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Quantitative Finance · Glosarium

Apa itu Index-linked bond, reference index, deflation floor?

Dikenal juga sebagai: index-linked bond · reference index · deflation floor

Definition 11.1 Markets II: Rates, FX and Credit · Bab 11 — Inflation Markets

An index-linked bond (a linker) is a bond whose principal, and so each coupon, is scaled by the growth of a consumer price index since the bond’s dated date. The scaling uses the reference index: the price index of a given day as the bond’s rules define it from the published monthly values. The ratio of the reference index on a day to its value on the dated date is the index ratio. A deflation floor is a promise that the principal repaid at maturity is never less than the original face value, whatever the index has done.

The indexation lag of a TIPS. The reference index moves during August from the May index to the June index, both already published, so the growth of the principal over August is known from 13 July, the day the June index was released in 2022. Schematic.
Figure 11.1. The indexation lag of a TIPS. The reference index moves during August from the May index to the June index, both already published, so the growth of the principal over August is known from 13 July, the day the June index was released in 2022. Schematic.

Contoh

Example 11.2 (An index ratio)

Take an illustrative ten-year TIPS dated 15 January 2022, with a 0.125% coupon. Its reference index on that day interpolates between the October 2021 index, 276.589, and November’s, 277.948: 276.589+1431×1.359=277.20274276.589 + \tfrac{14}{31}\times 1.359 = 277.20274. On 15 August 2022 it interpolates between May 2022, 292.296, and June, 296.311: 294.10922. The index ratio is 294.10922/277.20274=1.06099294.10922/277.20274 = 1.06099, so USD 100 million of face value is then USD 106.099 million of principal, and the coupon paid on 15 July, at an index ratio of 1.04814, was USD 65 509.

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