ICM306: Fixed Income Cash and Derivative Markets

Module code: ICM306

Module provider: ICMA Centre; Henley Business School

Credits: 20

Level: 7

When you'll be taught: Semester 2

Module convenor: Mrs Gail Rolland, email: xj904458@reading.ac.uk

Pre-requisite module(s):

Co-requisite module(s): IN THE SAME YEAR AS TAKING THIS MODULE YOU MUST TAKE ICM402 (Compulsory)

Pre-requisite or Co-requisite module(s):

Module(s) excluded:

Placement information: NA

Academic year: 2024/5

Available to visiting students: No

Talis reading list: No

Last updated: 19 November 2024

Overview

Module aims and purpose

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. 

The module aims to provide students with the ability: 

• To identify the different structures found in the international debt and interest rate derivative markets  
• To show appreciation of how these structures can achieve the aims of market participants for investment, trading and hedging 
• To value debt securities and their interest rate risk   

The module is ideal for students that want to pursue a career in fixed income as they will be able to demonstrate a comprehensive knowledge of market instruments and will have the chance to gain a market qualification to demonstrate this knowledge.

Module learning outcomes

By the end of the module, it is expected that students will 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 
• apply these techniques in the formulation of trading and hedging strategies commonly used in today’s market 
• discuss the economics of interest rates and how bond markets behave in different economic circumstances 
• explain how the fixed income markets use both cash and derivative instruments to express views on both the interest rate environment and expectations of credit change

Module 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 

Structure

Teaching and learning methods

• Formal lectures, in which students are strongly encouraged to ask questions, 
• Seminars, in which students are encouraged to develop their analytical skills, 
• Face-to-face/Online availability for student consultation.

Study hours

At least 26 hours of scheduled teaching and learning activities will be delivered in person, with the remaining hours for scheduled and self-scheduled teaching and learning activities delivered either in person or online. You will receive further details about how these hours will be delivered before the start of the module.

Please note the independent study hours above are notional numbers of hours; each student will approach studying in different ways. We would advise you to reflect on your learning and the number of hours you are allocating to these tasks.

Semester 1 The hours in this column may include hours during the Christmas holiday period.

Semester 2 The hours in this column may include hours during the Easter holiday period.

Summer The hours in this column will take place during the summer holidays and may be at the start and/or end of the module.

Assessment

Requirements for a pass

50% weighted average mark

Summative assessment

Penalties for late submission of summative assessment

The Support Centres will apply the following penalties for work submitted late:

Assessments with numerical marks

• 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 three working days;
• the mark awarded due to the imposition of the penalty shall not fall below the threshold pass mark, namely 40% in the case of modules at Levels 4-6 (i.e. undergraduate modules for Parts 1-3) and 50% in the case of Level 7 modules offered as part of an Integrated Masters or taught postgraduate degree programme;
• where the piece of work is awarded a mark below the threshold pass mark prior to any penalty being imposed, and is submitted up to three working days after the original deadline (or any formally agreed extension to the deadline), no penalty shall be imposed;
• where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

Assessments marked Pass/Fail

• where the piece of work is submitted within three working days of the deadline (or any formally agreed extension of the deadline): no penalty will be applied;
• where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension of the deadline): a grade of Fail will be awarded.

The University policy statement on penalties for late submission can be found at: /cqsd/-/media/project/functions/cqsd/documents/qap/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.

Formative assessment

Formative assessment is any task or activity which creates feedback (or feedforward) for you about your learning, but which does not contribute towards your overall module mark.

Ongoing feedback throughout all lectures, seminars and workshops

Reassessment

Additional costs