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Victutu · 2020年07月13日

问一道题:NO.PZ2016031001000033

问题如下:

With respect to floating-rate bonds, a reference rate such as the London interbank offered rate (Libor) 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 Libor. 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.

个人觉得出的不是很严谨,LIBOR也有分不同期限的,譬如30天LIBOR、60天LIBOR等,那其实也可以决定coupon payment的频率

2 个答案

王秋宇 · 2022年03月19日

A为什么不对呢?不可以决定利率的范围吗?

吴昊_品职助教 · 2020年07月14日

reference rate无法决定coupon payment的频率,只能决定coupon rate的大小。

比方一个浮动利率债券,每一个季度付息一次,付息频率是在债券一开始发行的时候就确定的,然后再去选择对应的three-month libor作为这只浮动利率债券的reference rate。每三个月会有一个reset date,当天会根据reference rate的变化调整coupon rate。付息频率是一开始发行的时候就确定好的,因此对应期限的reference rate也会随之确定。在存续期内,reference rate的大小会不断变化,Coupon rate是跟着Reference rate变动的。因此reference rate决定coupon rate,B正确。

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