Liquidity Risk Management USA

LRM USA

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2ND ANNUAL

Liquidity & Risk Management USA

Examining the liquidity risk landscape and potential shifts in regulatory focus. 
Taking place October 17-18 at the DoubleTree by Hilton Metropolitan, 569 Lexington Ave, New York, NY 10022, USA

Key Highlights to be addressed

REGULATORY LANDSCAPE
Exploring the current regulatory landscape and discussing the impacts of possible de-regulation across the industry

STRESS TESTING LIQUIDITY RISK
Reviewing the CLAR requirements and the ability to incorporate a level of liquidity risk in stress testing

FUNDS TRANSFER PRICING
Exploring approached and methodologies to funds transfer pricing

NSFR FINAL RULE
Examining the variations in the proposed and final NSFR rule and preparation ahead of full implementation

2052A
Examining 2052A to ensure
compliance and strengthen
the process

ENHANCED PRUDENTIAL STANDARDS
Reviewing EPS implementation and development and the ability to satisfy the regulators

MODELLING FOR STRESS TESTING
Exploring CCAR and DFAST models within stress testing and the ability to incorporate
immediate horizons

INTRADAY LIQUIDITY
Understanding and managing firm specific intraday liquidity and the ability
to limit risk

PRICING LIQUIDITY
Identifying approaches to pricing liquidity and the impact on different sized institutions

Hear from over 20 senior Liquidity Funding and Treasury Professionals including:

George Gau

George Gau - photo

Americas Head of Treasury Risk Oversight


Barclays

Jennifer Detrano

Jennfier Detrano - Head shot

Head of Treasury Change US


Deutsche Bank

Frank Morisano

Fmorisano Headshot

CRO


Industrial and Commercial Bank of China

Ishan Lal

male

Director, Collateral Liquidity and Funding and Prime Services Treasurer


Credit Suisse

Andrew Craig

Andrew Craig

Officer, Funding and Liquidity Risk


Federal Reserve Bank of New York

Aryasomayajula Sekhar

male

Global Head of Liquidity Risk Management


Morgan Stanley

Andrew Amstutz

Andrew Amstutz - Head shot

Managing Director/Asset & Liability Management, Head of Policy & Execution


Citi

Thomas Braun

Picture1

 Head of Liquidity Analysis


Societe Generale

Sunil Gangwani

Sunil Gangwani

Executive Director, Finance


ING

Erjun Chen

Erjun Chen

Audit Director


CIT Bank

Ji Quin

male

Head of Market Risk


MUFG

Andrew Fellingham

male

Director, Group Head Market and Liquidity Risk


Sumitomo Mitsui Banking Corp

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Day One | 17 October 2017

08:00 Morning registration and coffee

08:50 Chair’s opening remarks

REGULATORY LANDSCAPE – PANEL DISCUSSION
09:00 Reviewing potential deregulation under the new administration and the impact on the industry

  • Continual compliance, the option to uphold current regulatory standards
  • Impact on resources with less teams required
  • The cost of scaling back already established regulations
  • Will the proposed changes allow companies to hold less liquidity reserves on the balance sheet?
  • Impact on foreign banking organisations

Sunil Gangwani, Executive Director Finance, ING
George Gau, Americas Head of Treasury Risk Oversight, Barclays
Jennifer Detrano, Head of Treasury Change US, Deutsche Bank
Frank Morisano, Chief Risk Officer, Industrial & Commercial Bank of China

NSFR FINAL RULE
09:50 Exploring possible variations in the proposed and final NSFR rule and preparation ahead of implementation

  • Timeline review and impact of further delay
  • Adapting the business to the final rule in a shortened time frame
  • What will the final rule look like for foreign banking organisations
  • Variations in NSFR across jurisdictions: Ensuring compliance and implementation

Ishan Lal, Director, Collateral Liquidity and Funding, Credit Suisse

10:30 Morning refreshment break and networking

NSFR IMPLEMENTATION
11:00 Understanding the management and organization of NSFR ahead of the final rule and full implementation

  • Potential impacts on management of portfolios
  • Impacts on the current liquidity buffer
  • Changes and impacts to funding
    • Implications of relying on customer funding and deposits to fund the NSFR
  • Management of overall risk governance
  • Relationship between the NSFR and TLAC: Holding long term debt

BEHAVIOUR OF DEPOSITS
11:40 Understanding the potential change in behaviour of deposits in a rising rate environment with unprecedented length of low rates

  • Impacts of the rising rate environment on funding
  • Changing behaviour of deposits
    • Same as the last rising rate environment
  • Opportunities with larger funds
  • Forecasting the future rising rates
  • Adjusting funding mix to accommodate rising rate environment

12:20 Lunch break and networking

RECOVERY AND RESOLUTION PLANNING
13:20 Developments and changes to recovery and resolution planning and understanding the impact on liquidity

  • Foreign banks submitting for the first time
  • ILAP and RLEN
  • Developments and changes to expectation of submission
  • Impacts and implications of TLAC
  • Relationship between liquidity and capital

INTRADAY LIQUIDITY – DOUBLE SESSION
14:00 Managing intraday liquidity to understand firm specific limits and managing the risks

  • Where the industry currently stands
  • Calculating minimum operating liquidity based on intraday flows between legal entities
  • Allocating intraday liquidity buffers
  • Double counting and how to support this decision to the regulator
  • Considerations for foreign banking organisations

Paul Guider, MD, US Treasurer, Scotiabank
Jennifer Detrano, Head of Treasury Change US, Deutsche Bank

15:20 Afternoon refreshment break and networking

MONEY MARKET REFORM
15:50 Examining changes to money market reform and the potential impacts to market volatility

  • Exploring changes to money market reform
  • Possible impacts on LCR
  • Understanding where to house increasingly larger funds
  • Managing volatility and pressure on smaller financial institutions

PRICING LIQUIDITY – PANEL DISCUSSION
16:30 Reviewing best practice for pricing liquidity and the impact on different sized institutions

  • Pricing liquidity to the business
  • Charging the business for the liquidity they generate or use
  • How to calculate liquidity pricing
  • Pricing liquidity for small and mid-sized financial institutions

Andrew Amstutz, Managing Director/Asset & Liability Management – Head of Policy & Execution, Citi
Mark Litchfield, VP, Liquidity Management, Synchrony Financial
Andrew Craig, Officer, Funding and Liquidity Risk, Federal Reserve Bank of New York

17:20 Chair’s closing remarks

17:30 End of day one

Day Two | 18 October 2017

08:00 Morning registration and coffee

08:50 Chair’s opening remarks

STRESS TESTING LIQUIDITY RISK – PANEL DISCUSSION
09:00 Incorporating a level of liquidity risk in stress testing and reviewing CLAR requirements

  • How assumptions are derived
  • Best practice for contingency funding plans and triggers
  • How to combine CCAR and liquidity stress test
    • 2 year horizontal vs immediate
  • Integrating credit losses into a liquidity stress simulation
  • CLAR requirements

Adam Ashcraft, SVP, Head of Funding, Liquidity & Interest Rate Risk, Federal Reserve Bank of New York
Sunil Gangwani, Executive Director Finance, ING
Benoit Dauchez, Executive Director/Liquidity Planning & Coverage, Morgan Stanley

MODELLING FOR STRESS TESTING
09:50 Utilizing CCAR/DFAST models to conduct liquidity stress tests and incorporating immediate horizons

  • How to better model inflows and outflows from portfolios
  • Formulating sufficient architecture to produce the correct results
    • Improving internal systems and automating the process
  • What sources of information to consider when conducting model defined liquidity risk
  • Metrics to evaluate
  • Utilising CCAR/DFAST

Aryasomayajula Sekhar, Global Head, Managing Director, Liquidity Risk Management, Morgan Stanley

10:30 Morning refreshment break and networking

FUNDS TRANSFER PRICING
11:00 Understanding methodology approaches to funds transfer pricing and the impact on liquidity

  • Methodology approaches
  • Charging and crediting liquidity
    • Cost of funding
  • Identifying assets or inventory on the balance sheet impacting liquidity
  • Combining platforms for credit, interest and liquidity risk
  • Frequency of applying, monthly vs daily

Andrew Craig, Officer, Funding and Liquidity Risk, Federal Reserve Bank of New York

EPS – DOUBLE SESSION
11:40 Reviewing the impact of EPS a year on: Identifying gaps in implementation and satisfying the regulators

  • Impact on liquidity buffers and cash flow projections
  • Independent review of liquidity processes
  • CLR assumptions and documentation
  • Impact on post implementation

Andrew Fellingham, Director, Group Head Market and Liquidity Risk, Sumitomo Mitsui Banking Corp
Ji Qin, Head of Market Risk, MUFG Securities

12:30 Lunch break and networking

LCR
13:30 Evolution of the LCR: Reviewing daily management and integration with other regulatory regimes

  • Exploring how the LCR has evolved
  • Daily management and challenges
  • Exploring LCR requirements mapped out in 2052A
    • Variations in approach
  • NSFR and LCR interaction and management
    • Best practice for balancing the regulatory requirements
  • Connections between NSFR, LCR & Capital

2052A
14:10 Delivering data and ensuring compliance under 2052A to strengthen the process for future requirements

  • Current progress and developments, where the industry currently stands
  • Delivering data and ensuring regulatory compliance
    • In house and third party solutions
    • Automated vs manual
  • Reporting collateral in current format
  • Variations in timelines for reporting
  • Frequency of data submission under stress scenario

Thomas Braun, Director, Head of Liquidity Analysis, Societe Generale

14:50 Afternoon refreshment break and networking

3rd LINE OF DEFENCE
15:20 3rd Line of defence in liquidity risk management

  • 3rd line of defence – A component of the liquidity management framework
  • Further developing audit capabilities and competences
  • Changing a game plan – Audit approach
  • Enhancing the quality assurance

Erjun Chen, Audit Director, CIT

REGULATORY DEVELOPMENT – PANEL DISCUSSION
16:00 Examining the regulatory requirements for mid-sized institutions moving towards growing their balance sheet and business

  • Examples of successfully balancing growth and regulatory compliance
  • Development using in-house procedure or third party solutions
  • Adjusting the business model to ensure compliance
  • Incorporating regulatory requirements into frameworks
    • Allocating resources
    • Documentation

Erjun Chen, Audit Director, CIT
Thomas Braun, Director, Head of Liquidity Analysis, Société Générale

16:50 Chair’s closing remarks

17:00 End of Summit

Andrew Amstutz - Head shot
Andrew Amstutz, Managing Director/Asset & Liability Management – Head of Policy & Execution, Citi

Andrew Amstutz currently heads ALM – Policy & Execution for Citi, globally covering bank, broker-dealer and corporate chain entities since April 2016.  Andrew joined Citi in 2009 in New York where he had responsibility for secured funding the Prime Brokerage and Equity Division globally focusing on Asset/Liability management, regulatory matters, product development and strategy.  Mr. Amstutz represented Citi in various industry groups and sat on the firms Asset and Liability Committee.  Andrew left Citi in 2013, focusing on various consulting engagements, and re-joined Citi in 2015 within their Broker-Dealer/ICG Markets Treasury group.

Originally trained as a CPA with Arthur Andersen & Co., Mr. Amstutz joined Morgan Stanley in 1992 in product control for the Prime Brokerage and Securities Lending businesses.  Joining the financing trading desk in New York in 1997, he moved to London in 2000 where he built out the equity funding function globally.  In 2004, he became the COO for Securities Lending and joined the board for Equilend Holdings LLC (Europe).  In 2006, he headed Morgan Stanley’s cross asset class secured funding which included equity, fixed income and structured financing.

Mr. Amstutz is a Certified Public Accountant and graduated cum laude from Widener University with an MBA as well as B.S. degrees in Accounting and Economics. He is Series 24, Series 7, Series 24 and FSA Regulations and Futures certified.

Ashcroft
Adam Ashcraft, Head of Funding, Liquidity And Interest Rate, Federal Reserve Bank of New York

Adam Ashcraft will be presenting at the upcoming Liquidity Risk Management USA.

Picture1
Thomas Braun, Director, Head of Liquidity Analysis, Societe Generale

Thomas Braun is the Head of Liquidity Analysis within the ALM team of Societe Generale focusing on liquidity reporting, stress testing as well as compliance with regulatory norms. Thomas has been at Societe Generale for ten years, initially focusing on capital and interest rate risk management before switching roles to a liquidity focus.  Within his time at Societe Generale, he initiated the first liquidity framework within SG US and headed up project efforts for daily 3G Compliance and LCR reporting.  Thomas was awarded the SG 2014 Innovation Award within Global Finance for his efforts in liquidity reporting and compliance.

Thomas started his career at AT&T Corp. in 1998, graduating the company’s Financial Leadership Program.  He then worked in AT&T’s Treasury department performing a wide variety of functions and participating in the company’s spin-off of AT&T Wireless and sale of its cable arm.  From there, he worked in Ernst & Young’s Global Treasury Advisory’s Arm, working with several firm on Treasury and Liquidity projects.  He then joined Lehman Brothers in the ALM team and managed the team responsible for Long Term Debt Reporting, Middle Office Treasury Function and Hedge Accounting compliance.

Erjun Chen
Erjun Chen, Audit Director, CIT Bank, NA

Erjun Chen is a director of Internal Audit Service at CIT. His responsibilities include leading an audit team covering the Liquidity and Market Risk practices as well as DFAST/CCAR processes at CIT.

Prior to joining CIT, Erjun worked at Ernest & Young and KPMG as a Senior Audit Manager and an Audit Manager, respectively focusing on the financial statements audits in the banking industry. Prior to work for “Big Four’ accounting firms, he worked as a Foreign Exchange trader at one of Chinese Banks.

Erjun holds MBA in Finance from Fordham University Graduate School of Business. He is a CPA licensed in New York State.

Andrew Craig
Andrew Craig, Officer, Funding and Liquidity Risk, Federal Reserve Bank of New York

Andrew is a liquidity specialist covering a large domestic financial Institution in the Second District and participates in the annual Comprehensive Liquidity Assessment and Review (CLAR). Andrew joined the Federal Reserve in 2011 after 20+ years in various treasury positions at a large financial institution. He holds a Masters in Economics and Bachelors in Marketing and Accounting from the University of New South Wales.  He also holds a Masters of Applied Finance from Macquarie University and is a Chartered Financial Analyst (CFA) and Financial Risk Manager (FRM).

Benoit
Benoit Dauchez, Executive Director/Liquidity Planning & Coverage, Morgan Stanley

Benoit has been a member of Morgan Stanley’s Liquidity Planning and Coverage team for over six years. His responsibilities include development of liquidity stress testing models and liquidity risk management.

Jennfier Detrano - Head shot
Jennifer Detrano, Head of Treasury Change US, Deutsche Bank

Jennifer Detrano has been in the Financial Industry for over 20 years.  She has held leadership positions in Treasury and Finance at Morgan Stanley and Bear Stearns.  She is currently Head of US Treasury Change at Deutsche Bank, where she has worked for the last 5 years.  Her organization leads the Change the Bank activities in response to challenging and ever growing US Treasury regulatory requirements on Foreign Bank Organizations.  She most recently led the implementation of Intraday Liquidity Risk Monitoring, FR 2052a, US LCR and Stress reporting.  She holds a BBA in Public Accounting and an MBA in Finance.

male
Andrew Fellingham, Director Group Head Market and Liquidity Risk, Sumitomo Mitsui Banking Corp

Andrew Fellingham has 20 years of treasury, portfolio management, and risk experience working primarily for FBOs in New York. Currently Andrew is Group Head of Market and Liquidity Risk for SMBC Americas Division where he is responsible for risk identification, model calibration, and addressing NY branch response to EPS requirements. Previously Andrew was in the Liquidity Risk Control group at Deutsche Bank, worked as an independent consultant, and resolved the Swiss National Bank’s 2008 bailout of UBS. In the early days of the credit crisis Andrew was responsible for Credit Agricole’s ABCP issuance where he successfully kept all paper in the hands of third party investors and stayed out of any US government support programs. Andrew began his career in Treasury at Commerzbank where he traded money market products, G7 Government debt, interest rate derivatives, and ran an Agency Mortgage MBS portfolio.

Sunil Gangwani
Sunil Gangwani, Executive Director, Finance, ING

Strategic business partner with 17 years of diverse experience in risk and finance roles with GE Capital, ING & PwC. Developed a risk appetite framework for a SIFI covering liquidity, credit and various other risk categories. Drafted liquidity stress framework for an FBO. Chartered Accountant and MBA from NYU Stern School of business. Recently finished MIT Fintech course. Strongly believes in leveraging and connecting regulatory requirements with Company’s strategy and long term plans.

George Gau - photo
George Gau, Americas Head of Treasury Risk Oversight, Barclays

Americas Head of Treasury Risk Oversight – covering the liquidity risk, capital risk and interest rate risk in banking books for Barclays in US from 2nd line of defence perspective to ensure Reg. YY compliance for IHC/CUSO. Joined Barclays in 2015. Previously worked at GE Capital, Morgan Stanley, E&Y and Merrill Lynch in various Treasury functions. CFA and FRM holder.

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Paul Guider, MD, US Treasurer, Scotiabank

Paul Guider will be presenting at the upcoming Liquidity Risk Management USA.

male
Ishan Lal, Director, Collateral Liquidity and Funding and Prime Services Treasurer, Credit Suisse

Ishan Lal will be presenting at the upcoming Liquidity Risk Management USA.

male
Mark Litchfield, VP, Liquidity Management, Synchrony Financial

Mark Litchfield will be presenting at the upcoming Liquidity Risk Management USA.

Fmorisano Headshot
Frank Morisano, CRO, Industrial and Commercial Bank of China

Frank Morisano is Chief Risk Officer at the Industrial and Commercial Bank of China (ICBC) overseeing the operations and legal entities through which the bank operates in the USA. Before ICBC, he spent over a decade in China leading Financial Services Advisory practices at Ma Lee Advisory and PwC Consulting. The earlier part of his career was spent in senior risk management, strategy, M&A, and liquidity management positions at JPMorgan Chase, Bank of America, Capital G Bank, and General Motors Acceptance Corporation. He is credit trained from the Chase Manhattan Bank, holds a M.Sc., Information Systems, and a B.B.A., Statistics.

male
Ji Qin, Head of Market Risk, MUFG

Ji Qin will be presenting at the upcoming Liquidity Risk Management USA.

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Aryasomayajula Sekhar, Global Head of Liquidity Risk Management, Morgan Stanley

Aryasomayajula Sekhar will be presenting at the upcoming Liquidity Risk Management USA.

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For more information, visit www.novantas.com

Can your organisation contribute at our Liquidity Risk Management USA Congress?

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. Please contact sales@cefpro.com or call us on +1 888 6777 7007 where a member of the team will be happy to tailor the right package for you.

Media Partnerships

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

Venue

The DoubleTree by Hilton Metropolitan, 569 Lexington Ave, New York, NY 10022, USA

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To claim your CPD points please contact info@cefpro.com or call (0)20 7164 6582

FAQs

Can I present at Liquidity Risk Management USA

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at the Congress. For further information on this please contact alice.kelly@cefpro.com

Are there any rules on the dress code?

Business attire is requested. The Congress is a formal opportunity to network with like-minded professionals and to gain knowledge from the industry’s finest risk management experts.

What is the cost and what is included in the registration fee?

We offer incentives for ‘early bird’ registrants of the Congress, as outlined on our pricing structure.

Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of day One, full access to the Congress sessions and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Congress documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations*

All available documentation will be provided after the Congress has taken place. However we will work with our presenters to make these available before the Congress where possible.

*Please note that our speakers often have to gain permission from their relevant compliance departments to release their presentations. On rare occasions compliance may not allow presentations to be distributed.

Will breakfast, lunch and refreshment be provided?

Yes. As with all of our events the Center for Financial Professionals will be providing brilliant coffee, breakfast, lunch, refreshments, and smaller bites during the networking breaks.

Will there be opportunities to network with other attendees?

There are ample opportunities for networking and interaction throughout the Congress, such as

  • Breakfast, lunch and refreshment breaks
  • Cocktail reception at the end of the first day of the Congress (subject to confirmation)
  • Q&A, panel discussions and audience participation technology at the event and during the sessions
I have several colleagues that would like to attend, is there a group discount?

Certainly! We are pleased to offer you a 50% discount on the third registration or provide a fifth registration for free.

If you would like to register more than five colleagues please contact us on +1 888 677 7007.

Please note:

  • Registrations must be made at the same time
  • Registrations must come from the organization
  • The lowest registration will be discounted
Are there opportunities to share my thought-leadership at Liquidity Risk Management USA?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of Liquidity Risk Management USA and our wider risk professionals community.

At the event
We can distribute your material to the attendees or even offer you an exhibition booth so that you may enjoy a more prominent presence at the Congress. Visit the Sponsor tab for further information or contact sales@cefpro.com / +1 888 677 7007.

Risk Insights
Feature your content on our Risk Insights website and supporting Risk Insights monthly newsletter. For further information please download our media pack here.

Are media partnerships available for Liquidity Risk Management USA?

Yes. As part of a media partnership we can offer a variety of options to increase the branding and awareness of your association, company, certificate, publication or media. We are flexible with what we can offer however we usually:

  • Provide a discounted rate to attend
  • Place your logo and profile on the Congress website
  • Place your logo on the Congress brochure
  • Place your logo on promotional content where applicable
  • Distribute your media/marketing at the Congress
  • Promote through social media channels

To discuss this further please contact jesse.hopkins@cefpro.com or call +1 888 677 7007.

Registration Rates Launch Special
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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.

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

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