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IC203 - Debt Markets and Instruments

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IC203-Debt Markets and Instruments

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:5
Terms in which taught: Spring term module
Pre-requisites: IC102 Introductory Finance/Trading Simulation I
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2020/1

Module Convenor: Gail Rolland

Email: xj904458@reading.ac.uk

Type of module:

Summary module description:

Aims:

There are two overall objectives of this unit. First, to develop an understanding of the the products and practices of international money and bond market instruments and bond futures.ÌýÌý Second, to provide insight into how such instruments are commonly used in the implementation of trading, hedging and portfolio strategies. The emphasis is on quantitative techniques and practical examples rather than detailed knowledge of the institutional features of debt markets.Ìý


Assessable learning outcomes:

Students should be able to identify key features of international debt products and markets and know how to price and hedge (control the risk of) traditional fixed income bonds. Students should be able to apply these techniques in the formulation of trading and hedging strategies commonly used in today’s market.ÌýÌý


Additional outcomes:

Although the emphasis is on pricing and hedging, students will gain some knowledge of the structure and characteristics of modern debt markets. In addition, students will gain some understanding of the economics of interest rates and how bond markets behave in different economic circumstances.ÌýÌý



Trading sessions in a simulated dealing environment will enhance the students’ knowledge by working with FX prices, to see influences on value, trading and managing risk.Ìý


Outline content:

Introduction to long and short-term debt market Instruments and core TVM mathsÌýÌý




  • FX and Money marketsÌý

  • Bond pricing and yields; spot and forward yieldsÌý

  • Duration and ConvexityÌý

  • Primary market issuance: Treasuries and corporate bonds; yield curves and trading strategiesÌý

  • Secondary market trading and market practiceÌý

  • Corporate bonds: determining risk and corporate bond pricing, role of credit ratings; issuance procedureÌý

  • Bond structures and markets: ABS, Green bonds, S tructured securitiesÌýÌý

  • Debt derivatives: alternatives to cash, bond futures, IRS, CDSÌý


Brief description of teaching and learning methods:

Teaching will be by traditional lecture presentations. Students will be examined on material contained in the recommended textbooks and will not be able to rely solely on the lecture notes and handouts. Seminars will focus on problem solving and students will be expected to answer questions set for the seminars. The seminars will also be used to provide additional teaching, where necessary.ÌýÌý


Contact hours:
Ìý Autumn Spring Summer
Lectures 20
Seminars 9
Practicals classes and workshops 10
Guided independent study: Ìý Ìý Ìý
Ìý Ìý Wider reading (independent) 10
Ìý Ìý Wider reading (directed) 61
Ìý Ìý Exam revision/preparation 40
Ìý Ìý Advance preparation for classes 10
Ìý Ìý Preparation for seminars 10
Ìý Ìý Revision and preparation 20
Ìý Ìý Reflection 10
Ìý Ìý Ìý Ìý
Total hours by term 0 0
Ìý Ìý Ìý Ìý
Total hours for module 200

Summative Assessment Methods:
Method Percentage
Written exam 60
Practical skills assessment 10
Class test administered by School 30

Summative assessment- Examinations:
One 2-hour unseen written paper

Summative assessment- Coursework and in-class tests:

One 90-minute unseen 30 question MCQÌý



Performance in the trading simulation will be used to award the 10% for practical skills.Ìý


Formative assessment methods:

Penalties for late submission:

The Module Convenor 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[1] (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:
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:
A minimum mark of 40%

Reassessment arrangements:

Re-examination for Part 2 modules takes place in August/September of the same yearÌý


Additional Costs (specified where applicable):





























CostÌý



AmountÌý





  1. Required text booksÌý





£36Ìý





  1. Specialist equipment or materialsÌý





Ìý





  1. Specialist clothing, footwear or headgearÌý





Ìý





  1. Printing and bindingÌý





Ìý





  1. Computers and devices with a particular specificationÌý





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  1. Travel, acc

    Last updated: 4 April 2020

    THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.

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