(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
,19(670(17675$7(*,(6)25%21'3257)2/,2
237,0,=$7,211
%2ä(1$&+29$1&29ȱ9/$',0Ë5*92='-È.3
,QYHVWLþQpVWUDWpJLH]DPHUDQpQDRSWLPDOL]iFLXGOKRSLVRYpKRSRUWIyOLD
Abstract 7KH GHEW FULVLV LQ (XURSH KDV FRQWULEXWHG QRW RQO\ WR WKH JURZWK LQ
ULVNZKHQLQYHVWLQJRQWKHERQGPDUNHWVEXWDOVRWRWKHFKDQJHRIRSLQLRQVRQ
JRYHUQPHQWERQGVDVDULVNIUHHLQYHVWPHQW7KHIDLOXUHRIVRPH(XUR]RQHFRXQWULHV
WRSD\RIIWKHJRYHUQPHQWERQGVKDVQHDUO\OHGWREDQNUXSWF\RIVRPH¿QDQFLDO
LQVWLWXWLRQVDQGWRWKHLUEDLORXWE\WKHVWDWH7RGD\WKHDVVHWPDQDJHUVPDLQO\
IURP¿QDQFLDOLQVWLWXWLRQVEHDUWKHUHVSRQVLELOLW\IRUWKHHIIHFWLYHEXVLQHVVRIWKH
LQVWLWXWLRQ7KHLUHIIRUWLVWRPRGHOERQGSRUWIROLRVZLWKWKHDLPWREULQJWKHEHVW
HIIHFWDOVRIRUWKHFOLHQWVDQGDWWKHVDPHWLPHWRORZHUWKHULVN:KHQFRQVWUXFWLQJ
SRUWIROLRVWKHVHDVVHWPDQDJHUVXVHYDULRXVVWUDWHJLHVZKLFKZHUHDSSOLHGDOVR
LQWKHSDVW7KHDLPRIWKLVZRUNLQJSDSHULVWRFKDUDFWHUL]HLQGLYLGXDOVWUDWHJLHV
DQGGHVFULEHVRPHRIWKHPLQPRUHGHWDLOVE\XVLQJUHOHYDQWPHWKRGRORJLFDOWRROV
Keywords: ERQGV ULVNV SRUWIROLR PDQDJHPHQW ERQGV SRUWIROLR VWUDWHJLHV
SDVVLYHVWUDWHJLHVDFWLYHVWUDWHJLHV
-(/&ODVVL¿FDWLRQ**
,QWURGXFWLRQ
3RUWIROLR PRGHOLQJ QRZDGD\V UHODWHV WR DOO SDUWV RI ¿QDQFLDO PDUNHWV ,W
UHODWHVWRFRPPRGLWLHVERQGDQGVKDUHVPDUNHWV(DFKRIWKHVHPDUNHWVKDV
LWVVSHFL¿FVZKLFKWKHSRUWIROLRPDQDJHURULQYHVWRUKDVWRWDNHLQWRDFFRXQW
GXULQJ PRGHOLQJ DQG H[HFXWLRQ RI LQYHVWPHQW VWUDWHJLHV 7KH DLP RI WKLV
7KLVFRQWULEXWLRQLVWKHUHVXOWIRUWKHSURMHFW9(*$³7KHUROHRI¿QDQFLDO
LQVWLWXWLRQVDQGFDSLWDOPDUNHWLQVROYLQJSUREOHPVRIGHEWFULVLVLQ(XURSH´
SURI,QJ%RåHQD&KRYDQFRYi3K'(NRQRPLFNiXQLYHU]LWDY%UDWLVODYH.DWHGUDEDQNRYQtFWYDDPHG]LQiURGQêFK¿QDQFLt1iURGRKRVSRGiUVNDIDNXOWD'ROQR]HPVNiFHVWD%
%UDWLVODYDHPDLOER]HQDFKRYDQFRYD#HXEDVN
3
,QJ9ODGLPtU*YR]GMiNý62%DVDQDO\WLNSURGXNWRYHPDLOYJYR]GMDN#JPDLOFRP
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
ZRUNLQJSDSHULVWRGHVFULEHWKHWHFKQLTXHVRIERQGSRUWIROLRPRGHOLQJEDVHG
RQ LQGLYLGXDO ¿QDQFLDO DWWULEXWHV DQG WR DQDO\]H WKH PRVW IUHTXHQWO\ XVHG
VWUDWHJLHV&DVK)ORZ0DWFKLQJDQG%RQG3RUWIROLR,PPXQL]DWLRQLQGHWDLO
7KHLVVXHRIWKHERQGPDUNHWLVFXUUHQWO\LQWKHFHQWUHRIDWWHQWLRQQRWRQO\
RI ¿QDQFLDO WKHRU\ EXW DOVR RI EXVLQHVV SUDFWLFH ,Q WKH FHQWUH RI DWWHQWLRQ
WKHUHDUHDQDO\VHVRIEDVLFDWWULEXWHVRILQYHVWLQJRQWKLVPDUNHWSULFH\LHOG
GXUDWLRQRILQYHVWPHQW±PDWXULW\DQGULVNV(DFKERQGSRUWIROLRPDQDJHUKDV
WRWDNHLQWRDFFRXQWWKHVHDWWULEXWHVDQGKDVWRDGMXVWWKHLQYHVWPHQWVWUDWHJ\
WRWKHFXUUHQWPDUNHWVLWXDWLRQ
/LWHUDWXUH5HYLHZ
7KHPRVWSURPLQHQWDXWKRULQWKLVDUHDLV)UDQN-)DER]]LZKRGHDOV
ZLWKWKLVLVVXHLQYDULRXVZRUNV)URPRXUSHUVSHFWLYHWKHPRVWLPSRUWDQW
SXEOLFDWLRQ LV %RQG 0DUNHWV $QDO\VLV DQG 6WUDWHJLHV ZKHUH WKH
DXWKRU DQDO\]HV QRW RQO\ WKH LPSDFW RI YDULRXV ULVNV RQ WKH ERQG PDUNHW
EXWDOVRGLIIHUHQWVWUDWHJLHVIRUPRGHOLQJLQGLYLGXDOSRUWIROLRVEDVHGRQWKH
UHTXLUHPHQWVRIDVVHWPDQDJHUVRULQYHVWRUV7KHLVVXHRIERQGPDUNHWULVNV
DQG WKHLU HYDOXDWLRQ EDVHG RQ WKH SRUWIROLR PDQDJHPHQW LV DOVR FRYHUHG
E\ $PVZDW 'DPRGDUDQ ZKR KLJKOLJKWV WKH LPSRUWDQFH RI ULVNV
TXDQWL¿FDWLRQ
,Q WKH ZRUNV RI WKH IDPRXV HFRQRPLVW 0RRUDG &KRXGKU\ ZH
FDQ¿QGWKHLVVXHRIERQGSULFLQJDQGKHGJLQJDQGEDVHGRQWKLVDOVRVRPH
LQYHVWPHQWVWUDWHJLHVRQWKLVNLQGRIPDUNHW
7KHERQGPDUNHWLVDOVRLQWKHFHQWUHRIDWWHQWLRQRIWKH&]HFKDXWKRUV
VXFK DV -RVHI -tOHN 3HWU 0XVtOHN RU -LWND 9HVHOi ZKRPRVWO\GHDOZLWKWKHLVVXHRILQYHVWLQJRQWKHERQGPDUNHWEDVHGRQ
HYDOXDWLRQRISDUWLFXODUULVNV7KHERQGSULFLQJEDVHGRQLQYHVWPHQWULVNVRI
WKLVPDUNHWLVFRYHUHGE\WKH6ORYDNDXWKRUV%RåHQD+UYRĐRYiDQG
3HWHU$UHQGiã ZKR GHDOV ZLWK SDUWLFXODU LQYHVWPHQW VWUDWHJLHV LQ
WKHFRPPRGLW\PDUNHWVZKLFKEHDUDUHVHPEODQFHWRWKHFUHDWLRQRIERQG
SRUWIROLRV
,QSXEOLFDWLRQVSRUWIROLRFDQEHGH¿QHGDVDPL[RIYDULRXVLQYHVWPHQWV,W
LVFUHDWHGLQRUGHUWRPLQLPL]HULVNVFRQQHFWHGZLWKLQYHVWLQJDQGDWWKHVDPH
WLPHWR¿QGWKHEHVWUDWLREHWZHHQUHYHQXHVDQGULVN
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
0HWKRGRORJ\
%RQG SRUWIROLR PDQDJHPHQW LV D VSHFL¿F W\SH RI SRUWIROLR PDQDJHPHQW
ZKRVHIHDWXUHVDUHEDVHGRQWKHSURSHUWLHVRIERQGVDV¿[HGLQFRPH¿QDQFLDO
LQVWUXPHQWV%RQGSRUWIROLRPDQDJHPHQWLVEDVHGRQPDQDJLQJ¿[HGLQFRPH
LQYHVWPHQWV LQ SXUVXLW RI D SDUWLFXODU REMHFWLYH XVXDOO\ PD[LPL]LQJ UHWXUQ
RQLQYHVWPHQW7KLVLVDFKLHYHGSULPDULO\E\PLQLPL]LQJULVNDQGPDQDJLQJ
LQWHUHVWUDWHV
7KLVW\SHRISRUWIROLRPDQDJHPHQWKDVWRWDNHLQWRDFFRXQWULVNVFRQQHFWHG
ZLWK ERQGV )DER]]L ) - 0DUWHOOLQL / 3ULDXOHW 3 GH¿QHG DQG
FUHDWHGDFRPSUHKHQVLEOHWDEOHRIWKHIROORZLQJERQGULVNV
7DEOH
6XPPDU\RI5LVN)DFWRUVRI%RQGV
5LVN)DFWRUV
5LVN)DFWRU
0HDVXUHPHQW
0DUNHW&KDQJHVWKDW$IIHFW5LVN
)DNWRU
0DUNHW5LVN
'XUDWLRQ
&KDQJHLQ<LHOGV/HYHOV3DUDOOHO
&KDQJHLQ<LHOG&XUYH
<LHOG&XUYH
&RQYH[LW\'LVWULEXWLRQRI.H\
5DWH
&KDQJHLQ6ORSHDQG6KDSHRIDQG
6KDSHRI<LHOG&XUYH
'XUDWLRQV%XOOHW%DUEHOO/DGGHU
DWDO
([SRVXUHWR
&RQYH[LW\
0DUNHW9RODWLOLW\
0DUNHW9RODWLOLW\ ‡ 1HJDWLYHO\FRQYH[DVVHWV
HJFDOODEOHVSRUWIROLRVDUHDGYHUVHO\DIIHFWHGE\YRODWLOLW\
‡ +LVWRULFDOEDVHGRQSDVWDFWXDO
SULFHVRU\LHOGV
6HFWRU
$OORFDWLRQ
3HUFHQWDOORFDWLRQWRHDFKPDFURVHFWRUPLFURVHFWRUDQGVHFXULW\DQGWKHRSWLRQDGMXVWVSUHDG
2$6RIHDFK
&KDQJHLQRSWLRQDGMXVWHG
VSUHDGV2$6RIPDFURVHFWRUV
PLFURVHFWRUVDQGLQGLYLGXDO
VHFXULWLHV
&UHGLW5LVN
$YHUDJHFUHGLWUDWLQJRISRUWIROLR
DQGLWVVHFWRUV
&KDQJHVLQFUHGLWVSUHDGVHJ
VSUHDGEHWZHHQ7UHDVXULHVYHUVXV
$$$FRUSRUDWHVYHUVXV%%%
FRUSRUDWHVDVORVSHFL¿FFRPSDQ\
UDWLQJFKDQJHV
‡ ([SHFWHGDVLQGLFDWHGE\LP‡ 3RVLWLYHO\FRQYH[DVVHWVHJ
SOLHGYRODWLOLW\RIRSWLRQV
SXWDEOHVSRUWIROLRVDUHEHQH¿WHGE\
YRODWLOLW\
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
/LTXLGLW\5LVN
VOLUME 45., 3/2016
7\SLFDOO\PHDVXUHGE\WKHELG
DVNSULFHVSUHDG±WKDWLVWKH
GLIIHUHQFHEHWZHHQWKHSULFHDW
ZKLFKDVHFXULW\FDQEHERXJKW
DQGVROGDWDSRLQWLQWLPH
'LIIHUHQWVHFXULWLHVKDYHLQKHUHQWO\
GLIIHUHQWOLTXLGLW\HJ7UHDVXULHV
DUHPRUHOLTXLGWKDQFRUSRUDWHV
&KDQJHLQWKHH[FKDQJHUDWH
EHWZHHQWKH86GROODUDQGWKH
FXUUHQF\LQZKLFKWKHVHFXULW\LV
GHQRPLQDWHGHJ\HQRUHXUR
9RODWLOLW\LQWKHH[FKDQJHUDWHLQFUHDVHVWKHULVNRIWKHVHFXULW\)RU
D86LQYHVWRUDVWUHQJWKHQLQJRI
WKHRWKHUFXUUHQF\ZHDNHQLQJRI
WKH86GROODUZLOOEHEHQH¿FLDO
WRD86LQYHVWRUZKRKROGVDVHFXULW\GHQRPLQDWHGLQWKHRWKHU
FXUUHQF\
7KHOLTXLGLW\RIDOOVHFXULWLHV
SDUWLFXODUO\ULVNLHUVHFXULWLHVGH7KHOLTXLGLW\RIDVHFXULW\UHIHUV FUHDVHVGXULQJSHULRGVRIPDUNHW
WRERWKLWVPDUNHWDELOLW\WKH
WXUPRLO
WLPHLWWDNHVWRVHOODVHFXULW\
DQGLWVPDUNHWSULFHHJDUHJLVWHUHGFRUSRUDWHERQGWDNHVOHVV
WLPHWRVHOOWKHQDSULYDWHSODFHPHQWDQGWKHVWDELOLW\RIWKH
PDUNHWSULFH
([FKDQJH5DWH
5LVN
6RXUFH>@
(DFKPDQDJHPHQWRIDERQGSRUWIROLRKDVWRWDNHLQWRDFFRXQWDQGTXDQWLI\
DOOWKHULVNVVWDWHGLQWKHWDEOH
$OVRLQWKHFRQVWUXFWLRQRISULFHRID¿[HGFRXSRQERQGWKHUHDUH¿UVWWZR
ULVNV VWDWHG LQ WKH WDEOH ,I ZH GH¿QH WKH FDOFXODWLRQ RI ¿[HG FRXSRQ ERQG
SULFHDVIROORZV
............
RU
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
$IWHUDGMXVWPHQWZHJHW
:KHUH
&±FRXSRQSD\PHQW
0±YDOXHDWPDWXULW\IDFHYDOXH
\±\LHOG
Q±WLPHQXPEHURISHULRGVWRPDWXULW\
)URP WKHVH UHODWLRQV ZH FDQ GH¿QH WKDW FRXSRQ \LHOG DQG PDWXULW\ DUH
WKHGHWHUPLQLQJIDFWRUVIRUTXDQWL¿FDWLRQRIWKHPDUNHWULVN:HFDQVLPSO\
TXDQWLI\WKLVULVNE\XVLQJPRGL¿HGGXUDWLRQ
0RGL¿HGGXUDWLRQLVWKHEHVWLQGLFDWRUIRUWKHLQYHVWRUWRVLPSO\TXDQWLI\
WKHFKDQJHDQGPRYHPHQWRIERQGSULFHVLQSRUWIROLRDWWKHVOLJKWHVWFKDQJHV
LQLQWHUHVWUDWHV
5HVXOWV
,QYHVWPHQWVWUDWHJLHVRQWKHERQGPDUNHW
%RQGSRUWIROLRVWUDWHJLHVFDQEHFODVVL¿HGDVHLWKHUDFWLYHVWUDWHJLHV
RUSDVVLYHVWUDWHJLHV)DER]]L(VVHQWLDOWRDOODFWLYHVWUDWHJLHV
LV VSHFL¿FDWLRQ RI H[SHFWDWLRQV DERXW WKH IDFWRUV WKDW LQÀXHQFH WKH
SHUIRUPDQFH RI DQ DVVHW FODVV 3DVVLYH VWUDWHJLHV LQYROYH PLQLPDO
H[SHFWDWLRQDOLQSXW
6WUDWHJLHV EHWZHHQ WKH DFWLYH DQG SDVVLYH H[WUHPHV KDYH VSUXQJ XS WKDW
KDYHHOHPHQWVRIERWKH[WUHPHVWUDWHJLHV
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
D3DVVLYH%RQG6WUDWHJLHV
7KHVLPSOHVWPHWKRGRIWKHFUHDWLRQRIDERQGSRUWIROLRLV
‡ EX\DQGKROGVWUDWHJ\
‡ PRGL¿HGEX\DQGKROGVWUDWHJ\
‡ LQGH[LQJ
%X\DQGKROG±WKHPDLQIHDWXUHRIWKLVVWUDWHJ\LVWKDWWKHDVVHWPDQDJHU
EX\VERQGVDQGKROGVWKHPXQWLOWKH\PDWXUH
6RPHWLPHVPRGL¿HGEX\DQGKROGVWUDWHJ\LVXVHG,QWKLVFDVHVSHFL¿F
ERQGVDUHERXJKWDQGKHOGLQSRUWIROLRXQWLOWKH\UHDFKWKHLQYHVWPHQWKRUL]RQ
7KHPDQDJHUKDVWKHSRVVLELOLW\WRVHOOWKHPSUHPDWXUHO\DQGLQH[FKDQJHKH
JHWVERQGVZLWKDKLJKHUTXDOLW\
7KHQH[WVWUDWHJ\LVNQRZQDVLQGH[LQJ:KHQXVLQJWKLVPHWKRGWKHDVVHW
PDQDJHU FUHDWHV D SRUWIROLR ZKRVH SHUIRUPDQFH WUDFNV WKH SHUIRUPDQFH RI
DVHOHFWHGPDUNHWLQGH[HJ-30RUJDQ(0%,,QGH[ZKLFKLVDOVRFDOOHG
WKH EHQFKPDUN ,Q WKLV PHWKRG WKH SRUWIROLR RI ERQGV H[DFWO\ FRSLHV WKH
VWUXFWXUHRIWKHPDUNHWLQGH[7KHVXFFHVVIXOQHVVRIWKLVPHWKRGLVHYDOXDWHG
E\ KRZ H[DFWO\ WKH ERQG SRUWIROLR SHUIRUPDQFH WUDFNV WKH HYROXWLRQ RI WKH
LQGH[7KHGLIIHUHQFHEHWZHHQWKHPLVFDOOHGDVWKHWUDFNLQJHUURU.
7KHWUDFNLQJHUURULVFDOFXODWHGDVIROORZV
6WHS&RPSXWHWKHWRWDOUHWXUQIRUDSRUWIROLRIRUHDFKSHULRG
6WHS2EWDLQWKHWRWDOUHWXUQIRUWKHEHQFKPDUNLQGH[IRUHDFKSHULRG
6WHS2EWDLQWKHGLIIHUHQFHEHWZHHQWKHYDOXHVIRXQGLQ6WHSDQG6WHS
DFWLYHUHWXUQ
6WHS &RPSXWH WKH VWDQGDUG GHYLDWLRQ RI WKH DFWLYH UHWXUQV ZKLFK LV WKH
WUDFNLQJHUURU
&DOFXODWLRQVFRPSXWHGIRUDSRUWIROLREDVHGRQDSRUWIROLR¶VDFWXDODFWLYH
UHWXUQVUHÀHFWWKHSRUWIROLRPDQDJHU¶VGHFLVLRQVGXULQJWKHREVHUYDWLRQSHULRG
:HFDOOWUDFNLQJHUURUFDOFXODWHGIURPREVHUYHGDFWLYHUHWXUQVIRUDSRUWIROLR
EDFNZDUGORRNLQJ WUDFNLQJ HUURU ,W LV DOVR FDOOHG WKH H[SRVW WUDFNLQJ
HUURUDQGWKHDFWXDOWUDFNLQJHUURU.
*LYHQDPDQDJHU¶VFXUUHQWSRUWIROLRKROGLQJVWKHSRUWIROLR¶VFXUUHQWH[SRVXUHWR
WKHYDULRXVULVNIDFWRUVFDQEHFDOFXODWHGDQGFRPSDUHGWRWKHEHQFKPDUN¶VH[SRVXUHV
WRWKHIDFWRUV8VLQJWKHGLIIHUHQWLDOIDFWRUH[SRVXUHVDQGWKHULVNVRIWKHIDFWRUVD
IRUZDUGORRNLQJWUDFNLQJHUURUIRUWKHSRUWIROLRFDQEHFRPSXWHG7KLVWUDFNLQJ
HUURULVDOVRUHIHUUHGWRDVSUHGLFWHGWUDFNLQJHUURUDQGH[DQWHWUDFNLQJHUURU.
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
:HFDQWKLQNRIDFWLYHYHUVXVSDVVLYHERQGSRUWIROLRVWUDWHJLHVLQWHUPV
RIIRUZDUGORRNLQJWUDFNLQJHUURU,QFRQVWUXFWLQJDSRUWIROLRDPDQDJHUFDQ
HVWLPDWHLWVIRUZDUGORRNLQJWUDFNLQJHUURU:KHQDSRUWIROLRLVFRQVWUXFWHG
WRKDYHDIRUZDUGORRNLQJWUDFNLQJHUURURI]HURWKHPDQDJHUKDVHIIHFWLYHO\
GHVLJQHGWKHSRUWIROLRWRUHSOLFDWHWKHSHUIRUPDQFHRIWKHEHQFKPDUN
3DVVLYHVWUDWHJLHVUHTXLUHQRIRUHFDVWRIIXWXUHPDUNHWFKDQJHV±ERWKWKH
SRUWIROLRDQGEHQFKPDUNUHVSRQGLGHQWLFDOO\WRPDUNHWFKDQJHV7KHVFDOHRI
WUDFNLQJHUURUVLVPHQWLRQHGLQWKHIROORZLQJWDEOH
7DEOH
0DJQLWXGHRI7UDFNLQJ(UURUV
TE
2YHU
6WUDWHJ\
3DVVLYH3RUWIROLR,QGH[HG
³,QGH[SOXV´VWUDWHJ\
0RGHUDWHULVNVWUDWHJ\
)DLUO\DFWLYHVWUDWHJ\
9HU\DJJUHVVLYHVWUDWHJ\
1RWH7(PHDVXUHGLQWHUPVRIWKHQXPEHURIVWDQGDUGGHYLDWLRQV
6RXUFH>@
E$FWLYH%RQG6WUDWHJLHV
:KLOHDEX\DQGKROGVWUDWHJ\FDQSURYLGHLQFRPHIURPDERQGSRUWIROLR
WKH VWUDWHJ\ IRU JHWWLQJ WKH RSWLPDO SRWHQWLDO RXW RI DQ\ ERQG SRUWIROLR LV
DFWLYHPDQDJHPHQW$FWLYHVWUDWHJLHVDUHEDVHGRQDIRUHFDVWEHFDXVHWKH
SRUWIROLRDQGEHQFKPDUNZLOOUHVSRQGGLIIHUHQWO\WRPDUNHWFKDQJHV,QDQ
DFWLYHVWUDWHJ\WKHSRUWIROLRPDQDJHUKDVWRGHFLGHLQZKLFKGLUHFWLRQDQG
E\KRZPXFKWKHULVNIDFWRUYDOXHRIWKHSRUWIROLRZLOOGHYLDWHIURPWKHULVN
IDFWRUYDOXHRIWKHEHQFKPDUNRQWKHEDVLVRIH[SHFWHGPDUNHWFKDQJHV7KH
PDLQDLPRIDQDFWLYHO\PDQDJHGSRUWIROLRLVWRDFKLHYHJUHDWHUULVNDGMXVWHG
UHWXUQVWKDQDEX\DQGKROGVWUDWHJ\$VERQGVKDYHEHFRPHDQHYHQPRUH
LPSRUWDQW DVVHW FODVV DVVRFLDWHG ZLWK UHGXFLQJ RYHUDOO SRUWIROLR ULVN WKH
WHFKQRORJLFDODGYDQFHVPRGHOLQJWHFKQLTXHVDQGUDSLGGDWDGLVVHPLQDWLRQ
KDYHJURZQLQWKHEXVLQHVV
7KHWHFKQLTXHVRIDFWLYHERQGSRUWIROLRPDQDJHPHQWKDYHHYROYHGDQGWKH
VW\OHVRIPDQDJHPHQWKDYHEHFRPHPRUHVRSKLVWLFDWHG7KHPDLQGLIIHUHQFH
EHWZHHQ SDVVLYH DQG DFWLYH VWUDWHJ\ LV WKH DVVXPSWLRQ WKDW WKH SRUWIROLR
PDQDJHUZKHWKHULWLVDODUJHLQVWLWXWLRQRUDQLQGLYLGXDOKDVWKHDELOLW\WR
HLWKHUSUHGLFWWKHGLUHFWLRQRILQWHUHVWUDWHVRUH[SORLWPLVSULFHGVHFXULWLHV
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
7\SHVRIDFWLYHERQGVWUDWHJLHV
‡ YDOXDWLRQVWUDWHJ\
‡ LQWHUHVWUDWHVDQWLFLSDWLRQ
‡ \LHOGVSUHDGV
‡ %RQGVZDSV
‡ Valuation Strategy
7KLVW\SHRIVWUDWHJ\LVEDVHGRQWKHSRUWIROLRPDQDJHU¶VDELOLW\WRLGHQWLI\DQG
EX\ XQGHUYDOXHG VHFXULWLHV DQG DYRLG WKRVH WKDW DSSHDU WR EH RYHUYDOXHG7KLV
WHFKQLTXHQHFHVVLWDWHVVRPHH[SHULHQFHDQGLQGHSWKNQRZOHGJHRIERQGPDUNHWV
‡ Interest Rates Anticipation
,QWHUHVWUDWHDQWLFLSDWLRQLVRQHRIWKHPRVWFRPPRQ±DQGSUREDEO\ULVNLHVW
±VWUDWHJLHVVLQFHLWUHOLHVRQIRUHFDVWLQJ7KHDLPLVWRDFKLHYHDSUR¿WEDVHG
RQDJRRGSUHGLFWLRQRIHYROXWLRQRILQWHUHVWUDWHV:KHQIRUHFDVWLQJLQWHUHVW
UDWHV WKH SRUWIROLR PDQDJHU EX\V ERQGV LI KH H[SHFWV WKH GHFOLQH LQ LQWHUHVW
UDWHVEHFDXVHWKHSULFHRIERQGVZLOOJRXSDQGYLFHYHUVDWKHLQYHVWRUVHOOV
WKHERQGVZKHQKHH[SHFWVWKHULVHLQLQWHUHVWUDWHVDQGWKXVWKHSULFHRIERQGV
JRHVGRZQ
6LQFHGXUDWLRQLVDPRUHDFFXUDWHPHWULFWRPHDVXUHYRODWLOLW\LWLVXVHGWR
DGMXVWWKHSRUWIROLR'XUDWLRQLVOHQJWKHQHGLQDQHIIRUWWRFDSWXUHDQLQFUHDVH
LQ YDOXH ZKHQ WKH SUHGLFWLRQ LV WKDW LQWHUHVW UDWHV ZLOO IDOO &RQYHUVHO\ LI
LQWHUHVWUDWHVDUHH[SHFWHGWRULVHWKHPRYHZRXOGEHWRVKRUWHQWKHGXUDWLRQ
RI WKH SRUWIROLR WR SUHVHUYH FDSLWDO DQG SRWHQWLDOO\ UHLQYHVW LQ VKRUWHUWHUP
ERQGVZKHQUDWHVDUHSUHVXPHGWREHKLJKHU
7KLVWHFKQLTXHLVEDVHGRQDFORVHPRQLWRULQJRIWKHPRQHWDU\SROLF\RIFHQWUDO
EDQNDQG¿VFDOSROLF\RIJRYHUQPHQWEDVHGRQZKLFKLWLVSRVVLEOHWRDQWLFLSDWH
WKHIXWXUHHYROXWLRQRILQÀDWLRQDQGFKDQJHVRIWKHLQWHUHVWUDWHVHQYLURQPHQW
‡ Yield Spreads
7KLVLVDQDFWLYHERQGVWUDWHJ\WKDWLVEDVHGRQWKHFRUUHFWLRQLQWHPSRUDULO\
DEQRUPDOVSUHDGV<LHOGVSUHDGVWUDWHJLHVLQYROYHSRVLWLRQLQJDSRUWIROLRWR
FDSLWDOL]HRQH[SHFWHGFKDQJHVLQ\LHOGVSUHDGVEHWZHHQVHFWRUVRIWKHERQG
PDUNHW6ZDSSLQJRUH[FKDQJLQJRQHERQGIRUDQRWKHUZKHQWKHPDQDJHU
EHOLHYHVWKDWWKHSUHYDLOLQJ\LHOGVSUHDGEHWZHHQWKHWZRERQGVLQWKHPDUNHW
LVRXWRIOLQHZLWKWKHLUKLVWRULFDO\LHOGVSUHDGDQGWKDWWKH\LHOGVSUHDGZLOO
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
UHDOLJQE\WKHHQGRIWKHLQYHVWPHQWKRUL]RQDUHFDOOHGLQWHUPDUNHWVSUHDG
VZDSV)DER]]L&UHGLWRUTXDOLW\VSUHDGVFKDQJHEHFDXVHRIH[SHFWHG
FKDQJHVLQHFRQRPLFSURVSHFWV<LHOGVDUHGHWHUPLQHGE\WKHSULFLQJRIERQGV
LQYDULRXVVHJPHQWVRIWKHPDUNHW7KHXQLTXHFKDUDFWHULVWLFVRIWKHERQGV
UHODWHWRWKHYDU\LQJSULFHVDQGUHODWHG\LHOGV
‡ Bond Swaps
7KHNH\WRDERQGVZDSVWUDWHJ\LVWRVLPXOWDQHRXVO\VHOORQHERQGDQG
SXUFKDVH DQRWKHU IRU WKH VROH SXUSRVH RI LPSURYLQJ WKH SRUWIROLR¶V UHWXUQ
,QYHVWRUVHQJDJHLQERQGVZDSSLQJZLWKWKHJRDORILPSURYLQJWKHLU¿QDQFLDO
SRVLWLRQV %RQG VZDSSLQJ FDQ UHGXFH DQ LQYHVWRU¶V WD[ OLDELOLW\ JLYH DQ
LQYHVWRUDKLJKHUUDWHRIUHWXUQRUKHOSDQLQYHVWRUWRGLYHUVLI\DSRUWIROLR
‡ Leverage Bond Strategies
7KHDVVHWPDQDJHUFDQXVHWKLVW\SHRIVWUDWHJ\LQRUGHUWRHQKDQFHDQG
H[WHQGSRUWIROLRUHWXUQV$SRUWIROLRPDQDJHUFDQFUHDWHOHYHUDJHE\ERUURZLQJ
IXQGVLQRUGHUWRDFTXLUHDSRVLWLRQLQWKHPDUNHWWKDWLVJUHDWHUWKDQLIRQO\
FDVK ZHUH LQYHVWHG )DER]]L 7KH IXQGV DYDLODEOH WR LQYHVW ZLWKRXW
ERUURZLQJDUHUHIHUUHGWRDVWKH³HTXLW\´$SRUWIROLRWKDWGRHVQRWFRQWDLQDQ\
OHYHUDJHLVFDOOHGDQXQOHYHUHGSRUWIROLR$OHYHUHGSRUWIROLRLVDSRUWIROLRLQ
ZKLFKDPDQDJHUKDVFUHDWHGOHYHUDJH
7KHEDVLFSULQFLSOHZKHQXVLQJOHYHUDJHLVWKDWDPDQDJHUZDQWVWRHDUQD
UHWXUQRQWKHERUURZHGIXQGVWKDWLVJUHDWHUWKDQWKHFRVWRIWKHERUURZHGIXQGV
7KHUHWXUQIURPERUURZLQJIXQGVLVSURGXFHGIURPDKLJKHULQFRPHDQGRUJUHDWHU
SULFHDSSUHFLDWLRQUHODWLYHWRDVFHQDULRLQZKLFKQRIXQGVDUHERUURZHG
/HYHUDJLQJ LV D QHFHVVLW\ IRU GHSRVLWRU\ LQVWLWXWLRQV VXFK DV EDQNV DQG
VDYLQJVDQGORDQDVVRFLDWLRQVEHFDXVHWKHVSUHDGRYHUWKHFRVWRIERUURZHG
IXQGVLVW\SLFDOO\VPDOO7KHPDJQLWXGHRIWKHERUURZLQJLHWKHGHJUHHRI
OHYHUDJHLVZKDWSURGXFHVDQDFFHSWDEOHUHWXUQIRUWKHLQVWLWXWLRQ
‡ Matching Strategies (Match-Funding Strategies)
7KHVHVWUDWHJLHVUHSUHVHQWDFRPELQDWLRQRIDFWLYHDQGSDVVLYHERQGVWUDWHJLHV
7KH\DUHXVHGLQRUGHUWRFUHDWHDERQGSRUWIROLRWKDWZLOO¿QDQFHVSHFL¿FIXQGLQJ
QHHGV,IWKHWLPLQJDQGFDVKÀRZDPRXQWVRIWKHVHQHHGVFDQEHSUHGLFWHGWKHQD
PDWFKLQJVWUDWHJ\FDQEHXVHGWRVXSSRUWWKHP7KHPDLQDLPRIWKHVWUDWHJ\LVWR
PLQLPL]HWKHHIIHFWRILQWHUHVWUDWHVYRODWLOLW\7KLVVWUDWHJ\LQYROYHVPDWFKLQJD
³OLDELOLW\´ZLWKDQDVVHWDERQGLQYHVWPHQW7KHWZRPRVWFRPPRQO\XVHGPDWFKLQJ
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
VWUDWHJLHVDUHFDVKÀRZPDWFKLQJGHGLFDWHGSRUWIROLRDQGLPPXQL]DWLRQ.
‡ Cash Flow Matching and Bond Portfolio Immunization
7KLVVWUDWHJ\LVXVHGWRVHFXUHDSDUWLFXODUJURXSRIOLDELOLWLHV7KHFDVK
ÀRZRIERQGSRUWIROLRLVWLPHGVRDVWRFRYHUWKHVHOLDELOLWLHV7KHUHDUHWZR
W\SHV RI WKLV VWUDWHJ\ DFFXUDWHO\ WLPHG GHGLFDWHG SRUWIROLR DQG UHLQYHVWLQJ
GHGLFDWHG SRUWIROLR$Q DFFXUDWHO\ WLPHG GHGLFDWHG SRUWIROLR LV D SRUWIROLR
ZKRVHFDVKÀRZRIFRXSRQVDQGSULQFLSDOUHSD\PHQWVFRYHUWKHYROXPHRI
OLDELOLWLHV$UHLQYHVWLQJGHGLFDWHGSRUWIROLRLVDOVREDODQFHGZLWKWKHPDWXULW\
RIOLDELOLWLHVEXWQRWDVVWULFWO\DVLQWKHSUHYLRXVFDVH%RQGFDVKÀRZGXH
EHIRUHWKHPDWXULW\RIOLDELOLWLHVLVUHLQYHVWHGHJFRXSRQSD\PHQWV
7DEOH
([DPSOHRID&DVK)ORZ0DWFKLQJ6WUDWHJ\
7LPH\HDU
/LDELOLW\
3ULQFLSDOV
&
C3
C2
7RWDO&DVKÀRZ
6RXUFH>@
1
2
9 000
3
8 000
11 000
9 000
8 000
11 000
7KHWDEOHDERYHGLVSOD\VDOLDELOLW\VWUHDPIRU\HDUV7RIXQGWKHVHOLDELOLWLHV
ZLWKFDVKÀRZPDWFKLQJZHVWDUWZLWKIXQGLQJWKHODVWOLDELOLW\ZLWKD\HDU
IDFHYDOXHERQGZLWKDQQXDOFRXSRQSD\PHQWVRI5RZ&7KH
SULQFLSDODQGFRXSRQSD\PHQWVWRJHWKHUVDWLVI\WKHOLDELOLW\RIDW\HDU
1H[WZHORRNDWWKHVHFRQGWRODVWOLDELOLW\/LDELOLW\RIDQGIXQGLWZLWK
D\HDUIDFHYDOXHERQGZLWKDQQXDOFRXSRQSD\PHQWVRI1H[W
ZHORRNDW/LDELOLW\RIDQGIXQGLWZLWKD\HDUIDFHYDOXHERQG
ZLWKDQQXDOFRXSRQSD\PHQWVRI)LQDOO\LQYHVWLQJLQD\HDU]HURFRXSRQ
ERQGZLWKIDFHYDOXHRIZHFDQIXQG/LDELOLW\RI
‡ Bond Portfolio Immunization
7KLV VWUDWHJ\ PDWFKHV WKH GXUDWLRQV RI DVVHWV DQG OLDELOLWLHV LQ RUGHU WR
PLQLPL]HWKH LPSDFWRILQWHUHVWUDWHVRQWKHQHWZRUWK,QVLPSOHWHUPVWR
LPPXQL]HDSRUWIROLRZHKDYHWRPDWFKWKHGXUDWLRQRISRUWIROLRDVVHWVZLWK
WKHGXUDWLRQRIIXWXUHOLDELOLWLHVRUZLWKWKHLQYHVWPHQWKRUL]RQ:KHQLQWHUHVW
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
UDWHV LQFUHDVH WKH SULFH RI D FRXSRQ ERQG IDOOV ZKHUHDV WKH UHLQYHVWPHQW
UHWXUQRQWKHFRXSRQULVHV7KHPDLQDLPRILPPXQL]DWLRQLVWRHVWDEOLVKD
SRUWIROLR LQ ZKLFK WKHVH WZR FRPSRQHQWV RI WRWDO UHWXUQ ± SULFH UHWXUQ DQG
WKHUHLQYHVWPHQWUHWXUQFRXSRQVEHLQJFRQVWDQW±H[DFWO\RIIVHWHDFKRWKHU
LQ FDVH RI D SDUDOOHO LQWHUHVW UDWH VKLIW RQFH WKH SRUWIROLR LV VHW XS 7KLV LV
DFKLHYHGE\PDWFKLQJWKHGXUDWLRQRIWKHSRUWIROLRZLWKWKDWRIWKHLQYHVWPHQW
KRUL]RQ RI WKH IXWXUH OLDELOLW\ :KHQ D ERQG SRUWIROLR LV LPPXQL]HG WKH
LQYHVWRUUHFHLYHVDVSHFL¿FUDWHRIUHWXUQRYHUDJLYHQWLPHSHULRGUHJDUGOHVV
RIZKDWKDSSHQVWRLQWHUHVWUDWHVGXULQJWKDWWLPH
$ VSHFL¿F UXOH LV DSSOLHG ZKHQ WKH PRGL¿HG GXUDWLRQ LV HTXDO WR WKH
LQYHVWPHQWKRUL]RQWKHQWKHSRUWIROLRYDOXHLVLPPXQHWRLQWHUHVWULVNGXULQJ
WKHZKROHWLPHRIWKHLQYHVWPHQWKRUL]RQ
)RQJDQG9DVLFHNLGHQWL¿HGWKHVHFRQGLWLRQVRILPPXQL]DWLRQDVIROORZV
‡ WKHSUHVHQWYDOXHRIDVVHWVSRUWIROLRVKRXOGHTXDOWKHSUHVHQWYDOXHRI
OLDELOLWLHV
‡ WKHGXUDWLRQRIWKHSRUWIROLRVKRXOGHTXDOWKDWRIOLDELOLWLHV
‡ 7KHUDQJHRIGXUDWLRQVRILQGLYLGXDOERQGVLQWKHSRUWIROLRPXVWKDYHD
VSDQWKDWH[WHQGVEH\RQGWKHUDQJHRIGXUDWLRQVRILQGLYLGXDOOLDELOLWLHVLH
WKHSRUWIROLRPXVWFRQWDLQLQGLYLGXDOERQGVHDFKZLWKGXUDWLRQOHVVWKDQ
WKDWRIWKH¿UVWOLDELOLW\DQGGXUDWLRQJUHDWHUWKDQWKDWRIWKHODVWOLDELOLW\
2QHVKRXOGEHDULQPLQGWKDWWKHVHFRQGLWLRQVDVVXUHDQLPPXQL]HGUDWH
RIUHWXUQRQO\LQFDVHRIDSDUDOOHOUDWHVKLIW,IWKHLQWHUHVWUDWHVVKLIWDUHLQ
DQDUELWUDU\IDVKLRQZKLFKLVPRVWO\WKHFDVHLQWKHUHDOZRUOGWHFKQLTXHV
VXFK DV RSWLPL]DWLRQ DQG OLQHDU SURJUDPPLQJ PD\ EH XVHG WR FRQVWUXFW D
PLQLPXPULVNLPPXQL]HGSRUWIROLR
‡ Special Immunization Techniques
$IWHU WDNLQJ LQWR DFFRXQW ULVNV ZKLFK ZKHUH PHQWLRQHG EHIRUH ZLWKLQ
LPPXQL]DWLRQWHFKQLTXHVRIERQGSRUWIROLRPRGHOLQJZHFDQGHDOZLWKWKHVH
VWUDWHJLHV%RQG/DGGHUV%DUEHOOVDQG%XOOHWV
‡ Bond ladders
7KH LQYHVWPHQW VWUDWHJ\ RI ODGGHULQJ PDWXULWLHV ZLWK D QRUPDO XSZDUG
VORSLQJ\LHOGFXUYHDWWHPSWVWREDODQFHDQGEOHQGWKHSULQFLSDOVWDELOLW\LQKHUHQW
LQVKRUWHUWHUPERQGVZLWKWKH\LHOGDGYDQWDJHDYDLODEOHRQORQJHU±WHUPERQGV
7KH UHVXOWLQJ GLYHUVL¿FDWLRQ KHOSV WR SRWHQWLDOO\ PLWLJDWH LQWHUHVW UDWH ULVN
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
LPSURYH UHWXUQV DQG DOORZ IRU UHLQYHVWPHQW ÀH[LELOLW\ ZKLOH DOVR SURYLGLQJ
SHULRGLFOLTXLGLW\DQGSUHGLFWDEOHFDVKÀRZV$GGLWLRQDOO\ODGGHULQJDSRUWIROLR
RIERQGVSURYLGHVDZD\WRSDUWLDOO\KHGJHDJDLQVWULVLQJ\LHOGVLQWKHIXWXUH
$ ODGGHUHG SRUWIROLR LV VWUXFWXUHG E\ SXUFKDVLQJ VHYHUDO ERQGV ZLWK
GLIIHULQJPDWXULWLHVVXFKDVWKUHH¿YHVHYHQDQGWHQ\HDUV$VHDFKERQG
PDWXUHVSURFHHGVDUHUHLQYHVWHGLQDQHZERQGDWWKHORQJHUWHUPHQGRIWKH
ODGGHUZKLFKRIWHQLVWKHKLJKHVW\LHOGZLWKLQWKHGHVLUHGPDWXULW\UDQJH,I
LQWHUHVWUDWHVDUHULVLQJWKHPDWXULQJSULQFLSDOZLOOEHLQYHVWHGDWKLJKHUUDWHV
,IUDWHVDUHIDOOLQJWKHUHLQYHVWPHQWRISURFHHGVZLOOEHDWORZHUUDWHVEXWWKH
UHPDLQLQJODGGHUZLOOVWLOOEHORFNHGLQDQGHDUQLQJKLJKHU\LHOGVKHOSLQJWR
NHHSDEOHQGHGDGYDQWDJHRXVRYHUDOOSRUWIROLRUHWXUQ
7KH LQFRPH VWUHDP ZLOO VWD\ UHODWLYHO\ FRQVWDQW EHFDXVH RQO\ D VPDOO
SRUWLRQ RI WKH SRUWIROLR ZLOO PDWXUH DQG EH UHSODFHG HDFK \HDU 2YHU WLPH
WKHSRUWIROLRVKRXOGLQFOXGHERQGVSXUFKDVHGLQSHULRGVRIERWKKLJKDQGORZ
LQWHUHVWUDWHV)LJXUHLOOXVWUDWHVKRZDODGGHUHGSRUWIROLRFDQEHH[SHFWHGWR
UHDFWWRWKUHHLQWHUHVWUDWHVFHQDULRV
)LJXUH
(IIHFWRI,QWHUHVW5DWH&KDQJHVRQD+\SRWKHWLFDO/DGGHUHG%RQG3RUWIROLR
6RXUFHKWWSZZZWKRUQEXUJFRPSGI7+BODGGHULQJBIXOOSGI
‡ 6WHDG\LQWHUHVWUDWHVDYHU\VWHDG\UHWXUQLVJHQHUDWHGHDFK\HDULQ
WKHODGGHUHGSRUWIROLR7KHUHWXUQZLOOEHIDLUO\FORVHWRWKHKLJKHVW\LHOGLQJ
ERQGLQWKHSRUWIROLR
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
‡ 5LVLQJLQWHUHVWUDWHVERQGYDOXHVLQLWLDOO\IDOOGRZQEXWUHFRYHUYDOXH
DVWKH\PRYHWRZDUGWKHLUPDWXULW\DWSDU8QOLNHRZQLQJDQLQGLYLGXDOERQG
WKHODGGHUKDVPDWXULQJERQGVHDFK\HDUZKLFKJLYHVWKHSRUWIROLRDVWUHDP
RI FDVK ÀRZ WR UHLQYHVW LQ QHZ KLJKHU\LHOGLQJ ERQGV$V SURFHHGV IURP
PDWXULQJERQGVDUHUHLQYHVWHGLQKLJKHU\LHOGLQJERQGVDWWKHIDUHQGRIWKH
ODGGHU WKH SRUWIROLR¶V \LHOG JUDGXDOO\ LQFUHDVHV 7KH EXLOWLQ UHLQYHVWPHQW
IHDWXUHZRUNVWRRIIVHWVRPHRIWKHSULFHGHSUHFLDWLRQWKDWRFFXUUHGWKURXJKRXW
WKHODGGHUZKHQLQWHUHVWUDWHVURVH,WDOVRUHVXOWVLQDULVLQJLQFRPHVWUHDP
DIWHU D IHZ \HDUV WKH SRUWIROLR¶V WRWDO UHWXUQ ¿UVW HTXDOV LWV RULJLQDO UHWXUQ
WKHQVXUSDVVHVLW
‡ 'HFOLQLQJ LQWHUHVW UDWHV WKH SRUWIROLR¶V UHWXUQ ULVHV DV ERQG SULFHV DUH
PDUNHGXS)LQDOO\DVWKRVHERQGVPDWXUHDQGSURFHHGVDUHUHLQYHVWHGLQORZHU
\LHOGLQJ ERQGV WKH SRUWIROLR¶V ORQJWHUP UHWXUQ LV ORZHU WKDQ LW ZRXOG KDYH
EHHQXQGHUWKH¿UVWWZRVFHQDULRV7KHLQFRPHVWUHDPDOVRGHFUHDVHVEXWRQO\
JUDGXDOO\EHFDXVHWKHORQJHUWHUPKLJKHU\LHOGLQJERQGVFRQWLQXHWREHKHOGLQ
WKHSRUWIROLRDQGWKHLQFRPHJHQHUDWHGFRQWLQXHVWREHWKHDYHUDJHRIDOOERQGV
$GYDQWDJHVRIERQGODGGHUV
‡ 7KHSHULRGLFUHWXUQRISULQFLSDOSURYLGHVDGGLWLRQDOLQYHVWLQJÀH[LELOLW\
‡ 7KH SURFHHGV UHFHLYHG IURP SULQFLSDO DQG LQWHUHVW SD\PHQWV FDQ EH
LQYHVWHGLQDGGLWLRQDOERQGVLILQWHUHVWUDWHVDUHUHODWLYHO\KLJKRULQRWKHU
VHFXULWLHVLIWKH\DUHUHODWLYHO\ORZ
‡ ([SRVXUHWRLQWHUHVWUDWHYRODWLOLW\LVUHGXFHGEHFDXVHERQGSRUWIROLRLV
QRZVSUHDGDFURVVGLIIHUHQWFRXSRQVDQGPDWXULWLHV
Barbells
%DUEHOOVDUHDERQGLQYHVWPHQWVWUDWHJ\VLPLODUWRODGGHULQJH[FHSWWKDW
SXUFKDVHVDUHFRQFHQWUDWHGLQWKHVKRUWWHUPDQGORQJWHUPPDWXULWLHV7KLV
DOORZVWKHLQYHVWRUWRSRWHQWLDOO\JDLQKLJK\LHOGVIURPORQJHUPDWXULWLHVLQ
RQHSRUWLRQRIWKHLUSRUWIROLRZKLOHXVLQJWKHVKRUWHUPDWXULWLHVWRPLQLPL]H
ULVN%DUEHOOVFDQSURYLGHRSSRUWXQLW\LQERWKULVLQJDQGGHFOLQLQJLQWHUHVWUDWH
HQYLURQPHQWVLILQWHUHVWUDWHVGHFUHDVHWKHORQJHQGRIWKHEDUEHOOSURYLGHV
SRWHQWLDOIRUFDSLWDOJDLQKRZHYHUWKHDVVHWPDQDJHUZRXOGEHUHLQYHVWLQJWKH
SURFHHGVLQWRSRWHQWLDOO\ORZHU\LHOGLQJERQGV,ILQWHUHVWUDWHVLQFUHDVHWKH
VKRUWHUHQGRIWKHEDUEHOOFDQEHUHLQYHVWHGDWWKHQHZKLJKHUUDWHVKRZHYHU
WKHFXUUHQWPDUNHWYDOXHRIH[LVWLQJORQJWHUPERQGVFRXOGJRGRZQ%DUEHOOV
GRQRWQHHGWREHFRPSRVHGRIHTXDOEDODQFHVDVDQLQYHVWRUFDQZHLJKWWKH
VKRUWRUORQJHQGKHDYLHUWRWDNHDGYDQWDJHRIZKDWWKHFXUYHLVRIIHULQJ
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
$GYDQWDJHVRIEDUEHOOV
‡ WKLVVWUDWHJ\DOORZVWRWDNHDGYDQWDJHRIUDWHVZKHQWKH\DUHKLJK
ZLWKRXWOLPLWLQJ¿QDQFLDOÀH[LELOLW\
‡ EHFDXVHDSRUWLRQRIDVVHWVDUHLQYHVWHGLQVHFXULWLHVWKDWPDWXUH
HYHU\IHZ\HDUVWKHLQYHVWRUKDVWKHQHFHVVDU\OLTXLGLW\WRPDNHODUJH
SXUFKDVHVRUUHVSRQGWRHPHUJHQFLHV
‡ $OORFDWLQJRQO\SDUWRI¿[HGLQFRPHSRUWIROLRLQORQJHUWHUPERQGV
FDQKHOSUHGXFHWKHULVNDVVRFLDWHGZLWKULVLQJUDWHVZKLFKWHQGWRKDYHD
JUHDWHULPSDFWRQWKHYDOXHRIORQJHUPDWXULWLHV
Bullets
7KH EXOOHW VWUDWHJ\ LV EDVHG RQ WKH DFTXLVLWLRQ RI D QXPEHU RI GLIIHUHQW
W\SHVRIVHFXULWLHVRYHUDQH[WHQGHGSHULRGRIWLPHEXWZLWKDOOWKHVHFXULWLHV
PDWXULQJDURXQGWKHVDPHWDUJHWGDWH2QHRIWKHPDLQEHQH¿WVRIWKHEXOOHW
VWUDWHJ\LVWKDWLWDOORZVWKHLQYHVWRUWRPLQLPL]HWKHLPSDFWRIÀXFWXDWLRQV
LQWKHLQWHUHVWUDWHZKLOHVWLOOUHDOL]LQJH[FHOOHQWUHWXUQVRQWKHLQYHVWPHQWV
$GYDQWDJHVRIEXOOHWV
‡ $OOERQGPDWXULWLHVFRLQFLGHZLWKWKHGDWHRIDIXWXUH¿QDQFLDOQHHG
5HWXUQRISULQFLSDOLVRIFRXUVHVXEMHFWWRLVVXHUFUHGLWULVN
‡ %\EX\LQJERQGVDWGLIIHUHQWWLPHVDQGGXULQJGLIIHUHQWLQWHUHVWUDWH
HQYLURQPHQWVWKHLQYHVWRULVKHGJLQJLQWHUHVWUDWHULVN
7KHIROORZLQJ¿JXUHVKRZVWKHFRPSDULVRQRIODGGHUVEDUEHOOVDQGEXOOHWV
VWUDWHJLHV
)LJXUH
/DGGHUV%DUEHOOVDQG%XOOHWV
/DGGHUV
%DUEHOOV
%XOOHWV
%RQGV PDWXUH DW GLIIHUHQW 6HWV RI ERQGV PDWXUH LQ WKH %RQGV LQYHVWHG DW GLIIHUHQW
WLPHV DQG \RX FRQWLQXDOO\ ORQJWHUPDQGVKRUWWHUPEXW WLPHV KDYH WKH VDPH WDUJHW
UHLQYHVWWKHP
QRWLQWKHPLGWHUP
PDWXULW\GDWH
6RXUFHRZQSURFHVVLQJEDVHGRQZZZ¿GHOLW\FRP
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
,W LV REYLRXV IURP WKLV WDEOH WKDW D SDUWLFXODU VWUDWHJ\ UHSUHVHQWV
D FRPELQDWLRQ RI ERQGV ZLWK GLIIHUHQW PDWXULWLHV ,W LV QHFHVVDU\ WR UHDOL]H
WKDWWKHTXDOLW\RIERQGLVVXHZLOOEHDQLPSRUWDQWPRPHQW
&RQFOXVLRQ
7KHPDLQDLPRIWKHERQGSRUWIROLRPDQDJHPHQWLVWRDFKLHYHKLJKUHYHQXHV
RUORZULVN7KHDVVHWPDQDJHUKDVWRWDNHLQWRDFFRXQWULVNVFRQQHFWHGZLWK
ERQGV FUHGLW ULVN LQWHUHVW UDWH ULVN OLTXLGLW\ ULVN DQG H[FKDQJH UDWH ULVN
7KHUHDUHPDQ\VWUDWHJLHVIRULQYHVWLQJLQERQGVWKDWLQYHVWRUVFDQHPSOR\
7KHEX\DQGKROGDSSURDFKDSSHDOVWRLQYHVWRUVZKRDUHORRNLQJIRULQFRPH
DQGDUHQRWZLOOLQJWRPDNHSUHGLFWLRQV7KHெPLGGOHRIWKHURDG´VWUDWHJLHV
LQFOXGHLQGH[DWLRQDQGLPPXQL]DWLRQERWKRIZKLFKRIIHUVRPHVHFXULW\DQG
SUHGLFWDELOLW\7KHQWKHUHLVDUDQJHRIDFWLYHWHFKQLTXHVZKLFKLVLQWHQGHG
IRUDGYDQFHGDVVHWPDQDJHUVVLQFHWKH\KDYHWREHDEOHWRIRUHVHHWKHIXWXUH
PDUNHWFRQGLWLRQV
3DVVLYHVWUDWHJLHVDUHVXLWDEOHIRULQYHVWRUVZKRDUHQRWZLOOLQJWRSUHGLFW
IXWXUH PDUNHW FRQGLWLRQV RU DUH QRW WKDW VNLOOHG DQG DGYDQFHG7KH\ FUHDWH
DSRUWIROLRWKDWFRSLHVWKHFRQVWUXFWLRQRIDFKRVHQPDUNHWLQGH[7KHGHYLDWLRQ
RIWKHSHUIRUPDQFHRIWKHLUSRUWIROLRIURPWKH\LHOGRIDPDUNHWLQGH[LVFDOOHG
WKHWUDFNLQJHUURU(YHQPRUHVLPSOHPHWKRGLVEX\KROGVWUDWHJ\ZKHQWKH
LQYHVWRUEX\VERQGVDQGKROGVWKHPXQWLOWKH\PDWXUH
$FWLYHVWUDWHJLHVDUHVXLWDEOHIRUDGYDQFHGERQGSRUWIROLRPDQDJHUVZLWK
WKH DELOLW\ WR SUHGLFW IXWXUH HYROXWLRQ RI PDUNHW UDWHV LQÀDWLRQ DQG RWKHU
FRQGLWLRQV 7KH\ KDYH WR IROORZ WKH GHFLVLRQV ZLWKLQ PRQHWDU\ DQG ¿VFDO
SROLF\VLQFHWKHVHDIIHFWHFRQRPLFFRQGLWLRQV
,PPXQL]DWLRQWHFKQLTXHVDQGPDWFKIXQGLQJVWUDWHJLHVDUHDFRPELQDWLRQ
RIDFWLYHDQGSDVVLYHVWUDWHJLHV7KHLUDLPLVWRFUHDWHDERQGSRUWIROLRLQRUGHU
WRVHFXUHIXWXUHOLDELOLWLHV7KHVHSRUWIROLRVJHQHUDWHVWDEOHLQWHUHVWFDVKÀRZ
DQGDUHIRUPHGLQVXFKPDQQHUWKDWWKH\DUHVHFXUHGDJDLQVWPDUNHWLQWHUHVW
UDWHVYRODWLOLW\7KHWHFKQLTXHLVEDVHGRQWKHIDFWWKDWLILQWHUHVWUDWHVULVHWKH
SULFHRIERQGIDOOVEXWWKHUHLQYHVWPHQWUHYHQXHVJURZ7KHVHWZRRSSRVLQJ
WHQGHQFLHVRIIVHWRQHDQRWKHU2QHRIWKHPRVWXVHGWHFKQLTXHVLVFDOOHGERQG
ODGGHULQJ7KHHVVHQWLDOSDUWRIWKLVWHFKQLTXHLVWRFUHDWHDSRUWIROLRWKDWLV
DFRPELQDWLRQRIERQGVZLWKGLIIHUHQWPDWXULWLHV7KHSURFHHGVIURPH[SLULQJ
PDWXULWLHVDUHFRQVWDQWO\UHLQYHVWHGLQWRQHZERQGV%DVHGRQWKHPDWXULW\
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
ERQG ODGGHULQJ KDV RWKHU PRGL¿FDWLRQV EDUEHOOV DQG EXOOHWV7KH\ SURYLGH
VWDEOH\LHOGDQGDWWKHVDPHWLPHWKHQHFHVVDU\OLTXLGLW\LQRUGHUWRVZLIWO\
UHVSRQG WR D FKDQJHG PDUNHW VLWXDWLRQ 7KHVH VWUDWHJLHV OLNH PRVW RI WKH
GXUDWLRQEDVHGWHFKQLTXHVZRUNPRVWHIIHFWLYHO\LQFDVHRIDSDUDOOHOLQWHUHVW
UDWHVKLIW
7KHVHOHFWLRQRIDSDUWLFXODUVWUDWHJ\ZLOODOVRGHSHQGRQFXUUHQWPDUNHW
FRQGLWLRQVLQWHUHVWUDWHVDQGWKHLUYRODWLOLW\DQGRQW\SHRILQVWLWXWLRQZKLFK
LPSOHPHQWVWKHVWUDWHJ\HJWKHLQYHVWPHQWKRUL]RQRIEDQNVDQGLQVXUDQFH
FRPSDQLHVDUHGLIIHUHQW(DFKVWUDWHJ\KDVLWVSODFHDQGZKHQLPSOHPHQWHG
FRUUHFWO\LWFDQDFKLHYHWKHJRDOVIRUZKLFKLWZDVLQWHQGHG
&XUUHQWO\ WKH PDUNHW LQWHUHVW UDWHV DUH ORZ DQG LQYHVWRUV DUH H[SHFWLQJ
WKHLUULVH&KDQJLQJLQWHUHVWUDWHVFDQEHDFRQFHUQWRERQGLQYHVWRUVEHFDXVH
DVUDWHVULVHWKHSULFHRIH[LVWLQJERQGVGHFOLQHV8QGHUWKHVHFLUFXPVWDQFHV
LQGLYLGXDOERQGKROGHUVDQGERQGIXQGVKDUHKROGHUVFDQOHVVHQWKHHIIHFWRI
ULVLQJLQWHUHVWUDWHVE\UHGXFLQJWKHPDWXULWLHVRIWKHERQGV7KH\FDQDOVR
UHGXFHSRUWIROLR¶VH[SRVXUHWRLQWHUHVWUDWHULVNE\VKLIWLQJWKHPL[WRERQGV
DQGIXQGVZLWKVKRUWHUGXUDWLRQV7KDWZRXOGEHHVSHFLDOO\LPSRUWDQWLIWKH
SRUWIROLRFRQVLVWVODUJHO\RIORQJWHUPERQGV$QRWKHUXVHIXOWHFKQLTXHLQWKLV
FDVHPLJKWEHERQGODGGHULQJDVHDFKERQGLQSRUWIROLRPDWXUHVWKHLQYHVWRU
FDQUHLQYHVWWKHSURFHHGVDWKLJKHU\LHOGVVKRXOGWKHPDUNHWUDWHVULVH
5HIHUHQFHV
%RRNVRXUFHV
>@ )$%2==, ) - ௅ 0$57(//,1, / ௅ 35,$8/(7 3 $GYDQFHG %RQG 3RUWIROLR
0DQDJHPHQW%HVW3UDFWLFHVLQ0RGHOLQJDQG6WUDWHJLHV1HZ-HUVH\-RKQ:LOH\6RQV
,QFSS±,6%1
>@ )$%2==,)-%RQG0DUNHWV$QDO\VLVDQG6WUDWHJLHVWK(GLWLRQ3UHQWLFH+DOO
,6%1
>@ )$%2==,)-,QVWLWXWLRQDO,QYHVWPHQW0DQDJHPHQW(TXLW\DQG%RQG3RUWIROLR
6WUDWHJLHVDQG$SSOLFDWLRQV-RKQ:LOH\6RQV,QF,6%1
>@ +592ď29È % HW DO $QDOê]D ¿QDQþQêFK WUKRY )LQDQFLDO PDUNHWV¶ DQDO\VLV
:ROWHUV.OXZHU,6%1
>@ &+28'+5<0௅026.29,&'௅:21*0)L[HG,QFRPH0DUNHWV:LOOH\
)LQDQFH6HULHV,6%1
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
>@ &+28'+5<0௅-2$11$6'௅/$1'8<7*௅3(5(,5$5௅3,(1$$5
5 &DSLWDO 0DUNHW ,QVWUXPHQWV $QDO\VLV DQG 9DOXDWLRQ 3ROJUDYH DQG 0DFPLOODQ ,6%1±±±±
>@ -Ë/(. - )LQDQþQt WUK\ D LQYHVWRYiQt )LQDQFLDO PDUNHWV DQG LQYHVWLQJ 3UDKD
*UDGD,6%1
>@ 086Ë/(. 3 7UK\ FHQQêFK SDStUĤ 6HFXULWLHV PDUNHWV 3UDKD (FRSUHVV ,6%1
>@ 9(6(/È-,QYHVWRYiQtQDNDSLWiORYêFKWU]tFK,QYHVWLQJRQFDSLWDOPDUNHWV3UDKD
:ROWHUV.OXZHU,6%1
$UWLFOHVLQMRXUQDOVDQGSURFHHGLQJV
>@ $5(1'Èâ3$SSOLFDWLRQRIEDVLFVWRFNPDUNHWLQYHVWPHQWVWUDWHJLHVRQFRPPRGLW\
PDUNHW,QWHUQDWLRQDOVFLHQWL¿FFRQIHUHQFH7RPDV%DWD8QLYHVLW\LQ=OLQ,6%1
>@ )21* + ௅ 9$6,&(. 2 $ 5LVN 0LQLPL]LQJ 6WUDWHJ\ IRU 3RUWIROLR
,PPXQL]DWLRQ,Q7KH-RXUQDORI)LQDQFH9RO1R
,QWHUQHWVRXUFHV
>@ '$02'$5$1 $ :KDW ,V 3RUWIROLR 0DQDJHPHQW" $YDLODEOH RQOLQH DW
KWWSSDJHVVWHUQQ\XHGXaDGDPRGDU1HZB+RPHB3DJHEDFNJURXQGSRUWPJPWKWP!
>DFFHVVHG@
>@ )LGHOLW\ ,QYHVWPHQWV %RQG ,QYHVWPHQW 6WUDWHJLHV $YDLODEOH RQOLQH DW
KWWSVZZZ¿GHOLW\FRPOHDUQLQJFHQWHULQYHVWPHQWSURGXFWV¿[HGLQFRPHERQGVERQG
LQYHVWPHQWVWUDWHJLHV!>DFFHVVHG@
>@ ,QYHVWLQJ $QVZHUV ,PPXQL]DWLRQ $YDLODEOH RQOLQH DW KWWSZZZ
LQYHVWLQJDQVZHUVFRP¿QDQFLDOGLFWLRQDU\LQYHVWLQJLPPXQL]DWLRQ!
>DFFHVVHG
@
>@ -+$:$5 9 3RUWIROLR ,PPXQL]DWLRQ 9V &DVK )ORZ 0DWFKLQJ $YDLODEOH
RQOLQHDWKWWSZZZLQYHVWRSHGLDFRPDUWLFOHVLQYHVWLQJSRUWIROLRLPPXQL]DWLRQ
YVFDVKÀRZPDWFKLQJDVS!>DFFHVVHG@
>@ /$%86=(:6.,-:.$05$'70*,%%6'5LVN0DQDJHPHQWIRU
)L[HG,QFRPH$VVHW0DQDJHUV$YDLODEOHRQOLQHDWKWWSZZZFPHJURXSFRPHGXFDWLRQ
¿OHV$0B5LVN0JPWIRU)L[HG,QFRPH$0SGI!>DFFHVVHG@
>@ 6&+0,'707RS6WUDWHJLHV)RU0DQDJLQJ$%RQG3RUWIROLR$YDLODEOH
(.2120,&.e52=+ď$'< – ECONOMIC REVIEW
VOLUME 45., 3/2016
RQOLQH DW KWWSZZZLQYHVWRSHGLDFRPDUWLFOHVERQGVERQGSRUWIROLRVWUDWHJLHVDVS!
>DFFHVVHG@
>@ 7KRUQEXUJ,QYHVWPHQW0DQDJHPHQW7KH/DGGHUHG%RQG3RUWIROLR$%RQG
6WUDWHJ\ IRU %DODQFLQJ 5LVN DQG 5HWXUQ $YDLODEOH RQOLQH DW KWWSZZKWWSZZZ
LQYHVWRSHGLDFRPDUWLFOHVERQGVERQGSRUWIROLRVWUDWHJLHVDVS!