The Basel Consolidated Framework

Monday, June 29

09.00 - 09.10 Welcome

09.10 - 12.15

Introduction

  • Historical Background
  • Basel I, Basel II and Basel III
  • Need for Consolidation

The Standards

Scope of application of the Basel Framework

  • Banks covered
  • Determining global systemically important banks (G-SIBs)
  • D-SIBs

Definition of Capital

  • Tier 1, Tier 2, regulatory adjustments and prudential valuation

Risk based capital

  • Risk weighted assets
  • The output floor for RWA based capital requirements
  • Banking Book/Trading book boundary including deep dive into FRTB revisions
    • Deep dive on BB/TB
  • Capital Buffers

12.15 - 13.15 Lunch

13.15 - 17.00

Capital requirements for credit risk

  • Standardised approach
  • IRB
  • Counterparty credit risk
    • SA-CCR
    • IMM
    • CVA Capital
    • Exposures to CCPs
      • Deep dive into revised framework and exposures to CCPs

Tuesday, June 30

09.00 - 12.15

Capital requirements for market risk

  • Standardised approach
  • Simplified standardised approach
  • Internal models
  • Model validation (Backtesting and P&L Attribution)
  • Computing capital
    • Deep dive into forthcoming revised market risk standards (FRTB)

12.15 - 13.15 Lunch

13.15 - 17.00

Capital requirements for operational risk

  • BIA
  • Standardised Approach

Leverage ratio

  • BCBS web based

Liquidity coverage ratio

  • Deep dive

Net stable funding requirements

  • Deep dive

Large exposures

  • Introduction
  • BCBS web based

Wednesday, July 1

09.00 - 12.15

Margin requirements for non-centrally cleared derivatives

  • Deep dive

The Supervisory Review Process

  • Pillar 2
  • Four principles
  • Risk management
  • Interest rate risk in the banking book
    • Deep dive into interest rate risk in the banking book (IRRBB)

12.15 - 13.15 Lunch

13.15 - 17.00

Disclosure requirements

  • Walk through requirements
    • BCBS web based

Core principles for effective banking supervision

  • Introduction to principles
    • Summary and/or BCBS web based

Implementation of the Basel Framework

  • Regulatory Consistency Assessment Programme (RCAP)
  • Semi-annual reports on members' progress in implementing Basel standards

Termination and Evaluation of the Seminar

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