Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk

Friday, November 19 to Sunday, December 19, 2021
Online


Regulators across the globe are preparing to publish draft rules to implement the final Basel III measures, including the Fundamental Review of the Trading Book (FRTB) – changes that will have a massive impact on how banks manage their trading books, the models they use and the capital they have to hold following implementation in January 2023. Even before then, banks need to get to grips with a variety of other requirements, including the standardized approach (SA) to counterparty credit risk and, in the EU, the introduction of supervisory reporting under the FRTB SA. How are banks preparing for these raft of measures, and what challenges do they present? How might the rules differ across jurisdictions? What lessons were learned during the coronavirus pandemic, and are additional revisions needed as a result?

Spread across three events focused on the US, Europe and Asia-Pacific, these free-to-attend virtual events will provide in-depth analysis on the big issues, with exclusive insight from senior market practitioners and regulators.

 

This is a pre-recorded Virtual Conference

 

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Recording available until December 19, 2021

 

This is an ISDA Virtual Conference:

  • This is a recording of the ISDA Trading Book Capital (APAC) virtual conference which took place on November 19, 2021
  • Registrants will have access to the recording until 5:00 PM HKT/SGT on December 19, 2021
  • After submitting your registration you will receive a confirmation email with a link to view the documents and recordings

 

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Friday, November 19, 2021

Print Agenda Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk for

3:00 PM Introduction and Welcoming Remarks Scott O’Malia

Scott O’Malia, Chief Executive Officer, ISDA

3:05 PM Keynote Address Daryl Ho

A senior policy-maker discusses how the final Basel III measures will be implemented in APAC

Daryl Ho, Executive Director (Banking Policy), Hong Kong Monetary Authority

3:25 PM FRTB: The Path to Implementation Albert Chung

APAC is expected to publish its draft rules implementing the final Basel III measures, including the FRTB, in October. What approach will APAC likely take, and what implications will this have for market participants? What are the timelines that firms need to meet and what do banks need to do to be ready?

Albert Chung, Global Head of Market Risk Analytics, Standard Chartered Bank

3:55 PM Understanding SA-CCR and CVA Michele Marzano

What changes do banks need to make to meet the revised CVA and SA-CCR requirements and what impact will it have on capital levels? This session will review the counterparty credit risk framework and outline the key challenges.

Michele Marzano, Global Head of Traded & Treasury Risk and Analytics Transformation, HSBC Group Management Services Ltd.

4:15 PM Break

4:25 PM XVAs and Capital Requirements Franz Lorenz

This session explores how valuation adjustments are treated by the prudential capital framework and how to reflect economic XVA risk management in capital.

Franz Lorenz, Director, Financial Services, KPMG AG Wirtschaftsprüfungsgesellschaft

4:45 PM Capitalizing ESG Gregg Jones, Gemini Yang

Carbon trading will be a key tool in the shift to a greener economy and essential to meeting net-zero carbon emissions goals. However, the FRTB framework currently imposes an inappropriately high capital charge for carbon – a situation that may restrict growth of this critical market. What changes are necessary to ensure the capital treatment of carbon reflects risk? More broadly, how are banks approaching modelling and stress testing of the risks posed by climate change?

Gregg Jones, Director, Risk and Capital, ISDA
Gemini Yang, Partner, Risk Consulting, KPMG China

5:05 PM Break

5:10 PM Lessons Learned from the Covid-19 Crisis Panayiotis Dionysopoulos, Eduardo Epperlein, John Ho, Tom Jenkins, Brian Lo

A recent report by the Basel Committee on Banking Supervision concluded that the higher levels of capital and liquidity as a result of Basel III helped banks to absorb the shock of the COVID-19 pandemic and enabled them to continue to provide credit and intermediation services during a period of extreme volatility. However, it also highlighted several areas that may warrant further consideration, including the usability of capital and liquidity buffers, procyclicality in parts of the framework and the impact of the leverage ratio. Is a recalibration needed in any of these areas?

Moderator: Panayiotis Dionysopoulos, Head of Capital, ISDA
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, Nomura
John Ho, Head, Legal, Financial Markets, Standard Chartered Bank
Tom Jenkins, Partner, Head of Financial Risk Management, Risk Consulting, KPMG China
Brian Lo, Managing Director, Head of Risk Management Group - Market & Liquidity Risk, DBS Bank

5:55 PM Closing Remarks Tom Jenkins

Tom Jenkins, Partner, Head of Financial Risk Management, Risk Consulting, KPMG China

6:00 PM Conference Concludes

Register Now for Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk
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Albert Chung

Global Head of Market Risk Analytics

Standard Chartered Bank

Panayiotis Dionysopoulos

Head of Capital

ISDA

ISDAConferences

Eduardo Epperlein

Managing Director, Global Head of Risk Methodology

Nomura

Nomura

Daryl Ho

Executive Director (Banking Policy)

Hong Kong Monetary Authority

John Ho

Head, Legal, Financial Markets

Standard Chartered Bank

StanChart

Tom Jenkins

Partner, Head of Financial Risk Management, Risk Consulting

KPMG China

Gregg Jones

Director, Risk and Capital

ISDA

ISDAConferences

Brian Lo

Managing Director, Head of Risk Management Group - Market & Liquidity Risk

DBS Bank

Franz Lorenz

Director, Financial Services

KPMG AG Wirtschaftsprüfungsgesellschaft

Michele Marzano

Global Head of Traded & Treasury Risk and Analytics Transformation

HSBC Group Management Services Ltd.

Scott O’Malia

Chief Executive Officer

ISDA

ISDAConferences

Gemini Yang

Partner, Risk Consulting

KPMG China

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Intermediate

The course level is intermediate. Some knowledge of derivatives is assumed. No advance preparation is required.

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