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The changing world of

LIQUIDITY RISKMEASUREMENTAND MANAGEMENT

www.risktraining.com/liquidity

LONDON 4 & 5 February 2002NEW YORK 25 & 26 February 2002

COURSE HIGHLIGHTS:• Hear regulatory expectations for measuring

and managing liquidity risk

• Learn how to exploit the latest tools formodelling liquidity risk

• Optimise liquidity through efficient use ofsecuritisations and other tools

• Understand how to manage liquidity risk inmultiple currencies and countries

• Benefit from practical insights into managing liquidity contingency risk andcontingency plans

• Best practices in funds transfer pricing

• Master the management of inter-relationshipsbetween capital, rate risk, liquidity risk andcredit risk

COURSE TUTORS:Leonard Matz, NESHANNOCK FINANCE

James Hastie, FINANCIAL SERVICES AUTHORITY

Kathryn E. Dick, COMPTROLLER OF THE CURRENCY

Richard I. Landau, JP MORGAN CHASE & CO.

Michael Reuther, DEUTSCHE BANK

Ken Weiller, SAC CAPITAL PARTNERS, LLC

Joanne Treffry, BANK OF MONTREAL

David W. Brooks II, WACHOVIA BANK

Alastair Mirrlees & Thomas S. Newman, CLS GROUP

Dr Robert E. Fiedler, ALGORITHMICS INC.

Mark Winter, BARCLAYS BANK PLC

John C. Mason, KEYCORP

Charles T. Franckle, THE BANK OF BERMUDA

William H. Schomburg, FLEETBOSTON FINANCIALCORPORATION

Dear Executive,


LIQUIDITY RISK MEASUREMENTAND MANAGEMENTLondon 4 & 5 February 2002New York 25 & 26 February 2002

Volatile global markets have created increasing concern regarding exposure to liquidity risk, which in turn has led tothe development of new techniques and strategies to manage it. This Risk training course will provide you with acomprehensive understanding of the theory behind the latest liquidity risk measurement and modelling techniquesand how these approaches are implemented in practice.

Leading practitioner Leonard Matz from Neshannock Finance will chair the course, co-ordinating a global panel ofrespected authorities on liquidity risk who will impart their expertise and experiences.

Highlights include:• Understand regulators expectations for measuring and managing liquidity• Richard I. Landau, JP MORGAN CHASE & CO, explaining how to best implement and liquidity policy and

planning framework• Dr Robert E. Fiedler, ALGORITHMICS INC, discussing new tools and ideas for measuring and modelling

liquidity risk• Learn how to enhance liquidity by moving assets from the balance sheet• Techniques for managing liquidity risk in multiple currencies and countries, analysed by Michael Reuther,

DEUTSCHE BANK• Benefit from best practice ideas for funds transfer pricing normal liquidity• Joanne Treffry, BANK OF MONTREAL, looking at measuring and pricing contingent liquidity risk• Examination of inter-relationships between capital, rate risk, liquidity risk and credit risk by

David W. Brooks II, WACHOVIA BANK

Don't miss this unique opportunity to learn how to practically apply the latest liquidity risk measurement andmanagement techniques.

I look forward to meeting you in February.

Yours sincerely

Frances TullyDivisional Manager, Conferences

Risk Waters Group Haymarket House 28-29 Haymarket London SW1Y 4RX UK

Tel +44 (0)20 7484 9898 Fax +44 (0)20 7484 9800 www.risktraining.com

The changing world of LIQUIDITY RISK MEA

8.30 Registration and breakfast

9.00Chairman's opening remarks Leonard Matz, PrincipalNESHANNOCK FINANCE

9.10CURRENT REGULATORY EXPECTATIONS• What banking regulators expect banks to do about

measuring liquidity, managing liquidity• Complying with applicable laws, regulations and official

guidance.• Best practices• The outlook for liquidity and liquidity risk management London:James Hastie, Major Financial Groups Division, Europe& JapanFINANCIAL SERVICES AUTHORITYNew York:Kathryn E. Dick, Director, Treasury and Market RiskCOMPTROLLER OF THE CURRENCY

10.10 Morning break

10.40LIQUIDITY POLICY AND PLANNING FRAMEWORK• Basic surplus• Cash capital• Weighted average life• Downgrade analysis• Sources and uses (short term position)• Contingency funding plan London & New York:Richard I. Landau, Managing Director, Corporate TreasuryJP MORGAN CHASE & CO.

11.55MEASURING AND MODELING LIQUIDITY RISK -NEW IDEAS AND TOOLS• What is your intrinsic liquidity risk?• What is your extrinsic liquidity risk?• Risk dimensions and interactionsLondon & New York:Dr Robert E. Fiedler, Executive Director, ALM &Liquidity RiskALGORITHMICS INC.

1.10 Lunch

2.10 London:SECURITISATION AND OTHER TOOLS FORENHANCING LIQUIDITY BY MOVING ASSETSFROM THE BALANCE SHEET• Can securitisation provide effective liquidity management?• What types of assets are readily securitisable and at what

cost.• How does the cost of securitisation compare with other

forms of liquidity management?Mark Winter, Director, Portfolio Management.BARCLAYS BANK PLC

2.10 New York:ASSETS AS A LIQUIDITY SOURCE• Secured borrowings• Conduits• Loan sales• SecuritizationsJohn C. Mason, Senior Vice PresidentKEYCORP

3.25 Afternoon break

3.55MANAGING LIQUIDITY RISK IN MULTIPLECURRENCIES AND COUNTRIES• Deutsche Bank's building blocks of Liquidity Risk

Management• Liquidity Risk Management across different time zones• Can cashflows be netted across different currenciesLondon & New York:Michael Reuther, Global Head of Funding and LiquidityManagementDEUTSCHE BANK

5.10 Chairman's closing remarks

5.20 End of day one


DAY ONELondon, Monday 4 February 2002New York, Monday 25 February 2002

ASUREMENT AND MANAGEMENT


8.30 Registration and breakfast

9.00Chairman's opening remarksLeonard Matz, PrincipalNESHANNOCK FINANCE

9.10MANAGING LIQUIDITY CONTINGENCY RISK,CONTINGENCY PLANS AND PRACTICALINSIGHTSLondon:• Value of a contingency funding plan• Symptoms of a crisis• Importance of communications• Tailoring responses to the current situationCharles T. Franckle, Asset/Liability ManagerTHE BANK OF BERMUDANew York:• Crisis prevention• Symptoms of a crisis• Creating a contingency funding plan• Potential crisis responsesKen Weiller, Director, Trading AdministrationSAC CAPITAL PARTNERS, LLC

10.40 Morning break

11.10EFFECTIVELY MANAGING THE LIQUIDITYRAMIFICATIONS OF CONTINUOUS LINKEDSETTLEMENT• Defining the CLSTM intraday liquidity requirements • Analysing liquidity management tools available • Global impact and the industry response to CLSTM

• CLSTM as a critical determinant of how liquidity will bemanaged in the future

London:Thomas S. Newman, Director, RelationshipManagementCLS GROUPNew York:Alastair Mirrlees, Product ManagementCLS GROUPCLSTM is a trademark of CLS Group Holdings(incorporated as CLS Services Ltd.).

12.10BEST PRACTICE IDEAS FOR FUNDS TRANSFERPRICING NORMAL LIQUIDITY• Basic liquidity pricing concepts• Balancing the cost of too little liquidity and the cost of too

much• Current best practice for FTP liquidity• Advantages and disadvantages of current best practiceLondon:Leonard Matz, PrincipalNESHANNOCK FINANCENew York:William H. Schomburg, Director, EconomicMethodologies Treasury GroupFLEETBOSTON FINANCIAL CORPORATION

1.25 Lunch

2.25MEASURING AND PRICING CONTINGENTLIQUIDITY RISK• Defining contingent liquidity risk• Measuring contingent liquidity risk• Evaluating the cost of contingent liquidity• Implementing a liquidity transfer pricing system• Case study London & New York:Joanne Treffry, Director, Liquidity ManagementBANK OF MONTREAL

3.40 Afternoon break

4.10MANAGING INTER-RELATIONSHIPS BETWEENCAPITAL, RATE RISK, LIQUIDITY RISK ANDCREDIT RISK• Historical perspectives • Agree on the definitions • Interactions 101• Who is responsible for what? Does organizational

structure matter?• Are you giving up earnings when you mitigate risk?• How to create an integrated management approach London & New York:David W. Brooks II, Senior Vice President/Group ExecutiveWACHOVIA BANK

5.25 Chairman's closing remarks

5.35 End of course

DAY TWOLondon, Tuesday 5 February 2002New York, Tuesday 26 February 2002

David W. Brooks II, WACHOVIA BANK (London & New York)Mr. Brooks has been with Wachovia for fourteen years. His responsibilitiesinclude managing interest rate risk, liquidity, and capital for the consolidatedHolding Company and each of the legal entity subsidiaries, managing thequantitative analytics group, and developing investment portfolio and fundingstrategies. He also has responsibility for developing funds transfer pricing andcapital allocation methodologies, and is deeply involved in performancemeasurement planning. Before joining Wachovia Mr. Brooks worked inbanking in roles including asset/liability management, cost analysis, strategicplanning, and branch profitability analysis.

Kathryn E. Dick, COMPTROLLER OF THE CURRENCY (New Yorkonly)Since September 1998, Kathryn Dick has served as the Director, Treasury &Market Risk Division (TMR), of the Office of the Comptroller of the Currency(OCC). As TMR Director, Ms. Dick is responsible for developing bankregulatory and supervisory policies and examiner guidance for trading, interestrate risk, liquidity, securitization, derivatives, and dealer activities. She alsoserves as the agency's primary liaison with its cadre of capital market examiners.Prior to her current position, Ms. Dick spent three years managing the OCC'sLondon office. In her capacity there, Ms. Dick was responsible for supportingthe supervision of U.S. national bank branches throughout Europe.

Dr Robert E Fiedler, ALGORITHMICS, INC. (London & New York)Robert Fiedler has been Senior Director the Liquidity Risk Solutions atAlgorithmics Inc., Toronto since September 2000. After building thebenchmark solution for Cash Liquidity Risk he now heads ALM and LiquidityRisk Solutions. Prior to this he worked for Deutsche Bank in Frankfurt, wherehe headed the team in Group Risk Management dealing with treasury andliquidity risk issues. After developing a new methodological framework forfunding liquidity risk, he implemented this approach as a firm-wide liquidityrisk IT solution called LiMA - Liquidity Measurement & Analysis.

Charles T. Franckle, THE BANK OF BERMUDA (London only)Currently Asset/Liability Manager for The Bank of Bermuda with responsibilityfor global balance sheet management. He is a member and past president of theNorth American Asset Liability Management Association. He has also held theposition of A/L manager for Mercantile Bancorporation headquartered in St.Louis, Missouri and A/L manager and chief economist for First CityBancorporation in Houston, Texas. Prior to that, he was an Assistant Professorof Finance in the Graduate School of Business at the University of Texas atAustin.

James Hastie, FINANCIAL SERVICES AUTHORITY (London only)James Hastie is responsible for supervising the UK banking and securitiesactivities of major European firms, at the Financial Services Authority based inLondon. He began his career by qualifying as a chartered accountant withCoopers & Lybrand. Immediately prior to working for the FSA he held Groupmanagement reporting responsibilities with Lloyds TSB.

Richard I. Landau, JP MORGAN CHASE & CO. (London & New York)Richard Landau is a Managing Director in the Corporate Treasury group of JPMorgan Chase & Co. Richard has over fifteen years experience in the financialservices industry and is currently responsible for holding company liquiditymanagement and oversight. In addition, he is responsible for all long term debtand capital issuance and rating agency relationships. Richard has extensiveexperience with U.S. capital markets and financial instruments and has beeninvolved in a wide variety of novel capital raising instruments includingPERCS, DECS and capital securities.

John C. Mason, KEYCORP (New York only)John is the Senior Vice President and Manager of the Funding and InvestmentManagement Group of KeyCorp's Treasury Department. His responsibilitiesinclude wholesale bank funding, investment portfolio management, financialderivatives hedging, and corporate-owned life insurance. John joined KeyCorpin 1991 and has over 26 years of experience in the financial services industry.Prior to joining KeyCorp, he was the Senior Vice President and Manager of theLong-Term Funding and Basic Business Support Division of First FidelityBancorporation in Philadelphia. Previously, he was the Vice President andManager of the Government Securities Trading Division of BancOhio NationalBank in Columbus and the Assistant Vice President and Trader for the primarydealer unit of Crocker National Bank in San Francisco.

Leonard Matz, NESHANNOCK FINANCE (London & New York)Leonard Matz is an author, consultant and bank trainer specializing ininvestments, risk management and ALM for financial institutions. Previously,he spent five years as a bank examiner and fifteen years in various bankmanagement position. Mr. Matz is the author or co-author of numerous risk

management and investment books including Risk Management For Banks,Liquidity Risk Management, Interest Rate Risk Management, Self PacedAsset/Liability Training, the Banker's Investment Guide Series, The Banker'sInvestment Compliance Manual, and Managing Bank Investment Portfolios.He has been a member of the National Asset/Liability Association since 1989.

Alastair Mirrlees, CLS GROUP (New York only)Alastair Mirrlees is the Director of Product Management at CLS Group. He hasalso held the position of Senior Risk Officer and previously held a similarposition with Multinet International Bank, which was purchased by CLSGroup in December 1997. Mr Mirrlees has had extensive international bankingexperience in the trading, market risk and credit risk areas, having worked ineight countries during a 32 year career with a major Canadian bank. His finalposition was Vice President, Credit Policy, where he was responsible for riskpolicies with respect to market valued exposures.

Thomas S. Newman, CLS GROUP (London only)Mr. Newman is currently the Director, Relationship Management at CLSGroup having joined in February 1999 after a 26-year career in banking. Priorto joining CLS, Mr Newman held a range of senior positions in the bankingand securities industry including such roles as Head of Government Bonds,Midland Montagu; Chief Operating Officer - Capital Markets, Midland GlobalMarkets; London Branch Manager, Crocker National Bank.

Michael Reuther, DEUTSCHE BANK (London & New York)Michael joined Deutsche Bank as a management trainee of its Osnabrueckbranch in 1987. In 1989, Michael assumed Corporate Finance responsibilitiesin advising European corporates on debt and equity financing. Michaeltransferred into Treasury at the end of 1991 to move to New York where he washeading the Treasury activities (issuance, market risk, capital) until 1995. From1995 on, Michael was running globally Liquidity Management and,subsequently from 1998, Capital Management for Deutsche Bank Group. In2000, Michael moved to London to run the regional UK Treasury function aswell as the global issuance, funding and liquidity risk management forDeutsche Bank Group.

William H. Schomburg, FLEETBOSTON FINANCIAL CORPORATION(New York only)Mr. Schomburg is a member of the FleetBoston's Treasury Group withresponsibilities for funds transfer pricing and economic capital methodologies.These methods are critical to the assessment of the Bank's risk profile and themanagement of its capital adequacy. He is chairman of the EconomicMethodologies Working Group, which is a cross-functional team formed in2000 following the merger of BankBoston and Fleet Financial creatingFleetBoston. He also developed FleetBoston's response to the New BaselCapital Accord.. Previously, Mr. Schomburg was a member of Bank One's(formerly First Chicago NBD) Treasury Department with responsibility for theBank's economic capital process.

Joanne Treffry, BANK OF MONTREAL (London & New York)Joanne Treffry is Director, Liquidity Management at the Bank of Montreal.She also has experience in balance sheet management, accounting riskmanagement and internal audit. Joanne is a Chartered Accountant and, priorto joining the Bank of Montreal, worked with KPMG, specializing in financialinstitutions. Joanne has a Bachelor of Math degree from the University ofWaterloo.

Ken Weiller, SAC CAPITAL PARTNERS, LLC (New York only)Ken Weiller is a currently Director, Trading Administration at S.A.C. CapitalAdvisors, LLC, where he was previously Director of Risk Management andDirector of Operations. Before joining SAC, Ken worked at SantanderInvestment where he was a Vice President and head of the NY RiskManagement function. Prior to working at Santander Investment Ken workedin the Treasury and Funding group at Bankers Trust. While at Bankers Trust, hemanaged the short and medium term funding books, and was a proprietaryfixed income trader and bond portfolio manager. Ken also served as the marketrisk manager for BT's Global Funding group and helped establish the banksContingency Funding Plan.

Mark Winter, BARCLAYS BANK PLC (London only)Mark is a lawyer by profession who has been at Barclays for six years where heis responsible for Barclay's own securitisation issues as well as an executive rolewith Portfolio Management. In November 1999 he completed Europe's largestcredit card securitisation, the $1bn Gracechurch Card Funding. Last year,along with Simon Page, he completed a £1bn consumer loan transaction,placing the unexpected credit risk into the insurance markets. Other similartransactions are currently being worked on.

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LIQUIDITY RISK MEASUREMENTAND MANAGEMENT

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