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UMS Bank issued a dual-indexed floating-rate bond with coupon formula, 10-year constant maturity Treasury rate +...

  1. UMS Bank issued a dual-indexed floating-rate bond with coupon formula,

10-year constant maturity Treasury rate + 200 basis points – 6-month LIBOR.

The cap and floor of the floater are 10 percent and 2.75 percent respectively. Compute the coupon rate and coupon payment for each principal amount of $100 under the following reference rates:

10-Yr CMT

6-Month LIBOR

12%

2.5%

11.5%

3%

11%

3.25%

10.5%

3.50%

10%

3.75%

6%

4%

5.5%

4.25%

5%

4.5%

4.5%

4.75%

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jeff jeffy answered 1 year ago
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