EF5157 Fixed Income Securities

Part I

Course Duration: 1 semester (39 hours)
Credit Units: 3
Level: P5
Medium of Instruction: English
Prerequisites: Nil
Precursors:
EF5042 Corporate Finance and
EF5052 Investment
Equivalent Courses: From the old curriculum: EF5154 Advanced Topics in Debt Markets
Exclusive Courses: Nil


Part II

Course Aims
This course aims at introducing to students the analytical techniques, institutions, products, and applications in debt markets.

Course Intended Learning Outcomes (CILOs)
Upon successful completion of this course, students should be able to:

No.

CILOs

Weighting
(if applicable)

1.

Demonstrate a solid understanding of time value of money, and the various return measures such as yield-to-maturity and total return of a bond investment

10%

2.

Explain and apply the concepts of duration and bond price volatility

15%

3.

Explain and apply the relationship between spot rates and forward rates

10%

4.

Derive the basic term structure of interest rates from the market and use it as a foundation to price other debt instruments

15%

5.

Describe the processes of mortgage origination and securitization, as well as Analyze the investment characteristics of various types of mortgage backed securities

20%

6.

Analyze bonds with embedded options, and use the binomial tree method to price convertible bonds;

15%

7.

Acquire a basic understanding of commonly used interest-rate derivatives, such as interest-rate futures and options, credit derivatives, and structured products

15%

Teaching and Learning Activities (TLAs)
(Indicative of likely activities and tasks designed to facilitate students’ achievement of the CILOs. Final details will be provided to students in their first week of attendance in this course)

CILO No.

TLAs

Hours/week
(if applicable)

CILO 1

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 2

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 3

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 4

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 5

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 6

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

CILO 7

Lectures, in-class discussions, assignments, group projects

3 hours lecture per week

Assessment Tasks/Activities
(Indicative of likely activities and tasks designed to assess how well the students achieve the CILOs. Final details will be provided to students in their first week of attendance in this course)

CILO No.

Type of Assessment Tasks/Activities

Weighting
(if applicable)

Remarks

CILO 1

Exam, homework assignments, presentation, discussions

 

 

CILO 2

Exam, homework assignments, presentation, discussions

 

 

CILO 3

Exam, homework assignments, presentation, discussions

 

 

CILO 4

Exam, homework assignments, presentation, discussions

 

 

CILO 5

Exam, homework assignments, presentation, discussions

 

 

CILO 6

Exam, homework assignments, presentation, discussions

 

 

CILO 7

Exam, homework assignments, presentation, discussions

 

 

Assessment Methods

 

Coursework

Final Exam

Total

CILO 1-7

50%

50% (one 3-hour exam)

100%

Grading of Student Achievement:  

Letter Grade

Grade Points

Grade Definitions

Remarks

A+
A
A-

4.3
4.0
3.7

Excellent

Strong evidence of firm grasp of the subject knowledge and achieving the stated CILOs

B+
B
B-

3.3
3.0
2.7

Good

Sufficient evidence of achieving the stated CILOs

C+
C
C-

2.3
2.0
1.7

Adequate

Some evidence of achieving the stated CILOs

D

1.0

Marginal

Marginal familiarity with the subject knowledge

F

0.0

Failure

Little evidence of familiarity with the subject knowledge


Part III

Keyword Syllabus
Fixed income securities, Bond markets, Yield-to-maturity, Total return, Bond duration and convexity, Spot rates, Forward rates, Term-structure of interest rates, Mortgage-backed securities, Prepayment risk, Convertible bonds, Binomial-tree method, Credit derivatives, and Structured products.

Related Links
Department of Economics and Finance