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许诺 · 2022年07月16日

关于Interest Indexed bond中coupon rate的计算

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)

1 个答案
已采纳答案

吴昊_品职助教 · 2022年07月18日

嗨,从没放弃的小努力你好:


1.因为现在是刚发行完,在第一个付息日之前,CPI就上升了,所以第一期的coupon rate需要计入通胀调整。

2.每一期的coupon rate都是不同的,需要根据上一个阶段CPI的变化而调整。


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