The IX Annual Conference "Market and Liquidity Risks Management Market|Risk|2020" was held on October 9, 2020 in Kyiv, Ukraine.

The objective of the Conference was to review the macroeconomic prospects and risks for the financial sector under COVID-19, discuss regulatory capital requirements for market risks, and share experiences on best practices in assessment of derivatives and using them to hedge market risks by banks and their customers.

Who Should Attend
In your bank, financial or investment company:
o Chairman and members of the Supervisory Board and Management Board
Heads of divisions:
o Risk management
o Management of market risks
o Assets and Liability Management
o Financial planning and budgeting
o Treasury and Dealing
o Securities
o Investment Business
o Correspondent relations
o Assessment of the counterparty banks
o Development and application of analytical and information technology

Confirmed Speakers
* Vitaliy Vavrishchuk, Director of Department of Financial Stability, National Bank of Ukraine
* Olyana Gordiyenko, Chairwoman of the Supervisory Board, Ukreximbank
* Yuriy Blashchuk, Independent member of the Supervisory Board, Ukrgasbank
* Olena Korobkova, Executive Director, NABU
* Rulsan Spyvak, Head of Corporate Business, Raiffeisen Bank Aval
* Nadiia Meshenko, FRM, Senior Financial Officer, Finance Department, IMF
* Sergiy Demydenko, Acting Head of Financial and Operational Risk Department, National Bank of Ukraine
* Mykola Selekhman, FRM, CFA, Deputy Director of the Open Markets Department, National Bank of Ukraine, Member of the Supervisory Board, National Depository of Ukraine
* Dmytro Kolechko, Member of the Executive Board, Chief Risk Officer, VP Bank (Vietnam)
* Oleksandr Duda, Head of Capital Markets, UkrSibbank
* Anton Kovalenko, Director of Treasury and Financial Institutions, OTP Bank
* Vyacheslav Ozerov, Director of Treasury Department, Credit Agricole Bank
* Pervin Dadashova, FRM, Head of Macroprudential Policy and Research, National Bank of Ukraine
* Oleg Tkachenko, Chairman of the Management Board, Bank "Settlement Center"
* Nazar Odinaev, Director of Financial Risk Department, Credit Agricole Bank
* Olexiy Nazarov, Head of Market Risks and Risks of Financial Institutions, Raiffeisen Bank Aval
* Oleksiy Sukhorukov, Business Development Director, Ukrainian Exchange
* Yuriy Tabin, Deputy Director of the Market and Liquidity Risk Department, Kredobank (PKO Group)
* Ganna Rubliova, Director of Financial Risks, OTP Bank
* Yaroslav Nevmerzhitsky, FRM, ERP, CFA, Chief Risk Officer, U.Commodities

Venue

Program

0830-0900    Participants Registration. Welcome Coffee

0900-0910    Conference Opening

0910-1030    COVID-19 And The Financial Sector: What Are The Results And Prospects?

Presentation: Six Months Of The COVID-19 Pandemic: Results, Lessons And Forecasts For The Financial Sector
* Vitaliy Vavrishchuk, Director of Department of Financial Stability, National Bank of Ukraine
1. Review of the macroeconomic situation in Ukraine
2. Review of external and internal conditions and risks for the banking and non-banking financial sector
3. Prospects for financial stability
4. NBU regulatory initiatives

Panel Discussion:
* Olyana Gordiyenko, Chairwoman of the Supervisory Board, Ukreximbank (moderator)
* Vitaliy Vavrishchuk, Director of Department of Financial Stability, National Bank of Ukraine
* Yuriy Blashchuk, Independent member of the Supervisory Board, Ukrgasbank
* Olena Korobkova, Executive Director, NABU

1030-1100    Coffee Break

1100-1230    NBU Capital Requirements For Market Risks

In the nearest time, the NBU will send banks a draft of requirements for determining the minimum capital requirement for market risks in accordance with the recommendations of the Basel Committee and the objectives of harmonization with EU law. At the conference there will be a discussion of these requirements by risk managers of banks and representatives of the NBU, who prepared them.

Presentation: Review Of NBU Capital Requirements For Market Risks.
* Pervin Dadashova, FRM, Head of Macroprudential Policy and Research, National Bank of Ukraine
1. What international standards are these requirements based on?
2. Approach to determining the minimum need for capital under currency risk;
3. Approach to determining the minimum need for capital under the interest rate risk of the trading book;
4. Approach to determining the minimum capital requirement for stock risk (Equity risk);
5. Approach to determining the minimum need for capital under Commodity risk (Commodity risk).
6. How does this approach to determining the minimum capital requirement for market risk differ from what banks have to assess in the framework of the SDS and the requirements of Regulation N64?

Panel Discussion Of The NBU And Banks - Discussion Of New Regulatory Capital Requirements For Market Risks
* Pervin Dadashova, FRM, Head of Macroprudential Policy and Research, National Bank of Ukraine
* Nazar Odinaev, Director of Financial Risk Department, Credit Agricole Bank
* Olexiy Nazarov, Head of Market Risks and Risks of Financial Institutions, Raiffeisen Bank Aval
* Yuriy Tabin, Deputy Director of the Market and Liquidity Risk Department, Kredobank (PKO Group)
* Ganna Rubliova, Director of Financial Risks, OTP Bank

Derivatives: From Valuation To Hedging Of Market Risks

On June 19, the Ukrainian Parliament adopted and on August 12, the President of Ukraine signed the Law “On Amendments to Certain Legislative Acts of Ukraine Concerning Simplification of Attracting Investments and Introducing New Financial Instruments” N 738-IX, which is to come into force on January 1, 2021. This law will promote the effective development of markets for derivative financial instruments. Also on June 19, the NBU approved amendments to the Procedure for Estimating the Fair Value of Derivative Financial Instruments Operated by the NBU, and on July 2 the first auction among commercial banks for Interest Rate Swaps with the NBU was held.

On the other hand, the floating exchange rate and the revaluation of the hryvnia in 2019 are forcing exporters and importers to more actively use derivatives to hedge currency risks. Demand for them is growing. But what exactly are the derivatives available to them?

According to the NBU, if in 2019 the total sales and purchases of forwards by bank customers amounted to USD 1.5 billion, in the first half of this year it reached almost USD 1.2 billion. However, this volume is small compared to the spot FX market, where in 2019 the volume of interbank transactions with currency (tod, tom and spot, without NBU operations) was USD 84 billion, and in six months in 2020 it reached USD 52 billion. In addition to currency forwards, customers would like to use currency futures that have certain benefits.

But how to start a real currency futures market? In general, what is the experience of the NBU, banks and their customers in assessing and using derivatives to hedge market risks?

1230-1300    Presentation: NBU Approaches To Derivatives Valuation
* Nadiia Meshenko, FRM, Senior Financial Officer, Finance Department, IMF
1. The process of building a model for valuing derivatives (on the example of the model for estimating the Interest Rate Swap)
2. The procedure for model validation, according to the requirements of the NBU to the construction and validation of models (Chapter 14 of the NBU Resolution N64)
3. Models used by the NBU to valuate derivatives with which it operates on the Ukrainian market.

1300-1330    Session Of Questions And Answers On The Valuation Model And Auctions Of The NBU On The Interest Rate Swap
* Nadiia Meshenko, FRM, Senior Financial Officer, Finance Department, IMF
* Sergiy Demydenko, Acting Head of Financial and Operational Risk Department, National Bank of Ukraine
* Mykola Selekhman, FRM, CFA, Deputy Director of the Open Markets Department, National Bank of Ukraine, Member of the Supervisory Board, National Depository of Ukraine

1330-1430    Lunch

1430-1600    Panel Discussion "How To Finally Launch The Currency Futures Market?"
1. To what extent are banks interested in currency futures for their own purposes of hedging currency risks?
2. To what extent are bank customers - exporters and importers - interested in currency futures? Or do banks cover their risk hedging needs with forwards? Do customers understand the differences between forwards and futures?
3. The launch of the currency futures market requires not only a trading system, but also a clearing and settlement mechanism with a reliable risk management system, which will be trusted by the NBU, banks and their major exporters and importers. What are the requirements of the NBU and banks to such a clearing and settlement mechanism? What clearing and settlements are the exchanges ready to offer?
Discussion participants:
* Rulsan Spyvak, Head of Corporate Business, Raiffeisen Bank Aval
* Oleksandr Duda, Head of Capital Markets, UkrSibbank
* Anton Kovalenko, Director of Treasury and Financial Institutions, OTP Bank
* Vyacheslav Ozerov, Director of Treasury Department, Credit Agricole Bank
* Oleg Tkachenko, Chairman of the Management Board, Bank "Settlement Center"
* Oleksiy Sukhorukov, Business Development Director, Ukrainian Exchange

1600-1630    Coffee Break

1630-1710    Presentation: Experience In Launching Currency And Other Derivatives In Vietnam
* Dmytro Kolechko, Member of the Executive Board, Chief Risk Officer, VP Bank (Vietnam)
Derivatives market in Ukraine remains at its earliest stage. But sometimes you shouldn't reinvent the wheel. It is enough to look at the developing derivatives market similar to Ukraine and understand the reasons for its success. In his presentation Dmytro will examine how the derivatives market was launched in Vietnam, what served as the main impetus for its development, the size of the market and its form, which instruments are the most popular, what works and what does not.

1710-1740    Presentation: Commodity derivatives: lessons and prospects for the Ukrainian market
* Yaroslav Nevmerzhitsky, FRM, ERP, CFA, Chief Risk Officer, U.Commodities
    Commodity derivatives are of interest to commercial banks for three main reasons:
a) commodity derivatives are a separate and investment-attractive group of market assets that expand opportunities to generate profits and to diversify their own exposure to risk factors in the economy;
b) market quotations of exchange traded goods (de facto commodity derivatives) are used as market indicators for macroeconomic analysis and formation of stress scenarios
c) the bank's exposure to commodity market risks is formed through possible spill-over exposure to commodity markets of the bank's customers and counterparties.
    In the context of the above topics, the report will address the following issues:
1. Pricing in commodity markets: common and negative in comparison with the products of the financial market.
2. Physical vs financial performance of commodity derivatives
3. The mechanism of influence of the derivatives market on the physical (spot) market: experience and conclusions for Ukraine.

1740-1750 Conference Closing

1750-1930    Cocktail Reception and Networking

The program is subject to change

Participants

Registration