关于Interest Indexed bond中coupon rate的计算

问题如下：

A 10-year, capital-indexed bond linked to the Consumer Price Index (CPI) is issued with’a coupon rate of 6% and a par value of 1,000. The bond pays interest semi-annually. During the first six months after the bond’s issuance, the CPI increases by 2%. On the first coupon payment date, the bond’s:

选项：

A.

coupon rate increases to 8%.

B.

coupon payment is equal to 40.

C.

principal amount increases to 1,020.

解释：

C is correct.

Capital-indexed bonds pay a fixed coupon rate that is applied to a principal amount that increases in line with increases in the index during the bond’s life. If the consumer price index increases by 2%, the coupon rate remains unchanged at 6%, but the principal amount increases by 2% and the coupon payment is based on the inflation adjusted principal amount. On the first coupon payment date, the inflation-adjusted principal amount is 1,000 × (1 + 0.02) = 1,020 and the semi-annual coupon payment is equal to (0.06 × 1,020) ÷ 2 = 30.60.

考点：capital indexed bond

解析：题干中说CPI increase by 2%，那也就是说半年的时间内，CPI上升了2%。对于capital indexed bonds而言，此类债券票面利率保持不变，但票面价值根据通货膨胀进行调整。因此，通货膨胀调整后的面值=1000*（1+2%）=1020，故选项C正确。