Cost of zero coupon bond

Structured Products can provide risk management solutions by combining a capital repayment instrument (e.g. a note or zero coupon bond) with derivatives. Bonds or notes are utilised to control the capital repayment element. Derivatives such as options, futures and swaps are employed to create cash flows and manage deliverables for whichever direction the market moves to achieve the predefined return stipulated in the product terms.

Factors such as time and interest rates have an effect on the cost of the bond and the below table illustrates the impact.

Rate/year	1	1.5	2	2.5	3	3.5	4	4.5	5	5.5	6	6.5	7	7.5	8	8.5	9	9.5	10
0.25%	£99.75	£99.63	£99.50	£99.38	£99.25	£99.13	£99.01	£98.88	£98.76	£98.64	£98.51	£98.39	£98.27	£98.14	£98.02	£97.90	£97.78	£97.66	£97.53
0.50%	£99.50	£99.25	£99.01	£98.76	£98.51	£98.27	£98.02	£97.78	£97.54	£97.29	£97.05	£96.81	£96.57	£96.33	£96.09	£95.85	£95.61	£95.37	£95.13
0.75%	£99.26	£98.89	£98.52	£98.15	£97.78	£97.42	£97.06	£96.69	£96.33	£95.97	£95.62	£95.26	£94.90	£94.55	£94.20	£93.85	£93.50	£93.15	£92.80
1.00%	£99.01	£98.52	£98.03	£97.54	£97.06	£96.58	£96.10	£95.62	£95.15	£94.67	£94.20	£93.74	£93.27	£92.81	£92.35	£91.89	£91.43	£90.98	£90.53
1.25%	£98.77	£98.15	£97.55	£96.94	£96.34	£95.75	£95.15	£94.56	£93.98	£93.40	£92.82	£92.24	£91.67	£91.10	£90.54	£89.98	£89.42	£88.87	£88.32
1.50%	£98.52	£97.79	£97.07	£96.35	£95.63	£94.92	£94.22	£93.52	£92.83	£92.14	£91.45	£90.78	£90.10	£89.43	£88.77	£88.11	£87.46	£86.81	£86.17
1.75%	£98.28	£97.43	£96.59	£95.76	£94.93	£94.11	£93.30	£92.49	£91.69	£90.90	£90.11	£89.34	£88.56	£87.80	£87.04	£86.29	£85.54	£84.81	£84.07
2.00%	£98.04	£97.07	£96.12	£95.17	£94.23	£93.30	£92.38	£91.47	£90.57	£89.68	£88.80	£87.92	£87.06	£86.20	£85.35	£84.51	£83.68	£82.85	£82.03
2.25%	£97.80	£96.72	£95.65	£94.59	£93.54	£92.51	£91.48	£90.47	£89.47	£88.48	£87.50	£86.53	£85.58	£84.63	£83.69	£82.77	£81.85	£80.95	£80.05
2.50%	£97.56	£96.36	£95.18	£94.01	£92.86	£91.72	£90.60	£89.48	£88.39	£87.30	£86.23	£85.17	£84.13	£83.09	£82.07	£81.07	£80.07	£79.09	£78.12
2.75%	£97.32	£96.01	£94.72	£93.44	£92.18	£90.94	£89.72	£88.51	£87.32	£86.14	£84.98	£83.83	£82.70	£81.59	£80.49	£79.41	£78.34	£77.28	£76.24
3.00%	£97.09	£95.66	£94.26	£92.88	£91.51	£90.17	£88.85	£87.55	£86.26	£85.00	£83.75	£82.52	£81.31	£80.12	£78.94	£77.78	£76.64	£75.52	£74.41
3.25%	£96.85	£95.32	£93.80	£92.32	£90.85	£89.41	£87.99	£86.60	£85.22	£83.87	£82.54	£81.23	£79.94	£78.67	£77.42	£76.20	£74.99	£73.80	£72.63
3.50%	£96.62	£94.97	£93.35	£91.76	£90.19	£88.66	£87.14	£85.66	£84.20	£82.76	£81.35	£79.96	£78.60	£77.26	£75.94	£74.65	£73.37	£72.12	£70.89
3.75%	£96.39	£94.63	£92.90	£91.21	£89.54	£87.91	£86.31	£84.73	£83.19	£81.67	£80.18	£78.72	£77.28	£75.87	£74.49	£73.13	£71.80	£70.49	£69.20
4.00%	£96.15	£94.29	£92.46	£90.66	£88.90	£87.17	£85.48	£83.82	£82.19	£80.60	£79.03	£77.50	£75.99	£74.52	£73.07	£71.65	£70.26	£68.89	£67.56
4.25%	£95.92	£93.95	£92.01	£90.12	£88.26	£86.44	£84.66	£82.92	£81.21	£79.54	£77.90	£76.30	£74.73	£73.19	£71.68	£70.20	£68.76	£67.34	£65.95
4.50%	£95.69	£93.61	£91.57	£89.58	£87.63	£85.72	£83.86	£82.03	£80.25	£78.50	£76.79	£75.12	£73.48	£71.88	£70.32	£68.79	£67.29	£65.83	£64.39
4.75%	£95.47	£93.28	£91.14	£89.05	£87.00	£85.01	£83.06	£81.15	£79.29	£77.47	£75.70	£73.96	£72.26	£70.61	£68.99	£67.40	£65.86	£64.35	£62.87
5.00%	£95.24	£92.94	£90.70	£88.52	£86.38	£84.30	£82.27	£80.29	£78.35	£76.46	£74.62	£72.82	£71.07	£69.36	£67.68	£66.05	£64.46	£62.91	£61.39
5.25%	£95.01	£92.61	£90.27	£87.99	£85.77	£83.60	£81.49	£79.43	£77.43	£75.47	£73.56	£71.71	£69.89	£68.13	£66.41	£64.73	£63.10	£61.50	£59.95
5.50%	£94.79	£92.28	£89.85	£87.47	£85.16	£82.91	£80.72	£78.59	£76.51	£74.49	£72.52	£70.61	£68.74	£66.93	£65.16	£63.44	£61.76	£60.13	£58.54
5.75%	£94.56	£91.96	£89.42	£86.96	£84.56	£82.23	£79.96	£77.76	£75.61	£73.53	£71.50	£69.53	£67.61	£65.75	£63.94	£62.18	£60.46	£58.79	£57.17
6.00%	£94.34	£91.63	£89.00	£86.44	£83.96	£81.55	£79.21	£76.93	£74.73	£72.58	£70.50	£68.47	£66.51	£64.60	£62.74	£60.94	£59.19	£57.49	£55.84
6.25%	£94.12	£91.31	£88.58	£85.94	£83.37	£80.88	£78.47	£76.12	£73.85	£71.65	£69.51	£67.43	£65.42	£63.46	£61.57	£59.73	£57.95	£56.22	£54.54
6.50%	£93.90	£90.99	£88.17	£85.43	£82.78	£80.22	£77.73	£75.32	£72.99	£70.73	£68.53	£66.41	£64.35	£62.36	£60.42	£58.55	£56.74	£54.98	£53.27
6.75%	£93.68	£90.67	£87.75	£84.93	£82.20	£79.56	£77.01	£74.53	£72.14	£69.82	£67.58	£65.40	£63.30	£61.27	£59.30	£57.39	£55.55	£53.77	£52.04
7.00%	£93.46	£90.35	£87.34	£84.44	£81.63	£78.91	£76.29	£73.75	£71.30	£68.93	£66.63	£64.42	£62.27	£60.20	£58.20	£56.26	£54.39	£52.58	£50.83
7.25%	£93.24	£90.03	£86.94	£83.95	£81.06	£78.27	£75.58	£72.98	£70.47	£68.05	£65.71	£63.45	£61.27	£59.16	£57.12	£55.16	£53.26	£51.43	£49.66
7.50%	£93.02	£89.72	£86.53	£83.46	£80.50	£77.64	£74.88	£72.22	£69.66	£67.18	£64.80	£62.49	£60.28	£58.13	£56.07	£54.08	£52.16	£50.31	£48.52
7.75%	£92.81	£89.41	£86.13	£82.98	£79.94	£77.01	£74.19	£71.47	£68.85	£66.33	£63.90	£61.56	£59.30	£57.13	£55.04	£53.02	£51.08	£49.21	£47.41
8.00%	£92.59	£89.10	£85.73	£82.50	£79.38	£76.39	£73.50	£70.73	£68.06	£65.49	£63.02	£60.64	£58.35	£56.15	£54.03	£51.99	£50.02	£48.14	£46.32
8.25%	£92.38	£88.79	£85.34	£82.02	£78.83	£75.77	£72.83	£70.00	£67.28	£64.66	£62.15	£59.73	£57.41	£55.18	£53.04	£50.98	£48.99	£47.09	£45.26
8.50%	£92.17	£88.48	£84.95	£81.55	£78.29	£75.16	£72.16	£69.27	£66.50	£63.85	£61.29	£58.84	£56.49	£54.23	£52.07	£49.99	£47.99	£46.07	£44.23
8.75%	£91.95	£88.18	£84.56	£81.08	£77.75	£74.56	£71.50	£68.56	£65.74	£63.04	£60.45	£57.97	£55.59	£53.31	£51.12	£49.02	£47.00	£45.07	£43.22
9.00%	£91.74	£87.87	£84.17	£80.62	£77.22	£73.96	£70.84	£67.85	£64.99	£62.25	£59.63	£57.11	£54.70	£52.40	£50.19	£48.07	£46.04	£44.10	£42.24
9.25%	£91.53	£87.57	£83.78	£80.16	£76.69	£73.37	£70.20	£67.16	£64.25	£61.47	£58.81	£56.27	£53.83	£51.50	£49.28	£47.14	£45.10	£43.15	£41.28
9.50%	£91.32	£87.27	£83.40	£79.70	£76.17	£72.79	£69.56	£66.47	£63.52	£60.70	£58.01	£55.44	£52.98	£50.63	£48.38	£46.24	£44.18	£42.22	£40.35
9.75%	£91.12	£86.97	£83.02	£79.25	£75.65	£72.21	£68.93	£65.79	£62.80	£59.95	£57.22	£54.62	£52.14	£49.77	£47.51	£45.35	£43.29	£41.32	£39.44
10.00%	£90.91	£86.68	£82.64	£78.80	£75.13	£71.64	£68.30	£65.12	£62.09	£59.20	£56.45	£53.82	£51.32	£48.93	£46.65	£44.48	£42.41	£40.44	£38.55

 

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