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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona


Friday 6 November 2020. Separately bookable.

Led by Marc Henrard, Visiting Professor, University College London


Marc Henrard - Visiting Professor - University College London

Marc Henrard is a Managing Partner at muRisQ Advisory and visiting professor at University College London.

Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.

Marc's research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.

Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.


"ECB has been publishing ESTR and EONIA has been recalibrated for a couple of weeks. ISDA is running a consultation on final parameters for the Spread and Term Adjustments. LCH, CME and EUREX have announced their plans for PAI transition in USD and EUR. What are the impacts of those items on your long term risk management strategies and short term P/L? Those issues are some of the elements that will be analysed in detail in the workshop." - Marc Henrard, Workshop Leader.

With the increased expectation of some LIBORs discontinuation, the overnight benchmark changes and the increasing regulatory requirements related to benchmarks, a clear quantitative finance perspective on the impacts for benchmark-linked derivatives is becoming paramount.

The recent regulations include the EU Benchmark Regulation (BMR) which will have a severe impact on the EUR market from January 2022. For all major currencies, new benchmarks have been proposed and the market are in a transition phase. Each transition has his idiosyncrasies and a common transition approach cannot be expected.

On the EUR side, a recalibration approach with clean discounting has been proposed for EONIA. This will happen as soon as 2 October 2019. This changes have potentially important value transfer impacts.

On the fallback side, several options have been proposed and ISDA is holding consultations on some of them. The results of the first ISDA consultations has been to select the 'compounding setting in arrears' adjusted rate and the 'historical mean/median' spread approach.

The workshop presents those options and emphasises their drawbacks. In particular the compounding setting in arrears lack of details and, in the words of ISDA, is not workable for some products. 

The agenda also presents alternative options supported by different working groups. The historical spread option can lead to significant value transfer, some of them having already taken place. We present historical data is several currencies to support the theoretical developments. The presentation focuses is on the quantitative finance impacts for derivatives.

Workshop modules


Module 1

  • Brief history of LIBOR
  • EU Benchmark regulation
  • Cash-collateral discounting.
    - The standard collateral results and their exact application.
    - What is hidden behind OIS discounting (and when it cannot be used)?
    - Impact of new benchmarks on valuation
  • The 'alternative' benchmarks:
    - Progress in different jurisdictions
    - SOFR, reformed SONIA, ESTER, SARON, TONAR.
    - Secured v unsecured choice.

Module 2

  • The 'alternative' benchmarks:
    - SOFR and EFFR: two overnight rates in one currency! Differences and transition.
    - ESTER and EONIA: recalibration and transition
    - Curve calibration impacts
    - SOFR intra-month seasonality
  • Fallback procedure
    - ISDA consultation results
    - The adjusted rate: compounding setting in arrears
    - The adjustment spread: historical mean/median approach
    - Quantitative issues with compounding setting in arrears
    - Term rates: a credible alternative?

Module 3

  • Fallback procedure
    - Value transfer: transfers already incorporated and transfers to come
    - Change of term sheet in existing vanilla instruments
    - Presenting the fallback in the language of quantitative finance
  • Risk management of the transition.
    - Delta risk through the fallback
    - Potential impacts on systems
    - What a risk solution would look like?

Module 4

  • Risk management of the transition.
    - Multi-curve: double or quit?
    - Vanilla becoming exotics: cap/floor and swaptions
    - Fallback and UMR rules
  • Clearing house adoption
    - Differences between bilateral and CCP rules
    - Fallback new wording adoptions
    - EFFR to SOFR transition in USD
    - USD: LCH/CME change of discounting
  • New products associated to new benchmarks
    - Volume and liquidity in the new benchmarks
    - Futures on overnight benchmarks
    - Deliverable swap futures