LCR and NSFR: Implications and Calculations
New York 24 & 25 September, 2014
About the Course
Risk has designed a two day course in order to offer attendees practical guidance on how to implement both ratios, focusing on the US LCR and NSFR implications and calculations.
The first day of the course will cover the LCR, providing an in depth analysis of US LCR implementation, followed by an examination of several key areas in which the proposed US LCR differs from the Basel LCR, and finishing with assets classifications and data management.
The second day will start with the LCR calculation methodology and reporting, followed by a comprehensive analysis of the implementation, impacts and challenges of NSFR.
- An overview of the US Liquidity Rules impacts on financial markets and banks business models
- Knowledge of how to implement the US LCR ratio and an understanding of its main implementation challenges such as frequency of calculation and reporting, HQLA eligibility criteria and the strict calculation methodology
- Ability to calculate and report the US LCR and NSFR ratios
- In depth comprehension of liquid assets classifications, HQLA characteristics and operational requirements
- Capability to implement the NSFR ratio by understanding its timeline application, funding strategy and key implementation challenges
- Comprehend the present status and future implications of NSFR
- Frank Sansone, SVP Deputy Head of Treasury, China Construction Bank
- Christian Pichlmeier, Director Treasury, Mitsubishi UFJ Securities
- Olga Cooperman, Financial Resources Management, Deutsche Bank
- Matthieu Royer, Head of Origination Advisory and Head of ALM/CPM, Credit Agricole Corporate and Investment Bank
- Rosemary Rinder, Risk Data Governance Officer, Citibank
- Andrew Fei, Associate, Davis Polk & Wardwell
- Victor Hong, Consultant - Enterprise Capital Management, Bank of America
- Samim Ghamami, Economist, Federal Reserve Board