Overview

This eCourse consists of three modules on Basel III. Module 1 describes the liquidity and leverage framework introduced by the Basel Committee on Banking Supervision (BCBS) as part of Basel III. Building on the lessons learned from the financial crisis, the module details the components and methodology of the three ratios introduced by the BCBS – namely the LCR, the NSFR, and the Basel III leverage ratio.

Module 2 covers Pillar 2, the second element of the “three pillars” framework introduced in Basel II and enhanced by Basel III. It focuses on ensuring banks have sufficient capital to address material risks and provides a detailed overview of the Pillar 2 regime.

Module 3 describes Pillar 3, the third element of the “three pillars” framework introduced in Basel II and enhanced by Basel III. It focuses on market discipline through minimum public disclosure requirements and standards for those disclosures, providing a detailed overview of the Pillar 3 regime.

Objective

On completion of this course, you will be able to:
- Recognize the relationship between liquidity risk and leverage and the need for Basel III framework to include requirements related to liquidity and leverage
- Define high quality liquidity assets (HQLAs) and the tiered approach to the inclusion/exclusion of assets from the HQLA standard
- Calculate a bank's net stable funding ratio (NSFR) and leverage ratio
- Recognize the importance of a robust liquidity risk management framework (LRMF)
- Recognize the purpose of the Pillar 2 framework and the four key principles outlined by the Basel Committee on Banking Supervision (BCBS)
- Identify the steps involved in the ICAAP process
- Recognize the need for supervisors to undertake a SREP and the various elements in the assessment process
- Recall the importance for banks to monitor performance, risk exposures, and capital adequacy, and perform a regular review of risk metrics and indicators
- Recognize Pillar 3 requirements and the principles for risk disclosure, as well as the challenges that banks face when reporting
- List the disclosures required by Pillar 3 and details of the formats required to be used when making disclosures
- Recognize the importance of data quality and regulatory reporting requirements

Content

Module 1: Basel III - Liquidity & Leverage
Topic 1: Overview of Liquidity & Leverage
Topic 2: High Quality Liquid Assets (HQLAs)
Topic 3: Net Stable Funding Ratio (NSFR)
Topic 4: Liquidity Risk Management

Module 2: Basel III – Pillar II & ICAAP
Topic 1: Overview of Pillar 2
Topic 2: Internal Capital Adequacy Assessment Process (ICAAP)
Topic 3: Supervisory Review & Evaluation (SREP)

Module 3: Basel III – Pillar 3 & Risk Reporting
Topic 1: Overview of Pillar 3
Topic 2: Pillar 3 Reporting Requirements
Topic 3: Data Quality & Regulatory Reporting