NO.PZ2020042003000061
问题如下:
Which of the following statements is NOT
correct?
选项:
A. For the repo transactions, the TSAA is reduced
but the TSECF and TSECCF are not affected
For the reverse repo transaction, the TSAA is
increased and the TSLGC is not affected
For the sell/buyback transactions, TSAA decreases.
For
the security lending, TSAA decreases and the TSLGC increases.
解释:
考点:对Quantitative Liquidity Risk Measures的理解
答案:D
解析:
D选项表述错误,对于Security
lending, TSAA降低,同时TSLGC不变。
我把bond卖出去之后会收获一笔现金,为什么会不变?看了之前的回答,
一种解释是,repo之后是没有发生现金流的,所以ECF和ECCF不变
另一种是,repo得到的现金流,约等于是卖了资产,所以计入LGC更合适。
应该选哪种来理解?