JKR16

Mastering Basel III Capital – Calculating Capital and RWAs in Practice

April 15 – 16, 2019 • Toronto

This two-day intensive seminar will give you a deep understanding of the Basel III capital ratios framework. Two features of this course differ from other events: first, concepts are mastered through a multitude of working examples and real life case studies. Second, it addresses the most common challenges faced by financial institutions in performing these calculations. Third, several case studies of actual examples are covered to stimulate discussion.

CPE Hours: Course – 12 hours

This two-day intensive seminar will give you a deep understanding of the Basel III capital ratios framework. Two features of this course differ from other events: first, concepts are mastered through a multitude of working examples and real life case studies. Second, it addresses the most common challenges faced by financial institutions in performing these calculations. Third, several case studies of actual examples are covered to stimulate discussion.

The mechanics of credit risk RWAs are covered in detail, including each category under the standardised approach, the mechanics of the IRB approach and the treatment of off-balance sheet exposures. Particularly singled out are the regulatory treatments of retail/commercial real estate financings and the utilization of credit risk mitigation across both approaches. Finally, capital requirements related to counterparty credit risk and securitizations are addressed.

Market risk is covered explaining the boundary between trading and banking books, the application of the standardized approach to interest rate risk (through a comprehensive working example) and the mechanics of the internal models approach (through a real case study).

The mechanics and challenges of the three approaches for operational risk are covered analysing their practical application by three banks. Conduct risk and operational risk provisioning are particularly emphasised due to their current scrutiny by supervisors.

The numerator (capital levels) is covered dissecting the components of CET1, AT1 and Tier 2 capital and their multiple deductions (intangibles, minority interest, investments in financial and non-financial institutions, deferred tax assets, prudent valuation adjustments and so on), with special emphasis on the accounting recognition of these items.

Registration Fees

Registration
Options
Before
February 28, 2019
Before
March 14, 2019
After
March 14, 2019
Basel III Capital  $2,199.00
HST
$2,299.00 +
HST
$2.399.00 +
HST
Basel III  + 1 Seminar $3,299.00 + HST $3,399.00 +
HST
$3,499.00 +
HST
Basel III + 2 Seminars $4,399.00 + HST $4,499.00 + HST $4,599.00 + HST

Our HST Number: R862562543

Group Discount: Fourth Delegate FREE!

If three individuals from one organization register at the same time, a fourth person may also be registered to attend free of charge. The free registration must be of equal or lesser value than the paid registrations. Please contact us to arrange for attendance of larger groups.

Your Registration Includes

Registration fees include all conference materials, continental breakfast, lunch and refreshments. Parking and accommodation are not included.

FREE CONFERENCE WORKBOOK

As a registered delegate, you will receive a complete set of conference materials. These materials will serve as an invaluable guide, both during and after the event. The workbook will be distributed on the morning of the first day beginning at 8:00 a.m.

Cancellation Policy

Substitutions may be made at any time. If you are unable to attend, please make cancellations in writing and fax to (416) 504-6978 prior to 5:00 p.m. on March 29, 2019. A credit voucher will be issued to you for the full amount, redeemable against any other Acumen conference. If you prefer, you may request for a refund of fees paid less $250 administration fee. Registrants who cancel after above date will not be eligible to receive any credits or refunds and are liable for the entire registration fees.

Confirmed delegates who do not cancel before  March 29, 2019, and fail to attend will be liable for the entire registration fees.

Acumen Information Services reserves the right to change the date, location and content for the event(s) offered herein without further notice and assumes no liability for such changes.

Early Bird Registration Discount

Register prior to to March 14, 2019, and you will obtain the following additional savings:

Second delegate: $100.00  Discount
Third delegate: $150.00 Discount
Fourth delegate: FREE

Please indicate that you are eligible for this offer on the registration page or your registration form if you are mailing in your registration.

Location, Accommodation

The venue for this event will be at a convenient location in Downtown Toronto. Venue information and special conference pricing details will be provided upon confirmation of the venue.

Delegates can register at the Acumen service desk beginning at 8:00 a.m. on the morning of the first day of the conference. Registration fees do not include hotel accommodation.

Program - Day One

Introduction

  • Three Pillars framework
  • Capital ratios: CET1, Tier 1 and total capital
  • Pillar 1 vs Pillar 2 capital requirements
  • Basel III’s risk weighted assets framework
  • Case study: Canadian banks regulatory capital and RWAs composition
  • Regulatory vs. accounting consolidation perimeter

The Denominator – Risk-weighted Assets

Credit Risk

  • Standardized approach
  • Working examples on the standardized approach
  • Foundation IRB and advanced IRB approaches
  • Working examples on the IRB approach
  • Treatment of retail and commercial real estate financing
  • Case study: Limitations of the IRB approach
  • SME corporates
  • Off-balance sheet items
  • Working example: credit cards
  • Investments in securitizations
  • Investments in investment funds
  • Investments in equities
  • Specialized lending

Special Topics

  • Link with IFRS 9’s treatment of impairment
  • Treatment of leases accounted for under IFRS 16
  • Default definition and treatment under the standardized and IRB approaches
  • Large exposures: Intragroup exposures
  • Large exposures: Non-intragroup exposures

Credit Risk Mitigation

  • Financial collateral: Simple and comprehensive approaches
  • Eligible collateral
  • Working examples on use of financial collateral
  • Guarantees and credit derivatives
  • On-balance sheet netting

Repo-style (Securities Financing) Transactions

  • Financial collateral simple approach
  • Financial collateral comprehensive approach
  • VaR approach
  • Working examples

Securitizations

  • Significant risk transfer
  • Treatment of traditional securitizations
  • Treatment of synthetic securitizations
  • Case study: HSBC’s traditional vs. synthetic securitizations

Market Risk: Fundamental Review of the Trading Book

  • Trading book vs. banking book
  • Market risk exemption
  • Standardized approach
  • Working example: Interest rate position risk under the standardised approach
  • Case study: UBS use of the internal models approach (IMA): VaR, stressed VaR (sVaR) and default risk charge (DRC)

Counterparty Credit Risk (CCR)

  • CCR: Standardized and IMM approaches
  • CVA: Standardized and advanced approaches
  • Cleared transactions

Operational Risk

  • Operational risk
  • Basic indicator approach
  • Case study: RBS’ use of the standardized approach
  • Case study: Deutsche Bank’s advanced measurement approach (AMA)
  • Case study: Barclays’ conduct risk and accounting provisions

Introduction to Pillar 2 requirements

  • Risks insufficiently covered in Pillar 1
  • Risks not covered in Pillar 1
  • Stress testing

This course runs from 9:00 a.m. – 4:30 p.m. including lunch as well as morning and afternoon breaks.

Note: The accounting and regulatory capital considerations set out in this seminar are based on the instructor’s interpretation of IFRS and Basel III. Institutions that the author is affiliated to can therefore by no means be associated with his interpretation.

 

Program - Day 2 

The Numerator: Own Funds

Review

  • Basel III – Pillar 1, Pillar 2 and Pillar 3
  • Minimum capital requirements and the role of the capital buffers
  • The capital conservation buffer
  • The countercyclical buffer
  • The systemic risk buffer(s)

Components of CET1 Capital

  • Eligibility requirements
  • Major components of CET1 capital
  • Deductions from CET1 capital

Additional Tier 1 and Tier 2 Capital

  • Eligibility requirements
  • Write-down vs. convertible CoCos
  • Maximum distributable amount (MDA)
  • Case study: Deutsche Bank’s write-down CoCo

Goodwill and Intangibles

  • How is goodwill generated from an accounting perspective
  • CET1 capital and intangibles. Implications of goodwill impairments
  • Case study: capital implications of Danske Bank’s goodwill impairment charges

Minority Interests

  • How are minority interests recognised from an accounting perspective
  • Implications for CET1 capital
  • Case study: Banco Santander’s repurchase of minority interests in Santander Brasil

Investments in Capital Instruments of Financial Institutions

  • Accounting vs. regulatory consolidation
  • Treatment of insurance subsidiaries
  • Significant vs. non-significant equity investments in financial institutions
  • Worked example: Calculation of investments in capital instruments of financial institutions

Equity Investments in Non-Financial Entities

  • Standardised approach vs. IRB approach
  • Treatment of expected losses

Other Deductions

  • Prudent valuation adjustments
  • Cash flow hedges exclusion
  • Deferred tax assets
  • Case study: Cooperative Bank’s liability management exercise

This course runs from 9:00 a.m. – 4:30 p.m. including lunch as well as morning and afternoon breaks.

Note: The accounting and regulatory capital considerations set out in this seminar are based on the instructor’s interpretation of IFRS and Basel III. Institutions that the author is affiliated to can therefore by no means be associated with his interpretation.

 

Ramirez 3-43Course Leader

Juan Ramirez

Juan Ramirez is a senior professional at Deloitte in London, working on complex Basel III capital and IFRS 9 accounting situations. Mr. Ramirez has advised many banks on implementation and optimisation of regulatory captal and IFRS 9.

With an MBA from University of Chicago, Mr. Ramirez moved to London to work at the commodities trading desk at JPMorgan and later Lehman Brothers, Barclays Capital, Banco Santander and BNP Paribas. He has devoted more than 20 years to marketing structured derivatives solutions across all types of market risk.

Mr. Ramirez is the author of  “Handbook of Basel III Capital”, “Accounting for Derivatives” and “Handbook of Corporate Derivatives and Equity Capital Markets”.

Who Should Attend

This conference has been specifically designed for, and in consultation with, experts in accounting for financial institutions as well as standard setters. The event has been developed with the professional responsibilities of our audience as our focus. As well, auditors, financial advisors, analysts, lawyers and other advisory professionals would benefit from staying current on the information provided at this timely event. In particular, our experience indicates that individuals in the following positions would mostly likely be in attendance:

  • Chief Financial Officers
  • Chief Risk Officers
  • Chief Compliance Officers
  • VPs, Directors and Managers
    • Finance
    • Accounting
    • Financial Reporting
    • Regulatory Compliance
  • Controllers
  • Internal Auditors
  • Audit Committee Members
  • Corporate Counsel
  • Risk Managers
  • Audit and Assurance Professionals
  • Industry Regulators and Standard Setters
  • Financial Analysts
  • Corporate and Securities Lawyers

Comments from Past Delegates to Acumen Conferences

"…provided a very good high level summary of the key impacts of IFRS to financial institutions.”

Associate Chief Accountant, Bank of Montreal

“Presentations were clear even though topics were complex.”

Chief Financial Officer, Société Générale

“Best conference I’ve ever attended.”

Senior Manager, Enterprise Hedge Accounting and Derivative Reporting, Royal Bank of Canada

“Suffice it to say that the conference delivered on my expectations…A lot has been taken away from this conference…$ well spent…”

V.P. Risk Management Advisory, New Brunswick Credit Union Stabilization Board

“Finally a course that communicates true technical knowledge”,

Director, Operations Finance NAV Canada

“This seminar was fantastic – very informative and has some extremely interesting and knowledgeable speakers.”

Manager, Corporate Accounting Brascan Power

“Great balance between theory and practical application/issues. Perfect level of detail…”

Treasury Manager CHC Helicopter Corporation
“Speakers were very knowledgeable, materials were current…examples and materials were relevant and well presented.”

Derivatives Accountant, Agrium Inc.

To obtain a copy of the brochure, please send a request to the email below or click on the image of the brochure on this page.

e-mail at info@acumeninformation.com

Submit Questions

To submit questions to be answered at the conference, please send us an email at this address: at info@acumeninformation.com

Sponsorship Information

Limited sponsorship and exhibition options are available for this event, including

• Cocktail reception
• Luncheon sponsorship
• Breakfast sponsorship
• Booth/exhibit space

For more information, or to check availability,
please contact us by phone at (416) 504-6952
or by e-mail at info@acumeninformation.com