债券市场分析与策略第7版答案6.docx

债券市场分析与策略第7版答案6.docx

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债券市场分析与策略第7版答案6

CHAPTER6

TREASURYANDAGENCYSECURITIES

CHAPTERSUMMARY

Thesecondlargestsectorofthebondmarket（afterthemortgagemarket）isthemarketforU.S.Treasurysecurities.ThesmallestsectoristheU.S.governmentagencysecuritiesmarket.Wediscussthesetwosectorstogetherinthischapter.AsexplainedinChapter11,amajorityofthesecuritiesbackedbyapoolofmortgagesareguaranteedbyafederallysponsoredagencyoftheU.S.government.Thesesecuritiesareclassifiedaspartofthemortgage-backedsecuritiesmarketratherthanasU.S.governmentagencysecurities.

TREASURYSECURITIES

TwofactorsaccountfortheprominentroleofU.S.Treasurysecurities:

volume（intermsofdollarsoutstanding）andliquidity.TheDepartmentoftheTreasuryisthelargestsingleissuerofdebtintheworld.ThelargevolumeoftotaldebtandthelargesizeofanysingleissuehavecontributedtomakingtheTreasurymarketthemostactiveandhencethemostliquidmarketintheworld.Thedealerspreadbetweenbidandaskpriceisconsiderablynarrowerthaninothersectorsofthebondmarket.

TypesofTreasurySecurities

TheTreasuryissuesmarketableandnonmarketablesecurities.Ourfocushereisonmarketablesecurities.MarketableTreasurysecuritiesarecategorizedasfixed-principalsecuritiesorinflation-indexedsecurities.Fixed-incomeprincipalsecuritiesincludeTreasurybills,Treasurynotes,andTreasurybonds.

Treasurybillsareissuedatadiscounttoparvalue,havenocouponrate,andmatureatparvalue.ThecurrentpracticeoftheTreasuryistoissueallsecuritieswithamaturityofoneyearorlessasdiscountsecurities.Asdiscountsecurities,Treasurybillsdonotpaycouponinterest.Instead,Treasurybillsareissuedatadiscountfromtheirmaturityvalue;thereturntotheinvestoristhedifferencebetweenthematurityvalueandthepurchaseprice.

Allsecuritieswithinitialmaturitiesoftwoyearsormoreareissuedascouponsecurities.Couponsecuritiesareissuedatapproximatelyparand,inthecaseoffixed-principalsecurities,matureatparvalue.Treasurycouponsecuritiesissuedwithoriginalmaturitiesofmorethanoneyearandnomorethan10yearsarecalledTreasurynotes.Treasurycouponsecuritieswithoriginalmaturitiesgreaterthan10yearsarecalledTreasurybonds.Callablebondshavenotbeenissuedsince1984.OnJanuary29,1997,theU.S.DepartmentoftheTreasuryissuedforthefirsttimeTreasurysecuritiesthatadjustforinflation.ThesesecuritiesarepopularlyreferredtoasTreasuryinflationprotectionsecurities,orTIPS.TheprincipalthattheTreasuryDepartmentwillbaseboththedollaramountofthecouponpaymentandthematurityvalueonisadjustedsemiannually.Thisiscalledtheinflation-adjustedprincipal.

TheTreasuryAuctionProcess

ThePublicDebtActof1942grantstheDepartmentoftheTreasuryconsiderablediscretionindecidingonthetermsforamarketablesecurity.Anissuemaybesoldonaninterest-bearingordiscountbasisandmaybesoldonacompetitiveorotherbasis,atwhateverpricestheSecretaryoftheTreasurymayestablish.

Treasurysecuritiesaresoldintheprimarymarketthroughsealed-bidauctions.EachauctionisannouncedseveraldaysinadvancebymeansofaTreasuryDepartmentpressreleaseorpressconference.Theannouncementprovidesdetailsoftheoffering,includingtheofferingamountandthetermandtypeofsecuritybeingoffered,anddescribessomeoftheauctionrulesandprocedures.Treasuryauctionsareopentoallentities.

TheTreasuryauctionssecuritiesonaregularcycleTreasurybillswithmaturitiesof4weeks,13weeks（3months）,and26weeks（6months）.AtirregularintervalstheTreasuryissuescashmanagementbillswithmaturitiesrangingfromafewdaystoaboutsixmonths.TheTreasuryauctions2-,5-,and10-yearTreasurynotes.TheTreasurydoesnotissueTreasurybondsonaregularbasis.TheTreasuryhadissued30-yearTreasurybondsonaregularbasisbutsuspendeddoingsoinOctober2001.

DeterminationoftheResultsofanAuction

TheauctionforTreasurysecuritiesisconductedonacompetitivebidbasis.Anoncompetitivebidissubmittedbyanentitythatiswillingtopurchasetheauctionedsecurityattheyieldthatisdeterminedbytheauctionprocess.

Whenanoncompetitivebidissubmitted,thebidderonlyspecifiesthequantitysought.Thequantityinanoncompetitivebidmaynotexceed$1millionforTreasurybillsand$5millionforTreasurycouponsecurities.Acompetitivebidspecifiesboththequantitysoughtandtheyieldatwhichthebidderiswillingtopurchasetheauctionedsecurity.

ThehighestyieldacceptedbytheTreasuryisreferredtoasthehighyield（orstop-outyield）.Bidderswhosebidishigherthanthehighyieldarenotdistributedanyofthenewissue（i.e.,theyareunsuccessfulbidders）.Bidderswhosebidwasthehighyield（i.e.,thehighestyieldacceptedbytheTreasury）areawardedaproportionateamountforwhichtheybid.

Withinanhouroftheauctiondeadline,theTreasuryannouncestheauctionresultsincludingthequantityofnoncompetitivetenders,themedian-yieldbid,andtheratioofthetotalamountbidforbythepublictotheamountawardedtothepublic（calledthebid-to-coverratio）.Fornotesandbonds,theannouncementincludesthecouponrateofthenewsecurity.

SecondaryMarket

ThesecondarymarketforTreasurysecuritiesisanover-the-countermarketwhereagroupofU.S.governmentsecuritiesdealersoffercontinuousbidandaskpricesonoutstandingTreasuries.Thereisvirtual24-hourtradingofTreasurysecurities.ThethreeprimarytradinglocationsareNewYork,London,andTokyo.ThenormalsettlementperiodforTreasurysecuritiesisthebusinessdayafterthetransactionday（“nextday”settlement）.

Themostrecentlyauctionedissueisreferredtoastheon-the-runissueorthecurrentissue.Securitiesthatarereplacedbytheon-the-runissuearecalledoff-the-runissues.Atagivenpointintimetheremaybemorethanoneoff-the-runissuewithapproximatelythesameremainingmaturityastheon-the-runissue.TreasurysecuritiesaretradedpriortothetimetheyareissuedbytheTreasury.ThiscomponentoftheTreasurysecondarymarketiscalledthewhen-issuedmarket,orwimarket.When-issuedtradingforbothbillsandcouponsecuritiesextendsfromthedaytheauctionisannounceduntiltheissueday.

Governmentdealerstradewiththeinvestingpublicandwithotherdealerfirms.Whentheytradewitheachother,itisthroughintermediariesknownasinterdealerbrokers.Dealersleavefirmbidsandofferswithinterdealerbrokerswhodisplaythehighestbidandlowestofferinacomputernetworktiedtoeachtradingdeskanddisplayedonamonitor.Dealersuseinterdealerbrokersbecauseofthespeedandefficiencywithwhichtradescanbeaccomplished.

PriceQuotesforTreasuryBills

TheconventionforquotingbidsandoffersisdifferentforTreasurybillsandTreasurycouponsecurities.BidsandoffersonTreasurybillsarequotedinaspecialway.Unlikebondsthatpaycouponinterest,Treasurybillvaluesarequotedonabankdiscountbasis,notonapricebasis.

ThequotedyieldonabankdiscountbasisisnotameaningfulmeasureofthereturnfromholdingaTreasurybill.Therearetworeasonsforthis.First,themeasureisbasedonaface-valueinvestmentratherthanontheactualdollaramountinvested.Second,theyieldisannualizedaccordingtoa360-dayratherthana365-dayyear,makingitdifficulttocompareTreasurybillyieldswithTreasurynotesandbonds,whichpayinterestona365-daybasis.

ThemeasurethatseekstomaketheTreasurybillquotecomparabletoTreasurynotesandbondsiscalledthebondequivalentyield.TheCDequivalentyield（alsocalledthemoneymarketequivalentyield）makesthequotedyieldonaTreasurybillmorecomparabletoyieldquotationsonothermoneymarketinstrumentsthatpayinterestona360-daybasis.ItdoesthisbytakingintoconsiderationthepriceoftheTreasurybillratherthanitsfacevalue.

QuotesonTreasuryCouponSecurities

TreasurycouponsecuritiesarequotedinadifferentmannerthanTreasurybills—onapricebasisinpointswhereonepointequals1%ofpar.Thepointsaresplitintounitsof32nds,sothatapriceof96-14,forexample,referstoapriceof96and1432nds,or96.4375per100ofparvalue.The32ndsarethemselvesoftensplitbytheadditionofaplussignoranumber.Inadditiontoprice,theyieldtomaturityistypicallyreportedalongsidetheprice.

Whenaninvestorpurchasesabondbetweencouponpayments,iftheissuerisnotindefault,theinvestormustcompensatethesellerofthebondforthecouponinterestearnedfromthetimeofthelastcouponpaymenttothesettlementdateofthebond.Thisamountiscalledaccruedinterest.Whencalculatingaccruedinterest,threepiecesofinformationareneeded:

（i）thenumberofdaysintheaccruedinterestperiod,（ii）thenumberofdaysinthecouponperiod,and（iii）thedollaramountofthecouponpayment.Thenumberofdaysintheaccruedinterestperiodrepresentsthenumberofdaysoverwhichtheinvestorhasearnedinterest.

Thecalculationofthenumberofdaysintheaccruedinterestperiodandthenumberofdaysinthecouponperiodbeginswiththedeterminationofthreekeydates:

thetradedate,settlementdate,anddateofpreviouscouponpayment.Thetradedateisthedateonwhichthetransactionisexecuted.Thesettlementdateisthedateatransactioniscompleted.ForTreasurysecurities,settlementisthenextbusinessdayafterthetradedate.InterestaccruesonaTreasurycouponsecurityfromandincludingthedateofthepreviouscouponpaymentuptobutexcludingthesettlementdat