Inflation protection bonds: understanding structure and implementing strategies
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Hope, Pa.
Frank J. Fabozzi Assoc.
1997
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 82 S. graph. Darst. |
| ISBN: | 1883249228 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Table of Contents
About the Authors iv
Preface ix
1. What Are Inflation Protection Bonds 1
What is Covered 3
Section I: Overview and Players 5
2. A Brief History of IPBs 7
IPBs Issued by the United Kingdom 9
3. Real Interest Rates 13
Real Interest Rate Structure 14
Observation of Real Interest Rates 14
4. Market Participants 17
Issuers Perspective 17
Private Issuers 18
Public Issuers 20
Investors Perspective 21
Strategic Investors 21
Tactical Investors 22
Traders and Market Makers 23
Section II: Structures and Strategies 25
5. Structure 27
STRIPS 29
Minimum Guarantee 29
Taxation Policy 30
The Consumer Price Index 31
Boskin Commission Report 31
Treasury Response 32
BLS Reaction 33
6. Policy Issues 35
Welfare Gain of Issuing IPBs 35
v
Efficient Risk Sharing 35
Enhancement of Monetary Policy Credibility 36
Moral Hazard 37
Transfer of Market Information 38
7. Valuation Methods 39
Overview 39
Comparisons of Nominal Bonds and IPBs 40
Historical Determinants of Real Interest Rates 41
Supply of Capital 41
Fiscal Policy 42
Demand for Capital 43
Global Capital Markets 44
Country Specific Real Rate Variables and IPBs 46
Markets in Other Countries and U.S. Real Rates 46
Measures of Exposure 47
Real Duration 48
Relationship between Nominal and Real Yields 48
Modified Real Duration 49
Application of Modified Real Duration 49
Impact of Issuer Credit on Quoted Real Yields 50
8. IPBs Around the Globe 51
United Kingdom 51
Canada 52
Australia 52
International Relative Value Opportunities 53
Managing Foreign Currency Exposure 55
Example: No Foreign Exchange Hedging in a
Classical World 56
Example: Complete Foreign Exchange Hedging in a
Classical World 56
Fluctuations in Real Exchange Rates and Optional Hedging 57
vi
Section III: Intermediation of IPBs 59
9. Institutional Fund Management 61
Strategic Performance Benchmark 62
Investment Latitude 63
Sources of Added Value 63
Duration 64
International IPBs 64
Yield Curve Strategies 64
Sector Rotation 65
Forward Purchases and cpiPLUS 65
Institutional Vehicles 66
Separate Account Management 66
Strategic Mandates and Immunization Strategies 66
Tactical Use in Conventional Bond Portfolios 67
Synthetic Real Guaranteed Investment Contracts (GICs) 68
Crediting Rate Formula 68
Mutual Funds 70
Hedge Funds and Partnerships 70
10. Conclusion 71
Appendix: Mexico s Tesobonos 75
Index 77
vii
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:14:56Z |
| institution | BVB |
| isbn | 1883249228 |
| language | English |
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| publisher | Frank J. Fabozzi Assoc. |
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| spelling | Brynjolfsson, John B. Verfasser aut Inflation protection bonds understanding structure and implementing strategies John B. Brynjolfsson ; Anthony L. Faillace Inflation-protection bonds New Hope, Pa. Frank J. Fabozzi Assoc. 1997 X, 82 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Indexering gtt Inflatie gtt Obligaties gtt Government securities Inflation-indexed bonds Inflationsrate (DE-588)4120485-2 gnd rswk-swf Indexanleihe (DE-588)4267737-3 gnd rswk-swf Indexanleihe (DE-588)4267737-3 s Inflationsrate (DE-588)4120485-2 s DE-604 Faillace, Anthony L. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007918962&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brynjolfsson, John B. Faillace, Anthony L. Inflation protection bonds understanding structure and implementing strategies Indexering gtt Inflatie gtt Obligaties gtt Government securities Inflation-indexed bonds Inflationsrate (DE-588)4120485-2 gnd Indexanleihe (DE-588)4267737-3 gnd |
| subject_GND | (DE-588)4120485-2 (DE-588)4267737-3 |
| title | Inflation protection bonds understanding structure and implementing strategies |
| title_alt | Inflation-protection bonds |
| title_auth | Inflation protection bonds understanding structure and implementing strategies |
| title_exact_search | Inflation protection bonds understanding structure and implementing strategies |
| title_full | Inflation protection bonds understanding structure and implementing strategies John B. Brynjolfsson ; Anthony L. Faillace |
| title_fullStr | Inflation protection bonds understanding structure and implementing strategies John B. Brynjolfsson ; Anthony L. Faillace |
| title_full_unstemmed | Inflation protection bonds understanding structure and implementing strategies John B. Brynjolfsson ; Anthony L. Faillace |
| title_short | Inflation protection bonds |
| title_sort | inflation protection bonds understanding structure and implementing strategies |
| title_sub | understanding structure and implementing strategies |
| topic | Indexering gtt Inflatie gtt Obligaties gtt Government securities Inflation-indexed bonds Inflationsrate (DE-588)4120485-2 gnd Indexanleihe (DE-588)4267737-3 gnd |
| topic_facet | Indexering Inflatie Obligaties Government securities Inflation-indexed bonds Inflationsrate Indexanleihe |
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