Agenda

4th Annual Liquidity Risk Management USA

October 2-3 2019 | New York
Day One

REGULATION INTRODUCTION
09:00 An introduction into the regulatory landscape and current industry trends

  • Current themes
  • Changes to regulation
  • Changes to regulation

Andres Oranges, Chief Operating Officer, Treasury, Société Générale

REGULATION – PANEL DISUCSSION
09:30 Exploring the evolution of US regulatory frameworks including disparities between FBOs and domestic firms

  • FED tailoring proposal & regulatory relief
    • Potential change to calculating liquidity needs
    • Competitive landscape
  • Disparities between mid-sized domestic firms and FBOs
    • bias in reducing the regulatory burden
    • Who will be the winners and who will be the losers?
  • FBOs: changes to the buffer & additional requirements
  • Reduction in LCR and CCAR requirements

Aleksandra Dymanus, Senior Examiner, Federal Reserve Bank of Atlanta
Malik Ali, Senior Director, Capital Markets, Treasury & Finance, Internal Audit, CIBC
Roberto Severino, Head of Market and Liquidity Risk, Santander
Andres Oranges, Chief Operating Officer, Treasury, Société Générale

10:20 Morning refreshment break and networking

BASEL RULES
10:50 Elaborating on the Basel rules and the expectations for those operating in the US and globally

  • Alignment with US and Basel
  • FBO compliance with home and local regulators
    • competitive disadvantage & un-level playing field
  • Amendments or changes to LCR & NSFR
  • Impact on funding cost, trading & FTP
    • Cost associated with holding assets
  • Allocating costs back to the business & making intelligent business decisions
  • Final agenda & timeframes
  • Preparing for worst case scenario

NSFR
11:30 Reviewing the NSFR requirements and how firms can effectively manage the project, maintain balance sheet quality and incentivise the business

  • Regulatory approaches – Europe, Canada & US
  • What will the final rule look like?
  • Determining strategy
    • Obtaining deposits
    • What to tell/sell to clients
  • Impacts on FTP, value of liquidity and capital & liquidity buffers
  • Term loans & off balance sheet funding
  • Adjusting/re-visiting trading and derivatives
  • Lessons learned from LCR – Timelines, implementation & managing multiple metrics

Shahab Khan, Americas Head of Regulatory Interpretations,Deutsche Bank

LIQUIDITY STRESS TESTING
12:10 Discussing ongoing developments within liquidity stress testing including modelling, data and achieving regulatory satisfaction

  • Regulatory reporting – what information do you have to support your claims?
    • Justifying risk without restricting business
    • How are regulators interpreting the data? Peer analysis
  • Reliability of data to support stress testing
    • Base line data, historical data & expert judgement
    • Reliability of data when it’s transformed
  • Granularity of modelling & business involvement
  • Limits and EWIs
  • Incorporating FTP and rate conditions into stress testing

Vineet Gumasta, Head of Balance Sheet Risk Management, North America, Rabobank

12:50 Lunch break and networking

ASSUMPTIONS
1:50 Liquidity Assumptions – An exploration and discussion into the oversight of assumptions with particular emphasis on qualitative approaches

  • Description of Qualitative approaches as it relates to Liquidity
  • Assumptions
    • What are Assumptions
    • Rationale for using assumptions (Industry, Empirical evidence or Management/SME)
    • How are assumptions supported
    • Governance
    • in-model assumptions vs other management assumptions
  • Independent validation of assumptions
  • Closing Remarks

Joe Peedikayil, SVP, Liquidity/Credit/Capital-Qualitative Model Validation, Wells Fargo

ASSUMPTIONS CONTINUED
2:30 Examining liquidity assumptions from an Audit approach and perspective

  • Assumptions – a key liquidity model components
  • Regulatory expectations – reasonableness and periodical reviews
  • Accountability of assumptions – Policy, procedure and senior manager involvement
  • Development of Assumptions – models vs. expert judgement
  • Frequency of re-visiting and challenging assumptions
    • Changes to the business
    • Involvement of the lines of defense
  • Audit Approach

RESERVED – SPEAKER TO BE ANNOUNCED

INTRADAY LIQUIDITY – PANEL DISCUSSION
3:10 Investigating the continued evolution of intraday liquidity and how firms can enhance regulatory compliance and operational efficiency

  • Key regulatory obligations – PRA, ECB and Fed approach
    • Expectations for different sized business
    • FBOs & avoiding double duty
  • Quantifying & modelling stress testing requirements
    • Calculating stress outflow & intraday liquidity needs
    • Scenarios
  • Data to display consumption and monitor appetite
    • Accessing & consolidating data
    • Live reporting
  • Technology to hold payments & manage consumption
  • Preparing for rising rate environments and cash scarce positions
  • Management in BAU – Ensuring operations still make sense going forward
  • Inter-day liquidity – balance sheet practice & business management

Philippe Rosset, Executive Director, Group Treasury, UBS AG
Gautam Jha, Director Liquidity Risk, Bank of Tokyo-Mitsubishi

4:00 Afternoon refreshment break and networking

ROLE OF LIQUIDITY
4:30 Debating the evolving role of liquidity risk management and how professionals can stay ahead in this dynamic industry

  • Changes to organisation structure
  • Bridging the gap between capital, market, interest rate and liquidity risk
  • Growing inclusion of FinTech & technology
  • Preparing for future liquidity scarce scenarios

Andrew Craig, Officer, Funding and Liquidity Risk, Federal Reserve Bank of New York

NEXT CRISIS
5:10 Exploring economic recession scenarios and active planning for potential liquidity shortfalls within the economic environment

  • What will the next crisis involve?
  • Stress testing scenarios and the predicted impact on liquidity
  • Monitoring and manging large FIs such as hedge funds & private equity
    • Regulatory oversight, daily checks & controls on big funds
  • Trade relationships
  • Control mechanisms if a bank’s client fails
  • FBOs and reliance on parent support
  • Proactive in planning and monitoring
    • 12-24 month forecasting & funding plans
  • Contingency funding plans

Rosanna Pezzo-Brizio, Treasurer and Head of Fixed Income, Intesa Sanpaolo

5:50 Chairs closing remarks

6:00 End of Day One & Networking Drinks Reception

4th Annual Liquidity Risk Management USA

October 2-3 2019 | New York
Day Two

INTEREST RATES – PANEL DISCUSSION
09:00 Discussing the rate environment and how firms can sufficiently plan and prepare for multiple outcomes

  • Process and tools for forecasting
  • Organisational structure to monitor – Alignment between capital, liquidity and interest rates
  • Lessons learned from past scenarios
  • Future rate hikes & economic recession
    • Impact on liquidity & unintended consequences
  • Best practice for EVE requirement in IRRBB – top down vs bottom up approach
  • Calculating net interest income – Building in house vs outsourcing

Daniel Weigert, Head of Market and Liquidity Risk, IDB Bank, NY
Yuhong Liu, Director, BNP Paribas
Vincent Chau, Director, Liquidity and Funding Risk Officer, UBS

MARKETS
09:50 Exploring recent changes and future variations in markets and the potential implications for liquidity risk management

  • Treasury markets and repo markets
  • 2018 abnormalities – spikes in equity markets & fixed income markets
  • Managing portfolios amidst volatility
  • Firm positioning
  • Coping with abnormalities and future turbulence

Daniel Weigert, Head of Market and Liquidity Risk, IDB Bank, NY

10:30 Morning refreshment break and networking

BALANCE SHEET MANAGEMENT
11:00 Assessing the viability of the balance sheet as firms face growing pressure to be regulatory compliant and provide flexibility to the business

  • Maintaining balance sheet stability and risk appetite
  • Is the balance sheet too stable and restricting business/undermining shareholders?
  • Growing the balance sheet in a rising rate environment
    • Rate hikes & targeting the yield curve
    • Maintaining risk management, controls and funding profile
  • Impact of Fed balance sheet and balance sheet unwind
  • Reacting to unforeseen circumstances and preparing for the next crisis

Armel Romeo Kouassi, Head of Balance Sheet and Treasury Portfolio Modeling, Northern Trust

CASH MANAGEMENT
11:40 Corporate Treasurer approach to managing excess cash

Indra Kish, Director, Liquidity Advisor, BNP Paribas (TBC)

12:20 Lunch break and networking

1:20 Impact of collateralisation on liquidity risk management

  • General overview and analysis of secure funding transactions
  • Dependency on secure funding activity
    • Types of funding
    • Diversity in funding
  • Liquidity cost in secure funding

Roberto Severino, Head of Market and Liquidity Risk, Santander

LIBOR
2:00 Transition from LIBOR and SOFR Overview: Timelines, consequences and the path forward

  • Brief history of LIBOR and reasons for transition
  • Anticipated timelines for transition
  • Introduction to SOFR
    • SOFR defined
    • Differences between SOFR and LIBOR
    • Market dynamics – volatility in rates at month & quarter end
    • Current SOFR markets and issuance
    • Other indices to consider –Fed funds, ICE Bank High Yield Index
  • Migration Challenges – Summary

Jennifer Fitzgibbon, Managing Director, Head of Treasury Americas, Rabobank

SOFR IMPLEMENTATOIN – PANEL DISCUSSION
2:40 Exploring the challenges faced by different institutions in implementing SOFR

  • Internal business and infrastructure considerations
  • Changing models to SOFR to evaluate the products (loans, leases, market products, deposits) for which LIBOR is currently used
  • Pricing products off SOFR – cash and derivatives
  • Impact on clients – changes to legal documentation & competitive landscape
  • Possible impact on profit and loss if SOFR is used (pro-forma profit and loss)
  • What will the balance sheet, derivatives market, trading & FX look like after LIBOR phase out?

Jennifer Fitzgibbon, Managing Director, Head of Treasury Americas,
Gaurav Shukla, Managing Director, Regulatory Affairs, Morgan Stanley

3:30 Afternoon refreshment break and networking

COST OF CAPITAL
4:00 Investigating the increased cost associate with capital and the potential challenges in effectively managing the balance sheet

  • Harder to make money and low margin business
  • Non-banks trading in the market driving competition
    • hedge funds and big private equity
  • Efficiency from a capital resource perspective
  • Deciding on how much balance sheet to take on
    • evaluating the desired outcome & goals
  • Deciding on which areas to fund
  • Capital limits

FTP
4:40 Discussing the ongoing management and enhancement of funds transfer pricing as firms aim to strengthen the function

  • Implementation and management – current progress
  • FBOs compliance to global and local regulators
    • Trapped liquidity
    • Ensuring numbers mean something at a local level
  • 2nd line review of the FTP process
  • Best practice for incentivising the right business
  • Ensuring profitability for the business
  • Impacts of NSFR and other metrics on FTP

Yujush Saksena, Managing Director and Head of Market Risk, GE Capital

5:20 Chairs closing remarks

5:30 End of Summit

Speakers

Malik Ali, Senior Director, Capital Markets, Treasury & Finance, Internal Audit, CIBC

Malik Ali will be presenting at Liquidity Risk Management USA

Vincent Chau, Director, Liquidity and Funding Risk Officer, UBS

Vincent Chau will be presenting at Liquidity Risk Management USA

Erjun Chen, Audit Director, CIT Bank

Erjun Chen is a director of Internal Audit Service at CIT. His responsibilities include leading an audit team covering the Liquidity and Market Risk Management practices as well as Regulatory Reporting.

Before joining CIT, Erjun worked at Ernest & Young and KPMG as a Senior Audit Manager and an Audit Manager, respectively, focusing on the financial statements audits in the banking industry. Prior to that, he worked as a Foreign Exchange trader at one of Chinese Banks.

Erjun holds MBA in Finance from Fordham University Graduate School of Business. He is a CPA licensed in New York State. He obtained a certification of data analytics from eCornell.

Andrew Craig, Officer, Funding and Liquidity Risk, Federal Reserve Bank of New York

Andrew is a liquidity risk specialist covering a large domestic financial Institution in the Second District of the Federal Reserve and participates in the Liquidity Program. He joined the Federal Reserve in 2011 after 20+ years in various treasury positions at a large domestic financial institution. Andrew holds a Masters in Economics from the University of New South Wales and a Masters of Applied Finance from Macquarie University. He is a Chartered Financial Analyst (CFA) and Financial Risk Manager (FRM).

Aleksandra (Alex) Dymanus, Senior Examiner, Federal Reserve Bank of Atlanta

Aleksandra (Alex) Dymanus will be presenting at Liquidity Risk Management USA

Jennifer Fitzgibbon, Managing Director, Head of Treasury Americas, Rabobank

Jennifer Fitzgibbon is Managing Director and Head of Treasury Americas for Rabobank, focusing on funding, liquidity and balance sheet management for the region.
Prior to joining Rabobank in 2016, Jennifer was a Principal at EY in the FSO advisory paractice after spending 5 years at RBS as Head of Americas Treasury for the MIB Division. In her 20+ year finance career, has also held many sr. level positions in Treasury, Finance and Risk Management at Barclay’s Capital, Lehman Brothers, Merrill Lynch, and Unicredit.
Jennifer holds an M.B.A. in Finance from New York University, a B.S. in Mechanical Engineering and a B.S. in Psychology, both from Old Dominion University. Jennifer is Series 7 and Series 24 licensed and holds a certification in Financial Risk Management (FRM) from GARP. Before embarking upon her career in banking, Jennifer spent two years as an aerospace design engineer for The Boeing Defense and Space Group

Vineet Gumasta, Head of Balance Sheet Risk Management, North America, Rabobank

Vineet Gumasta is Head of Balance Sheet Risk Management North America at Rabobank. He has 18+ years’ experience in market risk, balance sheet risk management and extensive exposure to several regulatory environments spread across Asia Pacific and North America. He is a member of Risk Management Committee North America and a permanent invitee to ALCO North America besides representing region on the individual entity risk committees. His team is responsible for Balance Sheet risk reviews, frameworks, balance sheet risk related to new business initiatives, interest rate risk management and governance around EPS requirements with respect to liquidity risk management for the combined US operations. Prior to joining Rabobank Mr. Gumasta has worked with HSBC.
Mr. Gumasta holds a Master’s degree in financial management from Jamnalal Bajaj Institute of Management Studies, Mumbai University and an FRM certification from GARP.

Gautam Jha, Director liqudity risk, Bank of Tokyo-Mitsubishi

Gautam Jha will be presenting at Liquidity Risk Management USA

Shahab Khan , Americas head of regulatory interpretations, Federal Reserve Bank of Atlanta

Shahab Khan will be presenting at Liquidity Risk Management USA

Indra Kish, Director, liquidity advisor, BNP Paribas

Indra Kish will be presenting at Liquidity Risk Management USA

Yuhong Liu, Director , BNP Paribas

Yuhong holds Plasma Physics PhD from Columbia University. She has a broad risk management experience working across credit risk, market risk and model risk at Morgan Stanley and Citi Group. Currently she leads model validations at BNP Paribas covering liquidity models, portfolio strategy models, CCAR models, etc.

Andres H Oranges, Chief Operating Officer, Treasury, Societe Generale

Andres H Oranges will be presenting at Liquidity Risk Management USA

Joe Peedikayil, SVP, Liquidity/Credit/Capital-Qualitative Model Validation, Wells Fargo

Joe is a Senior Vice President and current leader for Qualitative Model Validation for Liquidity, Wholesale Credit, ALLL and Capital at Wells Fargo & Company . Joe has held various positions in the financial services industry as well as Regulatory Agencies that include roles in the areas of Credit & Liquidity Risk Management, Risk Analytics & Stress Testing, Portfolio Management, Audit, as well as Senior Supervisory Examiner at the Federal Reserve Bank of New York, Board of Governors of the Federal Reserve and FDIC. Joe is a Federally Commissioned Bank Examiner and holds a B.S. Consumer Economics & Finance from University of Illinois, M.S in Finance from Indiana University, and is in the process of completing a M.S. in Predictive Analytics from Northwestern University. Joe holds a Credit Risk Certification from Risk Management Assoc.

Rosanna Pezzo-Brizio, Treasurer and Head of fixed income, Intesa Sanpaolo

Rosanna Pezzo-Brizio is currently the Treasurer and Head of Fixed Income at Intesa Sanpaolo NY Branch. In her current role she is in charge of managing the liquidity of the Branch as well as supervising a Proprietary Portfolio.
Mrs. Pezzo-Brizio is also an Adjunct Assistant Professor in the Department of Mathematics at Columbia University where she teaches Fixed Income Portfolio Management.
She has a PhD in Mathematics of Finance from the University of Brescia in Italy and a Master of Mathematics of Finance from Columbia University.
Before joining Intesa Sanpaolo Mrs. Pezzo-Brizio was an Exotic Trader at RBS, a Risk Manager at Greenwich Capital and an analyst at Goldman Sacks Asset Management.

Armel Romeo Kouassi, Head of balance sheet and Treasury Portfolio Modeling, Northern Trust

Armel Romeo Kouassi will be presenting at Liquidity Risk Management USA

Philippe Rosset, Executive Director, Group Treasury, UBS AG

Philippe has over 10 years of international experience in the area of Fixed Income, Asset & Liability Management (ALM) and Corporate Treasury at UBS with a specific focus on wholesale financial markets. After starting his career in Europe, he moved to the US in 2007 where he occupies the position of Executive Director within Group Treasury, focusing on liquidity and funding (unsecured funding pools and funds transfer pricing) Philippe is a CFA Charterholder

Yujush Saksena, Managing Director and Head of Market Risk, GE Capital

Yujush Saksena will be presenting at Liquidity Risk Management USA

Roberto Severino, Head of market and liquidity risk , Santander

Roberto Severino will be presenting at Liquidity Risk Management USA

Daniel Weigert, Head of Market and Liquidity Risk, IDB Bank, NY

Daniel Weigert heads the Market and Liquidity Risk Management team in Israel Discount Bank, NY.
Daniel moved to NY following several years managing the Interest Rate and FX options trading desk within the IDB parent company in Tel Aviv, Israel.
His prior experience includes set-up and management of the derivatives revaluation platform for the option pricing software company, Super Derivatives.