Management of Operational Risk by Sovereign Debt Management Agencies*
Section 1: Institutional/governance arrangements and scale of operations
C. Middle office
a. Please indicate the approximate number of staff resources allocated to the various middle office functions.
i. Portfolio Management.
ii. Risk Management Policy.
iii. Compliance and Audit.
iv.Other – e.g.public policy/public sector stakeholder management.
Please specify details of other.
Portfolio management
b. Do you pro-actively manage your portfolio structure to meet explicit portfolio targets? If so, please provide a brief description of these targets – duration, fixed/floating share, etc.
c. On the diagram below please scale your agency’s philosophical and operational approach in terms of how actively you manage your debt portfolio after primary debt issuance to achieve any portfolio goals/
benchmarks you may have set.
Risk management
d. Please indicate the range of risks that are actively managed by your agency.
Financial Risks
Operational risks
e. Is there a separate area of your agency dedicated to risk policy modelling and development?
No portfolio management after issuance
Highly active, transaction intensive portfolio management
0 5 10
Interest rate risk Foreign exchange risk
Liquidity risk Basis risk
Credit risk Investment risk
Funding risk Execution risk
Other. Please specify
Accounting risk Audit risk
Legal risk Settlements risk
Segregation of duties Other. Please specify
Disaster recovery
f. Please indicate your agency’s position on business continuity and disaster recovery arrangements.
g. What percentage of annual operational expenses is attributable to these and related functions?
Compliance and audit
h. Do you have a separate area of your agency dedicated to monitoring compliance with risk policies and risk limits.
i. Please outline the audit framework used by your agency. Do you have an independent internal audit function? If so, to whom does it report? What is the interface between the Government auditor and your agency? If relevant, what is the demarcation of responsibilities between the Government auditor and your agency’s internal audit function?
j. What percentage of your operational expenses would be allocated to audit functions?
k. Does your agency have a fraud control plan?
D Back office
a. Please indicate the approximate number of staff resources allocated to the various back office functions.
i. Accounting ii. Settlements
iii. Information technology iv. Human resource management v. Legal
vi. Corporate services and administration vii. Other. Please specify.
Accounting
b. Please indicate the type of accounting system/s you use
Item Yes In development No
Business continuity plan Disaster recovery plan Back up site
Function is outsourced Commercial package. Please name it.
Internally developed Custom system Spreadsheet system Paper-based system Other. Please specify
c. If you use an accounting system, is it part of the broader treasury / debt management transaction system you may use?
d. Is your agency required to produce its own financial statements?
e. Is Parliamentary and Budget reporting of debt management outcomes required on a cash or accruals basis, or both?
f. Please indicate what accounting bases your agency reports against.
Settlements
g. Please indicate the types of settlements your agency is involved with.
h. Approximately how many settlement transactions does your agency undertake per month on average?
i. In relation to transactions with counterparties, how many failures (if any) do you receive from counterparties each year?
j. Please indicate techniques you use to reduce settlement risk.
k. Do you physically transact actual settlement payments in relation to your debt instruments, or is this function carried out by another agency on your behalf? (e.g.fiscal agent, commercial bank, central bank).
Information technology (IT)
l. Please describe your IT environment.
m. How much does your agency spend (as a percentage of the annual operational budget) on IT functions and systems (including staff costs)?
n. How many of your IT positions are filled by contractors/consultants?
o. Do you outsource any aspects of your IT systems? If so, please specify.
p. Do you use a specific “Treasury system” to facilitate your debt management transactions? Was this bought “off the shelf” or developed
“in-IMF government finance statistics
National accounting standard Other. Please specify
Debt transactions OTC derivatives
Exchange traded derivates Investment Other. Please specify
Netting of payments Settlement confirmation Use of electronic settlements
systems
Use of settlements exchanges Other. Please specify
house”? How well is it integrated throughout the office in terms of meeting the requirements of dealing/treasury/risk management/
settlements and accounting functions?
q. If you have purchased a specific “Treasury system” to facilitate your debt management transactions, please indicate when this occurred, and provide an indicative cost for the initial purchase and implementation.
r. Which market information systems does your agency use? How many user registrations/licences do you have for each of these systems?
Human resource (HR) management
s. Please indicate how HR services are provided.
t. By placing a number in the boxes below, please indicate what sort of training is provided to agency staff. (1 = most frequently used, 6 = least frequently used.)
u. Aside from on-the-job and other forms of in-house training, what is your expenditure on staff training as a percentage of salaries for the organisation as a whole?
v. What is the average length of service for current employees?
w. What has been the average turnover ratio for staff each year? (e.g.over the past five years) (number of employees departing per year compared to the total number of employees).
x. Have you found key personnel departures to be a significant risk? What techniques do you use to try to manage key personnel departure risk?
y. Do you use a formal performance management/appraisal process to assess staff performance?
In-house Outsource
Partially outsourced Other. Please specify
On-the-job Secondments
In-house Financial markets
External courses Academic
Remuneration packages competitive with financial markets
Flexible, outcomes-based performance remuneration Golden handcuff
arrangements
(e.g.time-based bonuses)
Succession planning
Other. Please specify
z. Do you link staff salary outcomes to performance? If so:
i. How much of the aggregate salary budget is “at risk”?
ii. Is this applied to all staff, or to limited areas? e.g.key staff only?
aa. Please indicate what type of roles consultants typically undertake in your agency. Are consultants used on an ongoing basis, or only for short-term/
defined period projects?
bb. In a typical year, what is the approximate level of expenditure on consultant’s fees versus the total salary budget for employees?
Legal
cc. Do you have any dedicated internal legal resources, or do you use external resources to provide legal advice?
Corporate services and administration
dd. Please describe in very broad terms the range of functions that your corporate services/ administration section undertakes.
ee. Are any aspects of this function outsourced? If so, please list which functions are outsourced.
Thank you for taking the time to fill out this survey.
IT HR
Portfolio management advice Audit
Legal advice Accounting
Other. Please specify
© OECD 2005