Interest Rate Risk in the Banking Book Adapting your banking book strategy to prepare for and take advantage of associated risk as interest rates rise New York, NY, USA 6 th 8 th May 2015 Since the financial crisis, financial institutions have significantly benefited from the low interest rate environment, which has given them lower funding costs and more revenue from new customers. However, recently, the Federal Reserve Board has issued data and statements which indicate that interest rates in the US may increase sooner than expected. Financial institutions need to consider how they will compete and grow in the new rates environment. This GFMI conference will allow financial institutions to discuss the best strategies to manage interest rate risk in the banking book and capitalize on new rates, whilst maintaining the level of funding. Institutions will minimize the effect of higher cost and less revenue to ensure they maintain strong profits in the new economic environment. Attending this GFMI conference will Enable You to: Examine your deposits and strengthen them to withstand rising interest rates Maximize your balance sheet management to profit as rates rise Understand the effect of rising rates on different products Evaluate your modeling methods to account for rising interest rates Adapt your product mix to best manage your interest rate risk Learn from Key Practical Case Studies: CIT show the effect of rising rates on non-maturing deposits CIBC explore risk management governance considerations discuss how stress tests will adapt to rising interest rates BOK Financial debate how mid-sized banks are incorporating interest rate risk into their market risk strategy SunTrust Banks divulge the ALCO s view on the balance book since the financial crisis Interactive Masterclass on 6 th May 2015: The use of modeling to manage interest rate risk Masterclass Leader: Firms need to actively manage their portfolios now to ensure they are prepared for interest rate rises in the new regulated environment In the Chair Expert Speaker Panel Senior Vice President, Director of Market Risk Management BOK Financial Jabaz Mathai Director, US Rates Strategy Citi Gurpreet Sodhi Vice President, Risk Deutsche Bank Margaret Kerins Managing Director, Head of Fixed Income Strategy Bank of Montreal Kyle Hadley Chief, Capital Markets Branch FDIC Christopher McBride Group Leader for Balance Sheet Management Office of the Comptroller of the Currency Ray Diggs Manager, Market and Liquidity Risk Federal Reserve Board Saurabh Rastogi Senior Vice President, Balance Sheet, Liquidity and Pension Risk CIBC Christopher Jones Vice President, Treasury CIT Vikas Gupta Managing Director, Head of Balance Sheet Management MUFG Union Bank Michael Cloherty RBC Capital Markets Media Partners
7 th May 2015 08.30 Registration and Coffee 09.00 Opening Address from Chair 09.15 An excellent opportunity to speak directly with your peers and network effectively. Exchange your views and business cards. HEIGHTENED REGULATORY INVOLVEMENT AND THE EFFECT ON INTEREST RATE RISK MANAGEMENT 09.30 Keynote Speaker Adapting stress testing to incorporate rising interest rates Incorporating potentially rising rates in stress test models The effect of changing rates on scenario selection Adjusting data to incorporate rising interest rates 10.15 Panel Discussion The role of continued regulation in interest rate risk management The current state of interest rate risk management regulations Has SR-10 been successfully implemented by institutions? What is the future of interest rate risk requirements from Basel and other regulators? 11.00 Networking and Refreshments Break 11.15 The role of forward guidance in interest rate risk management How do firms calculate where the rates are likely to go? What is the effect of forward guidance on their management strategy? How does forward guidance affect the amount of risk they take on? Margaret Kerins Managing Director, Head of Fixed Income Strategy Bank of Montreal 12.00 Panel Discussion Regulatory expectations for managing interest rate risk Kyle Hadley Chief, Capital Markets Branch FDIC Christopher McBride Group Leader for Balance Sheet Management Office of the Comptroller of the Currency Ray Diggs Manager, Market and Liquidity Risk Federal Reserve Board 14.00 Networking and Roundtable Breakout Sessions Table One Adapting the product mix to best manage rising interest rates Should the deposit mix alter as rates rise? What type of core deposits is most efficient as rates rise? How can interest rate risk management affect product mix? Table Two Modeling of interest rate risk Are models accurately reflecting the current economic environment? Is deposit runoff being effectively captured with current modeling techniques? Are non-maturity assumptions influencing interest rate risk modeling? Table Three The impact of rising interest rates on the banking book How do rising rates affect the overall banking book strategy? How is interest rate risk absorbed into the banking book? What trend is likely to occur in the banking book as interest rates rise? 17.00 Synopsis from Roundtable Leaders Attendees will be able to enjoy a coffee break and networking opportunities midway through the sessions 17.15 Closing Comments from Chair and End of Day One Business Development Opportunities Does your company have solutions or technologies that the conference delegates would benefit from knowing? If so, you can find out more about the exhibiting, networking and branding opportunities available by contacting: Athul George, GFMI conferences, London on Tel.: +44 20 3002 3172 E-mail: AthulG@global-fmi.com 12.45 Networking Lunch
8 th May 2015 08.30 Registration and Coffee 09.00 Opening Address from Chair OPTIMIZING BALANCE SHEET MANAGEMENT TO ENSURE GREATER PROFITS IN THE NEW HIGH RATES ENVIRONMENT 09.15 Keynote Speaker Managing the balance sheet to ensure maximum profits Are long duration assets worthwhile in the current interest rate environment? Will the number of short term products increase as rates rise? How can you generate maximum profits whilst maintaining security against interest rate risk? Vikas Gupta Managing Director, Head of Balance Sheet Management MUFG Union Bank 10.00 How does a mid-size bank incorporate interest rate risk into a second-line Market Risk Management function? Where Interest rate risk fits into the continuum of market risks What matters and how do you know it matters? How can a second line of defense professional keep track of all the moving parts? Priorities for a mid-size bank model validation of interest rate risk Senior Vice President, Director of Market Risk Management BOK Financial 10.45 Networking and Refreshments Break 11.15 Case Study Risk oversight of interest rate risk in the banking book Governance framework to support interest rate risk in the banking book Risk measurement and management approaches for interest rate risk in the banking book Saurabh Rastogi Senior Vice President, Balance Sheet, Liquidity and Pension Risk CIBC 14.00 The impact of rising rates on non-maturing assets The role of non-maturing assets in the product mix The performance of non-maturing assets as rates rise Will non-maturing assets be profitable? Gurpreet Sodhi Vice President, Risk Deutsche Bank EFFECTIVE MANAGEMENT OF THE DEPOSIT BASE TO MINIMIZE RISK 14.45 Case Study Developing a robust approach to Non-Maturity Deposit (NMD) modeling +in an interest rate risk framework Addressing regulatory and economic issues in NMD Methodology and data issues in NMD Integrating unified NMD assumptions across the ALM, enterprise risk management, FTP and liquidity functions Christopher Jones Vice President, Treasury CIT 15.30 Networking and Refreshments Break 16.00 The loan-to-deposit ratio and Fed tightening Money fund yield increases and deposit modeling The reserve/deposit linkage Month end turbulence and the Leverage Ratio The quantitative easing unwind and LCR Michael Cloherty RBC Capital Markets 16.45 Closing Comments from Chair and End of Day Two THE EFFECT OF RISING INTEREST RATES ON DIFFERENT PRODUCTS 12.00 Managing interest rate volatility The effect of rising interest rates on the interest rate curve What can we expect in the changing rates? How the curve will evolve as rates rise Jabaz Mathai Director, US Rates Strategy Citi 12.45 Networking Lunch Who Should Attend Global Heads, Managing Directors, Heads and Senior Vice Presidents of: Interest Rate Risk Interest Rate Modeling Market Risk ALM Balance Sheet Management Wholesale Deposits marcus evans is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org This course carries a program level of intermediate requiring a minimum pre-requisite of one year as an active practicing licensee. There is no advance preparation necessary for this Group Live activity and should it be completed in entirety attendees will be eligible for 18 CPE credits in the Management Advisory Services field of study.
6 th May 2015 INTERACTIVE MASTERCLASS 13.30 Registration and Coffee About the Media Partners 14.00 Masterclass Leader s Introduction and Opening Remarks 14.15 The use of modeling to manage interest rate risk Liquidity modeling, the foundation of IRR/ALM modeling Interest Rate models Prepayment modeling in a rising rate market Integrating default modeling with ALM models 10 ways to model deposit rate sensitivity Core deposit behavioral modeling using Weibull analytics Integrating liquidity, income, valuation, and economic equity analytics 17.30 Closing Remarks from the Masterclass Leader Attendees will be able to enjoy a coffee break and networking opportunities midway through the masterclass Infosecurity Magazine has almost ten years of experience providing knowledge and insight into the information security industry. Its multiple award winning editorial content provides compelling features both online and in print that focus on hot topics and trends, in-depth news analysis and opinion columns from industry experts. Infosecurity Magazine also provides free educational content, endorsed by all major industry accreditation bodies and is therefore considered a key learning resource for industry professionals. Masterclass Leader Profile is the of LLC. We provide banks with risk management consulting and financial model validation services. My career includes sell-side (DB, MSIM & JMS), buy-side (Southeast Bank and Citizen Savings), and consulting experience. As a team leader, I have been fortunate to work with hundreds of banks on balance sheet strategies and risk management projects. Author/presenter on banking, investment, and risk management topics in U.S., Europe, Africa, and Asia. Editorial Board of Bank Asset/Liability Management. Formerly securities and insurance licensed. B.S. Finance at UF. M.S. Finance FIU. Post-graduate studies at John Hopkins University. With real-life experiences of practitioners at its core, TMI showcases topical, pragmatic solutions and strategic insights on the issues which are affecting today s treasury and financial professionals, together with treasury and finance news, education and opinion. TMI is the official publication for the European Association of Corporate Treasurers (EACT). www.treasury-management.com Testimonials I am very pleased to be associated with GFMI and this retail deposit optimisation conference. Our industry is going through much change. Forums like this where leaders are collaborating give us valuable glimpses of the future. The breadth of attendance from different countries who are engaging Basel III and other challenges at various paces presents powerful opportunities for fresh revelations President Bank Performance Strategies This conference is very useful to both regulators and regulated entities. Materials are useful and informative. Overall this is the best conference I have ever attended in content, relevance and usefulness Principal Economist FHFA Seminar was very good, excellent speakers with very information discussion by both speakers and questions from attendees Treasurer/EVP Financial Planning Texas Capital Bank Very good event. Bringing a very impressive group of experts VP Balance Sheet and Capital Management Scotiabank GlobalRisk Community is a thriving community of risk managers and associated service providers. Our purpose is to foster business, networking, and educational exploration among members. Our goal is to be the world s premier Risk forum and contribute to better understanding of complex world of risk. Pension Plan De-Risking, North America 2015 report The fourth annual report where U.S. and Canadian pension plans and corporate sponsors examine current drivers for de-risking of their pension schemes as well as managing liabilities effectively for the benefit of members and the plan s future. Issues to be discussed include liability driven investing, bulk buy-outs and risk management technology.
Speaker Profiles Frank Sansone Frank recently joined China Construction Bank as SVP Deputy Head of Treasury consistent with the bank s global mandate to expand offshore operations. After 15 years as the Treasurer for Dexia Credit Local, where Frank launched the Dexia US operations and grew treasury to serve as USD global competence center to USD 70 billion, and 10 years as Treasurer of the National Bank of Kuwait US operations, Frank worked for 18 months as an independent advisor and consultant, focusing on treasury best practices. Recent engagements included European, American, Asian and Middle Eastern banks, hedge funds and a private equity firm. Frank recently spent three weeks in the Gulf specifically focusing on Bank Treasury best practices and FTP. Frank is a regular speaker at industry conferences. He has worked with the Institute of International Finance (IIF) in executive development; moderating the 2012 IIF Executive Program on Treasury Risk, Chaired the Marcus Evans 8thAnnual 2013 & 2014 Liquidity Conference and Annual Funds Transfer Pricing and Balance Sheet Management, and has trained in Liquidity for Incisive Media. A forward thinking seasoned risk strategist and influential thought leader, Frank leverages a thorough understanding of the mechanics of treasury to identify the implications of the evolving regulations on treasury. Frank successfully chaired the US Liquidity Contingency Committees of both Dexia & NBK; leading the Dexia global USD liquidity management efforts during the crisis of 2008, 10 and 11; and NBK s efforts during the Iraqi invasion of Kuwait; providing Treasury leadership identifying, rethinking and restructuring enterprise wide risk exposures by building consensus among key internal stakeholders to build cross-functional teams to achieve organizational goals. brings a unique blend of regulatory compliance and quantitative risk management skills with nearly 30 years experience as a bank regulator, regulatory consultant and risk manager. He is currently the Director of Risk Management at BOK Financial, responsible for enterprise wide risk management, bank and broker dealer and fiduciary compliance, market and model risk analysis, and new product review. Prior to coming to BOKF, Mr. Ferguson was a regulatory consultant for Ernst & Young and helped clients implement numerous regulatory initiatives including comprehensive risk management programs and interest rate risk initiatives. Mr. Ferguson got his introduction to banking as an examiner with the Federal Reserve Bank of New York, where he began in 1985 and progressed to Supervising Examiner by March of 1994. Mr. Ferguson has an undergraduate degree in Economics and Mathematics from Yale University and an Executive MBA from the Wharton School: He is a CFA charterholder and carries Series 7, 24, 63, 4 and 53 licenses. He is also an adjunct professor of finance at the University of Tulsa. Peter Franklin Pete Franklin, SVP and Director of Asset/Liability Management for SunTrust Banks in Atlanta, GA. 20 years of experience working in ALM in multiple capacities such as analyst, consulting/advisory, software implementation and department head. Experience using multiple A/L platforms such as BancWare, BlackRock and QRM. Experience within industry in both small banks and large banks, a boutique investment banking firm, Big 4 accounting and independent consulting. Margaret Kerins, CFA Margaret Kerins is a Managing Director and Head of Fixed Income Strategy for BMO Capital Markets. She has responsibility for the firm s strategy product as part of its global fixed income platform. This platform includes the Canadian fixed income offering and has more recently expanded to include U.S. fixed income products, including treasuries and agencies, SSA paper and covered bonds, asset-backed securities, mortgage-backed securities, municipal bonds as well as derivatives. Margaret has over 15 years of capital markets experience focused on fixed income strategy. Prior to joining BMO Capital Markets, Margaret was Managing Director, U.S. Agency Strategy, at RBS Global Banking and Markets. In 2012, for the sixth year, she was selected for the Institutional Investor First Team of the All-America Fixed Income Research Team ranking. She was previously Director of Agency Strategy at Bank One where she successfully built the practice. Further she was Director of the Quantitative Research team at ABN AMRO. For five years, she was also a Senior Bank Examiner at the Office of Banks & Real Estate with the Illinois Department of Financial and Professional Regulation. Margaret holds an MBA in Finance from DePaul University Kellstadt Graduate School of Business, and B.S. in Finance and Political Science from Marquette University. She is a Chartered Financial Analyst and holds series 24, 7 and 63 licenses.