Basel IV/CRD v

Euromoney Learning Solutions

How long?

  • 3 days
  • online

What are the topics?

Euromoney Learning Solutions


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About the course

Understand the current Basel regulatory framework and prepare for Basel IV with this course

IIn the wake of the global financial crisis and in response to the lessons learnt during it, Basel III was introduced requiring banks to hold far higher quality of balance sheet resources than ever.

Even before Basel III was fully adopted it was followed by further regulation covering areas such as gone concern capital, capital charges traded and non-traded risk which initially informally but more recently formally in certain regions (e.g. CRD V/CRR II in Europe) was/is seen as a blueprint for Basel IV.

This intensive programme, Basel IV/CRD V, looks to provide an overview of these subsequent updates to Basel III and in so doing better prepare delegates for adopting Basel IV when/if it becomes formalised.

Learning outcomes:

  • Describe the key regulatory updates post Basel III and rationale for them
  • Evaluate the impact on Standard Approach and IRB approach models for calculation of credit risk capital
  • Explain the shortcomings of Basel II.5/III treatment of market risk and by extension the motivation for a Fundamental Review of the Trading Book
  • Appreciate the impact of IFRS impairment regulation on the balance sheet
  • Understand the Standardised Approach for Counterpart Credit Risk [SA-CCR]
  • Interpret the proposed standards for treatment of Interest Rate Risk in the Banking Book and describe what types of cash flows are impacted, how they should be treated and evaluated
  • Interpret the Standardised Measures Approach for calculation of Operational Risk Capital
  • Articulate what qualifies as Going Concern and what qualifies as Gone Concern Capital and proposed regulation in particular of the later in MREL and TLAC


Day 1:

Session 1: Recap on ambitions and impact of Basel III

  • Basel III – Raising Quality of Balance sheet and ending ‘TBTF’
  • Impact on Capital
  • Impact on Liquidity
  • Linking Impact on Capital and Liquidity to RoE
  • What are banks doing to mitigate impact?

Session 2: Overview of ‘Basel IV’

  • ‘Highlights’ and timelines
  • Why the need for a fourth accord?
  • What would be the impact of a fourth accord?
  • Impact on Capital and Liquidity

Session 3: Focus on Revisions to Standardised Methodology for Credit Risk

  • Treatment of Exposures to Banks
  • Treatment of Exposures to Corporates
  • Treatment of Exposures to Banks
  • Treatments of Exposures to Retail
  • Treatment of Exposures to Real Estate
  • Treatment of Credit Conversion Factors [CCF]

Session 4: Focus on Internal Ratings Based [IRB] Approach

  • Recap on IRB methodology
  • Current benefits of IRB
  • What is changing
  • When IRB can be used
  • Parameter Changes
  • Floors
  • Impact on benefits of IRB

Day 2:

Session 1: Focus on IFRS 9

  • Overview of IFRS 9 – what’s new?
  • Linking Accounting Regulation to Prudential Regulation
  • The drivers of rising impairment under IFRS 9
  • Impact on Standardised and Internal Ratings Based Banks
  • The impact on stress testing and capital buffers

Session 2: Focus on Traded Risk - Fundamental Review of the Trading Book [FRTB]

  • Why the need for a Fundamental Review
  • Recap of Basel II.5
  • Issues with Basel II.5
  • Highlights of FRTB
  • Amendments to the standardised approach
  • Capital against Expected Shortfalls
  • Hard bordering of trading book and banking book
  • Individual treatment of asset classes – holding periods etc
  • Operational considerations

Session 3: Focus on CCR - Standardised Approach for Counterparty Credit Risk [SA-CCR]

  • Overview of Standard Approach to Counter Party Credit Risk Management [SA-CCR]
  • Recap on methodologies and rationale for change
  • Breaking down the model
  • Overview
  • Calculation of Replacement Cost
  • Calculation of PFE multiplier and add-on’s
  • Operational impact and strategies to maxamise

Session 4: Interest Rate Risk in the Banking Book [IRRBB]

  • Rationale for BIS 368 – Update to Pillar 2 requirements
  • Recap on sources of interest rate risk in the banking book
  • Considering Equity and Earning measures
  • Economic Value of Equity [EVE]
  • Net Interest Margin [NIM]
  • In scope cash flows and treatment for time bucketing
  • Standardised stress tests

Day 3:

Session 1: Operational Risk and Impact on Capital

  • Defining Operational Risk
  • Challenges in predicting it
  • Challenges in quantifying loss
  • Previous approaches for measuring operational risk capital
  • Basic Indicators Approach (BIA)
  • Standardised Approach (STA)
  • Advanced Measures Approach (AMA)
  • Review of ‘Basel IV’/’CRDV’ amendments
  • Overview of Standardised Measures Approach (SMA)

Session 2: Focus on Net Stable Funding Ratio [NSFR]

  • Rationale for NSFR and how it works in harmony with Liquidity Coverage Ratio
  • Defining the Denominator – what qualifies as Required Stable Funding [RSF]
  • Defining the Numerator – what qualifies as Available Stable Funding [ASF]
  • Strategies to optimise compliance

Session 3: Gone Concern Capital – MREL&TLAC

  • Defining Going and Gone Concern Capital
  • The concept and regulation of resolution
  • Minimum Requirement for Eligible Liabilities and Own Funds [MREL]
  • What are eligible and excluded liabilities
  • Impact – comparing to Going Concern Capital
  • Timelines
  • Dovetailing with Total Loss Absorbing Capacity [TLAC]
  • How, why and when resolution strategies vary – modified insolvency vs partial transfer vs Bail In

Session 4: Look ahead - what has yet to come?

  • Banking in a Basel IV world – what can we expect
  • What are banks doing now to mitigate?
  • Linking to other global regulation – Dodd Frank, EMIR and Structural Reform
  • 3 Days in 30 minutes – wrap and review of key messages


Gareth Vance

Gareth’s banking career spans more than two decades.From 2010 to 2014 he was Head of Barclays Corporates £110 billion liquidity portfolio, tasked with the end-end ownership of pricing and structuring of the portfolio and ensuring that margins were achieved whilst delivering funding ambitions and ...

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Basel IV/CRD v at Euromoney Learning Solutions

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