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马杰 · 2022年08月05日

D为什么错？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000022

问题如下：

Which of the following statement about repurchase agreements is NOT correct?

选项：

A.

The purchases price for settlement is the original invoice price plus interest at the repo rate (implied interest) on the transaction.

B.

Lenders may initiate the reverse repo to borrow a bond and make profit through taking short positions.

C.

Only securities of the highest credit quality are typically accepted as collateral, and repo agreements often need haircuts.

D.

Repos are less stable than unsecured short-term borrowings because of high quality collateral.

解释：

考点：对Repurchase Agreements的理解

答案：D选项错误，本题选D

解析：

D选项描述错误，正确的表述为：Repos are more stable than unsecured short-term borrowings because of high quality collateral.


强化班讲义说repo就是less stable. D为什么错？less stable是说交易体量不稳定，可能这一期做了，下一期就不做了，对么？

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1 个答案

李坏_品职助教 · 2022年08月06日

嗨，爱思考的PZer你好：


可以看一下基础班讲义P70：

repo的less stable是因为repo的借款人一般都是隔夜先偿付之后，再展期，一旦市场利率发生变化，投资者没办法及时更改之前的repo合同利率。



至于题目里面的D项，可以参考基础班讲义P69，意思是repo和无抵押的短期借贷相比，是更稳定的融资来源。但是比equity要less stable。强化班讲义没写全：


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