固定收益證券6th課件

第六講通脹指數(shù)化債券

INFLATION-INDEXEDBONDS6.1通脹指數(shù)化債券概況inflation-linkedbondslinkersdesignedtocutouttheinflationriskofaninvestment.Thefirstknowninflation-indexedbondwasissuedbytheMassachusettsBayCompanyin1780.ThemarkethasgrowndramaticallysincetheBritishgovernmentbeganissuinginflation-linkedGiltsin1981.Asof2008,government-issuedinflation-linkedbondscompriseover$1.5trillionoftheinternationaldebtmarket.Theinflation-linkedmarketprimarilyconsistsofsovereigndebt,withprivatelyissuedinflation-linkedbondsconstitutingasmallportionofthemarket.美國的指數(shù)化債券市場Treasuryinflation-protectedsecuritiesTIPSSeriesISavingsBondsI-bonds

特點：本金隨通脹指數(shù)化幾乎沒有通脹風險無違約風險越來越高的流動性地方政府稅收的減免名義國債的收益率高于TIPS的收益率,為投資者的通脹風險提供補償。

盈虧平衡通脹率break-eveninflation(BEI)對五年期債券，利差＝(3.56%－1.25%)=231bps如果實際通脹率低于BEI，TIPS就比名義債券表現(xiàn)差，反之亦然。3，indexedsecuritiesmayprovideausefulfunctioninprovidinginformationaboutfutureexpectedinflationrates.存在的困難：mostindexedbondshavelagsinindexing.thetaxtreatmentofTIPSwilldefinitelyinfluencethepricingandyieldsofTIPS.investorswilltypicallyrequireariskpremiumassociatedwiththeinflationrisk.Thisriskpremiumhastobeestimatedandthemannerinwhichitaffectstheexpectedinflationratehastobedetermined.thereisanissueastothedifferencesintheliquidityofthenominalandTIPSmarketinanygivenmaturitysector.4，TheTreasuryhasalsoarguedthattheissuanceofindexedbondsmightreducethecostofpublicdebt.5，WiththeintroductionofTIPS,first-timeinvestorshaveareliablefinancialsecuritytohedgeinthelongtermagainsttherisksofinflation.6，byborrowinginindexedsecurities,therevenuesandtheexpendituresofthefederalgovernmentareaffectedbytherateofinflation.7，Intheshortrun,themarketforTIPSislikelytobenotveryliquidRelativelysmallamountsloweryieldsinvestorsinTIPSdonottradeactively8，Oneriskassociatedwithinvestingininflation-indexedbondsistheriskthattheindexcouldundergosomefuturechanges,whichcanadverselyaffecttheinvestorswhocurrentlyholdthesecurity.(a)choiceofindexTheintegrityoftheindexmustbebeyondanydoubttheindexshouldbemaintainedandupdatedinascrupulousmannersothatitreflectsthetruecostofarepresentativeconsumptionbasket.Thedangerthatinvestorsmightfaceinthechoiceoftheindexisthepossibilitythattheindexcompositionandthemethodofitscalculationmightchangeinthefutureinawaythatadverselyaffectsthem.(b)IndexationlagIftheindexedbondisperfectlyindexedsothatitspayoffsreflectateveryinstanttheprevailinginflationrate,suchabondwillcarrynoriskatallwithrespecttotheinflationfactor.theinflationnumbershavetobecomputedbytheBureauofLaborStatistics,andtheprocesstakestime.Thus,thereisanunavoidabledelaybetweenthetimetheinflationismeasuredandthetimethecashflowsareindexedtothemeasuredinflationrate.Thismakestheindexedbondhavesomeresidualexposuretotheinflationrisk.(c)MaturitycompositionofTIPS(d)StrippabilityofTIPS5-,10-,and20-yearmaturitytheTreasuryalsohasallowedstrippingofsecurities：index-linkedzeroesNowindexedstripshavematuritiesrangingfromafewmonthstomorethan25years.Thesestripscanbeparticularlyusefulintheannuitiesmarkettofundretirementbenefitsthatareindexedtoinflation.(e)TaxtreatmentTheU.S.Treasurysaystheappreciationintheprincipalamountduetoinflationandtheresultingincreaseincouponmustbetaxed.Athighenoughinflationrates,taxableinvestorsmayexperiencenegativecashflowsfromTIPS.taxinginflationaccrualsmay,infact,benecessarytoimprovetheliquidityoftheTIPSmarket.(f)CASH-FLOWSTRUCTURECPIt

：theleveloftheindexatdatet,CPIT

：theleveloftheindexonthematuritydateT.1,IndexedzerocouponstructurePresentsnoreinvestmentriskandpresentsthebest