Liquidity Risk Management Europe 2018

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7th Annual Liquidity Risk Management Europe

12 June 2018 | London 

Exploring the liquidity risk landscape including market trends and regulatory requirements.

EXCLUSIVE KEYNOTE ADDRESSES
&
TWO INDIVIDUALLY FOCUSED WORK STREAMS

This compact and concise one day Forum will provide a unique and detailed overview with invaluable insight from senior liquidity professionals, plus, the ability to move freely between two work streams and more. 

STREAM ONE:
LIQUIDITY & REGULATION
Governance & risk appetite
NSFR
Forecasting ratios
Intraday liquidity
Stress testing
Keynote address:
European Central Bank

The SSM multi-year plan for ICAAP and ILAAP – Developing a joint understanding of key risk management processes for banks.

Keynote panel discussion:
Bank of America Merrill Lynch
Clydesdale Bank

Reviewing the future of liquidity risk management practices and advances in technology.

STREAM TWO:
LIQUIDITY IN MARKETS
Balance sheet trends
Ring fencing 
Funds transfer pricing
Blockchain
Interest rate risk

HEAR FROM SENIOR LIQUIDITY AND TREASURY PROFESSIONALS, INCLUDING:

DIMITRIS PAPATHANASIOU

Dimitrios Papathanasiou
Head of EMEA Treasury and Liquidity Risk
Credit Suisse

Andrew Turvey
Head of Treasury Risk & Compliance
 Clydesdale Bank

Dr. Armin Leistenschneider
Head of Section, DG Micro-Prudential Supervision IV
 European Central Bank

Fitz Drummond
Director, Funds Transfer Pricing, Treasury
 Deutsche Bank

Chirag Patel

Chirag Patel
Executive Director/Short Term Funding & Liquidity Management
 Rabobank

Emil Petrov - head shot 1 - TLAC & MREL

Emil Petrov
Managing Director, Head of Capital Solutions
 Nomura International plc

12th June | London

08:00 Registration & Breakfast

08:40 Chair’s Opening Remarks

KEYNOTE PANEL DISCUSSION

09:00 Reviewing the future of liquidity risk management practices and leveraging opportunity within advances in technology

Real time analysis of cash flows, balance sheet & intraday needs
Effects of payments reform – Instant payments
BCBS 239, rising to the data quality challenge
Business challenges from Fintech’s and other new market entrants
Digitalisation and the impacts on business models and strategy choice
Data protection and security – effects of GDPR
Virtual account management

Lorcan McHugh, International Capital & Liquidity Risk Executive, Bank of America Merrill Lynch
Andrew Turvey, Head of Treasury Risk & Compliance, Clydesdale Bank

KEYNOTE ADDRESS

09:50 The SSM multi-year plan for ICAAP and ILAAP – Developing a joint understanding of key risk management processes for banks

Introduction to the SSM multi-year plan for ICAAP and ILAAP
Description of key features of the supervisory guides under consultation
Selected contents of the ECB guides to ILAAP

Dr. Armin Leistenschneider, Head of Section, DG Micro-Prudential Supervision IV, European Central Bank

10:30 Morning refreshment break and networking

STREAM ONE
LIQUIDITY & REGULATION

GOVERNANCE & RISK APPETITE

11:00 Analysing industry approaches to firm risk appetite and governance

  • Firm culture
  • Conduct Risk
  • Delivering correct & accurate information
  • Articulating liquidity risk appetite
  • Firm specific stress testing to set minimum survival horizon
  • Internal training and understanding

Dimitrios Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse

STREAM TWO
LIQUIDITY IN MARKETS

CASH MANAGEMENT

11:00 Exploring the relationship and interactions between liquidity risk management and daily cash management

  • Technical aspects of cash management
  • Daily interactions
  • Incorporating cash management scenarios in liquidity stress testing
  • Interaction of central banks
  • Data processing and model choice
  • Blockchain and the future of liquidity, settlement and cash management

STRESS TESTING

11:40 Creating an enterprise wide stress testing framework to incorporate liquidity and meet regulatory demands

  • Complying in multiple jurisdictions
  • Internal stress testing vs regulatory stress testing
  • Business model specific scenarios
  • Macro-economic scenarios vs general scenarios
  • Behavioural assumptions
  • Translating & quantifying assumptions
  • ILAAP
  • Reverse stress testing

Mony Lim, Executive Director, Goldman Sachs 

BALANCE SHEET TRENDS

11:40 Reviewing balance sheet trends and themes and the ability to easily place and retrieve funds

  • Decrease in inter-bank trading market and business activity
  • Decrease inter-bank trading market
  • Placing surplus cash
  • Challenges at quarter and year end
  • Regulatory intervention

Christopher Skak Nielsen, Head of Liquidity Risk Management, Danske Bank

12:20 Lunch Break & Networking

PANEL DISCUSSION – FORECASTING

13:20 Evaluating the ability of firms to successfully forecast and plan for specific regulatory regimes

  • Forecasting for NSFR & LCR
  • Forward looking, 12 months, 18 months plus
  • Granularity of forecasting
  • Assumptions
  • Planning tools to develop forecasting
  • Articulating the assumptions made to boards and regulators

Sridhar Aiyangar, Group Head Balance Sheet and Liquidity Management, Arab Banking Corporation

Andrew Turvey, Head of Treasury Risk & Compliance, Clydesdale Bank

RING-FENCING PANEL DISCUSSION

13:20 Reviewing possible implications of ring-fencing and the impacts on firms, markets and customers

  • Practices and approach
  • Impact on ring fenced vs non-ring fenced firms
  • Implications on markets & customers
  • Transfer pricing and balance sheet management implications of ring fencing
  • Is a level playing field possible?

Chris Blake, Senior Manager Liquidity & Risk, HSBC

Fitz Drummond, Director, Funds Transfer Pricing, Treasury, Deutsche Bank

Dimitrios Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse

14:10 Impact of the Regulatory Agenda on Bank’s Funding Management

  • Overview regulatory agenda for funding requirements
  • Implications of SREP requirements for funding management
  • Discussion of TLAC / MREL impact on funding
  • Outlook Net Stable Funding Ratio (NSFR)

Bernhard Kretschmar, Senior Manager, Zeb

INTEREST RATE RISK

14:10 Ensuring effective management of liquidity risk in a rising rate environment to minimise impacts

  • Depositor behaviour in a rising rate environment
  • Stress testing interest rate risk
  • Increased growth in the holding of liquid assets
  • Future evaluation of liquid assets
  • Managing liquid asset portfolios in a rising interest rate environment

Brandon Davies, Board Director, Obillex Limited, Former Head of Market Risk, Barclays

NSFR 

14:50 Exploring latest NSFR developments and implications on business models, balance sheet and strategy

  • Impacts of Brexit on final rule
  • Embedding NSFR into the organisation
  • Impact on long term funding and deposits
  • Aligning LCR & NSFR
  • Charging effectively for NSFR
  • Stress parameters

Sridhar Aiyangar, Group Head Balance Sheet and Liquidity Management, Bank ABC

COUNTERPARTY EXPOSURE

14:50 Analysis of counterparty exposure and the ability to effectively recover funds and meet daily cash requirements

  • Returns and service provider quality
  • Pursuing a better return
  • Operation efficiency & cash management
  • Regional difference in cash management
  • Concentration risk
  • Double default scenario

15:30 Afternoon refreshment break and networking

INTRADAY LIQUIDITY

16:00 Complying to requirements for intraday liquidity to manage real time information and management across jurisdictions

    • PRA vs EBA
    • Interpretation of the rule
    • Global variation in approach and practice
    • Internal infrastructure
    • Third party advisors
    • Ensuring self-funding
    • Stress testing intraday liquidity
    • Models & assumptions

Chris Blake, Senior Manager Liquidity & Risk, HSBC

BLOCKCHAIN

16:00 Reviewing the potential liquidity risks with increased usage of blockchain technology

  • Client investment in bitcoin
  • Risk vs value
  • Money laundering
  • Data mining
  • Simplifying settlement

Cecilia Gejke, Former Head of Stress Testing, Group Market and Counterparty Credit Risk, Nordea

TECHNOLOGY & INTRADAY LIQUIDITY

16:40 Reviewing the ability to enhance intraday liquidity performance and scalability using technology

  • Data quantity, quality and completeness
  • Plugging data gaps
  • Unifying platforms, BACS, CHAPS, faster payments and moves to instant payments
  • Working with partners to improve data

WHOLESALE FUNDING MARKET

16:40 Exploring current and future themes within short term US wholesale funding market

  • Investor appetite
  • Volume in the market
  • Strategic plan to grow funding
  • Future market expectations

Chirag Patel, Executive Director/Short Term Funding & Liquidity Management, Rabobank

TLAC & MREL

17:20 Discussing the global variations in approach to TLAC and MREL and the ability to create a level playing field

  • Creating a common platform in the EU
  • Institutions which have already started
  • France and Germany
  • EU convergence on the structure of liability
  • UK position on convergence or divergence
  • Implications of Brexit on MREL

Emil Petrov, Managing Director, Head of Capital Solutions, Nomura International plc

FUNDS TRANSFER PRICING

17:20 Reviewing current industry understanding and approach to FTP

  • Approaches & uses to FTP
  • Industry guidance
  • Methodologies
  • Variations in funding models
  • Alignment of FTP with NSFR and Pillar 2
  • Accurate charges
  • Incentivising different assets & liabilities

Fitz Drummond, Director, Funds Transfer Pricing, Treasury, Deutsche Bank

18:00 Chair’s Closing Remarks & End of Forum

Sridhar

Sridhar Aiyangar, Group Head, Balance Sheet & Liquidity Management, Arab Banking Corporation

Executive leader with expertise in Capital and Liquidity management with 25+ years of experience covering Financial Markets, Corporate Treasury, Finance and Risk Management with large MNC Banks across multiple markets.   The diversity of roles and the opportunity to work in multiple markets resulted in an ability to ‘join the dots’ across different disciplines thereby allowing for several creative solutions.  Developed and implemented strategic and tactical Balance Sheet initiatives designed to deliver capital, liquidity and portfolio risk optimisation outcomes.

New chrisk blake head shot

Chris Blake, Senior Manager Liquidity & Risk, HSBC

Chris currently works for HSBC in Group Treasury within the Capital Optimisation area. Previously he had specific responsibility for Liquidity and Funding Risk, including ensuring the executive board was aware that the liquidity risk appetite of HSBC group is being adhered to. Formerly he was a risk specialist in ALM for the FSA, leading on the setting of Individual Liquidity Guidance for regulated firms and the implementation of FSA liquidity rules. Prior to that he worked as a Money Market and Interest Rate Derivatives trader for Investec,alongside experience in Retail banking in London, Private banking in Switzerland and Off Balance Sheet vehicles.

Chris has a Bsc in Economics and Government from the London School of Economics. In addition he is a Fellow of the Association of Corporate Treasurers, a Chartered Fellow of the Chartered Institute for Securities and Investment, a Chartered Wealth Manager, a Financial Risk Manager and is the Education Director of the UK Asset and Liability Management Association.

Brandon Davies

Brandon Davies, Board Director, Obillex Limited, Former Head of Market Risk, Barclays

Brandon is a Trustee of the Responsible Finance Institute a non-executive director of Lintel Limited a prospective new bank in the City of London and a board director of Obillex Limited. He is a board director of Shariah Supply Chain Finance Limited and the CEO and Chairman of dRisk.biz Limited a company which encompasses his publishing and training interests. He also now teaches on the masters course in finance at Buckingham University.

Fitz Drummond

Fitz Drummond, Director, Funds Transfer Pricing, Treasury, Deutsche Bank

Fitz works in the Treasury department of Deutsche Bank where he heads up the Funds Transfer Pricing methodology team, as well as manages the FTP infrastructure development project. Before working for Deutsche Bank, Fitz was a corporate treasury associate with Goldman Sachs. He has a B.Sc in Finance and Management from the State University of New York at New Paltz.

Cecilia Gejke

Cecilia Gejke, Former Head of Stress Testing, Group Market and Counterparty Credit Risk, Nordea

Cecilia has a background in Material Physics before joining the world of finance and risk management. She has a broad experience from institutions like Bear Stearns, JP Morgan, Mizuho and Nordea where she has worked across the various risk disciplines and regulations with a focus on capital & liquidity and balance sheet management with stress testing as the favourite tool.

Nasreen

Nasreen Kasenally, Chief Risk Officer, UBS

Nasreen is the Chief Risk Officer for UBS Asset Management. She is responsible for independently monitoring and measuring Credit, Market, Liquidity, Compliance and Operational risks. She is a member of the UBS Asset Management Executive Committee and the UBS Group Risk Executive Committee where she participates in shaping business strategy and influencing the future direction of UBS Asset Management and Group Risk Control.

She joined UBS in 1999 and prior to the current role was the Group Head of Market Risk.

Nasreen has a BSc in Actuarial Science and an MSC in Mathematical Trading and Finance.

Bernhard Kretschmar - ZEB - Head shot - LRM UK

Bernhard Kretschmar, Senior Manager, Zeb

Bernhard is Senior Manager in zeb’s Practice Group Risk. zeb is Europe’s leading management consultancy in the financial services sector. Bernhard has 10 years of experience in the banking industry. He is leading several liquidity risk management related projects as project manager. The project topics range from business conception to implementation projects. In addition, Bernhard is supporting the development of the comprehensive software solution zeb.control.
Bernhard holds a Master’s degree in Economics from the University of Mainz, Germany.

Armin

Dr. Armin Leistenschneider, Head of Section, DG Micro-Prudential Supervision IV, European Central Bank

Dr. Armin Leistenschneider is Head of Section in the Methodology and Standards Development Division. He is responsible for the implementation of the SSM processes, as well as major supervisory projects like for instance the SSM multi-year plan on ICAAP and ILAAP and future development of the SSM SREP. Armin worked in private banks on different positions, starting as expert on liquidity risk control, as Head of ALM Risk control, Head of Treasury Models & Analytics and Head of CEE Funding. Before joining ECB in 2015 Armin acted as Head of the Central and Eastern Europe Head Office in a private bank. Armin holds a PhD in physics.

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Mony Lim, Executive Director, Goldman Sachs

Mony will be speaking at the 7th Annual Liquidity Risk Management Europe.

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Lorcan McHugh, Managing Director, International Liquidity Management, Bank of America Merrill Lynch

Lorcan is the International CRO for CFO, covering Liquidity Risk, Capital Risk and IRRBB as well as oversight of Risk Identification and Risk Appetite in the UK. Lorcan has a diverse range of experiences both within the Financial Services industry and prior to that in consulting and accounting practice where he qualified as a charted accountant.

He held a number of roles within BAML Finance and Treasury before transferring to Risk, including EMEA Equity Cash and Derivatives CFO and International Liquidity Manager. Prior to BAML he worked in Accenture and KPMG, gaining 10 years’ experience across a wide range of industries.

DIMITRIS PAPATHANASIOU

Dimitrios Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse

Dimitris Papathanasiou is the Head of EMEA Treasury and Liquidity Risk in Credit Suisse. His responsibility is to establish a risk framework and monitor the liquidity risks of all the EMEA entities. His previous role was Head of the Front Office team in Coca Cola HBC Group Treasury for 6 years. He was responsible for designing and implementing the hedging strategy of FX, interest rates and commodities. Prior to that he has worked in the Front Office and the risk management of Kaupthing Bank. At the early stages of his career he has worked as an auditor in Treasury and investment banking in a Credit Agricole’s subsidiary and in RBS.
Dimitris holds a BSc and an MSc in Banking, Finance and Investments. He is a CFA Charter holder and a recognized speaker at industry conferences.

Chirag Patel

Chirag Patel, Executive Director / Short Term Funding & Liquidity Management, Rabobank

Chirag is an Executive Director on the Short Term Funding & Liquidity Management Desk at Rabobank London. Chirag has extensive experience in Front End / Money Markets Trading within a Treasury context, and is an Executive Committee member of the London Money Markets Association (LMMA).

Product specialties include Short Term Senior Unsecured, Secured via Gilt Repo, & Asset Backed Commercial Paper (ABCP). As part of Global Treasury, Chirag is responsible for the Liability Management of Rabobank’s Flagship Asset Backed Conduit, and has significant experience running various Conduit Structures trading in both Euro and US funding markets. Chirag has an MSc in International Securities from the ICMA Centre, University of Reading.

Emil Petrov - head shot 1 - TLAC & MREL

Emil Petrov, Managing Director, Head of Capital Solutions, Nomura International plc

Emil Petrov is head of capital solutions at Nomura based in London. Emil leads a team that is responsible for the capital dialogue with Nomura’s investment banking clients in Europe as well as the origination, structuring and execution of non-equity capital transactions. At present, Emil spends most of his time dealing with the impact of new regulation in the area of bank capital and loss absorbency. Emil’s recently completed transactions include a pre-IPO Additional Tier 1 issue for a major European bank, various MREL/TLAC-eligible transactions for European banks and rating advisory and holding company senior debt issue for a fast growing CEE insurance group.

Emil has spent 20 years in the industry of which 18 in capital solutions and has been with Nomura since its acquisition of certain businesses of Lehman Brothers in 2008. Emil holds a B.A. (Hons.) degree in European Business Administration from the European Business School at Regent’s University in London, a MBA (Finance) from The Wharton School of the University of Pennsylvania and a Corporate Finance qualification (CFq Advanced Diploma) from the Institute of Chartered Accountants in England and Wales (ICAEW).

christopher

Christopher Skak Nielsen, Head of Liquidity Risk Management, Danske Bank

Christopher Skak Nielsen is Head of Liquidity Risk Management at Danske Bank and is responsible for the risk management oversight of liquidity risk. The oversight covers LCR and LCR forecasting, liquidity stress testing, liquidity risk appetite, balance sheet management intraday liquidity risk and other topics related to liquidity and funding. The Liquidity Risk Management is also responsible for ILAAP at Danske Bank. Before joining Danske Banke Bank, Christopher work in the Treasury department at Nordea with preparation and introduction of balance sheet management, LCR and NSFR. Christopher has worked in the banking industry since ’95 mainly within the risk and treasury areas, however have covered several fields such as ICAAP, Risk appetite, stress testing and credit portfolio modelling.

Andrew Turvey

Andrew Turvey, Head of Treasury Risk & Compliance, Clydesdale Bank

Andrew Turvey is the Head of Treasury Risk & Compliance at Clydesdale, responsible for the management of liquidity, interest rate and compliance risk at this £40bn UK-focussed challenger bank.

A Chartered Accountant and AMCT, he has worked for a range of banks and building societies from mid-tier domestic banks to GSIBs. He has led the implementation of key regulatory changes, from BIPRU 12 to CRD IV and MIFID II, as well as implementing new risk systems. He has had responsibility for ILAAPs at three different firms and led supervisory reviews of ILAAPs and ICAAPs while working for the FCA.

Find our Liquidity Risk thought-leadership articles here. These articles feed from our much larger Risk Insights section of our website which provides you with thought-leadership, white papers, articles and more across risk and regulation.

26th March 2018

Ensuring effective management of liquidity risk in a rising rate environment to minimise impacts

By Brandon Davies, Board Director, Obillex Limited, Former Head of Market Risk, Barclays.
26th March 2018

Reviewing current industry understanding and approach to FTP

By Fitz Drummond, Director, Funds Transfer Pricing, Treasury, Deutsche Bank.
14th March 2018

Analysing industry approaches to firm risk appetite and governance

By Dimitrios Papathanasiou, Head of EMEA Treasury and Liquidity Risk, Credit Suisse.
1st March 2018

Utilising liquidity stress tests as a risk management tool

By Rocco Fanciullo, Group Liquidity and Interest Rate Risk Management, UniCredit. 
1st March 2018

Exploring the liquidity risk landscape including market trends and regulatory requirements

By Shannon Harris, Senior Research Executive, CeFPro. 
13th September 2017

Impact of EPS: Identifying gaps in implementation and satisfying the regulators

9th June 2017

Data and strategic architecture in responding to regulatory demand, and increasing governance and oversight

31st May 2017

Reviewing governance expectation and variations in views across the industry

23rd May 2017

Liquidity Risk Management – Be prepared for the next crisis!

15th May 2017

Understanding the current regulatory environment for intraday liquidity risk

3rd May 2017

Reverse stress testing for banks: A process-orientated generic framework

18th April 2017

Utilising liquidity stress tests as a risk management tool and understanding key drivers and scenario considerations

3rd April 2017

Reviewing the current and future regulatory landscape to better monitor and manage liquidity risk

22nd March 2017

Rising rates are here again! Ready?

20th March 2017

Liquidity Risk Challenges: NSFR, Intraday Liquidity, ILAAP and Regulatory Change

Can your organisation contribute at our Liquidity Risk Management Europe Forum?

Contact us today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Please visit www.cefpro.com/sponsorship for an outline of what we can offer, and contact sales@cefpro.com or call us on +44 (0) 207 164 6582 where a member of the team will be happy to tailor the right package for you.

Co-Sponsors

zeb


zeb is a leading strategy and management consultancy for financial services in Europe. Founded in early 1992, zeb has developed into a consultancy that delivers thought leadership, strategy and practical implementation support to the world’s largest financial institutions. With nearly 1,000 employees and offices in 13 European countries, we support our clients and help solve their problems with great people, deep expertise and leading technology.

zeb’s own FinTech arm delivers world leading banking and insurance digital solutions and their implementation. zeb.control is a comprehensive digital solution used by international banks and insurance companies. A recent study by KPMG comparing 15 international software vendors shows that zeb offers the globally leading software solution for reporting. For more information, please visit control.zeb.eu.

Media Partners

We are happy to support publications, associations and organisations at this event. From a simple company listing with your logo to taking advantage of some of our sponsor benefits listed above. To discuss this further please contact amy.greene@cefpro.com on +44 (0)20 7164 6582 / +1 888 677 7007

VENUE

Etc Venues
Monument 8, Eastcheap
LondonEC3M 1AE UK

Nearby Accommodation

The Liquidity Risk Management Europe 2018 Forum will take place in a great location on Eastcheap near Monument Station. If you require accommodation, the following hotels are close by:

Hub by Premier Inn London Tower Bridge
Approx (0.2 mi) from etc venues. 

Apex City of London Hotel
1 Seething Ln, London EC3N 4AX
Approx: 0.3 (mi) from etc venues. 

Click here to view more near hotels

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12th June
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Co-Sponsor

Sponsorship

Can your organisation contribute at our Liquidity Risk Management Europe Forum 2018? Please contact the Center for Financial Professionals today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Below is an outline of what we can offer, but please contact sales@cfp-events.com or call us on +44 (0) 20 7164 6582 where a member of the team will be happy to tailor the right package for you.

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