Click on the Detail Button to view the Formula Sheet. What usually happens to the collateral in a tri-party repo?
A. It is put at the disposal of the buyer
B. It is held by the seller in the name of the buyer
C. It is held by the tri-party agent in the name of the buyer
D. It is frozen in the sellers account with the tri-party agent
Click on the Detail Button to view the Formula Sheet. Which type of repo is the least risky for the buyer?
A. Delivery repo
B. HIC repo
C. Tri-party repo
D. There is no real difference
Click on the Detail Button to view the Formula Sheet. A customer gives you GBP 25 million at 6.625% same day for 7 days. Through a broker, you place the funds with a bank for the same period at 6.6875%. Brokerage is charged at 2 basis points per annum. What is the net profit or loss on the deal?
A. Profit of GBP 299.66
B. Profit of GBP 203.77
C. Loss of GBP 299.66
D. Loss of GBP 203.77
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. The tom/next GC repo rate for German government bonds is quoted to you at 1.75-80%. As collateral, you sell EUR10 million nominal of the 5.25% bund July 2012, which is worth EUR 11,260,000, with no initial margin. The Repurchase Price is:
A. EUR 10,000,500.00
B. EUR 10,000,486.11
C. EUR 11,260,563.00
D. EUR 11,260,547.36
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
Click on the Detail Button to view the Formula Sheet. How many USD would you have to invest at 3.5% to be repaid USD125 million (principal plus interest) in 30 days?
A. USD 124,641,442.43
B. USD 124,636,476.94
C. USD 124,635,416.67
D. USD 123,915,737.30
Click on the Detail Button to view the Formula Sheet. What is the day count/annual basis convention for euroyen deposits?
A. Actual/365
B. Actual/360
C. Actual/actual
D. 30E/360
Click on the Detail Button to view the Formula Sheet. Todays date is Thursday 12th December. What is the spot value date? Assume no bank holidays.
A. 14th December
B. 15th December
C. 16th December
D. 17th December
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