Since Eurodollar interest rate futures are quoted at 100 minus the interest rate as the futures price (bonds are generally calculated at the face value of each bond 100 yuan), the interest rate futures price corresponding to 8% interest rate is 92, 7% interest rate is 93, and 9% interest rate is 9 1.

The contract value of three-month Eurodollar interest rate futures is US$ 6.5438+0 million (equivalent to the face value of US$ 6.5438+0 million bonds), and an interest rate futures option can just cover the interest rate risk of corporate loans of US$ 6.5438+0 million.

When the interest rate rises to 9% in September, the interest rate futures put option contract is executed, and the exercise value of the option contract is (92-91) *10000 * (3/ 12) = 2500 USD (Note: 3/12 in the formula represents After deducting the option fee, it actually made a profit of $2250 from the option contract.

When the interest rate dropped to 7% in September, if the interest rate futures put option contract was not executed, the loss was $250.

In fact, the company locked the relevant borrowing cost through the interest rate futures put option, and locked the cost at an interest rate not higher than 8. 1%.