Programme

Programme

Programme

Day 1

08:30

Registration

09:00

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

10:30

Morning coffee break

11:00

Measurement of large exposures 

  • Connected counterparties: 
    • Control relationship 
    • Economic interdependence 

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 

15:30

Treatment of large exposures

  • Exposures to sovereign
  • Interbank exposures
  • Covered bond exposures
  • Exposures to central counterparties
  • Exposures to intra-group counterparties

17:00

End of day 1

Day 2

08:30

Registration

09:00

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

10:30

Morning coffee break

11:00

Data challenges and requirements 

  • Challenges in sourcing data when implement SA-CCR 
  • Mapping each trade to the correct hedging set
  • Computing the trade level notional
  • Gathering collateral information
  • Storing the supervisory parameters

Alexandre Bon, Senior Manager, MUREX 

12:30

Lunch

13:30

SA-CCR calculation challenges 

  • New add-on 
  • Potential future exposure (PFE) calculations
  • Replacement cost (RC)
  • Calculate exposure at default (EAD) calculations
  • Calculation methods for equity capital requirements  and large exposure reporting
  • Case studies 

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 

17:00

End of training course