固定收益证券8th

1、第八讲 通胀指数化债券 INFLATION-INDEXED BONDS l fixed Income Markets and Their Derivatives Suresh Sundareson 1.通胀指数化债券概况 l inflation-linked bonds l linkers l 债券的本金或利息根据某种有效反映通货膨胀变动的指标 ( 如CPI）、RPI）、 GDP Deflator)定期进行调整的浮动 债券品种。 l designed to cut out the inflation risk of an investment. l The first known inflat

2、ion-indexed bond was issued by the Massachusetts Bay Company in 1780. l The market has grown dramatically since the British government began issuing inflation-linked Gilts in 1981. The United States began to sell indexed Treasury securities in January 1997. l As of 2008, government-issued inflation-

3、linked bonds comprise over $1.5 trillion of the international debt market. l The inflation-linked market primarily consists of sovereign debt, with privately issued inflation-linked bonds constituting a small portion of the market. 年份国家通胀指数引入前一年的通 胀率（%） 1945芬兰WPI6.48 1952瑞典CPI2.0 1955冰岛CPI0 1966智利CP

4、I22.2 1972阿根廷WPI34.8 1981英国CPI14.0 1989墨西哥CPI114.8 1994瑞典CPI4.4 1997美国CPI3.0 1999法国CPI1.3 2.美国的指数化债券市场 l Treasury inflation-protected securities TIPS l Series I Savings Bonds I-bonds l 特点： 本金随通胀指数化 几乎没有通胀风险 无违约风险 越来越高的流动性 地方政府税收的减免 均衡通胀率 break-even inflation (BEI) 对五年期债券而言， BEI 3.56%1.25%=231 bps 如果

5、实际通胀率低于BEI，TIPS就比名义债券 表现差。 3. ROLE OF INDEXED DEBT 3,1 By offering inflation indexed securities, government will protect the welfare of investors who lent money to the government in the first place. 3.2 by offering inflation-indexed bonds, government gives itself a strong incentive to pursue anti-in

6、flationary policies. the issuance of inflation-indexed bonds simultaneously eliminates the moral hazard problem associated with the issuance of a long- term nominal debt and reduces the need to roll over and refund short-term nominal debt. 3.3 indexed securities may provide a useful function in prov

7、iding information about future expected inflation rates. 存在的问题： most indexed bonds have lags in indexing. the tax treatment of TIPS will definitely influence the pricing and yields of TIPS. How the taxes affect yields and how they interact with real and nominal yields is still an unresolved question

8、. investors will typically require a risk premium associated with the inflation risk. This risk premium has to be estimated and the manner in which it affects the expected inflation rate has to be determined. there is an issue as to the differences in the liquidity of the nominal and TIPS market in

9、any given maturity sector. 3.4 The Treasury has also argued that the issuance of indexed bonds might reduce the cost of public debt. 3.5 With the introduction of TIPS, first-time investors have a reliable financial security to hedge in the long term against the risks of inflation. 3.6 by borrowing i

10、n indexed securities, the revenues and the expenditures of the federal government are affected by the rate of inflation. 与TIPS相关的风险： In the short run, the market for TIPS is likely to be not very liquid l Relatively small amounts l lower yields l investors in TIPS do not trade actively One risk asso

11、ciated with investing in inflation- indexed bonds is the risk that the index could undergo some future changes, which can adversely affect the investors who currently hold the security. 4 .TIPS的设计 (a) choice of index, (b) indexation lag, (c) maturity composition, (d) strippability, (e) tax treatment

12、, (f) cash-flow structure. (a) choice of index l The integrity of the index must be beyond any doubt l the index should be maintained and updated in a scrupulous manner so that it reflects the true cost of a representative consumption basket. l 指数的编制和发布机构要独立于通胀指数化债券的发行者 l The danger that investors m

13、ight face in the choice of the index is the possibility that the index composition and the method of its calculation might change in the future in a way that adversely affects them. (b) Indexation lag l If the indexed bond is perfectly indexed so that its payoffs reflect at every instant the prevail

14、ing inflation rate, such a bond will carry no risk at all with respect to the inflation factor. l there is an unavoidable delay between the time the inflation is measured and the time the cash flows are indexed to the measured inflation rate. This makes the indexed bond have some residual exposure t

15、o the inflation risk. l This lag in indexing is probably a more serious issue for short-term indexed securities when the volatility associated with the inflation risk is very high. (c) Maturity composition of TIPS The U.S. Treasury has auctioned TIPS in 5-, 10-, and 20-year maturity sectors. The dec

16、ision to issue TIPS in the long-term maturity sectors is a very strong credible signal by theTreasury that it intends to keep the inflation rate low. (d) Strippability of TIPS l the Treasury also has allowed stripping of securities：index-linked zeroes l These strips can be particularly useful in the

17、 annuities market to fund retirement benefits that are indexed to inflation. (e) Tax treatment l The U.S. Treasury says the appreciation in the principal amount due to inflation and the resulting increase in coupon must be taxed. phantom income l At high enough inflation rates, taxable investors may

18、 experience negative cash flows from TIPS. l taxing inflation accruals may, in fact, be necessary to improve the liquidity of the TIPS market. (f) CASH-FLOW STRUCTURE CPIt ： the level of the index at date t, CPIT ： the level of the index on the maturity date T. 1 ,Indexed zero coupon structure l Pre

19、sents no reinvestment risk and presents the best protection from the risk of inflation. l the tax treatment in many countries would generate negative cash flows to taxable investors 年份实际利息 A 通胀率（%） B 累计通胀率（%） C 最终偿付 D=100*（1+C） 1066 205.511.83 30517.42 40523.29 50428.22 603.532.71 70336.69 80340.79

20、902.544.31 1002.547.92147.92 指数化零息债券的现金流现金流 2 ,Principal-indexed structure 年份票 面 利 息 A 通 胀 率 (%) B 累 计 通 胀 (%) C 利 息 调 整 D=C*A 实际利息支 付 E=A+D 本金偿付 F=100*C 146.006.000.244.24 245.5011.830.474.47 345.0017.420.704.70 445.0023.290.934.93 544.0028.221.135.13 643.5032.711.315.31 743.0036.691.475.47 843.004

21、0.791.635.63 942.5044.311.775.77 1042.5047.921.925.92147.92 3, Interest-indexed structure 年份票面利息 A 通胀率(%) B 本金调整 C=B*100 实际支付 D=A+C 本金支付 5 146.006.0010.00 245.505.509.50 345.005.009.00 445.005.009.00 544.004.008.00 643.503.507.50 743.003.007.00 843.003.007.00 942.502.506.50 1042.502.506.50100.00 5.

22、CASH FLOWS, PRICES, YIELDS, AND RISKS OF TIPS 本金指数化： the index ratio IRt is defined as follows: issue date 发行日 dated date 起息日 0 CPI CPI IR t t l Note that the reference index number for the first day of any calendar month is the CPI for the third preceding calendar month. The reference CPI applicabl

23、e to April 1, 2013, will be the CPI of January 1, 2013, of that year, which only gets reported in February 2013. l The reference CPI for any other day of the month is then obtained by simple linear interpolation. l 例：A TIP was issued on April 15, 2013, with a coupon rate of 3.5%. The first interest paymentdate for this TIP was October 15, 2013. The reference CPI number for the issue date of April15, 1 2013, was 120.00. The reference CPI number for October 15, 2013, was l35.00. Then, for a par value of $1 million,