Download Inflation-indexed Securities. Bonds, Swaps and Other by Deacon M., Derry A., Mirfendereski D. PDF

By Deacon M., Derry A., Mirfendereski D.

The worldwide marketplace for inflation-indexed securities has ballooned lately, and this pattern is decided to proceed. This ebook examines the reason at the back of issuance and funding judgements, and information the problems dealing with a person who designs listed securities, illustrating them at any place attainable with genuine examples from the overseas capital markets. specifically, an in depth evaluation of listed debt markets during the global is equipped - together with for the 1st time, a finished and constant set of money stream and price-yield equations for the tools already in lifestyles within the significant bond markets - forming a massive reference for these already skilled within the box, in addition to practitioners and lecturers imminent the topic for the 1st time.The e-book additionally offers distinctive perception into the improvement of inflation-indexed by-product items, and the analytical instruments required to worth such tools.

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Extra info for Inflation-indexed Securities. Bonds, Swaps and Other Derivatives

Example text

3 4 Security Design 11 holding inflation-indexed bonds. This problem of index mismatch is often cited as a reason for the relatively low volume of indexed bonds issued by the private sector. 2 Index reliability and integrity Index bias Publication of the Boskin Report in the USA in 1996 focused attention on the measurement bias that can be inherent in price indices. Professor Boskin and his team were appointed in 1995 by the Senate Finance Committee, with the principal objective to ascertain whether or not the CPI overstated the real rate of increase in the cost of living for consumers.

9 10 Security Design 13 for a particular month is not reported by the last day of the following month, then the US Treasury will announce an index number based on the latest available 12-month change in the CPI. So, if the CPI for month M is not reported in time, the Treasury calculates a substitute index number using the following formula:   CPIM -1 1=12 CPIM ¼ CPIM -1 Â CPIM -13 If it proves necessary to employ a substitute index number, then the Treasury will use it for all subsequent calculations that rely on that month’s index number.

They suggest that in the Israeli indexed bond market, bond prices reflect 85% of new information about inflation immediately it becomes available, while the remaining 15% is usually incorporated by the end of the following business day. Index seasonality Consumer behaviour can exhibit seasonal features: in many industrialised countries consumer spending peaks in the run-up to Christmas, which in turn is often followed by a period of price discounting in January; the demand for energy and warm clothing tends to be higher in the cold winter months than in the summer, and so on.

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