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。
老师这个CIO是不是干了三件事？ 1. “He sells the relevant interest rate futures contracts at 98.05”，意思是签订了一个期货合约，锁定了借款利率是1.95%（100-98.05），是向别人借钱把钱借进来，那对应的是要付出利息，付出按照1.95%计算的利息，所以叫做sell interest rate futures. 2. “unwinds the hedge at 97.30”，你理解的是对的，是要平仓掉上面的这个futures。因为他已经在现货市场上借了钱，不需要之前那个合约来锁定借款利率了。所以需要平仓平掉，因此这次的合约是锁定自己将钱借出去时收到的利率是2.7%（100-97.3）。这样来进行平仓，同时还赚了2.7%-1.95%=75bps。 3.到了6个月的时候他在现货市场上以2.7%利率借款，与之前两个futures的收益75bp相减得到effective rate
