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UNCTAD organized a workshop on Debt Portfolio Analysis (DPA) at the Ministry of Finance of Azerbaijan, in Baku, 13 to 22 November 2023, as part of the project on Strengthening Public Debt Management in Azerbaijan, financed by the Government of Switzerland.
The workshop covered the macroeconomic background for debt portfolio analysis, the importance of investor relations, the importance of disclosure of information for rating agencies, debt sustainability indicators (solvency/ liquidity), cost-risk analysis as well as the link between DPA and the country’s debt strategy.
In particular, the maturity profile of Azerbaijan and comparable countries were discussed, together with different strategies to raise funds and/or refinance maturities.
During practical sessions, Azerbaijan’s bond portfolio was analysed and participants received hands-on training in calculating bond prices and yields. Methodologies such as bootstrapping were used to construct a yield curve for a mock portfolio.
Participants also undertook exercises in Excel on the calculation of different cost/risk indicators (maturity profile, Average time to maturity and average time to refixing, duration, modified duration, Macaulay duration ), with results discussed by the group.
In addition, besides explaining the relevant analytical functions of DMFAS, the resource persons presented an efficient process for exporting data from DMFAS to an Excel spreadsheet for further analysis and calculation of some of the more complicated cost/risk indicators, such as average time to refixing.
Debt portfolio analysis is the latest training to be provided to the Ministry of Finance under the current project. It follows the successful completion of training in debt statistics and the drafting of a regular debt statistical bulletin, undertaken in early 2023.