Programme

Programme

Day 1

08:30

REGISTRATION

8:50

WELCOME REMARKS

9:00

KEYNOTE ADDRESS

9:30

Panel: NSFR – Exploring the latest developments and implementation challenges

  • Where are we now?
  • What impact is NSFR having on banks business models and on markets?
  • Interplay between LCR, NSFR and leverage ratio
  • Treatment of derivatives and secured funding traders under NSFR
  • Optimising your balance sheet for NSFR and LCR

10:15

Presentation: Managing the LCR

  • Management of collateral pools to meet LCR requirements
  • How do you respond if your LCR becomes critically low?
  • How constrained are banks from specific businesses by the LCR?
  • Managing LCR between group entities

10:45

Morning coffee and networking break

11:15

Panel: TLAC and MREL – Impact of bail in rules on funding strategies

  • Single Point of Entry vs Multiple Point entry - resolution strategies put to the test
  • Internal MREL and the interconnectedness to how liquidity is managed intragroup
  • Examining global variations in approach to TLAC; differences with MREL and the potential of creating a level playing field

12:00

Presentation: Implementation of ring-fencing – Examining the emergence of a very different UK banking landscape

  • Living with the ring-fencing: The basics and how it is working in practice
  • Assessing the impact of ring-fencing on firms, markets and customers
  • FTP and balance sheet management implications for ring-fencing
  • Compliance and reporting requirements with ring-fencing obligations
  • Examining the potential inefficiencies from separating commercial and investment activities

12:30

Lunch break

13:30

Presentation: Libor replacements – Where are we now and what are the excepted challenges?

  • What are regulators expectations around where you mark assets and liabilities?
  • What kind of funding is available for what rates?
  • Preparing for the transition: adjusting bank treasury to the new banking benchmarks

14:00

Presentation: Impact of Securities Financing Transactions Regulation (SFTR)

  • Key requirements covered by SFTR
  • Impact on securities lending, repo and margin financing
  • How it changes securities financing for trading desks and clients
  • What do firms need to do to adapt?

14:30

Afternoon coffee and networking break

15:00

Panel: Navigating the Brexit challenge and the liquidity and financial risk for firms

  • Managing cross border liquidity post Brexit and setting up new entities in Europe
  • Will bonds issued under English law still be eligible to count towards the MREL and TLAC buffers post Brexit?
  • Considering how firms will manage their collateral between subsidiaries

15:45

CHAMPAGNE ROUNDTABLES:

From session to roundtable- Take the day’s most contentious issues and fully engage with your peers in small interactive roundtable discussions to drill down, best practice share and take away diverse approaches to the same challenge from your fellow industry peers.

16:30

HARVEST SESSION

Each roundtable host will share 5 key outcomes following their roundtable discussion

16:45

CLOSING REMARKS

17:00

End of day

Day 2

08:30

REGISTRATION

8:50

WELCOME REMARKS

9:00

KEYNOTE ADDRESS

09:30

Panel: Assessing the IRRBB regulatory landscape post-implementation

  • Examining evolution of IRRB systems and processes
  • Bracing for impact – Facing the challenges posed by IRRBB
  • Examining best practice approaches to modelling interest rate risk- How will client models change after a period of low interest rates models and what tweaks are banks making to their models in order to counter the impact of these increases
  • Identify a risk measure that effectively captures CSRBB

10:15

Presentation: Moving to an FTP framework: Goals and challenges

  • Assessing new approaches banks are using internally to price liquidity and funding risks under FTP
  • How FTP affects the business frontline and the role the treasury has in this
  • LCR implication
  • Where do you use a limit framework instead of FTP?
  • To what extent do you charge back all of the funding costs that you incur?

Willem Wonk, Head Treasury Advisor, RABOBANK

10:45

Morning coffee and networking break

11:15

Case study: Pillar 2 – New thoughts and industry developments

  • Pillar 2 framework - objectives, scope and planned future work
  • What do firms need to do to effectively approach Pillar 2 calculations?
  • Do you expect other regulators to follow suit?

11:45

Panel: Liquidity stress testing and scenario analysis

  • Defining and creating effective stress test scenarios
  • Aligning scenario analysis and liquidity stress testing to meet changing regulatory expectations
  • Internal stress testing vs regulatory stress testing
  • ILAAP reverse stress testing requirements
  • Review of CLAR requirements

12:30

Lunch break

13:30

Panel: From benign to volatile – Managing liquidity risk for the buy-side as a new market takes shape

  • What are some of the different prevailing approaches to measuring asset liquidity?
  • What are the strengths, weaknesses and the risks of these?
  • What are the key sources of liquidity risk in a portfolio?
  • How can risk managers work alongside investment teams to ensure effective measurement and management of liquidity risk?

14:15

Presentation: Liquidity in resolution planning

  • What are the key liquidity assumptions in your framework of resolution planning and can you discuss the process for arriving at those assumptions?
  • What’s the role played by central bank liquidity provisions in your resolution planning framework?
  • To what extent do systemic factors play a role in your resolution planning framework i.e. do you assume more systemic or idiosyncratic factors leading up to resolution?

14:45

Afternoon coffee and networking break

15:15

Presentation: Applying machine learning and big data to liquidity risk models

  • Applications of big data and machine learning towards liquidity risk regulatory requirements and profitability
  • Incorporating internal trade data into existing market liquidity models
  • Using big data and behavioural modelling in approaches to intraday liquidity risk management, both for business as usual and in stress

15:45

Treasury panel: Examining the changing role of the Treasurer in the next five years

  • Going forward: what is treasury going to look like?
  • Interconnectedness of capital and liquidity, regulatory status quo vs industry
  • What are the constraints on the balance sheet and how can they be overcome?
  • What would be the role played by data science in treasury and what are the key skills of the new treasurer?

16:30

CLOSING REMARKS

16:45

End of conference