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%.
1.95%.
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。
老师您好~ sells the relevant interest rate futures contracts at 98.05,没有说是Eurodoller的报价,是怎么得出借款利率是1.95的……我是按照折现去算的,发现没有答案。