债券市场_分析与策略PPTCh06

Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-1Chapter6TreasuryandAgencySecuritiesCopyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-2LearningObjectivesAfterreadingthischapter,youwillunderstandthedifferenttypesofsecuritiesissuedbytheTreasurytheoperationoftheprimarymarketforTreasurysecuritiestheroleofgovernmentdealersandgovernmentbrokersthesecondarymarketforTreasurysecuritieshowTreasurysecuritiesarequotedinthesecondarymarketthezero-couponTreasurysecuritiesmarketthemajorissuersinthefederalagencysecuritiesmarketthefunctionsofgovernment-sponsoredenterprisesthatissuesecuritiesCopyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-3TreasurySecuritiesTwofactorsaccountfortheprominentroleofU.S.Treasurysecurities:i.volume(intermsofdollarsoutstanding)交易量ii.Liquidity流动性TheDepartmentoftheTreasuryisthelargestsingleissuerofdebtintheworld.ThelargevolumeoftotaldebtandthelargesizeofanysingleissuehavecontributedtomakingtheTreasurymarketthemostactiveandhencethemostliquidmarketintheworld.Thedealerspreadbetweenbidandaskpriceisconsiderablynarrowerthaninothersectorsofthebondmarket.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-4TreasurySecurities(continued)TypesofTreasurySecuritiesTheTreasuryissuesbothmarketableandnon-marketablesecurities.Ourfocushereisonmarketablesecurities.(可流通证券）MarketableTreasurysecuritiesarecategorizedasfixed-principalsecurities（固定本金证券）orinflation-indexedsecurities.（与通货膨胀指数挂钩的证券）Fixed-incomeprincipalsecuritiesinclude:i.Treasurybills国库券ii.Treasurynotes中期国债iii.Treasurybonds长期国债Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-5TreasurySecurities(continued)TypesofTreasurySecuritiesTreasurybillsareissuedatadiscounttoparvalue,havenocouponrate,andmatureatparvalue.ThecurrentpracticeoftheTreasuryistoissueallsecuritieswithamaturityofoneyearorlessasdiscountsecurities.Asdiscountsecurities,Treasurybillsdonotpaycouponinterest.oInstead,Treasurybillsareissuedatadiscountfromtheirmaturityvalue;thereturntotheinvestoristhedifferencebetweenthematurityvalueandthepurchaseprice.没有利息，折价发行Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-6TreasurySecurities(continued)TypesofTreasurySecuritiesAllsecuritieswithinitialmaturitiesoftwoyearsormoreareissuedascouponsecurities.Couponsecuritiesareissuedatapproximatelyparand,inthecaseoffixed-principalsecurities,matureatparvalue.Treasurycouponsecuritiesissuedwithoriginalmaturitiesofmorethanoneyearandnomorethan10yearsarecalledTreasurynotes.Treasurycouponsecuritieswithoriginalmaturitiesgreaterthan10yearsarecalledTreasurybonds.按期付息，按照未来利息和本金折现定价Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-7TreasurySecurities(continued)TypesofTreasurySecuritiesCallablebondshavenotbeenissuedsince1984.OnJanuary29,1997,theU.S.DepartmentoftheTreasuryissuedforthefirsttimeTreasurysecuritiesthatadjustforinflation.ThesesecuritiesarepopularlyreferredtoasTreasuryinflationprotectionsecurities,orTIPS.通货膨胀保护国债TheprincipalthattheTreasuryDepartmentwillbaseboththedollaramountofthecouponpaymentandthematurityvalueonisadjustedsemiannually.每半年调整一次Thisiscalledtheinflation-adjustedprincipal.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-8TreasurySecurities(continued)TheTreasuryAuctionProcessThePublicDebtActof1942grantstheDepartmentoftheTreasuryconsiderablediscretionindecidingonthetermsforamarketablesecurity.Anissuemaybesoldonaninterest-bearing（附息）ordiscount（议价）basisandmaybesoldonacompetitiveorotherbasis,atwhateverpricestheSecretaryoftheTreasurymayestablish.However,Congressimposesarestrictiononthetotalamountofbondsoutstanding.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-9TreasurySecurities(continued)TheTreasuryAuctionProcessTreasurysecuritiesaresoldintheprimarymarket（一级市场）throughsealed-bidauctions.（拍卖程序）EachauctionisannouncedseveraldaysinadvancebymeansofaTreasuryDepartmentpressreleaseorpressconference.Theannouncementprovidesdetailsoftheoffering,includingtheofferingamountandthetermandtypeofsecuritybeingoffered,anddescribessomeoftheauctionrulesandprocedures.Treasuryauctionsareopentoallentities.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-10TreasurySecurities(continued)TheTreasuryAuctionProcessTheTreasuryauctionssecuritiesonaregularcycleTreasurybillswithmaturitiesof4weeks,13weeks(3months),and26weeks(6months).AtirregularintervalstheTreasuryissuescashmanagementbills（现金管理国库券）withmaturitiesrangingfromafewdaystoaboutsixmonths.TheTreasuryauctions2-,5-,and10-yearTreasurynotes.TheTreasurydoesnotissueTreasurybondsonaregularbasis.oTheTreasuryhadissued30-yearTreasurybondsonaregularbasisbutsuspendeddoingsoinOctober2001.Copyright©2010PearsonEducation,Inc.PublishingasPrenticeHall6-11TreasurySecurities(continued)DeterminationoftheResultsofanAuctionTheauctionforTreasurysecuritiesisconductedonacompetitivebidbasis.竞争性投标Anoncompetitivebidissubmittedbyanentitythatiswillingtopurchasetheauctionedsecurityattheyieldthatisdeterminedbytheauctionprocess.接受拍卖的收益率Whenanoncompetitivebidissubmitt