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

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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