1. An investor buys a face amount $1 million of a six-month (182 days) Treasury
bill at a discount yield of 9.25 percent. What is the cost of purchasing these bills?
Calculate the bond equivalent yield.
Cost of T-bill: The discount rate per $100 face amou
FINC 3019 Fixed Income Securities
Mid-Semester Practice Questions
1.
You purchase an Australian Commonwealth Government Bond (CGB) that settles on
Tuesday 15 June 2010. The CGB has a YTM of 7.8%, pays semi-annual coupons at a
rate of 7% p.a. and matures o
The Society for Financial Studies
On Mutual Fund Investment Styles
Author(s): Louis K. C. Chan, Hsiu-Lang Chen, Josef Lakonishok
Reviewed work(s):
Source: The Review of Financial Studies, Vol. 15, No. 5 (Winter, 2002), pp. 1407-1437
Published by: Oxford U
Chapter 10
13. Consider the following fixed-rate, level-payment mortgage: maturity = 360 months amount
borrowed = $100,000 annual mortgage rate = 10%
(a) Construct an amortization schedule for the first 10 months.
(b)What will the mortgage balance be at t
Fixed Income Securities
Introduction
Dr. Richard Philip
FINANCE DISCIPLINE
Overview
Why are you here?
Importance for degree?
Employment opportunities?
Youre worried about your investment portfolio?
Why Fixed Income Securities?
Stocks are from
Mars,
Corporate Debt and Credit Risk
Lecture 8
FINC3019 FIXED INCOME SECURITIES
DR RICHARD PHILIP
Introduction
Credit risk
Default
Ratings agencies
Recovery rate
The information content of credit ratings
Reading
- Fabozzi Ch. 7, 22 (pp. 497-506)
Australia
Bond Portfolio Management II
Lecture 7
FIXED INCOME SECURITIES
DR Richard
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Liability driven strategies
Performance measurement
Reading:
- Fabozzi Ch. 24 25
2
Immunization of a Portfolio to Satisfy a Single
Li
Where are we?
Pricing CGBS based on different settlement dates
The relationship between yield and price
The relationship between yield, coupon rate and price
Interest rate risk
Duration
Convexity
1
The Yield Curve and the Term Structure of
Interest
Investment
Decisions Under
Uncertainty
Lecture 2
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning objectives
How do we model investor preferences?
We can use utility functions to rank alternative outcomes
Certain utility funct
Interest Rate Derivatives
Lecture 11
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Futures
- Delivery options
- Basis
- Cost of carry
- Pricing
- Hedging
Interest rate swaps
- What are they
- Pricing and valuatio
Securitisation I
Mortgages and Mortgage-backed securities
Lecture 8
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Mortgages
- Risks
- Australian mortgage market
- Cash flows
Mortgage-backed Securities
- How are t
Corporate Debt and Credit Risk
Lecture 8
FINC3019 FIXED INCOME SECURITIES
DR RICHARD PHILIP
Introduction
Credit risk
Default
Ratings agencies
Recovery rate
The information content of credit ratings
Reading
- Fabozzi Ch. 7, 22 (pp. 497-506)
Australia
Credit Risk Derivatives & Review
Lecture 11
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Credit Risk Derivatives
CDS
Exam format and content
2
Credit Default Swaps
Credit Default Swaps
CDS allow one counterpar
Interest Rate Derivatives
Lecture 11
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Futures
- Delivery options
- Basis
- Cost of carry
- Pricing
- Hedging
Interest rate swaps
- What are they
- Pricing and valuatio
Securitisation II
Securitisation and Global Financial Crisis
Lecture 9
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Securitisation
- The process
- Credit enhancements
Asset-backed securities
- Collateralise Mort
Securitisation I
Mortgages and Mortgage-backed securities
Lecture 8
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Mortgages
- Risks
- Australian mortgage market
- Cash flows
Mortgage-backed Securities
- How are t
Bond Portfolio Management
Lecture 5
FINC3019 FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Benchmark indices
Passive portfolio management
Active portfolio management
Trading strategies
- Bullets
- Barbells
Rea
Tutorial 2
1. An investor buys a face amount $1 million of a six-month (182 days) Treasury
bill at a discount yield of 9.25 percent. What is the cost of purchasing these bills?
Calculate the bond equivalent yield.
Cost of T-bill: The discount rate per $10
Credit Risk Derivatives & Review
Lecture 11
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Credit Risk Derivatives
CDS
Exam format and content
2
Credit Default Swaps
Credit Default Swaps
CDS allow one counterpar
Optimal Portfolios
Lecture 2
FINC3017 INVESTMENTS AND PORTFOLIO
MANAGEMENT
DR ANDREW AINSWORTH
Learning objectives
How do we construct risky portfolios?
We can use some basic maths to understand portfolio risk
and return
Understand why is diversificati
10. Is it possible for an investor to pay more than the call price pay more than the call
price for a bond that is likely to be called?
13. The current on-the-run yields for the Ramsey Corporation are as follows:
Maturity
(years)
1
2
3
Yield to Maturity (
Duration and Convexity
Lecture 3
FIXED INCOME SECURITIES
DR Richard Philip
FACULTY OF
ECONOMICS & BUSINESS
Lecture outline
Bond price volatility
Duration
- Dollar duration
- Modified duration
- Macaulay duration
Convexity
- How it improves upon duratio
Fixed Income Securities
Introduction
Dr. Richard Philip
FINANCE DISCIPLINE
Overview
Why are you here?
Importance for degree?
Employment opportunities?
Youre worried about your investment portfolio?
Why Fixed Income Securities?
Stocks are from
Mars,
Securitisation II
Securitisation and Global Financial Crisis
Lecture 9
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Introduction
Securitisation
- The process
- Credit enhancements
Asset-backed securities
- Collateralise Mort
Assignment Feedback & Review
Lecture 11
FIXED INCOME SECURITIES
DR RICHARD PHILIP
FACULTY OF
ECONOMICS & BUSINESS
Assignment Feedback
Part a). Estimate the zero curve
Why might your zero curve look different to the Bloomberg zero curve ?
- -One is made
BUSINESS SCHOOL
Unit of Study Outline
Unit Code FINC3019
Unit Title Fixed Income Securities
Semester 2, 2015
Pre-requisite Units: (FINC2012 or FINC2002) or (FINC2013 or FINC2003) or (FINC2014 or FINC2004)
Co-requisite Units:
Prohibited Units:
Assumed Know
13. Consider the following fixed-rate, level-payment mortgage: maturity = 360 months amount
borrowed = $100,000 annual mortgage rate = 10%
(a) Construct an amortization schedule for the first 10 months.
Fully amortizing fixed-rate loans have a payment tha
Group Assignment FINC3019
Semester 1, 2016
Fixed Income Portfolio Management
1. Introduction
You are a manager of an Australian hedge fund that intends to construct a fixed-income portfolio
with initial funds under management of $100m. The investment mand
Partly owned subsidiaries: Direct noncontrolling interest (DNCI)
ACCT3011
Lecture 6
Semester 2, 2016
Emma Holmes
1
Lecture objectives
Describe the nature of non-controlling interests (NCI),
in particular direct NCI
Explain the components of total NCI
E
12/08/2016
Accounting for associates and joint ventures: the equity
method
ACCT 3011, Semester 2, 2016
Lecture 7
Emma Holmes
12/08/2016
Lecture Outline
1.
Overview: Categories of investments
2.
Brief history of equity accounting in Australia
3.
AASB 128: