Moneta●
TRAINING IDEAS
MODULES
Basel IV
A 12 module program to provide a detailed overview of Basel IV, it’s impact on bank’s balance sheet and what bank’s are doing to prepare for it.
In the wake of the global financial crisis and in response to the lessons learnt during it, Basel III was introduced requiring banks to hold far higher quality of balance sheet resources than ever before. Even before Basel III was fully adopted it was followed by further regulation covering areas such as gone concern capital, capital charges traded and non-traded risk which initially informally but more recently formally in certain regions (e.g. CRD V/CRR II in Europe) was/is seen as a blue print for Basel IV.
Course outline
Module:
1
Recap on ambitions and impact of Basel III
Basel III – Raising Quality of Balance sheet and ending ‘TBTF’
Impact on Capital
Impact on Liquidity
Linking Impact on Capital and Liquidity to RoE
What are banks doing to mitigate impact?
Module:
2
Overview of ‘Basel IV’
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‘Highlights’ and timelines
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Why the need for a fourth accord?
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What would be the impact of a fourth accord?
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Impact on Capital and Liquidity
Module:
4
Focus on Internal Ratings Based [IRB] Approach
Recap on IRB methodology
Current benefits of IRB
What is changing
When IRB can be used
Parameter Changes
Floors
Impact on benefits of IRB
Module:
6
Focus on Traded Risk
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Why the need for a Fundamental Review
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Recap of Basel II.5
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Issues with Basel II.5
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Highlights of FRTB
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Amendments to the standardised approach
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Capital against Expected Shortfalls
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Hard bordering of trading book and banking book
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Individual treatment of asset classes – holding periods etc
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Operational considerations
Module:
8
Interest Rate Risk in the Banking Book [IRRBB]
Rationale for BIS 368 – Update to Pillar 2 requirements
Recap on sources of interest rate risk in the banking book
Considering Equity and Earning measures
Economic Value of Equity [EVE]
Net Interest Margin [NIM]
In scope cash flows and treatment for time bucketing
Standardised stress tests
Module:
10
Focus on Net Stable Funding Ratio [NSFR]
Rationale for NSFR and how it works in harmony with Liquidity Coverage Ratio
Defining the Denominator – what qualifies as Required Stable Funding [RSF]
Defining the Numerator – what qualifies as Available Stable Funding [ASF]
Strategies to optimise compliance
Module:
12
Looking ahead - what has yet to come?
Banking in a Basel IV world – what can we expect
What are banks doing now to mitigate?
Linking to other global regulation – Dodd Frank, EMIR and Structural Reform
3 Days in 30 minutes – wrap and review of key messages
Module:
1
Recap on ambitions and impact of Basel III
Basel III – Raising Quality of Balance sheet and ending ‘TBTF’
Impact on Capital
Impact on Liquidity
Linking Impact on Capital and Liquidity to RoE
What are banks doing to mitigate impact?
Module:
3
Focus on Revisions to Standardised Methodology for Credit Risk
Treatment of Exposures to Banks
Treatment of Exposures to Corporates
Treatment of Exposures to Banks
Treatments of Exposures to Retail
Treatment of Exposures to Real Estate
Treatment of Credit Conversion Factors [CCF]
Module:
5
Focus on IFRS 9
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Overview of IFRS 9 – what’s new?
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Linking Accounting Regulation to Prudential Regulation
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The drivers of rising impairment under IFRS 9
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Impact on Standardised and Internal Ratings Based Banks
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The impact on stress testing and capital buffers
Module:
7
Focus on SA-CCR
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Overview of Standard Approach to Counter Party Credit Risk Management [SA-CCR]
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Recap on methodologies and rationale for change
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Breaking down the model
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Overview
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Calculation of Replacement Cost
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Calculation of PFE multiplier and add-on’s
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Operational impact and strategies to maxamise
Module:
9
Operational Risk and Impact on Capital
Defining Operational Risk
Challenges in predicting it
Challenges in quantifying loss
Previous approaches for measuring operational risk capital
Basic Indicators Approach (BIA)
Standardised Approach (STA)
Advanced Measures Approach (AMA)
Review of ‘Basel IV’/’CRDV’ amendments
Overview of Standardised Measures Approach (SMA)
Module:
11
Gone Concern Capital – MREL&TLAC
Defining Going and Gone Concern Capital
The concept and regulation of resolution
Minimum Requirement for Eligible Liabilities and Own Funds [MREL]
What are eligible and excluded liabilities
Impact – comparing to Going Concern Capital
Timelines
Dovetailing with Total Loss Absorbing Capacity [TLAC]
How, why and when resolution strategies vary – modified insolvency vs partial transfer vs Bail In