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huangme7 · 2024年03月29日

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.

我看解说中说“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”

但另外一个解说给了公式。 所以到底有这个概念还是没有

1 个答案

王园圆_品职助教 · 2024年03月29日

同学你好,原版书是没有提供tier 2 capital ratio的公式的哦,tier 2 capital 是有相关内容的,但是没有这个ratio

在银行零售存款显著增长的时期,N-bank 在 30 天逆回购市场很活跃

- 逆回购是银行和借款人之间的抵押借款行为。比如 A 把债券先卖给 B,从 B 处获得资金,并约定一定时间后 A 再用钱把债券从 B 手里买回来

- 本质是一个融资的过程,这个债券其实就是抵押品。这个关系中,站在 A 的角度这个属于 repurchase agreements。站在 B 的角度就属于 reverse repurchase agreements


- 题目说了现在是 30 天的逆回购,是短期,影响的应该是选项中流动性最强的财务指标,即选项 C

- 不选 A,因为 reverse repo 只是一种投资产品,不属于资本金,不会影响 Tier 2 capital ratio


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