tailieunhanh - Investment Portfolio Management

To supervise investment portfolio risks effectively, management may wish to periodically estimate, and report to the board of directors, the value of the portfolio in different interest rate environments. The value in each interest rate scenario, compared with the current portfolio value, illustrates the amount of portfolio price sensitivity. Sensitivity reporting is a convenient means of assuring that management has complied with the board of directors’ limits on the portfolio’s volatility. The presence of a few securities with high risk may, or may not, be a supervisory concern. Whether a security is an appropriate. | Investment Portfolio Management Introduction Sections 11 g 11 h and 16 a of the FHLBank Act Section 956 of the Finance Board regulations and the Finance Board Financial Management Policy FMP establish the FHLBanks investment authority. The entire FMP applies only to FHLBanks that have not yet converted to their new capital plans. Each FHLBank that has converted to its new capital plan has established its own Finance Board-approved risk management policy RMP . Only the provisions of the FMP contained in Sections . 3. 4. and 5. and Section . apply to such FHLBanks. The FMP provides a framework within which the FHLBanks are allowed to implement financial management strategies that assist them in accomplishing their mission and in generating income sufficient to meet their financial obligations in a safe sound and profitable manner. Regulatory Environment 1 Rules and Regulations of the Federal Housing Finance Board which include the following parts and sections relevant to investment portfolio management Part 917 of the Finance Board regulations addresses powers and responsibilities of FHLBank boards of directors and senior management. In particular Section Risk Management and Section Internal Control System are pertinent. Section of the Finance Board regulations addresses unsecured extensions of credit and limits to various counterparties. It also details measurement and reporting requirements for both on- and off-balance sheet exposures. Section of the Finance Board regulations discusses allowable mission-related investments. Part 956 of the Finance Board regulations discusses allowable and prohibited investments. 2 Advisory Bulletins of the Federal Housing Finance Board that provide supervisory guidance relating to the topic of investment portfolio management are Advisory Bulletin 98-10 dated December 8 1998 which formalizes guidance to the FHLBanks on the minimum unsecured credit monitoring standards the FHLBanks are expected to .