Indexed Sinking Fund Debentures: Valuation and Analysis
分析联邦国民抵押贷款协会发行的指数化偿债基金债券，其偿债支付随利率变化，有助于匹配资产与负债的利率敏感性。
In July 1988, the Federal National Mortgage Association (FNMA) issued $500 million principal amount of 8.70% indexed sinking fund debentures (ISFDs). Five additional issues of ISFDs totaling $3.175 billion principal amount followed over the next 14 months. ISFDs contain an interest-rate-contingent sinking fund. The contingency feature works to the issuer's advantage because sinking fund payments accelerate when market interest rates drop and decelerate when interest rates rise. Mortgage prepayments exhibit a similar pattern. The FNMA had a $100 billion mortgage portfolio at year-end 1988. The sinking fund schedule of the ISFDs enables the FNMA to achieve a closer matching of the interest-rate sensitivities of the prices of its assets and liabilities than a conventional debt issue generally permits.