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Level

Introductory / intermediate

Location and Duration 

Johannesburg; 3 days

Overview

This workshop provides a highly practical opportunity to analyse the key instruments of the cash fixed income markets, with a particular emphasis on fixed coupon bonds.

The programme makes extensive use of a world-class trading simulator in order for the delegates to examine the real-world issues and imperatives confronting participants in these markets.

Working in teams, the delegates are required to manage portfolios of local benchmark instruments, as well as to participate in primary and secondary market activities, all against the backdrop of a volatile yield curve and fast-changing sentiment and liquidity conditions.

A key theme of the workshop is the sound risk management of fixed income portfolios, according to internal and external prescriptions.

Learning Outcomes

  • Understand the available instruments and methodologies for constructing short- and long-term yield curves
  • Price a range of short- and long-term cash fixed income instruments
  • Construct a portfolio containing fixed income instruments subject to a specific investment mandate
  • Benchmark fixed income portfolio returns and risk to an index
  • Conduct instrument and portfolio valuation in illiquid markets
  • Manage the liquidity requirements of a fixed income portfolio using short-term cash instruments and repurchase agreements
  • Profitably trade fixed income portfolios against a range of yield curve shifts, twists and changing liquidity conditions
  • Discuss and implement different yield curve strategies to maximise portfolio returns
  • Calculate and use key risk measures, including duration, PV01, convexity and value-at-risk
  • Match the duration of liability portfolios with available assets

Fee

ZAR 11 950 + VAT

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