Bond Valuation

CFA Level II Fixed Income
#1

How would you value the below bond? What would the coupon rate be as I don’t know what Libor is? Bond is floating rate.

2.6865%

2.0908%

.5430% 2.2893%

1.7817%

1.9508%

3 year floating rate note issued

Coupon: Annual Coupon based on 12-month Libor +320 bps

Cap: 5.4%

Term: 3 years

#2

The coupon is the libor rate + 3.2%, capped at 5.4%.

Libor is your tree rates.

Each leg has a different coupon unless you hit the cap.