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THE EVOLVING STRUCTURE OF THE U.S. TREASURY MARKET: FOURTH ANNUAL CONFERENCE AGENDA Monday, December 3, 2018 8:00 – 9:15 am Continental Breakfast (Auditorium Foyer, 12th floor) 9:15 – 9:30 am Welcome and Introductory Remarks (Auditorium, 12th floor) John Williams, President and Chief Executive Officer Federal Reserve Bank of New York Conference Overview Nate Wuerffel, Senior Vice President Federal Reserve Bank of New York 9:30 – 10:30 am A Modeling Perspective on Debt Issuance (Auditorium, 12th floor) This panel will consider quantitative approaches to modeling government debt issuance policy. One model for optimizing Treasury debt issuance will be presented. Following this presentation, panelists will discuss the practical uses of such models and the tradeoffs debt managers must consider when developing debt issuance strategies. Moderator: Brian Smith, U.S. Department of the Treasury Presenter: Brian Sack, DE Shaw Panelists: Brian Sack, DE Shaw Jessica Pulay, UK Debt Management Office Jonathan Wright, Johns Hopkins Peter Fisher, Tuck 10:30 – 11:00 am Board of Governors Keynote Address (Auditorium, 12th floor) Lael Brainard, Governor Board of Governors of the Federal Reserve System 11:00 – 11:15 am Coffee Break (Auditorium Foyer, 12th floor) 11:15 am – 12:15 pm Clearing and Settlement and Best Practices in the Treasury Market (Auditorium, 12th floor) TMPG co-chair of clearing and settlement work will provide a brief introduction to the group’s work and briefly summarize the public comments received on the consultative White Paper. Following this presentation, panelists will discuss key risk issues identified in the TMPG White Paper and provide their views on which risks might be addressed by potential best practice recommendations and share some insight into the group’s direction. Moderator: Nate Wuerffel, Federal Reserve Bank of New York Presenters: Dan Dufresne, Citadel Deirdre Dunn, Citigroup Panelists: Dan Dufresne, Citadel Deirdre Dunn, Citigroup Murray Pozmanter, DTCC Ryan Sheftel, GTS Stuart Wexler, NEX Group Tom Wipf, Morgan Stanley 12:15 – 2:00 pm Lunch - CFTC Keynote Address (Liberty Dining Room, 1st floor) J. Christopher Giancarlo, Chairman U.S. Commodity Futures Trading Commission 2:00 – 3:00 pm Evolving Repo Markets and Regulations (Auditorium, 12th floor) Treasury repo markets continue to undergo significant structural changes, including the recent implementation of the CCLF and a recent resurgence in uncleared triparty repo activity. Additionally, a number of new participants have been attracted both by the rise in repo rates and new avenues to clearing through FICC’s sponsored membership program. Looking forward, the panel will also consider how the growing use of SOFR and potential changes in EU liquidity ratio accounting could affect these markets. Moderator: Lorie Logan, Federal Reserve Bank of New York Panelists: Beth Hammack, Goldman Sachs Deborah Cunningham, Federated Investments Jack Phelps, FHFA Murray Pozmanter, DTCC 3:00 – 3:30 pm Treasury Keynote Address on TRACE (Auditorium, 12th floor) Craig Phillips, Counselor to the Secretary U.S. Department of the Treasury 3:30 – 3:45 pm Coffee Break (Auditorium Foyer, 12th floor) 3:45 – 4:45 pm Innovation and Electronification in the Treasury Market (Auditorium, 12th floor) Trading in the Treasury market is increasingly conducted on electronic venues, providing both opportunities and challenges for market participants. The panelists will discuss how electronic trading informs their business models and what they perceive to be the frontiers of innovation over the next 5-10 years. Moderator: Brett Redfearn, Securities and Exchange Commission Panelists: Alex Sedgwick, T. Rowe Price David Heatley, Jump Trading Eddie Wen, JP Morgan Isaac Chang, AQR Capital Management 4:45 – 5:00 pm Concluding Remarks (Auditorium, 12th floor) Susan McLaughlin, Senior Vice President Federal Reserve Bank of New York 5:00 – 6:00 pm Reception (Liberty Dining Room, 1st floor)