Counterparty Treasury Exposures In Financial Market Pengelolaan Risiko Kredit Treasury Untuk Pencapaian Profit Dan Optimalisasi Dana Bank

Training ini memberikan pemahaman baru kepada peserta untuk bisa memastikan jenis-jenis Counterparty Credit Limit yang wajib tersedia dan pengelolaannya untuk memitigasi risiko kredit transaksi treasury dalam rangka mengamankan pencapaian profit dan mengamankan optimalisasi pengelolaan dana bank.

Tujuan

• Memahami apa itu risiko kredit counterparty dan bagaimana mitigasi risiko kredit counterparty dalam transaksi treasury
• Mendalami apa itu treasury exposure di pasar keuangan
• Mengetahui cara menganalisa bank counterparty
• Memahami apa saja persyaratan untuk menyiapkan atau mengajukan batas kredit
• Memahami cara menghitung batas kredit counterparty
• Memahami batasan proses persetujuan
• Memahami cara pemantauan dan pemanfaatan batas laporan
• Memahami cara mengendalikan batasan pelanggaran: Aliran Kerja

Materi Pokok

• UNDERSTANDING CREDIT / COUNTERPARTY RISK
  • What is Credit/Counterparty Risk (Billateral Risk)?
  • Background and Purpose of Counterparty Credit Limit
  • What are the differences between Loan Exposure and Ctpty Exposures?
  • How to Mitigate Counterparty Credit Risk?
    • Diversification
    • Netting
      • Payment Netting
      • Close-Out Netting
    • Collateralization : Collateral Value VS Market Value
    • Hedging by Credit Derivatives : Credit Default Swap (CDS), TRORS, etc
• TREASURY EXPOSURES IN FINANCIAL MARKET, RISK IDENTIFICATION, RISK MEASUREMENT–EXAMPLES & EXPOSURES CALCULATION
  • Money Market Transaction (Interbank Placement, Buy MM : NCD, PN)
  • Capital Market Transaction (Buy Bond : Outright, Repo/Reverse)
  • Foreign Exchange Transaction : Tod, Tom, Spot, FX Forward, FX Swap
  • Pre Settlement Risk – Buy Bond Outright Transaction (Gov’t, Corporate)
  • Issuer Risk – Buy Corporate Bond
  • Settlement Risk – Buy Bond without DVP Settlement Mode
  • Repo/Reverse Bond with Counterparty (Collateral Coverage, Hair Cut)
  • Derivatives Transaction : Interest Rate Swap, Cross Currency Swap
• TREASURY FACILITIES / LIMIT TO MITIGATE CREDIT RISK
  • Interbank Placement (Money Market) Limit
    • Placement to other Banks (Interbank Call Money Placement)
    • Buy Outright MM Instruments : SBI, SPN, NCD, CP, PN, etc
  • Bonds Issuer / Obligor Limit
    • Buy Outright Non Government Bond / Corporate Bond
  • Bonds Pre-Settlement Limit & Bond Settlement Limit
    • Buy Bond with Settlement Date H + ….
  • Repo & Reverse Bonds Limit
    • Repo Bond Govt/Corporate and Reverse Repo Bond to Counterparty
  • Forex Pre Settlement Limit and Forex Settlement Limit
  • Pre Settlement Limit & Settlement Limit for Derivatives (Interest Rate Swap – IRS & Cross Currency Swap – CCS / CCIRS)
• HOW TO ANALYZE THE BANK COUNTERPARTY?
  • Types of Bank Counterparty
    • Foreign Banks
    • State Owned Banks
    • National Private Banks
    • Joint Venture Banks
  • CREDIT ANALYSIS – Qualitative and Quantitative Analysis Conducted
    • Quantitative Analysis
    • Qualitative Analysis
  • The Use of External and Internal Rating
    • Rating Agencies
    • Credit Rating
• HOW TO SET UP THE CREDIT LIMIT?
  • Observing the Right Facilities for a Counterparty
  • Past Transaction Utilization Record
  • Reciprocity Issues
• WHAT ARE THE REQUIREMENTS TO PROPOSE LIMIT/LINES
  • Types of Limit Needed
  • Maximum Tenor
  • Counterparty Type
  • Underlying
  • Available LLL
• CREDIT LIMIT CALCULATION
  • Legal Lending Limit
  • Placement That Exempted From LLL Calculation
  • Counterparty Credit Limit Calculation based on 3L & Examples
  • Exercises – Set Up Credit Limit based on parameters (Total Ctpty Limit)
  • How to Calculate Total Exposures
  • Other Considerations
• LIMIT APPROVAL PROCESS
  • What Must be Available in a Credit Proposal
  • Maximum Limit Calculation (Rating, Equity (LLL), Internal Parameter)
  • Credit Proposal Flow
  • Who Should Be Involved in Credit Risk Management?
    • Treasury Div
    • Financial Institution Div
    • Credit Reviewer Div
    • Credit Risk Div
    • Credit Opr Div
    • Treasury Operation Div – Sharing & Discussion
  • Credit Authorization Limit
• LIMIT MONITORING, REPORTING AND CONTROLLING/BREACHING
  • Limit Monitoring Procedure
  • Limit Reporting – Utilization Existing Limit & Collateral Adequacy
  • Limit Controlling / Breach – Flow of Work
    • Type of Excess
      • Technical Excess
      • Passive Excess
      • Active Excess
    • Limit Freeze
• SIMULATION / CASES / EXERCISES
  • Exercises to determine Counterparty Credit Limit
  • Cases in Monitoring Counterparty Credit Limit
  • Cases in Controlling/Escalation Counterparty Credit Limit
• CONCLUSION AND SUMMARY