市政债券:低于标准的表现

A. Kalotay, R. Davidson
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引用次数: 0

摘要

众所周知,机构市政投资组合经理更喜欢溢价债券,而不是那些接近票面价值的债券。本文表明,这种对票面价值债券的厌恶是合理的,因为他们预计在短期内表现不如可比的溢价或折扣债券。表现不佳的程度取决于收益率曲线的形状,并与预期利率波动水平呈正相关。业绩不佳是由于税收方面的考虑。当投资者以低于票面价值的价格购买市政债券(muni)时,所产生的收益在到期时要纳税,而价格则受到税收现值的抑制。这种税收效应放大了贴现市政债券的利率敏感性。在票面价附近出售的市政债券也是负凸的;利率上升带来的潜在下降超过了相应的低利率带来的增长。与那些以高溢价(或大幅折价)出售的市政债券相比,接近面值的市政债券表现不佳,是由于期限延长和负凸性的共同作用。纳税负债价值的变化在确定利率敏感性和预期回报方面带来了独特的挑战,这是传统分析无法认识到的。本文中使用的税收中性分析不仅包含了未来税收成本的价值,而且还提供了预测市政债券价格变化和投资回报的准确方法。主要发现▪由于其负凸性,与同类溢价和折扣债券相比,接近票面价格出售的市政债券(munis)表现不佳。负凸性源于所谓的“最小税收效应”,一旦价格低于票面价格,这种效应会进一步压低价格。预期的表现不佳取决于收益率曲线的形状和利率的波动性。那些业绩基于市场价格的投资组合经理应该避开市政债券,而选择那些以高溢价卖出的投资组合。▪税收中立的期权调整价差(OAS)技术对于正确分析接近票面价值的市政债券至关重要;传统的OAS低估了它们的持续时间,完全忽略了它们的负凸性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Par Munis: Sub-Par Performance
It is well recognized that institutional municipal portfolio managers prefer premium bonds to those selling near par. This article shows that such aversion to par bonds is justified because they are expected to underperform comparable premium or discount bonds in the near term. The extent of the underperformance depends on the shape of the yield curve and is positively correlated with the level of expected interest rate volatility. The underperformance is attributable to tax considerations. When an investor purchases a municipal bond (muni) below par, the resulting gain is taxed at maturity, and the price is depressed by the present value of the tax. This tax effect amplifies the interest rate sensitivity of discount munis. Munis selling near par are also negatively convex; the potential decline attributable to higher interest rates exceeds the increase stemming from commensurately lower rates. The underperformance of near-par munis relative to those selling at a high premium (or at a deep discount) arises from the resulting combination of extended duration and negative convexity. The changing value of tax liabilities creates a unique challenge in determining interest rate sensitivity and expected return—which conventional analytics fail to recognize. The tax-neutral analytics used in this article not only incorporate the value of future tax costs but also provide an accurate method for predicting muni price changes and investment returns. Key Findings ▪ Because of their negative convexity, municipal bonds (munis) selling near par perform poorly relative to comparable premium and discount bonds. Negative convexity arises from the so-called de minimis tax effect, which further depresses the price once it falls below par. ▪ The expected underperformance depends on the shape of the yield curve and the volatility of the interest rates. Portfolio managers whose performance is based on market prices should avoid par munis in favor of those selling at a high premium. ▪ Tax-neutral option-adjusted spread (OAS) technology is essential for the proper analysis of near-par munis; conventional OAS underestimates their duration and completely misses their negative convexity.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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