Liquidity Risk Management Europe 2019

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

AGENDA

8:00 Registration and breakfast

8:50 Chair’s opening remarks

Thomas Steiner, Partner, BearingPoint

BREXIT – PANEL DISCUSSION
09:00 Reviewing the impact of Brexit on liquidity risk and potential changes to business strategy to stay ahead
• Impact on assets, central counterparties, credit and cost of funding
• Regulatory landscape post Brexit
• Macroeconomic risk: Modeling the unknown
• Impact on markets and cross border investing
• Setting up subsidiaries or intra group flows
• Impact on consolidated reporting
• Operational considerations for liquidity flows

Phil Headley, Managing Director, Regulatory Reporting, Mizuho
Brian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank

STRESS TESTING
09:40 Utilising stress testing as a value added tool to effectively manage liquidity risk
• Role of risk management, finance and treasury
• Designing liquidity risk monitoring tools for asset incumbents
• Balancing liquidity risk and credit risk
• Strengthening link between ICAAP and ILAAP
• Calibration of liquidity risk limits
• Data and information technology requirements

Brian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank

10:15 Morning refreshment break and networking

INTRADAY
10:45 An exploration into intraday liquidity to discover what it is and why it’s important?

Chris Blake, Senior Manager, HSBC

INTRADAY CONTINUED
11:25 Granularity of intraday liquidity requirements and uses to forecast and set limits
• Reporting in clearing systems
• Flows of payments and currencies
• Using to calibrate intraday limits
• Data points for risk assessment and mitigation
• Integration with other systems
• Quality and complexity of real time data capture
• Managing real time vs. forecast
• Keeping assets in buffer for rises of demand in day

Rodolphe Sahel, Managing Director – Global Head of Liquidity Risk Management, Societe Generale

BALANCE SHEET MANAGEMENT – PANEL DISCUSSION
12:00 Creating a holistic view and aligning departments for effective balance sheet management
• Auditing balance sheet management
• Consistency across balance sheet
• Reviewing documentation and models feeding balance sheet
• Leveraging IFRS 9 into balance sheet management
• Increased shocks and curves to implement under ECB guidance
• Understanding impact of changes to LCR Pillar 2 requirements

Lena Young, Head of Audit Liquidity and Funding, Credit Suisse
Patrick Coleman, Head of Treasury and ALM Market Risk, Bank of Ireland
Mike Gregory, Head of London Treasury, Commonwealth Bank of Australia

12:40 Lunch break and networking

LIBOR
1:40 Treatment of new and existing contracts as the industry transitions towards LIBOR phase out
• Standardised contract language
• Treatment of derivatives and bonds
• Alternative benchmarks ready to use
• What influences new Vs. current rate
• Move from LIBOR to SONIA
• Impact on existing contracts
o Transition arrangements?
• Internal FTP – moving away from LIBOR as an internal benchmark

John Hoque, Managing Director, Head of Execution and Funding, NatWest Markets

TECHNOLOGY – PANEL DISCUSSION
2:15 Managing increased use of technology in markets and understanding the changing risk landscape
• Level of liquidity behind algorithms in trading
• Understanding how models interact with each other to understand risk
• Preparing for liquidity risk of the future
• What does a recession look like with technology
• How technology will play into liquidity reporting
• Technology infrastructure capability
• The rise of challenger bank models
• How FinTech helps or hinders the business model

Jacek Rzeznik, Head of Balance Sheet Risk Team, mBank
Jasper Lillingston, Director, Head of G7 Portfolio Management, European Bank for Reconstruction & Development (EBRD)

2:55 Afternoon refreshment break and networking

STREAM ONE
REGULATORY AGENDA

STREAM TWO
MARKETS & FUNDING

Moderated by Thomas Steiner, Partner, BearingPoint

PRA 110
3:25 Regulatory perspective on the PRA 110

Graham Laber, Senior Risk Specialist, Bank of England

INTEREST RATE RISK
3:25 Impact of interest rate risk on liquidity and pricing products

• Management in the banking book
• Forecasting for impact on stability of deposits
• Impact on cost and availability of liquidity
• Evaluating and monitoring capital assessment for risk
• Managing interest rate risk mergers with asset and funding profile
• Modeling scenarios and approaches for adoption

Aoife McGlouglin, Senior Market Risk Manager, Bank of Ireland

PRA 110 – PANEL DISCUSSION
4:00 Understanding PRA 110 reporting requirements and reconciling data across returns

• Reconciling and stressing data from old return to new
• Controls and governance
• Ensuring complete and accurate data: XBRL taxonomy
• EBA returns post Brexit
• Harmonising and standardising interpretation and implementation
• Regulatory feedback to ensure comparability across institutions
• How will reports inform Pillar 2 assessment

Martin Harrison, Head of Liquidity Risk, Nationwide
Chris Blake, Senior Manager, HSBC

FUNDING – PANEL DISCUSSION
4:00 Funding requirements in markets and managing funds transfer pricing

• System requirements to monitor funding
• Collateral to raise funding: right place, currency and form
• Planning for operational build out
• Impact on clearing, FX and central bank access
• Managing the cost of maintaining LCR and NSFR
• Steering the balance sheet
• Price of liquidity and impact on lending

Andrew Smith, Head of Treasury, Cynergy Bank
Lena Young, Head of Audit Liquidity and Funding, Credit Suisse
Sridhar Aiyangar, Group Head, Balance Sheet and Liquidity Management, Bank ABC

NSFR
4:40 NSFR Final rule outline and timelines for final implementation

• Changes in market, pricing and behaviour
• Funds transfer pricing
• Impact on business model
• Impact of ring fencing on traditional sources of liquidity
• Managing cost and stability through cheaper sources of funding
• Managing collateral and impact on repo markets
• Interaction with other regulations

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

4:40 A discussion and exploration into cross currency basis risk

• What is cross currency basis risk?
• Historical moves and lessons learnt
• Measuring and managing the cross currency basis risk
• Controls and monitoring

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

5:15 Chairs closing remarks

5:25 End of Forum

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

SPEAKERS

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

Executive leader with expertise in Capital, Liquidity and Portfolio 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 across different disciplines enables me to structure creative solutions for optimization of the Balance Sheet. Developed and implemented tactical and strategic Balance Sheet initiatives to strengthen the overall capital, funding and liquidity position.

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.

Brian Brown, Head of Liquidity Risk Management for UKI/CIB, Deutsche Bank

Brian has over 25 years of experience in the financial services industry, working in various positions in Treasury, capital management and liquidity management. He has been the Head of Liquidity Risk Management for UK and the Corporate and Investment Bank (CIB) at Deutsche Bank since October 2018. Prior to that, he was Head of Liquidity Risk Management Control at Nordea Bank, based in Copenhagen. (2016-18) He served in various roles at Merrill Lynch in New York and London as well as Bank of America Merill Lynch in London from 1993 until 2016. Brian has an MBA from Columbia Business School in New York and a Bachelors degree from Georgetown University in Washington DC.

Patrick Coleman, Head of Treasury and ALM Market Risk, Bank of Ireland

Pat has over 20 years experience in the financial service sector working for a number of institutions. He has worked in both front line and second line roles in Treasury, Asset-Liability Management, Trading, Securitisation and Syndication. He has worked with Bank of Ireland for the last three years specialising in Market Risk with a particular focus on IRRBB and structural risk management.

Pat is currently the Head of Group Market & Liquidity Risk at Bank of Ireland. He was previously a Managing Director with Depfa Bank having had a variety of Treasury roles in particular the restructuring and optimisation of the banks’ balance sheet. Prior to that he was Head of Treasury for Commerzbank Europe a subsidiary of Commerzbank based in Dublin.

Pat has an MA in Economics and MSc in Risk Management from University College Dublin.

Mike Gregory, Head of London Treasury, Commonwealth Bank of Australia

Current role as Head of the London Treasury team for Commonwealth Bank of Australia involves the management of funding, liquidity and interest rate risks. Previous roles over the last twenty years across liquidity, funding, IRRBB, FTP and Market Risk. CFA Charterholder and Financial Risk Manager (FRM).

Martin Harrison, Head of Liquidity Risk, Nationwide

Martin Harrison will be presenting at 8th Annual Liquidity Risk Management Europe

Philip Headley, Managing Director, Regulatory Reporting, Mizuho International plc

Phil Headley, Managing Director, is responsible for the Regulatory Reporting requirements of Mizuho International plc, specifically in relation to local CRDIV/V, Group and business planning requirements. Phil joined Mizuho in 2011, prior to that held senior finance roles at RBS, ABN AMRO and Bank of America. Phil qualified with EY London.

John Hoque, Managing Director – Head of Execution and Funding, NatWest Markets

John Hoque is the Head of Execution and Funding for NatWest Markets Treasury. He is in charge of running the Money Markets, Treasury DCM, Liquid Asset Buffer and ALM Execution desks as well as the Funding Plan for the investment bank (NatWest Markets) which is a part of RBS Group. Prior to his role, John has held roles across RBS Group for 8 years including interim NatWest Markets Treasurer. He was previously at Aviva running the Equities macro hedging risk programme and at Bank of America Merrill Lynch on the Money Markets desk. John holds a MBA from London Business School and a Bachelors in Engineering from Imperial College London.

Graham Laber, Senior Risk Specialist, Bank of England

Graham has worked at Santander UK, Standard Bank and RBS (contract) in Risk, Treasury and Regulatory Reporting respectively. At the Bank of England he conducts liquidity reviews of PRA-regulated firms in support of Supervisors and also advises Policy, the EBA and BCBS. He has an MSc from University College London and a BSc (First-class) from Durham University.

Jasper Lillingston, Director, Head of G7 Portfolio Management, European Bank for Reconstruction & Development (EBRD)

Jasper Lillingston is Director of G7 Portfolio Management within the EBRD Treasury. He oversees the central risk warehouse for all hard currency risks across the Bank’s balance sheet, and is active across the OTC and exchange traded derivatives space, with a particular focus on cross-currency and term bases. He is also leading the renegotiation of EBRD’s CSAs with the valuation adjustments (xVAs) this entails, as well as being closely involved with various Risk Free Rate Working Groups around the world focused on IBOR Transition. Jasper joined the EBRD in 2011. Previously he worked as a macro trader and before that was a market maker in EM rates.

Aoife McGlouglin, Senior Market Risk Manager, Bank of Ireland

Aoife has been Market Risk professional for 16 years, the last 11 years of which have been working in the Market Risk department of Bank of Ireland. She is currently Head of the Treasury and ALM Market Risk team where her focus is on the EBA Interest Rate Risk in Bank Book guidelines and their impact on the Pillar 2 regulatory requirement. Prior to this Aoife worked on Traded Market Risk team where she was responsible for the assessment and implementation of the Standardised Approach for the Minimum Capital Requirements for Market Risk (Fundamental Review of the Trading Book). Aoife has also been heavily involved in Market Risk component of the Regulatory EBA stress.
In DePfa Bank Plc Aoife was Head of the Market Risk Control Function and in both BOI and DePfa she have been involved in the successful implementation of Market Risk systems.

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.

Jacek Rzeznik, Head of Balance Sheet Risk Team, Mbank

Jacek Rzeznik will be presenting at 8th Annual Liquidity Risk Management Europe

Rodolphe Sahel, Managing Director – Global Head of Liquidity Risk Management, Societe Generale

Rodolphe Sahel is a Managing Director at Societe Generale, in Paris. Seating within Group Treasury in the Finance Department, he acts as the Global Head for Liquidity Risk Management. This includes the oversight of the Treasury function across the Group and the ownership and operational oversight of key liquidity metrics, including stress testing metrics. Prior to this role, Rodolphe was the Global COO for Fixed Income and Currencies activities at Société Générale. He holds a Master in Science from Ecole Centrale de Paris.

Andrew Smith, Head of Treasury, Cynergy Bank

A Treasury Professional with 20+ years’ experience covering Financial Markets, Regulation and Liquidity Risk Management within the UK banking industry. I have a specific focus in setting up Treasury functions within new banks having established the Treasury function at Capital One, Metro Bank and Shawbrook.

Thomas Steiner, Partner, BearingPoint

Thomas Steiner is a Partner at BearingPoint and responsible for their firm-wide risk management consultancy practice within their Banking and Capital Markets practice. While Thomas and his team is covering a comprehensive service portfolio for financial institution’s risk controlling and management functions, they have a specific focus on Banking Book risk controlling and management, covering IRRBB, Liquidity risk and FTP. Their services covers governance aspects (e.g. set up the 3 lines of defence concept), development of methodology and ALM software implementation.

Prior to that, he was Head of Requirement Engineering at MEAG Asset Management, responsible for the business requirements of the Risk Controlling/Management function.
Thomas is an ALM expert with more than 15 years’ experience in a variety of different roles in consultancy projects for international acting banking groups. He is a member of the Global Association of Risk Professionals (GARP).

Lena Young, Head of Audit Liquidity and Funding, Credit Suisse

Lena is Head of Audit Liquidity and Funding at Credit Suisse since June 2015, covering liquidity and funding across both the 1stLoD and 2ndLoD. Prior to CS, she was Global Head of Liquidity Reporting and Analytics in Barclays Group Treasury, responsible for all liquidity regulatory reporting to the PRA and global MI reporting, and European Head of Treasury Capital Markets at Morgan Stanley.  Lena holds a degree in Economics from Stockholm School of Economics, majoring in Financial Economics and Econometrics.

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

INSIGHTS

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.

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

SPONSORS

Sponsorship

Can your organisation contribute? 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. For more information on what we can offer, please contact sales@cefpro.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.

2019 Co-Sponsors:

2018 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 Jesse.hopkins@cefpro.com on +44 (0)20 7164 6582 / +1 888 677 7007

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

VENUE & FAQs

Venue

Etc Venues – Monument
8 Eastcheap
London
EC3M 1AE
UK

Click here for travel information

LRM Europe 2019 is taking place the day after Risk EMEA 2019. If you are attending both you will be able to stay at the Tower Hotel for a preferential rate, see below for details.

Accommodation at the Tower Hotel
We are delighted to offer our attendees a preferential rate of £209 incl VAT and Breakfast per night. If you would like to book your accommodation please use the information below. This rate is for the nights of June 10^th, 11^th and 12th only. The rate will either expire on May 20^th or if our quota is met. Please ensure to book as soon as possible to avoid disappointment.

Telephone: 0800 330 8005 option 1 or 2

Email: reservationsadmin.tower@guoman.co.uk

Please ensure to quote the code: CFPE110619 to receive the preferential rate.

Nearby Hotel Options:

 The Tower Hotel – (This will be the Home of Risk EMEA on June 11-12 if you wish to extend your stay)

DoubleTree by Hilton – Tower of London

Grange City Hotel

Apex City of London

Premier Inn London City (Tower Hill)

Travelodge London Central Tower Bridge

FAQs

CPE Credits

EMEA’s leading financial risk, regulation and technology gathering will be taking place the two days before Liquidity Risk Management 2019. Below is a preview of the conference but please visit www.risk-emea.com for further information.

Over two days, move freely between the following three work streams

Register

Register today for the lowest available rate

Registrations can be made online at www.risk-emea.com or via phone at +44 (0) 207 164 6582 / +1 888 677 7007

Risk EMEA 2019 Sponsors:

8th Annual Liquidity Risk Management Europe

13 June 2019 | London

REGISTER

Launch Rate Special

£399*

Until 3 May

SAVE £300

Early Bird

£499*

Until 31 May

SAVE £200

Standard Rate

£699*

Registrations after 31 May

*All rates are subject to UK VAT

Group Bookings:

Group rates are available for 3 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleague to come along for half price or a fifth colleague to attend for free!

1. Register by Email

Simply email us with your e-signature
we will do the rest for you!

We only need your:
– Full name
– Job title
– Company & address
– Contact number

sophie.goodeve@cefpro.com

2. Contact Us Directly

+44 (0)20 7164 6582 (UK)
or
+1 888 677 7007 (US)

3. Download PDF Registration Form