债券市场-分析与策略

1、6-1Chapter 6Treasury and Agency Securities 6-2Learning ObjectivesAfter reading this chapter, you will understandthe different types of securities issued by the Treasurythe operation of the primary market for Treasury securitiesthe role of government dealers and government brokersthe secondary market

2、 for Treasury securitieshow Treasury securities are quoted in the secondary marketthe zero-coupon Treasury securities marketthe major issuers in the federal agency securities marketthe functions of government-sponsored enterprises that issue securities6-3Treasury SecuritiesTwo factors account for th

3、e prominent role of U.S. Treasury securities:volume (in terms of dollars outstanding) 买卖量Liquidity 流动性The Department of the Treasury is the largest single issuer of debt in the world.The large volume of total debt and the large size of any single issue have contributed to making the Treasury market

4、the most active and hence the most liquid market in the world.The dealer spread between bid and ask price is considerably narrower than in other sectors of the bond market.6-4Treasury Securities (continued)Types of Treasury SecuritiesThe Treasury issues both marketable and non-marketable securities.

5、Our focus here is on marketable securities. (可流通证券Marketable Treasury securities are categorized as fixed-principal securities 固定本金证券 or inflation-indexed securities. 与通货膨胀指数挂钩的证券Fixed-income principal securities include:Treasury bills 国库券Treasury notes 中期国债Treasury bonds 长期国债6-5Treasury Securities

6、(continued)Types of Treasury SecuritiesTreasury bills are issued at a discount to par value, have no coupon rate, and mature at par value.The current practice of the Treasury is to issue all securities with a maturity of one year or less as discount securities.As discount securities, Treasury bills

7、do not pay coupon interest.Instead, Treasury bills are issued at a discount from their maturity value; the return to the investor is the difference between the maturity value and the purchase price. 没有利息，折价发行6-6Treasury Securities (continued)Types of Treasury SecuritiesAll securities with initial ma

8、turities of two years or more are issued as coupon securities.Coupon securities are issued at approximately par and, in the case of fixed-principal securities, mature at par value.Treasury coupon securities issued with original maturities of more than one year and no more than 10 years are called Tr

9、easury notes.Treasury coupon securities with original maturities greater than 10 years are called Treasury bonds. 按期付息，按照未来利息和本金折现定价6-7Treasury Securities (continued)Types of Treasury SecuritiesCallable bonds have not been issued since 1984.On January 29, 1997, the U.S. Department of the Treasury is

10、sued for the first time Treasury securities that adjust for inflation.These securities are popularly referred to as Treasury inflation protection securities, or TIPS. 通货膨胀维护国债The principal that the Treasury Department will base both the dollar amount of the coupon payment and the maturity value on i

11、s adjusted semiannually. 每半年调整一次This is called the inflation-adjusted principal.6-8Treasury Securities (continued)The Treasury Auction ProcessThe Public Debt Act of 1942 grants the Department of the Treasury considerable discretion in deciding on the terms for a marketable security.An issue may be s

12、old on an interest-bearing 附息 or discount 议价 basis and may be sold on a competitive or other basis, at whatever prices the Secretary of the Treasury may establish.However, Congress imposes a restriction on the total amount of bonds outstanding.6-9Treasury Securities (continued)The Treasury Auction P

13、rocessTreasury securities are sold in the primary market 一级市场 through sealed-bid auctions. 拍卖程序Each auction is announced several days in advance by means of a Treasury Department press release or press conference.The announcement provides details of the offering, including the offering amount and th

14、e term and type of security being offered, and describes some of the auction rules and procedures.Treasury auctions are open to all entities.6-10Treasury Securities (continued)The Treasury Auction ProcessThe Treasury auctions securities on a regular cycle Treasury bills with maturities of 4 weeks, 1

15、3 weeks (3 months), and 26 weeks (6 months).At irregular intervals the Treasury issues cash management bills 现金管理国库券 with maturities ranging from a few days to about six months.The Treasury auctions 2-, 5-, and 10-year Treasury notes.The Treasury does not issue Treasury bonds on a regular basis.The

16、Treasury had issued 30-year Treasury bonds on a regular basis but suspended doing so in October 2001.6-11Treasury Securities (continued)Determination of the Results of an AuctionThe auction for Treasury securities is conducted on a competitive bid basis.竞争性招标A noncompetitive bid is submitted by an e

17、ntity that is willing to purchase the auctioned security at the yield that is determined by the auction process. 接受拍卖的收益率When a noncompetitive bid is submitted, the bidder only specifies the quantity sought.The quantity in a noncompetitive bid may not exceed $1 million for Treasury bills and $5 mill

18、ion for Treasury coupon securities.A competitive bid specifies both the quantity sought and the yield at which the bidder is willing to purchase the auctioned security.6-12Treasury Securities (continued)Determination of the Results of an AuctionThe highest yield accepted by the Treasury is referred

19、to as the high yield (or stop-out yield). 最高收益率Bidders whose bid is higher than the high yield are not distributed any of the new issue (i.e., they are unsuccessful bidders). 高于最高收益率竞标失败Bidders whose bid was the high yield are awarded a proportionate amount for which they bid. 低于最高收益率的首先全额分配，剩下的等于最高

20、收益率的按招标金额比例配给Within an hour of the auction deadline, the Treasury announces the auction results including the quantity of noncompetitive tenders, the median-yield bid, and the ratio of the total amount bid for by the public to the amount awarded to the public.6-13Treasury Securities (continued)Secon

21、dary MarketThe secondary market for Treasury securities is an over-the-counter market 柜台买卖市场 where a group of U.S. government securities dealers offer continuous bid and ask prices on outstanding Treasuries. There is virtual 24-hour trading of Treasury securities.The three primary trading locations

22、are New York, London, and Tokyo. 三大国际金融中心The normal settlement period for Treasury securities is the business day after the transaction day (“next day settlement).6-14Treasury Securities (continued)Secondary MarketThe most recently auctioned issue is referred to as the on-the-run issue or the curren

23、t issue.Securities that are replaced by the on-the-run issue are called off-the-run issues.At a given point in time there may be more than one off-the-run issue with approximately the same remaining maturity as the on-the-run issue. Treasury securities are traded prior to the time they are issued by

24、 the Treasury. This component of the Treasury secondary market is called the when-issued market, or wi market. 发行前买卖市场When-issued trading for both bills and coupon securities extends from the day the auction is announced until the issue day.6-15Treasury Securities (continued)Secondary MarketGovernme

25、nt dealers trade with the investing public and with other dealer firms.When they trade with each other, it is through intermediaries known as interdealer brokers. 买卖商间经纪人Dealers leave firm bids and offers with interdealer brokers who display the highest bid and lowest offer in a computer network tie

26、d to each trading desk and displayed on a monitor.Dealers use interdealer brokers because of the speed and efficiency with which trades can be accomplished.6-16Treasury Securities (continued)Price Quotes for Treasury BillsThe convention for quoting bids and offers is different for Treasury bills and

27、 Treasury coupon securities.Bids and offers on Treasury bills are quoted in a special way.Unlike bonds that pay coupon interest, Treasury bill values are quoted on a bank discount basis, not on a price basis. 银行贴现额The yield on a bank discount basis is computed as follows:where Yd = annualized yield

28、on a bank discount basis (expressed as a decimal), D = dollar discount (which is equal to the difference between the face value and the price), F = face value and t = number of days remaining to maturity.6-17Treasury Securities (continued)Price Quotes for Treasury BillsExample using yield on a bank

29、discount basis:Consider a Treasury bill with 100 days to maturity, a face value of $100,000, and selling for $99,100 would be selling with a dollar discount of D = F P = $100,000 $99,100 = $900. Given D = $900, F = $100,000 and t = 90, the Treasury bill would be quoted at the following yield:6-18Tre

30、asury Securities (continued)Price Quotes for Treasury BillsThe quoted yield on a bank discount basis is not a meaningful measure of the return from holding a Treasury bill.There are two reasons for this:First, the measure is based on a face-value investment rather than on the actual dollar amount in

31、vested.Second, the yield is annualized according to a 360-day rather than a 365-day year, making it difficult to compare Treasury bill yields with Treasury notes and bonds, which pay interest on a 365-day basis.6-19Treasury Securities (continued)Price Quotes for Treasury Bills PThe measure that seek

32、s to make the Treasury bill quote comparable to Treasury notes and bonds is called the bond equivalent yield. 等价债券收率The CD equivalent yield (also called the money market equivalent yield) makes the quoted yield on a Treasury bill more comparable to yield quotations on other money market instruments

33、that pay interest on a 360-day basis.It does this by taking into consideration the price of the Treasury bill rather than its face value.6-20Treasury Securities (continued)Quotes on Treasury Coupon SecuritiesTreasury coupon securities are quoted in a different manner than Treasury bills on a price b

34、asis in points where one point equals 1% of par.The points are split into units of 32nds, so that a price of 96-14, for example, refers to a price of 96 and 14 32nds, or 96.4375 per 100 of par value.The 32nds are themselves often split by the addition of a plus sign or a number.In addition to price,

35、 the yield to maturity is typically reported alongside the price.6-21Treasury Securities (continued)QuoteNo. of 32ndsNo. of 64thsNo. of 256thsPrice per $100 par 91-19+1910 91.609375107-2222202107.6953125109-066 606109.2109375Quotes on Treasury Coupon SecuritiesThe following are examples of convertin

36、g a quote to a price per $100 of par value:6-22Treasury Securities (continued)Quotes on Treasury Coupon Securities PWhen an investor purchases a bond between coupon payments, if the issuer is not in default, the investor must compensate the seller of the bond for the coupon interest earned from the

37、time of the last coupon payment to the settlement date of the bond.This amount is called accrued interest.应计利息When calculating accrued interest, three pieces of information are needed:the number of days in the accrued interest periodthe number of days in the coupon periodthe dollar amount of the cou

38、pon payment.The number of days in the accrued interest period represents the number of days over which the investor has earned interest. 给出卖者补还利息。6-23Treasury Securities (continued)Quotes on Treasury Coupon Securities (p)The calculation of the number of days in the accrued interest period and the nu

39、mber of days in the coupon period begins with the determination of three key dates: the trade date, settlement date, and date of previous coupon payment.The trade date is the date on which the transaction is executed.The settlement date is the date a transaction is completed.For Treasury securities,

40、 settlement is the next business day after the trade date.Interest accrues on a Treasury coupon security from and including the date of the previous coupon payment up to but excluding the settlement date.6-24Treasury Securities (continued)Quotes on Treasury Coupon SecuritiesThe number of days in the

41、 accrued interest period and the number of days in the coupon period may not be simply the actual number of calendar days between two dates.For Treasury coupon securities, the day count convention used is to determine the actual number of days between two dates.This is referred to as the actual/actu

42、al day count convention.AI=8/2 * (184-118)/1846-25Stripped Treasury SecuritiesThe Treasury does not issue zero-coupon notes or bonds.However, because of the demand for zero-coupon instruments with no credit risk, the private sector has created such securities.The profit potential for a government de

43、aler who strips a Treasury security lies in arbitrage resulting from the mispricing of the security.The process of separating the interest on a bond from the underlying principal is called coupon stripping. 剥息6-26Stripped Treasury Securities (continued)Zero-coupon Treasury securities were first crea

44、ted in August 1982 by dealer firms.The problem with these securities was that they were identified with particular dealers and therefore reduced liquidity.Moreover, the process involved legal and insurance costs. Today, all Treasury notes and bonds (fixed-principal and inflation-indexed) are eligibl

45、e for stripping. The zero-coupon Treasury securities created under the STRIPS program are direct obligations of the U.S. government. 注册的证券本金和利息的分别买卖6-27Stripped Treasury Securities (continued)There may be confusion when a market participant refers to a “stripped Treasury.Today, a stripped Treasury t

46、ypically means a STRIPS product.However, because there are trademark products and other types of pre-STRIPS zero-coupon products still outstanding, an investor should clarify what product is the subject of the discussion. We can refer to stripped Treasury securities as simply “strips. 剥离国债6-28Stripp

47、ed Treasury Securities (continued)On dealer quote sheets and vendor screens STRIPS are identified by whether the cash flow is created from the coupon (called ci), principal from a Treasury bond (called bp), or principal from a Treasury note (called np).Strips created from the coupon are called coupo

48、n strips 息票剥离国债and those from the principal are called principal strips. 本金剥离国债The reason why a distinction is made between coupon strips and principal strips has to do with the tax treatment by non-U.S. entities, as discussed in the next section.6-29Stripped Treasury Securities (continued)Tax Treat

49、mentA disadvantage of a taxable entity investing in stripped Treasury securities is that accrued interest is taxed each year even though interest is not paid.Thus these instruments are negative cash flow instruments until the maturity date.They have negative cash flow because tax payments on interes

50、t earned but not received in cash must be made.Reconstituting a BondReconstitution is the process of coupon stripping and reconstituting that will prevent the actual spot rate curve observed on zero-coupon Treasuries from departing notably from the theoretical spot rate curve. As more stripping and

51、reconstituting occurs, demand and supply will cause rates to return to their theoretical spot rate levels.债券重构是一种套利行为: 假设剥离的一揽子零息国债与对应的付息国债价钱不一致，就存在时机。6-30Federal Agency SecuritiesThe U.S. Congress has chartered entities to provide funding support for the housing and agricultural sectors of the U.S.

52、 economy, as well as to provide funding for specific U.S. government projects.The market for the debt instruments issued by these government-chartered entities is called the federal agency securities market. 联邦政府机构证券6-31Federal Agency Securities (continued)There are several types of government-chart

53、ered entities.One type is a government-owned corporation. 政府一切企业Another type of government-chartered entity is a government-sponsored enterprise (GSE). 政府资助企业GSEs are divided into two types.The first is a publicly owned shareholder corporation.There are three such GSEs: the Federal National Mortgage

54、 Association (“Fannie Mae 房利美), the Federal Home Loan Mortgage Corporation (“Freddie Mac 房地美), and the Federal Agricultural Mortgage Corporation (“Farmer Mac 联邦农业信贷银行).6-32Federal Agency Securities (continued)The price quotation conventions for GSE securities will vary between types of debt.Short-te

55、rm GSE discount notes are quoted on a yield basis, the same as that for Treasury bills explained earlier in this chapter.The most liquid GSE issues are generally quoted on two primary bases:a price basis, like Treasury securities; that is, the bid and ask price quotations are expressed as a percenta

56、ge of par plus fractional 32nds of a pointa spread basis, as an indicated yield spread in basis points, off a choice of proxy curves or issue.Federally related institutions are arms of the federal government and generally do not issue securities directly in the marketplace.6-33Federal Agency Securit

57、ies (continued)Tennessee Valley Authority (TVA) 发行电力债券The TVA was established by Congress in 1933 primarily to provide flood control, navigation, and agricultural and industrial development. The TVA issues a variety of debt securities in U.S. dollars and other currencies.The debt obligations issued

58、by the TVA may be issued only to provide capital for its power program or to refund outstanding debt obligations. TVA debt obligations are not guaranteed by the U.S. government.However, the securities are rated triple A by Moodys and Standard and Poors.The rating is based on the TVAs status as a who

59、lly owned corporate agency of the U.S. government and the view of the rating agencies of the TVAs financial strengths.6-34Federal Agency Securities (continued)Fannie Mae 房地美In the 1930s, Congress created a federally related institution, the Federal National Mortgage Association, popularly known as “

60、Fannie Mae, which was charged with the responsibility to create a liquid secondary market for mortgages.Fannie Mae was to accomplish this objective by buying and selling mortgages.In 1968, Congress divided Fannie Mae into two entities:the current Fannie Maethe Government National Mortgage Associatio