ICM306-Fixed Income Cash and Derivative Markets

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Spring term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites: ICM108 Fixed Income and Equity Investments
Modules excluded:
Current from: 2021/2

Module Convenor: Gail Rolland
Email: xj904458@reading.ac.uk

Type of module:

Summary module description:

This module provides students with a comprehensive view of the fixed income cash and derivative markets.  Students will study the course material for the internationally recognised ICMA Fixed Income Certificate and will, additionally, also have the chance to sit for this qualification.

Aims:

Fixed Income Cash and Derivative Markets applies more advanced valuation and risk assessment methods that build on the knowledge introduced in the fixed income component of the first term Fixed Income and Equity Investments module: It describes the basic characteristics of fixed income derivatives, structured products and credit sensitive securities and develops practical strategies for valuation and risk assessment. It also considers how the markets for these securities are related and begins the task of showing how these relationships can be exploited for trading or investment. The module is designed not only for students wanting a more advanced knowledge of the fixed income markets, but also for students wishing to take the exam for the ICMA Fixed Income Certificate (ICMA FIC)

Assessable learning outcomes:

By the end of the module, the student will be able to:

• Discuss how the fixed income markets use both cash and derivative instruments to express views on the interest rate environment


• Value the most common interest rate derivatives and structured securities;


• Describe  the concept of credit risk and the role of rating agencies


• Identify the various credit term structures;


• Discuss the main applic ations and securities in securitisation.


• Explain and value credit default swaps

Additional outcomes:

The student will develop familiarity with sources of financial market data and gain experience in manipulating and analysing this data in ways closely related to market practice. Students can also register to take the ICMA Fixed Income Certificate. Those who pass the FIC exam will receive the certificate. Passing this modules’ exams does not entitle students to the FIC.

Outline content:

• Topic 1 Trading on yield curve views and financing fixed income trades


• Topic 2 Bonds with embedded options and inflation linked securities


• Topic 3 Interest rate futures


• Topic 4 Swaps and swap futures


• Topic 5 Interest rate options


• Topic 6 Credit risk, spread determination and ratings


• Topic 7 CDS structure, pricing and revaluation


• Topic 8 Securitisation

Brief description of teaching and learning methods:

The module combines several teaching and learning methods and access to the FIC e-book to help students achieve the stated objectives:



1. Lectures: a two-hour lecture introduces each topic and is followed by examples and illustrations of the product area.

2. Discussion board: The Blackboard LMS will be used to maintain a discussion board relating to the module. The instructors will post discussion threads and moderate the forum.

Contact hours:

	Autumn	Spring	Summer
Lectures		20
Seminars		8
Guided independent study:
Wider reading (directed)		62
Exam revision/preparation		50
Advance preparation for classes		20
Revision and preparation		25
Reflection		15
Total hours by term	0	200	0
Total hours for module	200

Summative Assessment Methods:

Method	Percentage
Written exam	60
Class test administered by School	40

Summative assessment- Examinations:

One two-hour closed-book examination consisting of calculations and written answers

Summative assessment- Coursework and in-class tests:

One ninety minute closed-book test consisting of 30 MCQs to be taken in Week 28 or 29

Formative assessment methods:

Penalties for late submission:

The below information applies to students on taught programmes except those on Postgraduate Flexible programmes. Penalties for late submission, and the associated procedures, which apply to Postgraduate Flexible programmes are specified in the policy “Penalties for late submission for Postgraduate Flexible programmes”, which can be found here: http://www.reading.ac.uk/web/files/qualitysupport/penaltiesforlatesubmissionPGflexible.pdf
The Support Centres will apply the following penalties for work submitted late:

• where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
• where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at: http://www.reading.ac.uk/web/FILES/qualitysupport/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:
50% weighted average mark

Reassessment arrangements:
By written examination only, as part of the overall examination arrangements for the MSc programme.

Additional Costs (specified where applicable):

1) Required text books: 2) Specialist equipment or materials: 3) Specialist clothing, footwear or headgear: 4) Printing and binding: 5) Computers and devices with a particular specification: BA II Plus Financial Calculator, £36.99. 6) Travel, accommodation and subsistence:

Last updated: 22 July 2021