A customer based in the UK exports automotive parts to the US. His main competitor is in France. What type of exposure to currency risk is posed by movements in EUR/USD?
Which of the following statements is correct?
Which of the following statements does not explain why banks accept some amount of interest rate risk?
For a bank to count funds as regulatory capital:
Which of following terms is not used as an expression for dates other than regular dates/periods?
If a 12-month AUD/NZD swap is quoted 53/47, which of the following statements would you consider to be correct?
Mark-to-market’ in a repo means:
An FX forward outright has been dealt for a value date which is subsequently declared to be a bank holiday. According to the Model Code, the exchange rate for the deal:
Which of the following statements about the Net Stable Funding Ratio is correct?
In foreign exchange markets, the first currency in a currency pair is:
If you take an 18-month USD deposit, when is interest payable?
In the deposit broker market, which one of the following is not a valid reason for the proposed borrower to decline the lenders name?
What is the purpose of the Liquidity Coverage Ratio?
What are de minimis claims?
The seller of a floor:
The delta of an ‘at-the-money’ long call option is:
If you have created a ‘synthetic asset’ by buying and selling a USD/CHF swap, what have you done?
You want to hedge your deposit against falling interest rates. Which of the alternatives below are appropriate for this purpose?
You are quoted the following market rates:
Spot EUR/USD 1.3097-00
0/N EUR/USD swap 0.08/0.11
TIN EUR/USD swap 0.29/0.34
S/N EUR/USD swap 0.10/0.13
Where can you buy EUR against USD for value tomorrow?
If you lend for 3 months and borrow for 6 months, you may be said to:
Which of the following statements about operational risk awareness is correct?
You are the buyer of protection in a credit default swap. All other things being equal your counterparty credit risk is increasing if:
What is the correct interpretation of a EUR 5,000,000.00 one-week VaR figure with a 99% confidence level?
You have borrowed at 3-month LIBOR+50. LIBOR for the loan will be re-fixed in exactly one month. The market is quoting:
1x3 USD FRA 0.42-45%
1x4 USD FRA 0.54-58%
1x5 USD FRA 0.57-62%
To hedge the next LIBOR fixing, you should:
A transaction that entails market price risks may be entered into in the absence of a market price risk limit...
What happens when a coupon is paid on bond collateral during the term of a sell/buy-back?
If EUR/USD is 1.3025-28 and the 6-month swap is 15.50/17, what is the 6-month outright price?
What is the expression used to describe a genuine error (wrong amount, wrong side, wrong rate) made by a dealer in the execution of an order on an electronic platform?
Which of the following statements about “standard settlement instructions” (SSI) is correct?
The delta of an ‘at-the-money’ long put option is:
All other things being equal the interest rate risk of a fixed coupon bond is:
When a broker needs to switch a name this should be done:
Which of the following statements about leverage ratios under Basel III is correct?
What does the Model Code recommend regarding “entertainment and gifts”?
What is an FX swap from spot?
Repo is said to have “double indemnity” due to the creditworthiness of the counterparty and:
A 6-month SEK/NOK Swap is quoted 40/50. Spot is 1.1145. Which of the following statements is correct?
You are quoted spot USD/NOK 5.7220-28 and USD/SEK 6.3850-58, at what price can you buy NOK against SEK?
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.
Which of the following currency risks could only be hedged by a non deliverable forward (NDF)?
An interest rate swap (IRS) is:
A futures clearing house is:
You are quoted the following rates:
Spot GBP/CHF 1.4535-45
3M GBP/CHF swap 22/19
At what rate can you sell GBP against CHF outright 3-month?
3-month EUR/USD FX swaps are quoted to you at 8/12. If the “points are in your favor”, what have you done?
EUR/USD is 1.3080-83 and EUR/CHF is 1.2160-63. What price would you quote to a customer who wishes to sell CHF against USD?
Under Basel rules, expected credit loss is a function of which of the following sets of parameters:
From the following AUD rates:
3M AUD (91-day) deposits 2.35%
3x6 AUD (90-day) FRA 2.55%
Calculate the 6-month implied cash rate.
The forward points are calculated using:
When performing a gap analysis, into which of the following time buckets should a 5-year floating-rate note with a 6-month LIBOR coupon be slotted?
Click on the Exhibit Button to view the Formula Sheet, If GBP/USD is 1.5350-53 and USD/JPY is 106.50-53, what is GBP/JPY?
You are quoted the following market rates:
Spot USD/JPY 123.65
1M (30-day) USD. 2.15%
1M (30-day)JPY 0.10%
What is 1-month USD/JPY?
When you are accepting a stop loss order, you must:
To establish and maintain a short position in deliverable securities, you must:
Your are quoted the following rates:
spot CHF/JPY 60.12-22
3M CHF/JPY 25.5/22.5
At what rate can you buy 3-month outright JPY against CHF?
If spot GBP/CHF is quoted 2.3875-80 and the 3-month forward outright is 2.3660-70, what are the forward points?
You deal over the phone with a counterparty. The subsequent confirmation differs from the terms agreed verbally. What is the result?
To curb attempted fraud, banks should:
What is the minimum basis on which a BCP should be updated and tested?
The one-month (31-day) GC repo rate for French government bonds is quoted to you at 3.75-80%. As collateral, you are offered EUR25 million nominal of the 5.5% OAT April 2006, which is worth EUR 28,137,500. If you impose an initial margin of 1%, the Repurchase Price is:
What is a Vostro account?
Deals transacted directly or via a broker prior to 5:00 am Sydney time on Monday morning:
The mid-rate for USD/CHF is 1.3950 and the mid-rate for AUD/USD is 0.7060. What is the midrate for CHF/AUD?
If EUR/USD is quoted to you as 1.1050-53, does this price represent?
Voice-brokers in spot FX are remunerated with:
A USD deposit traded in London between two German banks is cleared:
In trade confirmation, which one of the following statements about “matching” is correct?
Which of the following risks is best mitigated by CLS?
All prices quoted by brokers should be taken to be:
What is the Repurchase Price of a classic repo?
Which of the following risks are considered market risks?
By what means should a financial institution preferably submit SSI changes and notifications to its clients?
What is the meaning of CCP within the Basel framework?
The Interest Rate Parity Theorem should work because, when one sells a low interest rate currency to invest in a high interest rate currency and hedges the currency risk:
Which of the following currencies is quoted on an ACT/365 basis for the calculation of interest on interbank deposits in London?
What does the Model Code recommend in respect of prices and orders made on electronic trading platforms?
Which of the following does not represent an operational risk as defined by Basel rules?
Under Basel III rules the meaning of RSF is:
Which of the following statements is correct?
If GBP/USD is 1.5350-53 and USD/JPY is 97.50-53, what is GBP/JPY?
Which one of the following statements is incorrect under Basel III?
The seller of a put option has:
What happens when a coupon is paid on bond collateral during the term of a classic repo?
You have quoted spot USD/CHF at 0.9423-26. Your customer says “I take 5”. What does he mean?
Which one of the following statements is true?
Which of the following is true?
You quote a customer a spot cable 1.6050-55 in USD 3,000,000.00. If they sell USD to you, how much GBP will you be short of?
Which one of the following statements correctly describes the increased capital ratios that will come into effect under Basel III?
Today’s spot value date is the 30th of June. What is the maturity date of a 2-month EUR deposit deal today? Assume no bank holidays.
What ought to be done in the event a trade erroneously occurs at an off-market rate?
Are the forward points significantly affected by changes in the spot rate?
Which of the following is not a negotiable instrument?
Your agent bank accepts your back-valuation request for 1 day on an amount of EUR 50,000,000.00. EONIA is 0.375% and the ECB marginal lending facility rate is 1.50%. Applying conventional administration fees, how much will this be charged?
Responsibility for the activities of all personnel engaged in dealing (both dealers and support staff) for both principals and brokers lies with:
What is the maximum maturity of an unsecured USCP?
Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?
Which one of the following statements is incorrect? Hedge accounting of an existing position no longer applies when:
Brokers should confirm all transactions:
Using the following rates:
3M (90-day) eurodeposits3.50%
6M (180-day) eurodeposits3.75%
What is the rate for a deposit, which runs from 3 to 6 months?
At the end of the day you are short EUR 10 million against GBP at 0.6712. You are asked to revalue your position at a EUR/GBP rate of 0.6729. What is the resulting profit or loss?
What type of institution is the typical issuer of bank bills?
The use of standard settlement instructions (SSI’s) is strongly encouraged because:
Click on the Exhibit Button to view the Formula Sheet. If you bought USD 2,000,000 against CHF at 1.1020, USD 3,000,000 at 1.1040 and USD 5,000,000 at 1.1032, what is the average rate of your position?
A 3-month (91-day) deposit of EUR25 million is made at 3.25%. At maturity, it is rolled over three times at 3.55% for 90 days, 4.15% for 91 days and 4.19% for 89 days. At the end of 12 months, how much is repaid (principal plus interest)?
One of your brokers asks you to buy and sell EUR/USD at the same price net of brokerage in order to allow him to clear a transaction.
Spot cable is quoted at 1.6048-53 in the brokers and you quote a customer 1.6050-55 in USD 3 million, If they sell USD to you, how much GSP will you be short of?
Banks have a fiduciary responsibility to ensure that clients have all necessary information to understand the transaction because this:
You have written a EUR/USD knock-in option for a bank counterparty. At 6pm New York time on Friday, the instrike point is breached. This is confirmed on screens. The counterparty contacts you to confirm that the option has been knocked in.
Which of the following is issued by auction?
A customer asks for a price in 3-month CHF/JPY. You quote 56/54. The customer deals at 54. What have you done?
3-month USD/CHF is quoted at 112/110. 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?
You are quoted the following market rates:
spot GBP/USD. 1.6530
9M (272-day) GBP. 3.60%
9M (272-day) USD. 1.95%
What are the 9-month GBP/USD forward points?