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郎布斯吃苹果 · 2022年08月02日

本题我的理解是否正确?如下

NO.PZ2017121101000006

问题如下:

The CIO of a Canadian private equity company wants to lock in the interest on a three-month “bridge” loan his firm will take out in six months to complete an LBO deal. He sells the relevant interest rate futures contracts at 98.05. In six-months’ time, he initiates the loan at 2.70% and unwinds the hedge at 97.30. The effective interest rate on the loan is:

选项:

A.

0.75%.

B.

1.95%.

C.

2.70%.

解释:

B is correct.

The CIO sells the relevant interest rate future contracts at 98.05, locking in a forward rate of 1.95% (= 100 – 98.05). After six months, the CIO initiates the bridge loan at a rate of 2.70%, but he unwinds the hedge at the lower futures price of 97.30, thus gaining 75 bps (= 98.05 – 97.30). The effective interest rate on the loan is 1.95% (= 2.70% – 0.75%).

中文解析:一个CIO一开始签订了一个期货合约,锁定了借款利率是1.95%100-98.05),后来他又通过签订另一个期货合约锁定了自己将钱借出去时的利率是2.7%100-97.3),于是在这一对期货合约上,他收益是2.7%-1.95%=75bps.到了六个月的时候,这个人是在市场上以2.7%的利率借的钱(he initiates the loan at 2.7%,所以期货头寸赚了75bps,借钱付出2.7%,等效借款利率就是1.95%了。

第一次借钱:锁定98.5借钱,后来unwind最终以97.3借钱,赚了25bp。

第二次借钱,锁定2.7%借款利率

盈利:用第一次收益25bp去冲减了2.7%的成本


另外,第一次借钱实际利率是否是按照unwind来确认(重新设定利率)?

1 个答案

Hertz_品职助教 · 2022年08月03日

嗨,努力学习的PZer你好:


同学你好

有些问题。

注意第一次借钱(把钱借进来)锁定的利率是1.95%, 因为利率期货的价格是98.05。

这是利率期货的报价特点,即价格=100-利率(不加百分号)→ 所以期货合约锁定的利率 = 100- 期货价格,对应本题就是100-98.05=1.95.

所以锁定的利率是1.95%。

注意不是同学说的锁定98.5;同理后来平仓平掉之前的期货合约锁定把钱借出去的利率是2.7%(100-97.3),unwind可以理解为平仓,结束掉原来期货合约的意思。

所以在期货头寸上赚取了75bp;

然后减掉在现货市场的借款利率2.7%;就得到等效的借款利率了。

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