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尊嘟假嘟 · 2023年07月12日

A为什么不对

NO.PZ2016031001000033

问题如下:

With respect to floating-rate bonds, a reference rate (such as MRR) is most likely used to determine the bond’s:

选项:

A.

spread.

B.

coupon rate.

C.

frequency of coupon payments.

解释:

B is correct.

The coupon rate of a floating-rate bond is expressed as a reference rate plus a spread. Different reference rates are used depending on where the bond is issued and its currency denomination, but one of the most widely used set of reference rates is MRR. A and C are incorrect because a bond’s spread and frequency of coupon payments are typically set when the bond is issued and do not change during the bond’s life.

考点:浮动利率债券

解析:对于浮动利率债券来说,coupon rate=reference rate+quoted margin,其中quoted margin是不变的。所以reference rate的变化主要影响的就是coupon rate,故选项B正确。

C选项:付息频率是在债券发行的时候就设定好的,比方我在发行债券的一开始就设定好半年付息一次或者每月付息一次等等,并且付息频率在债券的存续期内不会发生改变,故选项C不正确。

知道b是套公式COUPon rate = MRR+QM,那A呢有公式吗

1 个答案

吴昊_品职助教 · 2023年07月12日

嗨,努力学习的PZer你好:


spread指的是溢价,用来补偿风险的溢价。决定spread大小的,是风险大小。风险越大,用来补偿风险的spread就越大;风险越小,用来补偿风险的spread就越小。

可以简单写成:spread=yield-benchmark,当然yield和benchmark都有不同种类。

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努力的时光都是限量版,加油!

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