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Richard ZHANG · 2023年01月12日

为什么一开始要sell interest rates futures

  1. CFA III
  2. Derivative

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，不太懂这个原理，一开始我想锁定利率，为什么要sell futures？

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1 个答案

Hertz_品职助教 · 2023年01月12日

嗨，努力学习的PZer你好：


同学你好

我们需要来回忆一下Interest rate futures利率期货，利率期货的标的是利率。

另外补充一点Eurodollar futures它的标的是短期债券。但其实Eurodollar futures本质也是interest rate futures，所以其标的也可以认为是利率。

不论是Eurodollar future还是一般的interest rate futures其报价形式都是100-利率的形式，因此当利率上升的时候，其报价是降低的。或者可以说担心利率上升 →即担心利率期货下跌→所以 sell interest rate futures/Eurodollar futures。

本题中这个CIO是想借钱的，借钱所以担心利率上升，因此就sell interest rate futures。

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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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