The primary issue for insuring prudent liquidity management in accord with the guidance provided by the Basel Committee (Basel II I Basel III) is:
A. Tier 3 capital requirements held against liquidity risk.
B. The nature and amount of high quality liquid assets a bank holds.
C. Central bank internal management processes regarding open market operations.
D. The transparent disclosure of illiquid on-balance sheet liabilities.
Which of the following statements about Credit Default Swaps (CDS) is correct?
A. CDS are used to recover funds from defaulted swap counterparties.
B. CDS provide protection against specified credit events to the party receiving the CDS premium payments.
C. CDS provide protection against the default of the trade counterparty that buys the CDS.
D. CDS provide compensation to the protection buyer, should a specified credit event occur to a third party entity.
Which of the following is not the responsibility of the asset and liability committee (ALCO)?
A. ensure that compliance is carried out efficiently
B. set limits on borrowing in the short-term markets to fund long-term lending
C. develop, evaluate, monitor and approve strategies related to risk due to imbalances in the asset and liability structure of the balance sheet
D. report to the board of directors
Which of the following is part of the typical scope of Asset Liability Management (ALM)?
A. Selling distressed assets and investing in bank liabilities trading at distressed levels.
B. Making sure that fixed assets are depreciated according to the applicable tax code.
C. Planning the maturity structure and net funding requirements arising from banking book and trading book transactions.
D. Planning the liability structure and net funding requirements arising from trading book assets carried at amortized cost.
All other things being equal, if a bank borrows short and lends long what is the effect on the liquidity risk of the bank?
A. positive
B. changes only when interest rates levels are high
C. negative
D. changes only when interest rates levels are low
A transaction that entails market price risks may be entered into in the absence of a market price risk limit...
A. ...only at the discretion of the head of treasury.
B. ...only at the discretion of the head of trading.
C. ...as long a counterparty and issuer limit is in place.
D. ... is not permitted.
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?
A. Nothing, as he changed the terms of the deal
B. EUR 5,000,000.00
C. More than EUR 5,000,000.00, but a maximum of EUR 8,000,000.00
D. EUR 8,000,000.00
What is the value date of a 1-month outright forward FX transaction dealt today, if today's spot date is Monday, 30th January? Assume there are no bank holidays and that the year is not a leap year.
A. 2nd March
B. 1st March
C. 2gth February
D. 28th February
When would an exporter commonly use an NDF?
A. when receiving THB in 1 month
B. when receiving HKD in 2 months
C. when receiving PHP in 2 bank business days
D. when receiving KRW in 3 months
What is the value date of a 6-month outright forward FX transaction dealt today, if today's spot date is Monday, 30th June? Assume there are no bank holidays.
A. 27th December
B. 30th December
C. 31st December
D. 1st January
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