CORPFIN 7040NA - Fixed Income Securities (M)
Ngee Ann Academy - Trimester 1 - 2016
General Course Information
Course Code CORPFIN 7040NA Course Fixed Income Securities (M) Coordinating Unit Business School Term Trimester 1 Level Postgraduate Coursework Location/s Ngee Ann Academy Units 3 Contact Up to 2 hours per week Available for Study Abroad and Exchange N Prerequisites ACCTING 7019NA, CORPFIN 7005NA, COMMERCE 7033NA, ECON 7200NA 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: Associate Professor Sigitas KarpaviciusName: Dale Blackmore
Location: Room 13.51, 10 Pulteney Street Adelaide SA
Telephone: +618 8313 0083
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesBy the end of this course students should be able to:
1. know the different types of fixed income securities and their characteristics
2. value fixed income securities
3. derive spot yield curve
4. measure and manage interest rate and credit risk
5. know passive and active fixed income portfolio management techniques
6. know the principles of securitisation.
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) Deep discipline knowledge
- informed and infused by cutting edge research, scaffolded throughout their program of studies
- acquired from personal interaction with research active educators, from year 1
- accredited or validated against national or international standards (for relevant programs)
1 - 6 Critical thinking and problem solving
- steeped in research methods and rigor
- based on empirical evidence and the scientific approach to knowledge development
- demonstrated through appropriate and relevant assessment
2 - 4 Teamwork and communication skills
- developed from, with, and via the SGDE
- honed through assessment and practice throughout the program of studies
- encouraged and valued in all aspects of learning
2 - 4 Intercultural and ethical competency
- adept at operating in other cultures
- comfortable with different nationalities and social contexts
- able to determine and contribute to desirable social outcomes
- demonstrated by study abroad or with an understanding of indigenous knowledges
Required ResourcesFrank 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 (Chartered Financial Analyst) Exam, the following books are useful:
1. Fabozzi, Frank, (2ed) "Fixed Income Analysis for the Chartered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF1)
2. Fabozzi, Frank, "Fixed Income Readings for the Chartered 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, discussion problem sets and solutions and other relevant announcements.
Learning & Teaching Activities
Learning & Teaching ModesThis course will offer 2 intensive seminars. Material will be taught in seminars supported by discussion questions and solutions.
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 (over 12 weeks) to their studies. This means that you are expected to commit approximately 108 hours (9 hours x 12 week) for a three-unit course of private study outside of your intensive seminars. Students are expected to attend both intensive seminars and participate in discussion groups.
Learning Activities SummaryTOPIC SCHEDULE
(Note that the schedule is given as a guideline only and will be revised as the course proceeds. Bolded readings are the main sources for each topic).
Warning: The chapter identifications below are based on the previous editions of the referenced books and may differ in the current editions.
Topic number Topic Readings First intensive: January 29-31, 2016 1 FIS Introduction, Interest Rate and Bond Prices F ch 1-2;
MPP ch 1-2; FF1 ch I/ 1-6
2 Yields and the Spot Rate Curve F ch 3, ch 5 (first part);
MPP ch 3-4, FF1 ch II/ 1
3 Forward and the Term Structure of Interest rate F ch 5;
MPP ch 5, FF1 ch I/ 7
4 Measuring Interest Rate Risk F ch 4; 5 Managing Interest Rate Risk – Part 1 F ch 24;
MPP ch5, FF1 ch I/ 7, FF2 ch 3
Second intensive: February 26-28, 2016 6 Managing Interest Rate Risk – Part 2 F ch 4;
MPP ch6, FF1 ch I/ 7
7 Passive Fixed Income Portfolio Management MPP ch 7;
F ch 24; FF2 ch 4
8 Active Fixed Income Portfolio Management MPP ch 8;
F ch 23;
9 Securitisation F ch 10-15;
MPP ch 17-18, FF1 ch II/ 3-5
10 Credit Risk F ch 7, ch 20-21;
FF1 ch II/ 9
Specific Course RequirementsNone for this subject.
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 Requirement % of Total Mark Problem set 30% Final exam 70%
Assessment Related RequirementsAttendance
Statutory obligations in Singapore are such that attendance in person is a compulsory condition of passing a course. Our specific requirements are that students must attend at least 80% of class sessions to be graded for that course. For these purposes each intensive weekend is defined as comprising 5 sessions with 1 on Friday evening and 2 on each of Saturday and Sunday.
Each course in total comprises 10 sessions; Students must attend a minimum of 8 sessions to be eligible to be given a grade for the course. Students failing to meet these requirements will be automatically graded 0% Fail (F) on their transcripts.
Assessment DetailProblem Set: The problem set can be attempted in groups of up to four students. The problem set may be attempted individually as well.
Due date of the problem set: March 7, 2016
Please retain a copy of the problem set that is 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.
Final Exam: This will be a comprehensive, in-class, and open book exam for three (3) hours on March 19, 2016
SubmissionSubmission of the problem set must be done by March 7, 2016 by email to the lecturer. Solutions will be emailed after all student submissions are received.
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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