Click on the Detail Button to view the Formula Sheet. Borrowing USD for 12 months and lending them for 6 months (means that you are making):
A. Forward-forward loan
B. Forward-forward deposit
C. Negative gap
D. An over-lent position
Click on the Detail Button to view the Formula Sheet. 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
Click on the Detail Button to view the Formula Sheet. Today is Monday, 8th December. You sell a 9x12 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. 8th September next year
B. 10th September next year
C. 8th December next year
D. 10th December next year
Click on the Detail Button to view the Formula Sheet. Eurodollar futures are:
A. Traded on the CME and have a face value of USD 500,000
B. Traded on the CBOT and have a face value of USD 1,000,000
C. Traded on the CBOT and have a face value of USD 500,000
D. Traded on the CME and have a face value of USD 1,000,000
Click on the Detail Button to view the Formula Sheet. In case of a default on a repo by the seller:
A. The buyer can liquidate the collateral
B. The buyer has to liquidate the collateral
C. The buyer cannot liquidate the collateral until the seller is declared insolvent
D. A court is appointed to decide what happens to the collateral
Click on the Detail Button to view the Formula Sheet. What is the primary function of GC repo, particularly very short -term transactions?
A. Financing long positions
B. Covering short positions
C. Interest rate positioning
D. Dividend tax arbitrage
Click on the Detail Button to view the Formula Sheet. What are the secondary market proceeds of a CD with a face value of EUR 5 million and a coupon of 3% that was issued at par for 182 days and is now trading at 3% but with only 7 days remaining to maturity?
A. EUR 4,997,085.03
B. EUR 5,000,000.00
C. EUR 5,071,086.45
D. EUR 5,072,874.16
Click on the Detail Button to view the Formula Sheet. A CD with a face value of USD50 million and a coupon of 4.50% was issued at par for 90 days and is now trading at 4.50% with 30 days remaining to maturity. What has been the capital gain or loss since issue?
A. +USD 373,599.00
B. +USD 186,099.00
C. -USD 1,400.99
D. Nil
Click on the Detail Button to view the Formula Sheet. You buy a 181-day 2.75% CD with a face value of USD 1,500,000 at par when it is issued. You sell it in the secondary market after 150 days at 2.60%. What is your holding period yield?
A. 2.60%
B. 2.75%
C. 2.775%
D. 2.813%
Click on the Detail Button to view the Formula Sheet. 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:
A. EUR 27,947,276.43
B. EUR 27,946,077.08
C. EUR 27,950,071.43
D. EUR 27,948,871.97
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