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1、CHAPTERTENU.S.TREASURYANDAGENCYSECURITIESFRANKJ.FABOZZI,PH.D.,CFAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityMICHAELJ.FLEMING,PH.D.AssistantVicePresidentFederalReserveBankofNewYorkU.S.Treasurysecuritiesaredirectobligationsof
2、theU.S.governmentissuedbytheDepartmentoftheTreasury.TheyarebackedbythefullfaithandcreditoftheU.S.governmentandthereforeareconsideredtobefreeofcreditrisk.Agencysecurities,incontrast,areobligationsofspecificentitiesthatareeitherpartoforsponsoredbytheU.S.
3、government.Agencysecuritiestypicallydonothaveanexplicitgovernmentbackingbutneverthelessareviewedashavingverylowcred-itrisk.InthischapterwediscussU.S.Treasuryandagencysecurities.TREASURYSECURITIESAsnoted,TreasurysecuritiesareobligationsoftheU.S.governm
4、entandthusareconsideredtobefreeofcreditrisk.IssuancetopayoffmaturingdebtandraiseneededfundshascreatedastockofmarketableTreasurysecuritiesthattotaled$3.7trilliononMarch31,2004.1Thecreditworthinessandsupplyofthesecuri-tieshaveresultedinahighlyliquidroun
5、d-the-clocksecondarymarketwithhighlevelsoftradingactivityandnarrowbid-askspreads.TheviewsexpressedinthischapterarethoseoftheauthorsandnotnecessarilythoseoftheFederalReserveBankofNewYorkortheFederalReserveSystem.1.ThestockofnonmarketableTreasurysecurit
6、iesonthesamedatetotaled$3.4trillion.Ofthis,$3.0trillionwasnonpublicdebt(heldingovernmentaccounts),$0.2trillionwasheldbyprivateinvestorsintheformofU.S.SavingsBonds,and$0.2trillionwasheldinaspecialseriesbystateandlocalgovernments(MonthlyStatementofthePu
7、blicDebt,www.publicdebt.ustreas.gov/opd/opddload.htm).ThischapterfocusesonmarketableTreasurysecurities.229Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.230PART3SecuritiesBecauseoftheirliquidity,Treasu
8、rysecuritiesareusedcommonlytopriceandhedgepositionsinotherfixedincomesecuritiesandtospeculateonthecourseofinterestrates.Thesecurities’creditworthinessandliquidityalsomakethemawidespreadbenchmarkforrisk-freerates.ThesesameattributesmakeTreasurys
