CORPFIN 7040 - Fixed Income Securities (M)

North Terrace Campus - Semester 1 - 2015

This course examines the valuation of fixed-income securities, the market operations and management of risk. Topics include: valuation of bonds, term structure of interest rate, measuring and managing interest rate risk, corporate bond market, passive and active bond portfolio management, performance measurement, securitisation and interest rate derivatives.

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Course Details

Course Code	CORPFIN 7040
Course	Fixed Income Securities (M)
Coordinating Unit	Adelaide Business School
Term	Semester 1
Level	Postgraduate Coursework
Location/s	North Terrace Campus
Units	3
Contact	Up to 3 hours per week
Available for Study Abroad and Exchange	Y
Prerequisites	ACCTING 7019, CORPFIN 7005, COMMERCE 7033
Corequisites	ECON 7200
Assessment	Exam/assignments/tests/tutorial work as prescribed at first lecture

Course Staff

Course Coordinator: Dr Tariq Haque

Course Timetable

The full timetable of all activities for this course can be accessed from Course Planner.

Course Learning Outcomes

This course aims to teach students to understand the different types of fixed income securities, their characteristics, how they are valued, their role in portfolio construction and their market operations. Students will also learn practical applications including management strategies and interest rate immunization.

University Graduate Attributes

This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:

University Graduate Attribute	Course Learning Outcome(s)
Knowledge and understanding of the content and techniques of a chosen discipline at advanced levels that are internationally recognised.	This attribute is achieved through the development of fixed income security knowledge using internationally recognised textbooks.
The ability to locate, analyse, evaluate and synthesise information from a wide variety of sources in a planned and timely manner.	This attribute is achieved by students applying knowledge from a variety of sources as demonstrated and tested in the embedded research assignment and individual exams.
An ability to apply effective, creative and innovative solutions, both independently and cooperatively, to current and future problems.	This attribute is developed through the embedded research assignment
Skills of a high order in interpersonal understanding, teamwork and communication.	This attribute is developed through the embedded research assignment
A proficiency in the appropriate use of contemporary technologies.	This attribute is developed through the use of computers and calculators to create valuation spreadsheets
A commitment to continuous learning and the capacity to maintain intellectual curiosity throughout life.	References and discussion about recent financial events will encourage students' intellectual curiosity
A commitment to the highest standards of professional endeavour and the ability to take a leadership role in the community.	Professional conduct is developed through the embedded research assignment
An awareness of ethical, social and cultural issues within a global context and their importance in the exercise of professional skills and responsibilities.	References and discussion about recent financial events will develop students' professional skills and responsibilities

Learning Resources

Required Resources

Frank Fabozzi (2007, 6th edition), “Bond Markets, Analysis and Strategies” (Reading list: F)
Frank Fabozzi (2009, 7th edition), “Bond Markets, Analysis and Strategies”
Frank Fabozzi (2011, 8th edition), “Bond Markets, Analysis and Strategies”

Recommended Resources

Martellini, Lionel, Philippe Priaulet and Stephane Priaulet, (2003) “Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies”, John Wiley. (Reading list: MPP)

For students who want to do the CFA (Chatered Financial Analyst) Exam, the following books are useful:

1. Fabozzi, Frank, (2ed) "Fixed Income Analysis for the Chatered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF1)

2. Fabozzi, Frank, "Fixed Income Readings for the Chatered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF2)

Online Learning

The course website: www.myuni.adelaide.edu.au will contain all lecture notes, tutorial problem sets and solutions and other relevant announcements.

Learning & Teaching Modes

In this subject the method of teaching will be material taught in lectures supported by tutorials based on problem solving.

Workload

The information below is provided as a guide to assist students in engaging appropriately with the course requirements.

The University expects full-time students (i.e. those taking 12 units per semester) to devote a total of 48 hours per week to their studies. This means that you are expected to commit approximately 9 hours for a three-unit course or 13 hours for a four-unit course, of private study outside of your regular classes.

Students in this course are expected to attend all lectures throughout the semester plus one tutorial class each week.

Learning Activities Summary

Topic No	Lecture Date	Topic	Readings
1	4 March	Introduction and Bond Prices	F Ch1-3; MPP Ch1-2; FF1 Ch I/ 1-6
2	11 & 18 March	Yields and the Spot Rate Curve	F Ch 3; MPP Ch3-4; FF1 Ch II/ 1
3	18 & 25 March	Forward Rates and the Term Structure of Interest Rates	F Ch 5; MPP Ch5; FF1 Ch I/ 7
4	1 April	Measuring Interest Rate Risk	F Ch 4
#	8 April	Revision class
5	29 April	Managing Interest Rate Risk – Part 1	F Ch 24; MPP Ch5; FF1 Ch I/ 7; FF2 Ch 3
6	6 May	Managing Interest Rate Risk – Part 2	F Ch 22 & 24 MPP Ch 6; FF1 Ch 1/ 7
7	13 May	Active Fixed Income Portfolio Managemen	MPP Ch 8
#	20 May	Revision class
8	27 May	Passive Fixed Income Portfolio Management	F Ch 24; MPP Ch 7; FF2 Ch 4
9	3 June	Securitization + Revision class	F Ch 10-15; MPP Ch 17-18; FF1 Ch II/ 3-5

*NOTE: REVISION CLASSES WILL COVER A DISCUSSION OF UNSEEN TUTORIAL

QUESTIONS, ASSIGNMENTS AND EXCEL EXAMPLES

MORE SPECIFIC DETAILS OF THE RELEVANT PAGES FROM THE FABOZZI AND

MARTELLINI BOOKS ARE GIVEN IN THE TABLE BELOW:

Topic No.	Reading
1	F Ch 1-3 (P11-21, 24-38, 44-65) 8th Edition F Ch1-3 (P1-10, P16-29 & P36-55) 7th Edition F Ch1-3 (P1-9, P13-29 & P35-55) 6th Edition MPP Ch1-2 (P3-22 & P41-53)
2	F Ch 3 (P44-65) 8th Edition F Ch 3 (P36-55) 7th Edition F Ch 3 (P35-55) 6th Edition MPP Ch3-4 (P69-89 & P97-103)
3	F Ch 5 (P109-127) 8th Edition F Ch 5 (P109-119) 7th Edition F Ch 5 (P101-122) 6th Edition MPP Ch5 (P163-175)
4	F Ch 4 (P 68- 94) 8th Edition F Ch 4 (P60-83) 7th Edition F Ch 4 (P59-85) 6th Edition
5	F Ch 24 (P 541- 567) 8th Edition F Ch 24 (P557-563) 7th Edition F Ch 24 (P561-587) 6th Edition MPP Ch5 (P163-175)
6	F Ch 22 (P 483- 494) 8th Edition MPP Ch 6 (P182-188)
7	F Ch 23 (P514-543) 7th Edition F Ch 23 (P551-558) 6th Edition MPP Ch 8 (P233-276)
8	F Ch 24 (P 541- 567) 8th Edition F Ch 24 (P555-564) 7th Edition F Ch 24 (P561-587) 6th Edition MPP Ch 7 (P213-222)
9	F Ch 10-15 (P223- 235, 237- 264, 269- 306, 325- 333, 340- 350) 8th Edition F Ch 10-15 (P229-237, P239-244, P252-271, P276-296, P308-309, P314-319, P333-340 & P378-379) 7th Edition F Ch 10-15 (P227-232, P245-269, P274-300, P305-315, P329-340) 6th Edition MPP Ch 17-18 (P593-603 & P607-612)

The University's policy on Assessment for Coursework Programs is based on the following four principles:

Assessment must encourage and reinforce learning.
Assessment must enable robust and fair judgements about student performance.
Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
Assessment must maintain academic standards.

Assessment Summary

The University’s policy on Assessment for Coursework Programs is based on the following five principles: 1) assessment must encourage and reinforce learning; 2) assessment must measure achievement of the stated learning objectives; 3) assessment must enable robust and fair judgements about student performance; 4) assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned; and 5) assessment must maintain academic standards (see: http://www.adelaide.edu.au/policies/700/ )

Assessment Related Requirements

1. To gain a pass for this course, a mark of at least 45% must be obtained on the examination as well as a total of at least 50% overall. Students not achieving the minimum exam mark will be awarded no more than 49.

2. Legible hand-writing and the quality of English expression are considered to be integral parts of the assessment process. Marks may be deducted in the final examination because of poor hand-writing.

3. Students in this course are not permitted to take a DICTIONARY (English or English-Foreign) into the examination. The use of a calculator in the examination is permitted in this course. More details on allowable calculators will be provided later.

Assessment Detail

The assessment components are as follows:

Tutorial work: 10%

Details: Each week, from Week 3 onwards, the lecturer will ask students to consider a numerical question. Students are required, in their tutorial for that week, to submit the solution to that same question but with different numerical parameters.
Due Date: Students will submit the required work in each tutorial from week 3 to week 12 inclusive. Each week is worth 1%. This part of the assessment is worth 10% in total.

Embedded Research Project: 20%

Details: The embedded research project must be attempted individually.
Due Date: The embedded research project will be posted on myuni on Monday the 2nd of March. There are two parts for the project. Part 1 is worth 10% of the subject's assessment. Part 1 is due on Friday the 10th of April.. Part 2 is worth 10% of the subject's assessment. Part 2 is due on Friday the 5th of June. No extensions will be allowed unless the lecturer has given prior approval. Extensions will only be granted under exceptional circumstances.

Final Exam: 70%

There will be a 3 hour exam. A sample exam will be provided closer to the date of the exam.
NO NOTES MAY BE BROUGHT INTO THE EXAM, I.E. THIS IS A CLOSED BOOK EXAM.
STUDENTS MUST SCORE AT LEAST 45% ON THE FINAL EXAM IN ORDER TO PASS THE SUBJECT. STUDENTS NOT MEETING THIS REQUIREMENT WILL BE AWARDED NO MORE THAN 49 FOR THE SUBJECT.

Submission

Presentation of Assignments
• Please must retain a copy of all assignments submitted.
• Please attach an ‘Assignment Cover Sheet’, which is signed and dated by you before submission.
• All group assignments must be attached to a ‘Group Assignment Cover Sheet’, which must be signed and dated by all group members before submission. All team members are expected to contribute approximately equally to a group assignment.

Lecturers can refuse to accept assignments, which do not have a signed acknowledgement of the University’s policy on plagiarism.

Assignment Guidelines including Referencing Details
A copy of the Postgraduate Programs: Communication Skills Guide will have been given to you at the beginning of your program. This guide will assist you structure your assignments. A copy of the guide can also be downloaded from
http://www.adelaide.edu.au/professions/hub/downloads/Communications-Skills-Guide.pdf

This publication also provides guidelines on a range of other important communication skills including writing essays and management reports, making oral presentations etc.
In preparing any written piece of assessment for your postgraduate studies it is important to draw on the relevant ‘literature’ to support critical analysis. Also essential is to reference the literature used. Correct referencing is important because it identifies the source of the ideas and arguments that you present, and sometimes the source of the actual words you use, and helps to avoid the problem of plagiarism. (Further information on plagiarism is provided later in this course outline.)
The Harvard system is widely used in the Business School. Guidelines for the use of this style of referencing can be found in the Communication Skills Guide.

Further assistance with referencing is available from the Faculty’s Learning Support Advisors. The contact details are provided on page 6 of the Communication Skills Guide.

Late Assignment Submission
Students are expected to submit their work by the due date to maintain a fair and equitable system. Extensions will generally only be given for medical or other serious reasons. All requests for extensions must be emailed to the lecturer in charge of the course before the due date. Each request will be assessed on its merits. A late assignment (without prior arrangement) will be penalised by a 5% mark reduction for each day that it is late.

Return of Assignments
Lecturer’s aim to mark and return assignments to students within two (2) weeks of the due date with written feedback. Students are responsible for collecting their marked assignments from either their tutorials or lectures. If assignments aren’t collected after two (2) weeks, the assignments will be available at the Student Hub for two (2) weeks. The remaining assignments will only be posted out to the students, if the correct mailing addresses are on the assignments.

Course Grading

Grades for your performance in this course will be awarded in accordance with the following scheme:

M10 (Coursework Mark Scheme)
Grade	Mark	Description
FNS		Fail No Submission
F	1-49	Fail
P	50-64	Pass
C	65-74	Credit
D	75-84	Distinction
HD	85-100	High Distinction
CN		Continuing
NFE		No Formal Examination
RP		Result Pending

Further details of the grades/results can be obtained from Examinations.

Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.

Final results for this course will be made available through Access Adelaide.

Student Feedback

The University places a high priority on approaches to learning and teaching that enhance the student experience. Feedback is sought from students in a variety of ways including on-going engagement with staff, the use of online discussion boards and the use of Student Experience of Learning and Teaching (SELT) surveys as well as GOS surveys and Program reviews.

SELTs are an important source of information to inform individual teaching practice, decisions about teaching duties, and course and program curriculum design. They enable the University to assess how effectively its learning environments and teaching practices facilitate student engagement and learning outcomes. Under the current SELT Policy (http://www.adelaide.edu.au/policies/101/) course SELTs are mandated and must be conducted at the conclusion of each term/semester/trimester for every course offering. Feedback on issues raised through course SELT surveys is made available to enrolled students through various resources (e.g. MyUni). In addition aggregated course SELT data is available.
Student Support
Policies & Guidelines
This section contains links to relevant assessment-related policies and guidelines - all university policies.
Fraud Awareness

Students are reminded that in order to maintain the academic integrity of all programs and courses, the university has a zero-tolerance approach to students offering money or significant value goods or services to any staff member who is involved in their teaching or assessment. Students offering lecturers or tutors or professional staff anything more than a small token of appreciation is totally unacceptable, in any circumstances. Staff members are obliged to report all such incidents to their supervisor/manager, who will refer them for action under the university's student’s disciplinary procedures.

The University of Adelaide is committed to regular reviews of the courses and programs it offers to students. The University of Adelaide therefore reserves the right to discontinue or vary programs and courses without notice. Please read the important information contained in the disclaimer.

Authorised by:	Deputy Vice-Chancellor and Vice-President (Academic)
Maintained by:	Course Outlines Administrator