FIXED INCOME BOOTCAMP

Johannesburg, 15-19 October 2018

“Risk comes from not knowing what you are doing”

Warren Buffett

Overview This workshop provides a highly practical examination of the instruments and mechanics of

the cash and derivative fixed income markets.

The programme investigates state-of-the-art techniques for the pricing and risk management

of the major instruments, as well as their use for hedging and asset/liability management.

Learning Outcomes

• Price vanilla and non-vanilla bonds

• Calculate and use key risk measures, including duration, PV01 and convexity

• Understand the different methodologies for constructing short- and long-term yield curves

• Price and use repurchase agreements and bond forwards/futures

• Use duration for matching of liability portfolios

• Price different interest rate and cross currency swap structures

• Hedge bond portfolios with swaps

• Examine the mechanics and applications of interest rate options

• Critically assess modern risk management techniques for fixed income portfolios

Suitability The workshop is suitable for the following individuals:

• Bond traders

• Fixed income salespersons

• Asset managers

• Risk managers

• Regulators

• Systems developers

Facilitators George Van der Westhuizen

George has extensive practical experience of the local and international fixed income

markets, having worked for many years as a cash and derivatives trader for one of the largest

banks on the continent. He is now a full-time training consultant, specialising in fixed income

and asset/liability management.

Peter Skerritt Peter has spent three decades in the financial markets as a derivatives trader, financial engineer, author, and trainer, with experience in Europe, The United States, The Middle East, and Africa. He has worked extensively with large and medium-sized corporations in the development of a range of vanilla and exotic hedging solutions, and he has coached more than one generation of bank corporate dealers and derivative traders to successfully market and trade these complex instruments.

Programme The programme can be found in the Appendix to this document.

Workshop Methods The workshop comprises a series of short presentations followed by practical exercises and case studies. Many of the exercises are Excel-based.

Pre-Course Preparation

Delegates should already possess a sound understanding of basic interest rate theory and

mechanics, and be familiar with the basic features of cash fixed income instruments.

Pre-course reading and online assessments are provided to ensure that these prior learning

requirements are met.

Fee The cost of the workshop per delegate is R 17,950. VAT at 14% will be levied on invoices to South African residents. Please note that we provide a 10% discount for three or more delegates registering simultaneously from the same organisation.

Booking Details To reserve a place, please contact the Programme Manager, Lerato Metseeme: lerato@peterskerritt.com Tel: +27 11 884 9910

Appendix - Programme Day 1 08h30 Vanilla bonds 10h00 Coffee 10h30 Floating-rate notes 12h30 Lunch 13h30 Inflation-linked bonds 15h00 Coffee 15h30 Practical exercises 17.00 Close Day 2 08h30 Repurchase agreements 10h00 Coffee 10h30 Bond forwards 11h30 Bond futures 12h30 Lunch 13h30 Risk measures: duration, PVBP and convexity 15h00 Coffee 15h30 Duration matching 17h00 Close Day 3 08h30 Deriving a short-term yield curve 10h00 Coffee 10h30 Bootstrapping a zero-coupon bond curve 12h30 Lunch 13h30 Interpolation methods 15h00 Coffee 15h30 Trading the curve 17h00 Close

Day 4 08h00 FRAs and interest rate futures 10h00 Coffee 10h30 Interest rate swaps 12h30 Lunch 13h30 Deriving a zero-coupon swap curve 15h00 Coffee 15h30 Hedging bond portfolios using swaps 17h00 Close Day 5 08h00 Cross-currency swaps 10h00 Coffee 10h30 Interest rate options: caps and floors 12h30 Lunch 13h30 Interest rate options: swaptions 15h00 Coffee 15h30 Value-at-risk 17h00 Close