Programme

Programme

Programme

Day 1

08:30

Registration 

09:00

Loss-absorbing capacity (LAC) from a regulator’s perspective 

  • Minimum LAC requirements 
  • Capital and LAC 
    • Internal LAC requirement 
    • External LAC requirement 
  • Impact of LAC on the balance sheet 
  • LAC rules on local banks that are headquartered in other jurisdictions
  • Timeline for meeting LAC requirements

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK; Former Senior Manager, BANK OF ENGLAND 

10:00

Morning coffee break 

10:30

High quality liquid assets (HQLA) under LCR

  • What counts as HQLA and what are the operational requirements
  • Taking a closer look at HQLA sources
  • HQLA under the LCR framework
  • Run off assumptions for deposits and secured financing
  • Optimising relationships and gaining business value in the Basel III environment

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK; Former Senior Manager, BANK OF ENGLAND

12:00

Lunch 

13:00

Fundamentals in HQLA optimisation & advanced approach - active HQLA management

  • Net cash flows & meeting cash flow gaps
  • Availability of other sources of contingent funding
  • Active management explained
  • How to conduct ongoing evaluation of liquidity portfolio and adjustments
  • Using risk-based investing to balance risks
  • Balancing risk and rewards in increased asset diversification 
  • Taking into account a bank's specific restrictions and stress scenarios in strategic asset allocation 
  • Scenario analysis: optimisation and return enhancement through active management of liquidity portfolio

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK; Former Senior Manager, BANK OF ENGLAND

14:30

Afternoon coffee break 

15:00

IRRBB

  • New standardised framework for IRRBB
  • Governance and operating model around liquidity and treasury risk
  • Challenges on latest liquidity and treasury Risk focused area
  • Regulatory deadlines and imperatives

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

16:00

Capital adequacy for IRRBB

  • Internal limits on IRRBB exposures
  • Appropriate capital to cover potential losses from exposures to changes in interest rate
  • Measuring risk and assessing capital adequacy internally
  • ICAAP framework
    • Risk appetite
    • Capital stress testing

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

17:00

End of day 1 


Day 2

08:30

Registration 

09:00

Evolution of Basel Capital Standards from Basel I to Basel IV

  • Fundamental building blocks of Basel IV
  • Implementation timeline of Basel IV
  • Overview of risk-based and non-risk based measures in Basel IV construct
  • Overview of Impact of Basel IV capital measures on the industry
  • Overview of disclosure requirements

Kishore Ramakrishnan, Partner, TEMPLE GRANGE PARTNERS

10:30

Morning coffee break

11:00

Case Study: Interplay of LCR, NSFR, RWA and LR

  • Intended and unintended consequences of LCR, NSFR, RWA and LR
  • Understand impact on different banking business models
  • Case studies: ALCO management of investment bank vs universal bank balance sheets

Puay Tin Teo, Executive Director CIB Structural Initiatives, STANDARD CHARTERED BANK

 

Credit Risk RWA optimisation in the context of IRB and Standardised Approach

  • BCBS internal model suitability and parameterisation changes
  • Differences in using SA to calculate the remaining IRB exposures
  • Illustrative examples on RWA variability
  • Materiality assessment on process, systems, models and RWA engine updates to build internal models and adopt IRB
  • Contention on the aggregate IRB output floor and future outlook on IRB

Samir Jamal, Head of ERM Review Function, STANDARD CHARTERED BANK; Former Senior Manager, BANK OF ENGLAND

12:30

Lunch

13:30

Case Study: Interplay of LCR, NSFR, RWA and LR

  • Intended and unintended consequences of LCR, NSFR, RWA and LR
  • Understand impact on different banking business models
  • Case studies: ALCO management of investment bank vs universal bank balance sheets

Puay Tin Teo, Executive Director CIB Structural Initiatives, STANDARD CHARTERED BANK

15:00

Afternoon coffee break 

15:30

NSFR Practical Application

  • Calculation methodology: Liabilities and equity, required funding to fund assets
  • Extended stress scenario
  • NSFR funding : Funding stability considerations, ASF categories, RSF
  • NSFR challenges : Short term compliance cost
  • Distinction between NSFR and MSFR in applications
  • Effect on long term lending
  • Arbitrage

17:00

End of training course