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Day 1


Registration opens 


Welcome remarks: Tom Osborn, Editor, Risk Management, RISK.NET


KEYNOTE ADDRESS: Industry funding and liquidity challenges and what’s ahead for banks

Adam Farkas, Executive Director, EUROPEAN BANKING AUTHORITY


Panel: 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

Moderator: Tom Osborn, Editor, Risk Management, RISK.NET

Sandra Boss, External Member, Prudential Regulation Committee, BANK OF ENGLAND

Damian Harland, Global Head of Liquidity Risk Management, HSBC


Presentation: Liquidity in resolution planning

  • Key issues for resolution planning activities
  • Main challenges for firms
  • Role played by central bank liquidity and need of a public backstop

Gaëtan Viallard, Head of Unit, SINGLE RESOLUTION BOARD (SRB)


Morning coffee and networking break


Presentation: Replication in FTP: A better way to address the liquidity challenge of non-maturity deposits and lines of credit

  • What are the complications of transfer pricing and managing liquidity for indeterminate-maturity instruments?
  • Techniques to simultaneously replicate both the IRR and liquidity profiles of non-maturity deposits and lines of credit
  • The advantages of using FTP-based replicated tickets as an input to the liquidity-management and ALM processes
  • Using FTP-based Replication to provide reasonable pricing indications to business units
  • Moving beyond current-position Replication to a forecasted Replication process

Craig Woker, Funds Transfer Pricing and Profitability Practice Lead, QRM


WAR GAMES: How resilient is your environment?

During this session, participants are presented with an unfolding liquidity risk scenario and tasked with considering the immediate steps they would advise their firm to take based on the information available at each stage

PART I: Scenario dissection and strategizing

PART II: Harvest session

Each host will summarise their plan of action (POA) of the discussion and present it back to the table participants with comments


Lunch break


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?


Spotlight on: 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

Suman Datta, Head, Portfolio Quantitative Research, LLOYDS BANKING GROUP


Afternoon coffee and networking break


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?
  • Treatment of derivatives and secured funding traders under NSFR
  • Optimising your balance sheet for NSFR & LCR

Moderator: Philip Alexander, Regulation Editor, RISK.NET

Damian Harland, Global Head of Liquidity Risk Management, HSBC

Lena Young, Head of Audit Liquidity and Funding, CREDIT SUISSE

Martin Harrison, Head of Balance Sheet Framework and Policy, NATIONWIDE

Jacek Rzeznik, Head of Market and Liquidity Risk Division, MBANK S.A.


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.


Harvest session

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


CLOSING REMARKS: Adrian Docherty, Head of Financial Institutions Advisory, BNP PARIBAS

Day 2


Registration opens 


Chair's opening remarks: 



Cosimo Pacciani, Chief Risk Officer, EUROPEAN STABILITY MECHANISM


Panel discussion: Assessing the IRRBB regulatory landscape post-implementation

  • 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
  • Computing economic capital for the purpose of IRRBB – combining the income and economic value perspectives

John Bowyer, Head of Group ALM, LLOYDS BANKING GROUP

Adam Kot, Head of ALM Risk, BANK PEKAO

Roberto Virreira, Risk Director, IRRBB, STATE STREET


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 Vonk, Head Treasury Advisor, RABOBANK


Morning coffee and networking break


KEYNOTE ADDRESS: Reference rate reform - Identifying and adopting new euro risk-free rates

  • Recommendation for alternative euro risk-free rates
  • Approaches for ensuring a smooth transition to these rates
  • Potential issues in relation to a transition to these rates

Holger Neuhaus, Head of Division Money Market and Liquidity, EUROPEAN CENTRAL BANK


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 CCAR requirements

Otto Huber, Managing Director and Global Head of Liquidity Risk, CREDIT SUISSE

Krishna Srinivasan, Director, Liquidity Risk Management, BARCLAYS

Michael Stastny, Head of Liquidity Risk Management, RAIFFEISEN BANK INTERNATIONAL 

Mony Lim¸ Executive Director, GOLDMAN SACHS


Lunch break


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?

Moderator: Erik Vynckier, Chief Investment Officer, ELI GLOBAL

Sebastjan Smodis, Vice President, Global Head of Liquidity Risk Management, STATE STREET GLOBAL ADVISORS

Antonello Russo, EMEA, Head of Risk and Quantitative Analysis, BLACKROCK

Ashan Ramakrishnan, Head of Investment Risk and SIRO, BNY MELLON INVESTMENT MANAGEMENT


Spotlight on: Managing the LCR 

  • Management of collateral pools to meet LCR requirements
  • How constrained are banks from specific businesses by the LCR?
  • Managing LCR between group entities
  • Interplay between LCR and leverage ratio

Nadir Pirani, Vice President, Liquidity Risk Management, DEUTSCHE BANK


Afternoon coffee and networking break


Presentation: 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


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?

Charlie Wood, Head of Balance Sheet Risk, Treasury, NATIONWIDE BUILDING SOCIETY

Mark Sinclair, Group Commercial Treasurer, HSBC 

Rodolpe Sahel, Head of Treasury Development and Oversight, SOCIETE GENERALE

Marcel Burtscher, Managing Director, Head of Treasury, RAIFFEISEN BANK RUSSIA

Sam Steer, Director, Head of Treasury Planning and Performance, Treasury, DEUTSCHE BANK


Closing remarks: 


End of conference