Students
AFIN8012 – Fixed Income and Credit Analysis
2021 – Session 2, Special circumstances
Session 2 Learning and Teaching Update
The decision has been made to conduct study online for the remainder of Session 2 for all units WITHOUT mandatory on-campus learning activities. Exams for Session 2 will also be online where possible to do so.
This is due to the extension of the lockdown orders and to provide certainty around arrangements for the remainder of Session 2. We hope to return to campus beyond Session 2 as soon as it is safe and appropriate to do so.
Some classes/teaching activities cannot be moved online and must be taught on campus. You should already know if you are in one of these classes/teaching activities and your unit convenor will provide you with more information via iLearn. If you want to confirm, see the list of units with mandatory on-campus classes/teaching activities.
Visit the MQ COVID-19 information page for more detail.
General Information
Download as PDF
| Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Daniel Ding
|
|---|---|
| Credit points |
Credit points
10
|
| Prerequisites |
Prerequisites
AFIN6012 or ACST603 or ACST6003 or Admission to MFin
|
| Corequisites |
Corequisites
|
| Co-badged status |
Co-badged status
|
| Unit description |
Unit description
This unit introduces students to the financial world of fixed income securities and their markets, explains the risks of these securities, and presents the tools used in their valuation. The unit focuses on both the theoretical and practical aspects of fixed income investment. The topics covered include analysis of fixed income securities and markets, term structure of interest rates, valuation principles of various types of fixed income securities, and portfolio management strategies using fixed income securities. |
Important Academic Dates
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
Learning Outcomes
On successful completion of this unit, you will be able to:
- ULO1: Analyse the different types of fixed income securities and their characteristics.
- ULO2: Examine the methods of valuing different types of fixed income securities.
- ULO3: Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- ULO4: Apply strategies and interest rate immunization in fixed income securities management.
General Assessment Information
Assessment criteria (including information about late submissions and extensions) for all assessment tasks will be provided on the unit iLearn site.
Assessment Tasks
| Name | Weighting | Hurdle | Due |
|---|---|---|---|
| Homework Submission | 20% | No | Two randomly selected weeks |
| Group Report | 30% | No | Week 12 |
| Final Examination | 50% | No | University Examination Period |
Homework Submission
Assessment Type 1: Practice-based task
Indicative Time on Task 2: 18 hours
Due: Two randomly selected weeks
Weighting: 20%
Students will provide two submissions of homework assessments.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
Group Report
Assessment Type 1: Report
Indicative Time on Task 2: 27 hours
Due: Week 12
Weighting: 30%
The project will cover quantitative and qualitative research on a case study. Students will be required to work in groups and produce a report of between 2,000 to 2,500 words.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
Final Examination
Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: University Examination Period
Weighting: 50%
A two hour final examination will be held during the University Examination Period.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
1 If you need help with your assignment, please contact:
- the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
- the Writing Centre for academic skills support.
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
Delivery and Resources
Required Text
Fabozzi F.J. (2015) Bond Markets, Analysis and Strategies (9th Edition), Pearson Education.eBook: https://www.pearson.com.au/9780133797145
(Please note: the 8th edition can also be used as most of the content has not changed. Also, the eBook format is a little bit strange as some figures or tables are wrapped in different shape)
Some other research papers will also be provided on iLearn.
A lot of our offerings from this unit are suitable for students who want to attend CFA test level 1 and 2, so you may find additional readings from CFA text book as additional knowledge.
The timetable for classes can be found at: https://timetables.mq.edu.au/2021/
Unit Schedule
|
Week |
Week Beginning |
Topic |
Notes |
|
1 |
26th Jul |
Introduction of fixed income security and credit analysis |
Chapter 1 of textbook |
|
2 |
2nd Aug |
Bond pricing and yields |
Chapter 2-3 |
|
3
|
9th Aug |
Bond duration and convexity |
Chapter 4 |
|
4 |
16th Aug |
Term structure and interest rate |
Chapter 5 |
|
5 |
23rd Aug |
Treasury and corporate debt |
Chapter 6,7 |
|
6 |
30th Aug |
Bond with options |
Chapter 18 |
|
7 |
6th Sept |
Securitization I |
Chapter 10, 11, 12 |
|
|
Break |
|
|
|
8 |
27th Sept |
Securitization II |
Chapter 15 |
|
9 |
4th Oct |
Interest rate derivatives I |
Chapter 29, 30 |
|
10 |
11th Oct |
Interest rate derivatives II and CDS |
Chapter 31, 32 |
|
11 |
18th Oct |
Bond portfolio management I |
Chapter 16, 24, 25 |
|
12 |
25th Oct |
Bond portfolio management II |
Chapter 26, 27 Group Report Due |
|
13 |
1st Nov |
Revision |
|
Policies and Procedures
Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:
- Academic Appeals Policy
- Academic Integrity Policy
- Academic Progression Policy
- Assessment Policy
- Fitness to Practice Procedure
- Grade Appeal Policy
- Complaint Management Procedure for Students and Members of the Public
- Special Consideration Policy
Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
To find other policies relating to Teaching and Learning, visit Policy Central (https://policies.mq.edu.au) and use the search tool.
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Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct
Results
Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au
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Learning Skills
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Student Services and Support
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
Student Enquiries
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If you are a Global MBA student contact globalmba.support@mq.edu.au
IT Help
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Unit information based on version 2021.03 of the Handbook