Brit Training
South Africa
Workshop
on
Debt Instruments and Markets
presented by
Professor Ian Giddy
New York University
|
Method
and Schedule Who Should Attend? The seminar is of relevance to both potential originators and investors in debt: money market professionals, commercial lenders and investment bankers, securities analysts; investment officers and fund managers; asset managers and other individuals whose professional future may be enhanced by an understanding of debt instruments and techniques. At the end of this course participants will be able to:
Course Outline
|
| Day | Topics |
| Day
1 |
Debt Instruments: The Global Market Money Market Instruments Treasury bills Fed funds Commercial paper The international interbank market Assignment: Find and interpret rates in the international money market Government Bonds Comparison of government bond markets Rating government bonds Bond interest rates: discount rates, coupon and yields The yield curve Bond pricing methods Strips and synthetic treasuries Exercise: Identifying mispriced government bonds using the spot curve Measuring Rate Risk in a Bond Portfolio Measuring bond price risk: Maturity, average life, and duration Duration and convexity of bonds Duration of portfolios Managing and matching fixed liabilities in pension funds and insurance companies Hands-on exercise: Immunizing a portfolio Measuring the gap: Value at Risk Closing the gap: portfolio restructuring Managing Risk in a Bond Portfolio: Tools and Techniques Closing the gap: derivatives Futures, forwards and swaps Delta, gamma and the use of options Dynamic hedging Exercise: Managing the interest-rate risk of a mortgage portfolio funded with a straight bond. |
| Day
2 |
Corporate
Bonds, Domestic and International The global corporate bond market Credit risk and ratings High-yield debt Corporate bond spreads, pricing and issuance Hedging credit risk with credit default swaps Exercise: Review deals in the international bond market Asset-Backed Securities Structure of ABS Process of securitization Credit enhancement and ratings Collateralized Debt Obligations Case study: Creating an ABS from a bank’s loan portfolio Bonds with Options Call features and pricing Callable corporate bonds: special features Mortgage-backed securities Comparison of yields Determinants of option value Option-adjusted spreads Exercise: comparison of callable with straight bonds from an investor's standpoint Conclusion |
Day 1
Slides: The International Money Market
Slides: The Government Bond Market
Slides: Measuring Rate Risk in Bond Portfolios
Slides: Fixed-Income Portfolio Management
Assignment: Compare and swap rates in the international money market
Case Study: A Bond for CMHC
Exercise: The GE Capital Bond
Case Study: Golds Gym
Exercise: Home to Canadians
Day 2
Slides: Corporate Bonds
Slides: Asset-Backed Securities
Slides: Bonds with Options
Case Study: Imperial Capital MTN
Case Study: Tuis RMBS
Case Study: Endesa
Case Study: A Call to Guernsey
Workshop Instructor
Ian Giddy is on the faculty of finance at New York University, USA. He has taught finance at NYU, Columbia, Wharton, Chicago and elsewhere for the past thirty years. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, Dr Giddy has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous financial institutions and corporations in Europe, North America, the Middle East and Asia. He has lectured in more than forty countries, and has been involved in the asset-backed securities market for over 15 years. He is the author or co-author of The International Money Market, The Handbook of International Finance, Cases in International Finance, Global Financial Markets Asset Securitization in Asia, and The Hudson River Watertrail Guide.