Programme

Programme

Programme

Day 1

09:00

Registration

09:30

Large Exposures Framework from a regulator’s perspective

  • Current rules for large exposures
  • Design of the new large exposures framework
  • Calibration of exposures and limits
  • Look-through approach
  • Credit risk mitigation
  • Trading book exposures
  • Special limits: exposures to banks and QCCPs
  • Hong Kong-specific implementation

Dr. Marcel Bluhm, Manager, Research and Development Unit, Banking Policy Department, HONG KONG MONETARY AUTHORITY

11:00

Morning coffee break

11:30

Economic interdependence under the large exposure regime

  • Overview of regulatory requirement
  • Approach in determining the group of linked counterparties
  • Deep dive in the concept of economic interdependence and interconnection
  • Sample case walk-through

Rondy Wong, Manager, PwC

12:30

Lunch

13:30

Exposure value determination 

  • On and off balance sheet exposures
  • Exposure value for 
    • Over-the-counter (OTC) derivatives and securities financing transactions 
    • Trading book positions
  • Credit risk mitigation techniques 

David Sasson, Director, xVA risk, Counterparty Credit Risk, Regulatory Capital, ANZ

15:00

Afternoon coffee break & networking 

16:00

End of day 1

Day 2

09:00

Registration

09:30

Standardised Approach for Counterparty Credit Risk (SA-CCR)

  • Comparison of SA-CCR, CEM and IMM approaches
  • The effect of moving from CEM to SA-CCR 
  • SA-CCR’s impact on banks’ credit risk capital requirements 

David Sasson, Director, xVA risk, Counterparty Credit Risk, Regulatory Capital, ANZ

11:00

Morning coffee break

11:30

Looking under the hood of SA-CCR 

  • Principles & key objectives in the Basel III context
  • High level calculation flow : data & governance implications
  • SA-CCR vs other regulations (Uncleared Margin Rules, Leverage ratio …)
  • Key challenges: data requirements, regulatory ambiguity, infrastructure agility
  • Takeaways for SA-CCR projects:
    • Inter-dependencies & synergies with other regulations
    • Data governance & model ownership

Alexandre Bon, Senior Manager, MUREX

12:30

Lunch

13:30

Implementing SA-CCR in practice

  • The devil in the details: practical implementation questions and challenges:
    • Replacement cost & Collateral
    • Transaction classifications
    • PFE: trade routing & inputs choices from vanillas to exotics
    • MPoR and Multiplier
  • BAU SA-CCR calculations
    • Dealing  with jurisdiction differences
    • Pre-deal, incremental and marginal exposures    
  • Looking forward: the case for an Agile Regulatory Infrastructure
    • Basel FAQs and feedbacks from the field
    • Time-to-Market and Time-to-Compliance
    • ISDA criticisms and likely future evolutions

Alexandre Bon, Senior Manager, MUREX

15:00

Afternoon coffee break

15:30

SA-CCR and other regulatory requirements 

  • Operational capabilities to employ SA-CCR requirements
  • Overlapping with FRTB – replaces the current standardised market risk calculations 
  • Aligning SA-CCR and FRTB 
  • New capital requirement to cover IRRBB 
  • Achieve greater efficiency by managing SA-CCR on the same regulatory calculation platform 

Damon Batten, Managing Consultant, BOVILL

17:00

End of training course