Students

AFIN8012 – Fixed Income and Credit Analysis

2023 – Session 2, In person-scheduled-weekday, North Ryde

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff
Daniel Ding
daniel.ding@mq.edu.au
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

General Assessment Information

Late Assessment Submission Penalty (written assessments) 

Unless a Special Consideration request has been submitted and approved, a 5% penalty (of the total possible mark) will be applied each day a written assessment is not submitted, up until the 7th day (including weekends). After the 7th day, a grade of ‘0’ will be awarded even if the assessment is submitted. Submission time for all written assessments is set at 11.55pm. A 1-hour grace period is provided to students who experience a technical concern.   

For any late submissions of time-sensitive tasks, such as scheduled tests/exams, performance assessments/presentations, and/or scheduled practical assessments/labs, students need to submit an application for Special Consideration. 

 

 

Assessment Tasks

Name Weighting Hurdle Due
Homework Submission 10% No Random week
Online Quiz 10% No Week 5
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: 13 hours Due: Random weeks Weighting: 10%

 

Students will provide One submission 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.

Online Quiz

Assessment Type 1: Quiz/Test Indicative Time on Task 2: 5 hours Due: Week 5 Weighting: 10%

 

The online quiz will consist of 5 to 10 questions and will be available on iLearn. Please use the quiz result as an indicator of whether you are progressing satisfactorily in the unit.

 

On successful completion you will be able to:

  • Examine the methods of valuing different types of fixed income securities.

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.

Assessment Tasks

Name Weighting Hurdle Due
Online Quiz 10% No Week 5
Homework Submission 10% No Will be noticed one week ahead
Group Report 30% No Week 12
Final Examination 50% No Final exam week

Online Quiz

Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 5 hours
Due: Week 5
Weighting: 10%

 

The online quiz will consist of 5 to 10 questions and will be available on iLearn. Please use the quiz result as an indicator of whether you are progressing satisfactorily in the unit.

 
On successful completion you will be able to:
  • Examine the methods of valuing different types of fixed income securities.

Homework Submission

Assessment Type 1: Practice-based task
Indicative Time on Task 2: 13 hours
Due: Will be noticed one week ahead
Weighting: 10%

 

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: Final exam week
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

Recommended textbook

Fabozzi F.J. (2015) Bond Markets, Analysis and Strategies (9th Edition), Pearson Education.

(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.

Unit Schedule

Week

 Week Beginning

Topic

Notes

1

 24th Jul

Introduction of fixed income security and credit analysis

Chapter 1 of textbook

2

 31st Jul

Bond pricing and yields

Chapter 2-3

3

 

 7th Aug

Bond duration and convexity

Chapter 4

4

 14th Aug

Term structure and interest rate

Chapter 5

5

 21st Aug

Treasury and corporate debt

Chapter 6,7,

Online Quiz

6

 28th Aug

Bond with options

Chapter 18

7

 4th Sept

Securitization I

Chapter 10, 11, 12

 

  

Break

 

8

 25th Sept

Securitization II

Chapter 15

9

 2th Oct

Interest rate derivatives I

Chapter 29, 30

10

 9th Oct

Interest rate derivatives II and CDS

Chapter 31, 32

11

 16th Oct

Bond portfolio management I

Chapter 16, 24, 25

12

 23th Oct

Bond portfolio management II

Chapter 26, 27

Group Report Due

13

 30st OCT

Revision

 

Policies and Procedures

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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

Academic Integrity

At Macquarie, we believe academic integrity – honesty, respect, trust, responsibility, fairness and courage – is at the core of learning, teaching and research. We recognise that meeting the expectations required to complete your assessments can be challenging. So, we offer you a range of resources and services to help you reach your potential, including free online writing and maths support, academic skills development and wellbeing consultations.

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

The Writing Centre

The Writing Centre provides resources to develop your English language proficiency, academic writing, and communication skills.

The Library provides online and face to face support to help you find and use relevant information resources. 

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Unit information based on version 2023.01 of the Handbook