Suppose that a three-year FRN pays a six-month Libor plus 4% semi-annually. Currently, the six-month Libor is

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Suppose that a three-year FRN pays a six-month Libor plus 4% semi-annually. Currently, the six-month Libor is 2%. The price of the floater is 90 per 100 of par value.

What is the discount margin?

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Global Investments

ISBN: 978-0321527707

6th edition

Authors: Bruno Solnik, Dennis McLeavey

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Posted Date: Apr 04, 2023 02:58 AM

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Suppose that a three-year FRN pays a six-month Libor plus 4% semi-annually. Currently, the six-month Libor is

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The discount margin DM is the spread over the reference rate that ma... View the full answer

Global Investments

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