Interest Rate Benchmarks in Need of a Fix
For decades the financial sector relied on the daily fixing of money market rates like EONIA, LIBOR and EURIBOR. Whatever the administrator of these benchmarks sent to the market was taken as the truth, the whole truth and nothing but the truth. Trillions of financial contracts referenced these indices to determine payments and valuations.
Now we have awakened to the risks of this situation. The Libor-rigging scandals opened our eyes to the fact that these indices are no more than judgement calls by a few bankers.
In 2018 a new regulation was introduced to better connect benchmarks to the real world. This will have a profound impact on everyone that uses a benchmark, from retail mortgages to wholesale derivatives users.
What are the alternative criteria being considered for fixing interest rate benchmarks? Will we be in a better place after the implementation of the regulations? What are the consequences of the new policies and how can we prepare for the impact of these consequences? During this session, these questions and more will be addressed from a risk management, valuation and accounting perspective.
We will discuss the benchmark choices that have been made so far, the rationale behind them and how they impact the transition from the old to the new benchmarks. We will learn that we have to prepare for a number of possible outcomes. Doing nothing is not an option.
Max Verheijen will provide insight into the main criteria and the considerations related to the choice between three benchmark systems: quotation-based, transaction-based fixing, or a hybrid system.
Bram de Rooij and Sjoerd Kampen will give an overview of the global initiatives relating to interest rate benchmark reforms. They will point out the consequences of new benchmarks, including the impact on valuation, hedge accounting, documentation, risk management, and trading.
16:15 Welcome and Introduction
16:30 Max Verheijen, The New Approach towards Interest Rate Benchmarks
17:20 Bram de Rooij and Sjoerd Kampen, CFA, Prepare for the new Benchmarks
18:15 Networking Drinks
19:00 End of Program
Everyone is welcome to attend. Registration is required.
Max Verheijen, Client Director, Cardano
Max had several roles since he joined Cardano in 2000. As the Managing Director, he was responsible for Cardano’s Financial Markets division covering structuring, trading, reporting and control activities in financial products for institutional clients. Most recently, he focuses on advising clients on trading in Financial Markets and introducing new products to the Cardano organization.
Before joining Cardano, Max was a Vice President at the Interest Rate Derivatives Department of Treasury and Sales at ING Bank Amsterdam. Max holds a Master’s degree in Economics from Tilburg University and is a Registered Treasurer.
Bram de Rooij, Senior Consultant, Financial Risk Management, Deloitte
Bram joined Deloitte in 2016 as part of the Financial Risk Management team. His focus is on the valuation of financial derivatives and the validation of market and counterparty credit risk models. He started as a graduate intern, writing his Masters’ thesis on the effect of different contingent convertible bond structures on the funding costs of a financial institution.
Bram holds a Master’s degree in Financial Engineering & Management from the University of Twente and passed the GARP FRM I exam.
Sjoerd Kampen, CFA, Senior Manager, Financial Risk Management, Deloitte
Sjoerd joined Deloitte in 2010 and works as a senior manager in the Financial Risk Management team of Deloitte. His focus is on market and trading risk, covering both model development and model validation for market risk, capital, market risk monitoring and derivative valuation methodologies for clients in the financial sector (banks, insurers, investment managers and pension funds).
Sjoerd holds a Master’s degree in International Financial Management from the Rijksuniversiteit Groningen and a Master’s degree in Economics and Business from the Uppsala University, Sweden. Sjoerd is a CFA charterholder since 2014.