Course title: Fixed income securities
Possible code : Fin 445
Pre-requisites : Fin 435, Eco 244, Fin 440
Course description: The objective of this course is to provide an overview of the fixed income
securities and their analyses. Because of the complex nature of the fixed income securities, this
course places an extra emphasis on the understanding of the economic forces driving the fixed
income securities markets and the techniques for analyzing the securities.
Students benefit: This course will enhance a better understanding of treasury securities and
municipal bonds, corporate and international bonds, and structured securities. The risk-return
characteristics of these fixed income securities will be explained in terms of price-yield
relationship, various yield and return measures, and various price volatility measures. Various
techniques for the valuation of these fixed income securities will be illustrated in detail. The
topics on fixed-income portfolio management include: yield curve and yield spread strategies,
indexing and cash flow matching strategies, immunization strategies, and techniques for bond
performance measurement and evaluation. This will help the students to better prepare
themselves as Chartered Financial Analyst as this course will cover a significant part of topics in
the CFA curriculum. Moreover, the students can perform professional and in depth financial
analysis.
Resource book: 1. Fixed Income Securities By Frank J. Fabuzzi
2. Fixed Income Securities: Tools for Today's Markets By Bruce Tuckman
Contents:
Equity & Fixed Income 
 Chapter 1. Features of Debt securitiesBond indenture,
Features of bonds,
Coupon rate structures
 Chapter 2. Risk associated with investing in bondsTypes of risk associated with fixed income securities
 Chapter 3. Overview of bond sectors & instrumentsSovereign Debt,
U.S. treasury issued securities,
Stripped treasury securities,
Treasury strips, mortgage passthrough securities, CMO, ABS, CDO,
 Chapter4. Understanding yield spreadsInterest rate policy tools,
Yield curve,
Spot rate, Credit spread,

Chapter 5. Yield measures, Spot rates & Forward ratesSources of return to coupon bond,
YTM,
BEY,
Commonly used yield spread measures
Fixed income analysis for the Chartered Financial Analyst 
 Chapter 6. General principles of Credit analysisCredit Risk
Corporate Credit Analysis
Credit Analysis with Ratios
Cash Flow Analysis
High-Yield Corporate Bonds
Debt Structure Analysis of High yield issuers
Corporate structure analysis of High yield issuers
Asset Backed Securities Credit Analysis
Municipal Bond Credit Analysis
Sovereign Bond Credit Analysis
Credit Analysis: Key Considerations
 Chapter 7. Term structure & volatility of interest ratesYield Curve Shapes
Yield Curve Shifts
Factors Affecting Treasury returns
Spot curves and boot strapping
Treasury spot rate curve
Term structure theories
Calculating key rate duration
Estimating yield volatility
 Chapter 8. Valuing bonds with embedded options
Binomial Model
Constructing an arbitrage free tree
Valuing an option free bond with binomial model
Spread measures
Backward induction methodology
Callable bond valuation
Valuing embedded options
Option Adjusted Spread
Relative value analysis
Effective duration and convexity
Putable bond valuation
Convertible bonds
 Chapter 9. Mortgage backed sector of the bond market
Mortgage loans
Mortgage passthrough securities
Factors affecting prepayments
Average life of an MBS


Collateralized mortgage obligations
Stripped mortgage backed securities
Commercial MBS
CMBS Vs Residential MBS
CMBS: Structure and call protection
Chapter 10. Asset backed sector of the bond market
Home equity loans
Manufactured housing-backed securities
Auto loan ABS
Student loan backed securities
Small business administration loan-backed securities
Credit card receivable-backed securities
Collateralized debt obligation (CDO)
Synthetic CDO
Chapter 11. Valuing mortgaged backed & asset backed securities
Cash flow yield
Nominal and zero volatility spreads
Monte Carlo Simulation Model
OAS Analysis
Effective duration from a Monte Carlo Model
MBS duration measures
Spread analysis of fixed-income securities
Analyzing interest rate risk
Fixed Income portfolio management 
 Chapter 12. Relative value methodologies of global credit bond portfolio
Relative value analysis
Cyclical and secular changes
Liquidity
Rationales for secondary bond trades
Assessing relative value methodologies
Yield spreads
Spread analysis
Bond structures
Credit analysis
 Chapter 13. Hedging mortgage securities to capture relative value
Negative convexity and mortgage securities
Mortgage security risks
Yield curve risk
Hedging mortgage securities