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The 2nd Bank Treasury Risk Management Conference: LONDON 6th July 2017

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City of London

London

United Kingdom

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The Certificate of Bank Treasury Risk Management (BTRM) is pleased to host the second instalment of the event, aimed to further educate bank risk management and ALM professionals around the world.



08:30 REGISTRATION AND MORNING WELCOME COFFEE



09:00 - 09:40 Welcome and Keynote: Organising your ALM and the role of the individual

  • The evolution of ALM
  • Driving beyond regulatory compliance
  • Role of the Treasury function
  • Role of the Asset-Liability Committee
  • What is your bank's strategy? How does the treasury support this?
  • Defining Risk Appetite

Presenter: Moorad Choudhry, Professor, University of Kent Business School


09:40 - 10:20 BREXIT: Upcoming Regulatory Environment and Implications for the industry

  • Regulation and future regime
  • Loss of passporting rights
  • Equivalence system approach
  • Operating in both the UK and the EU
  • What Europe looks like post-Brexit: The EU five years from now
  • Business infrastructure in major cities, attractiveness to investors without the UK in it
  • Implications on continental banking
  • Currency risk

Presenter: Ruth Wandhöfer, Global Head Regulatory & Market Strategy, Managing Director, Citi; 2015 Women in Banking and Finance Achievement Award



10:20 - 10:50 MORNING BREAK AND NETWORKING OPPORTUNITIES



10:50 - 11:30 Supervising Building Societies’ Treasury and Lending Activities – SS20/15 Update

Presenter: Nick Lock, Head of Building Societies, responsible for three teams of supervisors in the Banks, Building Societies & Credit Unions Directorate, which is part of the UK Deposit-Takers Supervision Division of the PRA


11:30 - 12:10 Accounting for financial instruments: New challenges for bank treasurers

  • Overview of IFRS 9: Recognition of financial instruments and impairments
  • Implications for bank treasurers
  • The link between regulatory capital and impairments
  • Structural hedging and IFRS 9

Presenter: Juan Ramirez, Director, Banking and Capital Markets Team at Deloitte London


12:10 - 12:40 BANK TREASURY REGULATIONS PANEL (with respect to FRTB, IRRBB, IFRS9)

1. Discuss the new banking book vs trading book boundaries and Implications for bank treasury desks

  • Overview of the Fundamental Review of the Trading Book (FRTB)
  • Current Instruments presumed to be in the banking book
  • Effects on internal risk transfers and transfers between books

2. Discuss the new standard on interest rate risk in the banking book (IRRBB):

  • Review the latest interest rate risk in the banking book (IRRBB):
  • The undesired effects on hedging
  • The implications for bank treasurers

3. Integrating ECLs, PDs and LGDs across Pillar 1, stress testing and IFRS 9

  • Differences of ECL, PD & LGD models across the 3 dimensions
  • Leveraging existing infrastructure
  • Economic capital

PANELLISTS:

  • Juan Ramirez, Director, Bank Treasury Advisory Team at Deloitte London
  • Sreekumar Gullapalli, Head of Non Traded Market Risk, Royal Bank of Scotland
  • Christopher Westcott, Head of BTRM Faculty, Visiting Lecturer at the University of Herts Business School
  • Alexander White, Quantitative Analyst, KPMG (to be confirmed)



12:40 - 13:40 LUNCH



13:40 - 14:20 Manage your bank’s liquidity position from country to-country

  • Challenges of a global bank: Simultaneously managing liquidity at various locations
  • Tackling both international and national liquidity regulations and data requirements
  • Should banks manage liquidity on a global level or remotely?

Presenter: Jamie Paris, Managing Director, Head of Liquidity, Management, ALM, Standard Chartered Bank, BTRM Faculty

14:20 - 15:00 Active Loan Portfolio Management: the ALM perspective

Presenter: DooBo Chung, Director, Commercial & Private Banking, Royal Bank of Scotland


15:00 – 15:40 PANEL DISCUSSION: Monitoring and reporting liquidity: from day-to-day to intraday

  • What are the main challenges in operationalising intraday liquidity reporting?
  • How are financial firms responding to Basel intraday expectations?
  • Monitoring metrics: what are banks expected to do in order to comply?
  • How are firms and industry providers preparing for ‘real-time’ monitoring?

PANELLISTS:

  • Chair: Christopher Westcott, Head of BTRM Faculty, Visiting Lecturer at the University of Herts Business School
  • Zia Ishaq, Global Solutions Specialist for Treasury at Oracle Financial Services
  • Doo Bo Chung, Director, Commercial & Private Banking, Royal Bank of Scotland
  • Kevin Liddy, Consultant, Solum Financial



15:40 - 16:10 AFTERNOON BREAK AND NETWORKING OPPORTUNITIES



16:10 - 16:50 Presentation to be confirmed

Presenter: Zia Ishaq, Global Solutions Specialist for Treasury at Oracle Financial Services


Implementation Challenges of The IRRBB Regulations

  • Identification and Measurement of IRRBB
  • Stress Testing of IRRBB
  • Basel Vs. EBA guidelines

16.50 - 17.30 Presenter: Sreekumar Gullapalli, Head of Non Traded Market Risk, Royal Bank of Scotland

Chairman’s closing comments: Christopher Westcott, Head of BTRM Faculty, Visiting Lecturer at the University of Herts Business School



Join us for our drinks reception and networking opportunity


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