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Mr.陈 · 2022年10月06日

借款成本是3个月的libor加上BP，但是需要的investment horizon是一年，总成本为什么不需要加权呢？

  1. CFA III
  2. 机构IPS

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.

问题一：借款成本是3个月的libor加上BP，但是需要的investment horizon是一年，总成本为什么不需要加权呢？

问题二：购买Futures的成本是libor？这是为什么呢？

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1 个答案

lynn_品职助教 · 2022年10月08日

嗨，爱思考的PZer你好：


问题一：借款成本是3个月的libor加上BP，但是需要的investment horizon是一年，总成本为什么不需要加权呢？


因为题干中只是用libor+BP来定价，不是我们以前算futures时用到的年化利率的概念。这道题的计算还是非常直来直去的，不过题目出得不太严谨，这几道机构IPS case的课后题都有这样的毛病，协会的目的是借助case题目，讲一个知识点。


问题二：购买Futures的成本是libor？这是为什么呢？


一般interest rate futures的标的就是短期利率，目前市场中仍然是LIBOR为主导，所以与LIBOR挂钩的futures、swaps 是比较常见的，比如Eurodollar futures就是基于90天的libor来报价。


其次也就是最重要的看题干的假设，题干中给出了futures和ETF的借款成本，当然这个其实与实务中也是相符的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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