Basel III programme

Basel III Final Rules: Liquidity & Capital Implementation

Basel III final rules: Liquidity and capital implementation

Confirmed speakers:
Puay Tin Teo, Executive Director CIB Structural Initiatives, STANDARD CHARTERED BANK
Rajesh Surendiran, Head, Liability & RWA Optimisation, STANDARD CHARTERED BANK

08:30

Registration

09:00

Liquidity rules in the overall regulatory framework

  • A historical perspective of liquidity rules
  • Definition of LCR - How do different jurisdictions implement the LCR?
  • Further development around liquidity ruling
  • Impact on financial markets
  • Liquidity versus capital

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

Morning coffee break

15:00

Liquidity reporting requirements and technical considerations

  • Reporting: Date and frequency
  • Daily calculation requirements
  • Data infrastructure
  • Data needs and reporting analytics

16:30

Leverage ratio: compliance and implementation

  • Definition, objectives and implementation timeline
  • Supplementary Leverage Ratio (SLR) and Enhanced Supplementary Leverage Ratio (ESLR)
  • Calculation methodology : Capital measure, total leverage exposure
  • Reporting
  • Public disclosures
  • Industry impacts, challenges and concerns

17:30

End of day 1

Confirmed speakers:
Puay Tin Teo, Executive Director CIB Structural Initiatives, STANDARD CHARTERED BANK
Rajesh Surendiran, Head, Liability & RWA Optimisation, STANDARD CHARTERED BANK

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

10:00

Morning coffee break

10:30

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

11:30

Large Exposures

  • Basel iv impact on large exposures
  • Coverage and calculation of large exposures
  • Large exposure reporting requirement
  • Large exposure limit
  • Treatment of specific exposure types

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

  • Can LCR and LR/SLR interact with unintended consequences for systemic risk?
  • New leverage rules limiting market trading liquidity, even before any stress
  • Unforeseen interactions, replaying the financial crisis, further burdening central banks
  • Governance and impact on business operations

17:00

End of training course