De ALM-commissie van CFA Society VBA Netherlands organiseer het jaarlijkse:
ALM congres 2019: Liquidity Management
De rol van (il)liquiditeit op de dynamiek tussen financiële markten, beleggers en regelgeving
De financiële markten schuiven op richting extremen. Ook beleggersvoorkeuren en regelgeving zijn in beweging. Het gevolg is dat banken, verzekeraars en pensioenfondsen anders om moeten gaan met hun liquiditeitsrisico’s.
Met het oog deze verschillende partijen bij elkaar te brengen en te zien wat ze van elkaar kunnen leren, heeft de commissie Asset & Liability Management (ALM) als onderwerp voor het jaarlijkse ALM congres gekozen: De rol van (il)liquiditeit op de dynamiek tussen financiële markten, beleggers en regelgeving. Experts van Achmea, Aegon, BlackRock, Cardano, ING Pensioenfonds, Kempen en Pimco komen aan het woord.
Het afgelopen decennium hebben markten te maken gehad met verschillende endogene en exogene schokken. Op de financiële crisis volgde de euro-schuldencrisis. Autoriteiten intervenieerden en onder meer kwantitatieve verruiming drukte de rentestanden.
In Nederland vrezen spaarders negatieve rente op hun tegoeden. Recent werden in Denemarken al de eerste hypotheken met negatieve rente verstrekt. Terwijl in de Verenigde Staten de overnight repo rate naar 10% sprong, waarop de Federal Reserve weer ingreep.
Het ‘lower for longer’ adagium van de Europese Centrale Bank (ECB) brengt Nederlandse pensioenfondsen en verzekeraars intussen weer in de problemen. Hun verplichtingen groeien en in hun ‘search for yield’ beleggen ze met meer risico en lagere liquiditeit. Dit zou tot assetbubbels kunnen leiden.
En ten slotte is toezicht en regelgeving verzwaard. Verzekeraars en pensioenfondsen worden bijvoorbeeld gedwongen meer cash aan te houden tegen derivatenposities. Banken hebben te maken met hogere liquiditeits- en solvabiliteitseisen. Maar zal het genoeg zijn als klanten – bijvoorbeeld in reactie op negatieve spaarrente – massaal hun geld van de bank halen?
Theo Kocken spreekt van emergente processen die leiden tot nieuwe samenhangen binnen de financiële markten. Zou een nieuwe perfect storm zich kunnen voordoen?
Gerard Moerman vraagt zich af: hoeveel illiquiditeit kan een belegger aan? Welke kansen bieden volgens
Gregor Smeets illiquide verplichtingen van verzekeraars. En waar verwacht
Lukas Daalder de volgende assetbubbel?
Voor investment professionals bij pensioenfondsen, verzekeraars, banken en consultants rondom het thema Liquidity Management.
09.00 Opening door dagvoorzitter Martijn Vos, ORTEC Finance
09.15 Theo Kocken, Cardano,
Liquidity Risks and Complex, Emergent Processes
10.00 Art van Toor, Van Lanschot Kempen, On excesses, shortages, mismatches & low interest rates
11.15 Jos in ’t Panhuis and Anuya Kale, ABN AMRO, Current topics in liquidity management (presentation in English)
11.45 Michael Surowiecki, Pimco,
Liquidity in the bond market (presentation in English)
13.15 Panel: met
Vincent Schagen, ING Pensioenfonds,
Rik Klerkx, Cardano en
Ido de Geus, PGGM
Gregor Smeets, Achmea,
Hoe gebruik te maken van illiquiditeit in verplichtingen bij een verzekeraar
15.00 Gerard Moerman, Aegon,
How much illiquidity an investor can handle?
15.45 Lukas Daalder, BlackRock,
Belofte maakt schuld
16.30 Afsluiting dagvoorzitter
16.45 Netwerk borrel
18:00 Einde programma
Iedereen is welkom!
Theo Kocken is professor of Risk Management at VU University Amsterdam, founder of the Anglo-Dutch pension investment & risk management firm Cardano and chairman of the Cardano Development Foundation which focusses on risk-management solutions in frontier markets to increase financial inclusion.
Before founding Cardano he was head of Market Risk at ING and Rabobank. He graduated in Business Administration (1990) en Econometrics (1993) and received his PhD at VU University Amsterdam (2006).
Over the past 25 years he has published many books and articles on risk management, pension fund design and financial markets. He also uses alternative media. Together with Monty Python's Terry Jones, Theo produced the documentary "Boom Bust Boom" on financial crises and endogenous financial instability.
Jos in 't Panhuis is responsible for Funding & Liquidity Risk Management within the Asset & Liability Management (ALM) department of ABN AMRO Bank, overseeing both the long-term strategic planning as well as the day-to-day management of the liquidity position of the bank.
Before joining ALM, he was working in the Risk Model Validation department advising on the use of internal models for regulatory and economic capital calculations.
He holds both a Master's and a PhD degree in Mathematics from Eindhoven University of Technology. In addition, he earned a Master's degree in Risk Management at Duisenberg School of Finance, Amsterdam.
Art van Toor is Head of Asset & Liability Management at Van Lanschot Kempen. In this role he is responsible for interest rate & liquidity risk management, capital & funding planning and funds transfer pricing.
Prior to joining Van Lanschot Kempen in 2014 he worked as head of capital & liquidity planning at De Volksbank (previously SNS-REAAL). During his stay at De Volksbank he also served as a board member of SNS-REAAL’s pension fund and was vice chair of the investment committee.
After graduating in Economics from the Vrije Universiteit Amsterdam he worked as a derivatives market maker. During these first few years of his career he also earned his CFA charter.
Michael Surowiecki, CFA is an executive vice president and portfolio manager on the European rates desk, with a focus on interest rate derivatives. He previously served as head of the European quantitative strategies desk and was also a member of the rates analytics group. Prior to rejoining PIMCO in 2011, Mr. Surowiecki worked as a proprietary trader on the principal strategies desk at BNP Paribas Fortis. Before that, he was responsible for trading exotic and vanilla interest rate products in U.S.dollars, euros and pound sterling at Fortis Bank. He has 16 years of investment experience and holds a master's degree in financial engineering from the University of California, Berkeley as well as an undergraduate degree from Lehigh University.
Gregor Smeets RBA FRM is Director Balance Sheet Management of Achmea Group.
Since joining Achmea in 2008 Gregor has fulfilled a range of management roles in risk management and finance. Since 2018 he is in charge of the Group Investment Office, lately merged with Capital Management and Corporate Finance into Group Balance Sheet Management. Prior to Achmea Gregor worked for ING in various roles, mainly in asset management.
He earned his Master’s Degree in Econometrics from the University of Amsterdam.
Gerard Moerman, PhD is Chief Investment Solutions Officer at Aegon Asset Management (AAM) Europe. Gerard heads up the Client Investment Solutions team, which focuses on servicing clients through strategic asset allocation advice, research insights and solutions. The Client Investment Solutions team includes both the Fiduciary Services Investment Strategy team and the Investment Solutions Center.
Prior to his current role, Gerard worked in Paris from 2016 to 2018, where he was Head of Investment Solutions at La Banque Postale Asset Management, a partner of AAM.
Gerard joined AAM in 2005 as an investment strategist focusing on tactical asset allocation. In 2011, he was appointed as Head of Rates and Money Markets, with responsibility for all sovereign bond portfolios and money market funds.
Gerard holds a Master’s degree in Econometrics from Erasmus University of Rotterdam where he also completed his PhD in Finance. Whilst studying for his PhD, Gerard worked for the European Central Bank.
Lukas Daalder is the Chief Investment Strategist for the Netherlands within the BlackRock Investment Institute. In this role he acts as the go-between for the clients and the views BlackRock Investment Institute, as well as the views of the broader investment teams within Blackrock. Prior to joining Blackrock in 2018, Mr. Daalder was the Chief Investment Officer of Robeco Investment Solutions, heading the team responsible for the various multi-asset capabilities of the firm. He has been a weekly columnist for the Dutch financial newspaper Het Financieele Dagblad since 2014.
Ido de Geus is Head of Fixed Income at PGGM. He is responsible for PGGM's investments in European Government bonds, Investment Grade Credits, Emerging Market Credits, Emerging Market Debt and the interest rate overlays of PGGM's pension fund clients. PGGM manages over € 230 billion in pension fund assets.
Ido studied Econometrics at the University of Groningen. He started his professional career as interest rate swap dealer at Rabobank International. In 2001 he moved to PGGM, where he worked as portfolio manager at the Treasury department. As of 1 January 2016 he is Head of Fixed Income and manages a team of 25 investment professionals.
Rik Klerkx joined Cardano in 2015 to help build the portfolio management team. He is currently responsible for the development and implementation of investment strategies for and on behalf of institutional clients. Rik has more than 10 years' experience in fixed income markets. He started his career in 2005 at J. P. Morgan's Fixed Income division in London where he left as Vice President. Before joining Cardano he was a portfolio manager of the reserve assets at the Dutch central bank and worked at Nationale Nederlanden Group's treasury. Rik holds a Master's degree in Quantitative Finance from Erasmus University Rotterdam and is CFA charter holder.
Vincent Schagen is principal treasury manager / investment manager at Stichting Pensionfund ING since 2011. He is responsible for managing the treasury portfolio of the fund and oversees the LDI portfolios that are being managed for the pension fund by third party asset managers. Before working for the pension fund mr. Schagen has been working at ING since 1999. He has employed several back-office and business development roles at Nationale Nederlanden and ING Investment management, and worked in the structuring team of ING Financial Markets' structured products desk.
Martijn Vos is Chief Operating Officer and member of the Executive Team of Ortec Finance. He earned the degree of Master of Financial Econometrics at Erasmus University and started his career with Ortec Finance in 1995. In 2002 he joined the Management Team. From 2006 until March 2019 he was responsible as Managing Director of the Pensions & lnsurance Business Unit for the models and advice to pension funds, insurers and sovereign wealth funds.
In addition to his roles at Ortec Finance, Martijn served as chairman of the pensions committee of the Royal Dutch Actuarial Association in the period 2013-2016. Since 2015 he is an academic scholar of the Georgetown Center for Retirement lnitiatives (CRI) at the McCourt School of Public Policy in Washington DC.