understanding of the concepts but little 2
or no understanding of the technical details
Limited understanding of the concepts 7 0%
Quarterly 9
Source: PricewaterhouseCoopers Annually 21
Most participants provide regular reports to the full Board Greater than annually/ad hoc 28
(47%) or the Board’s Risk Committee (60%) (see Figure 5.7).
This is one of the principles in the Basel ‘Sound Practices for Source: PricewaterhouseCoopers
the Management and Supervision of Interest Rate Risk’.
20Pricewaterhousecoopers
Balance sheet management
benchmark survey
Measurement Figure 5.11: Secondary measurement tool for IRRBB
All participants use a variety of measures, generally in 0%
combination, to assess IRRBB (see Figure 5.10 and 5.11). Dynamic repricing gap based on 12
contractual repricing
These range from repricing gaps to earnings and economic
Dynamic repricing gap based on a mixture 9
value simulations. The challenge for the measurement and of contractual and modelled repricing
management of IRRBB has been to strike the appropriate Dynamic repricing gap based on 9
modelled repricing
balance between the short-term (i.e. less than one year)
Static repricing gap based on
impact on earnings and the longer term impact on economic contractual repricing
16
value. Respondents have indicated that they have been able Static repricing gap based on a mixture 14
to establish a reasonable balance between short-term and of contractual and modelled repricing
long-term measures. It is also worth noting that around 70% Static repricing gap based on 7
modelled repricing
of the banks isolate the mismatch earnings to separate P&L
Dynamic balance simulation of earnings 14
units and forecast these specific amounts. This is an area
where there are divergent opinions over the appropriate Static balance simulation of earnings 9
performance measures for the unit managing IRRBB when
Dynamic balance simulation of 12
comparing accrual-type earnings with economic value economic value
risk measures. Static balance simulation of 14
economic value
Figure 5.10: Primary measurement tool for IRRBB Other 12
0%
Dynamic repricing gap based on 16 Source: PricewaterhouseCoopers
contractual repricing
Dynamic repricing gap based on a mixture 28 This can also be seen in the split between the limits applied to
of contractual and modelled repricing
the respective measures. The two key identified limits are on
Dynamic repricing gap based on 7
modelled repricing the static economic value simulation and the dynamic earning
Static repricing gap based on 14 simulation (see Figure 5.12). The slightly higher figure for a limit
contractual repricing
on the static economic value measure may be related to the
Static repricing gap based on a mixture
of contractual and modelled repricing
40 fact that this is the measure that was promulgated within the
Static repricing gap based on 9
Basel papers as being the approach that regulators are advised
modelled repricing to use to determine the level of capital for IRRBB.
Dynamic balance simulation of earnings 42
Over 80% of respondents measure the capital required to
Static balance simulation of earnings 26 support IRRBB and the link to the Basel approach is supported
Dynamic balance simulation of by the use of an economic value approach.
19
economic value
Static balance simulation of 37
economic value
Other 21
Source: PricewaterhouseCoopers
21Pricewaterhousecoopers
Balance sheet management
benchmark survey
Figure 5.12: Limits for IRRBB Nearly all banks generate their IRRBB measures on at least a
monthly basis (see Figure 5.14). Most of the banks that perform
0% this on a daily basis are based in Europe.
Dynamic repricing gap based on 12
contractual repricing
Figure 5.14: Frequency of IRRBB measurement
Dynamic repricing gap based on a mixture 16
of contractual and modelled repricing
Dynamic repricing gap based on 0%
5
modelled repricing Dynamic repricing gap based 16 2 14
on contractual repricing
Static repricing gap based on 9
contractual repricing Dynamic repricing gap based on a 12 2 23
mixture of contractual and modelled
Static repricing gap based on a mixture 21 repricing
of contractual and modelled repricing Dynamic repricing gap based 7 16
on modelled repricing
Static repricing gap based on 5
modelled repricing Static repricing gap based 5 5 21
on contractual repricing
Dynamic balance simulation of earnings 35
Static repricing gap based on a 12 2 37
mixture of contractual and modelled
Static balance simulation of earnings repricing
21
Static repricing gap based 2 2 19
on modelled repricing
Dynamic balance simulation of 14
economic value Dynamic balance simulation 7 42 7
of earnings
Static balance simulation of 40
economic value Static balance simulation 2 5 30 5
of earnings
Other 16
Dynamic balance simulation 5 21
of economic value
Source: PricewaterhouseCoopers Static balance simulation 7 2 47
of economic value
Other (please specify) 12 5 12 2
Figure 5.13: Capital for IRRBB
Daily
0% Weekly
Using the standard 28 Monthly
200 bps on economic
0 Other
value of capital shock
0
Source: PricewaterhouseCoopers
Using NII simulation 0
14 Just over 80% of respondents have had their IRRBB framework
51 reviewed by their regulatory supervisors, and the results have
been generally satisfactory (see Figure 5.15).
Using economic 0
value simulation
26
Figure 5.15: Supervisory review of IRRBB
0
Other (please specify) 7 0%
Yes, and authority was fully satisfied 65
0
0
Yes, but authority requires further 16
minor enhancements
We do not measure 19 Yes, but authority was dissatisfied 0
capital for interest rate
risk in the banking book 0
0 No, but authority has notified us that they 7
intend to review this in the next 12 months
Static
Authority has not notified us that they plan 2
1 year period to review IRRBB in the next 12 months
Another period
Other 7
Source: PricewaterhouseCoopers
Source: PricewaterhouseCoopers
22Pricewaterhousecoopers
Balance sheet management
benchmark survey
Capital management
For this survey, we have included a section on capital management for the first time. This is in
response to the increased attention being paid to capital management in a Basel II world and in
response to many questions from our clients regarding some of the issues covered.
One of the biggest challenges for banks is to establish an Figure 6.1: Which senior executive has responsibility for the
effective, integrated operating model to bring all of the following activities within his/her area
components together and thus enable consistency and clarity
0%
within the application of the whole and related sub-components, Setting cost of capital 2 67 16 2 9 2
particularly when related to the ICAAP. It has drawn greater
Capital stress testing
attention within the ALM or Balance Sheet Management function 53 49 9 2
under the governance of ALCOs in many cases. Capital planning 5 67 12 21 2
Return on (risk-adjusted) 70 21 2 9 5
Structure capital calculations
Capital allocation within 5 70 19 12 7
As we can see from figure 6.2, most of the key capital the organisation
management activities are split between the CFO and CRO Economic capital calculation 35 56 9 5
functions. Traditionally, the CFO has had responsibility for
Capital adequacy reporting
regulatory risk reporting and capital planning with a general 72 21 9 7
‘top down’ approach. The calculation of economic capital has Regulatory 2 70 16 9 12
tended to evolve under the CRO on a ‘bottom’ up basis. Some
of the challenges that arise with this approach are, for example: RWA calculation 67 28 25 9
• Consistency with economic capital and capital allocation. CEO
CFO
• Using a ‘top down’ holistic economic capital model that can
CRO
integrate the ‘bottom up’ measured risks and perform robust COO/head of operations
intra-risk diversification measurement. Treasurer
Other
• Using this model for stress testing and then linking to
capital planning. Source: PricewaterhouseCoopers
• Reconciling regulatory risk-weighted assets (RWAs) to 90% of respondents have a dedicated capital management
economic capital. unit, with the majority reporting to the CFO.
• Effectively harnessing the capital adequacy measure for
Figure 6.2: Capital management unit reporting line
stress testing and capital planning to properly capture both
risk measures and accounting components, particularly with
0%
credit risk and loan loss provisioning. CEO 2
• Consistency of balances used for capital allocation and funds
CFO 60
transfer pricing (FTP) that drive key components that feed
into economic value and risk-adjusted return on capital CRO 12
(RAROC) measures.
COO 0
Treasury 19
Other 2
Source: PricewaterhouseCoopers
The average headcount of these units is approximately 15, with
a maximum of 60 people.
23Pricewaterhousecoopers
Balance sheet management
benchmark survey
Figure 6.3: Capital management unit headcount Figure 6.5: Activities of the capital management unit
3% 0%
Calculation of regulatory 30
13% capital RWAs
Regulatory capital 40
adequacy reporting
Economic capital calculation 44
55% Capital allocation 67
29% Return on (risk-adjusted) 51
capital calculation
50 Capital stress testing 72
Setting cost of capital 65
Source: PricewaterhouseCoopers
Source: PricewaterhouseCoopers
As mentioned in the introduction, the ALCO has been the main
executive body that has oversight of capital management with
With regards to capital planning, the time horizon used by
49% of respondents (see Figure 6.4).
nearly half of the respondents is three years (see Figure 6.6).
Figure 6.4: Oversight of capital management
Figure 6.6: Time horizon for capital planning
0% 0%
ALCO 49 One year 14
Balance Sheet Management 12 Two years 12
Committee
Finance Committee 2 Three years 49
Group Risk Committee 12 More than three years 19
Executive Management Committee 26 Ad hoc 5
None – we do not 0
Source: PricewaterhouseCoopers do capital planning
Source: PricewaterhouseCoopers
Activities
This time horizon is broadly consistent with the period looked
The main activities performed by the capital management unit
at for capital stress testing, although there appears to be a shift
are capital planning, capital stress testing, capital allocation
in focus to shorter time frames for stress testing compared to
and setting the cost of capital (see Figure 6.5).
capital planning (see Figure 6.7).
Other related activities are more fragmented and it would Figure 6.7: Time horizon for capital stress testing
appear that for most respondents, the capital management
unit is a receiver of economic capital information and that it is 0%
unlikely to be involved in the calculation of regulatory capital One year 21
adequacy and risk-weighted assets.
Two years 16
Three years 37
More than three years 9
Ad hoc 7
None – we do not do 2
capital stress testing
Source: PricewaterhouseCoopers
24Pricewaterhousecoopers
Balance sheet management
benchmark survey
Most respondents (63%) have reported that they conduct at Figure 6.10: Board awareness of capital management
least three or more scenarios for their capital stress testing
(see Figure 6.8). 0%
Very high understanding with full grasp of 26
Figure 6.8: Number of scenarios for capital stress testing the technical details
Broad understanding of the concepts with 63
some understanding of the technical details
0%
None Broad understanding of the concepts but little 7
5
or no understanding of the technical details
1 Limited understanding of the concepts 0
12
2 14 Source: PricewaterhouseCoopers
3 26
It would be expected that there is regular reporting of capital
4–5 14 adequacy to the Board, its Risk Committee, or both. What is
surprising is that over a quarter of respondents (i.e. ‘other’
5 – 10 23 category) do not regularly report this information to the Board,
>10 0
but instead generally provide capital adequacy updates to
some form of executive committee (see Figure 6.11).
Source: PricewaterhouseCoopers
Figure 6.11: Board reporting of capital adequacy
Governance At every full Board meeting
0%
72
All respondents have a capital management policy in place,
At every Board Risk 42
with nearly half asserting that it is complete, up to date and Committee meeting
fully implemented (see Figure 6.9). On request/ad hoc to the full Board 28
Figure 6.9: Capital management policy On request/ad hoc to the 16
Board Risk Committee
0% Other 26
Policy is complete, up to date and fully implemented 47
Policy is broadly complete and up to date, but there are 44 Source: PricewaterhouseCoopers
minor gaps in either the policy itself or its implementation
Policy is work in progress 5
We do not have a group capital management policy 0
Source: PricewaterhouseCoopers
Most Boards have a reasonable understanding of capital
management and the associated technical concepts, with
26% reporting to have a very high level of understanding
(see Figure 6.10).
25Pricewaterhousecoopers
Balance sheet management
benchmark survey
Funds transfer pricing
Funds transfer pricing has been a key component of most banks’ ALM frameworks for many
years. It has often been sitting in the background and seen as a process function and not necessarily
well understood or appreciated beyond the units administering it.
However, over the past year many banks have been revisiting The responsibility for managing the FTP process is primarily
their practices and paying significant attention to ensuring that with the ALM unit (44%), or with the Finance or Treasury
it is functioning properly and is supported by robust, units (see Figure 7.2). A key governance point regarding the
appropriate methodologies. management of FTP and the setting of policy is to consider
the aspect of segregation of duties. This aspect of managing
The importance of FTP has been highlighted as it underpins FTP is of higher importance for units that are considered
the interest margin and profitability results and, thus, has a profit centres.
significant impact on business unit performance measurement
and business behaviour. It has been recognised that aspects Figure 7.2: Management of FTP process
like pricing for liquidity, optionality, customer behaviour and
0%
trading portfolios require more attention to ensure that Finance 37
underlying risks are properly reflected within pricing and
performance measurement practices. Risk 5
It is important that FTP is well understood throughout the bank ALM 44
and that the implications of it are understood beyond the
Treasury 40
specialised functions administering it. Methods must be sound
and transparent and an appropriate level of governance Other 16
undertaken to avoid potential conflict of interest.
Source: PricewaterhouseCoopers
Governance While 90% of respondents have an FTP policy in place, it is
Around half of the participating banks have their FTP policy as notable that around half feel that they have some gaps in the
a part of the ALCO responsibilities (see Figure 7.1). In some policy or its implementation (see Figure 7.3).
banks it resides with the Finance or Treasury function (as noted Figure 7.3: Status of FTP policy
within the ‘other’ category).
0%
Figure 7.1: Responsibility for FTP policy Policy is complete, up to date and fully implemented 44
0% Policy is broadly complete and up to date, but there are 47
ALCO 47 minor gaps in either the policy itself or its implementation
Policy is work in progress 5
Executive Management Committee 14
We do not have a FTP policy 5
Board 2
Board Risk Committee 2 Source: PricewaterhouseCoopers
CEO 2
CFO 12
CRO 2
Other 19
Source: PricewaterhouseCoopers
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