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1、第六讲 通胀指数化债券INFLATION-INDEXED BONDS6.1通胀指数化债券概况linflation-linked bonds llinkers ldesigned to cut out the inflation risk of an investment.lThe first known inflation-indexed bond was issued by the Massachusetts Bay Company in 1780. lThe market has grown dramatically since the British government began i
2、ssuing inflation-linked Gilts in 1981. lAs of 2008, government-issued inflation-linked bonds comprise over $1.5 trillion of the international debt market.lThe inflation-linked market primarily consists of sovereign debt, with privately issued inflation-linked bonds constituting a small portion of th
3、e market.美国的指数化债券市场lTreasury inflation-protected securities TIPSlSeries I Savings Bonds I-bonds l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lFor example, if the annual coupon of the bond was 5% and the underlying principal of the bond was 100 units, the annual payment would be 5 units. If the inflatio
4、n index increased by 10%, the principal of the bond would increase to 110 units. The coupon rate would remain at 5%, resulting in an interest payment of 110 x 5% = 5.5 units. l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。 l盈亏平衡通胀率 break-even inflation (BEI) 对五年期债券， 利差(3.56%1.25%)=231 bpsl 如果实际通胀率低于BEI，TIPS就比名义
5、债券表现差，反之亦然。6.2 指数化债券市场的影响1，By offering inflation indexed securities, government will protect the welfare of investors who lent money to the government in the first place.2，by offering inflation-indexed bonds, government gives itself a strong incentive to pursue anti-inflationary policies. the issuan
6、ce of inflation-indexed bonds simultaneously eliminates the moral hazard problem associated with the issuance of a long-term nominal debt and reduces the need to roll over and refund short-term nominal debt.3，indexed securities may provide a useful function in providing information about future expe
7、cted inflation rates.存在的困难： most indexed bonds have lags in indexing. the tax treatment of TIPS will definitely influence the pricing and yields of TIPS. investors will typically require a risk premium associated with the inflation risk. This risk premium has to be estimated and the manner in which
8、it affects the expected inflation rate has to be determined. there is an issue as to the differences in the liquidity of the nominal and TIPS market in any given maturity sector.4，The Treasury has also argued that the issuance of indexed bonds might reduce the cost of public debt.5，With the introduc
9、tion of TIPS, first-time investors have a reliable financial security to hedge in the long term against the risks of inflation.6，by borrowing in indexed securities, the revenues and the expenditures of the federal government are affected by the rate of inflation.7，In the short run, the market for TI
10、PS is likely to be not very liquidlRelatively small amountsllower yieldslinvestors in TIPS do not trade actively8，One risk associated with investing in inflation-indexed bonds is the risk that the index could undergo some future changes, which can adversely affect the investors who currently hold th
11、e security.6.3 TIPS的设计(a) choice of index, (b) indexation lag,(c) maturity composition, (d) strippability,(e) tax treatment, (f) cash-flow structure.(a) choice of indexlThe integrity of the index must be beyond any doubtlthe index should be maintained and updated in a scrupulous manner so that it re
12、flects the true cost of a representative consumption basket.lThe danger that investors might face in the choice of the index is the possibility that the index composition and the method of its calculation might change in the future in a way that adversely affects them.(b) Indexation laglIf the index
13、ed bond is perfectly indexed so that its payoffs reflect at every instant the prevailing inflation rate, such a bond will carry no risk at all with respect to the inflation factor.lthe inflation numbers have to be computed by the Bureau of Labor Statistics, and the process takes time. Thus, there is
14、 an unavoidable delay between the time the inflation is measured and the time the cash flows are indexed to the measured inflation rate. This makes the indexed bond have some residual exposure to the inflation risk.lThis lag in indexing is probably a more serious issue for short-term indexed securit
15、ies when the volatility associated with the inflation risk is very high.(c) Maturity composition of TIPS(d) Strippability of TIPSl5-, 10-, and 20-year maturitylthe Treasury also has allowed stripping of securities：index-linked zeroeslNow indexed strips have maturities ranging from a few months to mo
16、re than 25 years.lThese strips can be particularly useful in the annuities market to fund retirement benefits that are indexed to inflation.(e) Tax treatmentlThe U.S. Treasury says the appreciation in the principal amount due to inflation and the resulting increase in coupon must be taxed.lAt high e
17、nough inflation rates, taxable investors may experience negative cash flows from TIPS.ltaxing inflation accruals may, in fact, be necessary to improve the liquidity of the TIPS market.(f) CASH-FLOW STRUCTURECPIt ： the level of the index at date t, CPIT ： the level of the index on the maturity date T
18、.1 ,Indexed zero coupon structurelPresents no reinvestment risk and presents the best protection from the risk of inflation.lthe tax treatment in many countries would generate negative cash flows to taxable investors2 ,Principal-indexed structure3, Interest-indexed structure6.4 REAL YIELDS, NOMINAL YIELDS, AND BREAK-EVEN INFLATION6.5 CASH FLOWS, PRICES, YIELDS, AND RISKS OF TIPS
