问题如下:
A two-year floating-rate note pays 6-month Libor plus 80 basis points. The floater is priced at 97 per 100 of par value. Current 6-month Libor is 1.00%. Assume a 30/360 day count convention and evenly spaced periods. The discount margin for the floater in basis points (bps) is closest to:
选项:
A. 180 bps.
B. 236 bps.
C. 420 bps.
解释:
B is correct.
The discount or required margin is 236 basis points. Given the floater has a maturity of two years and is linked to 6-month Libor, the formula for calculating discount margin is:
PV=(1+mIndex+DM)1m(Index+QM)×FV+(1+mIndex+DM)2m(Index+QM)×FV+⋯+(1+mIndex+DM)4m(Index+QM)×FV+FV
where:
PV = present value, or the price of the floating-rate note = 97
Index = reference rate, stated as an annual percentage rate = 0.01
QM = quoted margin, stated as an annual percentage rate = 0.0080
FV = future value paid at maturity, or the par value of the bond = 100
m = periodicity of the floating-rate note, the number of payment periods per year = 2
DM = discount margin, the required margin stated as an annual percentage rate
Substituting given values in:
97=(1+20.01+DM)12(0.01+0.0080)×100+(1+20.01+DM)22(0.01+0.0080)×100+⋯+(1+20.01+DM)42(0.01+0.0080)×100+100
97=(1+20.01+DM))10.9+(1+20.01+DM)20.9+(1+20.01+DM)30.9+(1+20.01+DM)40.9+100
To calculate DM, begin by solving for the discount rate per period:
97=(1+r)10.9+(1+r)20.9+(1+r)30.9+(1+r)40.9+100
r = 0.0168
Now, solve for DM:
20.01+DM=0.0168
DM = 0.0236
The discount margin for the floater is equal to 236 basis points.