CORPFIN 7040NA - Fixed Income Securities (M)

Ngee Ann Academy - Trimester 3 - 2016

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.

  • General Course Information
    Course Details
    Course Code CORPFIN 7040NA
    Course Fixed Income Securities (M)
    Coordinating Unit Adelaide Business School
    Term Trimester 3
    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 Staff

    Course Coordinator: Mr Dale Blackmore

    Name: Dale Blackmore
    Location: Room 13.51, 10 Pulteney Street Adelaide SA
    Telephone: +618 8313 0083
    Email: dale.blackmore@adelaide.edu.au
    Course Timetable

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

  • Learning Outcomes
    Course Learning Outcomes
    By 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
    1, 6
  • Learning Resources
    Required Resources
    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 (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 Learning
    The 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 Modes
    This course will offer 2 intensive seminars. Material will be taught in seminars supported by discussion questions and solutions.
    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 (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 Summary

    TOPIC 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
    1 FIS Introduction, Interest Rate and Bond Prices F ch 1-3;
    MPP ch 1-2; FF1 ch I/ 1-6
    2 Yields and the Spot Rate Curve F ch 3;
    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
    6 Managing Interest Rate Risk – Part 2 F ch 22 & 24;
    MPP ch6, FF1 ch I/ 7
    7 Passive Fixed Income Portfolio Management F ch 24;
    MPP ch 7; 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 Corporate Bond Market and Credit Risk F ch 7, ch 20-21;
    FF1 ch II/ 9
  • Assessment

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

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

    Assessment Summary
    Assessment Requirement % of Total Mark
    Problem set 40%
    Final exam 60%
    Assessment Related Requirements
    Attendance
    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
    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:
     
    Problem set 40%
    This assignment is in two parts:
    Part A – Problem set of questions to be completed individually. Mark allocation is 50% of this assignment
    Part B – Problem set of questions to be completed by a group of not more than four (4) students. Mark allocation is 50% of this assignment
    Detailed information on the group assignment will be available on MyUni and will be discussed in class.
     
    Final Exam 60%
    The final examination will be a 3 hour closed book exam and will be held during the examination period.
    Submission
    Notes on Assessment
    1. All set work including assignments and class test must be provided by the due date and must be genuine attempts, to complete the course.
    2. Presentation, including legible hand-writing, and the quality of English expression are considered to be integral parts of the assessment process. You may lose marks because of poor hand-writing, poor presentation and/or poor grammar.
    3. Assessment marks prior to the final exam will be displayed on MyUni. Students are encouraged to check their marks and notify the lecturer-in-charge of any discrepancies.
    4. Any assignment submitted after the advised due date will incur a penalty of 10% of the total available mark per calendar day.
     
    Presentation of Assignments
    • Retain a copy of all assignments submitted.
    • 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.
     
    Assignments, which do not comply with the University’s policy on plagiarism, may be refused.
     
    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.business.adelaide.edu.au/current/mba/download/2009MBACommSkillsGuide.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 the preferred style of referencing for this course. 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. Other assignments or too much work are considered not to be valid 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.
     
    Return of Assignments
    Every attempt is made to provide feedback on assignments to students within two (2) weeks of the due date.
    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
  • 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.