NO.PZ2016031001000014
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。
感谢老师的解答!辛苦了!
请问:本题题干如果变为Interest Indexed,在计算第一笔coupon payment时,
1.是否计入CPI通胀(+2%)?
2.需要考虑coupon rate reset的问题吗?如考虑,CPI通胀是否应从第二笔coupon payment再开始计入?(即第一笔不计入,因为通胀发生在第一次计息期间)