PLEASE SELECT A DAY FROM THE BELOW DROPDOWN TO VIEW THE AGENDA:

8:00 Registration and breakfast

8:50 Chair’s opening remarks

Day 1 Moderator: Rob MacPherson, Head of Corporate Development, Phyton Consulting

INTEREST RATES – PANEL DISCUSSION

9:00 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.

Ralph Axel, Director, U.S. Rates Strategist, Bank of America
Jennifer Matney,
former Chief Financial OfficerNational Advisors Trust Company
Isaac WheelerHead of Balance Sheet Strategy,Derivative Path, Inc.
Jorge Segura, Senior Director, ALM Market Risk, Santander US
Avi Lopchinsky, Head of Liquidity, Interest, and Market Risk Management, Apple Bank

LIQUIDITY FRAMEWORKS

9:50 Reviewing the evolution of liquidity analytic frameworks

Session details 

  •  Managing framework implementation challenges
  • From a simple reporting topic to a complex optimization problem
  • Increased data requirements for liquidity analytics
  • Granularity of stress tests
  • Use of big data analytics
  • Assessing how business requirements have changed
  • Meeting the more frequent and unexpected regulatory demands
  • Reviewing preferred technologies for internal and external analytics

Allen Whipple, Founder and Managing Director, ActiveViam

10:30 Morning refreshment break and networking

BALANCE SHEETS

11:00 Effective management of shifting balance sheets in times of high rates volatility

Session details 

  • Different types of pricing strategies and their impact on banks’ balance sheets
  • Annualized cost of growth per new dollar raised/lost
  • Modeling the range of possibilities in interest rate markets and linking it to bank’s product pricing strategies
  • Treasury teams leveraging on next generation ALM solutions
  • Use of cloud-native technologies in treasury and ALM business teams

Carles Herrero, Global Head of Solutions Sales, Mirai ALM Tool (Mirai Advisory)

LIQUIDITY STRESS

11:40 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

 

Steve Turner, Managing Director, Empyrean Solutions

12:20 Lunch break and networking

LIQUIDITY

1:20 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

TREASURY DEPARTMENTS 

2:00 Leveraging treasury departments to drive value to better serve the business and CFO

Session details 

  • Reviewing the treasury landscape and assessing emerging future trends
  • Understanding the importance of data, STP, and technology platforms
  • Challenges and opportunities of rising rates and recent events with Signature and SVB
  • Assessing the importance of treasury departments being client focused
  • Anticipating changes with customers banking behaviour

Richard Vera, First Vice President, Israel Discount Bank 
Linda Weber, SVP, Cash Management, Israel Discount Bank
Michael Ivie, Managing Partner, Phyton Consulting

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
Gautam Jha,
Head of Liquidity and Funding Risk, MUFG

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

GEOPOLITICAL

4:40 The Russian Ukraine conflict and its impact on banks ALM departments

Session details 

  • When did markets react? Did they predict the escalation?
  • Review the impact on interest rates and fx rates
  • Evaluate the effects on banks in the central-eastern European region and beyond
  • Analyze sanctions and reactions of bank management
  • What lessons can ALM and risk management learn

Julian Horky, Head of Risk and Finance, Berenberg Capital Markets & Berenberg Asset Management

5:20 Chair’s closing remarks
5:30 End of day 1 and networking drinks reception

8:00 Registration and breakfast

8:50 Chair’s opening remarks

Day 2 Moderator: Willy Gakunzi, Director, Specialized Consulting, Wolters Kluwer

CREDIT RISK

9:00 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
Matthew MichelSVP, Director of Quantitative Credit Modeling, Cadence Bank

MODEL PERFORMANCE

9:35 effectively managing ALM & Liquidity model performance in challenging times

Session details 

  • Assessing the impact on ALM and liquidity modeling and resources
  • Leading approaches to assumption management, model performance monitoring, and backtesting
  • Understanding and addressing elevated regulatory concerns and criticisms
  • How to inspire confidence with your ALCO, Board, and MRM

Mike Guglielmo, Managing Director, Darling Consulting Group

10:10 Morning refreshment break and networking

INTEGRATED LIQUIDITY MANAGEMENT

10:40 Reviewing the benefits of an integrated liquidity management process

Session details 

  • The challenges of effective liquidity management
  • ALM model insights to leverage within liquidity management
  • Case studies on integrated and ALM liquidity processes

Aaron Sanders, Practice Lead, Liquidity Risk Management, QRM

REGULATORY AGENDA

11:15 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
Maria Rine Dunia
, Technology Product Manager, Wolters Kluwer

SOFR – PANEL DISCUSSION

11:55 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

12:40 Lunch break and networking

FTP – JOINT PRESENTATION

1:40 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
Bill Collette, Director, Business Development, Wolters Kluwer

INTRADAY LIQUIDITY – PANEL DISCUSSION

2:40 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

Charlie PengSVP and Head of Market Risk, Bank of China USA
Peter Dehaan, Global Head of Business Development – Cash and Liquidity Management, SmartStream Technologies
Allen Whipple, Founder and Managing DirectorActiveViam
Oscar ZhengDirector, Head of Model Risk Management, ALMT, Asset Management, CCAR, Compliance, and Global Market AI/ML Models, BNP Paribas

3:25 Afternoon refreshment break and networking

INVESTMENT PORTFOLIO

3:35 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

4:10 Chair’s closing remarks

4:20 End of Congress