债券市场_分析与策略PPTCh06.ppt

Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 1 Chapter6TreasuryandAgencySecurities Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 2 LearningObjectives Afterreadingthischapter youwillunderstandthedifferenttypesofsecuritiesissuedbytheTreasurytheoperationoftheprimarymarketforTreasurysecuritiestheroleofgovernmentdealersandgovernmentbrokersthesecondarymarketforTreasurysecuritieshowTreasurysecuritiesarequotedinthesecondarymarketthezero couponTreasurysecuritiesmarketthemajorissuersinthefederalagencysecuritiesmarketthefunctionsofgovernment sponsoredenterprisesthatissuesecurities Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 3 TreasurySecurities TwofactorsaccountfortheprominentroleofU S Treasurysecurities volume intermsofdollarsoutstanding 交易量Liquidity流动性TheDepartmentoftheTreasuryisthelargestsingleissuerofdebtintheworld ThelargevolumeoftotaldebtandthelargesizeofanysingleissuehavecontributedtomakingtheTreasurymarketthemostactiveandhencethemostliquidmarketintheworld Thedealerspreadbetweenbidandaskpriceisconsiderablynarrowerthaninothersectorsofthebondmarket Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 4 TreasurySecurities continued TypesofTreasurySecuritiesTheTreasuryissuesbothmarketableandnon marketablesecurities Ourfocushereisonmarketablesecurities 可流通证券 MarketableTreasurysecuritiesarecategorizedasfixed principalsecurities 固定本金证券 orinflation indexedsecurities 与通货膨胀指数挂钩的证券 Fixed incomeprincipalsecuritiesinclude Treasurybills国库券Treasurynotes中期国债Treasurybonds长期国债 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 5 TreasurySecurities continued TypesofTreasurySecuritiesTreasurybillsareissuedatadiscounttoparvalue havenocouponrate andmatureatparvalue ThecurrentpracticeoftheTreasuryistoissueallsecuritieswithamaturityofoneyearorlessasdiscountsecurities Asdiscountsecurities Treasurybillsdonotpaycouponinterest Instead Treasurybillsareissuedatadiscountfromtheirmaturityvalue thereturntotheinvestoristhedifferencebetweenthematurityvalueandthepurchaseprice 没有利息 折价发行 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 6 TreasurySecurities continued TypesofTreasurySecuritiesAllsecuritieswithinitialmaturitiesoftwoyearsormoreareissuedascouponsecurities Couponsecuritiesareissuedatapproximatelyparand inthecaseoffixed principalsecurities matureatparvalue Treasurycouponsecuritiesissuedwithoriginalmaturitiesofmorethanoneyearandnomorethan10yearsarecalledTreasurynotes Treasurycouponsecuritieswithoriginalmaturitiesgreaterthan10yearsarecalledTreasurybonds 按期付息 按照未来利息和本金折现定价 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 7 TreasurySecurities continued TypesofTreasurySecuritiesCallablebondshavenotbeenissuedsince1984 OnJanuary29 1997 theU S DepartmentoftheTreasuryissuedforthefirsttimeTreasurysecuritiesthatadjustforinflation ThesesecuritiesarepopularlyreferredtoasTreasuryinflationprotectionsecurities orTIPS 通货膨胀保护国债TheprincipalthattheTreasuryDepartmentwillbaseboththedollaramountofthecouponpaymentandthematurityvalueonisadjustedsemiannually 每半年调整一次Thisiscalledtheinflation adjustedprincipal Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 8 TreasurySecurities continued TheTreasuryAuctionProcessThePublicDebtActof1942grantstheDepartmentoftheTreasuryconsiderablediscretionindecidingonthetermsforamarketablesecurity Anissuemaybesoldonaninterest bearing 附息 ordiscount 议价 basisandmaybesoldonacompetitiveorotherbasis atwhateverpricestheSecretaryoftheTreasurymayestablish However Congressimposesarestrictiononthetotalamountofbondsoutstanding Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 9 TreasurySecurities continued TheTreasuryAuctionProcessTreasurysecuritiesaresoldintheprimarymarket 一级市场 throughsealed bidauctions 拍卖程序 EachauctionisannouncedseveraldaysinadvancebymeansofaTreasuryDepartmentpressreleaseorpressconference Theannouncementprovidesdetailsoftheoffering includingtheofferingamountandthetermandtypeofsecuritybeingoffered anddescribessomeoftheauctionrulesandprocedures Treasuryauctionsareopentoallentities Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 10 TreasurySecurities continued TheTreasuryAuctionProcessTheTreasuryauctionssecuritiesonaregularcycleTreasurybillswithmaturitiesof4weeks 13weeks 3months and26weeks 6months AtirregularintervalstheTreasuryissuescashmanagementbills 现金管理国库券 withmaturitiesrangingfromafewdaystoaboutsixmonths TheTreasuryauctions2 5 and10 yearTreasurynotes TheTreasurydoesnotissueTreasurybondsonaregularbasis TheTreasuryhadissued30 yearTreasurybondsonaregularbasisbutsuspendeddoingsoinOctober2001 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 11 TreasurySecurities continued DeterminationoftheResultsofanAuctionTheauctionforTreasurysecuritiesisconductedonacompetitivebidbasis 竞争性投标Anoncompetitivebidissubmittedbyanentitythatiswillingtopurchasetheauctionedsecurityattheyieldthatisdeterminedbytheauctionprocess 接受拍卖的收益率Whenanoncompetitivebidissubmitted thebidderonlyspecifiesthequantitysought Thequantityinanoncompetitivebidmaynotexceed 1millionforTreasurybillsand 5millionforTreasurycouponsecurities Acompetitivebidspecifiesboththequantitysoughtandtheyieldatwhichthebidderiswillingtopurchasetheauctionedsecurity Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 12 TreasurySecurities continued DeterminationoftheResultsofanAuctionThehighestyieldacceptedbytheTreasuryisreferredtoasthehighyield orstop outyield 最高收益率Bidderswhosebidishigherthanthehighyieldarenotdistributedanyofthenewissue i e theyareunsuccessfulbidders 高于最高收益率竞标失败Bidderswhosebidwasthehighyieldareawardedaproportionateamountforwhichtheybid 低于最高收益率的首先全额分配 剩下的等于最高收益率的按投标金额比例配给Withinanhouroftheauctiondeadline theTreasuryannouncestheauctionresultsincludingthequantityofnoncompetitivetenders themedian yieldbid andtheratioofthetotalamountbidforbythepublictotheamountawardedtothepublic Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 13 TreasurySecurities continued SecondaryMarketThesecondarymarketforTreasurysecuritiesisanover the countermarket 柜台交易市场 whereagroupofU S governmentsecuritiesdealersoffercontinuousbidandaskpricesonoutstandingTreasuries Thereisvirtual24 hourtradingofTreasurysecurities ThethreeprimarytradinglocationsareNewYork London andTokyo 三大国际金融中心 ThenormalsettlementperiodforTreasurysecuritiesisthebusinessdayafterthetransactionday nextday settlement Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 14 TreasurySecurities continued SecondaryMarketThemostrecentlyauctionedissueisreferredtoastheon the runissueorthecurrentissue Securitiesthatarereplacedbytheon the runissuearecalledoff the runissues Atagivenpointintimetheremaybemorethanoneoff the runissuewithapproximatelythesameremainingmaturityastheon the runissue TreasurysecuritiesaretradedpriortothetimetheyareissuedbytheTreasury ThiscomponentoftheTreasurysecondarymarketiscalledthewhen issuedmarket orwimarket 发行前交易市场When issuedtradingforbothbillsandcouponsecuritiesextendsfromthedaytheauctionisannounceduntiltheissueday Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 15 TreasurySecurities continued SecondaryMarketGovernmentdealerstradewiththeinvestingpublicandwithotherdealerfirms Whentheytradewitheachother itisthroughintermediariesknownasinterdealerbrokers 交易商间经纪人Dealersleavefirmbidsandofferswithinterdealerbrokerswhodisplaythehighestbidandlowestofferinacomputernetworktiedtoeachtradingdeskanddisplayedonamonitor Dealersuseinterdealerbrokersbecauseofthespeedandefficiencywithwhichtradescanbeaccomplished Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 16 TreasurySecurities continued PriceQuotesforTreasuryBillsTheconventionforquotingbidsandoffersisdifferentforTreasurybillsandTreasurycouponsecurities BidsandoffersonTreasurybillsarequotedinaspecialway Unlikebondsthatpaycouponinterest Treasurybillvaluesarequotedonabankdiscountbasis notonapricebasis 银行贴现额Theyieldonabankdiscountbasisiscomputedasfollows whereYd annualizedyieldonabankdiscountbasis expressedasadecimal D dollardiscount whichisequaltothedifferencebetweenthefacevalueandtheprice F facevalueandt numberofdaysremainingtomaturity Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 17 TreasurySecurities continued PriceQuotesforTreasuryBillsExampleusingyieldonabankdiscountbasis ConsideraTreasurybillwith100daystomaturity afacevalueof 100 000 andsellingfor 99 100wouldbesellingwithadollardiscountofD F P 100 000 99 100 900 GivenD 900 F 100 000andt 90 theTreasurybillwouldbequotedatthefollowingyield Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 18 TreasurySecurities continued PriceQuotesforTreasuryBillsThequotedyieldonabankdiscountbasisisnotameaningfulmeasureofthereturnfromholdingaTreasurybill Therearetworeasonsforthis First themeasureisbasedonaface valueinvestmentratherthanontheactualdollaramountinvested Second theyieldisannualizedaccordingtoa360 dayratherthana365 dayyear makingitdifficulttocompareTreasurybillyieldswithTreasurynotesandbonds whichpayinterestona365 daybasis Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 19 TreasurySecurities continued PriceQuotesforTreasuryBills P136 ThemeasurethatseekstomaketheTreasurybillquotecomparabletoTreasurynotesandbondsiscalledthebondequivalentyield 等价债券收率TheCDequivalentyield alsocalledthemoneymarketequivalentyield makesthequotedyieldonaTreasurybillmorecomparabletoyieldquotationsonothermoneymarketinstrumentsthatpayinterestona360 daybasis ItdoesthisbytakingintoconsiderationthepriceoftheTreasurybillratherthanitsfacevalue Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 20 TreasurySecurities continued QuotesonTreasuryCouponSecuritiesTreasurycouponsecuritiesarequotedinadifferentmannerthanTreasurybills onapricebasisinpointswhereonepointequals1 ofpar Thepointsaresplitintounitsof32nds sothatapriceof96 14 forexample referstoapriceof96and1432nds or96 4375per100ofparvalue The32ndsarethemselvesoftensplitbytheadditionofaplussignoranumber Inadditiontoprice theyieldtomaturityistypicallyreportedalongsidetheprice Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 21 TreasurySecurities continued QuotesonTreasuryCouponSecuritiesThefollowingareexamplesofconvertingaquotetoapriceper 100ofparvalue Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 22 TreasurySecurities continued QuotesonTreasuryCouponSecurities P136Whenaninvestorpurchasesabondbetweencouponpayments iftheissuerisnotindefault theinvestormustcompensatethesellerofthebondforthecouponinterestearnedfromthetimeofthelastcouponpaymenttothesettlementdateofthebond Thisamountiscalledaccruedinterest 应计利息Whencalculatingaccruedinterest threepiecesofinformationareneeded thenumberofdaysintheaccruedinterestperiodthenumberofdaysinthecouponperiodthedollaramountofthecouponpayment Thenumberofdaysintheaccruedinterestperiodrepresentsthenumberofdaysoverwhichtheinvestorhasearnedinterest 给出售者补还利息 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 23 TreasurySecurities continued QuotesonTreasuryCouponSecurities p137 Thecalculationofthenumberofdaysintheaccruedinterestperiodandthenumberofdaysinthecouponperiodbeginswiththedeterminationofthreekeydates thetradedate settlementdate anddateofpreviouscouponpayment Thetradedateisthedateonwhichthetransactionisexecuted Thesettlementdateisthedateatransactioniscompleted ForTreasurysecurities settlementisthenextbusinessdayafterthetradedate InterestaccruesonaTreasurycouponsecurityfromandincludingthedateofthepreviouscouponpaymentuptobutexcludingthesettlementdate Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 24 TreasurySecurities continued QuotesonTreasuryCouponSecuritiesThenumberofdaysintheaccruedinterestperiodandthenumberofdaysinthecouponperiodmaynotbesimplytheactualnumberofcalendardaysbetweentwodates ForTreasurycouponsecurities thedaycountconventionusedistodeterminetheactualnumberofdaysbetweentwodates Thisisreferredtoastheactual actualdaycountconvention AI 8 2 184 118 184 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 25 StrippedTreasurySecurities TheTreasurydoesnotissuezero couponnotesorbonds However becauseofthedemandforzero couponinstrumentswithnocreditrisk theprivatesectorhascreatedsuchsecurities TheprofitpotentialforagovernmentdealerwhostripsaTreasurysecurityliesinarbitrageresultingfromthemispricingofthesecurity Theprocessofseparatingtheinterestonabondfromtheunderlyingprincipaliscalledcouponstripping 剥息 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 26 StrippedTreasurySecurities continued Zero couponTreasurysecuritieswerefirstcreatedinAugust1982bydealerfirms Theproblemwiththesesecuritieswasthattheywereidentifiedwithparticulardealersandthereforereducedliquidity Moreover theprocessinvolvedlegalandinsurancecosts Today allTreasurynotesandbonds fixed principalandinflation indexed areeligibleforstripping Thezero couponTreasurysecuritiescreatedundertheSTRIPSprogramaredirectobligationsoftheU S government 注册的证券本金和利息的分离交易 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 27 StrippedTreasurySecurities continued Theremaybeconfusionwhenamarketparticipantreferstoa strippedTreasury Today astrippedTreasurytypicallymeansaSTRIPSproduct However becausetherearetrademarkproductsandothertypesofpre STRIPSzero couponproductsstilloutstanding aninvestorshouldclarifywhatproductisthesubjectofthediscussion WecanrefertostrippedTreasurysecuritiesassimply strips 剥离国债 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 28 StrippedTreasurySecurities continued OndealerquotesheetsandvendorscreensSTRIPSareidentifiedbywhetherthecashflowiscreatedfromthecoupon calledci principalfromaTreasurybond calledbp orprincipalfromaTreasurynote callednp Stripscreatedfromthecouponarecalledcouponstrips息票剥离国债andthosefromtheprincipalarecalledprincipalstrips 本金剥离国债Thereasonwhyadistinctionismadebetweencouponstripsandprincipalstripshastodowiththetaxtreatmentbynon U S entities asdiscussedinthenextsection Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 29 StrippedTreasurySecurities continued TaxTreatmentAdisadvantageofataxableentityinvestinginstrippedTreasurysecuritiesisthataccruedinterestistaxedeachyeareventhoughinterestisnotpaid Thustheseinstrumentsarenegativecashflowinstrumentsuntilthematuritydate Theyhavenegativecashflowbecausetaxpaymentsoninterestearnedbutnotreceivedincashmustbemade ReconstitutingaBondReconstitutionistheprocessofcouponstrippingandreconstitutingthatwillpreventtheactualspotratecurveobservedonzero couponTreasuriesfromdepartingnotablyfromthetheoreticalspotratecurve Asmorestrippingandreconstitutingoccurs demandandsupplywillcauseratestoreturntotheirtheoreticalspotratelevels 债券重构是一种套利行为 如果剥离的一揽子零息国债与对应的付息国债价格不一致 就存在机会 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 30 FederalAgencySecurities TheU S CongresshascharteredentitiestoprovidefundingsupportforthehousingandagriculturalsectorsoftheU S economy aswellastoprovidefundingforspecificU S governmentprojects Themarketforthedebtinstrumentsissuedbythesegovernment charteredentitiesiscalledthefederalagencysecuritiesmarket 联邦政府机构证券 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 31 FederalAgencySecurities continued Thereareseveraltypesofgovernment charteredentities Onetypeisagovernment ownedcorporation 政府所有企业Anothertypeofgovernment charteredentityisagovernment sponsoredenterprise GSE 政府资助企业GSEsaredividedintotwotypes Thefirstisapubliclyownedshareholdercorporation TherearethreesuchGSEs theFederalNationalMortgageAssociation FannieMae 房利美 theFederalHomeLoanMortgageCorporation FreddieMac 房地美 andtheFederalAgriculturalMortgageCorporation FarmerMac 联邦农业信贷银行 Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 32 FederalAgencySecurities continued ThepricequotationconventionsforGSEsecuritieswillvarybetweentypesofdebt Short termGSEdiscountnotesarequotedonayieldbasis thesameasthatforTreasurybillsexplainedearlierinthischapter ThemostliquidGSEissuesaregenerallyquotedontwoprimarybases apricebasis likeTreasurysecurities thatis thebidandaskpricequotationsareexpressedasapercentageofparplusfractional32ndsofapointaspreadbasis asanindicatedyieldspreadinbasispoints offachoiceofproxycurvesorissue Federallyrelatedinstitutionsarearmsofthefederalgovernmentandgenerallydonotissuesecuritiesdirectlyinthemarketplace Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 33 FederalAgencySecurities continued TennesseeValleyAuthority TVA 发行电力债券TheTVAwasestablishedbyCongressin1933primarilytoprovidefloodcontrol navigation andagriculturalandindustrialdevelopment TheTVAissuesavarietyofdebtsecuritiesinU S dollarsandothercurrencies ThedebtobligationsissuedbytheTVAmaybeissuedonlytoprovidecapitalforitspowerprogramortorefundoutstandingdebtobligations TVAdebtobligationsarenotguaranteedbytheU S government However thesecuritiesareratedtripleAbyMoody sandStandardandPoor s TheratingisbasedontheTVA sstatusasawhollyownedcorporateagencyoftheU S governmentandtheviewoftheratingagenciesoftheTVA sfinancialstrengths Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 34 FederalAgencySecurities continued FannieMae房地美Inthe1930s Congresscreatedafederallyrelatedinstitution theFederalNationalMortgageAssociation popularlyknownas FannieMae whichwaschargedwiththeresponsibilitytocreatealiquidsecondarymarketformortgages FannieMaewastoaccomplishthisobjectivebybuyingandsellingmortgages In1968 CongressdividedFannieMaeintotwoentities thecurrentFannieMaetheGovernmentNationalMortgageAssociation popularlyknownas GinnieMae GinnieMae sfunctionistousethe fullfaithandcreditoftheU S government tosupportthemarketforgovernment insuredmortgages Copyright 2010PearsonEducation Inc PublishingasPrenticeHall 6 35 FederalAgencySecurities continued FreddieMaeIn1970 CongresscreatedtheFederalHomeLoanMortgageCorporation FreddieMac 房利美ThereasonforthecreationofFreddieMacwastoprovidesupportforconventionalmortgages ThesemortgagesarenotguaranteedbytheU S government FreddieMacissuesReferenceBills discountnotes medium termnotes ReferenceNotes ReferenceBonds CallableReferenceNotes EuroReferenceNotes debtdenominatedineuro