What is the incentive for market-making?
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?
You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million 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.
The torward points are calculated from:
You are quoted the following rates:
Spot JPY/CHF 0.009520-25
6M JPY/CHF 10/7
At what rate can you buy 6-month outright CHF against JPY?
A dealer does the following deals in EUR/USD:
buys EUR 1 m at 11020
sells EUR 3 m at 1.1022
buys EUR 2 m at 1.1002
buys EUR 1.5 m at 1.1012
What position does the dealer now have?
If I say that I have “bought and sold” EUR/USD in an FX swap, what have I done?
An FRA is:
You quote spot EUR/USD at 1.3023-26 in 5 to another bank. He says, “Take 5, could do 8”.
How much are you obliged to do?
The popularity of FX-trading via Internet platforms has serious implications for the applicability of traditional rules such as “Know Your Customer”. Which of the following are correct?
What is the result of combining a 1-month buy and sell FX swap with a 2-month sell and buy FX swap?
Today is Monday, 8th December. You sell a 9x12 USD FRA for value Thursday, 10th September next year. On what date is the settlement amount due to be paid or received (assuming that there are no holidays)?
A negative yield curve is one in which:
Under new Basel rules, what is the meaning of CVA?
