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What is the Overnight Index for USD?

A.

H-15 Index

B.

Prime Rate

C.

Overnight Fed funds

D.

Fed funds effective rate

The Liquidity Coverage Ratio (LCR) in Basel III:

A.

is a new rule that compares liquid asset levels in banks to their available equity capital

B.

spells out a modernized system for calculating the required minimum reserve that banks must hold at the central bank

C.

compares liquid and reliably liquidating assets to expected cash outflows from specified run-off rates for various liability classes under a short-term stress scenario

D.

tied directly into the internal ratings-based approach for determining the liquidity of credit-counterparties

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

Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

A.

1 minus recovery rate, probability of default and exposure at default

B.

exposure at origination, exposure at default and loss given default

C.

loss given default, 1 minus recovery rate and exposure at default

D.

exposure at origination, recovery rates and probability of default

Your are quoted the following rates:

Spot CHF/JPY105.12-22

3M CHF/JPY 3.5/4.5

At what rate can you buy 3-month outright JPY against CHF?

A.

105.085

B.

105.265

C.

108.62

D.

105.155

What is the purpose of an initial margin on a futures exchange?

A.

To cover losses incurred between variation margin payments

B.

To exclude retail investors

C.

To pay reserve requirements

D.

To cover fees due to the clearing house

A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:

A.

entering into a pay fixed I receive variable standard interest rate swap

B.

entering into a receive fixed I pay variable standard interest rate swap

C.

entering into a pay fixed / receive variable amortizing interest rate swap

D.

entering into a GBP/USD FX swap

Under Basel rules the risk weight for claims on unrated sovereigns and their cennl banks in the standardized approach is:

A.

75%

B.

100%

C.

150%

D.

350%

3-month EUR/USD FX swaps are quoted to you at 8/12. If the “points are in your favor”, what have you done?

A.

Bought and sold 3-month EUR/USD through the swap

B.

Sold and bought 3-month EUR/USD through the swap

C.

Made the quote

D.

Cannot say

You buy a 30-day 4% CD with a face value of GBP 20,000,000.00 at par when it is issued. You sell it in the secondary market after 10 days at 4.05%.

What is your holding period yield?

A.

4.05%

B.

3.891%

C.

3.838%

D.

1.946%

Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

A.

capital adequacy regulations in Pillar 1

B.

market risk and Tier 3 capital elements

C.

internal management procedures subject to supervisory review in Pillar 2

D.

market discipline, disclosure and transparency in Pillar 3

Under Basel rules the meaning of CCF is:

A.

Currency Conversion Factor

B.

Credit Conversion Factor

C.

Credit Contribution Factor

D.

Credit Collateralization Factor