Balance Sheet Management USA agenda

Day Two | November 1


Registration and breakfast


Chairs opening remarks

Day 2 Moderator: Jerry Clark, Director, Customer Success Management, Moody’s


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


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


Morning refreshment break and networking


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


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


Lunch break and networking


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


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


Afternoon refreshment break and networking


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


Chair’s closing remarks


End of Congress