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Finalization of the Basel Capital Rules: Overview & Implications

7 CPE Credit Hours Available

Thursday, November 16, 2017
Global Financial Conference Center
New York


The Basel Committee is in the process of finalizing the Basel III reform package, but has been delayed due to disagreements concerning the level of the floor and its impact. In the United States, the first U.S. Treasury report to President Trump recommends re-assessing the timing and calibration of key elements of the capital reforms. Meanwhile, Europe is moving ahead with a proposed implementation that diverges significantly from Basel. Against this backdrop of uncertainty, our expert line-up will offer an assessment of the areas which have been finalized, as well as an overview of those still under review.

They will also consider whether US regulators should front-run ongoing progress at the Basel level, what the potential consequences are and whether final Basel rules will be transposable in a consistent fashion globally. Delegates will be offered an overview of how the final Basel agreement is likely to impact US and global derivatives markets, and an insight into the areas still requiring recalibration.


8:15 AM


Registration and Continental Breakfast




9:00 AM


Introduction and Welcoming Remarks



Aaron Wishart, Director, Risk and Capital, ISDA




9:10 AM


Keynote Address



Alysa Shcherbakova, Senior Economist Quantitative Risk Management Section Supervision and Regulation, Federal Reserve Board




9:30 AM


The Fundamental Review of the Trading Book (FRTB)



  • Overview of the Final Basel FRTB Rules
  • New Standardized Approach
  • Changes to Internal Model Approach (IMA)
    • Estimated Shortfall (ES)
    • Liquidity Horizons
    • Default Risk Charge (DRC)
  • Impact analysis
  • Implementation issues
    • Non-modellable Risk Factors
    • Backtesting and P&L Attribution




10:45 AM


Morning Break




11:00 AM


Counterparty Credit Risk Capital Requirements  







  • Overview of Requirements and Approaches
  • Key components of Standardized Approach for measuring Counterparty Credit Risk
  • Consequences of use of SA-CCR in Net Stable Funding Ratio (NSFR) and for further Prudential Requirements
  • Potential impact of SA-CCR compared to Current Exposure Method (CEM), Standardized Approach (SA) and Internal Model Method (IMM)
  • SA-CCR – Has an optimal balance between risk sensitivity and simplicity been achieved? Would it be possible to identify further improvements to better shape the reality?
  • Could alternative approaches measure the CCR with an optimal consideration of risk sensitivity and diversification?



Bengt Redlinger, Director, Regulatory Policy, Bank of America




12:00 PM






1:00 PM


Leverage Ratio




  • Overview of the Leverage Ratio requirements
  • Changes in the latest Basel rules
  • Potential impact
  • Expected regional deviations
  • Issues with client clearing




2:00 PM


CVA and other XVA



  • Credit Valuation Adjustments (CVA) background and basics, Basel regulatory requirements and impact on banks
  • Basel CVA Framework – Finalization of a multi-year review and removal of IMA-CVA, and what has been achieved?
  • Meanings and Benefits of adopting CVA and pricing it into derivatives – What is the impact on risk management and business models?
  • Practices of Banks from the United States and Europe
  • Other XVA




3:00 PM


Afternoon Break




3:15 PM


Net Stable Funding Ratio (NSFR)



  • Overview of Final Basel rules
  • Impact analysis
  • Issues with the Final Rules: 20% Required Stable Funding (RSF) and treatment of High-Quality Liquid Assets (HQLA)
  • Could alternative approaches get more risk sensitivity and properly consider diversification?
  • Potential areas of review by Basel



3:45 PM


Panel Discussion – Implementing the Final Rules in the US



  • What principles should guide the US approach to implementing the Basel rules?
  • How might the reforms impact US capital markets?
  • How to reach consensus of the "right" level of capital to balance enough capital with the need to invest in economic growth?
  • Is the floor the best way to address variability in internal models?
  • Do we foresee consistency issues with national/regional implementations?
  • What remaining challenges need to be tackled?



Evan Picoult, Managing Director, Citi; Adjunct Professor, Columbia Business School 
Debbie Toennies, Head of Regulatory Affairs - Corporate and Investment Bank,
Office of Regulatory Affairs, JPMorgan Chase & Co.




5:00 PM


Conference Concludes


Agenda is subject to change

$ 850 U.S. (member) / $ 975 U.S. (non-member)
*The invoice total must be paid in full - registration fees are net of tax and wire transfer fees are not included.

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