ICM306-Fixed Income Cash and Derivative Markets

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Terms in which taught: Spring term module
Non-modular pre-requisites:
Co-requisites: ICM331 Securities and Investments
Modules excluded:
Current from: 2023/4

Module Convenor: Mrs 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.


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 Securities and 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 applications 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:

Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx


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: 30 March 2023


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