Agenda

Agenda

Large Exposures & SA-CCR

Implementation challenges and best practices

Monday 18 March 2019, Sydney 

08:30

Registration 

09:00

Large Exposures Framework from a regulator’s perspective 

  • Key requirements to implement Large Exposures 
  • Large exposure limit
    • General exposure limit 
    • Limit for exposures between G-SIBs
  • Implementation timeline 
  • Reporting requirements 
  • Challenges in implementing Large Exposures in Australia  

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 

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

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 

Implementation challenges and best practices

Tuesday 19 March 2019, Sydney 

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 

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

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 

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