Fixed-Income Investment

[ADM3351A | FALL 2023]

Professor M elissa El Bitar, M BA, CFA

Office TBD

E-mail [email protected]

Office Hours TBD

Class Location 57 Louis Pasteur (FTX) 232

Class Hours Tuesday, 08:30 - 10:00,

Friday, 10:00 - 11:30

Prerequisite(s) ADM2352

BCom optional course

Program of study

COURSE DESCRIPTION
Course Deliverable Due Date W eight on Final Grade

Assignments October 3rd, 2023 25%

November 21st, 2023
outlined in course schedule below

Class Discussion / 1-
pager; Silicon Valley November 17th 5%
Bank

Midterm November 3rd, 2023 30%

in-class, 1hr and 20 min dedicated to
the midterm

Final Exam TBD 40%

3hrs dedicated to the exam

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This course provides a description and analytical framework for fixed-income securities. Topics
include: the fixed-income securities key features, the analytical framework for valuing bonds,
quantifying interest rate risk and credit risk, term structure of interest rates, interest rate sensitivity
of fixed income securities, managing interest rate risk, portfolio management strategies and
techniques.

COURSE CONTRIBUTION TO PROGRAM LEARNING GOALS:

LG2 Demonstrate Critical Thinking and Decision-making Skills

Demonstrate understanding and effective use of concepts and tools covered in this
course require a high level of reasoning and critical thinking.

LG7 Provide Value to the Business Community in a chosen Area of Specialization

The course provides useful methods and tools for practitioners working in the field of fixed
income securities, and for those writing professional exams.

COURSE LEARNING OBJECTIVES

By the end of this course, the student will be able to:

• Understand different features of fixed incomes securities and how markets work
• Evaluate a bond’s price and measure its yield and return
• Analyze the risk and trade-off for bonds with embedded options, including callable, puttable and
convertible bonds
• Understand the techniques and strategies of portfolio management

TEXTBOOK/COURSE PACKAGE
COURSE M ATERIALS W HERE TO GET IT

Bruce Tuckman & Angel Serrat (2022): Fixed-Income Campus Bookstore / online
Securities: Tools for Today’s Markets, Fourth Edition, Wiley
Finance Series.
ISBN 978-1-119-83555-4

Powerpoint slides Posted in advance of class

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COURSE SCHEDULE
(Week) Class Date Subject, Module or Required Readings & Deliverables
Unit

(1) September 8th Syllabus review

September 12th
September 15th Bond Prices, Discount Chapter 1 Prices, Discount Factors, and
Factors and Arbitrage Arbitrage

Lecture 1 Slides

(2) September 19th Spot, Forward, and Par Chapter 2 Spot, Forward, and Par Rates
September 22nd Rates
Lecture 2 Slides

(3) September 26th Returns, Spreads, and Chapter 3 Returns, Spreads, and Yields 95
September 29th Yields
Lecture 3 Slides

(4) October 3rd Assignment 1 Due (Chapters 1 – 3)

October 6th
One-Factor Risk Metrics and Chapter 4 One-Factor Risk Metrics and
Hedges Hedges

Lecture 4 Slides

(5) October 10th One-Factor Risk Metrics and Chapter 4 One-Factor Risk Metrics and
October 13th Hedges (Cont) Hedges

Lecture 4 Slides
Multi-Factor Risk Metrics Chapter 5 Multi-Factor Risk Metrics and
and Hedges Hedges

Lecture 5 Slides

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(Week) Class Date Subject, Module or Required Readings & Deliverables

Unit

(6) October 17th Multi-Factor Risk Metrics Chapter 5 Multi-Factor Risk Metrics and
October 20th and Hedges Hedges

Lecture 5 Slides

Midterm Review

Reading Week – Reading Week Reading Week

October 24th / 27th
(7) October 31st Midterm Chapter 7 The Science of Term Structure
Models
November 3rd Term Structure Models
Lecture 7 Slides

Midterm (Chapters 1 – 5)

(8) November 7th Term Structure Models Chapter 7 The Science of Term Structure
November 10th Models

Lecture 7 Slides

(9) November 14th Short Rates and Term Chapter 8 The Evolution of Short Rates
November 17th Structure and the Shape of the Term Structure

Silicon Valley Bank Lecture 9 Slides

(10) November 21st Assignment 2 Due (Chapters

November 24th 4,5,7,8)

Forwards and Futures Chapter 13 Forwards and Futures

Lecture 10 Slides

Interest Rate Swaps Chapter 16 Swaps

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(Week) Class Date Subject, Module or Required Readings & Deliverables

Unit

Lecture 10.2 Slides

(11) November 27th Interest Rate Swaps Chapter 16 Swaps

December 1st
Lecture 10.2 Slides

Fixed Income Options Chapter 18 Fixed Income Options

Lecture 11 Slides

(12) December 5th Fixed Income Options Chapter 18 Fixed Income Options
December 8th
Lecture 11 Slides
Exam Review

INSTRUCTIONAL METHODS
The course is taught in a lecture format. Students are required to read the textbook chapters
provided in the course outline before and after each lecture. The slides provided will cover
various examples and exercises that help solidify the material covered.

TECHNICAL REQUIREMENTS AND SUPPORT

The course requires that you to have a laptop or desktop computer with a reliable, high-speed
Internet connection that allows you to watch videos, participate in discussion forums, upload
images and use your uOttawa Google Drive.

If you experience difficulties with Brightspace or with logins to any uOttawa systems, please do
not contact the instructor or the course TA until you have tried to solve the problem through
the IT supports in place at the University.

For all questions related to Brightspace, call the support line between 8 AM and 8 PM (Eastern)
at 1-866-811-3201 OR submit an online request using this form 24 hours a day.

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For any other IT related issues, please contact IT services. They have a helpdesk that you can call,
or you can submit a service ticket with a specific request 24 hours a day.

For problems connecting to the library services, you can also contact the Morisset Help Desk.

USE OF RESPONDUS SOFTWARE FOR ONLINE EXAMS

The University of Ottawa will be implementing the use of software provided by Respondus exam
proctoring services for the purposes of ensuring the integrity of online examinations. Respondus
is just one means of ensuring academic integrity when conducting assessments. Please consult
the TLSS FAQ for more information.

The Respondus software is comprised of two components – 1) LockDown Browser and 2)

Monitor. Please watch this short video to get a basic understanding of how the LockDown
Browser and the Monitor software works.

Prior to taking an online test, you will be required to download and install the LockDown
Browser. Start the LockDown Browser and navigate to the exam. For additional details on using
this service, please review this Student Quick Start Guide.

When taking an online exam, note the following:

• Make sure to have access to a private and well-lit location with access to reliable
internet.
• Turn off all mobile devices, phones, etc. and do not have them within reach.
• Clear your exam area of all external materials — books, papers, other computers, or
devices.
• Know how much time is available for the exam, and that you have allotted sufficient time
to complete it. LockDown Browser will prevent you from accessing other websites or
applications, and you will be unable to exit the test until all questions are completed and
submitted.
• Remain at your desk or workstation for the duration of the exam.

EXPECTATIONS FOR COMMUNICATIONS

I prefer email for communications. Please use my email [email protected] for all
communications related to our course.

Students are asked to monitor their uOttawa.ca e-mail accounts regularly and carefully (not your

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personal email accounts such as Yahoo, Gmail, or Hotmail) as this is the conduit through which
the professor and TA will communicate matters that concern the entire class.

Please ensure that you have set up your Brightspace account to receive notification of
announcements to your uOttawa.ca email address.

The professor will only respond to email messages from registered students using their
uOttawa.ca email account.

METHODS USED TO EVALUATE STUDENT PERFORMANCE

A combination of 2 assignments, in-class discussion, one midterm and one exam will be used to
evaluate student performance. Weight on your final grade for each deliverable is highlighted in
the course description (page 1).

Please note that it is not possible to submit extra course work to improve your
mark.

EXPECTATIONS FOR STUDENT PARTICIPATION

Your participation involves contributions during classes including discussions with classmates and
answering questions.

COURSE POLICIES
COURSE CONDUCT
The Telfer School of Management prides itself on a strong sense of shared values drawing upon
principles of respect, integrity, professionalism, and inclusion to guide interactions inside and
outside the classroom. The Telfer School strives to provide a well-rounded and outstanding
education enriched through experiential learning and a positive student experience. It is also
encouraged that you familiarize yourself with the University of Ottawa guidelines on Student
Rights and Responsible Conduct (Policy 130).

PREVENTION OF SEXUAL VIOLENCE

The University of Ottawa is committed to a safe and healthy campus for work, for study and for
campus community life for all members of the University community. The University, as well as

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various employee and student groups, offer a variety of services and resources to ensure that all
uOttawa community members have access to confidential support and information, and to
procedures for reporting an incident or filing a complaint. For more information, please visit
uOttawa Sexual violence: support and prevention.

CLASS ATTENDANCE & DECORUM

The teaching method in the course includes class lectures, group discussions, guest lectures, and
student presentations. Class attendance is expected and is necessary to successfully complete
this course.

Your actions in the in-person and online classroom environments should demonstrate
intellectual engagement in the course content, as well as respect for your classmates and for
your instructor. As such, any disruptions to the learning environment including but not limited to
physical classroom, online webinar session, group chat and course discussion forum will not be
tolerated, and failure to comply with this policy can lead to disciplinary action, up to and
including referral to university judiciaries.

It is also important that you do not share any login details or Zoom/MS Teams meeting links with
anyone outside this section of the course. This is a violation of the University of Ottawa’s IT
Resources Acceptable Use policy. If a student is found responsible for violating such policies,
they will be sanctioned appropriately.

ABSENCES FROM EXAMS

University regulations require all absences from exams/quizzes and all late submissions due to
illness to be supported by a relevant documentation.

Absence for any reason must be justified in writing, to the Student Services Centre
([email protected]) within five business days following the date of the exam.
Please visit the following webpage to download the deferral request form and carefully read the
directives. The Telfer School reserves the right to accept or refuse the reason.

Students will only be permitted to defer one deliverable per course. Should you miss the
midterm for a reason approved by the SSC, you will not be allowed to defer another course
deliverable. This also applies to any deliverable for which a weight transfer is possible. Exceptions
could be made, but it will be at the discretion of the SSC, and each request will be evaluated on
its own merit.

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Religious absences: If a religious holiday or a religious event will force you to be absent during an
evaluation, it is your responsibility to inform your professor and the Student Services Centre as
early as possible.

INTELLECTUAL PROPERTY
Course material you receive in this course are presented in an educational context for personal
use and study and should not be shared, distributed, or sold in print – or digitally – outside the
course without permission. You do not have permission to copy, redistribute, or reuse the
course materials without prior permission of the professor. All forms (printed, digital, etc.) of
course materials prepared by the professor (including e-mailed or Brightspace content) are
protected by copyright. This covers content including but not limited to lecture material, video
recordings, assignments, solutions, cases, exams, discussion posts, and other materials. Copying,
scanning, photographing, posting, or sharing by any means is a violation of copyright and will be
subject to appropriate penalty as prescribed by University of Ottawa regulation. Uploading
course materials to a content sharing website may be treated as an instance of academic fraud
as well as copyright infringement. This could lead to failure of a course, suspension, or even
expulsion. Instances of academic fraud are also often included on a student’s transcript, and this
will follow them for life.

ACCEPTABLE USE OF IT RESOURCES

During this course, you will be utilizing various information technology (IT) resources provided by
the university. In doing so, it is your responsibility to ensure efficient, ethical, and lawful use of IT
resources. Please review the University of Ottawa’s IT Resources Acceptable Use Policy to learn
about your obligations as a student, and how you can help protect and preserve the university’s
IT resources by acting responsibly and guarding against abuses.

Academic Support (keep in outline but remove from BS as services are described)

This webpage refers students to the right services to support them during their studies. Whether
you’re an experienced student or just starting out, you’ll find some great resources to help you
succeed.

• Academic Writing Help Centre

• Academic Accommodations
• Support from your faculty
• Mentorship Centers For more information, please visit: https://uOttawa.saea-
tlss.ca/en/academic-gps

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ACADEMIC ACCOMMODATIONS
We try to make sure all students with disabilities have equal access to learning and research
environments, the physical campus and University-related programs and activities. The
Academic Accommodations service works with other campus services to create an accessible
campus learning environment, where students with disabilities have an equal opportunity to
flourish. We offer a wide range of services and resources, provided with expertise,
professionalism, and confidentiality.

Services offered by Academic Accomodations include:

• Help for students with disabilities in making the transition

• Permanent and temporary accommodation measures
• Learning strategy development
• Adaptive exams
• Transcriptions of learning material
• Interpretation (ASL and LSQ)
• Assistive technologies If you think that you might need any of the above services or
supports, email the Academic Accommodations service ([email protected]).

LANGUAGE CHOICE
Except in programs and courses for which language is a requirement, all students have the right
to produce their written work and to answer examination questions in the official language of
their choice, regardless of the course’s language of instruction.

HEALTH AND WELLNESS

Your health and well-being are key parts of your success as a student. The uOttawa community
provides a wide range of services, supports and activities to support you in your wellness
journey. Visit uOttawa.ca/wellness. to access resources such as:

• Access to 24/7 help

• Mental health and counselling information
• Medical, health and insurance information
• Campus activities and workshops
• Peer support 7 days a week (virtual Peer Wellness Chat)
• Wellness Lounge
• And so much more…

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You can also access the Student Health and Wellness Centre, exclusively open to University of
Ottawa and Saint Paul University students. The centre is staffed by a multidisciplinary team of
health professionals, including physicians, nurse practitioners, registered nurses, health
promotion specialists (education), psychotherapists, a psychologist and psychiatrists working
together in a shared care model.

You can book your appointment with a health practitioner in person at 801 King Edward, Room
N203, by calling 613-562-5498, by using the web portal, or by downloading the UpPatient app.
All this information and more is available at uOttawa.ca/wellness.

NOTICE AGAINST SEXUAL VIOLENCE

The University of Ottawa will not tolerate any act of sexual violence. This includes acts such as
rape and sexual harassment, as well as misconduct that take place without consent, which
includes cyberbullying. The University, as well as various employee and student groups, offers a
variety of services and resources to ensure that all uOttawa community members have access to
confidential support and information, and to procedures for reporting an incident or filing a
complaint. For more information, please visit https://www.uottawa.ca/about-us/respect/sexual-
violence-support-and-prevention.

ACADEMIC INTEGRITY
Academic Regulation A-4 defines academic fraud as “any act by a student that may result in a
distorted academic evaluation for that student or another student. Academic fraud includes but
is not limited to activities such as:

a) Plagiarism or cheating in any way;

b) Submitting work not partially or fully the student’s own, excluding properly cited quotations
and references. Such work includes assignments, essays, tests, exams, research reports and
theses, regardless of whether the work is written, oral or another form;

c) Presenting research data that are forged, falsified or fabricated;

d) Attributing a statement of fact or reference to a fabricated source;

e) Submitting the same work or a large part of the same piece of work in more than one course,
or a thesis or any other piece of work submitted elsewhere without the prior approval of the
appropriate professors or academic units;

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f) Falsifying or misrepresenting an academic evaluation, using a forged or altered supporting

document or facilitating the use of such a document; g) Taking any action aimed at falsifying an
academic evaluation.” (Source: uOttawa Academic Regulation A-4)

For a quick reference on how to avoid plagiarism, please consult the following resources: ·
https://www2.uottawa.ca/about-us/provost/academic-integrity ·
https://www2.uottawa.ca/current-students/academic-integrity ·
http://sass.uottawa.ca/sites/sass.uottawa.ca/files/plagiarism.pdf

The Telfer School of Management does not tolerate academic fraud. Anyone found guilty of
academic fraud is liable to severe academic sanctions. For more information, please read
Academic regulation A-4 on Academic fraud.

To underline the importance of academic integrity, all assignments, reports, projects, or other
work submitted in partial fulfillment of the requirements of this course must include a signed
Statement of Academic Integrity (signed by each member of a team in the case of a group
assignment or teamwork). The forms are included at the end of this document.

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Statement of Academic Integrity

Individual Assignment Checklist & Disclosure

Please read the disclosure below following the completion of your assignment. Once you have verified
these points, hand in this signed disclosure with your assignment.

1. I acknowledge to have read and understood my responsibility for maintaining academic integrity, as
defined by the University of Ottawa’s policies and regulations. Furthermore, I understand that any
violation of academic integrity may result in strict disciplinary action as outlined in the regulations.
2. If applicable, I have referenced and/or footnoted all ideas, words, or other intellectual property from
other sources used in completing this assignment.
3. A proper bibliography is included, which includes acknowledgement of all sources used to complete
this assignment.
4. This is the first time that I have submitted this assignment or essay (either partially or entirely) for
academic evaluation.
5. I have not utilized unauthorized assistance or aids including but not limited to outsourcing assignment
solutions, and unethical use of online services such as artificial intelligence tools and course-sharing
websites.

Course Code:

Assignment No. /
Title:

Yes (Required by Course / Professor) o Yes (Self-

Use of Plagiarism Conducted) o
Detection Tools
(e.g., Ouriginal): No (Not Applicable for Type of Assignment) o No (Not
Conducted) o

Date of Submission:

Name:

Signature:

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Statement of Academic Integrity

Group Assignment Checklist & Disclosure

Please read the disclosure below following the completion of your group assignment. Once all team
members have verified these points, hand in this signed disclosure with your group assignment.
1. All team members acknowledge to have read and understood their responsibilities for maintaining
academic integrity, as defined by the University of Ottawa’s policies and regulations. Furthermore, all
members understand that any violation of academic integrity may result in strict disciplinary action as
outlined in the regulations.
2. If applicable, all team members have referenced and/or footnoted all ideas, words, or other
intellectual property from other sources used in completing this assignment.
3. A proper bibliography is included, which includes acknowledgement of all sources used to complete
this assignment.
4. This is the first time that any member of the group has submitted this assignment or essay (either
partially or entirely) for academic evaluation.
5. No member of the team has utilized unauthorized assistance or aids including but not limited to
outsourcing assignment solutions, and unethical use of online services such as artificial intelligence
tools and course-sharing websites.
6. Each member of the group has read the full content of the submission and is assured that the content
is free of violations of academic integrity. Group discussions regarding the importance of academic
integrity have taken place.
7. All team members have identified their individual contributions to the work submitted such that if
violations of academic integrity are suspected, then the student(s) primarily responsible for the
violations may be identified. Note that the remainder of the team will also be subject to disciplinary
action.

Course Code:

Assignment No. /
Title:
Use of Plagiarism Yes (Required by Course / Professor) o Yes (Self-
Detection Tools Conducted) o
(e.g., Ouriginal): No (Not Applicable for Type of Assignment) o No (Not
Conducted) o
Date of Submission:

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Name Signature Contributions

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