Share This Conference

Overview & Implications of Final Basel Capital Rules

 


Wednesday, April 12, 2017
Fukuracia Tokyo Station
Tokyo

PROGRAM AGENDA

Note: Remarks of all speakers will be simultaneously transmitted in Japanese and English.

 (Presentation materials will be prepared in English or Japanese.)

8:30 AM

 

Registration and Morning Coffee

 

 

 

9:00 AM

 

 

Introduction and Welcoming Remarks

Mark Gheerbrant, Head of Risk and Capital, ISDA

 

9:10 AM

 

 

Keynote Speech

Shunsuke Shirakawa, Vice Commissioner for International Affairs,

Financial Services Agency, Japan

 

9:30 AM

 

The Fundamental Review of the Trading Book (FRTB)

  • Overview of the final Basel FRTB Rules
  • New Standardised Approach
  • Changes to Internal Model Approach (IMA), inc. ES, liquidity horizons & DRC
  • Impact analysis
  • Implementation issues: -Non Modellable Risk Factors -Backtesting/ P&L Attribution

Tsuyoshi Hirano, Managing Director, Group Risk Management Department,

Nomura Holdings, Inc.

Shiro Katsufuji, Deputy General Manage, Corporate Risk Management Division,

Mitsubishi UFJ Financial Group 

 

 

 

10:40 AM

 

 

Morning Break

 

11:00 AM

 

Counterparty Credit Risk Capital Requirements  

  • Overview of Requirements and Approaches
  • Key components of Standardised Approach for measuring counterparty credit risk (SA-CCR)
  • Potential impact of SA-CCR compared to Current Exposure Method (CEM) and Internal Model Method (IMM)
  • SA-CCR – has an optimal balance between risk sensitivity and simplicity been achieved, what simple improvements can be introduced
  • Consequences of use of SA-CCR in CVA-BA, Leverage Ratio, Large Exposure and Floor

Hideyuki Maruyama, Vice President, Head of Regulatory Capital Reporting,

Nomura Securities Co., Ltd.

 

 

 

12:00 PM

 

Luncheon

 

 

 

1:10 PM

 

 

Leverage Ratio

  • Overview of the Leverage Ratio requirements
  • Changes in the latest Basel rules
  • Potential impact

Yasunobu Arima, ISDA Board Member, General Manager, Global Markets Planning Division,

The Bank of Tokyo-Mitsubishi UFJ, Ltd. (BTMU)

Hideyuki Maruyama, Vice President, Head of Regulatory Capital Reporting,

Nomura Securities Co., Ltd.

 

 

 

1:55 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, what has been achieved?
  • Meanings and Benefits of adopting CVA and pricing it into derivatives – what impact on risk management and business models?
  • Practices of Banks from the US and Europe and comparison with Japanese institutions
  • Other XVA

Hiroki Tomiyasu, Managing Director, Morgan Stanley MUFG Securities Co., Ltd.

 

 

 

2:55 PM

 

Afternoon Break

 

 

 

3:15 PM

 

Net Stable Funding Ratio (NSFR)

  • Overview of Final Basel rules
  • Impact analysis
  • Issues with the final rules: 20% RSF and treatment of High-Quality Liquid Assets (HQLA)
  • Potential areas of review by Basel

Mark Gheerbrant, Head of Risk and Capital, ISDA

 

 

 

3:45 PM

 

Panel Discussion – Implementing the final rules in Japan

  • What principles should guide Japan’s approach to implementing the Basel rules?
  • How might the reforms impact Japan’s objective of strengthening its 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?

Moderator: Mark Gheerbrant, Head of Risk and Capital, ISDA

Yasunobu Arima, ISDA Board Member, General Manager, Global Markets Planning Division,

The Bank of Tokyo-Mitsubishi UFJ, Ltd. (BTMU)

Kenji Fujii, Executive Officer, Member of the Board of Directors, 

Head of Global Risk Management, Mizuho Securities Co., Ltd.

Takayuki Okada, General Manager, Corporate Planning Department,

Sumitomo Mitsui Banking Corporation

Tomoki Tanemura, Deputy Head of International Division,

Financial System and Bank Examination Department, Bank of Japan

 

5:00 PM

 

Conference Concludes

 

 


Agenda is subject to change

- REGISTRATION FEE* -
$ 650 U.S. (member) / $ 750 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.

We suggest registering at least two weeks in advance to ensure your seat.

Please click here for the Conference Registration Form.

 

Fukuracia Tokyo Station, Asahi Seimei Otemachi Building 6th Floor, Otemachi 2-6-1, Chiyoda-ku, Tokyo


 


For more information regarding conferences or exhibition opportunities, please contact the ISDA conference department

at +1 212-901-6000  or e-mail conferences@isda.org