固定收益证券6th课件

1、固定收益证券6th固定收益证券6thThe first known inflation-indexed bond was issued by the Massachusetts Bay Company in 1780. The market has grown dramatically since the British government began issuing inflation-linked Gilts in 1981. As of 2008, government-issued inflation-linked bonds comprise over $1.5 trillion

2、of the international debt market.The inflation-linked market primarily consists of sovereign debt, with privately issued inflation-linked bonds constituting a small portion of the market.The first known inflation-inde固定收益证券6th固定收益证券6th固定收益证券6th美国的指数化债券市场Treasury inflation-protected securities TIPSSe

3、ries I Savings Bonds I-bonds 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美国的指数化债券市场For example, if the annual coupon of the bond was 5% and the underlying principal of the bond was 100 units, the annual payment would be 5 units. If the inflation index increased by 10%, the principal of the bond would i

4、ncrease to 110 units. The coupon rate would remain at 5%, resulting in an interest payment of 110 x 5% = 5.5 units. For example, if the annual cou固定收益证券6th固定收益证券6th名义国债的收益率高于TIPS 的收益率,为投资者的通胀风险提供补偿。 盈亏平衡通胀率 break-even inflation (BEI) 对五年期债券， 利差(3.56%1.25%)=231 bps 如果实际通胀率低于BEI，TIPS就比名义债券表现差，反之亦然。名义国

5、债的收益率高于TIPS 的收益率,为投资者的通胀风险提6.2 指数化债券市场的影响1，By offering inflation indexed securities, government will protect the welfare of investors who lent money to the government in the first place.2，by offering inflation-indexed bonds, government gives itself a strong incentive to pursue anti-inflationary poli

6、cies. 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.6.2 指数化债券市场的影响3，indexed securities may provide a useful function in providing

7、 information about future expected inflation rates.存在的困难： most indexed bonds have lags in indexing. the tax treatment of TIPS will definitely influence the pricing and yields of TIPS. investors will typically require a risk premium associated with the inflation risk. This risk premium has to be esti

8、mated 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 any given maturity sector.3，indexed securities may provi4，The Treasury has also argued that the issuance of indexed bo

9、nds might reduce the cost of public debt.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.6，by borrowing in indexed securities, the revenues and the expenditures of the federal government are affected by

10、 the rate of inflation.4，The Treasury has also argued7，In the short run, the market for TIPS is likely to be not very liquidRelatively small amountslower yieldsinvestors in TIPS do not trade actively8，One risk associated with investing in inflation-indexed bonds is the risk that the index could unde

11、rgo some future changes, which can adversely affect the investors who currently hold the security.7，In the short run, the market6.3 TIPS的设计(a) choice of index, (b) indexation lag,(c) maturity composition, (d) strippability,(e) tax treatment, (f) cash-flow structure.6.3 TIPS的设计(a) choice of indexThe

12、integrity of the index must be beyond any doubtthe index should be maintained and updated in a scrupulous manner so that it reflects the true cost of a representative consumption basket.The danger that investors might face in the choice of the index is the possibility that the index composition and

13、the method of its calculation might change in the future in a way that adversely affects them.(a) choice of index固定收益证券6th(b) Indexation lagIf the indexed bond is perfectly indexed so that its payoffs reflect at every instant the prevailing inflation rate, such a bond will carry no risk at all with

14、respect to the inflation factor.the inflation numbers have to be computed by the Bureau of Labor Statistics, and the process takes time. Thus, 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 t

15、he indexed bond have some residual exposure to the inflation risk.(b) Indexation lagThis 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.This lag in indexing is probab(c) Maturity composition of TI

16、PS(d) Strippability of TIPS5-, 10-, and 20-year maturitythe Treasury also has allowed stripping of securities：index-linked zeroesNow indexed strips have maturities ranging from a few months to more than 25 years.These strips can be particularly useful in the annuities market to fund retirement benef

17、its that are indexed to inflation.(c) Maturity composition of TI(e) Tax treatmentThe U.S. Treasury says the appreciation in the principal amount due to inflation and the resulting increase in coupon must be taxed.At high enough inflation rates, taxable investors may experience negative cash flows fr

18、om TIPS.taxing inflation accruals may, in fact, be necessary to improve the liquidity of the TIPS market.(e) Tax treatment(f) CASH-FLOW STRUCTURECPIt ： the level of the index at date t, CPIT ： the level of the index on the maturity date T.1 ,Indexed zero coupon structurePresents no reinvestment risk and presents the best protection from the risk of inflation.the tax treatment in many countries would generate negative cash flows to taxable investors(f) CASH-FLOW STRUCTURE2 ,Princ