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KKII · 2024年04月09日

这道题B为什么不对,大量retail deposit的增加,同样会影响 available amount of stable

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.

这道题B为什么不对,大量retail deposit的增加,同样会影响 available amount of stable funding,进而影响NSFR




1 个答案

王园圆_品职助教 · 2024年04月09日

同学你好, statement 2的重点是“ N- bank is very active in the 30- day reverse repurchase agreement market”也就是银行在逆回购市场很活跃的这件事,而后面的“during times when the bank experiences significant increases in retail deposits.”只是一个修饰,只是解释了这件事发生的时间背景,根本不是这道题想要针对的问题对象


选项 B 的净稳定融资比率,更关注「长期」流动性,从资产负债表的角度来理解,分子就是银行的资金来源,属于负债,分母是要求的稳定的资金来源

- 这就要求银行内部可用的稳定的资金来源是足以应对银行的「长期」业务的

- 而 reverse repo 流动性很高(题干说了是 30 天),因此不属于 stable funding,不影响净稳定融资比率

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