NO.PZ2024050101000103
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：
英文解析：
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.
中文解析：
A正确。ConSol公司的货币风险上升（由于新加坡元相对于主要货币升值，而ConSol公司依赖欧元收入），且有欧元债务到期，这很可能会提高ConSol公司的信用违约互换（CDS）利差。因此，从ConSol公司的角度来看，CDS的价值将会增加。
B错误。需求存款基础从零售存款（可用稳定资金（ASF）系数为95%）转向长期优先债券（ASF系数为100%），将导致可用稳定资金数额（净稳定资金比率（NSFR）公式的分子）比以前更高，从而提高NSFR。而分母（所需稳定资金数额）据报告保持不变。
C错误。VLTB与德国银行存在错向风险（而非正向风险），因为随着德国银行的信用质量很可能下降（欧元兑新加坡元走弱，股价下跌），VLTB的CDS风险敞口在增加（由于ConSol公司的状况）。
D错误。流动性覆盖率（LCR）定义为30天内高质量流动资产（HQLA）除以净现金流量（net CF），将会提高，因为分母不变（给定条件），而分子增加，原因是增加了无折扣的主权证券（德国政府债券）（与有折扣的流失存款相比）。
老师我看不懂B选项
别的老师回答 ”B说的是VLTB的NSFR下降。 NSFR=ASF/RSF，根据第二条，RSF保持不变，所以主要分析下分子变化就可以了，ASF取决于存款和长期债。目前银行的客户是把存款取出来，所以存款在下降，但是银行发行了长期债，这个时候就要看第三条，存款的factor是95%，而长期债的factor是100%，因此长期债所带来的ASF的提升是高于存款带来的ASF的下降的，因此B不对，NAFR是上升才对。“
我明白分母不变，从哪能看出来分子的ASF增加了呢？这个95%和100%是怎么用的呢？谢谢