8th annual liquidity risk management europe
TRANSCRIPT
LIQUIDITY RISK MANAGEMENT EUROPE
13 JUNE, 2019 | LONDON
Exploring the scope of liquidity risk management and changes to markets, funding and regulation
8TH ANNUAL
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
BRING THE TEAM3RD ATTENDEE GETS 50% OFFwhen registering at the same time
STANDARD RATE FROM £699*Registrations after 31 May
CPD ACCREDITATION:
BREXIT Exploring the impact of Brexit on liquidity risk and
the potential changes to the business
INTRADAY LIQUIDITY Reviewing the granularity of intraday liquidity requirements
and the uses within forecasting
LIBORExamining the treatment of contracts as the industry
transitions towards Libor phase out
BALANCE SHEET MANAGEMENTDiscussing alignment between departments and creating
effective balance sheet management
KEYNOTE SESSIONS
PLUS TWO INDIVIDUAL WORKSTREAMS
STREAM ONE: REGULATORY AGENDA REGULATORY PERSPECTIVE - PRA110
The Bank of England offers insight on the PRA110 requirement
PRA110Discussing the reporting requirements under PRA110
and the ability to reconcile data across returns
NSFRAnalysis of the final NSFR rule and timelines as
firms prepare for implementation
STREAM TWO: MARKETS & FUNDING FUNDING
Reviewing the funding requirements within markets and managing funds transfer pricing
INTEREST RATE RISKUnderstanding the impacts of interest rate risk on
liquidity and product pricing
CROSS CURRENCY BASIS RISKA discussion and exploration into cross currency basis risk including measurement, management and control
HEAR FROM 15+ SENIOR TREASURY AND LIQUIDITY RISK PROFESSIONALS INCLUDING:John Hoque
MD, Head of Execution and Funding
NatWest Markets
Rodolphe SahelManaging Director –
Global Head of Liquidity Risk ManagementSociete Generale
Graham LaberSenior Risk Specialist
Bank of England
Brian BrownHead of Liquidity Risk
Management for UKI/CIB
Deutsche Bank
Lena YoungHead of Audit Liquidity
and FundingCredit Suisse
Andrew SmithHead of Treasury
Cynergy Bank
Sridhar AiyangarGroup Head, Balance Sheet and Liquidity
ManagementBank ABC
Martin HarrisonHead of Liquidity Risk
Nationwide
Phil HeadleyManaging Director,
Regulatory ReportingMizuho
Jacek RzeznikHead of Balance Sheet Risk Team
mBank
Christopher BlakeSenior Manager
Liquidity RiskHSBC
Mike GregoryHead of TreasuryCommonwealth
Bank
CO-SPONSORS:
8TH ANNUAL LIQUIDITY RISK EUROPE | 13 JUNE, 2019 | LONDON
SPONSORSHIP & EXHIBITION Advance your branding, awareness, industry expertise, thought-leadership and lead-generation at the upcoming 8th Annual Liquidity Risk Management Europe.
Sponsorship and exhibition with The Center for Financial Professionals offers unique networking, brand recognition and thought-leadership deliverance opportunities with senior risk professionals from around the world. Whether you want full branding across the event or simply a well-positioned exhibition stand, our business development team will tailor the right package for you. We do everything we can to help you get your marketing message across and also to benchmark the return on your investment.
For more information please call us on +44 (0) 20 7164 6582 +1 888 677 7007
or email [email protected]
WHY ATTEND?The scope of liquidity continues to evolve as the landscape experiences turbulence and new challenges. More than ever the role of the liquidity professional is being stretched to cover more areas and manage multiple risk types. In this new era industry professionals must be adaptable and agile to cope with increasing risk.
One such example of change comes in the form of markets and funding. The last twelve months have displayed how items such as Brexit, interest rate risk and central bank funding have caused concern. Unfortunately there doesn’t seem to be a light at the end of the tunnel as the coming months are set to be even more uncertain. Liquidity professionals will have to consider new risks such as the finalization of Brexit and other items such as Libor Reform.
Another strong staple on the agenda is the regulatory environment and how this is impacting liquidity risk manage-ment. This year the highly anticipated NSFR final rule will swing into motion as firm prepare for implementation. Plus the PRA110 requires attention to ensure effective reporting and compliance. Whereas other elements such as intraday liquidity and stress testing continue to be in focus as firms aim to enhance operations.
To explore these areas further The Center for Financial Professionals has developed a compact and concise one day forum. The 8th Annual Liquidity Risk Management Europe will provide a platform for the industries finest to discuss and debate the leading questions surrounding liquidity risk. Just some of the key topics addressed at the forum include;
• Brexit• European regulation• Balance sheet management• NSFR
• Stress testing • PRA110• Funding • Libor reform
• Intraday liquidity• Interest rate risk• Technology in treasury
CO-SPONSORS:
BearingPoint is an independent management and technology consultancy with European roots and a global reach. The company operates in three units: Consulting, Solutions and Ventures. Consulting covers the advisory business; Solutions provides the tools for successful digital transformation, regulatory technology and advanced analytics; Ventures drives the financing and development of start-ups. BearingPoint’s clients include many of the world’s leading companies and organizations. The firm has a global consulting network with more than 10,000 people and supports clients in over 75 countries, engaging with them to achieve measurable and sustainable success. To learn more, please visit: Website: www.bearingpoint.com
Quantitative Risk Management (QRM) is the world’s premier enterprise risk management consulting firm. QRM develops industry-leading risk management principles, practices, and models, and provides clients with the advice, knowledge, and tools necessary to leverage those innovations into higher risk-adjusted returns. Since 1987, we have partnered with our clients to enhance their ability to measure risk, identify profitable opportunities, and make sound financial decisions. With offices in Chicago, London, and Singapore, QRM has established over 250 long-term engagements with top financial institutions from the banking, finance, and insurance industries worldwide.
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
We are pleased to announce that our courses have been independently evaluated for Continuing Professional Development purposes by The CPD Certification Service. This means our courses comply with universally accepted principles of Continual Professional Development (CPD) and have been structured to meet the criteria of personal development plans.
8TH ANNUAL LIQUIDITY RISK EUROPE | 13 JUNE, 2019 | LONDON
AGENDA | 13 JUNE
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
08:00 REGISTRATION AND BREAKFAST
08:50 CHAIR’S OPENING REMARKSSimon Ansfield, Senior Manager, BearingPoint
BREXIT – PANEL DISCUSSION09:00 Reviewing the impact of Brexit on liquidity risk and potential changes to business strategy to stay ahead
- Impact on assets, central counterparties, credit and cost of funding - Regulatory landscape post Brexit
- Macroeconomic risk: Modeling the unknown - Impact on markets and cross border investing
- Setting up subsidiaries or intra group flows - Impact on consolidated reporting
- Operational considerations for liquidity flows
Phil Headley, Managing Director, Regulatory Reporting, MizuhoBrian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank
INTRADAY09:40 An exploration into intraday liquidity to discover what it is and why it’s important?
Chris Blake, Senior Manager, HSBC
10:15 MORNING REFRESHMENT BREAK AND NETWORKING
INTRADAY CONTINUED10:45 Intraday liquidity risk: Myth or reality? The concrete move forward
- Why is intraday liquidity as specific risk management matter?- What are supervisors expecting from Banks?
- How to get started?- What are then the more refined challenges to address?
Rodolphe Sahel, Managing Director – Global Head of Liquidity Risk Management, Societe Generale
PRA 110 – PANEL DISCUSSION 11:25 Understanding PRA 110 reporting requirements and reconciling data across returns
- Reconciling and stressing data from old return to new - Controls and governance
- Ensuring complete and accurate data: XBRL taxonomy - EBA returns post Brexit
- Harmonising and standardising interpretation and implementation - Regulatory feedback to ensure comparability across institutions
- How will reports inform Pillar 2 assessment
Martin Harrison, Head of Liquidity Risk, NationwideChris Blake, Senior Manager, HSBC
Graham Laber, Senior Risk Specialist, Bank of England
12:00 Incorporating management actions into a strategic planning process- Liquidity risk and holistic analysis
- The treasury business unit and the business plan- Building the best contingency plan
Aaron Sanders, Head of Liquidity, Quantitative Risk Management
12:35 LUNCH BREAK AND NETWORKING
1:35 A Question of Timing - An Agile Approach to Benchmark Migration- How xIBOR Benchmark Reform impacts the whole industry: wholesale banking, retail banking through to asset management
- Discussion on challenges in the project planning and migration process- Presentation of an “Agile” Project Management methodology to manage internal and external timing risks
Bernd Geffers, Senior Manager, BearingPoint
LIBOR 2:10 Treatment of new and existing contracts as the industry transitions towards LIBOR phase out
- Standardised contract language - Treatment of derivatives and bonds- Alternative benchmarks ready to use - What influences new Vs. current rate
- Move from LIBOR to SONIA - Impact on existing contracts
o Transition arrangements? - Internal FTP – moving away from LIBOR as an internal benchmark
John Hoque, MD, Head of Execution and Funding, NatWest Markets
8TH ANNUAL LIQUIDITY RISK EUROPE | 13 JUNE, 2019 | LONDON
*PLEASE NOTE THIS AGENDA IS SUBJECT TO CHANGE*
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
TECHNOLOGY – PANEL DISCUSSION 2:45 Managing increased use of technology in markets and understanding the changing risk landscape
• Level of liquidity behind algorithms in trading • Understanding how models interact with each other to understand risk
• Preparing for liquidity risk of the future • What does a recession look like with technology• How technology will play into liquidity reporting
• Technology infrastructure capability • The rise of challenger bank models
• How FinTech helps or hinders the business model
Jacek Rzeznik, Head of Balance Sheet Risk Team, mBankJasper Lillingston, Director, Head of G7 Portfolio Management, European Bank for Reconstruction & Development (EBRD)
3:25 AFTERNOON REFRESHMENT BREAK AND NETWORKING
STREAM ONEREGULATORY AGENDA
Moderated by: Sridhar Aiyangar, Group Head, Balance Sheet and Liquidity Management, Bank ABC
STRESS TESTING3:55 Utilising stress testing as a value added tool to effectively manage liquidity risk Role of risk management, finance and treasury - Designing liquidity risk monitoring tools for asset incumbents - Balancing liquidity risk and credit risk - Strengthening link between ICAAP and ILAAP - Calibration of liquidity risk limits- Data and information technology requirements
Brian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank
BALANCE SHEET MANAGEMENT – PANEL DISCUSSION4:30 Creating a holistic view and aligning departments for effective balance sheet management - Auditing balance sheet management - Consistency across balance sheet - Reviewing documentation and models feeding balance sheet - Leveraging IFRS 9 into balance sheet management - Increased shocks and curves to implement under ECB guidance - Understanding impact of changes to LCR Pillar 2 requirements
Mike Gregory, Head of London Treasury, Commonwealth Bank of AustraliaBrian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank
NSFR5:10 NSFR Final rule outline and timelines for final implementation • Changes in market, pricing and behaviour • Funds transfer pricing • Impact on business model • Impact of ring fencing on traditional sources of liquidity • Managing cost and stability through cheaper sources of funding • Managing collateral and impact on repo markets • Interaction with other regulations
Sridhar Aiyangar, Group Head, Balance Sheet and Liquidity Management, Bank ABC
STREAM TWOMARKETS & FUNDING
Moderated by: Simon Ansfield, Senior Manager, BearingPoint
3:55 A discussion and exploration into cross currency basis risk• What is cross currency basis risk?• Term structure and correlation between different currencies• Emerging Market funding• What banks can do to manage the risk? Which areas can create exposure?• Mitigation strategies• Key considerations when calibrating a liquidity risk framework
Dimitrios Papathanasiou, Head of EMEA Treasury and Liquidity risk, Credit Suisse
FUNDING – PANEL DISCUSSION 4:30 Funding requirements in markets and managing funds transfer pricing • System requirements to monitor funding • Collateral to raise funding: right place, currency and forum • Planning for operational build out • Impact on clearing, FX and central bank access • Managing the cost of maintaining LCR and NSFR • Steering the balance sheet • Price of liquidity and impact on lending
Lena Young, Head of Audit Liquidity and Funding, Credit Suisse Sridhar Aiyangar, Group Head, Balance Sheet and Liquidity Management, Bank ABC
INTEREST RATE RISK 5:10 Impact of interest rate risk on liquidity and pricing products • Management in the banking book• Forecasting for impact on stability of deposits • Impact on cost and availability of liquidity • Evaluating and monitoring capital assessment for risk • Managing interest rate risk mergers with asset and funding profile • Modeling scenarios and approaches for adoption
Aoife McGloughlin, Senior Market Risk Manager, Bank of Ireland
5:45 CHAIRS CLOSING REMARKS
5:55 END OF FORUM
BRING THE TEAM3RD ATTENDEE GETS 50% OFFwhen registering at the same time
1 2 50% OFF
AGENDA | 13 JUNE
8TH ANNUAL LIQUIDITY RISK EUROPE | 13 JUNE, 2019 | LONDON
2019 SPEAKERS
Sridhar AiyangarGroup Head, Balance Sheet and Liquidity ManagementBank ABC
Simon AnsfieldSenior Manager, BearingPoint
Chris BlakeSenior ManagerHSBC
Brian Brown Head of Liquidity Risk Management for UKI/CIBDeutsche Bank
Bernd GeffersSenior ManagerBearingPoint
Mike GregoryHead of London TreasuryCommonwealth Bank of Australia
Martin HarrisonHead of Liquidity RiskNationwide
Phil HeadleyManaging Director, Regulatory ReportingMizuho
John HoqueMD, Head of Execution and FundingNatWest Markets
Graham LaberSenior Risk SpecialistBank of England
Jasper LillingstonDirector, Head of G7 Portfolio Management European Bank for Reconstruction & Development (EBRD)
Aoife McGloughlinSenior Market Risk Manager Bank of Ireland
Dimitrios PapathanasiouHead of EMEA Treasury and Liquidity risk Credit Suisse
Jacek RzeznikHead of Balance Sheet Risk Team mBank
Rodolphe Sahel Managing Director – Global Head of Liquidity Risk ManagementSociete Generale
Aaron SandersPractice Lead, Liquidity Risk ManagementQuantitative Risk Management
Lena YoungHead of Audit Liquidity and Funding Credit Suisse
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
BRING THE TEAM3RD ATTENDEE GETS
50% OFFwhen registering at the same time
1 2 50% OFF
8TH ANNUAL LIQUIDITY RISK EUROPE | 13 JUNE, 2019 | LONDON
TOPICS ADDRESSED FOR 2019:
KEYNOTE SESSIONS Data privacy | Regulatory agenda | Artificial
Intelligence | Role of the risk manager
INNOVATION IN RISK & OPERATIONAL RESILIENCE
Innovation | FinTech | PSD2/open banking | Data | Cyber risk | Machine learning | Conduct risk |
Resilience | RegTech
STRATEGIC BALANCE SHEET MANAGEMENT
Capital | Liquidity risk | Stress testing | TLAC & MREL | Recovery & resolution planning |
Model risk | TRIM | FRTB
EVOLUTION & FUTURE TRENDS IN CREDIT RISK
Derivatives & clearing | Portfolio management | Default | Brexit | IFRS 9 | IRB models | Trade
segregation | Credit markets
RISK EMEA 20198TH ANNUAL
11-12 JUNE, 2019 | LONDON
FINANCIAL RISK, REGULATION & TECHNOLOGY SUMMIT
HEAR FROM MORE THAN 60 CROS & HEADS OF RISK INCLUDING:
The CRO Function Data Privacy
Regulatory Agenda
Artificial Intelligence
Role of the Risk Manager
#LRM E: [email protected] T: +44 (0) 207 164 6582www.cefpro.com/liquidity
KEYNOTE SESSIONS - DAY ONE
Full the full agenda at www.risk-emea.com
Ebbe Negenman, Chief Risk Officer Aegon Bank
Louise Thorpe, Chief Privacy Officer American Express
Paul Kennedy Chief Risk Officer
National Bank of Kuwait
Jeff Simmons Chief Risk Officer MUFG Securities
(Europe) N.V.
Simon Gadd Group Chief Risk Officer
Legal & General
KEYNOTE SESSIONS - DAY TWO
Alistair Nunn, CRO Barclays UK Ventures, Barclays
Sedjwick Joseph CRO
Bank ABC
Nasreen Kasenally Chief Risk Officer
AM UBS
Thomas Dodd Chief Compliance
Officer Moneta Money
Bank
Mark Chaplin UKI Chief Risk
Officer Aviva Plc
The Summit will feature 60+ industry presenters including C-suite
professionals and Heads of Risk, 36 presentations, 14 panel
discussions, 7 hours of networking, 5 keynote sessions and 300+
like-minded attendees!
HEAR INSIGHTS FROM ORGANISATIONS SUCH AS:
HSBC | Citi | Credit Suisse | BNP Paribas | ING | Deutsche Bank | AIG | Lloyds Banking Group | NatWest Markets | AXA XL | Bank of America Merrill
Lynch | Metro Bank | EBA | Morgan Stanley | SMBC Europe Limited | Mizuho | and many more...
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