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Archie · 2023年05月01日

repo

  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.

老师您好，题目我能做对，但是B选项很怪

我作为lender，是拿到bond 的 coupon的一方吗。如果是的话，那我是不是相当于long了这个bond

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1 个答案

品职答疑小助手雍 · 2023年05月02日

同学你好，lender也就是reverse repo的一方是期初花钱从repo方买债券，期初是long，期末再卖回去就是short。那么reverse repo的一方并不是通过期初买债券而赚钱的，而是通过期末，以更高的价格把债券卖出去而赚钱，所以是short position这个时候在赚钱。

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