Rsm430h1f-20235fR2023-05-04

Course Outline Course Code RSM 430 H1F Course Name Fixed Income Securities Term, Year Summer, 2023 Course Meets Tuesdays and Thursdays, 1pm - 3pm Web page URL https://q.utoronto.ca Instructor Details Name Email Office Hours Eric Kang [email protected] By appointment via Zoom Course Scope, Mission and Learning Outcomes This is a capital markets course that describes important fixed income securities and markets. It will emphasize traditional bond and term structure concepts as well as current events and/or securities affecting the functioning of these markets. Course Prerequisites Rotman Commerce: RSM332H1; Actuarial Science: ACT349H1 Course Materials Required Readings We will not be using a textbook in this course. The slides, associated case documents, and any other materials will be posted on Quercus as required readings. Electronic Course Materials Rotman Interactive Trader The Rotman Interactive Trader is a market-simulator that provides students with a hands- on approach to learning finance. It allows students to practice decision making under uncertainty in a controlled environment where they can immediately observe the outcomes of their decisions. By being able to analyze the consequences of their decisions in different situations, students are able to learn how to make good decisions when the future is uncertain. More information can be found at http://rit.rotman.utoronto.ca . Evaluation and Grades Grades are a measure of the knowledge and skills developed by a student within individual courses. Each student will receive a grade on the basis of how well they have command of the course materials, skills and learning objectives of the course.

2 Work Percentage of grade Due Date Midterm Test 20% May 25 RIT Case Performance 10% June 15 Decision Case Report (Group) 25% June 18 Final Term Test 45% TBD Course Format and Expectations RIT Decision Case Report Group Assignment RIT Decision Case Report Group Assignment requires students to work in teams of 3 students . Learning to work together in teams is a crucial transferrable skill you will use not only in your coursework, but also in your future careers. Support is available if you encounter common teamwork challenges such as: • Team members feeling left out of the team. • Team members not responding in a timely manner to communication. • Division or quality of work among team members being unequal or unfair. Consult the Centre for Professional Skills Teamwork Resources page for tips, strategies, and best practices. You can also book an appointment with a teamwork mentor through the RC Centre for Professional Skills Writing Centre. Teamwork mentors can help you resolve or mitigate conflict, strategize on planning, or improve team communication. If you are a student registered with Accessibility Services, and extensions are one of your academic accommodations, consult with your Accessibility Advisor about the teamwork in this course. The Group Assignment is also intended to help you develop your communication skills. How well you communicate your ideas in writing will be considered in the evaluation of the assignment. In your written assignment, you should aim for clarity, strong organization, concision, professionalism, and correct grammar. Support is available through the RC Centre for Professional Skills (CPS) for students who would like help or feedback on their writing or speaking (presentations). CPS offers both individual and group appointments with trained writing instructors and presentation coaches who are familiar with the RC program and common types of business assignments. You can also access your college Writing Centres for help with written assignments. You can book an appointment with a writing or presentation coach through the RC Centre for Professional Skills Writing Centre. For more information about writing centres, student supports, and study resources, see the Writing and Presentation Coaching academic support page . Missed Tests and Assignments (including mid-term and final-term assessments) Students who miss a test or assignment for reasons entirely beyond their control (e.g. illness) may request special consideration. In such cases, students must: 1.Complete the Request for Special Consideration form: https://uoft.me/RSMconsideration

3 2. Provide documentation to support the request, eg. Absence Declaration from ACORN, medical note etc. Please note: You must complete the Request for Special Consideration form within 2 business days of the missed midterm/test/ assignment due date. Students who do not submit their requests and documentation within 2 days may be given a grade of 0 (zero) on the missed course deliverable. There will be no make-up midterm test and the RIT Case Performance. Students who miss the regular midterm test and/or the RIT Case Performance for valid documented reasons with an approval will have their grades re-allocated to their final exam. Late Assignments All assignments are due on the date and at the time specified in Quercus. Late submissions will normally be penalized by 10% if the assignment is not received on the specified date, at the specified time. A further penalty of 10% will be applied to each subsequent day. Students who know ahead of time that they will be unable to submit an assignment by its deadline due to reasons beyond their control should speak to the instructor about possible extension. Without a pre- approved extension, you must follow the steps above for a missed assignment or you may receive a late penalty or 0 (zero) on a late assignment. Statement on Equity, Diversity and Inclusion The University of Toronto is committed to equity, human rights and respect for diversity. All members of the learning environment in this course should strive to create an atmosphere of mutual respect where all members of our community can express themselves, engage with each other, and respect one another's differences. U of T does not condone discrimination or harassment against any persons or communities. Commitment to Accessibility The University is committed to inclusivity and accessibility, and strives to provide support for, and facilitate the accommodation of, individuals with disabilities so that all may share the same level of access to opportunities and activities offered at the University. If you require accommodations for a temporary or ongoing disability or health concern, or have any accessibility concerns about the course, the classroom or course materials, please email Accessibility Services or visit the Accessibility Services website for more information as soon as possible. Obtaining your accommodation letter may take up to several weeks, so get in touch with them as soon as possible. If you have general questions or concerns about the accessibility of this course, you are encouraged to reach out to your instructor, course coordinator, or Accessibility Services. Academic Integrity Academic Integrity is a fundamental value essential to the pursuit of learning and scholarship at the University of Toronto. Participating honestly, respectfully, responsibly, and fairly in this academic community ensures that the U of T degree that you earn will continue to be valued and respected as a true signifier of a student's individual work and academic achievement. As a result, the University treats cases of academic misconduct very seriously.

4 The University of Toronto's Code of Behaviour on Academic Matters outlines the behaviours that constitute academic misconduct, the process for addressing academic offences and the penalties that may be imposed. You are expected to be familiar with the contents of this document. Potential offences include, but are not limited to: In papers and assignments • Using someone else's ideas or words without appropriate acknowledgement. • Submitting your own work in more than one course without the permission of the instructor. • Making up sources or facts. • Obtaining or providing unauthorized assistance on any assignment (this includes collaborating with others on assignments that are supposed to be completed individually). On test and exams • Using or possessing any unauthorized aid, including a cell phone. • Looking at someone else's answers. • Misrepresenting your identity. • Submitting an altered test for re-grading. Misrepresentation • Falsifying institutional documents or grades. • Falsifying or altering any documentation required by the University, including (but not limited to) medical notes. All suspected cases of academic dishonesty will be investigated by the procedures outlined in the Code of Behaviour on Academic Matters . If you have any questions about what is or is not permitted in the course, please do not hesitate to contact the course instructor. If you have any questions about appropriate research and citation methods, you are expected to seek out additional information from the instructor or other U of T or RC resources such as the RC Centre for Professional Skills, the College Writing Centres or the Academic Success Centre. Email At times, the course instructor may decide to communicate important course information by email. As such, all U of T students are required to have a valid UTmail+ email address. You are responsible for ensuring that your UTmail+ email address is set up and properly entered on ACORN. For more information visit the Information Commons Help Desk . Forwarding your utoronto.ca email to a Gmail or other type of email account is not advisable. In some cases, messages from utoronto.ca addresses sent to Gmail accounts are filtered as junk mail, which means that important messages from your course instructor may end up in your spam or junk mail folder. Recording Lectures Lectures and course materials prepared by the instructor are considered by the University to be an instructor's intellectual property covered by the Canadian Copyright Act. Students wishing to

Weekly Schedule Session Date Topic Readings Location 1 May 9 Overview of the fixed income market, participants, bond features & structures Lecture slides WO35 2 May 11 The Nominal Yield Curve & Interpolation Lecture slides WO35 3 May 16 Building the Yield Curve: Government Bond Auctions & Repo Transactions Lecture slides WO35 4 May 18 Understanding the Yield Curve: Spot Rates, Forward Rates, Bootstrapping Lecture slides WO35 5 May 23 Measuring Interest Rate Risk: Duration, Convexity Lecture slides WO35 6 May 25 Midterm Test @FRT-Lab (RT290) RT290 (FRT-Lab) 7 May 30 Introduction to RIT and Fixed Income Cases (FI 1, 2, 3, and 4) RIT Help files and FI (Fixed Income) case documents RT290 (FRT-Lab) 8 June 1 RIT Fixed Income Case 5 (Yield Curve) and 6 (Credit Risk) RIT FI 5 and 6 case documents RT290 (FRT-Lab) 9 June 6 Corporate Bond Market: Credit & Capital Structure Guest Speaker session Lecture slides WO35 10 June 8 RIT FI Capstone case RIT FI Capstone case documents RT290 (FRT-Lab) 11 June 13 Embedded Calls & Puts Lecture slides WO35 12 June 15 RIT FI Case Performance Course review RT290 (FRT-Lab) Please note that the last day you can drop this course without academic penalty is June 5, 2023.

Other Useful Links • Become a volunteer note taker • Accessibility Services Note Taking Support • Credit / No-Credit in RSM courses • Rotman Commerce Academic Support URL links for print • ACORN : http://www.acorn.utoronto.ca/ • E mail Accessibility Services : [email protected] • Accessibility Services website : http://studentlife.utoronto.ca/as • University's Plagiarism Detection Tool FAQ : https://uoft.me/pdt-faq • The University of Toronto's Code of Behaviour on Academic Matters : http://www.governingcouncil.utoronto.ca/policies/behaveac.htm • Information Commons Help Desk : http://help.ic.utoronto.ca/category/3/utmail.html • Become a volunteer note taker: https://studentlife.utoronto.ca/program/volunteer-note- taking/ • Accessibility Services Note Taking Support : https://studentlife.utoronto.ca/service/note- taking-support/ • Credit / No-Credit in RSM courses : https://rotmancommerce.utoronto.ca/current- students/degree-requirements/credit-no-credit-option/ • Rotman Commerce Academic Support : https://rotmancommerce.utoronto.ca/current- students/academic-support/ • Book an appointment with a writing or presentation coach: http://uoft.me/writingcentres • Writing and Presentation Coaching academic support page : https://rotmancommerce.utoronto.ca/current-students/academic-support/writing-and- presentation-coaching/ • Centre for Professional Skills Teamwork Resources page : https://rotmancommerce.utoronto.ca/teamwork-resources • Book an appointment with a Teamwork Mentor: http://uoft.me/writingcentres