# 對照 NO.PZ2018062010000001（選擇題）coupon rate計算基礎不同？

NO.PZ2018062006000003

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:

A.

3.2%

B.

4.2%

C.

4.0%

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%.

###### 2 个答案

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003题： 考察的是浮动利率债券的coupon rate。对于浮动利率债券来说，每一期的利息是由期初的利率水平决定的。题目中有两个基准利率，所以我们要在两个基准利率之间进行选择。现在要我们求的是12月15日支付的利息，因此对应的MRR是6月15号的，即3%+1%=4%

001题：capital-index bond，它的coupon rate是不会变的，只有债券的面值会随着通货膨胀率而调整。CPI下降5%, principal amount也下降5%。面值调整为2000*（1-5%）=1900。其coupon rate不会发生改变，但注意这个债券是semi-annually，因此，每一期的coupon rate为6%/2=3%。虽然coupon rate没有变，但由于本金调整了，所以coupon payment也会发生变化，一期的payment=1900*3%=57

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