From the following GBP deposit rates:
1M (30-day) GBP deposits 0.45% 2M (60-day) GBP deposits 0.50% 3M (91-day) GBP deposits 0.55% 4M (123-day) GBP deposits 0.65% 5M (153-day) GBP deposits 0.70% 6M (184-day) GBP deposits 0.75%
Calculate the 3x4 forward-forward rate.
A. 0.60%
B. 0.949%
C. 1.074%
D. 0.933%
Hybex Electrics is a highly rated company with a considerable amount of fixed rate liabilities and would like to increase the percentage of floating rate debt. Which of the following is the best course of action?
A. Hybex should become a payer of a fixed rate on a swap against receipt of LIBOR.
B. Hybex should become a receiver of a floating rate on a swap against payment of a fixed rate
C. Hybex should become a receiver of a fixed rate on a swap against payment of LIBOR D.
D. Hybex should become a receiver of a floating rate on a swap against payment of LIBOR
How long does the Model Code recommend that tapes and other records of dealers/brokers be kept?
A. at least two months
B. one year
C. up to one month
D. at least three months
The spot/week repo rate for the 4.25% OAT 2015 is quoted to you at 2.35-38%. You buy bonds with a market value of EUR 3,295,500.00 through a sell/buy-back. The Repurchase Price is:
A. EUR 3,297,004.19
B. EUR 3,297,005.86
C. EUR 3,297,025.09
D. EUR 3,296,985.23
You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 4.95%. You expect 6-month LIBOR in 6 months to fix at 5.25%, in 12 months at 5.35% and in 18 months at 5.40%. What do you expect the net settlement amounts to be over the next 2 years? Assume 30-day months.
A. Pay 250.00, receive 1,250.00, receive 1,750.00, receive 2,000.00
B. Receive 250.00, pay 1,250.00, pay 1,750.00, pay 2,000.00
C. Pay 2,500.00, receive 12,500.00, receive 17,500.00, receive 20,000.00
D. Receive 2,500.00, pay 12,500.00, pay 17,500.00, pay 20,000.00
Repo is said to have "double indemnity" due to the creditworthiness of the counterparty and:
A. A written legal agreement between the parties
B. The oversight of the transaction by the custodian of the collateral
C. The creditworthiness of the collateral
D. The right of close-out and set-off in an event of default
3-month USD/CHF is quoted at 12/10. Interest rates in Switzerland are reduced but USD rates (which are higher) are unchanged. What would you expect the 3-month forward USD/CHF rate to be?
A. unchanged
B. 15/13
C. 10/8
D. 6/4
Which of the following statements about operational risk awareness is correct?
A. It is good practice to collect and disclose incidents and near-misses for the future benefit of the professional community.
B. It is good practice to collect and analyze incidents and near-misses so as to set up preventive action plans for the future.
C. A report describing operational risks should be made at the request of the front office.
D. A report describing operational risks should be made at least once a year and provided to the front office.
How is an outright forward FX transaction quoted?
A. pared points
B. Depends on the term
C. Depends on whether it is interbank or to a customer
D. Depends on the currency pair
If you have created a `synthetic asset' by buying and selling a USD/CHF swap, what have you done?
A. Created an exposure to the CHF
B. Created an exposure to the USD
C. Switched a CI-IF asset temporarily into USD without taking currency risk
D. Switched a USD asset temporarily into CHF without taking currency risk
The market is quoting:
1-month (31-day) NOK 1.75¡ãk 3-month (91-day) NOK 2.05% What is the 1x3 rate in NOK?
A. 4.261%
B. 2.202%
C. 1.900%
D. 1.592%
Which of the following is a measure of a bank's gross exposure to foreign exchange rate risk?
A. The maturity mismatch among assets and liabilities denominated in the home and reporting currencies.
B. The gap between variable and fixed rate assets and liabilities across all currencies.
C. The sum of all assets in one currency minus the sum of all liabilities in that same currency.
D. The sum of all off-balance sheet assets in one foreign currency minus the on-balance sheet equity in another currency.
A bank wants to use STIR futures for establishing a macro hedge for the asset portfolio. Which of the following statements is correct?
A. It is reasonable for the bank to purchase futures contracts if they expect interest rates to rise.
B. It is reasonable for the bank to take a long position in anticipation of rising rates.
C. Losses (or gains) in the value of the cash position can be largely offset by gains (or losses) in the value of the futures position
D. It is reasonable for the bank to sell futures contracts if it expects interest rates to fall
With regard to operational risk awareness, which of the following best practices is incorrect?
A. A report describing operational risks, the most significant incidents and corrective plans of action should be established on a quarterly basis.
B. It is good practice to collect and analyze incidents and near-misses so as to set up preventive action plans for the future.
C. Every time a report describing operational risks is produced, it should be provided to senior management.
D. Whenever possible action plans should be put in place that mitigate operational risks that have been identified.
Lending for 3 months and borrowing for 6 months creates a 3x6 forward-forward deposit. The cost of that deposit is called:
A. Break-even rate
B. Implied rate
C. Forward-forward rate
D. All of the above