FIN303 Fixed Income Securities
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SCUIP 2023 WINTER
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COURSE SYLLABUS |
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COURSE INFORMATION |
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Course Code: FIN303 Level: Undergraduate Credit: 3 |
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Course Title: Fixed Income Securities |
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PREREQUISITE |
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Business finance/ Foundation course (Finance/Accounting) |
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COURSE OVERVIEW |
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This course aims to provide the learners with a thorough understanding of the fixed income market, pricing, securities and risk management. Topics include fixed income analysis, interest rate volatility and security, the term structure of interest rates, interest rate risk and return, securitized products, bond portfolio management; and risk management techniques.
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LEARNING OUTCOME |
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After successful completion of this course students should be able to: 1. Analyze the characteristics of fixed income, securities, markets, and valuation techniques. 2. Implement quantitative skills in risk analysis and valuation of fixed income portfolios. 3. Explain various term structure of interest rate theories and apply appropriate techniques to use them. 4. Apply advance interest rate risk management tools. 5. Use advanced tools to price bonds with complex features. 6. Explain the mechanism of structured finance and tranching. |
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CLASS HOURS |
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Total Program Duration: Total Contact Hours: Lectures and Tutorials: Office Hours: |
3 Weeks in Total 68 Contact Hours or 3,060 Minutes (1 Contact Hour = 45 Minutes) Monday - Friday 120 Minutes of Lecture & 60 Minutes of Tutorial per Day (15 Days in Total) 2 Hours or 120 Minutes per Week (3 Sessions in Total) |
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LEARNING RESOURCES |
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Required Textbook |
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N/A |
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Reference Books & Online Resources |
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N/A |
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Suggested Textbook |
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Adams, J. F., & Smith, D. J. (2022). Fixed income analysis. CFA Institute Investment Series.Wiley. ISBN 978-1-119-85054-0 (Hardcover). |
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Other Teaching Methods |
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N/A |
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WEEKLY SCHEDULE |
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Week |
Day |
Topic |
Reading |
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1 |
1 |
Overview of fixed income securities; bonds |
Chapter 1 |
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2 |
Coupon payment structures, floating-rate notes, types of embedded options |
Chapter 1 |
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3 |
Fixed-income markets, sovereign bonds, corporate bonds |
Chapter 2 |
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4 |
Structured finance, repo and reverse repo |
Chapter 2 |
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5 |
Fixed-income valuation, spot rates, clean & dirty price |
Chapter 3 |
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2 |
1 |
The maturity structure of interest rates, yield & spreads |
Chapter 3 |
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2 |
Fixed-income risk and return, duration |
Chapter 5 |
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3 |
Bond convexity, interest rate risk, credit & liquidity risk |
Chapter 5 |
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4 |
Fundamentals of credit analysis |
Chapter 6 |
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5 |
Midterm Exam |
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3 |
1 |
Credit risks, ratings, high-yield, sovereign analysis |
Chapter 6 |
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2 |
Credit analysis models, term structure and BS formula |
Chapter 7 |
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3 |
Intro to asset-backed securities, CMO, CDO structure |
Chapter 4 |
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4 |
The arbitrage-free valuation framework |
Chapter 8 |
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5 |
Final Exam |
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ASSESSMENT |
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Assessment Task |
Percent (%) |
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Attendance |
10% |
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Participation (quizzes and discussion)* |
10% |
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Midterm Exam |
40% |
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Final Exam |
40% |
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Total |
100% |
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DETAILS ON GRADE COMPONENTS
Class Attendance and Participation
Attendance is mandatory. Your active participation is expected. Participation can take the form of pop quizzes and/or discussion.
*For graduate students, there will be additional work required for discussion. Specially, graduate students must demonstrate depth in the discussion and must also respond to at least one other post of his/her classmate.
Discussion
When there are discussion topics, the TA will post them in advance on our teaching system or distribute them in class. You are required to respond to all of them based on the knowledge you have acquired in this course and possibly additional research.
Presentation
You are required to make a presentation of a project in which you explain a concept, a quantitative method or example that you have learned in this course, an on-going issue in the global financial market, a historical event such as trade treaties, a financial crisis - its development and consequences, etc. It can be based on any topic that is interesting to you and related to our course. The instructor will provide a range of sample topics.
Final Exam
The final exam will be cumulative. Students experiencing medical and family emergencies will be given an opportunity to take a makeup exam; the exam makeup will occur after the regular exam and will differ from the original exam. The time of the exam makeup will be at my discretion, and I reserve the right to ask for documentation of all requests for this.
COURSE GRADING
Upon completion of this course, you receive a final grade. The final grade is a letter grade that carries with it a numerical value, as outlined below.
Grade Percentage %
A 80-100
B 70-79
C 60-69
D 50-59
E 0-49
For Post-Graduate Students
To pass this subject, students are required to obtain Grade B or above in order to satisfy all the intended learning outcomes.
For Undergraduate Students
To pass the subject, students are required to obtain Grade C or above in order to satisfy all the intended learning outcomes.
2023-12-18