Fixed Income Securities - BUSN7770

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2021 to 2022
Autumn Term 6 15 (7.5) Diana Tunaru checkmark-circle


The world of fixed-income markets is becoming increasingly more complex with debt instruments that have varied payoffs structures and fixed-income derivatives that are growing in size and complexity. As a result of the 2007-2008 global financial crisis many key players in the fixed-income markets either collapsed (Bears Stearns and Lehman Brothers), or were bailed out by governments (Freddie Mac, Fannie Mae, the Royal Bank of Scotland, Lloyds TSB, and HBOS, etc.). Hence, the aim of this module is to provide an introduction of the complex nature of fixed-income markets and securities and a discussion on the forces affecting prices and risks of such instruments. The module will also include a discussion on the appropriate management techniques to hedge the risks associated with fixed-income instruments.
This module will cover the following topics:
- Features of debt instruments and risks associated with investing in these instruments.
- Debt and money markets (participants, operations, trading activities).
- Fixed-income instruments (Government bonds, corporate bonds, credit ratings, high-yield bonds, international bonds, mortgage-backed securities, etc.).
- Money market instruments (Treasury bills, commercial paper, repurchase agreements, bills of exchange, etc.).
- Fixed-income valuation (traditional approach, arbitrage-free approach, yield measures, volatility measures).
- Term-structure of interest rates and classic theories of term structure, derivation of zero-coupon yield curve.
- General principles of credit analysis (credit scoring, credit risk modelling, etc.).
- Fixed-income portfolio construction and management strategies (portfolio's risk profile, managing funds against a bond market index).


Contact hours

The module will be taught by lectures, seminars and private study.
Total Contact Hours: 33
Private Study Hours: 117

Method of assessment

Main assessment methods

Group Written Report - (2,000 words).

Exam: Two Hours, Unseen: 70%

In order to pass the module as a whole and ensure all learning outcomes are met, students must achieve a pass mark of 40% for the group written report.

Reassessment methods

Reassessment will be 100% examination.

Indicative reading

Core Reading
- Fabozzi, F. (2013) Bond Markets, Analysis and Strategies, 8th Edition. London: Prentice Hall.
- Petitt, B. S., Pinto, J.E. and Pirie, W.L. (2015), Fixed income analysis. 3rd Edition, CFA Institute, Hoboken, NJ: John Wiley & Sons.

Recommended Reading
- Arnold, G. (2015). FT Guide to Bond and Money Markets. London: FT Publishing International.
- Fabozzi, F.J. (2007). Fixed Income Analysis. Second Edition. Hoboken, NJ: Wiley.
- Martellini, L., Priaulet, P., & Priaulet, S. (2005). Fixed-income securities: valuation, risk management and portfolio strategies. Hoboken, NJ: Wiley.
- Tuckman, B. and Serrat, A. (2011). Fixed Income Securities: Tools for Today's Markets. 3rd Edition. Hoboken, NJ: Wiley.

See the library reading list for this module (Medway)

Learning outcomes

The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
- Demonstrate systematic understanding of the operations in money and bond markets and appraise the more recent developments in these markets.
- Demonstrate their ability in calculation and manipulation and capability to deploy accurately established approaches to analyse similarities and differences, and solve problems in various financial areas.
- Critically apply key aspects of Fixed Income Securities in well-defined contexts, showing judgement in the selection and application of tools and techniques.
- Demonstrate conceptual and critical understanding of the advantages and disadvantages of financial approaches in bond valuation and structuring and managing a diversified fixed-income portfolio.

The intended generic learning outcomes.
On successfully completing the module students will be able to:
- Manage their own learning and make use of appropriate resources and demonstrate the acquisition of the study skills needed for continuing professional development.
- Understand and critically evaluate logical arguments, identifying the assumptions made and the conclusions drawn.
- Effectively, communicate information, ideas, and solutions to both specialist and non-specialist audiences.
- Apply advanced IT skills to analyse and solve complex problems
- Work effectively and efficiently within a team


  1. Credit level 6. Higher level module usually taken in Stage 3 of an undergraduate degree.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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