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廖廖酱 · 2023年03月20日

请教一个问题

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.

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.

老师您好,题目是想问STATEMENT2 这个情况最直接影响那个金融比率是吗?请问下STATEMENT2表述是是否是当银行的零售储户的存款大幅增加时候 N银行在30天的回购协议市场上非常活跃?没太懂要怎么理解这个题目。

1 个答案
已采纳答案

王园圆_品职助教 · 2023年03月21日

嗨,从没放弃的小努力你好:


同学你好,statement 2的意思是“当银行的零售存款大幅增加的时候,N-银行在30天逆回购协议市场中非常活跃。”

30天逆回购市场,回购相当于银行的融资行为,而逆回购就是银行的放贷行为,相当于是银行增加购买了很多30天到期的短期债券——银行的短期高质量资产大幅增加

对应的是以下讲义截图中的第一个公式——分子大幅增加,银行的LCR就会显著的改善——C正确

B说的是截图中第二个公式,但是30天的逆回购属于短期资产,而NSFR衡量的是银行长期资金来源的稳健程度的,和说法2无关,所以B错

A选线说的Tier 2 capital ratioCFA二级中根本没有这个指标,所以是题目凑选项的,不能选


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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