问

NO.PZ2018062006000081

There is a two-year FRN with quoted margin at 50 basis points and the reference rate is 6-month Libor. The current 6-month Libor is 1.2% which is supposed to be constant for the following 2 years and the floater is priced at 95 per 100 of par value. Please calculate the discount margin for the floater assuming a 30/360 day-count convention and evenly spaced periods.

A.

298 bps

B.

314 bps

C.

217 bps

B is correct.

First we need to calculate the interest payment each period:

{(6-month Libor+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85

then calculate the discount rate per period :

$95=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}$

r=2.168%

Now, solve for DM:

$\frac{1.2\%+DM}2=2.168\%$

DM = 3.14%

1 个答案

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