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Overview & Implications of Final Basel Capital Rules

This program is eligible for FTS claims

Monday, April 10, 2017
Marina Mandarin Singapore


8:30 AM


Registration and Morning Coffee 




9:00 AM


Introduction and Welcoming Remarks 

Mark Gheerbrant, Head of Risk and Capital, ISDA   




9:20 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

 Brian Lo, Managing Director, Head of Risk Management Group - Market & Liquidity Risk,

     DBS Bank




10:30 AM


Morning Break 


10:50 AM






Counterparty Credit Risk Capital Requirements  

  • Key components of Standardised Approach for measuring counterparty credit risk (SA-CCR)
  • Overview of Requirements and Approaches
  • 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

Oliver Bettin, Managing Director, Head of Debt BCU, APAC, Global Markets, Deutsche Bank




11:50 AM



Leverage Ratio     

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

Nanda Thiruvengadam, Associate Director, Financial Risk Management,KPMG Singapore



12:35 PM






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, 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 Singapore institutions
  • Other XVA

Aseem Agrawal, CVA Trading & Counterparty Portfolio Optimization, APAC, Citigroup      




3:00 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




3:30 PM



Afternoon Break


3:45 PM


Panel Discussion – Implementing the final rules in Singapore

  • What principles should guide Singapore’s approach to implementing the Basel rules?
  • How might the reforms impact Singapore’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

Oliver Bettin, Managing Director, Head of Debt BCU, APAC, Global Markets, Deutsche Bank

Brian Lo, Managing Director, Head of Risk Management Group - Market & Liquidity Risk,

     DBS Bank

Other panelists to be announced




5:00 PM


Conference Concludes

Agenda is subject to change

$ 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.


Marina Mandarin Singapore, 6 Raffles Boulevard, Marina Square, Singapore 039594, Phone: + 65-6845-1000


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