题目
An analyst evaluates the following information relating to floating rate notes (FRNs) issued at par value that have 3-month Libor as a reference rate:「huixue_img/importSubject/1564548167754715136.png」Based only on the information provided, the FRN that will be priced at a premium on the next reset date is:
选项
A.FRN X.
B.FRN Y.
C.FRN Z.
答案
A
解析
： A is correct. FRN X will be priced at a premium on the next reset date because the quoted margin of 0.40% is greater than the discount or required margin of 0.32%. The premium amount is the present value of the extra or “excess” interest payments of 0.08% each quarter (0.40% – 0.32%). FRN Y will be priced at par value on the next reset date since there is no difference between the quoted and discount margins. FRN Z will be priced at a discount since the quoted margin is less than the required margin. ： A是正确的。由于0.40%的报价利差大于0.32%的贴现率差，因此在下一个重置日，FRN X将以溢价定价。溢价金额是每季度额外或“超额”利息支付的现值，为0.08%（0.40%–0.32%）。FRN Y将在下一个重置日按面值定价，因为报价和贴现率差之间没有差异。由于利差报价低于要求利差，因此FRN Z将以折扣价定价。