开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Karsten · 2022年08月04日

借款成本

NO.PZ2022051904000006

问题如下:

In its quarterly policy and performance review, the investment team for the Peralandra University endowment identified a tactical allocation opportunity in international developed equities. The team also decided to implement a passive 1% overweight ($5 million notional value) position in the asset class. Implementation will occur by either using an MISC EAFE Index ETF in the cash market or the equivalent futures contract in the derivatives market.

The team determined that the unlevered cost of implementation is 27 basis points in the cash market (ETF) and 32 bps in the derivatives market (futures). This modest cost differential prompted a comparison of costs on a levered basis to preserve liquidity for upcoming capital commitments in the fund’s alternative investment asset classes. For the related analysis, the team’s assumptions are as follows:

  • Investment policy compliant at 3 times leverage
  • Investment horizon of one year
  • 3-month Libor of 1.8%
  • ETF borrowing cost of 3-month Libor plus 35 bps
Q. Recommend the most cost-effective strategy. Justify your response with calculations of the total levered cost of each implementation option.

选项:

解释:

Solution

As the lower cost alternative, the endowment’s investment team should implement the 1% overweight position using futures.

The additional cost of obtaining leverage for each option is as follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) and Futures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),

where the inputs are derived as follows:0.6667 reflects the 3 times leverage factor (66.67% borrowed and 33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), and 1.80% reflects the absence of investment income offset (at 3-month Libor) versus the unlevered cost of futures implementation.

The total levered cost of each option is the sum of the unlevered cost plus the additional cost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps and Futures: 32 bps + 120 bps = 152 bps.

This 18 bps cost advantage would make futures the appropriate choice for the endowment’s investment team.

为啥futures 用的借款成本是LIBOR,比ETF的借款成本低?

1 个答案

lynn_品职助教 · 2022年08月04日

嗨,努力学习的PZer你好:


这道题没有让我们判断,在题干中提供了这个团队对不同资产假设的信息啊。

至于原因,一个是目前市场中仍然是LIBOR为主导,因为与LIBOR挂钩的futures、swaps 是比较常见的,其次也就是最重要的看题干的假设,实务中也是这样的哈。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 428

    浏览
相关问题

NO.PZ2022051904000006 问题如下 In its quarterly polianperformanreview, the investment tefor the Peralana University enwment intifiea tacticallocation opportunity in internationvelopeequities. The tealso cito implement a passive 1% overweight ($5 million notionvalue) position in the asset class. Implementation will occur either using MISC EAFE Inx ETF in the cash market or the equivalent futures contrain the rivatives market. The tetermineththe unleverecost of implementation is 27 basis points in the cash market (ETF) an32 bps in the rivatives market (futures). This most cost fferentipromptea comparison of costs on a leverebasis to preserve liquity for upcoming capitcommitments in the funs alternative investment asset classes. For the relateanalysis, the team’s assumptions are follows: Investment policompliant 3 times leverage Investment horizon of one year 3-month Libor of 1.8% ETF borrowing cost of 3-month Libor plus 35 bps Q. Recommenthe most cost-effective strategy. Justify your response with calculations of the totleverecost of eaimplementation option. Solutionthe lower cost alternative, the enwment’s investment teshoulimplement the 1% overweight position using futures.The aitioncost of obtaining leverage for eaoption is follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) anFutures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),where the inputs are rivefollows:0.6667 reflects the 3 times leverage factor (66.67% borrowean33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), an1.80% reflects the absenof investment income offset (3-month Libor) versus the unleverecost of futures implementation.The totleverecost of eaoption is the sum of the unleverecost plus the aitioncost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps anFutures: 32 bps + 120 bps = 152 bps.This 18 bps cost aantage woulmake futures the appropriate choifor the enwment’s investment team. 为什么这里futures默认有借贷成本?我理解futures没有initicash outflow until settlement, 所以也不存在这个所谓的借贷成本。如果说cash ETF 要花1.67m的本金,futures是可以把这个1.67m去投资赚risk-free rate的,对他来说成本应该只有unleverecost partially offset interest income from investment of 1.67m.

2024-02-01 11:18 1 · 回答

NO.PZ2022051904000006 问题如下 In its quarterly polianperformanreview, the investment tefor the Peralana University enwment intifiea tacticallocation opportunity in internationvelopeequities. The tealso cito implement a passive 1% overweight ($5 million notionvalue) position in the asset class. Implementation will occur either using MISC EAFE Inx ETF in the cash market or the equivalent futures contrain the rivatives market. The tetermineththe unleverecost of implementation is 27 basis points in the cash market (ETF) an32 bps in the rivatives market (futures). This most cost fferentipromptea comparison of costs on a leverebasis to preserve liquity for upcoming capitcommitments in the funs alternative investment asset classes. For the relateanalysis, the team’s assumptions are follows: Investment policompliant 3 times leverage Investment horizon of one year 3-month Libor of 1.8% ETF borrowing cost of 3-month Libor plus 35 bps Q. Recommenthe most cost-effective strategy. Justify your response with calculations of the totleverecost of eaimplementation option. Solutionthe lower cost alternative, the enwment’s investment teshoulimplement the 1% overweight position using futures.The aitioncost of obtaining leverage for eaoption is follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) anFutures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),where the inputs are rivefollows:0.6667 reflects the 3 times leverage factor (66.67% borrowean33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), an1.80% reflects the absenof investment income offset (3-month Libor) versus the unleverecost of futures implementation.The totleverecost of eaoption is the sum of the unleverecost plus the aitioncost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps anFutures: 32 bps + 120 bps = 152 bps.This 18 bps cost aantage woulmake futures the appropriate choifor the enwment’s investment team. 这是机构投资者的题??咋完全看不懂

2024-01-13 23:26 1 · 回答

NO.PZ2022051904000006 问题如下 In its quarterly polianperformanreview, the investment tefor the Peralana University enwment intifiea tacticallocation opportunity in internationvelopeequities. The tealso cito implement a passive 1% overweight ($5 million notionvalue) position in the asset class. Implementation will occur either using MISC EAFE Inx ETF in the cash market or the equivalent futures contrain the rivatives market. The tetermineththe unleverecost of implementation is 27 basis points in the cash market (ETF) an32 bps in the rivatives market (futures). This most cost fferentipromptea comparison of costs on a leverebasis to preserve liquity for upcoming capitcommitments in the funs alternative investment asset classes. For the relateanalysis, the team’s assumptions are follows: Investment policompliant 3 times leverage Investment horizon of one year 3-month Libor of 1.8% ETF borrowing cost of 3-month Libor plus 35 bps Q. Recommenthe most cost-effective strategy. Justify your response with calculations of the totleverecost of eaimplementation option. Solutionthe lower cost alternative, the enwment’s investment teshoulimplement the 1% overweight position using futures.The aitioncost of obtaining leverage for eaoption is follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) anFutures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),where the inputs are rivefollows:0.6667 reflects the 3 times leverage factor (66.67% borrowean33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), an1.80% reflects the absenof investment income offset (3-month Libor) versus the unleverecost of futures implementation.The totleverecost of eaoption is the sum of the unleverecost plus the aitioncost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps anFutures: 32 bps + 120 bps = 152 bps.This 18 bps cost aantage woulmake futures the appropriate choifor the enwment’s investment team. 没有看过这个内容 考试会考吗?

2023-08-10 00:01 1 · 回答

NO.PZ2022051904000006 问题如下 In its quarterly polianperformanreview, the investment tefor the Peralana University enwment intifiea tacticallocation opportunity in internationvelopeequities. The tealso cito implement a passive 1% overweight ($5 million notionvalue) position in the asset class. Implementation will occur either using MISC EAFE Inx ETF in the cash market or the equivalent futures contrain the rivatives market. The tetermineththe unleverecost of implementation is 27 basis points in the cash market (ETF) an32 bps in the rivatives market (futures). This most cost fferentipromptea comparison of costs on a leverebasis to preserve liquity for upcoming capitcommitments in the funs alternative investment asset classes. For the relateanalysis, the team’s assumptions are follows: Investment policompliant 3 times leverage Investment horizon of one year 3-month Libor of 1.8% ETF borrowing cost of 3-month Libor plus 35 bps Q. Recommenthe most cost-effective strategy. Justify your response with calculations of the totleverecost of eaimplementation option. Solutionthe lower cost alternative, the enwment’s investment teshoulimplement the 1% overweight position using futures.The aitioncost of obtaining leverage for eaoption is follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) anFutures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),where the inputs are rivefollows:0.6667 reflects the 3 times leverage factor (66.67% borrowean33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), an1.80% reflects the absenof investment income offset (3-month Libor) versus the unleverecost of futures implementation.The totleverecost of eaoption is the sum of the unleverecost plus the aitioncost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps anFutures: 32 bps + 120 bps = 152 bps.This 18 bps cost aantage woulmake futures the appropriate choifor the enwment’s investment team. 是说我投入100sh,但实际买了300块的东西。所以其中有200块是借来的,所以杠杆率是2/3=0.6667%?我还有一种理解是投入100 cash,三倍杠杆就是借入300,所以一共买了400块东西,杠杆率为3/40.75%?

2023-06-06 08:27 2 · 回答

NO.PZ2022051904000006 问题如下 In its quarterly polianperformanreview, the investment tefor the Peralana University enwment intifiea tacticallocation opportunity in internationvelopeequities. The tealso cito implement a passive 1% overweight ($5 million notionvalue) position in the asset class. Implementation will occur either using MISC EAFE Inx ETF in the cash market or the equivalent futures contrain the rivatives market. The tetermineththe unleverecost of implementation is 27 basis points in the cash market (ETF) an32 bps in the rivatives market (futures). This most cost fferentipromptea comparison of costs on a leverebasis to preserve liquity for upcoming capitcommitments in the funs alternative investment asset classes. For the relateanalysis, the team’s assumptions are follows: Investment policompliant 3 times leverage Investment horizon of one year 3-month Libor of 1.8% ETF borrowing cost of 3-month Libor plus 35 bps Q. Recommenthe most cost-effective strategy. Justify your response with calculations of the totleverecost of eaimplementation option. Solutionthe lower cost alternative, the enwment’s investment teshoulimplement the 1% overweight position using futures.The aitioncost of obtaining leverage for eaoption is follows:ETF: ($5 million × 0.6667 × 2.15%) / $5 million = 1.43% (or 143 bps) anFutures: ($5 million × 0.6667 × 1.80%) / $5 million = 1.20% (or 120 bps),where the inputs are rivefollows:0.6667 reflects the 3 times leverage factor (66.67% borrowean33.33% cash usage), 2.15% reflects the ETF borrowing rate (3-month Libor of 1.80% + 35 bps), an1.80% reflects the absenof investment income offset (3-month Libor) versus the unleverecost of futures implementation.The totleverecost of eaoption is the sum of the unleverecost plus the aitioncost of obtaining leverage:ETF: 27 bps + 143 bps = 170 bps anFutures: 32 bps + 120 bps = 152 bps.This 18 bps cost aantage woulmake futures the appropriate choifor the enwment’s investment team. 这道题没看懂,请问有讲解视频吗?

2023-03-07 21:35 1 · 回答