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大喜妹妹 · 2021年08月10日

请问为什么collateral的return(3%)不归counter party 而是归银行呢？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000088

问题如下：

Kiwi Bank wants to get a position of high-yield loans exposure without directly purchase the loans. Kiwi Bank ’s asset management team intends to invest US $ 50 million with a leverage ratio of 5. If these loans earns Libor plus 4% spread, and the counterparty requires Libor plus 2% spread, and the yield of treasury bonds as collateral is 3%. The Kiwi Bank's asset management team is most likely to choose which of the following transactions, and how much return can this transaction obtain?

选项：

Transaction
return
A.
Total return swap
13%
B.
Asset-backed credit-linked note
13%
C.
Total return swap
25%
D.
Asset-backed credit-linked note
25%

解释：

B is correct.

考点：Credit-Linked Notes

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%。

您好，基础班讲义413-414页都提到了collateral的return会归hedge fund/counter party。请问为什么题目把collateral treasury bond的3%算在了Kiwi bank的return里

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品职答疑小助手雍 · 2021年08月10日

嗨，努力学习的PZer你好：


这题里wiki bank就是投资方啊，也就是讲义里说的return会归到的那一方。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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