Skip to main content
Unit outline_

FINC3019: Fixed Income Securities

Semester 2, 2022 [Normal day] - Camperdown/Darlington, Sydney

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.

Unit details and rules

Academic unit Finance
Credit points 6
Prerequisites
? 
FINC2012
Corequisites
? 
None
Prohibitions
? 
None
Assumed knowledge
? 

None

Available to study abroad and exchange students

Yes

Teaching staff

Coordinator James Cummings, james.cummings@sydney.edu.au
Lecturer(s) James Cummings, james.cummings@sydney.edu.au
Type Description Weight Due Length
Final exam (Record+) Type B final exam Final exam
Online exam
50% Formal exam period 2 hours
Outcomes assessed: LO1 LO2 LO3 LO4 LO5
In-semester test (Record+) Type B in-semester exam Mid-semester exam
Online exam
25% Week 07
Due date: 16 Sep 2022 at 10:00
80 minutes
Outcomes assessed: LO1 LO2 LO3
Assignment group 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: LO1 LO2 LO4
group assignment = group assignment ?
Type B final exam = Type B final exam ?
Type B in-semester exam = Type B in-semester exam ?

Assessment summary

  • 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 Darden School of Business case study on corporate bond investment and market efficiency. 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 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.

Academic integrity

The Current Student website provides information on academic integrity 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 integrity breaches seriously.

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

Use of generative artificial intelligence (AI) and automated writing tools

You may only use generative AI and automated writing tools in assessment tasks if you are permitted to by your unit coordinator. If you do use these tools, you must acknowledge this in your work, either in a footnote or an acknowledgement section. The assessment instructions or unit outline will give guidance of the types of tools that are permitted and how the tools should be used.

Your final submitted work must be your own, original work. You must acknowledge any use of generative AI tools that have been used in the assessment, and any material that forms part of your submission must be appropriately referenced. For guidance on how to acknowledge the use of AI, please refer to the AI in Education Canvas site.

The unapproved use of these tools or unacknowledged use will be considered a breach of the Academic Integrity Policy and penalties may apply.

Studiosity is permitted unless otherwise indicated by the unit coordinator. The use of this service must be acknowledged in your submission as detailed on the Learning Hub’s Canvas page.

Outside assessment tasks, generative AI tools may be used to support your learning. The AI in Education Canvas site contains a number of productive ways that students are using AI to improve their learning.

Simple extensions

If you encounter a problem submitting your work on time, you may be able to apply for an extension of five calendar days through a simple extension.  The application process will be different depending on the type of assessment and extensions cannot be granted for some assessment types like exams.

Special consideration

If exceptional circumstances mean you can’t complete an assessment, you need consideration for a longer period of time, or if you have essential commitments which impact your performance in an assessment, you may be eligible for special consideration or special arrangements.

Special consideration applications will not be affected by a simple extension application.

Using AI responsibly

Co-created with students, AI in Education includes lots of helpful examples of how students use generative AI tools to support their learning. It explains how generative AI works, the different tools available and how to use them responsibly and productively.

WK Topic Learning activity Learning outcomes
Week 01 Introduction Lecture (2 hr) LO1
Week 02 Bond prices and yields Lecture and tutorial (3 hr) LO2 LO3
Week 03 Bond price volatility Lecture and tutorial (3 hr) LO2 LO3
Week 04 Term structure of interest rates Lecture and tutorial (3 hr) LO2 LO3
Week 05 Debt market sectors Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4
Week 06 Callable bonds Lecture and tutorial (3 hr) LO1 LO2 LO4
Week 07 Corporate bond credit risk Lecture and tutorial (3 hr) LO1 LO2 LO4
Week 08 Credit risk modelling Lecture and tutorial (3 hr) LO1 LO2 LO4
Week 09 Mortgage-backed securities Lecture and tutorial (3 hr) LO1 LO2 LO4
Week 10 Asset-backed securities Lecture and tutorial (3 hr) LO1 LO2 LO4
Week 11 Bond portfolio management Lecture and tutorial (3 hr) LO4 LO5
Week 12 Liability-driven strategies Lecture and tutorial (3 hr) LO4 LO5
Week 13 Professional development Lecture and tutorial (3 hr) LO1 LO2 LO3 LO4 LO5

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 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. Describe the structure and operation of fixed income markets and the features of instruments traded in these markets.
  • LO2. Calculate bond prices and yields and identify the risks associated with investing in bonds.
  • LO3. Analyse the factors likely to affect the shape of the yield curve and impute forward rates from the yield curve.
  • LO4. Formulate fixed income portfolio management strategies.
  • LO5. Evaluate the investment performance of a fixed income portfolio manager.

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
GQ1 GQ2 GQ3 GQ4 GQ5 GQ6 GQ7 GQ8 GQ9

This section outlines changes made to this unit following staff and student reviews.

The assessment regime has been modified to include an in-semester test and a group assignment. The group assignment will help students to articulate their ideas, refine concepts and develop interpersonal and communication skills (which have languished during the COVID-19-affected period).
  • 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.

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.