@article {Schnabel59, author = {Jacques A. Schnabel}, title = {Synthetic Real Return Bonds}, volume = {19}, number = {2}, pages = {59--63}, year = {2013}, doi = {10.3905/jsf.2013.19.2.059}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article proposes a new financial product{\textemdash}synthetic real return bonds. It demonstrates how a real return bond may be synthesized by developing an arbitrage relationship between such a bond and a portfolio composed of a nominal return bond, a set of inflation swaps, and a bank deposit and/or loan. Nominal return bonds issued by national governments may thus be transformed by a private-sector entity into real return bonds. Hence, the problems that render real return bonds problematic as investment and hedging vehicles, namely their scarcity and illiquidity, are ameliorated.TOPICS: Fixed income and structured finance, derivatives applications}, issn = {1551-9783}, URL = {https://jsf.pm-research.com/content/19/2/59}, eprint = {https://jsf.pm-research.com/content/19/2/59.full.pdf}, journal = {The Journal of Structured Finance} }