ULMS Electronic Module Catalogue
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title Fixed Income Securities
Code ACFI813
Coordinator Professor C Wese Simen
Finance and Accounting
C.Wese-Simen@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2024-25 Level 7 FHEQ Second Semester 15

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):
 

Modules for which this module is a pre-requisite:
 

Programme(s) (including Year of Study) to which this module is available on a required basis:
 

Programme(s) (including Year of Study) to which this module is available on an optional basis:
 

Teaching Schedule
  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 20

 5

         25
Timetable (if known)              
Private Study 125
TOTAL HOURS 150

Assessment
EXAM Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Examination. There is a resit opportunity. Standard UoL penalty applies for late submission. This is an anonymous assessment.  2    70       
CONTINUOUS Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Group presentation. There is a resit opportunity. Standard UoL penalty applies for late submission. This is not an anonymous assessment.  20    30       

Aims

This module aims to:

Provide students with an understanding of fixed income markets;

Equip students with the skills necessary to price and analyse fixed income assets;

Enable students to understand and manage the risk of a bond portfolio;

Enable students to construct and interpret term structures of interest rates.

Learning Outcomes

(LO1) Students will be able to price a bond and develop strategies to exploit mispriced assets.

(LO2) Students will be able to understand and compute the forward given spot rates.

(LO3) Students will be able to evaluate interest rate risk and how to manage it.

(LO4) Students will be able to compute the term structure of interest rates and discuss its shape.

(S1) Numeracy
Students will learn to price fixed income assets.

(S2) Problem solving
Students will learn to identify mispriced securities and formulate strategies to correct the mispricing.

(S3) IT skills
Through the seminars, students will learn how to use Bloomberg to analyse fixed-income assets.

(S4) Commercial awareness
Students will learn to appreciate the impact of current affairs on their portfolio of fixed income assets.

Teaching and Learning Strategies

2 hour lecture x 10 weeks
1 hour seminar x 5 weeks
125 hours self-directed learning

Syllabus
 

Introduction to fixed income assets:
Bond issuance;
Secondary market trading;
Different types of fixed income securities;
Refresher on compounding and discounting.

Bond Valuation and Analysis:
Pricing;
Accrued interest;
Yields: yield to maturity and current yield;
Returns: realised compound return and holding period return.

Term structure of interest rates:
Bootstrapping the curve;
Spots and forward rates;
Theories of the term structure.

Interest rate risk:
Bond price relationships with key characteristics, e.g. maturity and coupon rate;
Duration: Macauley and Modified;
Convexity.

Bond trading:
Formulating trading views;
Active trading strategies;
Passive strategies.

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.