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STRIPS

US Treasury coupons and principal split into individually tradable zero-coupon pieces, each maturing on a single date.

A dealer can take a 30-year treasury-bond and strip it into 61 separate securities: 60 coupon payments and one principal payment. Each becomes a zero-coupon-bond backed by the US Treasury. The pieces can also be reassembled.

Strips are how pension funds and insurers match a liability due in a specific year, and how the spot-rate curve is observed directly rather than inferred by bootstrapping.

Example: a 30-year bond with a $1,000,000 principal and a 4% coupon produces sixty $20,000 coupon strips plus a $1,000,000 principal strip. The principal strip alone might sell for about $306,000 at a 4% yield.

Related: zero-coupon-bond, spot-rate, bootstrapping

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