《固定收益证券th》PPT课件

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1、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-linkedGilt

2、sin1981.Asof2008,government-issuedinflation-linkedbondscompriseover$1.5trillionoftheinternationaldebtmarket.Theinflation-linkedmarketprimarilyconsistsofsovereigndebt,withprivatelyissuedinflation-linkedbondsconstitutingasmallportionofthemarket.美国的指数化债券市场Treasuryinflation-protectedsec

3、uritiesTIPSSeriesISavingsBondsI-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.Thecoupo

4、nratewouldremainat5%,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,governmentwillprotectthewelfareofinves

5、torswholentmoneytothegovernmentinthefirstplace.2，byofferinginflation-indexedbonds,governmentgivesitselfastrongincentivetopursueanti-inflationarypolicies.theissuanceofinflation-indexedbondssimultaneouslyeliminatesthemoralhazardproblemassociatedwiththeissuanceofalong-termnominaldebtan

6、dreducestheneedtorolloverandrefundshort-termnominaldebt.3，indexedsecuritiesmayprovideausefulfunctioninprovidinginformationaboutfutureexpectedinflationrates.存在的困难：mostindexedbondshavelagsinindexing.thetaxtreatmentofTIPSwilldefinitelyinfluencethepricingandyieldsofTIPS.investorswilltyp

7、icallyrequireariskpremiumassociatedwiththeinflationrisk.Thisriskpremiumhastobeestimatedandthemannerinwhichitaffectstheexpectedinflationratehastobedetermined.thereisanissueastothedifferencesintheliquidityofthenominalandTIPSmarketinanygivenmaturitysector.4，TheTreasuryhasalsoarguedthat

8、theissuanceofindexe