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Lending for 3 months and borrowing for 6 months creates a 3x6 forward-forward deposit. The cost of that deposit is called:

A.

Implicit nominal rate

B.

Implied forward rate

C.

Funding rate

D.

Effective future rate

A “time option” is an outright forward FX transaction where the customer:

A.

has the option to fulfill the outright forward or not at maturity

B.

may freely choose the maturity, given a 24-hour notice to the bank

C.

can choose any maturity within a previously fixed period

D.

may decide to deal at the regular maturity or on either the business day before or after

Which of the following is a function of asset and liability management (ALM)?

A.

coordinated limit management of a financial institution’s credit portfolio

B.

running a matched trading book

C.

monitoring credit quality of assets and establishing a early warning system

D.

managing the financial risk of the bank by protecting it from the adverse effects of changing interest rates

A 3-month (91-day) US Treasury bill is quoted at a rate of discount of 4.25%. What is its true yield?

A.

4.19%

B.

4.25%

C.

4.30%

D.

4.31%

Today’s spot value date is Friday 27th February. What is normally the 1-month maturity date? Assume no bank holidays.

A.

28th March

B.

29th March

C.

30th March

D.

31st March

Under Basel rules, what is the meaning of EEPE?

A.

Effective Expected Potential Exposure

B.

Effective Expected Positive Exposure

C.

Effective Expected Price Earning

D.

Effective Expected Payment Exposure

Which of the following is true about interest rate swaps (IRS):

A.

Both parties know what their future payments will be at the outset of the swap

B.

There is payment of principal at maturity

C.

Payments are always made gross

D.

The fixed rate payer knows what his future payments will be at the outset of the swap

What is EONIA?

A.

Volume-weighted average overnight EUR deposit rate

B.

Volume-weighted average overnight EUR LIBOR

C.

Arithmetic average overnight EUR deposit rate

D.

ECB overnight lending rate

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

Which one of the following statements is true?

A.

Brokers should only show the names of banks to counterparties who have prime credit ratings.

B.

Brokers should only show the names of banks to counterparties who provide good liquidity to the brokered market.

C.

Brokers should only show the names of banks to counterparties whom they know well.

D.

Brokers should only show the names of bank counterparties if both sides display a serious intention to transact

A put option is ‘out-of-the-money’ if:

A.

Its strike price is higher than the current market price of the underlying commodity

B.

If the current market price of the underlying commodity is higher than the strike price of the option

C.

Its strike price is equal to the current market price of the underlying commodity

D.

If the current market price of the underlying commodity is lower than the strike price of the option

You have a short position of 50 EURODOLLAR futures contracts. You can hedge your position by:

A.

Selling a FRA for a similar notional amount

B.

Buying a FRA for a similar notional amount

C.

Selling a call option on the contract

D.

Selling a put option on the contract

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.

A.

27th August

B.

30th August

C.

31st August

D.

1 September

When banks transact FX swaps, the spot price should be determined:

A.

anytime after the swap is transacted

B.

before the swap is transacted

C.

immediately after the swap is transacted

D.

no less than 24 hours after the completion of the swap

What is the amount of the principal plus interest due at maturity on a 1-month (32-day) deposit of USD 50,000,000.00 placed at 0.37%?

A.

EUR 50,015,416.67

B.

EUR 50,016,219.18

C.

EUR 50,016,444.44

D.

EUR 50,016,958.33