Alpha Co. issued a five-year semi-annual floating rate bond. The coupon rate is six-month MRR plus 100 bps. The bond makes interest payments on 15 June and 15 December every year. On 15 June the six-month MRR is 3%, and on 15 December the six-month MRR is 3.2%. The coupon rate for the interest payment made on December 15 should be closest to:
C is correct.
The coupon reset date for the coupon paid on 15 December is 15 June. Therefore, the coupon rate on 15 December = six month MRR on 15 June + 100 bps=3%+1%=4%.
解析：现在要我们求的是12月15日支付的利息，而每一期的利息都是由期初利率决定的，所以12月15日的利息是由6月15日的利率确定的，6月15日的六个月MRR是3%，所以我们在3%的基础上加上1% (100bps) 得到4%，故选项C正确。
此題對照 NO.PZ2018062010000001（選擇題），雖然NO.PZ2018062010000001是capital-indexed bond，但它並沒有用期初利率計算coupon rate以及the first coupon payment