AFB Seminar: Basel 3.1 Implementation – Review of UK Standardised Credit Risk Framework

The PRA published its Basel 3.1 Phase 2 near-final rules (PS9/24) on 12 September 2024. The rules come into force on 1 January 2026. The Phase 2 rules cover the revised standardised approach for credit risk, as well as feedback to the responses received on Pillar 2 relating to the Pillar 2A credit risk methodology, use of IRB benchmarks, and the interaction with the output floor.

As a follow-up to the successful virtual seminar presentation on the phase 2 rules by EY held on 15 October 2024, AFB has arranged a further in-person session with EY which will focus on a detailed review of the Credit Risk Framework under the Standardised Approach.

Why attend?

In the session held on 15 October, EY provided an overview of the changes to credit risk frameworks, output floor and Pillar 2A credit risk methodology.

In this seminar, they will cover the Standardised Credit Risk framework with a deep dive into the changes to the exposure classifications including the introduction of new sub-exposure classes, application of risk weights under a standardised approach, the use of external ratings along with the due diligence requirements, and the changes to credit risk mitigation methodologies.

Who should attend?

This seminar is aimed at Finance, Compliance and Risk teams as well as those responsible for regulatory reporting. 

Speakers

Linesha Mandry

Linesha leads EY’s Prudential Regulatory Assurance and has over eighteen years’ experience in industry and with EY in capital and liquidity management and prudential regulation. Linesha also has significant experience supporting financial institutions uplift and remediate regulatory reporting errors, risk management frameworks, operating models, and controls.

James Bateman

James is partner in EY’s Prudential Regulatory Assurance practice and has over twenty years’ experience of auditing and advising banking and capital markets clients in both London and New York. In recent years, James has acted as skilled person on several regulatory reporting s166 reasonable assurance reviews and has significant experience providing assurance over prudential regulation requirements.

Shiela Marie Antonio

Shiela is a Senior Manager in EY’s Prudential Regulatory Assurance practice and has over twelve years’ experience prudential regulatory assurance and advisory practice covering EU and UK requirements. Shiela has extensive experience leading and delivering regulatory assurance, including s166 Skilled Persons reviews, readiness reviews, and remediation programmes. Shiela also works on regulatory change and risk transformation projects aimed at enhancing regulatory reporting framework.

Dabeer Hassan

Dabeer is a Senior Manager in EY’s Prudential Regulatory Assurance practice and has over thirteen years’ experience in prudential reporting and prudential assurance mainly focusing on capital and liquidity management. Dabeer has led regulatory assurance engagements over prudential reporting, advisory projects covering capital strategy review and RWA optimisation review. Dabeer has also worked on long-term client secondments for s166 risk remediation, s166 readiness review and operational risk remediation.

Logistics

Fee:         Included in AFB membership (no fee)

Venue:     EY, 1 More London Place, London SE1 2AF

Date:        Thursday 12 December 2024

Time:       08:45 – 10:00 (arrival & breakfast from 08:30)

If you would like to submit a question or have any specific areas that you would like the session to address, please send them to AFB at secretariat@foreignbanks.org.uk You will receive details on how to join this session a week before the event.