Ifrs 9 Impairment & Implementation

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IFRS 9 IMPAIRMENT & IMPLEMENTATION

Reviewing Progress Across the Three Phases as the Industry Moves Towards Parallel Runs and Implementation

20-21 SEPTEMBER, 2016 | THE TOWER HOTEL | LONDON

HIGHLIGHTS INCLUDE

HEAR FROM IFRS 9, ACCOUNTING
& CREDIT RISK PROFESSIONALS
INCLUDING:

INTERPRETATION OF THE STANDARD

Interpreting the standards set and understanding principle based terms

Diana Kapsa

Head of Credit Risk
Methodology

Alan Burke

Head of Risk Measurement

Santander

DATA PROCESSES

Adapting internal IT and data processes to accommodate the data requirements across IFRS 9

SECONDARY IMPACTS OF IFRS 9

Reviewing the secondary impacts on other business areas of implementation of IFRS 9 requirements

Neil Wannop

Head of Accounting
Development

Guido Sopp

Accounting Expert

Austrian Financial Market Authority

EXPECTED CREDIT LOSS MODEL

A supervisory perspective of the IFRS 9 expected credit loss model

Lloyds Banking Group

Claudia Eusebio

Director, Accounting Policy
& Advisory Group

Vivien Brunel

Head of Risk & Capital
Modelling

PROVISION MODELS

The practical implications of building provision models with flexible parameters for determining expected losses

DISCLOSURE REQUIREMENTS

Tackling the disclosure requirements of IFRS 9

Oliver Fiala

Head of Group
Credit Risk

Wolfgang Reitgruber

Deputy and FVP in Group Credit Risk Modelling

UniCredit S.p.A.

FORWARD LOOKING SCENARIOS

Developing multiple forward looking scenarios and implementing a forward looking view of impairment to align with economic forecasts

Volksbank

Julian Parkin

Head of Regulatory & Statutory Portfolio, Finance Change

Carol Lynch

Head of Impairment Analysis & Reporting, IFRS 9 & Impairment Unit

Bank of Ireland

IFRS 9 & BASEL III

Consistency of IFRS 9 requirements with Basel III

BUSINESS BEHAVIOUR & RUNNING OF THE BUSINESS

Royal Bank of Scotland

The effect of IFRS 9 on business behaviour and running of the business

Co-sponsor

#IFRS9

www.cefpro.com/ifrs9

IFRS 9 IMPAIRMENT & IMPLEMENTATION | 20-21 SEPTEMBER, 2016 | LONDON

SPONSORSHIP & EXHIBITION

PREFERENTIAL RATE ON ACCOMMODATION

Advance your branding, awareness, industry expertise, thoughtleadership and lead-generation at IFRS 9 Impairment and Implementation.

Attendees can obtain a preferential rate on accommodation at the The Tower. The rates are £250+vat for single occupancy and £260+vat for double occupancy. The rates

and rooms are on a ﬁrst come ﬁrst

served basis and the allocation is only available until the 23 August.

Sponsorship and exhibition with the Center for Financial Professionals offers unique networking, brand recognition and thoughtleadership deliverance opportunities with senior risk professionals from around the world. Whether you want full branding across the event or simply a well positioned exhibition stand, our business development team will tailor the right package for you. We do everything we can to help you get your marketing message across and also to benchmark the return on your investment.

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reference: CFPE200916

Call us on +44 (0) 20 7164 6582 or email [email protected] to ﬁnd out more

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12.30 LUNCH BREAK & NETWORKING

AGENDA

13:30 IFRS 9 expected credit loss model – a supervisory perspective

• Impacts for credit risk management • Main supervisory issues and concerns • Key aspects of the Basel guidance on accounting of expected credit losses
• Potential effects for regulatory measures

Guido Sopp, Accounting Expert, Austrian Financial Market Authority

DAY ONE 20 SEPTEMBER

08.15 REGISTRATION & COFFEE 08.35 CHAIR’S OPENING REMARKS

PANEL DISCUSSION

08:45 Interpreting the standards set and understanding principle based terms

• Implementation in practice

• Deﬁning terms of principles

14:00 Expected loss model for impairment accounting: Real challenges in the journey towards compliance & beyond

• IASB’s IFRS 9 Impairment Accounting Approach: Rocky road ahead!

• Non-Convergence between IASB and FASB: Adding fuel to ﬁre! • Transition from IAS 39 to IFRS 9: Are banks ready for the ﬁrst mile stone?
• IFRS 9 knowledge pool: Slowing down the pace?

• Cross functional alignment: Key to Success!

• IT Solutioning: Is this an opportunity to overhaul systems?

Srinivasan Varadarajan, Global Head – Banking & Financial

Services Practice, Tata Consultancy Services

• Measurement for principles • Meeting regulatory expectations

Claudia Eusebio, Director, Accounting Policy & Advisory

Group, Deutsche Bank

Wolfgang Reitgruber, Deputy and FVP in Group Credit Risk

Modelling, UniCredit S.p.A.

Dooshyant Beekarry, Senior Vice President, Accounting Policy, EMEA Finance, Citigroup Christian Duesterberg, Head of Risk Methods & Models,

Erste Group Bank

DOUBLE SESSION

09.30 Understanding the broader implications of the

IFRS 9 classiﬁcation and measurement approach

14:30 The practical implications of building provision models

with ﬂexible parameters for determining expected losses

• Effect on balance sheet • Differences between Basel & IFRS • Accounting for staging parameters • Calculating expected credit loss models • Parameters in determining PD on lifetime view • Local GAAP versus IFRS

• Stressing asset classiﬁcations • Mapping to new classiﬁcations

• Impact on business model • SPPI: Fair value criteria & amortised cost

Claudia Eusebio, Director, Accounting Policy & Advisory

Group, Deutsche Bank

Stuart Preston, Project Manager, IFRS 9 Classiﬁcation and

Measurement, Deutsche Bank

Oliver Fiala, Head of Group Credit Risk, Volksbank

15.00 AFTERNOON REFRESHMENT BREAK & NETWORKING
10.30 MORNING REFRESHMENT BREAK & NETWORKING

15:30 Implementing IFRS9 impairment – key challenges and collected impressions
11:00 Reviewing the secondary impacts on other business areas of implementation of IFRS 9 requirements

• Integration with other areas:

• BCBS 239; forecasting; stress testing; models and processes

• Third order impacts: Credit risk management, pricing • Capital impact/management • Impact on business decisions • Effect on challenger banks

Christian Duesterberg, Head of Risk Methods & Models, Erste

Group Bank

• Overall process and IT challenges • Staging criteria

• POCI and modiﬁcations

• Impairment of securities

• PD proﬁles for ECL modeling

• Key success factors gathered from IFRS 9 implementation projects

Lars Meyer, Senior Manager, zeb

16:00 Embedding IFRS 9: Developing the impairment operating model end to end

• Documenting the ‘As is’ and designing the ‘To be’

• Developing effective and efﬁcient governance across business, risk and ﬁnance functions.

• Integrating IFRS 9 Impairment Models into the operating model • Developing/integrating systems, data and control solutions. • Documentation requirements, upskilling and communications.

Carol Lynch, Head of Impairment Analysis & Reporting, IFRS 9 & Impairment Unit, Bank of Ireland

11:30 Adapting internal IT and data processes to accommodate the data requirements across IFRS 9 requirements

• Organisation of data • Extension of data sources • Using data across jurisdictions and formats • Provisioning revolving products under IFRS 9

• Compatibility with BCBS 239 data requirements

Kally Dilip, IFRS 9 Programme Manager, Group Finance,

Lloyds Banking Group

16:30 Challenges for measuring lifetime PDs on retail portfolios

• Review of possible approaches • Setting modeling standards • Cure rate modeling

12:00 Interdependencies between IFRS 9 Impairment and regulatory capital

• How does (Live time) ECL effect regulatory capital?

• Similarities and differences between regulatory ECL and IFRS 9
ECL

Vivien Brunel, Head of Risk & Capital Modelling, Societe Generale

• Expected credit loss shortfall and IFRS 9 – a possible scenario? • Can IFRS 9 ECL improve the regulatory capital ratio?

Andreas Huthmann, Member of The Board, FAS AG

17.00 CHAIR’S CLOSING REMARKS 17.10 END OF DAY ONE & DRINKS RECEPTION

AGENDA

DAY TWO 21 SEPTEMBER

the water…”: The strategic impact of IFRS 9
08.50 CHAIR’S OPENING REMARKS

•••••
Complexity, opacity, volatility and incomparability: How does

the investor market view IFRS 9?

09.00 Tackling the disclosure requirements of IFRS 9

Procyclicality: Why do some people think IFRS 9 is not

procyclical?

••••••
Building capability and frameworks What disclosures say about business Data sets - what they will look like Governance
More LEL, less UL: How does IFRS 9 impact regulatory

solvency?

Good business made to look bad: Which businesses will be

impacted most by IFRS 9?

Hedge and Churn: What can be done to mitigate the negative

impacts of IFRS 9?

Reporting multiple scenarios Explaining to shareholders, regulators and analysts

Neil Wannop, Head of Accounting Development, Lloyds

Banking Group

Adrian Docherty, Head of Bank Advisory, BNP Paribas

DOUBLE SESSION
PANEL DISCUSSION

13.45 Effect of IFRS 9 on business behaviour and running of the business
09.30 Developing multiple forward looking scenarios as required under IFRS 9 calculations

••••••••
Early engagement with business Embedding in business Management understanding Larger data requirements Governance structure What businesses IFRS 9 will encourage or penalize Capital effects IFRS 9 capital or Basel
••••••
Governance structure to ensure common usage Economic scenarios accuracy Comparability across banks of internal scenarios Capacity to operate under multiple scenarios Distinguishing uncertainty over loss projections Probability weighting of IFRS 9 scenarios

Alan Burke, Head of Risk Measurement, Santander Vivien Brunel, Head of Risk & Capital Modelling, Societe Generale
Julian Parkin, Head of Regulatory and Statuary Portfolio,

Finance Change, Royal Bank Of Scotland

Samantha Cunningham, Head of Impairment – IFRS 9 Project, AIB

10.15 MORNING REFRESHMENT BREAK & NETWORKING 10.45 Implementing a forward looking view of impairment to align with economic forecasts
14.45 AFTERNOON REFRESHMENT BREAK & NETWORKING

•••

•••••
Forward looking parameters

15.15 Integrating risk and ﬁnance systems to achieve an

Looking across jurisdictions

aligned IFRS 9 process

Stressing scenario and taking average

Opportunity to tweak results - accuracy?

Fitting regulatory stress tests into an IFRS 9 framework One year PD is lifetime PD
• Contrasting existing and IFRS9 compliant provisioning • Comparing Impairment in Risk and Accounting systems • Harmonizing Data Inputs to Risk and Accounting systems

• Creating an integration team across risk, ﬁnance, treasury and

business streams

• Creating a ﬂexible process that can adapt and learn from

experience.
Can you amend existing IRB models How non IRB banks approach IFRS 9 I year and lifetime provisions

Diana Kapsa, Head of Credit Methodology Retail, UBS

Brandon Davies, Board Director, Obillex Limited, Former Head of Market Risk, Barclays

11.15 Data governance and end-to-end automation:

Leveraging IFRS 9 technology to beneﬁt the business

CLOSING PANEL DISCUSSION

validation Data governance: Data journeys, optimised data lineage, data visualisation End-to-end automation: Industrialising the process Leveraging technology to meet IFRS 9 requirements and gain competitive advantage

15.45 Reviewing progress as the industry looks towards parallel runs

•
• Additional disclosures by year end

• Producing robust numbers
•

•
• Reviewing how long to conduct parallel runs

• Impact on ﬁnancial statements

• Market changes

Diana Kapsa, Head of Credit Methodology Retail, UBS Dooshyant Beekarry, Senior Vice President, Accounting Policy, EMEA Finance, Citigroup
Sufyan Khan, Head of Pre Sales EMEA, AxiomSL

11.45 Consistency of IFRS 9 requirements with Basel III

••

Challenges in Credit Risk Steering

16.30 CHAIR’S CLOSING REMARKS & END OF SUMMIT

IFRS 9 and Basel models – convergence or divergence?

Introduction of impact risk Calibration of IFRS 9 impairment

IFRS scenario management – to back test or not?

BRING THE TEAM

Wolfgang Reitgruber, Deputy and FVP, Group Credit Risk

Modelling, UniCredit S.p.A.

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