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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?

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

1 个答案

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。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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