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Unit of study_

FINC6014: Fixed Income Securities

This unit covers the concepts required for investment in fixed income securities, managing bond portfolios and understanding debt markets. Topics covered include duration, convexity, interest rate risk, bond volatility and the term structure of interest rates. The more complex types of debt securities studied include mortgage backed securities, corporate bonds with embedded options such as convertible bonds and interest rate derivatives.


Academic unit Finance
Unit code FINC6014
Unit name Fixed Income Securities
Session, year
Semester 2, 2020
Attendance mode Normal day
Location Camperdown/Darlington, Sydney
Credit points 6

Enrolment rules

Available to study abroad and exchange students


Teaching staff and contact details

Coordinator Richard Philip,
Type Description Weight Due Length
Final exam (Record+) Type B final exam Final exam
Written exam
50% Formal exam period 2 hours
Outcomes assessed: LO1 LO2 LO3 LO4 LO5 LO6
Assignment Assignments
Individual assignment
10% Week 05
Due date: 21 Sep 2020 at 16:00
6 pages
Outcomes assessed: LO2 LO3 LO4 LO5
In-semester test (Record+) Type B in-semester exam Mid-semester exam
25% Week 08
Due date: 25 Oct 2020 at 10:00
1 hour
Outcomes assessed: LO1 LO2 LO3
Assignment Assignment
Individual assignment
15% Week 11
Due date: 09 Nov 2020 at 16:00
6 pages
Outcomes assessed: LO2 LO3 LO4
Type B final exam = Type B final exam ?
Type B in-semester exam = Type B in-semester exam ?
  • Mid-semester exam: The objective of this exam is to motivate you to regularly revise the unit material and to complete the tutorial questions. It will examine all material covered in weeks 1-4.
  • Individual assignment: Students will be required to conduct two assignments with the goal of pricing bonds and estimating the zero coupon curve.
  • Final exam: This examination will cover the entire 12 weeks of the unit.

Detailed information for each assessment can be found on Canvas.

Assessment criteria

The University awards common result grades, set out in the Coursework Policy 2014 (Schedule 1).

As a general guide, a high distinction indicates work of an exceptional standard, a distinction a very high standard, a credit a good standard, and a pass an acceptable standard.

Result name

Mark range


High distinction

85 - 100

Awarded when you demonstrate the learning outcomes for the unit at an exceptional standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


75 - 84

Awarded when you demonstrate the learning outcomes for the unit at a very high standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


65 - 74

Awarded when you demonstrate the learning outcomes for the unit at a good standard, as defined by grade descriptors or exemplars outlined by your faculty or school.


50 - 64

Awarded when you demonstrate the learning outcomes for the unit at an acceptable standard, as defined by grade descriptors or exemplars outlined by your faculty or school. 


0 - 49

When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see

Late submission

In accordance with University policy, these penalties apply when written work is submitted after 11:59pm on the due date:

  • Deduction of 5% of the maximum mark for each calendar day after the due date.
  • After ten calendar days late, a mark of zero will be awarded.

Special consideration

If you experience short-term circumstances beyond your control, such as illness, injury or misadventure or if you have essential commitments which impact your preparation or performance in an assessment, you may be eligible for special consideration or special arrangements.

Academic integrity

The Current Student website provides information on academic honesty, academic dishonesty, and the resources available to all students.

The University expects students and staff to act ethically and honestly and will treat all allegations of academic dishonesty or plagiarism seriously.

We use similarity detection software to detect potential instances of plagiarism or other forms of academic dishonesty. If such matches indicate evidence of plagiarism or other forms of dishonesty, your teacher is required to report your work for further investigation.

WK Topic Learning activity Learning outcomes
Week 01 Introduction: the fixed income market Lecture (3 hr) LO1 LO2
Week 02 Pricing basic bonds: the relationship between prices and yields Lecture (3 hr) LO3 LO4
Week 03 Bond price volatility: duration and convexity Lecture (3 hr) LO4
Week 04 The term structure of interest rates: modelling the yield curve Lecture (3 hr) LO3 LO4
Week 05 Bond portfolio management 1 Lecture (3 hr) LO5
Week 06 Bond portfolio management 2 Lecture (3 hr) LO5
Week 07 Building a zero curve Lecture (3 hr) LO3 LO4
Week 08 Securitisation 1 Lecture (3 hr) LO1 LO2 LO6
Week 09 Securitisation 2 Lecture (3 hr) LO1 LO2 LO6
Week 10 Interest rate derivatives Lecture (3 hr) LO5 LO6
Week 11 Bonds with embedded options Lecture (3 hr) LO6
Week 12 Review lecture Lecture (3 hr) LO1 LO2 LO3 LO4 LO5 LO6

Study commitment

Typically, there is a minimum expectation of 1.5-2 hours of student effort per week per credit point for units of study offered over a full semester. For a 6 credit point unit, this equates to roughly 120-150 hours of student effort in total.

Required readings

Fabozzi F.J. (2015) Bond Markets, Analysis and Strategies (9th Edition), Pearson Education. (Note: the hard copy of the 9th edition is about $300.)

Here is the link for students to purchase the eBook online: $60 downloadable Vital Source eBook

Learning outcomes are what students know, understand and are able to do on completion of a unit of study. They are aligned with the University’s graduate qualities and are assessed as part of the curriculum.

At the completion of this unit, you should be able to:

  • LO1. articulate the recent developments and innovation in the fixed income area
  • LO2. identify and understand the function of fixed income markets and their role in the economy
  • LO3. conceptualise the fixed income financial instruments and apply them to their purposes
  • LO4. explain the dynamics of interest rates and their term structure and relate them to the pricing of fixed income securities
  • LO5. understand the principles of bond portfolio management and construct and manage a bond portfolio
  • LO6. apply theory to the management of the risk inherent in fixed income securities, derivatives and portfolios.

Graduate qualities

The graduate qualities are the qualities and skills that all University of Sydney graduates must demonstrate on successful completion of an award course. As a future Sydney graduate, the set of qualities have been designed to equip you for the contemporary world.

GQ1 Depth of disciplinary expertise

Deep disciplinary expertise is the ability to integrate and rigorously apply knowledge, understanding and skills of a recognised discipline defined by scholarly activity, as well as familiarity with evolving practice of the discipline.

GQ2 Critical thinking and problem solving

Critical thinking and problem solving are the questioning of ideas, evidence and assumptions in order to propose and evaluate hypotheses or alternative arguments before formulating a conclusion or a solution to an identified problem.

GQ3 Oral and written communication

Effective communication, in both oral and written form, is the clear exchange of meaning in a manner that is appropriate to audience and context.

GQ4 Information and digital literacy

Information and digital literacy is the ability to locate, interpret, evaluate, manage, adapt, integrate, create and convey information using appropriate resources, tools and strategies.

GQ5 Inventiveness

Generating novel ideas and solutions.

GQ6 Cultural competence

Cultural Competence is the ability to actively, ethically, respectfully, and successfully engage across and between cultures. In the Australian context, this includes and celebrates Aboriginal and Torres Strait Islander cultures, knowledge systems, and a mature understanding of contemporary issues.

GQ7 Interdisciplinary effectiveness

Interdisciplinary effectiveness is the integration and synthesis of multiple viewpoints and practices, working effectively across disciplinary boundaries.

GQ8 Integrated professional, ethical, and personal identity

An integrated professional, ethical and personal identity is understanding the interaction between one’s personal and professional selves in an ethical context.

GQ9 Influence

Engaging others in a process, idea or vision.

Outcome map

Learning outcomes Graduate qualities
No changes have been made since this unit was last offered.


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