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shangc · 2024年05月11日

题目看不懂,能不能用中文通篇解释下呢

NO.PZ2024050101000103

问题如下:

A senior risk analyst at VLT Bank (VLTB), a Singapore-based bank, is analyzing the risks arising from a significant appreciation of the SGD against all other major world currencies. VLTB has the following balance sheet structure:

Assets:

Ÿ Germany government bonds denominated in EUR

Ÿ Singapore government bonds denominated in SGD

Ÿ Corporate bonds denominated in EUR

Ÿ Commercial loans denominated in SGD

Liabilities:

Ÿ Long-term senior bonds denominated in EUR

Ÿ Long-term senior bonds denominated in SGD

Ÿ Retail deposits denominated in SGD

Ÿ Corporate term deposits denominated in SGD

The analyst considers other recent market developments, including a decline in global equity prices, which resulted in many of VLTBs larger retail depositors experiencing margin calls and drawing down deposits to meet them. The analyst notes that the bank took advantage of the demand for fixed-income securities and issued additional long-term senior SGD bonds and the proceed was used to purchase additional Germany government bonds. The overall impact of these transactions on VLTB is that the banks net cash outflows during the month, its overall net liabilities flow, and the required amount of stable funding, remain unchanged. The following additional information is provided:

The available stable funding (ASF) factor for retail deposits is 95%.

The ASF factor for long-term senior SGD bonds is 100%.

The analyst also assesses the banks exposure to ConSol Corp, a publicly traded Singapore manufacturer that is heavily dependent on locally produced raw materials and generates its revenues primarily in EUR. VLTB is a major holder of ConSol Corps EUR-denominated bonds and has taken a long CDS position on the bonds. A German bank is the counterparty to that CDS contract.

In analyzing the impact of the reported developments in the currency, equity, and bond markets on VLTB, which of the following is correct?

选项:

A.

VLTBs CDS position will increase in value

B.

VLTBs net stable funding ratio will decrease

C.

VLTBs right-way risk with the German bank will increase

D.

VLTBs liquidity coverage ratio will decrease

解释:

A is correct. ConSol Corp’s currency risk has increased (due to appreciation of SGD against major currencies, ConSol Corp is reliant on EUR revenue), has EUR debt payments due, which most likely increases ConSol Corp’s CDS spread. Thus, the value of the CDS from the perspective of ConSol Corp will increase.

B is incorrect. The shift in the demand deposit base from retail deposits (with available stable funding (ASF) factor of 95%) to long-term senior bonds (with ASF factor of 100%) would lead to a higher available amount of stable funding (numerator of the net stable funding ratio (NSFR) formula) than before, thereby increasing the NSFR. The denominator (the required amount of stable funding) is reported to be unchanged.

C is incorrect. VLTB has a wrong-way risk (not right-way risk) with the German bank since VLTB’s CDS exposure is increasing (due to ConSol Corp’s condition) as the credit quality of German bank is most likely decreasing (weaker EUR against SGD, and declining equity prices).

D is incorrect. The LCR, defined as HQLA/net CF in 30-day period, will increase since the denominator is unchanged (given) and the numerator increases since additional sovereign securities (Germany government bonds) with no haircuts (compared to lost deposits, with haircuts) have been added.

题干信息量大,涉及知识点多,针对这类题目,怎样做题思路呢?

帮忙用中文解释下题干和选项,谢谢!

1 个答案
已采纳答案

pzqa27 · 2024年05月12日

嗨,爱思考的PZer你好:


这个题看着多,实际上根据选项判断下很快就能做完。

这个题说有个VLTB银行的分析师想看下新加坡货币升值带来的风险,然后给了一个资产负债表。

然后告诉我们目前的情况的是:

1.股价在下跌,VLTB的客户需要取钱去交保证金。

2. 这家银行发行了长期新加坡元的债券,用于购买德国政府债券,但是该银行当月的净现金流出量、总体净负债流量和RSF总量保持不变。

3.零售端的ASF factor 是95%, 长期的ASF factor是100%。

4.VLTB 是 ConSol 公司欧元债券的主要持有者,并持有该债券的 CDS 多头头寸。一家德国银行是该 CDS 合同的对手方。

然后题目问我们哪个选项是对的,那就一个一个判断好了。


A说的是VLTB 的 CDS 仓位将增值,根据第四条,VLTB是CDS的long方,标的物是ConSol 公司欧元债券,题目一开始就指出,新加坡元是升值的,因此欧元相对新加坡元贬值,所以对于ConSol 这家公司来说,还债压力变大,更有可能违约,所以VLTB的CDS价值上升。因此选A。


B说的是VLTB的NSFR下降。 NSFR=ASF/RSF,根据第二条,RSF保持不变,所以主要分析下分子变化就可以了,ASF取决于存款和长期债。目前银行的客户是把存款取出来,所以存款在下降,但是银行发行了长期债,这个时候就要看第三条,存款的factor是95%,而长期债的factor是100%,因此长期债所带来的ASF的提升是高于存款带来的ASF的下降的,因此B不对,NAFR是上升才对。



C说的是VLTB和德国银行的right-way risk 会上升。跟德国银行的头寸是long CDS, long CDS的一方应该是wrong way risk 才对,所以C不对。


D说的是VLTB的LCR下降,LCR=HQLA(high quality liquidity asset)/30天的net cash outflow。 根据第二条,当月净现金流出不变,所以分母不变,分析下分子就可以了,没有钱这个VLTB银行买入了德国国债,所以HQLA是上升的才对,因此D不对。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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