We are pleased to welcome you to an update on:
Interest Rate Benchmarks in Need of a Fix
For decades the financial sector relied on the daily fixing of key interbank offered rates like Euribor, LIBOR and EONIA. Interest rate benchmarks such as these interbank offered rates, value trillions of notional of financial instruments and underpin the daily exchange of enormous amounts of cash between market participants on a daily basis.
As these key interbank offered rates have experienced decreased market activity in the past years, there is an increased concern about their long-term sustainability. Driven by the publications of the Principles for Financial Benchmarks by IOSCO in 2013 and the European Benchmark Regulation these interbank offered rates are now being reformed or might even cease to exist. The new or reformed interest rates that replace them should be based on reliable underlying market transactions and better represent the underlying economic reality.
Since our first event on this topic in February 2019, we now know much more about the new and reformed interest rates and the transition path to these interest rates.
First of all, new or reformed interest rates are now gradually emerging from a process of working groups, benchmark administrator initiatives, market consensus and supervisory guidance. As a result, it becomes more clear towards which rates the industry needs to transition, and which rates will cease to exist in the future. Second, the recent increased supervisory attention from both a Dutch (DNB / AFM) and European (ECB) perspective aim to increase the focus of market participants and users of the interest rates on the transition and the impact on their institutions and clients. This gives rise to more detailed questions about the impact and the transition path. Therefore, in our follow-up event on this topic, we dive deeper into the new and reformed rates that emerge, the possible transition paths and the detailed impact on the transition.
Sjoerd Kampen, CFA and Bram de Rooij will give an overview of the most recent global initiatives relating to interest rate benchmark reforms, and the interest rates that emerge as likely successors. They will also describe the current transition paths and transition risks.
Max Verheijen will present a detailed comparison of the reformed rates in the Eurozone and the specific impact of the transition from EONIA to €STR for swap portfolios.
16:20 Welcome and Introduction
16.30 Sjoerd Kampen, Bram de Rooij Transition path and risks when moving to new interest rate benchmarks
17.10 Max Verheijen, Transition impact of moving from EONIA to €STR
18:00 Networking Drinks
19:00 End of Program
Everyone is welcome to attend. Registration is required.
For a bit more background:
Read the ECB report Report by the working group on euro risk-free rates. The report gives general issues to cope with in the transition, but there are still choices to be made. The report and choices will be covered during the presentations.
From the ECB website, more information on the Euro short-term rate €STR.
An FT article: Europe’s banks warned on ending interest rate benchmark (subscription needed).
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.