8:00 Registration and breakfast

8:50 Chair’s opening remarks

GLOBAL ECONOMIC ENVIRONMENT

9:00 Reviewing the global economic environment and balancing economic recovery and increased inflation volatility

Session details 

  • Impact to hedging strategies with volatility and uncertainty
  • Impact of Russia/Ukraine conflict on global markets
  • Impact of globalization on inflation
  • Managing risks of stagflation
    • Evolving displacement strategies
  • Long term repercussions of Covid-19
  • Behavioural modeling to shape lending profiles
  • Adapting to spread and yield curve changes

Gennadiy Goldberg, US Interest Rates Strategist, TD Securities

INTEREST RATES – PANEL DISCUSSION

9:40 Understanding the changing interest rate landscape and impacts across the industry

Session details 

  • Managing and measuring interest rate exposure and sensitivity risk
  • Aligning GAAP reporting and NII
  • Managing increased cost of liquidity
  • Adapting balance sheet structure based on changes
  • Evolution of the macro economy and continued uncertainty
  • Recalibrating optionality and pricing
  • Opportunity costs with increased rates
  • Managing downward pressure on capital position as a result of increased interest rates
  • Understanding how globalization has influenced inflation.

Mark Cabana, Head of US Rates Strategy, Bank of America
Jorge Segura, Senior Director, ALM Market Risk, Santander US
Avi Lopchinsky, Head of Liquidity, Interest, and Market risk management, Apple Bank

10:30 Morning refreshment break and networking

INTEREST RATE STRATEGY

11:00 Mitigating the risk of high inflationary environment and developing enhanced hedging tactics

Session details 

      • Assessing different approaches and strategies to combatting interest rate risk
      • Reviewing effective ways and best practice to hedge rising interest rates
      • Reviewing how to effectively manage asset liability in a volatile interest rate environment
      • Strategy for variable and fixed loan rates
      • Balance sheet structure and hedging tactics
      • Managing spread with continued change and future decrease
      • Tools and modeling approaches
      • Developing agile risk management capabilities to manage volatility.

LIQUIDITY

11:40 Navigating changes in market liquidity and adapting strategy aligned with economic change

Session details 

    • Managing deterioration in market depth
    • Factoring changes into decision making processes
    • Movement of excess liquidity from consumers
    • Behavioural modeling to predict impact of change
      • Impact to lending profile and business strategy
    • Operating in the new normal as liquidity evolves
    • Analyzing liquidity profiles with rapidly increasing interest rates

Thomas Braun, Head of Market & Treasury Risk, UBS Bank USA

12:20 Lunch break and networking

LIQUIDITY STRESS

1:20 Developing approaches for effective liquidity stress scenario testing

Session details 

  • Incorporating deposit movements in stress scenario
  • Capturing quantitative tightening in liquidity stress test
  • Alignment with existing scenarios
  • Modeling deposits and identifying changes to balance sheet profile
  • Developing advanced liquidity stress testing and contingency funding plan structures
  • Sources of liquidity and generating assuredness of accessibility

Charlie Hart, Director, Quantitative Risk Management, USAA

FORECASTING

2:00 Evaluating business plans and strategy with limited forecasting capabilities

Session details 

  • Forecasting impact of volatility on profitability and liquidity
  • Impact of slowdown in lending on liquidity
  • Maintaining an equity-based stability
  • Managing continuous change in demand and funding
  • Developing agile risk management capabilities to manage volatility
  • Difficulty with predicting interest rate movements and implementing them into stress scenarios
  • Determining level of deposits with limited forecasting ability

DEPOSITS – PANEL DISCUSSION

2:40 Reviewing the impact of deposit attrition on liquidity and implications for balance sheet management

Session details 

  • Impact of quantitative tightening on deposit levels
  • Modeling deposits in a changing environment
    • Reduced Fed stimulus and liquidity in markets
  • Measuring and monitoring outflows
  • Treatment of excess deposits
  • Assessing the transfer of rate increases to clients
  • Challenges acquiring core deposits and potential restrictions
  • Addressing NII issues with speed of interest rate hikes
  • Effectively monitoring deposit outflows

Svilen Petrov, Managing Director, Balance Sheet Risk, Royal Bank of Canada
Susanne Robinson, SVP, Head of Liquidity Risk Oversight, First Citizens Bank
Julian Oldale, Head of Corporate Treasury & Liquidity Advisory Americas, Head of TSB Americas, BNP Paribas

3:30 Afternoon refreshment break and networking

DATA STRATEGY

4:00 Developing a data strategy to reduce manual processes and leverage actionable insight

Session details 

  • Developing a data platform to reduce manual processes
  • Developing controls to document end to end flow
  • Building out an enterprise level data program
    • Consolidating globally in a stress scenario
  • Data requirements for funding and liquidity risk
  • Cash flow monitoring and back testing
    • Challenges across programs and tools
  • Overcoming legacy systems with the growth in granular data Incorporating cloud and new technologies to manage large data sets

Rajesh Kaveti, Director, BNY Mellon

DATA QUALITY

4:40 Ensuring data quality and monitoring data lineage for an effective data program

Session details 

      • Managing data lineage
        • Tracking movement and origination of data sets
      • Determining level of granularity expected from regulators
      • Manual adjustments to ensure quality
        • Auditability of adjustments
      • Tracking evolution of data across source systems
      • Processing in a data lake environment
      • Data aggregation and risk reporting
      • Granularity of data requirements

Siddharth Narayan, Director, Head of Data Assurance and Validation, Industrial and Commercial Bank of China

5:20 Chair’s closing remarks
5:30 End of day one and networking drinks reception

8:00 Registration and breakfast

8:50 Chair’s opening remarks

MODELING

9:00 Leveraging model capabilities and re-calibrating in a volatile economic environment

Session details 

      • Incorporating credit modelling into ALM and IRRBB
      • Adjusting modeling strategies in line with changing rates
      • Prepayment risks in a down scenario
      • Developing effective challenger models
        • Efficient challenger tools to challenge first line models
      • Leveraging models to better incorporate the current market value
      • Capabilities to model balance sheet and income statement for net interest margins
      • Using behavioral models to predict customer behavior in a volatile market
      • Leveraging modeling systems to create a strategic lending profile

Maxwell Zhu, Managing Director, Head of Quantitative Analysis & Strategy, US Corporate Treasury, BMO Harris Bank

STRATEGIC RISK

9:40 Leveraging market intelligence to drive strategy and enable business decisioning

Session details 

      • Allocating capital and future of buffers
      • Preparing for and anticipating a recession
      • Allocating capital based on future risks
      • Strategic decisions on business growth
      • Impact of quantitative tightening
        • Developing a capital allocation framework aligned with change
      • Scaling back businesses and impact on bottom line
      • Balancing capitalization with growth

10:20 Morning refreshment break and networking

REGULATORY AGENDA

10:50 Overview of recent regulatory guidance and anticipating upcoming change on the horizon

Session details 

      • Implementation of 2052A
        • Managing compliance with increased M&A activity
        • Building capabilities for daily liquidity position reports
      • Approaches to demonstrate controls to regulators
        • Evaluating changes in interest rates and impact to composition of balance sheet
      • 2019 tailoring rules Demonstrating accuracy and completeness for business decisioning
        • Liquidity reporting and data requirements
      • Reviewing the Basel 3 reform
      • Metrics for capital requirements on financial institutions

Shahab Khan, Head of Liquidity Policy, HSBC

SOFR – PANEL DISCUSSION

11:30 Reviewing the impact of transition to SOFR and managing legacy contracts

Session details 

  • Operationalizing the switch to SOFR and other RFRs
  • Internalizing systems and processes
  • Managing credit and liquidity components under SOFR
  • Shift to static CSA from dynamic
  • Reviewing global strategies and alignment
    • Impact of market divergence
  • Leveraging technology and tools to effectively recalibrate pricing
  • Simplifying how transfer fund pricing is carried out
  • Incorporating FTP to drive business strategy and decisions
  • Embedding Libor changes

Oskar Rogg, Head of Treasury Americas, Credit Agricole
Vineet Gumasta, Head of Business Strategy – IBOR transition, Rabobank
Frank Sansone, Treasurer, SVP, China Construction Bank

12:20 Lunch break and networking

FTP

1:20 Delivering effective funds transfer pricing capabilities and aligning with continued change

Session details 

  • Impact of embedding SOFR on FTP
    • Building out FTP curves with SOFR
  • Identifying exposure to non-monetary deposits
  • Increased focus with high interest rates
  • Driving business strategy and direction
  • Data requirements for effective pricing
  • Second line involvement to provide tangible benefits
  • Changes to liquidity impact on FTP
  • Calibrating liquidity spread on top of SOFR

Yujush Saksena, Managing Director, Treasury Risk, BNY Mellon

INTRADAY LIQUIDITY – PANEL DISCUSSION

2:00 Managing increased intraday liquidity challenges as liquidity reduces post pandemic

Session details 

  • Intraday liquidity management with less liquidity in the market
  • Reduction in reserves impact in intraday stress
  • Estimating intraday payments sequence
  • Access to liquidity with reduction in Fed balance sheet
  • Implementing a real-time intraday liquidity system to effectively trace liquidity

Paige Wisdom, Board Director, Morgan Stanley Bank N.A

INVESTMENT PORTFOLIO

2:50 Managing investment portfolios effectively amidst continued change and global volatility

Session details 

  • Increased portion of the balance sheet
  • Managing investment portfolios effectively
  • Impact of interest rate risk within portfolio
  • Outlooks for liquidity requirements
  • Structuring portfolio to meet liquidity needs
  • Managing margin compression within investment portfolio
  • Maintaining margins and profits
  • Capturing volatility in business projections

Ashutosh Tripathi, Managing Director, Mizuho (tbc)

3:30 Afternoon refreshment break and networking

CREDIT RISK

4:00 Reviewing the impact of macroeconomic events on credit risk and future risk mitigation

Session details 

  • Impact of CECL post implementation
  • Understanding how previous COVID protections could turn into defaults and create a credit risk
  • Evaluating how rising interest rates can evolve into a credit risk on loan and investment portfolios
  • Reviewing how increased interest rates are tightening credit within the system
  • Analyzing the potential of weaking of credit quality and how that can lead to a higher level of defaults

Ty Lambert, Senior Executive Vice President & Chief Risk Officer, Cadence Bank

ESG

4:40 Incorporating ESG considerations into balance sheet management and treasury practices

Session details 

  • Including ESG within treasury and liquidity stress scenarios
  • Incorporation on an enterprise level
    • Nuances from a treasury and liquidity angle
  • Handling liquidity in changing investment portfolios
    • Increased investment in ESG deposits and bonds
  • Managing ESG impact on cash and balance sheet
  • Application to managing business and including in parameters of decision making
  • Managing risk of greenwashing
  • Understanding the need for climate risk regulatory requirements within the treasury department.

Julian Horky, CEO, Berenberg Asset Management, Head of Risk Controlling, Berenberg Capital Markets

5:20 Chair’s closing remarks

5:30 End of ALM & Treasury 2023