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:
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