Capabilities

Eight strands, one discipline.

The work below is specific and engagement-led. Each strand names the brief clients arrive with, the way we work it, and what is delivered. Where a strand sits on analytical infrastructure the firm builds and runs, that infrastructure is named — as a source, not a product.

RSA Retail Savings Bonds · sovereign retail bond programmes

The RSA Retail Savings Bond programme in the depth it actually runs — fixed-rate 2/3/5-year issues, inflation-linked 3/5/10-year issues, top-up mechanics, redemption windows. Full-lifecycle advisory: design, curve-aware pricing, investor-behaviour modelling, project management, and technical product oversight. Portable to other Southern African sovereigns.

Brief: “We are designing, launching, re-pricing, or operating a sovereign retail savings bond programme — and want senior depth on the real product mechanics, investor behaviour, and place in the funding stack.”
Approach: Product knowledge starts from the RSA programme in the detail it actually runs: fixed-rate issues at 2, 3, and 5 years; inflation-linked issues at 3, 5, and 10 years; top-up mechanics, early-redemption features, and reinvestment choices. Pricing is calibrated against the wholesale SAGB and ILBI curves — not against a historical print — and the programme's role in National Treasury's funding stack is made explicit alongside institutional alternatives. Investor behaviour is modelled, not assumed: uptake elasticity to rate moves, redemption behaviour through falling-rate regimes, and the segment composition of demand. The firm operates across three lanes — (i) consulting: policy, product design, term structure, fixed vs inflation-linked trade-offs; (ii) project management: workstream coordination across technology, operations, communications, and distribution; (iii) technical product oversight: pricing engines, issuance mechanics, reconciliation, and performance analytics. The same framework is being scoped for other Southern African sovereigns.
Deliverable: Programme design document, pricing model (wholesale-curve-aware, by tenor and variant), behavioural model (uptake and redemption), performance study against SAGB and ILBI alternatives, and an implementation plan covering policy, technology, operations, and communications. Prepared at a standard suitable for central bank or National Treasury review.
Infrastructure: rbond.co.za

Fixed income & rates

SAGB curve, ILBs, swap basis — read for what they say, not what they are quoted at.

Brief: “The book's duration and curve exposure look wrong against where the SAGB curve actually sits. We need another view.”
Approach: Bottom-up SAGB curve, with fitted nodes maintained by the firm. Relative value across bonds, swaps, and inflation-linked issues. Dislocation measured against the fitted level rather than against a dealer run. Level, slope, and curvature each separated and priced.
Deliverable: Fitted curve, relative-value sheet, and a written read on where the book is mispositioned and why.
Infrastructure: theyield.co.za · zarfi.co.za

JIBAR → ZARONIA transition

The mechanics of moving a book off JIBAR without writing basis into every position.

Brief: “We hold FRNs, swaps, and funding legs indexed on JIBAR. We need to be ready for ZARONIA and we are not.”
Approach: Instrument-level conversion mechanics — compounded ZARONIA vs term-rate equivalents, spread adjustments, convexity effects, and fallback drafting where instruments reference JIBAR specifically. Every position re-priced under both indices so the basis the client is retaining is made visible before it is committed.
Deliverable: Instrument-level transition plan, valuation delta, operational checklist, and draft amendment language where contractual change is required.
Infrastructure: zarswap.co.za · theyield.co.za

Treasury & balance sheet

Funding curve, liquidity laddering, and rate-sensitivity work at the level a treasurer can operate.

Brief: “Our funding curve does not match our asset-side duration, and the liquidity layer needs a rework.”
Approach: Asset and liability decomposition; funding-curve construction; liquidity laddering against stress and going-concern scenarios; rate sensitivity across the book; optionality in the funding stack priced explicitly rather than assumed.
Deliverable: Funding framework, rate-sensitivity model, and a sequenced plan for the balance-sheet changes that actually move the position.

Structured finance

Liability instruments designed from the economic substance outwards.

Brief: “We need a liability that behaves a particular way for the issuer and a particular way for the investor. Nothing off the shelf fits.”
Approach: Economic substance first, structure second. Risk allocation between issuer and investor made explicit. Rating-agency, tax, and regulatory treatment reasoned from principle rather than adopted by analogy. Geared funding, credit-linked notes, step-rate structures where the economics carry them.
Deliverable: Term sheet, cashflow model, investor memo, issuer memo, and the execution sequence. The client receives the model, not just the chart.

Portfolio construction & transformation

Transformation mandates broken into their underlying risks, then sequenced.

Brief: “We have a transformation mandate on an existing book and need an outside view on how it actually gets done.”
Approach: The brief decomposed into its underlying risks — duration, spread, curve, liquidity. Construction framework agreed in writing; liquidity laddered against the mandate's redemption terms; a sequencing plan with stop-and-re-plan triggers rather than a fixed timetable that ignores the market.
Deliverable: Construction framework, implementation sequence, and an ongoing monitoring layer through to the end of the mandate.
Infrastructure: zarfi.co.za

Market data & analytics

The analytical infrastructure we run for our own work, scoped to a client's portfolio.

Brief: “We want the analytical view you run for your own work, applied to our positions.”
Approach: Tooling already exists — the work is scoping and provisioning it. Yield curves and bond data from the firm's market-data layer; swap, FRA and IRS from the rates layer; broader fixed-income intelligence from the reference layer. Client-specific data brought into the same infrastructure so the views are consistent.
Deliverable: A provisioned analytical environment with the relevant curves, models, and dashboards, kept current while the engagement runs.
Infrastructure: theyield.co.za · zarswap.co.za · zarfi.co.za

Implementation & tooling

Analysis turned into something the client's own team can operate every day.

Brief: “The analysis is clear. We need something we can operate day-to-day without rebuilding it each month.”
Approach: Turn analytical output into a tool — dashboard, monitoring layer, pricing utility, pitch-ready deliverable — built on the same infrastructure we use internally. Documented, maintained, and handed over in a shape the client's team can own.
Deliverable: A client-specific environment the client's own team can run. Source materials and models included; no black boxes.

Engagements

Each strand above runs as an engagement, not a product.

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