Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018

Size: px
Start display at page:

Download "Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018"

Transcription

1 Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018 The Banking and Corporate Finance Training Specialist

2 Course Objectives Participants Will: Understand the traditional as well as the ever changing landscape of Risk & Capital Management Understand the goals of the capital adequacy system Comprehend the changes to capital rules under Basel III Learn the new elements of Basel III & their effect on the different dimensions of risk management. Understand Course the capital Overview adjustments and the new rules of risk weightings. Provide the participants with a thorough knowledge on the Basel III liquidity package and the repercussions of the new liquidity ratios Learn about effective liquidity management and regulations Comprehend the key elements and concepts of IFRS 9 framework and their implications on changes to capital rules under Basel III Understand the impact of IFRS 9 on credit risk Learn how IFRS 9 requirements (expected to replace IAS 39 in January 2018) represent a significant change to how banks and financial service companies report their financial data; especially for customer default and expected losses Provide the participants with an understanding of how expected credit losses models are impacted by macroeconomic scenarios and the new impairment rules of IFRS9 Analyze a value-at-risk approach to asset/liability management for effective risk control. Gain a strong understanding of the IFRS 9 Impairment rule and the forward-looking provisioning methodology; based on expected losses and its subsequent impact on business decisions and risk management functioning Acquire knowledge of new accounting rules and credit risk practices under Basel III & IFRS 9 and their subsequent impact on financial reporting & thereby portfolio allocation decisions as well as risk management techniques Evaluate the classification & measurement techniques of financial assets & instruments under IFRS 9 Understand effective regulatory risk management practices Course Overview Who Should Attend? Board of Directors Senior Bank Management Members Central Bankers (Supervision Department) ALCO Managers Chief Risk Officers Treasury Executives Risk Managers Chief Finance Officers Finance Directors Comptrollers Portfolio Managers Securities Analysts Insurance Executives Pension Fund Managers Pension Fund Trustees Investment Professionals MIS and Operations Executives Budgeting & Planning Executives

3 Course Content DAY ONE Overview and dynamics of Capital Management Concepts & Definition The role of capital and its significance Key aspects to capital management The development of capital standards for banks Overview of capital allocation in banking Perspectives on Capital; Treasurer s view, Regulators Views, Risk Manager s view & shareholders view Composition of capital- Tier 1, Tier 2 & Tier 3 Regulatory vs. Economic Capital The concepts pf Expected vs. Unexpected Losses The concept of capital efficiency Structure and dynamics of Balance Sheet Capital Allocation Models Concept & Overview Approaches to Optimization Assets volatility Approaches Regulatory Capital Approaches Risk-adjusted Models RAPM- Risk-adjusted Performance Measure RAROA- Risk-adjusted Return on Assets RAROC- Risk-adjusted Return on Capital Earnings Volatility Models EAR- Earnings-at-Risk Model Functioning of Capital Management The four As of Capital Management Adequacy Attribution Allocation Architecture Determining the optimal level & mix of capital Strategic considerations for optimum capital Bank s Insolvency probability Managing the bank s capital adequacy Determining the bank s overall capital plan CASE STUDY: Group discussion on the different variables that should be considered for determining the optimum level of capital and the various models for capital allocation. DAY TWO Liquidity Risk & Management Liquidity Concepts Bank Liquidity Risk Concept & Definition Types of Liquidity Risks The Role of Confidence

4 Liquidity & Activity Ratios Leverage & Default Issues Contingency Planning Measuring Bank Liquidity The Cash-Flow Approach Large Liability Dependence Core Deposits To Assets Loans & Leases to Assets Loans & Leases to Core Deposits Temporary Investments to Assets Brokered Deposits to Total Deposits Market-to-Book Value Dynamics of Liquidity Management The Formation of Expectations Liquidity Planning Faces of Liability Management Minimizing Deposit Interest Costs Customer Relationships Circumventive Regulatory Restrictions Deposit Rate Ceilings Reserve Requirements Pricing & Methods of Deposit Insurance CASE STUDY: Hypothetical numerical cases on assessing & quantifying the sensitivity of the bank s financial transactions on its cash flows & NII. CASE STUDY: Group discussion on the different variables affecting the bank s liquidity position & the main contributions for illiquidity- A focus on Lehman Brothers rise & fall in 2008 DAY THREE Interest Rate Risk- Overview & Measurement Modeling interest rate risk Deterministic vs. Stochastic models Arbitrage models Equilibrium models Types of Interest Rate Risks Yield Curve Risk Basis Risk Macaulay Duration Modified Duration Core Elements of Duration Convexity Concept Duration gap of Equity Earnings versus Shareholder Value Effective Duration & Effective Convexity Hedging Duration & Convexity Concept of Negative Duration Key Rate Duration

5 Math of Sensitivity Parameters Measuring Risk Techniques Sensitivity Parameters Simulation Methodologies Rate Shocks Simple Simulation Historical Simulation Monte Carlo Simulation Transfer Pricing as a Tool Value-at-Risk Core Elements of VAR VaR Greeks & Math Correlation & Covariance VaR Methodologies Implementation of VaR CASE STUDY: Hypothetical numerical cases on assessing & quantifying the sensitivity of bonds & other option-embedded fixed-income securities to different parallel & un-parallel changes & twists in the yield curve. Interest Rate & Credit Management Techniques Interest Rate Derivatives Interest Rate Swaps Generic versus complex structures of Swaps Interest Rate Options Interest Rate Futures Forward-Rate Agreements Credit Derivatives Types of Credit Derivatives Credit Default Swaps Total Return Swaps Credit Options; Standard and Exotic Spread Options Credit-Lined Noted (CLNs) Collateralized Bond Obligations (CBOs) Collateralized loan Obligations (CLOs) CASE STUDY: Hypothetical numerical live case on the use of a wide gamut of derivatives instruments & structured products for coping with negative as well as positive duration gaps in a bank s balance sheet. CASE STUDY: Hypothetical numerical live cases on valuing & pricing different traditional & exotic on & off balance-sheet products and their implications on the bank s gap position. CASE STUDY: Hypothetical numerical case on the concept of Bootstrapping & constructing the zero-coupon yield curve.

6 DAY FOUR From Basel II to Basel III Basel III Structure & main elements Chronology of phasing-in the new Basel 3 standards Basel III Pillars & new limits Risk-based Capital Measures Basel III new capital requirements Redefining Capital Capital Ratios Capital Buffers Components of Capital New concepts of Common Equity & Tier 1 capital Basel 3 Treatment limits for Tier 1 and Tier 2 & 3 Capital ratios Allowable Capital Deductions Basel 3 treatment for hybrid investments Basel 3 Standards for Minority interests Unconsolidated Financial Institutions Deferred Tax Assets Mortgage servicing-rights Total risk-based capital Capital Conservation ratio & Countercyclical ratio Non-risk-based measures Leverage ratio Concept of Systematic Banks Timing & Transitional Arrangements Basel III Liquidity Kit Definitions and scope Objectives of Basel 3 Liquidity package New liquidity standards Liquidity coverage ratio- LCR Appropriate Asset Levels for LCR Inclusion Net Stable Funding Ratio Timing & Transitional Arrangements Interfacing between Basel III & Risk Management Changing rules of the game Modus operandi of Basel III Basel III Mechanics for credit risk Basel III Mechanics for liquidity risk Basel III Mechanics for Ops Risk IFRS 9: Overview & Concepts Definitions and scope Background & Objectives Effective date & transition Key differences between IFRS 9 and old IAS 39 rules New standards for the accounting of financial standards Convergence with U.S. GAAP Phases of IFRS 9 Standard Classification & Measurement of financial assets & liabilities Impairment

7 Hedge Accounting Dynamics & Modus Operandi of IFRS 9 Measurements of Financial Assets Amortized Cost Models; Hold-to-Collect Business Model and SPPI Contractual Cash Flow Characteristics Test - Payments of Principal & Interest Fair Value through other Comprehensive Income (FVOCI) for debt instruments and equity investments. Fair Value through Profit & Loss (FVTPL) Implications of the new accounting rules on financial reporting, thereby on business decisions as well as capital and risk management Overview of the new Impairment model General Impairment Model Recognition of Impairment- 12-month ECL (Expected Credit Losses) Lifetime Expected Credit Losses Hedge Accounting Qualifying criteria & Effectiveness testing Hedged Items Aggregate Exposures Hedging Instruments Derivatives & Hybrid contracts Expected Credit Loss Module (ECL) PD (probability of default) LGD (Loss given default) EAD (Exposure at default) CCF (Credit Conversion Factor) Bridging the gap between IFRS 9 standard and ALM activities Impact of IFRS 9 ECL on balance sheet management Credit Adjusted ALM CASE STUDY: Group discussion on the challenges facing banks & financial institutions, struggling for the implementation of IFRS 9, prior to the final date of January CASE STUDY: Group discussion on the differences between the new IFRS 9 and the old IAS 39; and the eventual impact on business and financial decisions as well as risk dimensions. 09:30-17:00 London Standard Price: 2,575 + VAT Membership Price: 2,060 + VAT Delivering this course in-house for you to a number of participants could be very cost effective.

Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar

Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course

More information

Highly technical, Market-Driven IFRS training Courses

Highly technical, Market-Driven IFRS training Courses Highly technical, Market-Driven IFRS training Courses IFRS 9 - The Latest Updates Risk & Capital Management Under Basel III and IFRS 9 IFRS 9 Accounting For Financial Instruments IFRS Accounting for Transactions

More information

IFRS 9 - Preliminary Plan

IFRS 9 - Preliminary Plan IFRS 9 - Preliminary Plan Safest road to compliance BCC recommended implementation approach Presented by Antoine Wakim Timeline - IFRS 9 enhancement project Nov 2009 Classification and Measurement (C&M)

More information

ZAG BANK BASEL PILLAR 3 DISCLOSURES. December 31, 2015

ZAG BANK BASEL PILLAR 3 DISCLOSURES. December 31, 2015 ZAG BANK BASEL PILLAR 3 DISCLOSURES December 31, 2015 1. OVERVIEW OF ZAG BANK Zag Bank (the Bank ) is a Schedule I federally chartered Canadian bank and a wholly-owned subsidiary of Desjardins Group (

More information

ZAG BANK BASEL PILLAR 3 AND OTHER REGULATORY DISCLOSURES. December 31, 2017

ZAG BANK BASEL PILLAR 3 AND OTHER REGULATORY DISCLOSURES. December 31, 2017 ZAG BANK BASEL PILLAR 3 AND OTHER REGULATORY DISCLOSURES December 31, 2017 1. OVERVIEW OF ZAG BANK Zag Bank (the Bank ) is a Schedule I federally chartered Canadian bank and a wholly-owned subsidiary of

More information

Asset Liability Management

Asset Liability Management e-learning and reference solutions for the global finance professional Asset Liability Management A comprehensive e-learning product covering Global Best Practices, Strategic, Operational and Analytical

More information

African Bank Holdings Limited and African Bank Limited

African Bank Holdings Limited and African Bank Limited African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 7 3. Supplementary

More information

ICPAK. IFRS 9 Practical approach to impairment. March kpmg.com/eastafrica

ICPAK. IFRS 9 Practical approach to impairment. March kpmg.com/eastafrica ICPAK IFRS 9 Practical approach to impairment March 2018 kpmg.com/eastafrica Agenda Introduction and expectations Overview of IFRS 9 Overview of Impairment Probabilities of Default considerations Loss

More information

IFRS 9 Implementation Workshop. A Practical approach. to impairment. March 2018 ICPAK

IFRS 9 Implementation Workshop. A Practical approach. to impairment. March 2018 ICPAK IFRS 9 Implementation Workshop A Practical approach to impairment March 2018 ICPAK Agenda Introduction and expectations Overview of IFRS 9 Overview of Impairment Probabilities of Default considerations

More information

African Bank Holdings Limited and African Bank Limited. Annual Public Pillar III Disclosures

African Bank Holdings Limited and African Bank Limited. Annual Public Pillar III Disclosures African Bank Holdings Limited and African Bank Limited Annual Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 as at 30 September 2016 1 African Bank Holdings Limited and African

More information

IFRS 9 Impairment Requirements

IFRS 9 Impairment Requirements IFRS 9 Impairment Requirements Central 1 Credit Union IFRS 9 Information Session June 6, 2017 Disclaimer The information contained herein is of a general nature and is not intended to address the circumstances

More information

African Bank Holdings Limited and African Bank Limited

African Bank Holdings Limited and African Bank Limited African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 7 3. Supplementary

More information

Actuary in Banking. 1st Seminar on Finance & Investment 18th May 2018

Actuary in Banking. 1st Seminar on Finance & Investment 18th May 2018 1st Seminar on Finance & Investment 18th May 2018 Actuary in Banking Mr. Raminder P S Bagri DGM, Canara Bank International Operations & CCR Wing Bangalore Actuary in Banking Unchartered Territory for Actuaries

More information

Market Risk Capital Disclosures Report. For the Quarterly Period Ended June 30, 2014

Market Risk Capital Disclosures Report. For the Quarterly Period Ended June 30, 2014 MARKET RISK CAPITAL DISCLOSURES REPORT For the quarterly period ended June 30, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital

More information

Contemporary Challenges in the Asset Liability Management in Banks

Contemporary Challenges in the Asset Liability Management in Banks Contemporary Challenges in the Asset Liability Management in Banks This in-house course can also be presented face to face in-house for your company or via live in-house webinar The Banking and Corporate

More information

Risk e-learning. Modules Overview.

Risk e-learning. Modules Overview. Risk e-learning Modules Overview Risk Sensitivities Market Risk Foundation (Banks) Understand delta risk sensitivity as an introduction to a broader set of risk sensitivities Explore the principles of

More information

Asset Liability Management for Insurance Companies

Asset Liability Management for Insurance Companies e-learning and reference solutions for the global finance professional Asset Liability Management for Insurance Companies A comprehensive e-learning product covering Global Best Practices, Strategic, Operational

More information

Assets and liabilities measured at fair value Table 78 As at October 31, 2016

Assets and liabilities measured at fair value Table 78 As at October 31, 2016 Most of the other securitization exposures (non-abcp) carry external ratings and we use the lower of our own rating or the lowest external rating for determining the proper capital allocation for these

More information

Contents. Financial instruments the complete standard. Fundamental changes call for careful planning. 1. Overview Complete IFRS 9

Contents. Financial instruments the complete standard. Fundamental changes call for careful planning. 1. Overview Complete IFRS 9 Financial instruments the complete standard Contents Fundamental changes call for careful planning 1. Overview Complete IFRS 9 2. Classification and measurement Facts 3. Classification and measurement

More information

IFRS 9 Implementation Workshop 31 st January 1 st February 2018

IFRS 9 Implementation Workshop 31 st January 1 st February 2018 Historical Perspectives of IFRS 9 and the Implementation Guideline Presentation by: CPA Cliff Nyandoro IFRS 9 Implementation Workshop 31 st January 1 st February 2018 Uphold public interest PwC Why IFRS

More information

Overview Why the introduction of IFRS 9?

Overview Why the introduction of IFRS 9? Overview Why the introduction of IFRS 9? Response to G20 and Financial Stability Board (FSB) 2008 Financial crisis Excessive risk-taking by banks and late recording of impairments on instruments which

More information

New and revised Standards -Applying IFRS 9 Presentation by: CPA Stephen Obock December 2017

New and revised Standards -Applying IFRS 9 Presentation by: CPA Stephen Obock December 2017 New and revised Standards -Applying IFRS 9 Presentation by: CPA Stephen Obock December 2017 Uphold public interest IFRS 9 What are the key changes? What are the transition requirements? Presentation agenda

More information

Deutsche Bank. IFRS 9 Transition Report

Deutsche Bank. IFRS 9 Transition Report IFRS 9 Transition Report April 2018 Table of Contents Introduction... 3 IFRS 9 Implementation Program... 3 Impact Analysis... 4 Key Metrics... 4 Classification and Measurement... 4 Impairment... 5 Classification

More information

Pillar 3 Disclosure (UK)

Pillar 3 Disclosure (UK) MORGAN STANLEY INTERNATIONAL LIMITED Pillar 3 Disclosure (UK) As at 31 December 2009 1. Basel II accord 2 2. Background to PIllar 3 disclosures 2 3. application of the PIllar 3 framework 2 4. morgan stanley

More information

African Bank Holdings Limited and African Bank Limited

African Bank Holdings Limited and African Bank Limited African Bank Holdings Limited and African Bank Limited Public Pillar III Disclosures in terms of the Banks Act, Regulation 43 CONTENTS 1. Executive summary... 3 2. Basis of compilation... 9 3. Supplementary

More information

Capital Management 4Q Saxo Bank A/S Saxo Bank Group

Capital Management 4Q Saxo Bank A/S Saxo Bank Group Capital Management 4Q 2013 Contents 1. INTRODUCTION... 3 NEW REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 2. CAPITAL REQUIREMENTS, PILLAR I...

More information

Index. Managing Risks in Commercial and Retail Banking By Amalendu Ghosh Copyright 2012 John Wiley & Sons Singapore Pte. Ltd.

Index. Managing Risks in Commercial and Retail Banking By Amalendu Ghosh Copyright 2012 John Wiley & Sons Singapore Pte. Ltd. Index A absence of control criteria, as cause of operational risk, 395 accountability, 493 495 additional exposure, incremental loss from, 115 advances and loans, ratio of core deposits to, 308 309 advances,

More information

Integrating Risk & Finance using SAS

Integrating Risk & Finance using SAS Integrating Risk & Finance using SAS Jiri Kubalek, senior consultant SAS Czech Republic Why solutions integration...? List of typical requirements within financial industry Legal Consolidation (convergence

More information

CERTIFICATE COURSE ON FOREIGN EXCHANGE & TREASURY MANAGEMENT

CERTIFICATE COURSE ON FOREIGN EXCHANGE & TREASURY MANAGEMENT CERTIFICATE COURSE ON FOREIGN EXCHANGE & TREASURY MANAGEMENT The Certificate Course is an advanced course on Treasury Management (including Forex Treasury) for Chartered Accountants organized by Committee

More information

President s Choice Bank

President s Choice Bank Basel III Pillar 3 Disclosures President s Choice Bank Page 1 of 16 President s Choice Bank BASEL III PILLAR 3 DISCLOSURES June 30, 2018 Basel III Pillar 3 Disclosures President s Choice Bank Page 2 of

More information

Regulatory Disclosures March 31, 2018

Regulatory Disclosures March 31, 2018 Regulatory Disclosures March 31, 2018 SCOPE of DISCLOSURE... 3 CORPORATE PROFILE... 3 CAPITAL... 3 Capital structure... 4 Common shares... 4 Subordinated debt... 4 RISK MANAGEMENT... 4 Risk management

More information

Citigroup Global Markets Limited Pillar 3 Disclosures

Citigroup Global Markets Limited Pillar 3 Disclosures Citigroup Global Markets Limited Pillar 3 Disclosures 30 September 2018 1 Table Of Contents 1. Overview... 3 2. Own Funds and Capital Adequacy... 5 3. Counterparty Credit Risk... 6 4. Market Risk... 7

More information

IFRS 9 FINANCIAL INSTRUMENTS

IFRS 9 FINANCIAL INSTRUMENTS IFRS 9 FINANCIAL INSTRUMENTS Uphold public interest CPA WILFRED OWALLA Why the New Standard? IFRS 9 responds to criticisms that IAS 39 is too complex, inconsistent with the way entities manage their businesses

More information

IFRS 9. Challenges and solutions. May 2016

IFRS 9. Challenges and solutions. May 2016 IFRS 9 Challenges and solutions May 2016 REGULATORY CONTEXT and objectives of the document Additional document on Impairment Nov 2009 Mar 2013 IFRS 9 Final Standard BIS Guidelines Guidance on accounting

More information

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended June 30, 2016

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended June 30, 2016 BASEL III PILLAR 3 DISCLOSURES REPORT For the quarterly period ended June 30, 2016 Table of Contents Page 1 Morgan Stanley... 1 2 Capital Framework... 1 3 Capital Structure... 2 4 Capital Adequacy... 2

More information

Credit Risk Modelling This course can also be presented in-house for your company or via live on-line webinar

Credit Risk Modelling This course can also be presented in-house for your company or via live on-line webinar Credit Risk Modelling This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Overview For banks and financial

More information

Capital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever. ABSA Capital

Capital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever. ABSA Capital Capital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever ABSA Capital Contents Objectives Background Existing regulatory and internal dispensation to meet

More information

CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION

CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION Citibank, N.A. is incorporated in the United States of America and has a national bank charter under the National Bank Act of

More information

Credit Risk Modelling This in-house course can also be presented face to face in-house for your company or via live in-house webinar

Credit Risk Modelling This in-house course can also be presented face to face in-house for your company or via live in-house webinar Credit Risk Modelling This in-house course can also be presented face to face in-house for your company or via live in-house webinar The Banking and Corporate Finance Training Specialist Course Content

More information

Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014

Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014 REGULATORY CAPITAL DISCLOSURES REPORT For the quarterly period ended March 31, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital

More information

PILLAR 3 DISCLOSURES

PILLAR 3 DISCLOSURES . The Goldman Sachs Group, Inc. December 2012 PILLAR 3 DISCLOSURES For the period ended December 31, 2014 TABLE OF CONTENTS Page No. Index of Tables 2 Introduction 3 Regulatory Capital 7 Capital Structure

More information

ICAAP Q Saxo Bank A/S Saxo Bank Group

ICAAP Q Saxo Bank A/S Saxo Bank Group ICAAP Q2 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 NEW CAPITAL REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 CAPITAL

More information

Basel III Pillar III disclosures

Basel III Pillar III disclosures Basel III Pillar III disclosures 1 EXECUTIVE SUMMARY This report has been prepared in accordance with Pillar III disclosure requirements prescribed by the Central Bank of Bahrain, herein referred to as

More information

Traded Risk & Regulation

Traded Risk & Regulation DRAFT Traded Risk & Regulation University of Essex Expert Lecture 14 March 2014 Dr Paula Haynes Managing Partner Traded Risk Associates 2014 www.tradedrisk.com Traded Risk Associates Ltd Contents Introduction

More information

BANCO DE BOGOTA (NASSAU) LIMITED Financial Statements

BANCO DE BOGOTA (NASSAU) LIMITED Financial Statements Financial Statements Page Independent Auditors Report 1 Statement of Financial Position 3 Statement of Comprehensive Income 4 Statement of Changes in Equity 5 Statement of Cash Flows 6 7-46 Statement

More information

Interim Condensed Consolidated Financial Statements

Interim Condensed Consolidated Financial Statements Interim Condensed Consolidated Financial Statements 31 March 2018 Interim Consolidated Statement of Income Three Months to Three Months to Three Months to Three Months to 31 March 31 March 31 March 31

More information

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES For the period ended December 31, 2015 TABLE OF CONTENTS Page No. Index of Tables 1 Introduction 2 Regulatory Capital 5 Capital Structure 6 Risk-Weighted

More information

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended December 31, 2015

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended December 31, 2015 BASEL III PILLAR 3 DISCLOSURES REPORT For the quarterly period ended December 31, 2015 Table of Contents Page 1 Morgan Stanley... 1 2 Capital Framework... 1 3 Capital Structure... 2 4 Capital Adequacy...

More information

Basel III Pillar 3 Disclosures. 30 June 2018

Basel III Pillar 3 Disclosures. 30 June 2018 Basel III Pillar 3 Disclosures 30 June 2018 1. Introduction 3 1.1 Background 3 1.2 Objective 1.3 Scope 3 3 1.4 Basis of preparation 3 1.5 Internal control system 1.6 Accounting principles 3 3 2. Capital

More information

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES For the period ended June 30, 2015 TABLE OF CONTENTS Page No. Index of Tables 1 Introduction 2 Regulatory Capital 5 Capital Structure 6 Risk-Weighted

More information

Citigroup Inc. Basel II.5 Market Risk Disclosures As of and For the Period Ended December 31, 2013

Citigroup Inc. Basel II.5 Market Risk Disclosures As of and For the Period Ended December 31, 2013 Citigroup Inc. Basel II.5 Market Risk Disclosures and For the Period Ended TABLE OF CONTENTS OVERVIEW 3 Organization 3 Capital Adequacy 3 Basel II.5 Covered Positions 3 Valuation and Accounting Policies

More information

PILLAR 3 DISCLOSURES

PILLAR 3 DISCLOSURES The Goldman Sachs Group, Inc. December 2012 PILLAR 3 DISCLOSURES For the period ended June 30, 2014 TABLE OF CONTENTS Page No. Index of Tables 2 Introduction 3 Regulatory Capital 7 Capital Structure 8

More information

Basel & Risk Management

Basel & Risk Management Basel & Risk Management Basel III in detail and a glimpse at Basel IV This course can be presented in-house for you on a date of your choosing The Banking and Corporate Finance Training Specialist Course

More information

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended June 30, 2017

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended June 30, 2017 Basel III Pillar 3 Disclosures Report For the Quarterly Period Ended June 30, 2017 BASEL III PILLAR 3 DISCLOSURES REPORT For the quarterly period ended June 30, 2017 Table of Contents Page 1 Morgan Stanley

More information

Asset Liability Management Three Days Programme. Thierry Fuller

Asset Liability Management Three Days Programme. Thierry Fuller Asset Liability Management Three Days Programme Thierry Fuller Agenda Asset Liability Management Objectives By the end of the program, participants will be able to: Identify the key risk factors acting

More information

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended September 30, 2016

Basel III Pillar 3 Disclosures Report. For the Quarterly Period Ended September 30, 2016 Basel III Pillar 3 Disclosures Report For the Quarterly Period Ended September 30, 2016 BASEL III PILLAR 3 DISCLOSURES REPORT For the quarterly period ended September 30, 2016 Table of Contents Page 1

More information

INTRODUCTION. This document is not audited and should be read in conjunction with our Q Quarterly Report to Shareholders and 2017 Annual Report.

INTRODUCTION. This document is not audited and should be read in conjunction with our Q Quarterly Report to Shareholders and 2017 Annual Report. INTRODUCTION This document is not audited and should be read in conjunction with our Q3 2018 Quarterly Report to Shareholders and 2017 Annual Report. Effective November 1, 2012, Canadian banks are subject

More information

What Is Asset/Liability Management?

What Is Asset/Liability Management? A BEGINNERS GUIDE TO ASSET\LIABILITY MANAGEMENT, RISK APPETITE AND CAPITAL PLANNING David Koch President\CEO dkoch@farin.com 800-236-3724 ext. 4217 What Is Asset/Liability Management? Asset/liability management

More information

Basel III Pillar 3 disclosures

Basel III Pillar 3 disclosures Basel III Pillar 3 disclosures 6M13 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated

More information

ICAAP Report Q3 2015

ICAAP Report Q3 2015 ICAAP Report Q3 2015 Contents 1. 2. 3. 4. 5. 6. 7. 8. 9. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q3 2015... 3 1.3 CAPITAL CALCULATION...

More information

Risk and Accounting. IFRS 9 Financial Instruments. Marco Venuti 2018

Risk and Accounting. IFRS 9 Financial Instruments. Marco Venuti 2018 Risk and Accounting IFRS 9 Financial Instruments Marco Venuti 2018 Agenda Reasons for issuing IFRS 9 Classification approach by IFRS 9 Classification and Measurement of financial assets Contractual cash

More information

Analysis Of A Bank s Balance Sheet. Suresh Sankaran

Analysis Of A Bank s Balance Sheet. Suresh Sankaran Analysis Of A Bank s Balance Sheet Suresh Sankaran Agenda Overview of the banking business Types of assets and liabilities Modelling approaches Economic capital Salary : GBP150,000 base plus significant

More information

Asset Liability Management. Craig Roodt Australian Prudential Regulation Authority

Asset Liability Management. Craig Roodt Australian Prudential Regulation Authority Asset Liability Management Craig Roodt Australian Prudential Regulation Authority Outline of Topics 1. ALM Defined 2. Role of ALM in the Organisation 3. Some History 4. Main Approaches - Measurement 5.

More information

ICAAP Q Saxo Bank A/S Saxo Bank Group

ICAAP Q Saxo Bank A/S Saxo Bank Group ICAAP Q4 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 EVENTS AFTER THE REPORTING PERIOD... 3 1.3 BOARD OF MANAGEMENT APPROVAL

More information

Regulatory disclosures Credit Suisse Group Credit Suisse (Bank) Credit Suisse (Bank) parent company Credit Suisse International

Regulatory disclosures Credit Suisse Group Credit Suisse (Bank) Credit Suisse (Bank) parent company Credit Suisse International Regulatory disclosures Credit Suisse (Bank) Credit Suisse (Bank) parent company Credit Suisse International March 24, 2016 2015 2 REGULATORY DISCLOSURES In connection with the implementation of Basel III,

More information

GAAP & IFRS Updates: What you need to know

GAAP & IFRS Updates: What you need to know GAAP & IFRS Updates: What you need to know Claire Gemmell Account Manager Rhead Hatch Product Owner Learning Objectives Identify differences in the classification and measurement of financial instruments

More information

OP MORTGAGE BANK Stock exchange release 27 April 2017 Interim Report. OP Mortgage Bank: Interim Report for January March 2017

OP MORTGAGE BANK Stock exchange release 27 April 2017 Interim Report. OP Mortgage Bank: Interim Report for January March 2017 OP MORTGAGE BANK Stock exchange release 27 April 2017 Interim Report OP Mortgage Bank: Interim Report for January March 2017 OP Mortgage Bank (OP MB) is part of OP Financial Group and its role is to raise,

More information

Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst

Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst 1 2 1 What is ALM? Why are we asked to perform ALM? What is the goal of ALM? How can we use it? 3 Creating and managing

More information

Interest Rate Risk in the Banking Book. Taking a close look at the latest IRRBB developments

Interest Rate Risk in the Banking Book. Taking a close look at the latest IRRBB developments Interest Rate Risk in the Banking Book Taking a close look at the latest IRRBB developments Interest Rate Risk in the Banking Book Interest rate risk in the banking book (IRRBB) can be a significant risk

More information

The value of a bond changes in the opposite direction to the change in interest rates. 1 For a long bond position, the position s value will decline

The value of a bond changes in the opposite direction to the change in interest rates. 1 For a long bond position, the position s value will decline 1-Introduction Page 1 Friday, July 11, 2003 10:58 AM CHAPTER 1 Introduction T he goal of this book is to describe how to measure and control the interest rate and credit risk of a bond portfolio or trading

More information

Learning takes you the extra mile. Rabobank Global Learning

Learning takes you the extra mile. Rabobank Global Learning Learning takes you the extra mile Rabobank Global Learning Release 38: 2016 FINANCIAL MARKETS COURSES Introduction to Financial Markets Financial Markets - An Introduction Money Markets - An Introduction

More information

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES For the period ended September 30, 2017 TABLE OF CONTENTS Page No. Index of Tables 1 Introduction 2 Regulatory Capital 5 Capital Structure 6 Risk-Weighted

More information

Wells Fargo & Company. Basel III Pillar 3 Regulatory Capital Disclosures

Wells Fargo & Company. Basel III Pillar 3 Regulatory Capital Disclosures Wells Fargo & Company Basel III Pillar 3 Regulatory Disclosures For the quarter ended March 31, 2018 1 Table of Contents Disclosure Map Introduction Executive Summary Company Overview Basel III Overview

More information

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc.

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Introduction Basel II is an international framework on capital that applies to deposit taking institutions in many countries, including Canada.

More information

Investec plc silo IFRS 9 Financial Instruments Transition Report

Investec plc silo IFRS 9 Financial Instruments Transition Report Investec plc silo IFRS 9 Financial Instruments Transition Report 2018 Contents Introduction and objective of these disclosures 4 Overview of the group s IFRS 9 transition impact 5 Credit and counterparty

More information

Accounting Matters and Disclosure and Internal Control

Accounting Matters and Disclosure and Internal Control Accounting Matters and Disclosure and Internal Control Critical Accounting Estimates The most significant assets and liabilities for which we must make estimates include: allowance for credit losses; financial

More information

Basel III Pillar III disclosure

Basel III Pillar III disclosure Basel III Pillar III disclosure 1 EXECUTIVE SUMMARY This report has been prepared in accordance with Pillar III disclosure requirements prescribed by the Central Bank of Bahrain, herein referred to as

More information

Ahli Bank Q.S.C. INTERIM CONDENSED CONSOLIDATED FINANCIAL STATEMENTS FOR THE THREE MONTH PERIOD ENDED 31 MARCH 2018

Ahli Bank Q.S.C. INTERIM CONDENSED CONSOLIDATED FINANCIAL STATEMENTS FOR THE THREE MONTH PERIOD ENDED 31 MARCH 2018 INTERIM CONDENSED CONSOLIDATED FINANCIAL FOR THE THREE MONTH PERIOD ENDED 31 MARCH 2018 CONTENTS Independent auditor s review report Page(s) -- INTERIM CONDENSED CONSOLIDATED FINANCIAL Interim condensed

More information

Supplementary Regulatory Capital Disclosure and Pillar 3 Report

Supplementary Regulatory Capital Disclosure and Pillar 3 Report Supplementary Regulatory Capital Disclosure and Pillar 3 Report For the period ended October 31, 2018 For further information, please contact: Amy South, Senior Vice-President, Investor Relations (416)

More information

BANK OF CHINA (CANADA) BASEL PILLAR III DISCLOSURES AS AT DECEMBER 31, 2014

BANK OF CHINA (CANADA) BASEL PILLAR III DISCLOSURES AS AT DECEMBER 31, 2014 BANK OF CHINA (CANADA) BASEL PILLAR III DISCLOSURES AS AT DECEMBER 31, 2014 Table of Contents 1. Scope of Application... 5 2. Capital Management... 3 (a) Capital structure... 3 (b) Capital adequacy ratio...

More information

What IFRS 9 means to insurers. Developing insurance specific business capabilities

What IFRS 9 means to insurers. Developing insurance specific business capabilities What IFRS 9 means to insurers Developing insurance specific business capabilities Contents Executive summary 3 1. Bridging the gap between assets and liabilities 5 2. Smart and effective impairment approach

More information

DURATION MATCHING DISCUSSION PAPER

DURATION MATCHING DISCUSSION PAPER 0 RATE APPLICATION 0 0 0 DURATION MATCHING DISCUSSION PAPER In the most recent PUB Order / from December 0, it was ordered that: MPI shall submit a discussion paper of the duration matching of its claims

More information

Recent developments in. Portfolio Modelling

Recent developments in. Portfolio Modelling Recent developments in Portfolio Modelling Presentation RiskLab Madrid Agenda What is Portfolio Risk Tracker? Original Features Transparency Data Technical Specification 2 What is Portfolio Risk Tracker?

More information

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES

The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES The Goldman Sachs Group, Inc. PILLAR 3 DISCLOSURES For the period ended March 31, 2018 TABLE OF CONTENTS Page No. Index of Tables 1 Introduction 2 Regulatory Capital 5 Capital Structure 6 Risk-Weighted

More information

Basel III, Risk Assessment and Stress Testing

Basel III, Risk Assessment and Stress Testing Basel III, Risk Assessment and Stress Testing Why Attend This course is designed as an intermediate level in depth look at the key provisions of the Basel III regulatory framework, the ongoing risk assessment

More information

Basel II Pillar 3 disclosures

Basel II Pillar 3 disclosures Basel II Pillar 3 disclosures 6M10 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated

More information

OP Mortgage Bank: Financial Statements Bulletin for 1 January 31 December 2017

OP Mortgage Bank: Financial Statements Bulletin for 1 January 31 December 2017 OP MORTGAGE BANK Stock exchange release 8 February 2018 Financial Statements Bulletin OP Mortgage Bank: Financial Statements Bulletin for 1 January 31 December 2017 OP Mortgage Bank (OP MB) is part of

More information

Instruments-Classification. Measurement and Impairment. Credibility. Professionalism. AccountAbility

Instruments-Classification. Measurement and Impairment. Credibility. Professionalism. AccountAbility IFRS IFRS 139 Fair Financial Value Instruments-Classification Measurement and Impairment Credibility. Professionalism. AccountAbility Agenda Adoption permutations Scope of the standard Definitions Classification

More information

Assets and liabilities measured at fair value Table 77 As at October 31, 2015

Assets and liabilities measured at fair value Table 77 As at October 31, 2015 Most of the other securitization exposures (non-abcp) carry external ratings and we use the lower of our own rating or the lowest external rating for determining the proper capital allocation for these

More information

Regulatory Capital Pillar 3 Disclosures

Regulatory Capital Pillar 3 Disclosures Regulatory Capital Pillar 3 Disclosures June 30, 2015 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply 3 Capital

More information

Report on Basel II - Pillar III Disclosure Requirements

Report on Basel II - Pillar III Disclosure Requirements Report on Basel II - Pillar III Disclosure Requirements 47 Basel II - Pillar III Disclosure For the Year Ended 31 December 2011 DISCLOSURE REQUIREMENTS UNDER PILLAR III OF BASEL II. 1. Disclosure Policy

More information

PILLAR 3 Disclosures

PILLAR 3 Disclosures PILLAR 3 Disclosures Published April 2016 Contacts: Rajeev Adrian Sedjwick Joseph Chief Financial Officer Chief Risk Officer 0207 776 4006 0207 776 4014 Rajeev.adrian@bank-abc.com sedjwick.joseph@bankabc.com

More information

OP MORTGAGE BANK Stock exchange release 2 August 2017 Interim Report. OP Mortgage Bank: Interim Report for January June 2017

OP MORTGAGE BANK Stock exchange release 2 August 2017 Interim Report. OP Mortgage Bank: Interim Report for January June 2017 OP MORTGAGE BANK Stock exchange release 2 August 2017 Interim Report OP Mortgage Bank: Interim Report for January June 2017 OP Mortgage Bank (OP MB) is part of OP Financial Group and its role is to raise,

More information

The PNC Financial Services Group, Inc. Basel III Pillar 3 Report: Standardized Approach June 30, 2018

The PNC Financial Services Group, Inc. Basel III Pillar 3 Report: Standardized Approach June 30, 2018 The PNC Financial Services Group, Inc. Basel III Pillar 3 Report: Standardized Approach June 30, 2018 Page References Pillar 3 Disclosure Description Pillar 3 Report June 30, 2018 Form 10-Q Introduction

More information

CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION

CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION CITIBANK, N.A. SOUTH AFRICA BRANCH QUARTERLY PUBLIC DISCLOSURE INFORMATION Citibank, N.A. is incorporated in the United States of America and has a national bank charter under the National Bank Act of

More information

Financial instruments IFRS 9 development Project phase Exposure draft Status / next steps 1a. Classification & measurement of financial assets 1b. Cla

Financial instruments IFRS 9 development Project phase Exposure draft Status / next steps 1a. Classification & measurement of financial assets 1b. Cla www.pwc.com Financial instruments Financial instruments Disclosures Hedging Impairment Derecognition Accounting for financial assets and financial liabilities Compound Instruments Equity or liability Definitions

More information

In various tables, use of - indicates not meaningful or not applicable.

In various tables, use of - indicates not meaningful or not applicable. Basel II Pillar 3 disclosures 2008 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG

More information

CFA Level III - LOS Changes

CFA Level III - LOS Changes CFA Level III - LOS Changes 2016-2017 Ethics Ethics Ethics Ethics Ethics Ethics Ethics Ethics Topic LOS Level III - 2016 (332 LOS) LOS Level III - 2017 (337 LOS) Compared 1.1.a 1.1.b 1.2.a 1.2.b 2.3.a

More information

Measurement of Market Risk

Measurement of Market Risk Measurement of Market Risk Market Risk Directional risk Relative value risk Price risk Liquidity risk Type of measurements scenario analysis statistical analysis Scenario Analysis A scenario analysis measures

More information

Regulatory Capital Pillar 3 Disclosures

Regulatory Capital Pillar 3 Disclosures Regulatory Capital Pillar 3 Disclosures December 31, 2016 Table of Contents Background 1 Overview 1 Corporate Governance 1 Internal Capital Adequacy Assessment Process 2 Capital Demand 3 Capital Supply

More information