8:00 Registration and Breakfast | 8:50 Chairs opening remarks 

Day 1 Moderator: Michael Ivie, Managing Partner, Head of Financial Services Consulting, Phyton Consulting

COVID-19 PANEL DISCUSSION

9:00 Impact of Covid-19 on ALM & treasury management and managing volatility moving forward

  • Changes in market behaviors
  • Evaluating the forward looking impact of government stimulus
  • Unemployment and labor force participation outlook
  • Lending strategies to drive improvement in or protect net interest margin
  • Rebalancing cash flow during the economic recovery
  • Monetary policy moving forward

Paige Wisdom, Board Director, Morgan Stanley Bank N.A
Mark Cabana, Head of US Rates Strategy, Bank of America

Interact on Slido

9:45 Added value of advanced analytics and AI for treasury and ALM

  • Data integrity by design
  • Advanced modelling (GANs, Deep RL, etc.)
  • Behavioural Modelling

Bertrand Hassani, Managing Partner, Group CEO, Quant AI Lab

Interact on Slido

10:20 Morning refreshment break and networking 

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STRATEGIC MANAGEMENT

Moderator: Bertrand Hassani, Managing Partner, Group CEO, Quant AI

NET INTEREST MARGIN

10:50 Impact of excess liquidity on net interest margins and treatment in a a changing environment

  • Impact of low interest rate environment
  • Inflow of liquidity into institutions
  • Laying off liquidity into lower yielding investments
  • Approaches to drive loan growth and deploy excess liquidity
  • PPP impact on net interest margin

Mark Benaharon, ERM: Director of Liquidity, Interest Rate, Captial Stress Testing and Strategic Risk Management, New York Community Bank
Thomas Braun, Head of CUSO Liquidity and Funding Risk, UBS
Jeff Prelle, SVP Risk Analytics, BancorpSouth

Interact on Slido

INFLATION – PANEL DISCUSSION

11:25 Reviewing the status of inflation and impact of uncertainty on balance sheet positions

  • Inflationary pressure and impact on interest rates
  • Status on inflation – is it still viewed as transitory?
  • Impact of inflation on short, medium and long term rates
  • Shape of yield curve implications on balance sheet position
  • Impact of global stimulus on sustained inflation
  • Hedging interest rate risk associated with inflation

Thomas Braun, Head of CUSO Liquidity and Funding Risk, UBS
Mike Guglielmo, Managing Director, Darling Consulting Group

Interact on Slido

12:10 Lunch break and networking

1:10 Developing a blueprint for improving your ALM process

  • Improved quality and breadth of analytical output
  • Roadmap for integration
  • Timeliness is reliability
  • quantifying the impact and cost of gaps
  • building the business case to remediate
  • forming the strategy for straight-through processing
  • What you can achieve and the financial benefit of improved timeliness reliability and scope

Jim Devern, Sales Manager, Mirai ALM Tool

Interact on Slido

TRANSFORMATION

1:45 Driving finance transformation and performance management for enhanced balance sheet management

  • Integration of ALM within portfolio management for oversight across teams
  • Evolution of balance sheet management
  • Enhancing calibration of calculation
  • Access to loans and deposits to understand contractual profile
  • Extending to financial reporting, profitability and risk analytics
  • Moving beyond traditional balance sheet management
  • Building transparency across the frameworks
  • Developing concise risk metrics for portfolio
  • Setting a well-defined risk appetite across teams

Bill Collette, Director, Market Development, Wolters Kluwer

Interact on Slido

AUDITING INTEREST RATE RISK MANAGEMENT

2:20 Ensuring effective interest rate risk management to comply with regulatory and audit requirements

  • Regulatory expectation and the role of internal audit
  • Corporate governance
  • Interest rate risk identification
  • Economic value and Earing based measurement
  • Model risk management
  • Monitoring and reporting
  • Risk mitigating

Erjun Chen, Audit Director, CIT

Interact on Slido

CONTINGENT FUNDING PLAN

2:55 Building a holistic view of liquidity and assets to develop effective contingent funding plans

  • Stress testing liquidity scenarios and requirements
  • Identifying liquid assets
  • Periodic monitoring process
  • Governance of liquidity management
  • Initiating funding alternatives
  • Recalibration for future changes

Ashish Deccannawar, Director Liquidity Strategy & Governance, TD Bank

Interact on Slido

MODELING AND REGULATION

Moderator: Michael Ivie, Managing Partner, Head of Financial Services Consulting, Phyton Consulting

MODEL RISK

10:50 Enhancing models and forecasting capabilities for strategic decision making

  • Benefiting from enhanced data governance and oversight
  • Developing robust model risk frameworks
  • Tuning models for better forecasting
  • Leveraging internal data science practices
  • Augmenting stress test scenarios

Mike Guglielmo, Managing Director, Darling Consulting Group

Interact on Slido

DATA – PANEL DISCUSSION

11:25 Collecting data at the right granularity to support risk calculations and finance analytics

  • Real time data
  • Developing an efficient data feedback loop
  • Leveraging visualization tools for business intelligence
  • Data validation and governance
    • One source of record
    • Access to consistent and reliable data

Jessica Rice, Director, Senior Data Scientist, ZM Financial Systems, a Moody’s Analytics company
Allen Whipple, Founder and Managing Director, ActiveViam
Anthony Jerkovic, Head of Data & Risk, Novo
Jeff Prelle, SVP Risk Analytics, BancorpSouth

Interact on Slido

12:10 Lunch break and networking

1:10 Risk as a service: a real application of new technologies

  • How did banking technology evolve? What does that mean for the treasurer?
  • How can we make use of new technologies to add functionality quickly?
  • How can we leverage cloud and platforms to get risk measures and controls?

Pedro Porfirio, Global Head of Treasury, Capital Markets and Risk, Finastra
Mehdi Bouasria, Director Risk Product Management, Finastra

Interact on Slido

EFFECTIVE CHALLENGE

1:45 Effective challenge of processes to better assess liquidity management in banks

  • Structures to manage liquidity day-to-day
  • Monitoring net funding requirements
  • Internal controls and risk management processes
  • Managing marketing access and diversification
  • Developing contingency plans in light of recent pandemic scenarios
  • Managing public disclosure and regulatory examinations

Hugo Ramirez, Operational Risk and Third-Party Risk Management Senior Audit Specialist, BBVA New York

Interact on Slido

FUNDS TRANSFER PRICING

2:20 Effectively using FTP to determine management actions to add shareholder value and evaluate business line performances

  • FTP curve composition without a LIBOR option
  • Rethinking treatment of the liquidity premium and buffer portfolio
  • Different perspectives on application of FTP
    • Treasury
    • Financial planning and analysis
    • Lines of business

Steve Turner, MD, Empyrean Solutions
Kimy Metivier, Principal – Risk Management,  Empyrean Solutions

Interact on Slido

LIQUIDITY

2:55 Liquidity - a brief look back and a serious look forward

  • Assessing the impact on intraday liquidity management
  • Addressing the vital users of liquidity through analytics
  • Reinvention through Innovation
  • Project Deployment – Cloud versus Premise
  • Out of the shadows – Stress Testing from a Regulatory ask to a key business process

Peter Dehaan, Business Director – Cash and Liquidity Management, SmartStream Technologies Limited

Interact on Slido

3:30 Afternoon refreshment break and networking

Moderated by: Bertrand Hassani, Managing Partner, Group CEO, Quant AI Lab

LIBOR – PANEL DISCUSSION

4:00 Managing model risk with move to alternative reference rates

  • Models built based on LIBOR and historical behaviors
  • Transition to more than one alternative reference rate: will this be product specific?
  • Understanding impact on credit spreads
  • Valuation models
  • Implementation and testing approaches
  • Updating third party models

Fernando Carbone, Treasury & Risk Senior Specialist, Inter-American Development Bank
Mark Benaharon, ERM: Director of Liquidity, Interest Rate, Captial Stress Testing and Strategic Risk Management, New York Community Bank
Oskar Rogg, MD, Head of Treasury Americas,  Credit Agricole 

Interact on Slido

MONEY MARKETS

4:25 Managing uncertainty in financial markets with sustained volatility

  • Managing uncertainty in money markets
  • Impact of volatility in overnight rates
  • Uncertainty in credit and derivatives markets
  • Long term rates after LIBOR transition
  • Scenario analysis and business planning

Charlie Peng, SVP and Head of Treasury, Bank of China

Interact on Slido

5:20 Chair’s closing remarks

5:30 End of day 1 and networking drinks reception

8:00 Registration and breakfast | 8:50 Chairs’s opening remarks

Day 2 Moderator: Steve Turner, Managing Director, Empyrean Solutions

REGULATION

9:00 Overview of the regulatory landscape and convergence for holistic management

  • Money market reforms
  • Changes to supplementary leverage ratio
  • Future of regulation and new regulatory rules
  • Managing regulatory risk and restraints

Jay Johnson, Assistant General & Auditor, PNC

Interact on Slido

REGULATION CONTINUED

9:35 Overview of the regulatory landscape and convergence for holistic management

  • New treasury operating model
  • Streamlining the front to back integration
  • Optimizing regulatory risk beyond compliance

Sophie Marnhier-Foy, Global Head of Product Marketing, Adenza

Interact on Slido

10:20 Morning refreshment break and networking 

FASTER PAYMENTS

10:50 Reviewing the results of Infor's market survey and the impact of faster payments impact on treasury

  • Changes to treasury resulting from instant payments
  • Readiness and maturity within the market’s treasury management systems
  • Managing instant demand for liquidity
  • Impact to earnings from long and short liquidity positions

Don Gibson, Enterprise Financial Services and Banking Solutions, Infor

Interact on Slido

TREASURY AND LIQUIDITY RISK DATA MANAGEMENT AND DIGITAL TRANFORMATION

11:35 Address Federal Reserve's demanding enhancements and accelerate digital transformation

  • Overview of Federal Reserve’s recent updates on Liquidity Reporting (NSFR, 6G)
  • 2052a (6G) enhanced reporting requirements impacts on treasury and liquidity risk processes
  • Interconnectivity between treasury, finance data, line of business reporting and reconciliation processes (while addressing the granularity of liquidity data reporting requirements)
  • Emphasis on liquidity buffer optimization in the rising IR environment (tools/oversights/ limits sophistications)
  • Beyond regulatory reporting (leverage granular data for ILST, MI reporting, risk oversight, variance analysis and optimization)

Michael Ivie, Managing Partner, Head of Financial Services Consulting, Phyton Consulting
Chandra Dasari, Executive Consultant, Phyton Consulting

Interact on Slido

12:10 Lunch break and networking 

BALANCE SHEET OPTIMIZATION

1:10 Optimizing the balance sheet and understanding ALM positions to drive business decisions

  • Understand ripple effects across the business
  • Optimizing the balance sheet from a risk/reward perspective
  • Alternative investments
  • Opportunities and risks related to extending duration in assets
  • Assessing alternative lending and funding strategies to expand or preserve net interest margin
  • Hedging strategies for the current environment

Oliver Jakob, International CRO, Former MUFG
Armel Romeo Kouassi, Senior Vice President, Northern Trust Corporation
Michael Huff, Senior Director, Portfolio Management & Asset Allocation, TIAA

Interact on Slido

LIQUIDITY

1:45 Managing increase in liquidity throughout the pandemic and impact on future planning

  • Treatment of excess liquidity and where to deploy it
  • Analytics to determine how long deposits will stay
    • Account level analysis to monitor behavior of segments
    • Understanding repricing sensitivities and changes in deposit decay rates
  • Changing pricing strategies to reflect changes in liquidity

Armel Romeo Kouassi, Senior Vice President, Northern Trust Corporation

Interact on Slido

2:20 Afternoon refreshment break and networking 

QUANTITATIVE EASING

2:35 Reviewing effect of quantitative easing on bank balance sheets

  • Increased level of investments on bank balance sheets and effect in the bond market
  • Impact on funding mix and cost
  • Volatility of short term and intraday rates
  • Preparing for the end of quantitative easing

Oskar Rogg, MD, Head of Treasury Americas, Credit Agricole

Interact on Slido

ESG – PANEL DISCUSSION

3:10 Incorporating ESG into frameworks and impact of product and investment changes on balance sheet

  • How corporate treasury can drive ESG initiatives
  • Investment behaviors to support ESG agendas
  • Developing a framework to account for climate risks
  • Preparing for environmental disruptions

Jason Wang, CRO, Synergy Credit Union
Tess Virmani, Associate General Counsel & Executive Vice President, Public Policy, LSTA

Interact on Slido

3:55 Chair’s closing remarks
4:00 End of Congress