Agenda

Agenda

Day one - Monday 2 December 2019

08:30

Registration and Refreshments

09:00

Regulatory overview, aligning CCP with other regulations and benchmark reform: part one

  • The evolution of CCP’s
  • CCP clearing – benefits to efficiency and risk management
  • Regulatory technical standards for CCP’s
  • Clearing in the UK vs clearing in Europe – similarities, differences, challenges etc
  • How to treat CVAs under FRTB rules
  • Overall collateral, capital and default fund costs from a client perspective
  • Is the regulatory insistence on CCP’s a good thing?

10:30

Morning Break

10:45

Regulatory overview, aligning CCP with other regulations and benchmark reform: part two

  • Basel roll out and effects on counterparty risk
  • Internal model and SACCR
  • Methods for pricing MVA
  • Discounting and collateral rates for cleared swaps
  • LCH compensation mechanism
  • Using euro swaptions
  • Considering issues related to non-cleared portfolios bilaterally
  • Who stands to win/lose?
  • Equivalence regime post Brexit

12:00

Lunch

13:00

Risk management of CCP’s

  • Looking at CCP’s as a counterparty
  • CCP’s as financial infrastructures
  • Reconciling competing objectives relating to market structure
  • Differing liquidity risk profiles
  • Risk monitoring and transparency

14:30

Afternoon break

15:00

Default management process

  • The structure and participants in default management auctions
  • CCP membership eligibility
  • Liquidation group set-up
  • Similar risk characteristics within a liquidation group
  • Simulation of a crisis scenario
  • DMP-Coordinator role and responsibilities

16:30

End of Day One

Day two - Tuesday 3 December 2019

08:30

Morning Refreshments

09:00

Counterparty credit risk management and exposures for banks

  • Developing effective SA-CCR management systems
  • Measuring counterparty credit exposure
  • Standardised approach vs internal model approach for measuring counterparty credit risk
  • Mitigating counterparty credit risk
  • Impacts on derivatives pricing
  • Dealing with credit, concentration and wrong-way risk

10:30

Morning Break

10:45

Initial margin and CCP margin buffers

  • Initial margin models
  • Clearing risks in OTC derivatives
  • Margining process
  • Regulatory minimums for initial margin requirements
  • Methods to prevent procyclicality
  • Possible approaches

12:00

Lunch

13:00

CCP risk management: best practice approaches

  • Membership requirements
  • Product eligibility
  • Margining (diversification, procyclicality, concentration, liquidity, WWR, JTD)
  • Stress testing and mutualisation of resources (margin v GF)
  • Non-default losses and disclosure

14:30

Afternoon Break

15:00

CCP resolution frameworks

  • Where are we now?
  • Differences in regulation for banks/clearing houses
  • Regulatory overview;
    • Supervision of EU and foreign systematically important CCPs
    • European Supervisory Agencies (Esas)
    • CCP recovery and resolution
  • Ensuring legal certainly
  • Assessing CCP financial resources
  • How to treat CCP equity in resolution
  • Clearing as a systemic risk
  • Case study: setting up a resolution framework

16:30

End of Course