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Finalisation of the Basel Capital Rules: Overview & Implications


Tuesday, October 3, 2017
One Bishops Square


The Basel Committee is yet to finalise the Basel III reform package due to disagreements concerning the level of the floor and its impact. In the US, the 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 finalised as well as an overview of those still under review.

They will also consider whether Europe 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. You will be offered an overview of how the final Basel agreement is likely to impact European and global derivatives markets, and an insight into the areas still requiring recalibration.




8:30 AM


Registration and Continental Breakfast




9:15 AM


Introduction and Welcoming Remarks
Mark Gheerbrant,
Head of Risk and Capital, ISDA




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

Adolfo Montoro, Director, Deutsche Bank AG




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), Standardised 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?
  • Consequences of use of SA-CCR in NSFR and for further Prudential Requirements

Anant Gajjar, Capital Manager, Global Markets, HSBC




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

Tony Roberts, Finance Director, Group Capital Management, Deutsche Bank AG




2:00 PM


CVA and other XVA

  • Credit Valuation Adjustments (CVA) background and basics, Basel regulatory requirements and impact on banks
  • Basel CVA framework – finalisation 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 is the impact on risk management and business models?
  • Practices of Banks from the US and Europe
  • Other XVA

Gilles Artaud, Deputy Head of Counterparty Credit Risk, Crédit Agricole CIB




2:45 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)
  • Could alternative approaches get more risk sensitivity and properly consider diversification
  • Potential areas of review by Basel

Nicola Mariano, Assistant Director, Risk and Capital, ISDA




 3:45 PM


Panel Discussion – Implementing the final rules in Europe

  • What principles should guide Europe approach to implementing the Basel rules?
  • How might the reforms impact Europe’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: Panayiotis Dionysopoulos, Head of Capital, ISDA
Dale Butler, Vice President, JPMorgan
Koen Holdtgrefe, ‎Vice President Government and Regulatory Affairs, Deutsche Bank AG
Nicolas Jomin, Regulatory Change & Optimisation, Credit Agricole




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.

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

Please click here for the Conference Registration Form.


Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here.
You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.




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at +1 212-901-6000  or e-mail