FINC6014: Semester 2, 2022

University home

Library

Current students

Staff intranet

Find an event

Give

Current students

Units FINC6014 Semester 2 2022 [Normal day]

Unit of study_

FINC6014: Fixed Income Securities

Overview

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.

Details

Academic unit	Finance
Unit code	FINC6014
Unit name	Fixed Income Securities
Session, year ?	Semester 2, 2022
Attendance mode	Normal day
Location	Remote
Credit points	6

Enrolment rules

Prohibitions ?	None
Prerequisites ?	FINC5001
Corequisites ?	None
Available to study abroad and exchange students	Yes

Teaching staff and contact details

Coordinator	James Cummings, james.cummings@sydney.edu.au
Lecturer(s)	James Richard Cummings , james.cummings@sydney.edu.au

Type	Description	Weight	Due	Length
Final exam (Record+)	Final exam Online exam	50%	Formal exam period	2 hours
Outcomes assessed:
In-semester test (Record+)	Mid-semester exam Online exam	25%	Week 07 Due date: 15 Sep 2022 at 13:00	80 minutes
Outcomes assessed:
Assignment	Group assignment Written report	25%	Week 11 Due date: 21 Oct 2022 at 23:59 Closing date: 31 Oct 2022	10 A4 pages
Outcomes assessed:
= group assignment ? = Type B final exam ? = Type B in-semester exam ?

Mid-semester exam: The mid-semester exam will cover the topics studied during weeks 1 to 5 inclusive. The mid-semester exam will be closed book and a handheld calculator will be permitted. Details of the format for the mid-semester exam will be provided on Canvas.
Group assignment: Each student will work as part of a group of 3 or 4 members to write a report about issues raised in a Stanford Graduate School of Business case study on the LIBOR scandal. Instructions and marking criteria for the report will be provided on Canvas.
Final exam: The final exam will cover the topics studied throughout the semester. The final exam will be closed book and a handheld calculator will be permitted. Details of the format for the final exam will be provided 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	Description
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.
Distinction	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.
Credit	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.
Pass	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.
Fail	0 - 49	When you don’t meet the learning outcomes of the unit to a satisfactory standard.

For more information see sydney.edu.au/students/guide-to-grades.

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.

Weekly schedule

WK	Topic	Learning activity
Week 01	Introduction	Lecture (2 hr)
Week 02	Bond prices and yields	Lecture and tutorial (3 hr)
Week 03	Bond price volatility	Lecture and tutorial (3 hr)
Week 04	Term structure of interest rates	Lecture and tutorial (3 hr)
Week 05	Debt market sectors	Lecture and tutorial (3 hr)
Week 06	Bonds with embedded options	Lecture and tutorial (3 hr)
Week 07	Corporate bond credit risk	Lecture and tutorial (3 hr)
Week 08	Credit risk modelling	Lecture and tutorial (3 hr)
Week 09	Mortgage-backed securities	Lecture and tutorial (3 hr)
Week 10	Asset-backed securities	Lecture and tutorial (3 hr)
Week 11	Bond portfolio strategies	Lecture and tutorial (3 hr)
Week 12	Liability-driven strategies	Lecture and tutorial (3 hr)
Week 13	Professional development	Lecture and tutorial (3 hr)

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. and Fabozzi, F.A. (2021), Bond Markets, Analysis, and Strategies, 10th edition, MIT Press, ISBN 9780262046275.

Week 1: Chapter 1; Week 2: Chapters 2 and 3
Week 3: Chapter 4; Week 4: Chapters 5 and 6
Week 5: Chapters 7, 8 and 10; Week 6: Chapter 19
Week 7: Chapter 22; Week 8: Chapter 23
Week 9: Chapters 11, 12, 13 and 14; Week 10: Chapter 16
Week 11: Chapters 24, 25 and 26; Week 12: Chapter 27

Chapters from the textbook will be supplemented by journal articles. All the journal articles can be accessed through the Library Reading List, available on Canvas.

Learning outcomes

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.

Outcomes
Graduate qualities

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

LO1. Describe the operations in money and bond markets and appraise the more recent developments in these markets.
LO2. Calculate bond prices and yields and calculate and interpret the Macaulay duration, modified duration, dollar duration, and convexity of a bond.
LO3. Explain the impact of inflation, liquidity and segmentation on the slope of the yield curve and the predictive content of the yield curve for future economic growth.
LO4. Structure and manage a diversified fixed income portfolio.
LO5. Evaluate interest rate risk management techniques.

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
Learning outcomes

Closing the loop

No changes have been made since this unit was last offered.

Additional information

Face-to-face: Lectures will be used to set the scene and show how the topic fits into the overall unit of study aims. Tutorials will help you to further your understanding and apply concepts to more difficult problems.
Print: Chapters from the textbook and specified articles should be read prior to attending the lecture each week. Homework problems will be assigned at the end of lectures and these should be completed before coming to the tutorial the following week.
Online: Canvas (https://canvas.sydney.edu.au) provides the main online learning support. You should log in at least twice per week to keep abreast of unit-wide announcements and use the resources to supplement your learning. Lecture slides will be available the day before each lecture for you to download from Canvas. Solutions to homework problems will be made available online after the problems are discussed in the tutorial.

Key dates
Key dates through the academic year, including teaching periods, census, payment deadlines and exams.
Student administration
Enrolment, course planning, fees, graduation, support services, student IT
Expectations of student conduct
Code of Conduct for Students, Conditions of Enrollment, University Privacy Statement, Academic Integrity
Academic appeals
Academic appeals process, special consideration, rules and guidelines, advice and support
Learning and teaching policy
Policy register, policy search
Financial support
Scholarships, interest free loans, bursaries, money management
Study resources
Learning Centre, faculty and school programs, Library, online resources
Health and support
Student Centre, counselling & psychological services, University Health Service, general health and wellbeing

Disclaimer

The University reserves the right to amend units of study or no longer offer certain units, including where there are low enrolment numbers.

To help you understand common terms that we use at the University, we offer an online glossary.

Current students

Overview

Details

Enrolment rules

Teaching staff and contact details

Assessment

Assessment criteria

Late submission

Special consideration

Academic integrity

Weekly schedule

Study commitment

Required readings

Learning outcomes

Graduate qualities

Outcome map

Closing the loop

Additional information

Disclaimer

On this page

Useful links

Media

Student links

About us

Connect