With reference to dealing periods, what does the term "short dates" refer to?
A. overnight, tom-next and spot-next
B. maturities up to one week
C. maturity dates of less than one month
D. maturity dates of less than 10 days
You have just sold USD 5,000,000.00 spot against JPY. What type of risk does not apply?
A. Market risk
B. Settlement risk
C. Basis risk
D. Credit risk
If the daily 90% confidence level VaR of a portfolio is correctly estimated to be USD 5,000.00, one would expect that:
A. in 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or less.
B. in 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or less.
C. in 1 out of 10 days, the portfolio value will decline by USD 5,000.00 or more.
D. in 1 out of 90 days, the portfolio value will decline by USD 5,000.00 or more.
Which of the following definitions of a nostro account is correct?
A. A nostro account is an account held by a bank in a foreign country in the banks domestic currency.
B. A nostro account is an account held by a bank in a foreign country for cash collateralising OTC derivative positions with banks in that country.
C. A nostro account is an account held by a bank in a foreign country in the currency of that country.
D. A nostro account is an account held by a bank in its home country in a foreign currency.
Risk capital is intended to ensure that an institution can:
A. Survive a liquidity crisis
B. Absorb credit losses
C. Absorb any type of unexpected loss
D. Absorb any type of expected loss
On fixing date, the settlement payment of an NDF reflects the differential between the agreed forward rate and:
A. the fixing spot rate
B. the daily high
C. the days' average rate
D. the average rate over the NDF period
If EUR/USD is quoted to you as 1.3030-40 and GBP/USD as 1.5320-30, at what rate can you sell GBP and buy EUR?
A. 0.8500
B. 0.8506
C. 0.8512
D. 0.8505
When performing a gap analysis, into which of the following time buckets should a 5-year floating-rate note with a 6-month LIBOR coupon be slotted?
A. the 6-month bucket
B. the 2.5-year bucket
C. the 5-year bucket
D. It should be weighted and apportioned in each of the time buckets in accord with the periodic coupon payments.
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
A 3-month (91-day) UK Treasury bill with a face value of GBP 50,000,000.00 is quoted at a yield of 4.25%. How much is the bill worth?
A. GBP 47,875,000.00
B. GBP 49,462,847.22
C. GBP 49,470,205.48
D. GBP 49,475,760.27
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