Module: Fixed Income Securities

Latest Module Specifications

Current Academic Year 2025 - 2026

Module Title	Fixed Income Securities
Module Code	FBA1013 (ITS: EF507)
Faculty	DCU Business School	School	DCU Business School
NFQ level	9	Credit Rating	5

Description

The objective of this course is to develop a deeper understanding of the characteristics of fixed income securities and to introduce students to the practice of interest rate risk management.

Learning Outcomes

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2. Apply the contingent claims framework to derive the prices of fixed income securities
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7. Assess the sensitivity of fixed income securities to interest rate movements
10. 2
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12. Evaluate interest rate options using the models of Black and Black, Derman and Toy
15. 3
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17. Calculate the credit exposure arising from derivative counterparty exposures
20. 4
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22. Value credit default swaps and use the copula approach to value nth-to-default swaps
25. 5
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27. Explain how debt is securitised and how the resulting tranches are rated
30. 6
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32. Examine the growth in debt levels globally and assess the sustainability of the debt buden
34. 11,9
35. 7

*Type*	*Hours*	*Description*
Workload	Full time hours per semester
Lecture	48	The lecturer will present the essential ideas and core concepts, pointing students towards resources where they can get further information.
Independent Study	48	Preparation for lectures and assigned readings.
Independent Study	29	Individual / group project on a topic approved by the Lecturer.
Total Workload: 125

Section Breakdown
CRN	12235	Part of Term	Semester 1
Coursework	40%	Examination Weight	60%
Grade Scale	40PASS	Pass Both Elements	N
Resit Category	RC1	Best Mark	N
Module Co-ordinator		Module Teacher

Section Breakdown
CRN	21471	Part of Term	Semester 2
Coursework	40%	Examination Weight	60%
Grade Scale	40PASS	Pass Both Elements	N
Resit Category	RC1	Best Mark	N
Module Co-ordinator	Claire Kearney	Module Teacher

Type	Description	% of total	Assessment Date
Assessment Breakdown
Assignment	Individual / group project	100%	Week 12

Reassessment Requirement Type
Resit arrangements are explained by the following categories; RC1: A resit is available for both^* components of the module. RC2: No resit is available for a 100% coursework module. RC3: No resit is available for the coursework component where there is a coursework and summative examination element. ^* ‘Both’ is used in the context of the module having a coursework/summative examination split; where the module is 100% coursework, there will also be a resit of the assessment

Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Pricing of Bonds
Bond price formula; sensitivity of bond prices; time, yield and coupon rate; zero coupon bond prices.Bond Yield Measures: Gross redemption yield; current yield; yield to call; realised compound yield; grossed up net redemption yield.Bond Price Volatility, Duration and Convexity: Macauley Duration; duration and maturity for nonzero-coupon bonds; the effect of the yield level and coupon frequency; duration as time elapses; duration between maturity dates; modified duration; convexity.The Term Structure of Interest Rates: Factors determining the level of forward rates; influences on the short-term rate; the mathematics of inflation and interest: Fisher's Law; influences on the long-run interest rate; traditional theories of the yield curve; newer theories of the yield curve.Callable Bonds, Option Adjusted Yields: Option adjusted duration and convexity; call adjusted estimation technique; significance and diversity of the call provision.Mortgage Backed Securities: Mortgage and pass-through cash flows; comparison of features of mortgage pass-through securities with treasuries and corporates: payment delay, monthly payments, prepayment effects, seasoning.Convertible Bonds: Who issues convertibles? advantages and disadvantages to issuing firms; advantages and disadvantages to the investor; analysis of convertible securities; dilution of the convertible privilege; when should a convertible be converted or sold?Index Linked Securities: Characteristics; impact of inflation; effects of not holding to maturity; impact of duration on volatilityThe Swap Yield Curve: Short-term swaps; long-term swaps; swap spread boundary conditions; other factors affecting long-term spreads; term structure fitting; forward term structure estimation.

Indicative Reading List

Books:

Suresh Sundaresan: 2009, Fixed Income Markets and Their Derivatives, 3, Elsevier, 9780123704
Bruce Tuckman, Angel Serrat: 0, Fixed Income Securities, 3rd, 978047089169

Articles:
None

Other Resources

None