BUSINESS SCHOOL

Unit of Study Outline

Unit Code FINC3019
Unit Title Fixed Income Securities
Semester 2, 2017
Pre-requisite Units: (FINC2012 or FINC2002) or (FINC2013 or FINC2003) or (FINC2014 or FINC2004)
Co-requisite Units:
Prohibited Units:
Assumed Knowledge and/or Skills: Basic Probability and Statistical Theory, Calculus, Basic Working
Knowledge of Excel
Unit Coordinator: Dr Richard Philip
Address: Room 415, The Business School Building(H69), Darlington NSW 2008
Email: richard.philip@sydney.edu.au Phone: 91140578
Consultation Hours: Friday 9-10 during teaching weeks
Class Day(s): Lecture: Wednesday 12:00-14:00 Tutorials: Refer to timetable
Required Text / Resources:

Fabozzi F.J. (2012) Bond Markets, Analysis and Strategies (8th Edition), Pearson Education.

This unit of study outline MUST be read in conjunction with

The Business School Unit of Study Common Policy and implementation information that applies to every unit of study offered by the
Business School (http://sydney.edu.au/business/currentstudents/policy). All assessment rules, such as standards used, penalties etc, are
covered.

The Business School Student Administration Manual - for information about all processes such as illness, appeals etc (
http://sydney.edu.au/business/currentstudents/student_information/student_administration_manual) When deciding applications and
appeals relating to these matters it will be assumed that every student has taken the time to familiarise themselves with these key policies
and procedures.

The Business School seeks feedback from students and staff in order to continually improve all units offered. For information on previously
collected feedback and innovations made in response to this feedback, please see
http://sydney.edu.au/business/learning/planning_and_quality/feedback/student

1. Unit of Study Information

This unit is designed to provide a thorough grounding in fixed income securities, bond portfolio analysis and the
use of closely related financial instruments in risk management. The unit begins with the basic analytical
framework necessary to understand the pricing of bonds and their investment characteristics (introducing
fundamental concepts such as duration, yield and term structure). This provides the building blocks for analysis of
more complicated corporate and derivative securities. Sectors of the debt market, including treasury securities,
corporate bonds, mortgage-backed securities, and convertible bonds are analysed. The use of derivatives and a
selection of special topics in fixed income are also discussed.

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2. Program Learning Outcomes and Unit Learning Outcomes

The Program Learning Outcomes for this Program are located at
http://sydney.edu.au/business/about/accreditations/AoL

Unit Learning Outcomes

Unit Learning Outcomes Program Learning Outcomes
On the successful completion of the Unit you should be able to:
Articulate the recent developments and innovation in the fixed income area. 1. Business Knowledge
4. Communication
Identify and understand the function of fixed income markets and their role 1. Business Knowledge
in the economy. 2. Critical Thinking
Explain the dynamics of interest rates and their term structure and relate 1. Business Knowledge
them to the pricing of fixed income securities. 2. Critical Thinking
3. Business Analysis and
Problem-Solving
4. Communication
Analyse the principles of bond portfolio's and explain their management. 1. Business Knowledge
2. Critical Thinking
3. Business Analysis and
Problem-Solving
Apply theory to the management of the risk inherent in fixed income 1. Business Knowledge
securities, derivatives and portfolios. 2. Critical Thinking
3. Business Analysis and
Problem-Solving

3. Assessment

Program
Assessment Individual/ Assessment Learning
Length Weight Due Time Due Date Closing Date
Name Group Conditions Outcomes
Assessed
Mid-semester
Individual Compulsory 2, 3 1 hour 25% 12:00pm 20-Sep-2017 20-Sep-2017
Exam
Group 12
Group Compulsory 2, 4, 5 25% 4:00pm 16-Oct-2017 26-Oct-2017
Assignment pages
2.5 Final Exam Final Exam
Final Exam Individual Compulsory 2, 3 50%
hours Period Period
Academic
Week 4
Honesty

For the meaning and operation of this table, see policy information in the box on the front page or click here

Assessment details

Mid-semester Exam

Task Description
The objective of the mid-semester exam is to motivate you to regularly revise the course material and to
complete the tutorial questions. The exam will provide you with feedback on your performance over the first 4
weeks of the course. The test will be 1 hour in duration and will be held in Week 8 in class. It will examine all
material covered in Weeks 1 to 4

Assessment Criteria
1. Attention to purpose
2. Use of literature/ Knowledge of theory
3. Analysis

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4. Problem solving
5. Conceptualisation
6. Critical reasoning / critical thinking
7. Time management/self management

Feedback - What, when and how feedback will be provided for this assessment
Worked solutions presented in Lectures

Group Assignment

Task Description
Students will be required to form groups of 2-3 and conduct a study of fixed income markets with the goal of
forming a bond portfolio from a range of individual fixed income securities. The particular details of the project
will be posted on blackboard in the first few weeks of the semester. The assigment will be submitted via
turnitin

Assessment Criteria
1. Conforming with instructions (e.g. word length, font, other instructions)
2. Presentation, communication & style (written)
3. Clarity of expression (incl. accuracy, spelling, grammar, punctuation)
4. Attention to purpose
5. Use of literature/ Knowledge of theory
6. Methodology used is the most appropriate to the aims and objectives of the task
7. Data/information gathering/processing
8. Context in which subject is used
9. Analysis
10. Critical reasoning / critical thinking

Feedback - What, when and how feedback will be provided for this assessment
Marked assignments with comments will be available for collection. Disussion of what was required for top
marks will be presented in lectures

Final Exam

Task Description
This will be a closed-book examination of two hours duration held during the Examination Period. The
questions will cover the entire 13 weeks of the course. Further administrative details on the final exam will be
provided in Week 13.

Assessment Criteria
1. Presentation, communication & style (written)
2. Attention to purpose
3. Use of literature/ Knowledge of theory
4. Methodology used is the most appropriate to the aims and objectives of the task
5. Analysis
6. Problem solving
7. Conceptualisation
8. Critical reasoning / critical thinking
9. Time management/self management

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Feedback - What, when and how feedback will be provided for this assessment
Final marks released subject to the University policy and timetable arrangement. The final exam will be
available for review during the exam review period.

4. Other Resources for Students

All lectures and seminars are recorded and will be available within Blackboard for student use. Please note the
Business School does not own the system and cannot guarantee that the system will operate or that every
class will be recorded. Students should ensure they attend and participate in all classes.

The following books are on library reserve and may help you in your study of Fixed Income Securities:

* Sundaresan, S. (2009) Fixed Income Markets and Their Derivatives, 3rd edition, Academic Press
* Martellini, L., P. Priaulet and S. Priaulet (2003) Fixed Income Securities: Valuation, Risk Management, and
Portfolio Strategies, John Wiley [also available online via the library catalogue]
* Hull, J. (2009) Options, Futures and Other Derivatives, 7th Edition, Pearson Prentice Hall

Academic articles, supplementary materials and readings will be provided on blackboard

http://bonds.about.com/?once=true http://www.bondresources.com/

http://www.bondsonline.com/

http://www.investinginbonds.com/

http://www.bloomberg.com/news/bonds/

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5. Unit Schedule

Week List of Topics Assessments Due

1
Introduction - The Fixed Income Market
31 Jul 2017
2
Pricing Basic Bonds: The Relationship Between Prices and Yields
7 Aug 2017
3
Bond Price Volatility: Duration and Convexity
14 Aug 2017
4
The Term Structure of Interest Rates: Modelling the Yield Curve
21 Aug 2017
5
Bond Portfolio Management 1
28 Aug 2017
6
Bond Portfolio Management 2 / Bloomberg Labs 1
4 Sep 2017
7
Bloomberg Labs 2
11 Sep 2017
8 Mid Semester Test
Mid Semester Exam
18 Sep 2017 during class

Common week 25 Sep to 1 Oct

9
Securitization Part I
2 Oct 2017
10
Securitization Part II
9 Oct 2017
11
Interest Rate Derivatives
16 Oct 2017
12
Bonds with embedded options/Guest Lecture Assignment is due
23 Oct 2017
13 Credit Default Swaps
30 Oct 2017 Review Lecture

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