Obbligazione a zero coupon

What Is Obbligazione a zero coupon?

An obbligazione a zero coupon, also known as a zero-coupon bond, is a debt instrument that does not pay periodic interest payments, or "coupons," to its holder. Instead, it is issued at a sconto (discount) from its valore nominale (face value) and matures at its full par value. The investor's return is the difference between the purchase price and the face value received at scadenza. This type of bond falls under the broader category of strutture di debito (debt instruments), which are fundamental components of a well-diversified portafoglio (portfolio).

History and Origin

While the concept of receiving a single payment at maturity has existed for a long time, the modern zero-coupon bond gained prominence with the introduction of "stripped" securities. In the United States, investment dealers began physically separating paper coupons from bearer bonds and selling them individually in the 1960s and 1970s. However, it was the official Separate Trading of Registered Interest and Principal of Securities (STRIPS) program, initiated by the U.S. Treasury in 1985, that formalized and popularized the market for zero-coupon U.S. government securities.⁷ This innovation allowed the principal and each individual interest payment of a traditional Treasury bond to be traded as distinct, zero-coupon instruments. The U.S. Department of the Treasury does not issue STRIPS directly to investors; instead, financial institutions purchase traditional Treasury securities, "strip" them into their constituent parts, and then sell these parts as individual zero-coupon bonds.⁶

Key Takeaways

An obbligazione a zero coupon is purchased at a discount and pays its full face value at maturity, with no interim interest payments.
The investor's return is embedded in the difference between the discounted purchase price and the par value received at maturity.
They are highly sensitive to changes in tasso di interesse (interest rates) due to their long durata (duration), especially for longer maturities.
In many jurisdictions, investors may face "phantom income" taxation, where they owe taxes on the accrued interest annually even before receiving any cash.
Commonly used for long-term financial planning, such as saving for retirement or education.

Formula and Calculation

The price of an obbligazione a zero coupon is determined by discounting its future face value back to the present using the prevailing market yield. The formula is:

P = \frac{FV}{(1 + r)^n}

Where:

(P) = Prezzo attuale (Current Price) or Prezzo di emissione (Issuance Price)
(FV) = Valore nominale (Face Value) or Par Value
(r) = Tasso di rendimento (Yield to Maturity or effective annual yield)
(n) = Numero di anni fino alla scadenza (Number of years to maturity)

This formula demonstrates the inverse relationship between interest rates and bond prices; as (r) increases, (P) decreases. The interest earned is effectively compounded over the life of the bond.

Interpreting the Obbligazione a zero coupon

Interpreting an obbligazione a zero coupon primarily involves understanding its inherent rendimento (yield) and its sensitivity to interest rate changes. Since there are no regular coupon payments, the yield is entirely derived from the bond's appreciation from its purchase price to its face value at maturity. A higher discount implies a higher yield, assuming a fixed face value and maturity period. Investors should consider the prevailing curva dei rendimenti (yield curve) when evaluating zero-coupon bonds, as their pricing is directly tied to future interest rate expectations. Their price volatility is generally higher than that of coupon bonds with similar maturities, particularly in environments of fluctuating interest rates.

Hypothetical Example

Imagine an investor purchases an obbligazione a zero coupon with a face value of €1,000 that matures in 10 years. The bond is issued at a discounted price of €675.

Purchase: The investor pays €675 today.
No Interim Payments: Over the next 10 years, the investor receives no interest payments.
Maturity: After 10 years, the bond matures, and the investor receives the full €1,000 face value.

The total return to the investor is €1,000 - €675 = €325. This return is earned through the bond's gradual appreciation in value over the decade, representing the implicit interest compounded over time. This predictable final payout makes them attractive for specific future financial needs.

Practical Applications

Obbligazioni a zero coupon are employed in various financial strategies due to their predictable single payment at maturity. They are commonly used by individuals for long-term financial planning, such as saving for a child's college education or retirement, as they allow investors to lock in a specific future sum with a single initial investment., Pension fund⁵s⁴ and insurance companies often use them for duration matching and liability immunization strategies, where they need to meet specific, known future financial obligations. Furthermore, obbligazioni governative (government bonds) issued as zero-coupon securities, like U.S. Treasury STRIPS, play a role in the broader bond market by offering investors highly secure, pure-discount instruments.

Limitatio³ns and Criticisms

Despite their utility, obbligazioni a zero coupon come with specific limitations. One significant drawback is their sensitivity to volatilità (volatility) in the tasso di interesse (interest rate) environment; their prices fluctuate more than coupon bonds as interest rates change, especially for longer maturities. This higher [ri²schio di interesse](https://diversification.com/term/rischio-di-interesse) (interest rate risk) means that if an investor needs to sell a long-term zero-coupon bond before maturity, they may receive less than anticipated if rates have risen.

Another critical consideration, particularly for taxable accounts in many countries, is "phantom income" or Original Issue Discount (OID) taxation. Even though investors receive no cash payments until maturity, they are often required to report and pay income taxes annually on the imputed interest that accrues on the bond. This can create¹ a tax liability without a corresponding cash flow, making them less tax-efficient for certain investors unless held in tax-advantaged accounts or if they are obbligazioni fiscalmente esenti (tax-exempt bonds). Their liquidità (liquidity) can also be lower than that of actively traded coupon bonds, particularly for obbligazioni societarie (corporate bonds) or municipal issues.

Obbligazione a zero coupon vs. Obbligazione con cedola

The primary distinction between an obbligazione a zero coupon and an obbligazione con cedola (coupon bond) lies in their interest payment structure.

Feature	Obbligazione a zero coupon	Obbligazione con cedola
Interest Payment	No periodic interest payments.	Pays regular interest payments (coupons) to the holder.
Purchase Price	Issued at a discount to its face value.	Typically issued at or near its face value (par).
Return Method	Return is the appreciation from discounted price to par value at maturity.	Return from periodic coupon payments and principal repayment at maturity.
Cash Flow	Single cash flow at maturity.	Multiple cash flows throughout the bond's life (coupons + principal).
Interest Rate Sensitivity	Generally higher due to lack of interim payments.	Generally lower, as coupon payments provide partial return of capital.
Reinvestment Risk	Lower, as no coupons need to be reinvested.	Higher, as coupon payments must be reinvested at prevailing rates.

While an obbligazione a zero coupon offers simplicity and a guaranteed future sum, a coupon bond provides regular income streams, which can be advantageous for investors seeking consistent cash flow from their investimento (investment).

FAQs

What is the main advantage of an obbligazione a zero coupon?

The main advantage of an obbligazione a zero coupon is its predictability: an investor knows exactly how much they will receive at maturity. This makes them ideal for planning for a specific future financial goal, such as education costs or retirement, as they eliminate the rischio di reinvestimento (reinvestment risk) associated with coupon payments.

Are zero-coupon bonds truly "zero interest"?

No, zero-coupon bonds are not "zero interest." The interest is implicitly earned through the bond's appreciation from its discounted purchase price to its full valore nominale (face value) at maturity. The difference between the purchase price and the face value represents the compounded interest over the life of the bond.

How are obbligazioni a zero coupon taxed?

In many countries, including the U.S., the "implicit" interest on an obbligazione a zero coupon is subject to annual income tax, even though the investor receives no cash until maturity. This is known as "phantom income" or Original Issue Discount (OID) taxation. For this reason, many investors prefer to hold them in tax-advantaged accounts like retirement funds, or seek out obbligazioni fiscalmente esenti (tax-exempt bonds) if available.