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frm二级过过过！ · 2023年10月27日

C怎么理解，buyback为什么会导致TSAA降低

  1. FRM II
  2. Liquidity and Treasury Risk

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

B.

For the reverse repo transaction, the TSAA is increased and the TSLGC is not affected

C.

For the sell/buyback transactions, TSAA decreases.

D.

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。

o.PZ2020042003000061 (选择题)

来源: 品职出题

Which of the following statements is NOT correct?

您的回答A, 正确答案是: D

A

不正确For the repo transactions, the TSAA is reduced but the TSECF and TSECCF are not affected

B

For the reverse repo transaction, the TSAA is increased and the TSLGC is not affected

C

For the sell/buyback transactions, TSAA decreases.

D

For the security lending, TSAA decreases and the TSLGC increases.


buyback不是应该会导致available asset增加吗

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1 个答案

pzqa27 · 2023年10月27日

嗨，努力学习的PZer你好：


sell/buy back的操作基本上相当于repo，只是押品的所有权发生了转移，当我们把资产卖了后，抵押品就下降了，所以TSAA是下降的。

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