Wiley-VCH - Deacon, Mark / Derry, Andrew / Mirfendereski, Dariush - Inflation-indexed Securities

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Ernst & Sohn

Deacon, Mark / Derry, Andrew / Mirfendereski, Dariush Inflation-indexed Securities Bonds, Swaps and Other Derivatives Wiley Finance Series 2. Edition January 2004 119.- Euro 2004. 360 Pages, Hardcover ISBN 978-0-470-86812-6 - John Wiley & Sons	Sample Chapter
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Short description Inflation-Indexed Securities, Second Edition charts the evolution of indexation to the basis of a new asset class. In addition to examining the rationale behind issuance and investment decisions, this book also details the issues facing those designing indexed securities, illustrating them wherever possible with actual examples from the international capital markets. As well as reviewing the markets for indexed bonds this book provides unique insight into the development of inflation-indexed derivative products and the analytical tools required to value such instruments. From the contents List of Exhibits. List of Figures. List of Tables. About the Authors. Foreword by Sir Edward George. Preface to the Second Edition. Acknowledgements. Disclaimer. List of Abbreviations. 1 What Are Inflation-indexed Securities and Derivatives? 1.1 A historical perspective. 1.2 How indexed bonds work. 1.3 The role of derivatives. 2 Security Design. 2.1 Choice of price index. 2.2 Cash flow structure. 2.3 Application of the index to the cash flows. 2.4 The impact of tax regulations. 2.5 Options on indexed bonds. 2.6 Method of issue. 2.7 Summary. Appendices. A2.1 Calculating the base annuity payment for Indexed Annuity Bonds (IABs). A2.2 Barro's proposal for revising the inflation adjustment of payments on index-linked gilts. 3 Why Invest in Indexed Debt? 3.1 Reducing inflation risk. 3.2 Relative stability of returns. 3.3 Performance relative to conventional bonds and equities. 3.4 Total return opportunities. 3.5 Duration and other cash flow considerations. 3.6 Taxation. 3.7 Liquidity. 3.8 Other potential deterrents to investing in indexed bonds. 3.9 Alternatives to indexed bonds. 3.10 Summary. 4 Why Issue Indexed Bonds? 4.1 Why governments issue indexed bonds. 4.2 Why private corporations issue indexed bonds. 4.3 The relative scarcity of index-linked bonds. 4.4 Summary. 5 Inflation and Real Interest Rate Analysis. 5.1 Measures of real interest rates. 5.2 Measures of inflation expectations. 5.3 Analysis of real interest rates and inflation expectations. 5.4 Summary. 6 Major International Indexed Bond Markets. 6.1 Australia. 6.2 Canada. 6.3 France. 6.4 Sweden. 6.5 United Kingdom. 6.6 United States of America. Appendices. A6.1 Cash flow calculations for Australian Capital Indexed Bonds (CIBs). A6.2 Cash flow calculations for Canadian Real Return Bonds (RRBs). A6.3 Cash flow calculations for French OATi and OATcEUR i bonds. A6.4 Cash flow calculations for Swedish index-linked Treasury bonds. A6.5 Cash flow calculations for UK Index-linked Gilts (IGs). A6.6 Cash flow calculations for US Treasury Inflation-Indexed Securities (TIIS). 7 Other Indexed Bond Markets. 7.1 Argentina. 7.2 Austria. 7.3 Bolivia. 7.4 Brazil. 7.5 Chile. 7.6 Colombia. 7.7 Czech Republic. 7.8 Denmark. 7.9 Finland. 7.10 Germany. 7.11 Greece. 7.12 Hungary. 7.13 Iceland. 7.14 India. 7.15 Ireland. 7.16 Israel. 7.17 Italy. 7.18 Japan. 7.19 Kazakhstan. 7.20 Mexico. 7.21 Netherlands. 7.22 New Zealand. 7.23 Norway. 7.24 Peru. 7.25 Poland. 7.26 Portugal. 7.27 South Africa. 7.28 Spain. 7.29 Switzerland. 7.30 Turkey. Appendices. A7.1 Calculation of the settlement price for Colombian TES-UVR bonds. A7.2 Calculation of the settlement price for Icelandic Treasury Bonds. A7.3 Calculation of real yields for Israeli inflation-indexed bonds. A7.4 Cash flow calculations for New Zealand Treasury inflation-indexed bonds. A7.5 Exchange rates. 8 Inflation-linked Derivatives: Market Description. 8.1 Overview. 8.2 A brief history of Inflation-linked derivatives markets. 8.3 Inflation payers (issuers). 8.4 Inflation receivers (investors). 8.5 Inflation options. 8.6 Future trends. Appendix. A8.1 Example swap and option structures. 9 Inflation-linked Derivatives: Pricing, Hedging and Other Technical Aspects. 9.1 Outline. 9.2 Pricing approaches. 9.3 Deriving a forward Consumer Price Index (CPI) curve for Level II and III markets. 9.4 ''Level I'' markets in Europe: intraregional Euro-zone inflation spreads. 9.5 Alternative approaches to the construction of inflation curves. 9.6 Asset swaps - connecting swap and bond prices. 9.7 Hedging a swapped new issue. 9.8 The evolution of the Euro-zone HICPswap market. 9.9 Historical estimation of price index volatilities. 9.10 Pricing inflation options. 9.11 Summary. 10 Conclusion. References. Bibliography. Useful websites. Index.

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