题目
A company plans to borrow $3.0 million for three months starting in one year. The Eurodollar futures contract that matures in one year has a quoted price of 98.00 and the company wants to (net) effectively lock-in this 2.0% LIBOR interest rate. At the end of one year, LIBOR increases to 3.0%. The company’s borrowing (at the higher 3.0% LIBOR) will increase but will be hedged by the gain on the Eurodollar futures contract. What is the futures trade and what is the gain on the futures contract only?
选项
A.Long one contract for a gain of $2,500
B.Long three contracts for a gain of $7,500
C.Short one contract for a gain of $2,500
D.Short three contracts for a gain of $7,500
答案
D
解析
As each contract is for $1,000,000 and the borrower wants to hedge against an increase in the LIBOR, the company should short three contracts. (an increase in the interest rate implies a decrease in the quoted price such that the short position gains on an increase in the interest rate). As each contract, by design, gains/losses $25 per basis point, a 100 basis point increase implies $2,500 per contract, or $7,500 for three contracts. 由于每份欧洲美元期货合约的价格为100万美元，且借款人希望对冲伦敦银行间同业拆借利率(LIBOR)的上升，公司应做空三份合约。(利率的上升意味着报价的下降，这样做空头寸就能从利率的上升中获利)。按照设计，每份合约每基点的损益为25美元，100基点的增幅意味着每份合约2500美元，或三份合约7500美元。