Estudo do efeito dos desvios entre marcação a mercado e o valor nominal na rentabilidade de títulos públicos federais brasileiros

Abstract

Govemment bonds are a major contract negotiation of debt related to the lst sector, have a discount rate and / or are indexed to inflation or interest rates as a reward for the contracted resources and are a fixed income investment. With a contract value of a public security and the way they are traded in financial markets, there is a price in negotiations. ln this research, we analyze quantitatively and qualitatively, how the variation between the market value and the contract value behaves over time. The main Brazilians government bonds were considered: Treasury Financing Bill, LFT; National Treasury Bills, LTN, and National Treasury Notes, Series B, C and F. The quantitative approach was based on the procedure of` Hull (1997) in conjunction with tracking error measures , as the standard deviation of the unplanned divergence applied to the daily retum recorded by marktomarket and marking to the yield curve. The data used was extracted from the National Treasury Secretariat - STN, Central Bank of Brazil BACEN and National Association of Financial Market Institutions ANBIMA. In daily values, starting on Ol/02/2006 and ending on 3l/08/2010. The qualitative approach using questionnaires considered the perception of agents in the financial market of the fixed income area about how these differences in the evaluation of government securities might impact their investment decisions. The results of` quantitative analysis showed that by incorporating the duration and convexity together, to the deviations between the markto- market and yield curve, as Taylor expansion highlighted by Hull (1997), the return indicated by the two government bonds evaluation techniques converge to the yield to maturity curve. The perception of convergence was also identified the perception of convergence between the mark to market value and the maturity curve, so that the use of marktomarket reflects the value of an immediate fixed-income investment and the yield curve indicates the value ofthe bond upon its maintenance until maturity, as stipulated in the contract of fixed income.