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H. · 2020年07月11日

问一道题:NO.PZ2018062020000002 [ CFA I ]

问题如下:

If an investor invested a floating-rate bonds based on London interbank offered rate(Libor), which of the following factors most likely affect the investor's return?

选项:

A.

The reference rate.

B.

The spread of the bond.

C.

The interest rate based on market.

解释:

A is correct.

The coupon rate of a floating rate bond is typically expressed as a reference rate (Libor) plus a spread. The spread is usually set when the bond is issued and stabled until maturity. The reference rate resets periodically and the coupon rate adjusts each time when the reference rate resets. Thus the investor's return depends on the reference rate.

请问C和A不是一个意思吗?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年07月11日

reference rate一般都是短期的货币市场利率,比如三个月的libor。而选项C,interest rate based on the market基于市场的利率,定义太宽泛了。

浮动利率债券的coupon rate=reference rate+quoted margin(spread)。其中,spread是不变的,reference rate是不断变化的。因此,最能够影响到投资者收益的就是reference rate。考试时一定是选择一个最优解,所以选A。

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2022-11-13 20:26 1 · 回答

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我记得老师讲这种coupon rate 浮动的bon几乎没有interest risk的,为什么不选c呢

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