Master of Management Studies (M.M.S) Fixed Income Securities Syllabus - Mumbai University 2026

Course objectives

• 1 To introduce foundational concepts, instruments, and markets related to fixed income securities.
• 2 To equip students with practical skills for analyzing, pricing, and managing fixed income investments.
• 3 To develop analytical capabilities for assessing interest rate risk, credit risk, and yield management.
• 4 To foster understanding of fixed income portfolio construction and risk mitigation strategies.
• 5 To cultivate strategic insights into current market trends, regulatory changes, and investment strategies.

Course outcomes

• CO1: Students will be able to discuss the various products and operations in bond and money markets and explain the recent developments in the money and bond markets.
• CO2: Students will be able to calculate the various parameters of bond markets accurately using the established approaches and framework and solve problems in various areas of bond and money market
• CO3: Students will be able to critically apply various tools and techniques for effective risk management in bond markets and will formulate key strategies using various frameworks of bond portfolio management in well-defined contexts.
• CO4: Students will be able to determine the various risks inherent to bond and money market and decide the various instruments of financial derivatives available for managing such risk.
• CO5: Students will be able to Defend the learnings about the structure of debt market, role of regulators, government, Banks, Global bond market and other stake holders in crisis and failures of debt market during case study discussions and presentation.

Unit 1 CO1 · 3 hours

Overview of The Indian Debt Market • Role of the Debt Market • Importance of Debt Markets • The Bond Market Ecosystem • Role of Regulators • Role of Monetary Policy in Debt Markets • Evolution of Debt Markets • Market Dynamics

Unit 2 CO1 · 3 hours

Types of Fixed Income Securities • Classification of fixed income securities based on the Type of Issuer • Classification of fixed income securities based on Maturity • Classification of fixed income securities based on Coupon • Classification of fixed income securities based on Currencies • Classification of fixed income securities based on Embedded Options • Classification of fixed income securities based on Security • Other fixed income securities in India

Unit 3 CO2 · 3 hours

Pricing of Bonds • Concept of “Par Value” • Time Value of Money • Determining Cash Flow, Yield and Price of Bonds • Pricing of Different Bonds • Price-Yield Relationship • Price Time Path of a Bond • Pricing of a Floating Rate Bond

Unit 4 CO2 · 3 hours

Yield Measures and Total Return • Understand the Sources of Return • Traditional Yield Measures

Unit 5 CO1, CO3 · 3 hours

Risks Associated with Investing in Fixed Income Securities • Risks associated with fixed income securities • Risk Mitigation Tools

Unit 6 CO3 · 6 hours

Measuring Interest Rate Risk • Price Volatility Characteristics of Option Free Bonds and Bonds with Embedded Options • Understand the Concept of Duration • Difference between Modified Duration and Effective Duration • Price Value of Basis Point (PV01) • Convexity Measure • Modified Convexity and Effective Convexity • Taylor’s Expansion and Its Application in Approximating Bond Price Changes

Unit 7 CO3 · 3 hours

Term Structure of Interest Rates • Yield Curve and Term Structure • Relationship between Spot and Forward Rates • Determinants of the Shape of the Term Structure

Unit 8 CO1, CO2 · 3 hours

Indian Money Market • Introduction to Money Market • Types of Instruments in Money Market • Trends in the Indian Money Market • Importance of the Call Money Market • Important Rates in the Indian Interbank Call Market -MIBOR/LIBOR

Unit 9 CO1, CO2, · 3 hours

Government Debt Market • Introduction to Government Debt Market • Types of Instruments in Government Debt Market • Trends in the Indian G-Sec Market • The Issuance Mechanism • Secondary Market Infrastructure for G-Secs in India • Clearing and Settlement of Secondary Market Trades • G-sec Valuation in India • Key Regulatory Guidelines for the Indian G-Sec Market • I.10-year Benchmark bond Yield India

Unit 10 CO1, CO2 · 3 hours

Corporate Debt Market • The Indian Corporate Debt Market • Types of Instruments in Corporate Debt Market • Trends in Indian Corporate Debt Market • Issuance Mechanism • Secondary Market Mechanism • Key Regulatory Guidelines for Corporate Debt Market • Corporate Bond Valuation • Indian Govt Bond market index inclusion at Global Level 9 (J.P. Morgan)

Unit 11 CO3, CO2 · 3 hours

Bond Portfolio Management: Passive strategies: (Buy & Hold, Indexing) Immunisation (Quasi Active) Other Active Strategies.

Unit 12 CO1, CO2 · 3 hours

Role of Regulatory and Rating Agencies: Credit rating process, CIBIL Score, CRISIL, CARE, ICRA etc.

Unit 13 CO4, CO5 · 3 hours

Case study related to bond markets like Subprime crisis/ Case study of Signature bank/ Silicon Valley bank -sale of treasury bond portfolio in 2023 (Credit default Swap)

Unit 14 CO5 · 3 hours

Bond Market Futures: Forward rate agreement concept, mechanics and uses Interest rate futures and its prices Interest Rate Swaps: Definition features and its uses, design and valuations of interest rate swaps.

Unit 15 CO5 · 3 hours

Interest Rate Swaps: Definition features and its uses, design and valuations of interest rate swaps.

Unit 16 CO4, CO5 · 6 hours

Presentation

Textbooks

• 1 Sunil Parameswaran, Sankarshan Basu, Fixed Income Securities: Wiley
• 2 NISM-Series-XXII: Fixed Income Securities, e-book, NISM Website
• 3 Gupta S L, Financial Derivatives: Theory, Concepts and Problems, Prentice Hall of India, New Delhi.
• 4 M. Kannadhasan: Fixed Income Securities: Valuation and Risk Management, Cengage
• 5 Sundaresan, Suresh: Fixed Income Markets and Their Derivatives
• 6 Fabozzi, Frankj, Mann, Steven V., The Handbook of Fixed Income Securities: New York, McGraw-Hill Companies

Reference Books

• 1 Frank J Fabozzi, Fixed Income Securities, Wiley
• 2 John C Hull: Options, Futures and Other Derivatives, Prentice Hall of India
• 3 Redhead: Financial Derivatives: An Introduction to Futures, Forwards, Options, Prentice Hall of India