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开泰-王飞 · 2023年06月25日

为何sell一个利率相当于借钱？

  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。

怎么理解？

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1 个答案

pzqa31 · 2023年06月26日

嗨，努力学习的PZer你好：


本题涉及的Interest rate futures，其标的是利率，报价形式是是100-利率水平。所以当担心利率上升，根据其报价形式即在担心对应的futures价格下跌，所以就sell interest rate futures.

然后我们再一起理一下这道题哈~

1.这个CIO想在6个月后借一笔钱，借款期限是3个月。

2.他担心6个月后利率上涨，借钱的成本增加→于是他在此刻签订了一份期货合约，锁定了将来的借款利率是1.95%。（担心利率上涨即担心interest rate futures下跌，所以是sell interest rate futures，interest rate futures的价格与利率呈反向变动的关系 ）

3.但是不知何原因，他在6个月的时候没有按照锁定的利率借钱，直接在市场上按照2.7%借的钱。

4.所以之前的期货合约用不上了就要平仓平掉。

5.因此在一对期货合约上，他收益是2.7%-1.95%=75bps，借钱付出2.7%。等效借款利率就是1.95%了

----------------------------------------------
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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