FNCE 3171
Investments II

3.0 Credits

Description

Building on FNCE 3151: Investments 1, students explore investing at an advanced level, focusing primarily on fixed income alternatives. Topics include measuring yield and bond price volatility; duration and interest rates; treasury and local government securities; residential mortgage loans; price and yield behaviour of pass-through securities; collateralized mortgage obligations and stripped mortgage-backed securities; collateralized debt obligations; bonds with embedded options; fixed income portfolio management; liability-driven strategies and performance evaluation.

Delivery Method

Web based.

Prerequisites

Recommended: FNCE 3151: Investments 1

Objectives

Upon successful completion of this course, students will be able to do the following:

  • Articulate a solid understanding of fixed income securities
  • Demonstrate an understanding of how fixed income securities are used in portfolio management
  • Demonstrate an advanced insight of the term structure and its relationship to the pricing of fixed income securities

Course Outline

The course is sectioned into 12 topics:

  • Topic 1: Introduction & Measuring Yield and Bond Price Volatility
  • Topic 2: Duration and Interest Rates
  • Topic 3: Treasury and Local Government Securities
  • Topic 4: Residential Mortgage Loans
  • Topic 5: Price and Yield Behaviour of Pass-Through Securities
  • Topic 6: Collateralized Mortgage Obligations and Stripped Mortgage Back Securities
  • Topic 7: Asset-Backed Securities
  • Topic 8: Bonds with Embedded Options
  • Topic 9: Fixed Income Portfolio Management
  • Topic 10: Liability-Driven Strategies and Performance Evaluation
  • Topic 11: Derivative Contracts and Strategies
  • Topic 12: Review

Maximum Completion

30 weeks.

Required Text and Materials

Fabozzi, Frank J. Bond Markets, Analysis, and Strategies. 9th ed. Pearson Education Inc.

Additional Requirements

A computer with Internet access is required.

Open Learning Faculty Member Information

An Open Learning Faculty Member is available to assist students. Primary communication is through the Learning Environment's "Mail" tool. Students will receive the necessary contact information when starting the course.

Assessment

To successfully complete this course, students must achieve a passing grade of 50% or higher on the overall course and 50% or higher on the mandatory final exam.

Quiz 1 5%
Quiz 2 5%
Assignment 1: Term Structure and Interest Rates 5%
Quiz 3 5%
Assignment 2: Binomial Interest Rate Tree 5%
Quiz 4 5%
Assignment 3: Portfolio Gap Management 5%
Project 15%
Final Exam* 50%

* Mandatory