Adoption of BCBS 239: Process Definition and Relevant Impacts

Vienna, November 23 2015

Agenda 18.00 – 18.10 Introduction of BCBS 239, implications for the Austrian Market, Alfonso Asaro PRMIA Vienna Regional Director

18.10 – 18.40 Adoption of BCBS 239, the technology and data view. Matthias Piston, BCBS 239 Subject Matter Expert, SAS Germany • BCBS 239 from a technological viewpoint

• Consolidated and aggregated Data Quality Reporting

• Accelerated Ad hoc-Reporting

• Outlook: How to handle AnaCredit

18.40 – 19.20 Adoption of BCBS 239, the business and operational view. Mag. Gerald Redinger CRMA, Gesamtbankrisiko Raiffeisenlandesbank NÖ-Wien AG • BCBS 239 and data driven Banking regulation (G-SIBS, D-SIBS, all banks)

• Lessons learned from AQR and Stresstesting

• Self assessment and project planning

• Governance of Data, Architecture and Reporting

• Data Quality Management and Meta Data Management

• Reengineering of (Risk) Reporting

19.20 – 19.30 Q&A Session

19.30 – 20.30 Reception and networking

2

3

• Quality of data • Amount of Data • Timing of Data/Calculation

Type of Gap

• Manual adjustments • Manual integration • Path dependant/proxy

Implications/process

• Inconsistent data • Data mart proliferation • Workflow separation

Implications/IT

Discussions with different CiOs have confirmed that the complexity of regulatory requirements and the increasing needs of business are deepening the gap with existing architecture beyond manageable levels

The disruptive effect of regulation

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Excel- and Desktop-Migration

1 SAS Software Suite

BCBS 239 14 PRINCIPLES BROKEN DOWN IN 6 FIELDS OF ACTION

14 Principles 6 Fields of Action

Ad hoc-Reporting

Simulation and Stresstesting

Risk Reporting Practices

(Risk) Data Warehouse

Data Quality Management

Risk Data Aggregation Capabilities

Risk and Finance Integration Overarching Governance and Infrastructure

Supervisory Review, Tools and Cooperation

Analytics Factory

Data Management

Data Governance

Business Intelligence

High Performance

Technologies

Integration

Data Quality

Data Driven Regulation

Regulatory Issues

2015 2017

BCBS 239

Fund. Review of the Trading Book

AnaCredit

New Framework SA Credit Risk

IRB-Approach: new Floor

G-SIB Reporting

Recovery and Resolution

Framework Securitisation

EZB-Reporting

EBA Stresstest

Non Internal Models Method for CCR

Interest rate risk investment book

Revised Framework IRBA

Final Configuration Leverage Ratio

Finale Configuration NSFR

Vorhaben / Initiative (Auswahl)

moderate work load

high work load

2016

Basel III: ITS/RTS & EBA Q&A

SSM/SREP

Preliminary study

Preliminary study

Preliminary study

Preliminary study

Preliminary study

Preliminary study

Preliminary study

Preparations for

Stresstest in 2016

RDA for D-SIBs (three years

after nomination – Start

preliminary studies delayed

New Pillar 3 Disclosure Handling of data availability

and DQ-Issues

very high work load

IFRS 9 Implementation in delay in

many banks

Preliminary study

Source: zeb Mag. Gerald Redinger