TRS和CLN的选择-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2020033003000088问题如下 Kiwi Bank wants to get a position of high-yielloans exposure without rectly purchase the loans. Kiwi Bank ’s asset management teinten to invest US $ 50 million with a leverage ratio of 5. If these loans earns Libor plus 4% sprea anthe counterparty requires Libor plus 2% sprea anthe yielof treasury bon collateris 3%. The Kiwi Bank's asset management teis most likely to choose whiof the following transactions, anhow mureturn cthis transaction obtain? Transaction returnTotreturn sw 13%Asset-backecret-linkenote 13%C.Totreturn sw 25%Asset-backecret-linkenote 25% B is correct.考点Cret-LinkeNotes解析这里涉及杠杆和利差的话，用CLN更合适。银行赚的部分是抵押的国债的收益50million*3%=1.5million 和利差的收益。利差的收益来自总的敞口的本金，因为抵押品是50million，结合五倍杠杆，得到总的贷款敞口是250million这250million获得的是4%-2%的利差，即5million。总收益就是5+1.5=6.5million。本金是50million，所以收益率是13%。此外，不是抵押200吗？根据讲义，为何成了抵押50？跟书上讲义不符？谢谢

2023-09-25 22:09 1 · 回答

NO.PZ2020033003000088 问题如下 Kiwi Bank wants to get a position of high-yielloans exposure without rectly purchase the loans. Kiwi Bank ’s asset management teinten to invest US $ 50 million with a leverage ratio of 5. If these loans earns Libor plus 4% sprea anthe counterparty requires Libor plus 2% sprea anthe yielof treasury bon collateris 3%. The Kiwi Bank's asset management teis most likely to choose whiof the following transactions, anhow mureturn cthis transaction obtain? Transaction return Totreturn sw 13% Asset-backecret-linkenote 13% C.Totreturn sw 25% Asset-backecret-linkenote 25% B is correct.考点Cret-LinkeNotes解析这里涉及杠杆和利差的话，用CLN更合适。银行赚的部分是抵押的国债的收益50million*3%=1.5million 和利差的收益。利差的收益来自总的敞口的本金，因为抵押品是50million，结合五倍杠杆，得到总的贷款敞口是250million这250million获得的是4%-2%的利差，即5million。总收益就是5+1.5=6.5million。本金是50million，所以收益率是13%。老师银一般不是说collateral的收益还是会还给支付抵押品的那一方吗？那这道题银行怎么赚的抵押品利息？（50million*3%=1.5million ）利差的收益是4%-2%的利差，是因为银行收到L+4%支付L+2%,所以净头寸的收益是2%吗？

2023-07-20 14:48 1 · 回答

NO.PZ2020033003000088 问题如下 Kiwi Bank wants to get a position of high-yielloans exposure without rectly purchase the loans. Kiwi Bank ’s asset management teinten to invest US $ 50 million with a leverage ratio of 5. If these loans earns Libor plus 4% sprea anthe counterparty requires Libor plus 2% sprea anthe yielof treasury bon collateris 3%. The Kiwi Bank's asset management teis most likely to choose whiof the following transactions, anhow mureturn cthis transaction obtain? Transaction return Totreturn sw 13% Asset-backecret-linkenote 13% C.Totreturn sw 25% Asset-backecret-linkenote 25% B is correct.考点Cret-LinkeNotes解析这里涉及杠杆和利差的话，用CLN更合适。银行赚的部分是抵押的国债的收益50million*3%=1.5million 和利差的收益。利差的收益来自总的敞口的本金，因为抵押品是50million，结合五倍杠杆，得到总的贷款敞口是250million这250million获得的是4%-2%的利差，即5million。总收益就是5+1.5=6.5million。本金是50million，所以收益率是13%。这道题为什么collateral的收益不会因为杠杆放大收益呢？就是50million*5*3%

2022-11-03 22:04 1 · 回答

NO.PZ2020033003000088问题如下 Kiwi Bank wants to get a position of high-yielloans exposure without rectly purchase the loans. Kiwi Bank ’s asset management teinten to invest US $ 50 million with a leverage ratio of 5. If these loans earns Libor plus 4% sprea anthe counterparty requires Libor plus 2% sprea anthe yielof treasury bon collateris 3%. The Kiwi Bank's asset management teis most likely to choose whiof the following transactions, anhow mureturn cthis transaction obtain? Transaction return Totreturn sw 13% Asset-backecret-linkenote 13% C.Totreturn sw 25% Asset-backecret-linkenote 25% B is correct.考点Cret-LinkeNotes解析这里涉及杠杆和利差的话，用CLN更合适。银行赚的部分是抵押的国债的收益50million*3%=1.5million 和利差的收益。利差的收益来自总的敞口的本金，因为抵押品是50million，结合五倍杠杆，得到总的贷款敞口是250million这250million获得的是4%-2%的利差，即5million。总收益就是5+1.5=6.5million。本金是50million，所以收益率是13%。 RT

2022-03-28 22:17 1 · 回答

TRS和CLN的选择

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