Basel III & The Basel Regulatory Framework 2 - Days Workshop

1. Basel III & • The Basel Regulatory Framework • 2 - Days Workshop • Jakarta, February 10th – 11th, 2014 Conducted by: Supported by: More info, please call: 021 - 29036680 021 - 29036656 Contact Person: Ms. Lina: 0812-1129936 (m_lina@bsmr.org) Ms. Dewi: 08176761855 (dewi@bsmr.org) Ms. Arty: 0819-08338983 (arty@bsmr.org)

2. Course Content Outline: The course will be divided into four topical segments (Parts 1 – 4). All four parts will be comprised of an analysis of the radical changes built into the Basel Framework in the course of the recent Global Financial Crisis. First, Basel 2.5 was introduced radically changing the Trading Book market risk capital requirements – a trend that will continue in Basel 3 with the introduction of the CVA Risk Capital Charge, and further in 2013 and beyond with the Basel Committee’ current consultation process of financial institution Trading Book risk and capital requirements(Basel; ‘Fundamental Review of the Trading Book’). More significantly, however, has been the Basel 3 re-definition of core bank capital requirements and the introduction of a ‘global liquidity standard’ and of a ‘risk invariant’ leverage ceiling. During the two day course, the comprehensive changes introduced in Basel 3 will be explained and analysed. Each half-day session of the workshop will include a case study used to explain the calculation methodologies and practical consequences related to the capital and financial ratio-based growth constraints imposed in the new regulations. With the introduction of Basel lll, we are witnessing establishment of broader framework that is beginning to include both traditional ALM and modern MRM activities and risk measurement standards. In addition to continued refinement of risk-based capital requirements across both Treasury / Trading Book and Balance Sheet / Banking Book areas of banking, Basel 3 has implications for the pricing of both assets and liabilities, and the course will analyse how some of the additional capital, liquidity, and leverage constraint costs of banking under the new regulatory rules can be allocated through the FTP (funds transfer pricing) process. Additionally, the course will issues embedded in the Basel 3 framework such as credit valuation adjustment (‘CVA’), the stress testing assumptions embedded in the liquidity ratio rules, VaR and IMM related aspects of the new rules, and the new capital buffer, AVC, wrong way risk and other requirements. The QIS analyses and likely impact of the new regulations on Asian banks will be discussed. The workshop will also cover the proposals in consultation process by the Basel Committee in their consultative paper – ‘Fundamental Review of the Trading Book’.

3. Workshop Content: Part 1: Basel 3 Overview & Regulatory Reactions Since 2007 to the Global Crisis: • Brief Update: Direct & Indirect Market Changes Since Basel 2: • Financial Crisis 2007 – Present & Its Impact on the Banking Sector; • Accounting – Fair Value Accounting – The Emergence of CVA and the Demise of ‘Off-Balance Sheet’; • Bank Failures & Recapitalisations – Basel 2 Shortcomings and the 2008 Basel 2.5 increases in Market Risk Capital Requirements. • What Happened During the Crisis and How Have the Regulators Reacted? • Overview of the Basel 3 Framework and Requirements • Case Study: Designing a New Basel 3 Compliant Bank Balance Sheet & Financial Market Business Part 2: Basel 3 – The New Global Liquidity Standard: Analysis, and examples, of the key areas of Basel 2 directly and indirectly addressing liquidity risk in the banking system, include: • Establishing a Global Liquidity Standard, based on a cash flow, asset allocation and ratio calculation framework for measuring and limiting liquidity risk, comprised of two key components: • Liquidity Coverage Ratio (‘LCR’) – stress testing assumptions and Liquidity Buffer Calculations; • Net Stable Funding Ratio (‘NSFR’) – the future balance sheet and Net Interest Income Impacts; • Part 2 continued; • ILAAP – requirements & reverse stress testing’ • Case Study: Loan & Deposit Pricing – Pricing & Allocating Liquidity Costs in the Funds Transfer Pricing (‘FTP’) Process. • Part 3: Basel 3 Capital & Leverage Requirements in Basel (2.5 + 3 + 3.5?): • The New Capital Definitions & Requirements: Core Capital - Risk Absorbing; Capital Buffers; • Pro-cyclicality Capital Buffer: Counter-cyclicality measures (Downturn PDs & LGDs, etc.) & additional capital buffer range and dividend / bonus restrictions • Capital types, required ratios, and instrument eligibility (including capital loss absorption rules); • Bail-in requirements on debt-based capital instruments; • Gone Concern & Living Wills • SIFI Requirements • The New ‘Risk Invariant’ Leverage (Ceiling) Ratio • Impacts of Fair Value Accounting (FASB & IAS) • On-going Changes to the Trading Book Capital Regime • Stressed VaR & Specific Risk Charge (‘SRC’) • Incremental Risk Charge • Potential Future Changes to the Trading Book Treatment • Case Study: Re-Calculating the Bank’s Strategic Plan Under Basel 3.

4. Part 4: Basel 3 – Credit Requirements & Basel 3 Impact Analysis on Asian vs. Western Banks: Basel 3 Credit Issues: • Counterparty Credit Risk: CVA Risk Capital Charge: • Standardised vs. Advanced Approach; • New ‘IMM Bank’ Approval & VaR Requirements; • CDS-based vs. Actuarial Probability of Default • Wrong Way Risk & Calculation Techniques • RWA: Asset Value Correlation (‘AVC’), External Ratings: • Credit Risk Mitigation: Collateral & Central (Clearing) Counterparties (‘CCP’s). • Impact Analysis: • QIS Analysis of Bank Shortfalls in Meeting Basel 3; • Analysis of the Possible Overall Impacts of Basel 3 implementation on financial institution risk / reward profiles and future capital requirements. • The Current Western Bank Deleveraging Process & the Future Western Banking Business Model; • Direct & Indirect Impact of Basel 3 on Asian Banks. • Case Study: CVA Risk Capital Charge – Comparative Cost Calculations Using Standardised & Advanced Approaches. • The Future: Overview of the BCBS ‘Fundamental Review of the Trading Book’ consultative proposals. Trainer: Douglas Bongartz-Renaud, Director of Markets & Risk Solutions Pte. Ltd. Singapore. Language: This training will be in English and also the training material. Venue: Le Meridien Hotel – Jakarta* Jalan Jenderal Sudirman, Kav 18 - 20, Jakarta 10220 Training Fee: Rp. 9.500.000,- / participant

5. About the trainer Douglas Bongartz-Renaud is currently the director of Markets & Risk Solutions Pte. Ltd, and has over 30 years of experience in the Financial Markets and Services Industry. He used to be an Executive Director in the Markets Division with ABN AMRO in Amsterdam, with a focus in working on behalf of the front-office with other areas of the bank to improve the pricing of credit valuation adjustment (CVA) in transactions, and the management of CVA reserves, in connection with the Bank’s active OTC derivatives business. Douglas headed the Treasury, ALM and market risk team in ABN AMRO’s Risk Advisory Service business, which was engaged in projects with over 40 banking clients in Asia and the EMEA region. His client-based advisory and implementation work covered Treasury and Investment Banking; Market Risk Management; Asset and Liability Management. Before doing client-based project work in the Risk Advisory Unit, Douglas established and co-headed a new group within the bank’s Global Risk Management Department responsible for interfacing directly with the Financial Markets Division to expedite risk review and approval of complex derivative and new product related transactions. In that role he assisted Financial Markets in accelerating its business growth in several key areas, including exotic credit and correlation products, esoteric (inflation, insurance, weather, etc) and commodity derivatives, complex rate and hybrid derivatives, dynamic guarantees (CPPI transactions). Douglas had many other senior trading and product management positions in ABN AMRO’s Financial Markets and Treasury Department from 1985 through 2004, including, Global Head of Currency Derivatives Trading, Structuring & Distribution, Global Head of Structured Products Trading & Derivatives Product Development, Global Head of Swaps & Options Trading. Douglas is a member of the GARP (and holds the ‘FRM’ certification) and of the PRMIA risk associations, and served on the ISDA (International Swaps and Derivatives Association) Board of Directors from 1994 to 2008, (and was Secretary of the Association from 1998 to 2004). He is the Director of Markets & Risk Solutions Pte. Ltd. and provides Consultancy to banks in the areas of ALM, Treasury and Risk Management.

6. REGISTRATION FORM • Basel III & The Basel Regulatory Framework • 2 - Days Workshop • Jakarta, February 10th– 11th, 2014 Workshop Fee: Rp. 9.500.000,- / participant • Group booking from thesame institution attending thisseminar will get discount. • 2 participants: 5% discount • 3 participants: 7,5% discount • > 3 participants: 10% discount • Cancellation Policy: • The fee is non-refundable Name : BSMR ID No. : Institution : Title : Office Add. : Phone No. : Contact Person: Email Add. : Date: signature • Please transfer the workshop fee to: • BadanSertifikasiManajemen Risiko • BRI Jakarta Pondok Indah Branch • Acct. No.: 0362-01-000647-303 Off: Cell: Name: Telp: • Please complete this registration form and fax to: • 021-29036681 / 021-29036657 • Telp: 021 – 29036680 / 021-29036656