A one-year floating-rate note pays 6-month Libor plus 90 bps. The floater is priced at 98.67 per 100 of par value. Current 6-month Libor is 1.17%. Assume a 30/360 day-count convention and evenly spaced periods. What is the annual discount margin for the floater in basis points?
A one-year floating-rate note pays 6-month Libor plus 90 bps. The floater is priced at 98.67 per 100 of par value. Current 6-month Libor is 1.17%. Assume a 30/360 day-count convention and evenly spaced periods. What is the annual discount margin for the floater in basis points?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A one-year floating-rate note pays 6-month Libor plus 90 bps. The floater is priced at 98.67 per 100 of par value. Current 6-month Libor is 1.17%. Assume a 30/360 day-count convention and evenly spaced periods. What is the annual discount margin for the floater in basis points?
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