CORPFIN 4040 - Fixed Income Securities (H)

North Terrace Campus - Semester 1 - 2018

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 4040
    Course Fixed Income Securities (H)
    Coordinating Unit Business School
    Term Semester 1
    Level Undergraduate
    Location/s North Terrace Campus
    Units 3
    Contact Up to 3 hours per week
    Available for Study Abroad and Exchange N
    Prerequisites ACCTING 7019, CORPFIN 7005, COMMERCE 7033/CORPFIN 7033, 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 Staff

    Course Coordinator: Dr Tariq Haque

    Course Timetable

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

  • Learning Outcomes
    Course Learning Outcomes
    On successful completion of this course, students will be able to:

    1. Identify 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” (Reading list: F)
    Frank Fabozzi (2009, 7th edition), “Bond Markets, Analysis and Strategies”
    Frank Fabozzi (2007, 6th 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 Activities
    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 2 March Introduction, Interest Rates, and Bond Prices F Ch 1-3;
    MPP Ch 1-2; FF1 Ch I/ 1-6
    2 9-16 March Yields and the Spot Rate Curve F Ch 3;
    MPP Ch 3-4; FF1 Ch II/ 1
    3 23 March Forward Rates and the Term Structure of Interest Rates F Ch 5 (second part);
    MPP Ch 5; FF1 Ch I/ 7
    4 30 March Measuring Interest Rate Risk F Ch 4
    # 6 April Revision Class
    Mid-Semester Break
    5 27 April Managing Interest Rate Risk – Part 1 F Ch 24;MPP Ch 5; FF1 Ch I/ 7; FF2 Ch 3
    # 4 May Mid-Semester Test
    6 4-11 May Managing Interest Rate Risk – Part 2 F Ch 22&24; MPP Ch 6; FF1 Ch 1/ 7
    7 18 May Active Fixed Income Portfolio Management MPP Ch 8
    8 25 May Passive Fixed Income Portfolio Management F Ch 24;
    MPP Ch 7; FF2 Ch 4
    9 1 June Securitisation + Revision Class F Ch 10-15;
    MPP Ch 17-18; FF1 Ch II/ 3-5


    *NOTE: REVISION CLASSES WILL COVER A DISCUSSION OF GROUPWORK
    QUESTIONS, EMBEDDED RESEARCH ASSIGNMENTS AND EXCEL EXAMPLES
    MORE SPECIFIC DETAILS OF THE RELEVANT PAGES FROM THE FABOZZI AND
    MARTELLINI BOOKS ARE GIVEN IN THE TABLE BELOW:


    Topic Number 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)

    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)

    Topic No.

    Reading

  • 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 Task Weighting Learning Outcome
    Mid-trm test 10% 1,2,3
    Embedded Research Project 20% 1-6
    Final Exam 70% 1-6
    Total 10%
     


    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:
    Mid-term test: 10%

    Details: Mid-term test will be held during the lecture on Week 8. It is a closed-book test.
    Learning Outcome: 1, 2, 3


    Embedded Research Project: 20%
    Details: The embedded research project must be attempted individually.
    Due Date: The embedded research project will be posted on MyUni in Week 2. There are two parts for the project. 
    - Part 1 (must be done individually) is worth 10% of the subject's assessment.  Part 1 is due on Friday the 7th of April. 
    - Part 2 (may be completed in groups of up to 4 students) is worth 10% of the subject's assessment.  Part 2 is due on Friday the 2nd of June. 
    No extensions will be allowed unless the lecturer has given prior approval. Extensions will only be granted under exceptional circumstances.
    Learning Outcome (Part 1): 1, 2, 3
    Learning Outcome (Part 2): 1 - 6
    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.
    Learning Outcome: 1 - 6
    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:

    M11 (Honours Mark Scheme)
    GradeGrade reflects following criteria for allocation of gradeReported on Official Transcript
    Fail A mark between 1-49 F
    Third Class A mark between 50-59 3
    Second Class Div B A mark between 60-69 2B
    Second Class Div A A mark between 70-79 2A
    First Class A mark between 80-100 1
    Result Pending An interim result RP
    Continuing Continuing CN

    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.