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Spencer · 2023年01月09日

老师这一题能否只关注第一次借钱利率,因为第二次借钱已经平仓可以忽略

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。

老师这一题能否只关注第一次借钱利率,因为第二次借钱已经平仓可以忽略,这样理解可以吗?这题答案又碰巧等于第一次锁定的利率1.95%,所以会让我有这样的解题思路。


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%。


第二次借钱:

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。


3 个答案
已采纳答案

Hertz_品职助教 · 2023年01月11日

嗨,努力学习的PZer你好:


同学你好

he initiates the loan at 2.70%:说的是发起了一笔贷款,利率是2.7%。是在现货市场贷款;

unwinds the hedge at 97.30,才是说的是在期货市场进行平仓。

Unwind放松,解约的意思,在这里就是说的将最初的期货合约“解约”掉,就是平仓平掉,平仓需要新开一个合约,新合约锁定的利率是2.7%。

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努力的时光都是限量版,加油!

Hertz_品职助教 · 2023年01月11日

嗨,努力学习的PZer你好:


同学你好

我们可以这样画图来看,先看期货头寸:

注意借钱是支付利息,所以1.95%是支出的,向下箭头表示支出;

把钱借出去是收到利息,所以2.7%是收到的。向上箭头表示收到。

然后期货头寸研究完了,再来看这个人的净借款利率,如下:

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Hertz_品职助教 · 2023年01月10日

嗨,爱思考的PZer你好:


同学你好

不能的。

正如同学说的,这题只是因为数字凑巧而已哈。

要计算最后的有效借款利率,就是要分头寸来研究:

一是在期货头寸上(两个期货头寸)他的收益是多少;二是在现货市场借钱支付的利率是多少。

二者综合一下才能得到最后的有效借款利率哦~

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努力的时光都是限量版,加油!

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NO.PZ2017121101000006 问题如下 The CIO of a Canaprivate equity company wants to loin the interest on a three-month “brie” lohis firm will take out in six months to complete Lal. He sells the relevant interest rate futures contracts 98.05. In six-months’ time, he initiates the lo2.70% anunwin the hee 97.30. The effective interest rate on the lois: A.0.75%. B.1.95%. C.2.70%. B is correct. The CIO sells the relevant interest rate future contracts 98.05, locking in a forwarrate of 1.95% (= 100 – 98.05). After six months, the CIO initiates the brie loa rate of 2.70%, but he unwin the hee the lower futures priof 97.30, thus gaining 75 bps (= 98.05 – 97.30). The effective interest rate on the lois 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 lo2.7%),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。 1.“he initiates the lo2.7%”指他开展了一个借款,借款利率为2.7%;2.“unwin the hee 97.3”是指解除之前的借款,即现在将钱借出去,可以获得的利率为100-97.3=2.7,虽然都是2.7,但是概念不一样,对么?

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