26
Subject:FinancePrice: Bought3
26.1 The tawarruq may expose the IFI to various types of risks, such as market, liquidity, credit and operational risks. These risks, which appear at various stages of transactions, may change in nature that may necessitate the establishment of a comprehensive and sound risk management infrastructure, reporting and control framework.
Source: Tawaruq Bank Negara Malaysia (BNM) Guideline 2018
Based on the above statement, answer the following questions:
b) BBB Corporate J received a $100 million Tawarruq facility. At the Probability of Default (PD) of 5%, the outstanding facility is $70 million upon default. Find Expected Loss given financing to value ratio (FTV) = 2. (5 marks)
