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来自:FRM > 二级 > Liquidity and Treasury Risk Measurement and Management 2024-01-21 21:18
老师,repo那个TSECF我不理解,银行难道不需要支付利息吗,CF应该变动啊
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Ben    2024-01-22 11:40

致精进的你:

同学你好,因为回购期间抵押品资产所有权仍然是属于银行,但是使用权是属于对手方的,所以银行只能通过回购获得一次融资机会;如果不回购,银行有这个资产在手上可以随时借出去获得资金,所以,对银行而言,回购和不回购在未来现金流预期方面对银行没有影响。原版书的表述如下:Repo transactions: at the start of the agreement the bank receives cash for an amount equal to the price of the asset reduced by the haircut; at the same time it delivers the asset to the counterparty. Although the asset is still owned by the bank, its possession passes to the counterparty, so that the bank no longer has availability of the security. This will become encumbered and cannot either be sold or used as collateral until the end of the repo agreement, when it is returned. Payments by the asset during the repo agreement belong to the bank since it is the owner, so that the TSECF and in the TSECCF are not affected in any way.

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