固定收益證券6th研究報告

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(fēng)險無違約風(fēng)險越來越高的流動性地方政府稅收的減免Forexample,iftheannualcouponofthebondwas5%andtheunderlyingprincipalofthebondwas100units,theannualpaymentwouldbe5units.Iftheinflationindexincreasedby10%,theprincipalofthebondwouldincreaseto110units.Thecouponratewouldremainat5%,resultinginaninterestpaymentof110x5%=5.5units.名義國債的收益率高于TIPS的收益率,為投資者的通脹風(fēng)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。6.2指數(shù)化債券市場的影響1，Byofferinginflationindexedsecurities,governmentwillprotectthewelfareofinvestorswholentmoneytothegovernmentinthefirstplace.2，byofferinginflation-indexedbonds,governmentgivesitselfastrongincentivetopursueanti-inflationarypolicies.theissuanceofinflation-indexedbondssimultaneouslyeliminatesthemoralhazardproblemassociatedwiththeissuanceofalong-termnominaldebtandreducestheneedtorolloverandrefundshort-termnominaldebt.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.6.3TIPS的設(shè)計(a)choiceofindex,(b)indexationlag,(c)maturitycomposition,(d)strippability,(e)taxtreatment,(f)cash-flowstructure.(a)choiceofindexTheintegrityoftheindexmustbebeyondanydoubttheindexshouldbemaintainedandupdatedinascrupulousmannersothatitreflectsthetruecostofarepresentativeconsumptionbasket.Thedangerthatinvestorsmightfaceinthechoiceoftheindexisthepossibilitythattheindexcompositionandthemethodofitscalculationmightchangeinthefutureinawaythatadverselyaffectsthem.(b)IndexationlagIftheindexedbondisperfectlyindexedsothatitspayoffsreflectateveryinstanttheprevailinginflationrate,suchabondwillcarrynoriskatallwithrespecttotheinflationfactor.theinflationnumbershavetobecomputedbytheBureauofLaborStatistics,andtheprocesstakestime.Thus,thereisanunavoidabledelaybetweenthetimetheinflationismeasuredandthetimethecashflowsareindexedtothemeasuredinflationrate.Thismakestheindexedbondhavesomeresidualexposuretotheinflationrisk.Thislaginindexingisprobablyamoreseriousissueforshort-termindexedsecuritieswhenthevolatilityassociatedwiththeinflationriskisveryhigh.(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,IndexedzerocouponstructurePresentsnoreinvestmentriskandpresentsthebestprotectionfromthe