CORPFIN 7040 - Fixed Income Securities (M)
North Terrace Campus - Semester 2 - 2015
General Course Information
Course Code CORPFIN 7040 Course Fixed Income Securities (M) Coordinating Unit Business School Term Semester 2 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 Course Description 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.
Course Coordinator: Dr Tariq Haque
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
Required ResourcesFrank 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 ResourcesMartellini, 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 LearningThe course website: www.myuni.adelaide.edu.au will contain all lecture notes, tutorial problem sets and solutions and other relevant announcements.
Learning & Teaching Activities
Learning & Teaching ModesIn this subject the method of teaching will be material taught in lectures supported by tutorials based on problem solving.
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
1 29 July Introduction and Bond Prices F Ch1-3;
MPP Ch1-2; FF1 Ch I/ 1-6
2 5 & 12 August Yields and the Spot Rate Curve F Ch 3;
MPP Ch3-4; FF1 Ch II/ 1
3 12 & 19 August Forward Rates and the Term Structure of Interest Rates F Ch 5;
MPP Ch5; FF1 Ch I/ 7
4 26 August Measuring Interest Rate Risk F Ch 4 # 2 September Revision class 5 9 September Managing Interest Rate Risk – Part 1 F Ch 24;
MPP Ch5; FF1 Ch I/ 7;
FF2 Ch 3
# 16 September Mid-Semester Test + Revision class 6 7 October Managing Interest Rate Risk – Part 2 F Ch 22 & 24
MPP Ch 6; FF1 Ch 1/ 7
7 14 October Active Fixed Income Portfolio Managemen MPP Ch 8 8 21 October Passive Fixed Income Portfolio Management F Ch 24;
MPP Ch 7; FF2 Ch 4
9 28 October Securitization +
F Ch 10-15;
MPP Ch 17-18; FF1 Ch II/ 3-5*NOTE: REVISION CLASSES WILL COVER A DISCUSSION OF GROUPWORKQUESTIONS, EMBEDDED RESEARCH ASSIGNMENTS AND EXCEL EXAMPLESMORE SPECIFIC DETAILS OF THE RELEVANT PAGES FROM THE FABOZZI ANDMARTELLINI 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)
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)
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
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)
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)
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)
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.
No information currently available.
Assessment DetailThe assessment components are as follows:
Mid-Semester Test: 10%
There will be a 1 hour mid-semester test held on Wednesday the 16th of September during the normal lecture in the normal lecture theatre.
NO NOTES MAY BE BROUGHT INTO THE MID-SEMESTER TEST, I.E. THIS IS A CLOSED BOOK TEST.
Embedded Research Assignment Part 1: 10%
Details: The assignment must be attempted individually.
Due Date: The assignment will be posted on myuni on Monday the 3rd of August at 10am and will be due on Friday the 4th of September at 4pm. No extensions will be allowed unless the lecturer has given prior approval. Extensions will only be granted under exceptional circumstances.
Embedded Research Assignment Part 2: 10%
Details: The assignment may be attempted in groups of up to four students. However assignments may be attempted individually.
Due Date: The assignment will be posted on myuni on Monday the 7th of September at 10am and will be due on Friday the 30th of October at 4pm. 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.
ALSO NOTE THAT STUDENTS MUST SCORE A MINIMUM OF 45% ON THE FINAL EXAM IN ORDER TO PASS THE SUBJECT.
STUDENTS NOT MEETING THIS MINIMUM REQUIREMENT CANNOT PASS THE SUBJECT.
SubmissionPresentation 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
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.
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.
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.
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