Course Agenda

Introduction

● Pillar 1 vs. Pillar 2 vs. Pillar 3

● Capital requirements. Role of the capital buffers

● Risk-weighted assets

● Pillar 1 vs Pillar 2 capital requirements

General methodology for identification of

enhancement opportunities

● General methodology

● Case study: Canadian banks’ main initiatives

● Case study: Societe Generale’s expected capital trajectory

Opportunities for reducing credit risk RWAs

● Data cleansing opportunities

● Methodological improvements

● Case study: Identifying opportunities under the standardized approach

● Case study: PD / LGD opportunities under the IRB approach

● Use of credit risk mitigation techniques

● Improving RWA impact of workout processes

● Case study: Bank ABC’s mortgage portfolio opportunities

● Case study: Commerzbank’s synthetic securitization of SME portfolio

Opportunities for reducing market risk RWAs

● Derivatives capital enhancement strategies

● FX exposures and structural hedging

● Case study: Barclays’ restructuring of level 3 assets

Opportunities for reducing operational risk RWAs

● General methodology

● Mitigation techniques

Opportunities for enhancing capital

● Excess capital in subsidiaries

● Uncovering value from hidden assets

● Improving the capital stack

● Case study: Banco Santander Brazil buyback of minority interests

● Case study: Banco Popular joint venture with Varde Partners

Other opportunities

● Case study: Barclays’ AT1 liability management

● Stock buybacks vs. dividends

● Pillar 2 capital enhancement opportunities

● Case study: RBS’ balance sheet deleveraging

● Case study: Deutsche Bank’s partial listing of DWS

● Case study: Citigroup’s use of DTAs