《固定收益證券th》ppt課件(文件)
【正文】 n a scrupulous manner so that it reflects the true cost of a representative consumption basket. ? The danger that investors might face in the choice of the index is the possibility that the index position and the method of its calculation might change in the future in a way that adversely affects them. (b) Indexation lag ? If the indexed 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. ? the inflation numbers have to be puted by the Bureau of Labor Statistics, and the process takes time. Thus, there is 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. ? This lag in indexing is probably a more serious issue for shortterm indexed securities when the volatility associated with the inflation risk is very high. (c) Maturity position of TIPS (d) Strippability of TIPS ? 5, 10, and 20year maturity ? the Treasury also has allowed stripping of securities
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