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Basel III Summit:pre-conference programme, 4th April, Brussels
08:00 Registration and refreshments
08:50 Chairman’s opening remarks
09:00 KEYNOTE ADDRESS: Basel III and beyond
Stefan Walter, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
09:40 Presentation: Industry update on Basel III approach to bank capital in the trading book
- Overview of the new market risk regime
- Pillar One Aspects:
Implementing the Incremental Risk Charge
Implementing Stress Value at Risk
- Pillar Two Aspects:
Stress testing
Risk Model Validation
- Implications from the Impact Studies
- What are potential incentives?
Peter Quell, Team Head Portfolio Analytics, DZ BANK AG
10:20 Regulators’ roundtable discussion: Supervisory guidance and expectations during implementation period
- Implementation timetable - how will the EC interpret the BIS guidelines?
- Clarification of definitional changes - the buffer approach and the role of Pillar II
- How will the counter-cyclical buffer work in practice? Co-operation between home/host supervisors for global banks, the impact of different national starting points and co-ordination within the Euro-zone
- What criteria will be used to designate systemically important institutions and what additional measures will be expected of them? Capital surcharges, contingent capital, bail-in debt? Global vs local systemically important institutions
- Development of the recovery and resolution approach
- How will the leverage ratio be applied in practice?
- Is there a risk of double-counting across the various capital requirements?
MODERATOR: Duncan Wood, Deputy Editor, RISK MAGAZINE
Simon Hills, Executive Director, BRITISH BANKERS' ASSOCIATION
Mario Nava, Head of Banking and Financial Conglomerates Unit, EUROPEAN COMMISSION
Stefan Walter, Secretary General, BASEL COMMITTEE ON BANKING SUPERVISION
11:00 Morning break
11:30 Presentation: Industry update on Basel III approach to liquidity
- Components of liquidity coverage and net stable funding ratio
- Calculation and implementation
- Implication of the Business Model (example: Transaction Banking)
- Outlook
Christian Goerlach, Director/Head of Asset & Liability Management , Europe, GTB, DEUTSCHE BANK AG
12:10 Bank practitioners’ roundtable discussion: Overcoming the key challenges to Basel III implementation
- Analysing and managing the impact of Basel III on a business line and firm-wide basis
- Managing the extended transition period for both capital and liquidity
- Practical implementation of living wills in the event of failure – managing the risk of double counting and solo capital issues
- What will be the practical impact of the provisions on bail-in capital?
- Use of contingent capital instruments
- CVA methodology for counterparty credit risk
- How will differences in implementation of the rules both within Europe, and between Europe, the US and Asia impact global banks?
MODERATOR:Bill Rickard, Head of Regulatory Development, Group Treasury, ROYAL BANK OF SCOTLAND
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
Evgueni Ivantsov, Head of Portfolio Risk and Strategy, HSBC
Arno Kratky, Head of Liquidity Analytics, COMMERZBANK AG
Andrei Solomin, Global Head Risk Management, BNP PARIBAS FORTIS
13:00 Lunch
14:00 Bank case study: Conducting an impact assessment and preparing for implementation
- Future Capital Requirements and Business Realignment
- Impact on Future Revenues
- Managing and Mitigating the Impact of Basel III
- Management Information and System Requirements
Alistair McLeod, Head of Portfolio Analytics, BARCLAYS CAPITAL
14:40 Panel discussion: Going to the market - Incremental capital raising strategies
- What level of capital will the market and investors expect from banks?
- Impact of the new rules on future bank business models and their profitability - how will investors view this?
- How does the buy-side view bank paper and will they continue to buy it?
- Evaluating the appropriateness of different debt and equity capital raising options
- The role of synthetic capital as an alternative to physical risk reduction strategies
- The role of hybrid capital instruments including contingent capital bonds
MODERATOR: Georg Grodzki, Head of Credit Research, LEGAL & GENERAL INVESTMENT MANAGEMENT
Russell Deyell, Head of Group Capital Management, LLOYDS BANKING GROUP
Sanjay Sharma, Chief Risk Officer, Global Arbitrage & Trading, RBC CAPITAL MARKETS
15:20 Afternoon break
15:50 Presentation: New developments in credit portfolio modelling, an update
- Incremental risk charge
- Multistep-Multistate models and correlations
- Integration of spread volatility
- Look through risk measures for CDOs in a portfolio
Ludger Overbeck, Head of Quantitative Credit Portfolio Management, COMMERZBANK
16:30 Capital and liquidity Q&A session/workshop
MODERATOR: Arno Kratky, Head of Liquidity Analytics, COMMERZBANK AG
Russell Deyell, Head of Group Capital Management, LLOYDS BANKING GROUP
Bill Rickard, Head of Regulatory Development, Group Treasury, ROYAL BANK OF SCOTLAND
17:00 Chairman’s closing remarks
