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梦梦 · 2025年05月16日

有一个地方不明白

NO.PZ2024042601000089

问题如下:

An investment bank has a one-way credit support annex (CSA) on a bilateral transaction with a hedge fund counterparty. Under the terms of the CSA, the mark-to-market value of the transaction forms the basis of the hedge fund’s collateral requirements, which are provided below:

Assuming the net exposure increases to CNY 27,000,000 and the mark-to-market value of collateral posted has not changed, how much additional collateral will the hedge fund have to post

选项:

A.

CNY 0

B.

CNY 1,990,000

C.

CNY 2,000,000

D.

CNY 2,500,000

解释:

Additional collateral (C) required for posting can be explained from the mark-to-market value of collateral posted (X), mark-to-market value of net exposure (E), the threshold (K), and the minimum transfer amount (MTA) as follows:
(i) Collateral call (C) can be made if: E > (K + MTA + X)
(ii) The collateral amount required: C = E – K – X, and the amount is positive if (E – K – X) > MTA, otherwise it is zero. In this example:

(K + MTA + X) = 14,000,000+2,500,000+10,800,000 = 27,300,00 > E = 27,000,000 which corresponds to no collateral call. Thus, A is correct.

B is incorrect. CNY 1,990,000 = new exposure – original exposure – rounding amount = 27,000,000 – 25,000,000 – 10,000, which is incorrect.

C is incorrect. CNY 2,000,000 is the difference between the new net exposure and the original net exposure (= 27,000,000 – 25,000,000 = CNY 2,000,000).

D is incorrect. CNY 2,500,000 is the minimum transfer amount.

老师好,现在以后的抵押品1080到底包括最低转移吗?

1 个答案

pzqa27 · 2025年05月16日

嗨,努力学习的PZer你好:


不包含,现在的抵押品跟最低转移之间没有什么关系,请不要杂糅在一起。

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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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