By Mark Deacon
The worldwide marketplace for inflation-indexed securities has ballooned lately, and this development is determined to proceed. This publication examines the explanation at the back of issuance and funding judgements, and info the problems dealing with a person who designs listed securities, illustrating them anyplace attainable with real examples from the overseas capital markets. specifically, an intensive evaluation of listed debt markets in the course of the international is supplied - together with for the 1st time, a finished and constant set of money stream and price-yield equations for the tools already in life within the significant bond markets - forming a massive reference for these already skilled within the box, in addition to practitioners and lecturers impending the topic for the 1st time.
The e-book additionally offers specified perception into the improvement of inflation-indexed spinoff items, and the analytical instruments required to price such instruments.
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Extra info for Inflation-indexed securities
When consulting on the issue in 1996, the Department of the US Treasury (1996a) suggested four possible price indices to use for its inﬂation-indexed notes: the nonseasonally adjusted CPI for All Urban Consumers (CPI-U), the Core CPI (CPI-U, excluding food and energy), the Employment Cost Index (ECI) and the GDP deﬂator. Of these, the CPI-U index was chosen because it was felt to be the most widely understood of the four. The Treasury opted to use a non-seasonally adjusted measure of the CPI in order to avoid the periodic revisions that are likely to aﬀect a seasonally adjusted series.
13 The ﬁrst government indexed-bonds in the Euro-zone were brought by the French government and indexed to French CPI excluding tobacco. More recently the French, Greek and Italian governments have issued bonds indexed to the Euro-zone Harmonised Index of Consumer Prices (HICP) excluding tobacco. See Chapters 6 and 7 for more detail. 8 Inﬂation-indexed Securities investors from other countries within EMU? Receiving cash ﬂows linked to the price index of another country – albeit one with the same currency – would seem suboptimal to say the least.
2 National Savings certiﬁcates. These are non-marketable retail savings instruments. 3 Gilt-edged securities (marketable government bonds). 6 Inﬂation-indexed Securities savings. The bonds are usually indexed to a broad measure of prices, typically a domestic Consumer Price Index (CPI), but other ‘‘inﬂation’’ indices (such as wholesale prices, average earnings and the GDP deﬂator) have been used. Although they take a variety of forms the capital-indexed structure has become the most widely utilised, with all income and principal payments adjusted for inﬂation.