题目
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.
答案
B
解析
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:「huixue_img/importSubject/1564548169105281024.jpeg」
B是正确的。折现率差为236个基点。鉴于浮动利率的到期日为两年，且与6个月伦敦银行同业拆借利率挂钩，计算折现率差的公式为：