The workshop is aimed at giving the delegates insight into the nature of fixed income markets with a strong focus on understanding the instruments, pricing, and market practice for dealing in fixed income markets. The interest rate environment and the risks of trading these markets will be examined. The associated derivative instruments will be covered to give insight into their application for hedging long-term interest rate risk. Exercises will be conducted in the two days to cement the concepts.
An overview of bond and financial market technology
An overview of Bond and Financial Market terminology
- An overview of the components of the financial markets
- Bonds defined
- Features and characteristics of bonds
- The primary market for bonds
- The secondary market for bonds
- Government Bonds
- ETP for primary dealers
- JSE Reported Market
- Government Bonds
- How bonds differ from equities
Types of bonds
- Zero-coupon bonds
- Coupon bonds
- Floating rate notes
- Inflation linked bonds
- Asset backed securities
- Corporate bonds
Market Participants in the Bond Market
- The role of primary dealers
- Tap issues in the secondary market
- Inter-dealer brokers
- Settlement of bonds in the market
- Essential criteria for an efficient settlement system
The essential mathematics of fixed income markets
- Basic financial mathematics
- The yield price relationship
- Clean, dirty price and accrued interest
- Fixed income bonds trading cum and ex interest
- Zero-coupon bond pricing
- Coupon bond pricing at issue
- Coupon bond pricing after issue
- Par, discount, and premium bonds
- Pricing a zero coupon bond at issue and in the secondary market
- Pricing a coupon bond at issue and in the secondary market
Duration and convexity of bonds
- Macaulay duration
- Modified duration
- Applying modified duration and Macaulay duration in the bond market
- The convexity of bond pricing explained
- Calculating Macaulay duration for bonds with differing coupons and yields
- Calculating Modified duration for bonds with differing coupons and yields
- Calculating the value per point on bonds with differing maturity
Repurchase Agreements – Repo
The mechanics of the repo market
- The essentials of the repo market
- All-in or classic repo structure
- The characteristics of classic repo
- The haircut on a repo
- Sell/buy back repo structure
- The cost of carry in the repo market
- Covering short bond positions in the repo market
- Covering long bond positions in the repo market
- Positive and negative carry in the money market for repo
- Risks in the repo market
- Using the repo market to fund a long bond position
- Using the repo market to cover a short bond position
- Using the repo to benefit from a positive carry in the money market
- Using the repo to exploit a negative carry in the money market
Managing interest rate exposure using derivatives for the fixed income market
- Bond Futures
- Futures contract specifications and their application
- Pricing a futures contract
- Deriving the implied repo rate given the current futures and spot bond yields
- Interest Rate Swaps – IRSs
- Explaining how the swap curve is derived from the observed bond curve
- Using IRSs to manage long-term interest rate exposure
- Caps, Floors, and Collars
- Using Interest rate options as an alternative to IRSs and FRAs to hedge interest rate exposure
- Pricing a bond futures contract and calculating the implied repo rate
- Using interest rate swaps to hedge a long and short bond position
André holds BCom Honours degree from UNISA and is a CAIB (SA) with the Institute of Bankers in SA.
André is a Fellow of the South African Institute of Financial Markets and has served as a Governor on the board for over 17 years. He has extensive knowledge of banking, treasury and finance products.
André worked in the treasury at Nedcor for 9 years, where he traded money and bond markets. While at Nedcor, he was instrumental in establishing the interest rate derivative trading desk. André worked at two major interdealer brokers as a Director responsible for Interest rate derivative broking.
André worked at ABSA as Head of their agricultural derivatives trading desk in 1994. During his time at ABSA, André sat on the executive committee of the SA futures Exchange Agricultural Markets Division.
André worked for the SA Futures Exchange for a year as Assistant General Manager responsible for interest rate product development.
The ACI Financial Markets Association recognizes André as a training provider for both the ACI Dealing and Operations Certificate programs.
André has been training for 16 years and is extensively traveled having facilitated workshops and training interventions for many of the large multinational financial institutions from introductory to advanced level in Singapore, Hong Kong, Dubai, Oman, KSA, Malaysia, China, Sri Lanka, India, Pakistan, Uganda, Malawi, Zimbabwe, Zambia, Namibia, Kenya, Nigeria, Ghana, and South Africa. He consults to a number of companies on treasury product implementation and hedging.
André has conducted over 100 ACI Workshops internationally with an outstanding first time pass rate for both the ACI Dealing and Operations certificate.
André authored a book titled “Introduction to Derivatives – A South African Perspective”.
The workshop will be offered online whereby a delegate whose attendance has been confirmed in writing will receive by email –
- a copy of the power point slides to be used in the workshop
- a link to join the online workshop at the set time
CPD for FAIS purposes
This workshop provides verifiable CPD points in terms of the Determination of Fit and Proper Requirements for Financial Services Providers, BN 194 of 2017, provided that the content is appropriate for your role within the company. A certificate of attendance will be issued that could be submitted to your company’s compliance officer. The number of verifiable CPD hours will be up to 10 hours.
CPD for SAIFM members’ purposes
This workshop provides verifiable CPD points in terms of the CPD policy of SAIFM provided that the content is appropriate for your current or future role within the company. A certificate of attendance will be issued, which should be retained and submitted should you be selected for a SAIFM member CPD audit. The number of verifiable CPD hours will be up to 10 hours.
Bookings and Enquiries
All bookings and enquiries can be directed to Melissa Joao: firstname.lastname@example.org / 011 802 4768
DATE 29-30 January 2024
TIME 09H00 – 15H00
SAIFM Full members pay R6146.75 per person (Inc. VAT)
SAIFM Affiliate members pay R6727.50 per person (Inc. VAT)
KINDLY NOTE: Closing date for bookings and receipt of payment is 8 December 2023.
HP10b Financial Calculator
Note in order to gain the full benefit of this workshop, it is essential that the HP10b Financial Calculator is used. Delegates attending would need to source their own HP10b Financial Calculators.
Disclaimer: While every effort is made to ensure that confirmed workshops continue uninterrupted, it may happen in rare circumstances that we are obliged to cancel. In such a case, a full refund will be made for the workshop or an alternate date arranged at the convenience of the attendees. It is recommended that uncapped wifi/fibre is made use of for the duration of the workshop. All data costs incurred will be for your own account.