IMBA PROGRAM
COLLEGE OF COMMERCE
NATIONAL CHENGCHI UNIVERSITY
Fixed Income Securities and Credit Ratings
Spring 2014
A. Instructor: Professor Joseph Hu
Office:
Yat-Sen Building
E-mail:
chipinghu@hotmail.com
Phone/Fax:
Class Hours:
February 19 to April 12, Except March 22 and March 29
Wednesdays, 19:00 to 22:00;
Saturdays, 9:00 to 13:00
Office Hours: By appointment
B.
1.


Books
Textbooks:
Joseph Hu, Asset Securitization: Theory and Practice, John Wiley & Sons, Inc., 2010.
Joseph Hu, Basics of Mortgage-Backed Securities, second edition, Frank J. Fabozzi
Associates, 2001, (distributed by John Wiley & Sons, Inc.), 2001.
2. Recommended Books:
 Marcia Stigum and Anthony Crescenzi, Stigum’s Money Market, fourth edition,
McGraw-Hill, 2007.
 Frank J. Fabozzi, editor, The Handbook of Fixed Income Securities, fifth edition, Irwin
Professional Publishing, 1997.
C. Course Objectives
 Analyzes the fixed income securities market and credit ratings in the United States.
 Provides a description of issuing, underwriting, and investing in fixed income securities
D. Grading Policy
 Take-home mid-term exam and final exam
 Students who maintain a perfect, or near perfect (missing class only once), record of class
attendance will be awarded merit points to improve their grades on the take-home exams.
 No grade will be given if missing 3 class meetings during the semester
 The course grade is final, nothing can be done to change the course grade
CLASS SCHEDULE
Class #
Date Content
Reading
1.
2/19
The U.S. financial markets and flow of funds
Lecture notes
2.
2/22
Bond math: bond prices, yield-to-maturity, price
sensitivity, duration, convexity, term structure of interest
rates, total return analysis
Lecture notes
3.
2/26
Bond math (continued)
Lecture notes
4.
3/1
Overview of fixed-income securities
Lecture notes
5.
3/5
Basics of asset-backed securities (ABS)
Lecture notes
6.
3/8
Residential mortgages and the U.S. residential mortgage
Lecture notes
market
7.
3/12
Agency-guaranteed residential mortgage backed securities
Lecture notes
(RMBS)
8.
3/15
Multiclass residential mortgage backed securities
Lecture notes
9.
3/19
Private-label pass-throughs and subprime mortgage-backed
securities
Lecture notes
10.
3/26
Commercial mortgage backed securities (CMBS)
Lecture notes
11.
4/2
Credit card receivable backed securities, auto loan backed
securities, and CDOs
Lecture notes
12.
4/5
Credit ratings on asset-backed securities and corporate bonds Lecture notes
13.
4/9
Management of a fixed income securities portfolio—bond
immunization; Bond indexing; The broad base of fixed
income securities investors
Lecture notes
14.
4/12
Development of Taiwan’s Bond Market
Lecture notes