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CR7 · 2022年07月02日

请问老师这三个比率分别指啥 公式是什么

NO.PZ2020021601000014

问题如下:

Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.

Paulinic gathers data on three national banks that meet initial selection criteria but require further review.

All of the national banks under consideration primarily make long- term loans and source a significant portion of their funding from retail deposits. Paulinic and the rest of the research team note that the central bank is unwinding a long period of monetary easing as evidenced by two recent increases in the overnight funding rate. Paulinic informs his supervisor that:

Statement 1 Given the recently reported stronger- than- anticipated macroeconomic data, there is an imminent risk that the yield curve will invert.

Statement 2 N- bank is very active in the 30- day reverse repurchase agreement market during times when the bank experiences significant increases in retail deposits.

Based on Statement 2, the financial ratio most directly affected is the:

选项:

A.

Tier 2 capital ratio.

B.

net stable funding ratio.

C.

liquidity coverage ratio.

解释:

C is correct.

Reverse repurchase agreements represent collateralized loans between a bank and a borrower. A reverse repo with a 30- day maturity is a highly liquid asset and thus would directly affect the liquidity coverage ratio (LCR). LCR evaluates short- term liquidity and represents the percentage of a bank’s expected cash outflows in relation to highly liquid assets.

请问老师这三个比率分别指啥 公式是什么

1 个答案
已采纳答案

袁园_品职助教 · 2022年07月03日

嗨,努力学习的PZer你好:


net stable funding ratio 和liquidity coverage ratio都是衡量流动性的指标:

liquidity coverage ratio衡量未来30天极端情况下预期的现金流出能否被高流动性资产所覆盖,所以这是个短期流动性的指标。

net stable funding ratio是衡量长期流动性指标,是稳定的可用的长期资金来源能否覆盖长期需要的资金。

Tier 2 capital ratio= Tier 2 Capital/Total Risk-Weighted Assets.tier 2包括Subordinated, minimum maturity of five years and other requirements。

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