固定收益证券6th研究报告

第六讲通胀指数化债券

INFLATION-INDEXEDBONDS6.1通胀指数化债券概况inflation-linkedbondslinkersdesignedtocutouttheinflationriskofaninvestment.Thefirstknowninflation-indexedbondwasissuedbytheMassachusettsBayCompanyin1780.ThemarkethasgrowndramaticallysincetheBritishgovernmentbeganissuinginflation-linkedGiltsin1981.Asof2008,government-issuedinflation-linkedbondscompriseover$1.5trillionoftheinternationaldebtmarket.Theinflation-linkedmarketprimarilyconsistsofsovereigndebt,withprivatelyissuedinflation-linkedbondsconstitutingasmallportionofthemarket.美国的指数化债券市场Treasuryinflation-protectedsecuritiesTIPSSeriesISavingsBondsI-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Forexample,iftheannualcouponofthebondwas5%andtheunderlyingprincipalofthebondwas100units,theannualpaymentwouldbe5units.Iftheinflationindexincreasedby10%,theprincipalofthebondwouldincreaseto110units.Thecouponratewouldremainat5%,resultinginaninterestpaymentof110x5%=5.5units.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-eveninflation(BEI)对五年期债券，利差＝(3.56%－1.25%)=231bps如果实际通胀率低于BEI，TIPS就比名义债券表现差，反之亦然。6.2指数化债券市场的影响1，Byofferinginflationindexedsecurities,governmentwillprotectthewelfareofinvestorswholentmoneytothegovernmentinthefirstplace.2，byofferinginflation-indexedbonds,governmentgivesitselfastrongincentivetopursueanti-inflationarypolicies.theissuanceofinflation-indexedbondssimultaneouslyeliminatesthemoralhazardproblemassociatedwiththeissuanceofalong-termnominaldebtandreducestheneedtorolloverandrefundshort-termnominaldebt.3，indexedsecuritiesmayprovideausefulfunctioninprovidinginformationaboutfutureexpectedinflationrates.存在的困难：mostindexedbondshavelagsinindexing.thetaxtreatmentofTIPSwilldefinitelyinfluencethepricingandyieldsofTIPS.investorswilltypicallyrequireariskpremiumassociatedwiththeinflationrisk.Thisriskpremiumhastobeestimatedandthemannerinwhichitaffectstheexpectedinflationratehastobedetermined.thereisanissueastothedifferencesintheliquidityofthenominalandTIPSmarketinanygivenmaturitysector.4，TheTreasuryhasalsoarguedthattheissuanceofindexedbondsmightreducethecostofpublicdebt.5，WiththeintroductionofTIPS,first-timeinvestorshaveareliablefinancialsecuritytohedgeinthelongtermagainsttherisksofinflation.6，byborrowinginindexedsecurities,therevenuesandtheexpendituresofthefederalgovernmentareaffectedbytherateofinflation.7，Intheshortrun,themarketforTIPSislikelytobenotveryliquidRelativelysmallamountsloweryieldsinvestorsinTIPSdonottradeactively8，Oneriskassociatedwithinvestingininflation-indexedbondsistheriskthattheindexcouldundergosomefuturechanges,whichcanadverselyaffecttheinvestorswhocurrentlyholdthesecurity.6.3TIPS的设计(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