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1、第六讲 通胀指数化债券INFLATION-INDEXED BONDS,6.1通胀指数化债券概况inflation-linked bonds linkers designed to cut out the inflation risk of an investment.,The first known inflation-indexed bond was issued by the Massachusetts Bay Company in 1780.The market has grown dramatically since the British government began issui
2、ng inflation-linked Gilts in 1981.As of 2008,government-issued inflation-linked bonds comprise over$1.5 trillion of the international debt market.The inflation-linked market primarily consists of sovereign debt,with privately issued inflation-linked bonds constituting a small portion of the market.,
3、美国的指数化债券市场Treasury inflation-protected securities TIPSSeries I Savings Bonds I-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,For 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 inflation index increase
4、d 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.,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-even inflation(BEI)对五年期债券，利差(3.56%1.25%)=231 bps 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，
5、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 issuance of inflation-indexed bonds
6、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 expected inflation rates.存在的困难：mo
7、st 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 it affects the expected inflation
8、 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 introduction of TIPS,first-time investors
9、 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 TIPS is likely to be not very liquidR
10、elatively small amountslower yieldsinvestors 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 the security.,6.3 TIPS的设计(a)choice of ind
11、ex,(b)indexation lag,(c)maturity composition,(d)strippability,(e)tax treatment,(f)cash-flow structure.,(a)choice of indexThe integrity of the index must be beyond any doubtthe index should be maintained and updated in a scrupulous manner so that it reflects the true cost of a representative consumpt
12、ion basket.The 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 lagIf the indexed bond is perfectly indexed so that its payoffs re
13、flect at every instant the prevailing inflation rate,such a bond will carry no risk at all with respect to the inflation factor.the inflation numbers have to be computed by the Bureau of Labor Statistics,and the process takes time.Thus,there is an unavoidable delay between the time the inflation is
14、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.,This lag in indexing is probably a more serious issue for short-term indexed securities when the volatility associated with the inflation ris
15、k is very high.,(c)Maturity composition of TIPS(d)Strippability of TIPS5-,10-,and 20-year maturitythe Treasury also has allowed stripping of securities：index-linked zeroesNow indexed strips have maturities ranging from a few months to more than 25 years.These strips can be particularly useful in the
16、 annuities market to fund retirement benefits that are indexed to inflation.,(e)Tax treatmentThe U.S.Treasury says the appreciation in the principal amount due to inflation and the resulting increase in coupon must be taxed.At high enough inflation rates,taxable investors may experience negative cas
17、h flows from TIPS.taxing 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.1,Indexed zero coupon structurePresents no reinvestment risk and presents t
18、he best protection from the risk of inflation.the tax treatment in many countries would generate negative cash flows to taxable investors,2,Principal-indexed structure,3,Interest-indexed structure,6.4 REAL YIELDS,NOMINAL YIELDS,AND BREAK-EVEN INFLATION,6.5 CASH FLOWS,PRICES,YIELDS,AND RISKS OF TIPS,
