讲下A

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 VLTB’s 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 bank’s 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 bank’s 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 Corp’s 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.

VLTB’s CDS position will increase in value

B.

VLTB’s net stable funding ratio will decrease

C.

VLTB’s right-way risk with the German bank will increase

D.

VLTB’s 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.