{"product_id":"inflationindexed-securities-9780470868126","title":"InflationIndexed Securities","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eA practical guide to inflation indexed securities. It charts the evolution of indexation to the basis of a new asset class. It also details the issues facing those designing indexed securities, illustrating them wherever possible with actual examples from the international capital markets.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003eList of Exhibits.  \u003cp\u003eList of Figures.\u003c\/p\u003e \u003cp\u003eList of Tables.\u003c\/p\u003e \u003cp\u003eAbout the Authors.\u003c\/p\u003e \u003cp\u003eForeword by Sir Edward George.\u003c\/p\u003e \u003cp\u003ePreface to the Second Edition.\u003c\/p\u003e \u003cp\u003eAcknowledgements.\u003c\/p\u003e \u003cp\u003eDisclaimer.\u003c\/p\u003e \u003cp\u003eList of Abbreviations.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 What Are Inflation-indexed Securities and Derivatives?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 A historical perspective.\u003c\/p\u003e \u003cp\u003e1.2 How indexed bonds work.\u003c\/p\u003e \u003cp\u003e1.3 The role of derivatives.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Security Design.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Choice of price index.\u003c\/p\u003e \u003cp\u003e2.1.1 Index matching.\u003c\/p\u003e \u003cp\u003e2.1.2 Index reliability and integrity.\u003c\/p\u003e \u003cp\u003e2.1.3 Other practical considerations.\u003c\/p\u003e \u003cp\u003e2.2 Cash flow structure.\u003c\/p\u003e \u003cp\u003e2.2.1 Capital Indexed Bond (CIB).\u003c\/p\u003e \u003cp\u003e2.2.2 Interest Indexed Bond (IIB).\u003c\/p\u003e \u003cp\u003e2.2.3 Current Pay Bond (CPB).\u003c\/p\u003e \u003cp\u003e2.2.4 Indexed Annuity Bond (IAB).\u003c\/p\u003e \u003cp\u003e2.2.5 Indexed Zero-Coupon Bond (IZCB).\u003c\/p\u003e \u003cp\u003e2.2.6 Other types of indexed bonds.\u003c\/p\u003e \u003cp\u003e2.2.7 Cash flows of the different structures.\u003c\/p\u003e \u003cp\u003e2.2.8 Factors that influence the choice of security design.\u003c\/p\u003e \u003cp\u003e2.3 Application of the index to the cash flows.\u003c\/p\u003e \u003cp\u003e2.3.1 The problem of the indexation lag.\u003c\/p\u003e \u003cp\u003e2.3.2 Why indexation lags are necessary.\u003c\/p\u003e \u003cp\u003e2.3.3 How to minimise the indexation lag.\u003c\/p\u003e \u003cp\u003e2.3.4 Full or partial indexation?\u003c\/p\u003e \u003cp\u003e2.4 The impact of tax regulations.\u003c\/p\u003e \u003cp\u003e2.4.1 Uncertainty of post-tax real yields.\u003c\/p\u003e \u003cp\u003e2.4.2 The effect of income accrual rules.\u003c\/p\u003e \u003cp\u003e2.5 Options on indexed bonds.\u003c\/p\u003e \u003cp\u003e2.5.1 Callable bonds.\u003c\/p\u003e \u003cp\u003e2.5.2 Puttable bonds.\u003c\/p\u003e \u003cp\u003e2.5.3 Convertible bonds.\u003c\/p\u003e \u003cp\u003e2.6 Method of issue.\u003c\/p\u003e \u003cp\u003e2.6.1 Pricing.\u003c\/p\u003e \u003cp\u003e2.6.2 Cost-effectiveness and market development.\u003c\/p\u003e \u003cp\u003e2.6.3 Consistency with other instruments.\u003c\/p\u003e \u003cp\u003e2.6.4 What happens in practice?\u003c\/p\u003e \u003cp\u003e2.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendices.\u003c\/p\u003e \u003cp\u003eA2.1 Calculating the base annuity payment for Indexed Annuity Bonds (IABs).\u003c\/p\u003e \u003cp\u003eA2.2 Barro’s proposal for revising the inflation adjustment of payments on index-linked gilts.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Why Invest in Indexed Debt?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Reducing inflation risk.\u003c\/p\u003e \u003cp\u003e3.2 Relative stability of returns.\u003c\/p\u003e \u003cp\u003e3.3 Performance relative to conventional bonds and equities.\u003c\/p\u003e \u003cp\u003e3.4 Total return opportunities.\u003c\/p\u003e \u003cp\u003e3.5 Duration and other cash flow considerations.\u003c\/p\u003e \u003cp\u003e3.6 Taxation.\u003c\/p\u003e \u003cp\u003e3.7 Liquidity.\u003c\/p\u003e \u003cp\u003e3.8 Other potential deterrents to investing in indexed bonds.\u003c\/p\u003e \u003cp\u003e3.9 Alternatives to indexed bonds.\u003c\/p\u003e \u003cp\u003e3.9.1 Treasury bills.\u003c\/p\u003e \u003cp\u003e3.9.2 Equities.\u003c\/p\u003e \u003cp\u003e3.9.3 Property.\u003c\/p\u003e \u003cp\u003e3.10 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Why Issue Indexed Bonds?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Why governments issue indexed bonds.\u003c\/p\u003e \u003cp\u003e4.1.1 Reducing borrowing costs: the role of inflation expectations.\u003c\/p\u003e \u003cp\u003e4.1.2 Reducing borrowing costs: saving the inflation risk premium.\u003c\/p\u003e \u003cp\u003e4.1.3 Risk management.\u003c\/p\u003e \u003cp\u003e4.1.4 Inflation-indexed bonds and monetary policy.\u003c\/p\u003e \u003cp\u003e4.1.5 Maintaining long-term capital markets in difficult economic conditions.\u003c\/p\u003e \u003cp\u003e4.2 Why private corporations issue indexed bonds.\u003c\/p\u003e \u003cp\u003e4.3 The relative scarcity of index-linked bonds.\u003c\/p\u003e \u003cp\u003e4.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Inflation and Real Interest Rate Analysis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Measures of real interest rates.\u003c\/p\u003e \u003cp\u003e5.1.1 Real gross redemption yields.\u003c\/p\u003e \u003cp\u003e5.1.2 Hedge ratios: the duration and \"beta\" of inflation-indexed bonds.\u003c\/p\u003e \u003cp\u003e5.1.3 The term structure of real interest rates.\u003c\/p\u003e \u003cp\u003e5.2 Measures of inflation expectations.\u003c\/p\u003e \u003cp\u003e5.2.1 Break-even inflation rates.\u003c\/p\u003e \u003cp\u003e5.2.2 The \"inflation term structure\".\u003c\/p\u003e \u003cp\u003e5.2.3 The inflation risk premium and bond convexity.\u003c\/p\u003e \u003cp\u003e5.3 Analysis of real interest rates and inflation expectations.\u003c\/p\u003e \u003cp\u003e5.3.1 Real interest rates.\u003c\/p\u003e \u003cp\u003e5.3.2 Measures of inflation expectations.\u003c\/p\u003e \u003cp\u003e5.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Major International Indexed Bond Markets.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Australia.\u003c\/p\u003e \u003cp\u003e6.1.1 A brief history of indexation in Australia.\u003c\/p\u003e \u003cp\u003e6.1.2 The structure of the Commonwealth Treasury Indexed Bond (TIB) market.\u003c\/p\u003e \u003cp\u003e6.2 Canada.\u003c\/p\u003e \u003cp\u003e6.3 France.\u003c\/p\u003e \u003cp\u003e6.3.1 The history of indexation in France.\u003c\/p\u003e \u003cp\u003e6.3.2 The introduction of inflation-indexed OATs (Obligations assimilables du Trésor).\u003c\/p\u003e \u003cp\u003e6.3.3 Indexation to pan-European inflation – OATc€ i bonds.\u003c\/p\u003e \u003cp\u003e6.4 Sweden.\u003c\/p\u003e \u003cp\u003e6.4.1 The formation of the Swedish government index-linked bond market.\u003c\/p\u003e \u003cp\u003e6.4.2 The development of the market toward international standards.\u003c\/p\u003e \u003cp\u003e6.4.3 Recent developments.\u003c\/p\u003e \u003cp\u003e6.5 United Kingdom.\u003c\/p\u003e \u003cp\u003e6.5.1 A brief history of the index-linked gilt market.\u003c\/p\u003e \u003cp\u003e6.5.2 The structure of the index-linked gilt market.\u003c\/p\u003e \u003cp\u003e6.5.3 The market for non-government index-linked bonds in the UK.\u003c\/p\u003e \u003cp\u003e6.6 United States of America.\u003c\/p\u003e \u003cp\u003e6.6.1 A brief history of indexation in the USA.\u003c\/p\u003e \u003cp\u003e6.6.2 The launch of the Treasury Inflation-Indexed Securities (TIIS) market.\u003c\/p\u003e \u003cp\u003e6.6.3 The expansion of the TIIS programme in the fiscal surplus years.\u003c\/p\u003e \u003cp\u003e6.6.4 Recent developments in the market for inflation-indexed securities in the USA.\u003c\/p\u003e \u003cp\u003eAppendices.\u003c\/p\u003e \u003cp\u003eA6.1 Cash flow calculations for Australian Capital Indexed Bonds (CIBs).\u003c\/p\u003e \u003cp\u003eA6.1.1 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA6.1.2 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA6.2 Cash flow calculations for Canadian Real Return Bonds (RRBs).\u003c\/p\u003e \u003cp\u003eA6.2.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA6.2.2 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA6.2.3 Calculation of the redemption payment.\u003c\/p\u003e \u003cp\u003eA6.2.4 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA6.3 Cash flow calculations for French OAT\u003ci\u003ei\u003c\/i\u003e and OATc€ i bonds.\u003c\/p\u003e \u003cp\u003eA6.3.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA6.3.2 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA6.3.3 Calculation of the redemption payment.\u003c\/p\u003e \u003cp\u003eA6.3.4 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA6.4 Cash flow calculations for Swedish index-linked Treasury bonds.\u003c\/p\u003e \u003cp\u003eA6.4.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA6.4.2 Calculation of interest payments (for coupon-bearing bonds).\u003c\/p\u003e \u003cp\u003eA6.4.3 Calculation of the redemption payment.\u003c\/p\u003e \u003cp\u003eA6.4.4 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA6.5 Cash flow calculations for UK Index-linked Gilts (IGs).\u003c\/p\u003e \u003cp\u003eA6.5.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA6.5.2 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA6.5.3 Calculation of the redemption payment.\u003c\/p\u003e \u003cp\u003eA6.5.4 Calculation of accrued interest.\u003c\/p\u003e \u003cp\u003eA6.5.5 Calculation of real yields.\u003c\/p\u003e \u003cp\u003eA6.6 Cash flow calculations for US Treasury Inflation-Indexed Securities (TIIS).\u003c\/p\u003e \u003cp\u003eA6.6.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA6.6.2 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA6.6.3 Calculation of the redemption payment.\u003c\/p\u003e \u003cp\u003eA6.6.4 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Other Indexed Bond Markets.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Argentina.\u003c\/p\u003e \u003cp\u003e7.2 Austria.\u003c\/p\u003e \u003cp\u003e7.3 Bolivia.\u003c\/p\u003e \u003cp\u003e7.4 Brazil.\u003c\/p\u003e \u003cp\u003e7.4.1 1964–1986 Readjustable National Treasury Obligations (ORTNs).\u003c\/p\u003e \u003cp\u003e7.4.2 1986–today National Treasury Obligations (OTNs), Treasury Bonds (BTNs) and National Treasury Notes (NTNs).\u003c\/p\u003e \u003cp\u003e7.5 Chile.\u003c\/p\u003e \u003cp\u003e7.6 Colombia.\u003c\/p\u003e \u003cp\u003e7.7 Czech Republic.\u003c\/p\u003e \u003cp\u003e7.8 Denmark.\u003c\/p\u003e \u003cp\u003e7.9 Finland.\u003c\/p\u003e \u003cp\u003e7.10 Germany.\u003c\/p\u003e \u003cp\u003e7.11 Greece.\u003c\/p\u003e \u003cp\u003e7.12 Hungary.\u003c\/p\u003e \u003cp\u003e7.13 Iceland.\u003c\/p\u003e \u003cp\u003e7.14 India.\u003c\/p\u003e \u003cp\u003e7.15 Ireland.\u003c\/p\u003e \u003cp\u003e7.16 Israel.\u003c\/p\u003e \u003cp\u003e7.17 Italy.\u003c\/p\u003e \u003cp\u003e7.18 Japan.\u003c\/p\u003e \u003cp\u003e7.19 Kazakhstan.\u003c\/p\u003e \u003cp\u003e7.20 Mexico.\u003c\/p\u003e \u003cp\u003e7.21 Netherlands.\u003c\/p\u003e \u003cp\u003e7.22 New Zealand.\u003c\/p\u003e \u003cp\u003e7.23 Norway.\u003c\/p\u003e \u003cp\u003e7.24 Peru.\u003c\/p\u003e \u003cp\u003e7.25 Poland.\u003c\/p\u003e \u003cp\u003e7.26 Portugal.\u003c\/p\u003e \u003cp\u003e7.27 South Africa.\u003c\/p\u003e \u003cp\u003e7.28 Spain.\u003c\/p\u003e \u003cp\u003e7.29 Switzerland.\u003c\/p\u003e \u003cp\u003e7.30 Turkey.\u003c\/p\u003e \u003cp\u003eAppendices.\u003c\/p\u003e \u003cp\u003eA7.1 Calculation of the settlement price for Colombian TES-UVR bonds.\u003c\/p\u003e \u003cp\u003eA7.1.1 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA7.1.2 Price calculation example.\u003c\/p\u003e \u003cp\u003eA7.2 Calculation of the settlement price for Icelandic Treasury Bonds.\u003c\/p\u003e \u003cp\u003eA7.2.1 Indexing process.\u003c\/p\u003e \u003cp\u003eA7.2.2 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA7.2.3 Price calculation example.\u003c\/p\u003e \u003cp\u003eA7.3 Calculation of real yields for Israeli inflation-indexed bonds.\u003c\/p\u003e \u003cp\u003eA7.3.1 Sagi and Galil bonds.\u003c\/p\u003e \u003cp\u003eA7.3.2 Kfir bonds.\u003c\/p\u003e \u003cp\u003eA7.4 Cash flow calculations for New Zealand Treasury inflation-indexed bonds.\u003c\/p\u003e \u003cp\u003eA7.4.1 Calculation of interest payments.\u003c\/p\u003e \u003cp\u003eA7.4.2 Calculation of the settlement price.\u003c\/p\u003e \u003cp\u003eA7.5 Exchange rates.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Inflation-linked Derivatives: Market Description.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Overview.\u003c\/p\u003e \u003cp\u003e8.1.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.1.2 Why Inflation-linked (IL) derivatives?\u003c\/p\u003e \u003cp\u003e8.1.3 The Inflation-linked (IL) derivatives markets in 2003.\u003c\/p\u003e \u003cp\u003e8.2 A brief history of Inflation-linked derivatives markets.\u003c\/p\u003e \u003cp\u003e8.2.1 Early history.\u003c\/p\u003e \u003cp\u003e8.2.2 The UK market.\u003c\/p\u003e \u003cp\u003e8.2.3 The French and Euro-zone markets.\u003c\/p\u003e \u003cp\u003e8.2.4 The Swedish market.\u003c\/p\u003e \u003cp\u003e8.2.5 Non-European markets.\u003c\/p\u003e \u003cp\u003e8.3 Inflation payers (issuers).\u003c\/p\u003e \u003cp\u003e8.3.1 Standard derivative solutions for Inflation-linked (IL) issuers.\u003c\/p\u003e \u003cp\u003e8.3.2 Private Finance Initiative (PFI) projects in the UK.\u003c\/p\u003e \u003cp\u003e8.3.3 UK housing associations.\u003c\/p\u003e \u003cp\u003e8.3.4 Swap structures to mitigate credit exposure.\u003c\/p\u003e \u003cp\u003e8.4 Inflation receivers (investors).\u003c\/p\u003e \u003cp\u003e8.4.1 The use of inflation swaps to hedge pension liabilities.\u003c\/p\u003e \u003cp\u003e8.4.2 Inflation-guaranteed and Inflation-linked (IL) retail products.\u003c\/p\u003e \u003cp\u003e8.5 Inflation options.\u003c\/p\u003e \u003cp\u003e8.5.1 Options embedded in bonds.\u003c\/p\u003e \u003cp\u003e8.5.2 Standalone inflation options in the Over The Counter (OTC) market.\u003c\/p\u003e \u003cp\u003e8.6 Future trends.\u003c\/p\u003e \u003cp\u003e8.6.1 Market standardization.\u003c\/p\u003e \u003cp\u003e8.6.2 Pension reforms in Europe.\u003c\/p\u003e \u003cp\u003e8.6.3 The implications of changes to accounting standards.\u003c\/p\u003e \u003cp\u003e8.6.4 Further development of the inflation derivatives markets.\u003c\/p\u003e \u003cp\u003eAppendix.\u003c\/p\u003e \u003cp\u003eA8.1 Example swap and option structures.\u003c\/p\u003e \u003cp\u003eA8.1.1 Capital Indexed Bond (CIB)-style swaps.\u003c\/p\u003e \u003cp\u003eA8.1.2 Real annuity swaps.\u003c\/p\u003e \u003cp\u003eA8.1.3 Interest Indexed Bond (IIB)-style swaps.\u003c\/p\u003e \u003cp\u003eA8.1.4 Standard inter-dealer broker market structures.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Inflation-linked Derivatives: Pricing, Hedging and Other Technical Aspects.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Outline.\u003c\/p\u003e \u003cp\u003e9.2 Pricing approaches.\u003c\/p\u003e \u003cp\u003e9.2.1 What is meant by ‘‘pricing’’?\u003c\/p\u003e \u003cp\u003e9.2.2 Four levels of pricing.\u003c\/p\u003e \u003cp\u003e9.2.3 Level I.\u003c\/p\u003e \u003cp\u003e9.2.4 Level II.\u003c\/p\u003e \u003cp\u003e9.2.5 Level III.\u003c\/p\u003e \u003cp\u003e9.2.6 Level IV.\u003c\/p\u003e \u003cp\u003e9.3 Deriving a forward Consumer Price Index (CPI) curve for Level II and III markets.\u003c\/p\u003e \u003cp\u003e9.3.1 Piecewise linear continuous function in CPI space.\u003c\/p\u003e \u003cp\u003e9.3.2 Piecewise linear continuous function in inflation space.\u003c\/p\u003e \u003cp\u003e9.4 ‘‘Level I’’ markets in Europe: intraregional Euro-zone inflation spreads.\u003c\/p\u003e \u003cp\u003e9.5 Alternative approaches to the construction of inflation curves.\u003c\/p\u003e \u003cp\u003e9.6 Asset swaps – connecting swap and bond prices.\u003c\/p\u003e \u003cp\u003e9.7 Hedging a swapped new issue.\u003c\/p\u003e \u003cp\u003e9.7.1 A simple ‘‘interim’’ hedge.\u003c\/p\u003e \u003cp\u003e9.7.2 A more precise hedge.\u003c\/p\u003e \u003cp\u003e9.7.3 A portfolio hedge for net outright inflation risk.\u003c\/p\u003e \u003cp\u003e9.8 The evolution of the Euro-zone HICPswap market.\u003c\/p\u003e \u003cp\u003e9.8.1 Seven lessons from seven months of Euro-zone inflation swap data.\u003c\/p\u003e \u003cp\u003e9.9 Historical estimation of price index volatilities.\u003c\/p\u003e \u003cp\u003e9.10 Pricing inflation options.\u003c\/p\u003e \u003cp\u003e9.10.1 Zero percent zero-coupon floors.\u003c\/p\u003e \u003cp\u003e9.10.2 Year-on-year inflation floors.\u003c\/p\u003e \u003cp\u003e9.11 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Conclusion.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eBibliography.\u003c\/p\u003e \u003cp\u003eUseful websites.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402447790423,"sku":"9780470868126","price":94.99,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470868126.jpg?v=1730480425","url":"https:\/\/bookcurl.com\/products\/inflationindexed-securities-9780470868126","provider":"Book Curl","version":"1.0","type":"link"}