Date: 16 November 2021
Time: 3pm – 5pm | Location: Bank of England Offices and Video meeting
Minutes
Minute 1 – Introduction and Minutes
The minutes of the meeting of 14 September 2021 were approved.
Minute 2 – Discussion on SA-CCR
Ferdisha Snagg from Cleary Gottlieb Steen & Hamilton LLP spoke about the Standardised Approach for Measuring Counterparty Credit Risk (SA-CCR). She explained that the SA-CCR, which was implemented in the EU via CRR II, is a measurement of counterparty credit risk that calculates the exposure at default of OTC derivatives, exchange-traded derivatives, and long settlement transactions. Ferdisha explained that the SA-CCR replaces both the Current Exposure Method and the Standardised Method in the capital framework and removes the Internal Model Method shortcut method from the Basel Capital adequacy framework. Ferdisha went on to detail how to calculate exposure at default under the SA-CCR and to summarise specific FX considerations with regards to SA-CCR.
Minute 3 – Operational resilience
Kate Sumpter and John Budd from Allen & Overy LLP discussed the operational resilience requirements to which firms are subject, including Principle 3 of the FCA’s Principles for Businesses, rules in SYSC (Senior Management Arrangements, Systems and Controls), and Principles 32 and 33 of the FX Global Code and new rules published by the PRA and FCA in March 2021 which supplement existing operational resilience requirements. Both outlined the firms in scope of the rules including clarification from the FCA on the applicability to third country branches.
John and Kate went on to summarise the steps required of firms under the new regime, including the need to identify important business services, setting impact tolerance and to carry out scenario testing. Furthermore, John and Kate outlined key definitions, including the FCA’s definition of client and the implications this has on FX activity.
Minute 4 - Any other business
Dates for the 2022 FXJSC meetings will be announced in due course.
Attendees
Sharon Blackman (Chair) - Citigroup
Jonathan Grant (Secretary) - Bank of England
Simon Goldsworthy - Deutsche Bank
David Harris - Financial Conduct Authority (FCA)
Tamsin Rolls - JP Morgan
Baljit Saini - NatWest
Rakesh Shah - Standard Chartered
Simon Helm - TP ICAP
Nasia Pachiti Pallikaropoulou – Barclays
Diane Bouwmeester – London Stock Exchange Group
Gaynor Wood – CLS
Harkamal Atwal – HSBC
FXJSC Legal Sub-Committee Secretariat
Zara Coe – Bank of England
Matthew Hartley – Bank of England
Jeremy Pitblado – Bank of England
Guest attendees
Ferdisha Snagg - Cleary Gottlieb Steen & Hamilton LLP
Kate Sumpter– Allen & Overy LLP
John Budd – Allen & Overy LLP
Apologies
Dan Parker - Goldman Sachs
Nimisha Kanabar - Morgan Stanley
Richard Lamb - UBS
Sunil Samani - XTX Markets
Jateen Shah - Bank of America