The changing world of

LIQUIDITY RISK MEASUREMENT AND MANAGEMENT

LONDON 4 & 5 February 2002 NEW YORK 25 & 26 February 2002 COURSE HIGHLIGHTS:
Hear regulatory expectations for measuring and managing liquidity risk Learn how to exploit the latest tools for modelling liquidity risk Optimise liquidity through efficient use of securitisations and other tools Understand how to manage liquidity risk in multiple currencies and countries Benefit from practical insights into managing liquidity contingency risk and contingency plans Best practices in funds transfer pricing Master the management of inter-relationships between capital, rate risk, liquidity risk and credit 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 FINANCIAL CORPORATION

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Dear Executive,

The changing world of

LIQUIDITY RISK MEASUREMENT AND MANAGEMENT

London 4 & 5 February 2002 New York 25 & 26 February 2002
Volatile global markets have created increasing concern regarding exposure to liquidity risk, which in turn has led to the development of new techniques and strategies to manage it. This Risk training course will provide you with a comprehensive understanding of the theory behind the latest liquidity risk measurement and modelling techniques and how these approaches are implemented in practice. Leading practitioner Leonard Matz from Neshannock Finance will chair the course, co-ordinating a global panel of respected 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 and management techniques. I look forward to meeting you in February. Yours sincerely

Frances Tully Divisional 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

DAY ONE London, Monday 4 February 2002 New York, Monday 25 February 2002
8.30 Registration and breakfast 9.00 Chairman's opening remarks Leonard Matz, Principal NESHANNOCK FINANCE 9.10 CURRENT 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 & Japan FINANCIAL SERVICES AUTHORITY New York: Kathryn E. Dick, Director, Treasury and Market Risk COMPTROLLER OF THE CURRENCY 10.10 Morning break 10.40 LIQUIDITY 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 Treasury JP MORGAN CHASE & CO. 11.55 MEASURING AND MODELING LIQUIDITY RISK NEW IDEAS AND TOOLS What is your intrinsic liquidity risk? What is your extrinsic liquidity risk? Risk dimensions and interactions London & New York: Dr Robert E. Fiedler, Executive Director, ALM & Liquidity Risk ALGORITHMICS INC. 1.10 Lunch 2.10 London: SECURITISATION AND OTHER TOOLS FOR ENHANCING LIQUIDITY BY MOVING ASSETS FROM 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 Securitizations John C. Mason, Senior Vice President KEYCORP 3.25 Afternoon break 3.55 MANAGING LIQUIDITY RISK IN MULTIPLE CURRENCIES AND COUNTRIES Deutsche Bank's building blocks of Liquidity Risk Management Liquidity Risk Management across different time zones Can cashflows be netted across different currencies London & New York: Michael Reuther, Global Head of Funding and Liquidity Management DEUTSCHE BANK 5.10 Chairman's closing remarks 5.20 End of day one

LIQUIDITY RISK MEA

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ASUREMENT AND MANAGEMENT

DAY TWO London, Tuesday 5 February 2002 New York, Tuesday 26 February 2002
8.30 Registration and breakfast 9.00 Chairman's opening remarks Leonard Matz, Principal NESHANNOCK FINANCE 9.10 MANAGING LIQUIDITY CONTINGENCY RISK, CONTINGENCY PLANS AND PRACTICAL INSIGHTS London: Value of a contingency funding plan Symptoms of a crisis Importance of communications Tailoring responses to the current situation Charles T. Franckle, Asset/Liability Manager THE BANK OF BERMUDA New York: Crisis prevention Symptoms of a crisis Creating a contingency funding plan Potential crisis responses Ken Weiller, Director, Trading Administration SAC CAPITAL PARTNERS, LLC 10.40 Morning break 11.10 EFFECTIVELY MANAGING THE LIQUIDITY RAMIFICATIONS OF CONTINUOUS LINKED SETTLEMENT 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 be managed in the future London: Thomas S. Newman, Director, Relationship Management CLS GROUP New York: Alastair Mirrlees, Product Management CLS GROUP CLSTM is a trademark of CLS Group Holdings (incorporated as CLS Services Ltd.). 12.10 BEST PRACTICE IDEAS FOR FUNDS TRANSFER PRICING 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 practice London: Leonard Matz, Principal NESHANNOCK FINANCE New York: William H. Schomburg, Director, Economic Methodologies Treasury Group FLEETBOSTON FINANCIAL CORPORATION 1.25 Lunch 2.25 MEASURING AND PRICING CONTINGENT LIQUIDITY 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 Management BANK OF MONTREAL 3.40 Afternoon break 4.10 MANAGING INTER-RELATIONSHIPS BETWEEN CAPITAL, RATE RISK, LIQUIDITY RISK AND CREDIT 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 Executive WACHOVIA BANK 5.25 Chairman's closing remarks 5.35 End of course

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COURSE LEADERS
David W. Brooks II, WACHOVIA BANK (London & New York) Mr. Brooks has been with Wachovia for fourteen years. His responsibilities include managing interest rate risk, liquidity, and capital for the consolidated Holding Company and each of the legal entity subsidiaries, managing the quantitative analytics group, and developing investment portfolio and funding strategies. He also has responsibility for developing funds transfer pricing and capital allocation methodologies, and is deeply involved in performance measurement planning. Before joining Wachovia Mr. Brooks worked in banking in roles including asset/liability management, cost analysis, strategic planning, and branch profitability analysis. Kathryn E. Dick, COMPTROLLER OF THE CURRENCY (New York only) 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 bank regulatory and supervisory policies and examiner guidance for trading, interest rate risk, liquidity, securitization, derivatives, and dealer activities. She also serves 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's London office. In her capacity there, Ms. Dick was responsible for supporting the 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 at Algorithmics Inc., Toronto since September 2000. After building the benchmark solution for Cash Liquidity Risk he now heads ALM and Liquidity Risk Solutions. Prior to this he worked for Deutsche Bank in Frankfurt, where he headed the team in Group Risk Management dealing with treasury and liquidity risk issues. After developing a new methodological framework for funding liquidity risk, he implemented this approach as a firm-wide liquidity risk 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 responsibility for global balance sheet management. He is a member and past president of the North American Asset Liability Management Association. He has also held the position of A/L manager for Mercantile Bancorporation headquartered in St. Louis, Missouri and A/L manager and chief economist for First City Bancorporation in Houston, Texas. Prior to that, he was an Assistant Professor of Finance in the Graduate School of Business at the University of Texas at Austin. James Hastie, FINANCIAL SERVICES AUTHORITY (London only) James Hastie is responsible for supervising the UK banking and securities activities of major European firms, at the Financial Services Authority based in London. He began his career by qualifying as a chartered accountant with Coopers & Lybrand. Immediately prior to working for the FSA he held Group management 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 JP Morgan Chase & Co. Richard has over fifteen years experience in the financial services industry and is currently responsible for holding company liquidity management and oversight. In addition, he is responsible for all long term debt and capital issuance and rating agency relationships. Richard has extensive experience with U.S. capital markets and financial instruments and has been involved in a wide variety of novel capital raising instruments including PERCS, DECS and capital securities. John C. Mason, KEYCORP (New York only) John is the Senior Vice President and Manager of the Funding and Investment Management Group of KeyCorp's Treasury Department. His responsibilities include wholesale bank funding, investment portfolio management, financial derivatives hedging, and corporate-owned life insurance. John joined KeyCorp in 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 the Long-Term Funding and Basic Business Support Division of First Fidelity Bancorporation in Philadelphia. Previously, he was the Vice President and Manager of the Government Securities Trading Division of BancOhio National Bank in Columbus and the Assistant Vice President and Trader for the primary dealer 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 in investments, risk management and ALM for financial institutions. Previously, he spent five years as a bank examiner and fifteen years in various bank management 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 Paced Asset/Liability Training, the Banker's Investment Guide Series, The Banker's Investment 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 has also held the position of Senior Risk Officer and previously held a similar position with Multinet International Bank, which was purchased by CLS Group in December 1997. Mr Mirrlees has had extensive international banking experience in the trading, market risk and credit risk areas, having worked in eight countries during a 32 year career with a major Canadian bank. His final position was Vice President, Credit Policy, where he was responsible for risk policies with respect to market valued exposures. Thomas S. Newman, CLS GROUP (London only) Mr. Newman is currently the Director, Relationship Management at CLS Group having joined in February 1999 after a 26-year career in banking. Prior to joining CLS, Mr Newman held a range of senior positions in the banking and securities industry including such roles as Head of Government Bonds, Midland Montagu; Chief Operating Officer - Capital Markets, Midland Global Markets; London Branch Manager, Crocker National Bank. Michael Reuther, DEUTSCHE BANK (London & New York) Michael joined Deutsche Bank as a management trainee of its Osnabrueck branch in 1987. In 1989, Michael assumed Corporate Finance responsibilities in advising European corporates on debt and equity financing. Michael transferred into Treasury at the end of 1991 to move to New York where he was heading the Treasury activities (issuance, market risk, capital) until 1995. From 1995 on, Michael was running globally Liquidity Management and, subsequently from 1998, Capital Management for Deutsche Bank Group. In 2000, Michael moved to London to run the regional UK Treasury function as well as the global issuance, funding and liquidity risk management for Deutsche Bank Group. William H. Schomburg, FLEETBOSTON FINANCIAL CORPORATION (New York only) Mr. Schomburg is a member of the FleetBoston's Treasury Group with responsibilities for funds transfer pricing and economic capital methodologies. These methods are critical to the assessment of the Bank's risk profile and the management of its capital adequacy. He is chairman of the Economic Methodologies Working Group, which is a cross-functional team formed in 2000 following the merger of BankBoston and Fleet Financial creating FleetBoston. He also developed FleetBoston's response to the New Basel Capital Accord.. Previously, Mr. Schomburg was a member of Bank One's (formerly First Chicago NBD) Treasury Department with responsibility for the Bank'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 risk management and internal audit. Joanne is a Chartered Accountant and, prior to joining the Bank of Montreal, worked with KPMG, specializing in financial institutions. Joanne has a Bachelor of Math degree from the University of Waterloo. Ken Weiller, SAC CAPITAL PARTNERS, LLC (New York only) Ken Weiller is a currently Director, Trading Administration at S.A.C. Capital Advisors, LLC, where he was previously Director of Risk Management and Director of Operations. Before joining SAC, Ken worked at Santander Investment where he was a Vice President and head of the NY Risk Management function. Prior to working at Santander Investment Ken worked in the Treasury and Funding group at Bankers Trust. While at Bankers Trust, he managed the short and medium term funding books, and was a proprietary fixed income trader and bond portfolio manager. Ken also served as the market risk manager for BT's Global Funding group and helped establish the banks Contingency Funding Plan. Mark Winter, BARCLAYS BANK PLC (London only) Mark is a lawyer by profession who has been at Barclays for six years where he is responsible for Barclay's own securitisation issues as well as an executive role with Portfolio Management. In November 1999 he completed Europe's largest credit 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 similar transactions are currently being worked on.

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The changing world of

LIQUIDITY RISK MEASUREMENT AND MANAGEMENT

Code : A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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

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