NO.PZ2020033003000054
问题如下：
Assuming that the haircut of a sovereign bond is 10%, how much of this sovereign bond is required as collateral for an institution’s $10 million debt? If this institution uses $10million sovereign bond as collateral, how much is its corresponding debt?
选项：
A.$11.11million; $9million.
B.$9million; $11.11million.
C.$11.11million; $10million.
D.$10million; $9million.
解释：
A is correct.
考点：Impact of Collateral on Credit Exposure
解析：Haircut就是对抵押品打折扣，10%的haircut意味着1块钱的抵押品只能提供0.9块钱的担保能力。所以抵押品打9折的话要保障10million的贷款就要10/0.9的抵押品。10million的抵押品只能保障9million的贷款。
Assuming that the haircut of a sovereign bond is 10%,
1)how much of this sovereign bond is required as collateral for an institution’s $10 million debt? 如果要借出10m,不是应该要比10m价值更高的抵押物吗？
2)If this institution uses $10million sovereign bond as collateral, how much is its corresponding debt? 如果10m是collateral,他不是只能贷到0.9，也就是9m?
