FIXED INCOME TRADING SIMULATION Johannesburg October 2015

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1 FIXED INCOME TRADING SIMULATION Johannesburg October 2015 Risk comes from not knowing what you are doing Warren Buffett

2 Overview The 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. Calculate and use key risk measures, including duration, PV01, convexity and Value-at-Risk. Match the duration of liability portfolios with available assets. The programme makes extensive use of a trading simulator in order for the delegates to examine the real-world issues and imperatives confronting dealers and their buy-side clients in these markets. Working in teams, the delegates are required to act as market makers in benchmark instruments, as well as participate in primary market auctions, both against the backdrop of changing market volatility and liquidity conditions. A key theme of the workshop is the sound risk management of fixed income portfolios, according to internal and external requirements. Learning Outcomes Understand the different methodologies for constructing short- and long-term yield curves. Price a range of short- and long-term cash fixed income instruments. 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. Suitability The workshop is suitable for the following individuals: Bond traders Fixed income salespersons Relationship managers Pension fund trustees Asset managers Risk managers Regulators Systems developers Information vendors Supervisors George Van der Westhuizen George has extensive practical experience of the local and international fixed income markets, having worked for several 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.

The programme makes extensive use of a trading simulator in order for the delegates to examine the real-world issues and imperatives confronting dealers and their buy-side clients in these markets.

3 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. Programme Please see the Appendix. Pre-Course Preparation Fee R VAT at 14% will be levied on invoices to South African residents. Special rates can be negotiated for in-house workshops. Booking Details To reserve a place, please contact the Administration Manager, Lerato Metseeme: lerato@peterskerritt.com Tel: Fax: 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. Post-Assessment The workshop culminates in an assignment on the last afternoon, with the delegates working in teams. This comprises a series of practical pricing, trading, and risk management exercises, based on a hypothetical market scenario.

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

4 Appendix - Programme Day Short-term cash, Bills and CDs Trading simulation Deriving a short-term yield curve Institutional features of bond markets Bond pricing Day Liquidity management Repurchase agreements Dealing simulation Risk measures of fixed income portfolios Duration matching Day Portfolio management Dealing simulation Bootstrapping a zero-coupon yield curve Credit spreads Pricing corporate issues Trading the curve

30 Dealing simulation 13.30 Risk measures of fixed income portfolios 15.30 Duration matching Day 3 08.00 Portfolio management 09.

5 Day Value-at-risk of fixed income portfolios Dealing simulation Assignment Assignment feedback and prize-giving

ACI OPERATIONS CERTIFICATE

ACI OPERATIONS CERTIFICATE Sandton, 24-27 October 2016 People at the London end of Barings were all so know-all that nobody dared ask a stupid question in case they looked silly in front of everyone else.