Balance Sheet Management USA agenda
Day Two | November 1
8:00-8:50
Registration and breakfast
8:50-9:00
Chairs opening remarks
Day 2 Moderator: Jerry Clark, Director, Customer Success Management, Moody’s
9:00-9:45
LIQUIDITY – PANEL DISCUSSION
Assessing current available liquidity to ensure stability in a stressed scenario
- Managing losses in banks bond portfolios
- Ability to sell assets and generate liquidity when needed
- Assessing market & liquidity impact in a different macroeconomic environment
- Managing rates hikes from Fed
- Bolstering up the balance sheet to withstand major stress events
- Reviewing potential regulation adjustments in line with recent events
- Understanding the funding base of the balance sheet
- Mitigating liquidity risk through short term investment strategies
- Utilizing wholesale funding to keep excess liquidity
- Trade off between overall liquidity and profitability
- Having the right eligible collaterals to leverage liquidity
- Matching the inflow Vs the outflow of cash
Venkat Veermani, Chief Economist, Wintrust Financial Corporation
Frank Henry, Director of Treasury, Ally
9:45-10:20
Practical Issues When Developing Effective Funds Transfer Pricing Capabilities
- Setting the base FTP curve post-IBOR transition
- Pricing liquidity and the role of the liquidity buffer
- Allocating the cost of liquidity
- The echo effect of FTP on deposit valuation
- Challenges implementing FTP in today’s interest rate environment
Steve Turner, Managing Director, Empyrean Solutions
10:20-10:50
Morning refreshment break and networking
10:50-11:35
FHLBank Executive Insights on Liquidity and Funds Management in a Changing Environment
- Current market trends
- Enhancing dynamic strategies to navigate in a complex environment
- Reviewing member behaviour
- Credit collateral
- Capital markets
- Recent challenges in the banking industry
Adam Goldstein, Chief Business Officer, Federal Home Loan Bank of New York
Scott Brennan, Senior Vice President and Director of Sales, Federal Home Loan Bank of Atlanta
Michelle Jonson, Executive Vice President, Chief Risk Officer, Group Head, Risk Management, Federal Home Loan Bank of Chicago
Chad Brandt, Senior Vice President – Treasurer, Federal Home Loan Bank of Indianapolis
11:35-12:10
LIBOR & SOFR
Post LIBOR: Reviewing impacts of transition to SOFR and impact of new rates
- Reviewing what basis risk Sofr has
- One month Sofr Vs overnight Sofr
- Potential issues after the swap from Libor
- Understanding risks in a post-Libor world
- Managing the credit component of interest rate risk
- Managing funding costs with no way to hedge
Tope Adedara, Internal Audit Director, ALM – Balance Sheet Management, PNC
12:10-1:10
Lunch break and networking
1:10-1:55
STRESS TESTING – PANEL DISCUSSION
Enhancing stress testing capabilities to reflect changing environment and drive risk decisions
- Effectively conducting business with appropriate risk appetite and limits
- Running scenarios across a range of economic environments
- Understanding impact to the portfolio
- Changing balance sheet strategies after stress tests
- Acting on the information appropriately
- Including a liquidity, capital and market stress scenario
- Creating communication between different risk disciplines
- Having a robust contingency funding plan to handle stress scenarios
- Re-calibrating limits on funding facilities
- Testing the this works operationally
- Taking scenarios and shocks into account
Alison Li, Executive Audit Director, First Citizens Bank
Mitchell Chad, Senior Director Stress Impairment – Modeling and Analytics, RBC
1:55-2:30
MODELING
Adapting models in a new interest rate environment and the impact to deposits
- Modeling deposit pricing
- Forecasting prepayments on prepaid assets
- Reviewing behavioral inputs to deposits
- Banks competing digitally
- Modeling potential deposit changes
- Quantifying competitive density
- Leveraging tools to forecast prepayments
- Compensating for model shortcomings
- Merging scenario stress test with forecasting
- Overseeing all impacts to the balance sheet
- Modeling extreme deposit run off overnight
- Modeling a change in pricing deposits
George Soulellis, Enterprise Model Risk Officer, Freddie Mac
2:30-3:00
Afternoon refreshment break and networking
3:00-4:00
CASE STUDY: SVB – PANEL DISCUSSION
Reviewing the recent downfall of SVB and implementing processes to evade further banking disasters
- Reviewing what was overlooked and where strategy failed
- Reviewing the composition of SVB balance sheet
- Seeing if SVB where subject to LCR
- Understanding key balance sheet issues
- Reviewing potential regulation reform and impacts
- Different outcome if SVB had maintained their high quality liquid assets?
- Understanding where the board went wrong
- Should excess funding be put in place
- Reviewing key indicators to look out for
- Leveraging SVB to improve for the future
- Failure at interest rate risk
- Created a negative tangible common equity
Tom Dunn, Chief Treasury and Market Risk Officer, Northwest Bank
Frank Sansone, SVP, Head of Treasury, China Construction Bank
Ian Broff, Head of Market Risk, USAA
4:00-4:10
Chair’s closing remarks
4:10
End of Congress
