Pre-conference seminar - 2 March 2011

An essential one day course developed in association with the IACPM, presented by senior practitioners from major financial institutions on the basics of Credit Portfolio Management (CPM). The course is relevant for:

Companies that are thinking about or are in the process of setting up a dedicated CPM unit
Companies that have established a CPM to provide an efficient and comprehensive way to orient and train staff new to the practice
Existing CPM practitioners who want to review the basic components of establishing, managing, and evaluating a CPM function

08.30 Registration and refreshments

09.00 Business models for credit portfolio management

Common business models
Organizational structures and mandates in practice
Issues faced in setting up a credit portfolio management function
Applying credit portfolio management business models in South Africa

Rautie Nel, Head of Wholesale Credit Portfolio Management, RAND MERCHANT BANK

10.00 Liquidity management and credit portfolio management

Integrating liquidity management with credit portfolio management
Impact of the credit and liquidity crisis
Implications for practical decision making
What are best practices?

Pieter van der Merwe, Head of Credit Portfolio Management, ABSA CAPITAL

11.00 Break

11.30 Building the bridge between Internal Capacity Adequacy Assessment Process (ICAAP) and credit portfolio management decision making

Key elements of the capital framework
Impact and implications for credit portfolio management
Setting parameters for credit portfolio management in practice
Impact and implications

Tony Johnson, Head of Credit Portfolio Management, NEDBANK GROUP

12.30 Lunch

13.30Counterparty risk Credit Value Adjustment (CVA): Introduction

Unilateral and Bilateral CVA
Default modeling
Exposures
Impact of volatilities and correlations
Subtleties in Wrong way risk profiles
Netting and Collateral in CVA calculation

David Murphy, Head of Risk and Reporting, INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION

14.30 Credit portfolio management models in practice: Mark to market and valuation

Accounting
Loan valuation and analysis: Marking the loan portfolio to market
Key determinants to developing rational hedge ratios
Assessing the performance of an ACPM unit

Steven Buck, Former Member of IACPM Board

15.30 Break

16.00 Panel discussion: Trends in credit portfolio management

State of the Practice: Results of IACPM’s 2011 Global Principles and Practices Survey
Credit portfolio management success stories and lessons learned
Impact of Basel III: What investors and corporate treasurers need to know
New areas: Private credit, counterparty risk and credit value adjustment

Moderator: Marcia Banks, Associate Director, IACPM
Steven Buck, Former Member of IACPM Board
Tony Johnson, Head of Credit Portfolio Management, NEDBANK GROUP
Rautie Nel, Head of Wholesale Credit Portfolio Management, RAND MERCHANT BANK
Pieter van der Merwe, Head of Credit Portfolio Management, ABSA CAPITAL

17.00 End of seminar