Liquidity & Funding Risk 2017

19th - 20th September, London







Welcome  Remarks

Tom Osborn, Desk Editor, RISK.NET


Chair's Opening Remarks

Thomas Ralph, Head of Treasury Risk, METRO BANK


Keynote Address: Is liquidity worth the cost?

Gonzalo Gasos, Head of Banking Supervision, EUROPEAN BANKING FEDERATION


Panel - Moving forward with NSFR: implementation and change

  • Practicalities and implementation- How are tier-one banks, regional banks and challenger banks moving forward with implementation?
  • How should NSFR be priced and in what ways is it going to move prices?
  • Looking at the impact on the derivatives market
  • How will ring fencing regulatory requirements make NSFR regulation more difficult to adhere to?
  • A review of G20 regulators' approaches: Will the regulations be implemented in the U.S.?

Krishna Srinivasan, Director, Treasury, BARCLAYS
Chris Kirkup, Vice President, Liquidity Risk Management, MUFG SECURITIES


Case Study: Intercompany flows and frictions, an emerging liquidity risk

  • New challenges of intercompany funding
  • The effects of subsidiarisation
  • Managing the frictions that arise with intercompany funding

Sam Abrika, Head of EMEA Liquidity and Funding Risk, UBS



Morning coffee and networking break


Panel: Developments in LCR

  • How are banks meeting requirements?
  • How are new asset classes being used to meet requirements?
  • How can big data be used to adhere to regulation?
  • Delving into Basel III / European Commission's attempts to bring LCR into greater alignment with NSFR

Moises Gerstein, Director - CVA and Funding (FVA) Trading Desk, ING INVESTMENT BANK
Andrew Turvey, Head of Treasury Risk & Compliance, CLYDESDALE BANK


Presentation: Best practices in transfer pricing liquidity and other risk components

  • Decomposition of the Term Liquidity Premium into multiple components
  • Automatic computation for each FTP component that is rational and transparent to business.
  • Establishment of processes that automatically and dynamically link the bank's regulatory-liquidity process to the liquidity-FTP process.
  • Extension of the liquidity-FTP process into the underwriting process of the bank, as well as the forecasting-and-budgeting process.

Craig Woker, Consultant, QRM


Lunch break


Case study: Challenger bank approach

  • Dealing with liquidity regulatory requirements
  • Saving costs on legacy systems
  • Developing new technology to adhere to regulation

James Scotcher, Head of Treasury, ATOM BANK



During this session delegates will be given the opportunity to run through a number of crisis scenarios based on subject matter discussed during the morning

Scenario One: A bad news story breaks about your firm and depositors start to get spooked and ask for withdrawals

Scenario Two: A change in customer sentiment leads to huge increases in credit card and overdraft-led spending



Afternoon coffee and networking break


Panel - Machine learning and big data: using behavioural modelling For effective liquidity risk analysis

  • Creating predictive models for assets and liabilities
  • What assumptions should be made when making an efficient behavioural model?
  • Applications of big data and machine learning towards liquidity risk regulatory requirements and profitability
  • Incorporating off-balance sheet liquidity into risk analysis

Hamza Bahaji, Head of Engineering and Quantative Research, NATIXIS
Dr. Mostafa Mostafavi, Vice President, Quantitative Risk and Capital Strategies, CREDIT SUISSE
Andrew Turvey, Head of Treasury Risk & Compliance, CLYDESDALE BANK
Michael Cebo, Executive Director, PricingDirect, JP MORGAN



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.

  • Roundtable 1: ILAAP- Complying with the evolving regulatory expectations
  • Roundtable 2: LCR and NSFR interaction and impacts on short term and long term funding
  • Roundtable 3: Impacts of the Basel IV release on TLAC & MREL
  • Roundtable 4: NSFR implementation and its impact on the business


Harvest Session

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


Closing Remarks

Thomas Ralph, Head of Treasury Risk, Metro Bank


End of day 1 and networking drinks





Welcome Remarks


Chair's Opening Remarks

Chris McHugh, Lecturer, The London Institute of Banking and Finance


Keynote Address

Andrew Milligan, Head of Global Strategy, STANDARD LIFE


PRESENTATION - Pillar 2: Liquidity

  • Objective of Pillar 2 liquidity
  • Cash flow mismatch risk
  • Franchise viability
  • Calibration between internal and external stress testing

Muhammad Fazeel ur Rehman, Senior Vice President, Corporate Treausry Audit, CITIGROUP


Presentation: Exploring the relationship between IRRBB and liquidity risk

  • How does the ALM function manage liquidity risk and IRRBB together?
  • Effect of IRRBB on asset liabilities and how this effects customers and a banks' liquidity
  • ECB Consultation paper (due in June)

Franck Leroy, Head of Financial Risks, GROUPE BPCE


Morning coffee and networking break


Panel - Stress testing: Requirements, implementation and best practice

  • Are banks centralising or specialising?
  • How prescriptive is the PRA going to be in its enforcement of stress testing requirements?
  • Clarifying ILAAP reverse stress testing requirements - what is really required and how should it be carried out?
  • Evaluating different approaches to stress testing

Graeme Smith, EMEA Lead Risk Manager for Trading and Liquidity Strategies, BLACKROCK
Abhijeet Kulkarni, Liquidity Risk SME, Group Treasury, STANDARD CHARTERED
Jeff Simmons, Head of Enterprise Risk, THE BANK OF TOKYO-MITSUBISHI UFJ


Presentation: Optimising the balance sheet under multiple regulatory constraints

  • Balance sheet modelling and liability optimisation
  • Optimisation of regulatory buffers and contingency tools
  • Using a dynamic framework to achieve the optimal balance sheet analysis
  • Structural FX Risk Management

Mark Kandborg, Executive Director, ALM exposures, NORDEA


Lunch Break


Case Study: Managing the Liquidity for Market Risk Stress: an OTC- Derivative Example

  • Integration of the OTC-derivatives book into bank wide internal liquidity stress tests
  • Measuring increased liquidity needs based on a simultaneous shift of market risk factors
  • Break down of the stressed liquidity demand to trading desks
  • Performance of the internal model in comparison to the Basel III 24-month look back approach before and after the Swiss National Bank abandoned the minimum exchange rate EUR/CHF

Stephan Lenz, Head of Liquidity Risk Framework, ZURCHER KANTONALBANK


Treasury Panel - Risks and rewards: What effect will the growing alignment of FTP and liquidity risk management have on banks?

  • How are regulations, eg. NSFR, incorporating FTP into liquidity management?
  • What are the possible side effects of this growing alignment / does it constrict banks behaviour and hence have the reverse effect of the one intended
  • Slow vs fast implementation of Basel III, does this mean possibly failing to adhere to regulation (slow) vs possibly inflicting massive costs on the bank (fast)

Tamim Chebti, Senior Treasury Expert, ABN AMRO
Mark Kandborg,
Executive Director, ALM exposures, NORDEA
John-Paul Coleman,
Treasurer, DANSKE BANK
Fitz Drummond
, Director, Treasury, DEUTSCHE BANK


Afternoon coffee and networking break


Presentation: Best Liquidity Risk Management Strategy

  • Supporting the treasury in daily liquidity management
  • Predicting future levels of liquidity to ensure profitability and adherence to stress testing requirements of ILAAP
  • Adapting gathered data to be used simultaneously for regulatory adherence and complimenting needs of treasurers

Panel: TLAC & MREL

  • What different kinds of strategies are banks adopting in preparation for January 2019?What are regulators expectations?
  • How do TLAC & MREL funding strategies vary from country to country?

Lorenzo Isla, Head of Active Capital, CAIXA BANK
Phil Pearce, Director, Capital Structuring, ROYAL BANK OF SCOTLAND
Gilles Renaudiere, Director, Capital Products, BNP PARIBAS



ALL-STAR PANEL: Redefining the 3 LODs across liquidity risk management to add value to the business

  • Evaluating the role of treasury (2LOD): An in depth look into the interlocking resource dimensions of capital, liquidity, funding, leverage and balance sheet- what is shaping Bank Treasury agendas now and as we go forward?
  • Looking at the importance of audit in the liquidity management framework. How does the 3LOD enhance quality assurance?
  • How to enhance the communication between the three lines of defence for more effective risk management and to add value to the business?

Closing Remarks


End of Conference