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Mar 19
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09:00 - 09:30 30 mins
Registration & Networking
09:30 - 09:40 10 mins
Chairperson’s Opening Remarks
  • Andrew Brand - Head of Operational Risk, XTX MARKETS
09:40 - 10:10 30 mins
Day 1
An Update on the New EU Prudential Regime's Regulatory Progress, Scope, Classification and K Factor Elements
  • Laurence Blake - Head of Risk, JANE STREET EUROPE

The existing prudential rules were designed for banks and are not ideal for investment firms being overly complex. A new proposal for an investment firm prudential regime is currently proceeding through the legislative process of the EU. This session will provide a review of the latest proposals and in particular will focus on:

  • Background of the proposal
  • The legislative process
  • Firm classification
  • New K-Factor calculations
10:10 - 10:40 30 mins
Day 1
Clarifying the Liquidity, Reporting, Disclosure, Governance and Remuneration Sections of the New Investment Firms Regulation / Directive
  • Ian Kelly - Head of Regulatory Advisory, ROYAL BANK OF CANADA INVESTMENT MANAGEMENT

In addition to revised capital requirements the new Investment Firms Regulation contains a wide range of other new standards that firms will need to comply with. In many areas regulatory requirements will be less onerous but firms will nevertheless need to be on top of these changes in order to ensure that they are ready. This session will look at:

  • The new minimum liquid assets requirement and what firms must do to comply with this
  • How regulatory reporting requirements are likely to change as a result of the new rules
  • The remuneration structures mandated by the new rules, and the types of firms in scope of this
  • What, if any, arrangements investment firms ought to have in place to comply with new governance and recruitment requirements
  • The direction of travel of the ICAAP in the new regime
  • How much detail will be required in new Pillar 3 disclosures
10:40 - 11:15 35 mins
Day 1
INVESTMENT FIRMS PANEL SESSION: Discussing the Potential Impact of the New Investment Management Prudential Regime for Differing Types of Firm
  • James Ross - Head of Regulatory Developments, COLUMBIA THREADNEEDLE INVESTMENTS
  • Piebe Teeboom - Director General, FIA EPTA - European Principal Traders Association
  • Oliver Scott - Head of Prudential Regulatory Reporting, XTX MARKETS
  • Agathi Pafili - Senior Regulatory Policy Advisor, EFAMA - European Fund & Asset Management Association
  • Ian Kelly - Head of Regulatory Advisory, ROYAL BANK OF CANADA INVESTMENT MANAGEMENT
11:15 - 11:35 20 mins
Day 1
Networking & Refreshment Break
11:35 - 12:10 35 mins
Day 1
Practical Insights into Implementing an Enterprise Risk Framework, Demonstrating "Use Test", Risk Lineage and ICAAP Integration
  • Sopun Leng - Head of Risk, ALLIANCE BERNSTEIN

ICAAP is often dissected into its component areas of speciality. This session is to take a step back and explore practical implementation of an operating risk framework, getting senior management buy-in and demonstrating clear risk lineage for the purposes of robust risk management and an effective capital process:

  • A guide to implementing a Risk framework and operating it in practice
  • What is Risk Lineage?
  • Getting management buy-in
  • Culture and Conduct considerations
12:10 - 12:50 40 mins
Day 1
FCA Q&A: Key Messages on Capital Requirements for Investment Firms
12:50 - 13:50 60 mins
Networking & Lunch Break
13:50 - 14:25 35 mins
Day 1
Practical Experience of Moving to a Risk Appetite Quantification Approach
  • Philip McCrossan - Senior Enterprise Risk Adviser, MARTIN CURRIE INVESTMENT MANAGEMENT

Risk appetite quantification is the natural evolution for firms as their risk appetite process matures from simple, qualitative statements to something more ‘real’ for those managing it. This session covers practical experience of developing quantitative measures, including:

  • Translating what high, medium and low appetites actually are
  • Working with senior management to draw out relevant metrics
  • Establishing KRIs
  • Governance and approvals
  • MI, reporting and monitoring
14:25 - 15:00 35 mins
Day 1
Investment Firms Panel Session: Aligning Risk Appetite with Business Strategy, the Risk Management Framework and Business Implementation
  • Julija Nester - Senior Regulatory Advisor, FNZ
  • Brian Thornhill - Associate Director, DELOITTE
  • Darren Nicholls - Head of Risk - Non-Continental Europe, GAM
  • Philip McCrossan - Senior Enterprise Risk Adviser, MARTIN CURRIE INVESTMENT MANAGEMENT
  • Orlagh Culliton - Head of UK Operational Risk, AXA INVESTMENT MANAGERS
  • Nick Evans - Business Risk Manager - Europe, VANGUARD ASSET MANAGEMENT
15:00 - 15:35 35 mins
Day 1
Designing an Effective Suite of Forward Looking KRIs that Can be Objectively Tracked
  • Steven Hughes - Operational Risk Manager, AVIVA INVESTORS

KRI’s are a cornerstone of risk management across all industries and a basic requirement underpinning any well-developed risk management framework. They are simple and effective way of monitoring risk within a business both proactively and reactively, yet very easily designed and implemented poorly. This presentation will focus on leading (proactive) KRI’s, the key benefits of these, and how these should be managed to reap the greatest value in terms of managing and understanding your risk. This session will cover the following:

  • What is a leading Key Risk Indicator (KRI) and how does this differ from lagging?
  • The advantages of embedding leading KRI’s within your business
  • Are leading KRI’s appropriate for you? What are you interested on predicting and why?
  • How should leading KRI’s be developed?
  • A robust approach to implementing and managing/monitoring leading KRI’s
15:35 - 15:55 20 mins
Day 1
Afternoon Coffee Break
15:55 - 16:30 35 mins
Day 1
Achieving Suitably ‘Plausible & Severe’ Stress Testing and Reverse Stress Testing and Demonstrating Use within Business Decision Making
16:30 - 17:05 35 mins
Day 1
Enhancing Wind-Down Planning for Financial and Operational Elements of Plans
  • Anthony Ma - Associate Director and Head of Prudential Assurance for Financial Services, GRANT THORNTON

The Wind-down Planning Guide (WDPG) became part of the FCA Handbook in December 2016. Initially it merely acted as a helpful guidance to assist regulated firms to think more thoroughly about the operational aspects of wind-down and the costs involved. It is now a fundamental objective of FCA’s prudential supervision that firms can wind-down in an orderly fashion. Consequently, we are seeing more FCA-regulated firms (from large investment firms to smaller consumer credit firms) being asked by the FCA to strengthen their wind-down planning. It is anticipated that wind-down planning will continue to be used either to better calibrate the wind-down costs, or to ensure the wind-down process is operationally viable.

For most MiFID investment firms, they will carry out some sort of wind-cost estimation as part of their capital requirements assessment. This is an area which attracts regulator’s attention. This is because wind-down cost is analogous to the exit cost of a firm, and hence it could serve as the floor value for capital requirement to ensure the firm has appropriate resources to wind-down orderly when the scenario arises. The upcoming EBA new prudential regime places even more emphasis on this concept. So it is important that investment firms spend time to get this right. It should be further noted that, when a firm entering the wind-down phase, at lot of its financial reporting policies will also need to be adjusted, which make the cost / capital computation even more complicated. Good wind-down planning also helps to facilitate restructuring of a larger group of investment firms, which becomes a popular strategy due to Brexit uncertainty.

Apart from the prudential aspect, good wind-down planning is essential to conduct risk management and treating customers fairly, which are certainly gaining priorities in the regulatory agenda.

17:05 - 17:10 5 mins
Chairperson’s Summation and Close of Day One