Semester	Fall Semester, 2023
Department	IMBA Program, First Year IMBA Program, Second Year
Course Name	Bond Market Analysis
Instructor
Credit	3.0
Course Type	Elective
Prerequisite

Course Objective

Course Description

Course Schedule

Date	Topocs	Lecture Notes (PowerPoint Slides)
8-Sep	Introduction The U.S. financial markets-2022	Cls1a-Introduction
15-Sep	*Overview of global fixed-income securities markets	Cls1b-The US Financial Markets-2022
22-Sep	*Fixed income securities: concept, terminology, and types	Cls1c-Fixed Income Securities: Concept, Terminology, and Types
6 Oct to 27-Oct	*Bond Math Fundamentals: Interest rates, present value, future value, bond prices, yield-to-maturity, duration and convexity, total rate of returns, immunization of bond portfolios, and bond indexes	Cls2-Bond Math Fundamentals
3-Nov	*The bond forward market	Cls3-Analysis of Bond Forwards
10-Nov	*The bond futures market	Cls4-Analysis of Bond Futures
17-Nov	*The swaps market	cls5-Analysis of Interest Rate Swaps
24-Nov	Residential mortgages and residential mortgage market Basics of asset-backed securities	Cls6a-Residential Mortgages Cls6b-Residential Mortgage Market
1 Dec - 8 Dec	Residential mortgage backed securities Agency RMBS	Cls7a-Residential Mortgage Backed Securities Cls7b-Agency RMBS
15-Dec	*Corporate bond and structure financed credit ratings	Cls8-Corporate Bond and Structured Finance Credit Ratings
22-Dec	*The financial crisis of 2008 and bank failures of 2023	Cls9-Financial Crises and the Banking Failures

Teaching Methods

Teaching Assistant

Requirement/Grading

The course grade will be determined by the “individual conduct” throughout the semester and the group performance of an investment project at the end of the semester. The individual conduct throughout the semester is defined as:

  ??Attending class regularly

  ??Arriving at class punctually

  ??Participating in class discussion actively

  ??Paying close attention to class lectures

The group investment project is actually the final exam. All groups will be given a fixed amount of money (hypothetically) to invest in designated fixed-income securities for a given period of time. The project consists of two parts: First, calculate the total rate of return of the investment in each of the designated securities under various interest rate scenarios during the investment period. Second, explain why the performance (different rates of return) of these securities varies significantly depending on the interest rate scenario. The investment project is scored by group, members of the same group will receive the same score.

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. No grade will be given if missing four class meetings (more than 25% of class meeting hours) during the semester. The class will be curved relative to overall student performance. I will do my best to be fair in assigning grades. When the course grades are announced, they are final. Nothing can be done to change the course grades.

Textbook & Reference

Joseph Hu, Bond Math Fundamentals, Lecture notes prepared for the course of Analysis of Fixed-Income Securities, 2016

Marcia Stigum and Anthony Crescenzi, Stigum’s Money Market, fourth edition, McGraw-Hill, 2007.

Joseph Hu, Basics of Mortgage-Backed Securities, second edition, Frank J. Fabozzi Associates, 2001, (distributed by John Wiley & Sons, Inc.), 2001.

Joseph Hu, Asset Securitization: Theory and Practice, John Wiley & Sons, Inc., 2011.

Urls about Course

Attachment

Syllabus_Bond Market Analysis_IMBA_2023.pdf