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Events

Designing Government Debt Management Strategies Workshop 2017

July 17-21, 2017

Vienna, Austria

This five-day workshop guides participants through the processes of developing a public debt management strategy based on an analysis of financial cost and risk tradeoffs.

Presentations and country cases illustrate the different stages of the strategy development process. Hands-on exercises focus on quantitative tools necessary to support debt management decisions such as calculating exposure risk indicators and scenario analysis. Participants present the framework for debt management strategy in their respective countries to their peers.

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    DAY 1 - MONDAY, JULY 17

    8:30 a.m. REGISTRATION AND ADMINISTRATIVE BRIEFING (JVI)

    9:00 a.m. Welcoming Remarks and Introduction to Topics of Day 1

    9:10 a.m. Introductions/Ice-breaker Rodrigo Cabral, Senior Financial Officer, World Bank Treasury

    9:40 a.m. Introduction to Debt Management Strategy Design: Case Study: Presentation and Discussion of Scenario 1

    Group #1: Antonio Velandia-Rubiano, Lead Financial Officer, World Bank Treasury, Group #2: Rodrigo Cabral, Senior Financial Officer, World Bank Treasury, Fritz Bachmair, Financial Officer, World Bank Treasury

    11:00 a.m. COFFEE BREAK

    11:15 a.m. Case Study: Presentation and Discussion of Scenario 2 Group #1: Antonio Velandia-Rubiano, Lead Financial Officer, World Bank Treasury, Group #2: Rodrigo Cabral, Senior Financial Officer, World Bank Treasury, Fritz Bachmair, Financial Officer, World Bank Treasury

    Presentation synthesizing key concepts Antonio Velandia-Rubiano, Lead Financial Officer, World Bank Treasury

    12:45 p.m. LUNCH (participants’ own arrangements)

    2:00 p.m. Debt Management Strategies of Four to Five Participant Countries (20 minutes each)

    3:45 P.M. COFFEE BREAK

    4:00 p.m. Debt Management Strategies of Four to Five Participant Countries (20 minutes each)

    (cont’d)

    4:55 p.m. Course Evaluation

    6:30 p.m. WELCOME DINNER

    DAY 2 - TUESDAY, JULY 18

    8:45 a.m. INTRODUCTION TO TOPICS OF DAY 2

    9:00 a.m. Measuring Cost and Market Risk Antonio Velandia, Lead Financial Officer, World Bank Treasury

    • Notions of cost and risk
    • Time horizon and currency considerations
    • General approach to risk measurement of a public debt portfolio
    • Defining and measuring interest rate, refinancing and currency risk
    • Risk indicators as strategic targets

    10:15 a.m. COFFEE BREAK

    10:30 a.m. Measuring and Managing Refinancing Risk Rodrigo Cabral, Senior Financial Officer, World Bank Treasury

    • Issues in measuring and managing refinancing risk
    • Country examples
    • Lessons learned

    11:30 a.m. Measuring and Managing Interest Rate Risk Antonio Velandia-Rubiano, Lead Financial Officer, World Bank Treasury

    • Issues in measuring and managing interest rate risk
    • Measuring and managing interest rate risk in OECD countries
    • Lessons learned

    12:45 p.m. LUNCH (participants’ own arrangements)

    2:00 p.m. Hands-on Exercise: The Calculation of Risk Indicators Fritz Bachmair, Financial Officer, World Bank Treasury

    • Deriving the cash flows
    • Indicators of interest rate risk
    • Indicators of refinancing risk

    3:00 p.m. COFFEE BREAK

    3:15 p.m. Hands-on Exercise: The Calculation of Risk Indicators (cont’d)

    5:00 p.m. Discussion with Participants on Financial Risk Management in their Countries and Use of Risk Indicators Fritz Bachmair, Financial Officer, World Bank Treasury

    5:25 p.m. Course Evaluation

    DAY 3 - WEDNSDAY, JULY 19

    8:45 a.m. INTRODUCTION TO TOPICS OF DAY 3

    9:00 a.m. Links Between Debt Management and Debt Market Development Fritz Bachmair, Financial Officer, World Bank Treasury

    • Issuance strategy
    • Money and repo markets
    • Institutional investors
    • Market infrastructure
    • Regulation

    10:30 a.m. COFFEE BREAK

    10:45 a.m. A Primer on Cash Flow Modeling and Scenario Analysis Rodrigo Cabral, Senior Financial Officer, World Bank Treasury

    • What is a risk model? Why is it useful?
    • The structure of a simple scenario analysis model
      • Model input, engine and output
      • escription of the simulation process
    • Implementation issues:
      • How are scenario models used in practice?
      • Off-the-shelf or in-house developed model?
      • Scenario analysis vs. stochastic modeling
    • Summary

    11:30 a.m. Projecting Financial Variables for Scenario Analysis Antonio Velandia, Lead Financial Officer, World Bank Treasury

    • What is scenario analysis?
    • How to use scenario analysis; why is it useful?
    • How to develop baseline scenario?
    • How can risk scenarios be constructed?

    12:45 p.m. GROUP PHOTO

    1:00 p.m. LUNCH (participants’ own arrangements)

    2:00 p.m. Hands-on Exercise: Scenario Analysis Fritz Bachmair, Financial Officer, World Bank Treasury

    • Projection of the borrowing requirements
    • Generation of future debt servicing flows
    • Alternative market scenarios
    • Comparing different borrowing strategies

    3:30 p.m. COFFEE BREAK

    3:45 p.m. Hands-on Exercise: Scenario Analysis (cont’d)

    Conclusions and discussion

    5:25 p.m. Course Evaluation

    DAY 4 - THURSDAY, JULY 20

    8:45 a.m. INTRODUCTION TO TOPICS OF DAY 4

    9:00 a.m. Measuring and Managing Foreign Currency Risk Antonio Velandia, Lead Financial Officer, World Bank Treasury

    • Why do governments borrow in foreign currencies?
    • Risks related to debt in foreign currencies
    • Quantification of foreign currency risks
    • Implications for debt management strategies
    • Choosing between USD and EUR denominated bonds

    10:15 a.m. Links Between Debt Management and Macroeconomic Policies Fritz Bachmair, Financial Officer, World Bank Treasury

    • Policy objectives and instruments
    • Asset and liability management (ALM) framework for analysis
    • Linkages between debt management, fiscal policy and monetary policy
    • Application of the framework

    11:30 a.m. COFFEE BREAK

    11:45 a.m. An Integrated Perspective: Framework for a Medium-Term Debt Management Strategy (MTDS) Rodrigo Cabral, Senior Financial Officer, World Bank Treasury

    • Framework for an MTDS: 8 step process
    • Main elements in the strategy document
    • Example of a strategy document

    12:30 p.m. LUNCH (participants’ own arrangements)

    1:30 p.m. Institutional Arrangements for Effective Debt Management Rodrigo Cabral, Senior Financial Officer, World Bank Treasury

    2:15 p.m. Managing Risks Related to Contingent Liabilities Fritz Bachmair, Financial Officer, World Bank Treasury

    • Defining and categorizing different types of contingent liabilities
    • Framework for contingent liabilities risk management
    • Country example of managing risks related to government guarantees

    3:00 p.m. COFFEE BREAK

    3:15 p.m. Case Study Preparation

    Each group prepares a review of one (of a total of three) case studies for presentations on Friday morning

    6:30 p.m. Course Evaluation

    DAY 5 - FRIDAY, JULY 21

    8:45 a.m. INTRODUCTION TO TOPICS OF DAY 5

    9:00 a.m. EXERCISE: Presentation and Discussion of three case studies:

    • Present the case to the group: (i) summary of background and (ii) questions to respond to
    • Present and substantiate your position
    • Open the discussion to the plenary after presentation

    10:45 p.m. COFFEE BREAK

    11:00 a.m. EXERCISE: Presentation and Discussion of three case studies (cont’d)

    12:15 a.m. Final Course Evaluation

    12:30 p.m. Workshop Wrap-up & Awarding of Certificates Rodrigo Cabral, Senior Financial Officer, World Bank Treasury, Antonio Velandia, Lead Financial Officer, World Bank Treasury, Fritz Bachmair, Financial Officer, World Bank Treasury