Nevertheless, if one is willing to assume that the sum of these premiums is relatively stable over time, marked changes in the TIIS
spread should reflect changes in market participants' expectations of inflation.
From an investor's point of view, the possibility of investing in securities providing a real interest rate seems valuable: investment value is protected from erosion due to inflation and because of diversification purposes (low correlation between TIIS
and nominal securities).
More recently, the liquidity and breadth of investor participation in the TIIS
market have increased notably, and the valuation of these securities appears to have improved.
Why might the return on TIIS
be so perplexingly high compared to securities that pay a nominal yield?
Jayne's second argument relates to tax problems with TIIS
Park, "Robustness of Face Recognition to Variations of Illumination on Mobile Devices Based on SVM," TIIS
Our analysis suggests that participants in the TIIS
market respond to the announcements for seven economic data series in a statistically significant manner: business inventories, the employment cost index, the preliminary GDP estimate, initial jobless claims, new home sales, nonfarm payroll employment, and the preliminary estimate of nonfarm labor productivity.
By construction, the real return from holding a TIIS
contract is known with certainty.
The forward rates are derived from the yields of 10-year Treasury securities--the TIIS
and nominal securities.
Whereas the principal amount of a nominal Treasury security remains fixed in nominal terms, the principal amount on a TIIS
adjusts over time by the rate of inflation.
Real yields are still attractive and we have almost 10% of the Fund's holdings in TIIS
(Treasury Inflation Indexed Securities).
The "break-even" inflation rate, defined as the difference between a 10-year nominal Treasury bond and a 10-year TIIS
bond (which is protected against inflation), stands at 2.