Capital Requirements Directive III and IV

Date: TBC

Accreditation: N/A

Full Fees: €900

Network Members Fee: €560

Programme overview

Most major banks are now compliant with the capital requirements of Base IIII and are preparing – some better than others – for the full impact of the imminent liquidity, leverage and long term funding source provisions. What next? What will be the continuing impact of these changes on the capital requirements and, more broadly, on the future business strategy of the bank? Did Risk Management have a good crisis? Many banks find their regulators are refusing to allow them to model credit risk at an advanced level.

CRD IV is now in full implementation mode with organisations discovering the implications and difficulties of executing the directive, while discussion is growing around the introduction of CRD V. This training course is designed to help financial institutions get to grips with these complex prudential rules and which aspects of the directive are likely to affect their organisations in the future.

Learning outcomes

  • Detailed understanding of CRD
  • How to apply CRD internally

Who is the course for

This course is suitable for all staff working in the banking and financial services industry

Course Content

Session 1: Introduction

  • Basel and its evolution
  • Vickers
  • GSIFI’s
  • IFRS9


Session 2: The Basel II/III agreements

  • Improving risk & asset management
  • Aligning regulation and economic realities
  • The technical challenges from a bank/regulators’ point of view
  • How much capital is sufficient capital
  • The 3 pillar regulatory structure

Practical examples/Case study

Session 3: Basel III in more depth

  • An overview of the new requirements
  • The new minimum capital requirement
  • Model Generated DDF & CCF
  • Capital conservation buffer
  • Countercyclical buffer
  • Counterparty credit risk
  • Liquidity risk management – LCR and NSFR
  • Timeline and transitional arrangements
  • Leverage Ratio

Practical examples/Case study

Session 4: CRD IV – Capital

  • An overview of the new requirements
  • The new minimum capital requirement
  • Model Generated DDF & CCF
  • What capital looked like before and after the crisis
  • Capital Adequacy Requirements
  • Tier 1 + Tier 2 Capital
  • How CRD IV is working alongside Basel III and other regulations

    Session 5 Capital Buffers

  • Capital Conservation Buffer
  • Countercyclical Buffer
  • Global Systematic Institution Buffer
  • Systematic Risk Buffer
  • Supervisory Buffer
  • Minimum requirement for own funds and eligible liabilities
  • Threshold Conditions
  • Stress Testing
  • Practical examples/Case study

    Session 6: Risk Weighted Assets

  • Calculating the minimum requirement for Tier 1 capital
  • Calculating the minimum requirement for CET 1
  • Total Loss-Absorbing Capacity
  • Session 7: CRD Impact on Liquidity

  • Liquidity Buffers
  • Liquidity Coverage Ratio
  • Net Stable Funding Ratio
  • Relationship between capital and liquidity
  • Liquidity Stress Testing
  • Practical examples/Case study

    Session 8: Leverage

  • Leverage
  • Reducing Leverage
  • Effectively minimalising balance sheet risks
  • ALM Management
  • Session 9: Counterparty Credit Risk

  • OTC Derivatives
  • CCP Exposures
  • Capital charge for CVA
  • How CRR impacts non-centrally cleared derivatives
  • Capital requirements for derivatives
  • Working alongside EMIR Reporting
  • Practical examples/Case study

    Session 10: Other Key Issues

  • The impact of the Capital conservation Buffer
  • The impact of the Countercyclical Buffer
  • Systemic Risk
  • G-SII/O-SII buffers
  • Pillar 2 buffer
  • Banks own buffers
  • Impact of all the above on different bank business/product lines
  • Impact of the above on long term (ECA backed) export finance
  • Total Loss Absorbing Capacity (TLAC)
  • Minimum Requirements for own funds and eligible liabilities (MREL)
  • Interaction of TLAC & MREL with other requirements/ratios
  • Liquidity Coverage Ratio (LCR) and its impact on long term (ECA backed) export finance
  • Net Stable Funding Ratio (NSFR)
  • Required stable Funding (RSF)
  • Impact of  NSFR & RSF on long term (ECA backed) export finance
  • Proposed capital floor and its interaction with CAR
  • Levergae Ratio (LR) -including EU proposals
  • How does LR differ from CAR
  • The impact of LR on long term (ECA backed) export finance

Section 11: Corporate Governance Framework

  • Transparency
  • Increase of Pillar 3 disclosures
  • Reducing excessive risk taking
  • Sanctions
  • Remuneration
  • PRA/FCA vs EBA Opinions

Practical examples/Case study

Session 12: Course Wrap Up and Open Forum

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