Programme

Programme

Programme

Basel III final rules: Liquidity & Capital implementation
Day 1
Wednesday, 28 November 2018

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

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

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

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

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

17:00

End of day 1 

Basel III final rules: Liquidity & Capital implementation
Day 2
Thursday, 29 November 2018

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

10:30

Morning coffee break

11:00

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

12:30

Lunch

13:30

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

15:00

Afternoon coffee break 

15:30
 

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

17:00

End of training course