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momo · 2023年11月06日

coupon

  1. CFA I
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202305230100000103

问题如下：

Antelas AG’s issuer-specific credit spread rises by 25 bps p.a. one year after the FRN issuance. Which of the following best describes how Antelas AG’s FRN coupon would change as a result?

选项：

A.

Antelas AG’s FRN coupon payment to investors will immediately increase by 25 bps p.a.

B.

Antelas AG’s FRN coupon payment to investors will increase by 25 bps p.a. but will not become effective until the next full debt coupon period begins.

C.

Antelas AG’s FRN coupon will remain unchanged.

解释：

C is correct. For the Antelas AG FRN, the spread is fixed at 250 bps and the coupon will only change with changes in the MRR.

没太明白题意，sapread不是变了吗

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3 个答案

pzqa015 · 2023年11月07日

嗨，爱思考的PZer你好：


P=∑coupon/(1+ytm)

spread是分母-折现率的spread。分子是coupon，是现金流。

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努力的时光都是限量版，加油！

momo · 2023年11月07日

题的意思不是spread上升了25bp吗

pzqa015 · 2023年11月07日

嗨，爱思考的PZer你好：


这只债的coupon是MRR+25bp，只有MRR变，coupon才会变，题目直说credit spread变，没说MRR变，所以，它的coupon不变。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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