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🌊Yuri🌊 · 2023年10月07日

NO.PZ2023010301000019

问题如下:

A 10-year, capital-indexed bond linked to the Consumer Price Index (CPI) is issued with a coupon rate of 8% 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 3%. On the first coupon payment date, the bond's:

选项:

A.

coupon rate increases to 11%.

B.

coupon payment is equal to 41.2.

C.

principal amount increases to 1,100.

解释:

Correct Answer: B

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 3%, the coupon rate remains unchanged at 8%, 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 x (1 + 0.03) = 1,030 and the semi-annual coupon payment is equal to (0.08 x 1,030) / 2 = 41.20.

 1,000 x (1 + 0.03) = 1,030

这啥意思

1 个答案

吴昊_品职助教 · 2023年10月07日

嗨,爱思考的PZer你好:


capital-indexed bond,这个是资本指数债券,此类债券票面利率保持不变,但是债券面值(principal)会跟着指数进行调整。现在指数是CPI increases by 3%,所以债券面值会随着CPI的上涨而上涨。面值就会变成1000×(1+3%)=1030

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