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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

E) B) and D)
F) B) and C)

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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 th
D) A court is appointed to decide what happens to the

E) B) and C)
F) B) and D)

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What is a Vostro account?


A) Your account at another bank
B) A foreign bank's account in your bank in your dome
C) An account in your bank used for internal transact
D) A customer's account at your bank

E) None of the above
F) C) and D)

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If spot GBP/CHF is quoted 2.3875- 80 and the 3-month forward outright is 2.3660-70, what are the forward points?


A) 21.5/21
B) 210/215
C) 215/210
D) 21/21.5

E) A) and D)
F) A) and C)

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The Model Code rules that deals at non-current rates:


A) Are forbidden.
B) Require prior regulatory approval.
C) Require the prior express permission of the senior
D) Should be marked to market daily.

E) All of the above
F) B) and C)

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A dealer needs to buy USD against SGD. Of the following rates quoted to him, which is the best rate for him?


A) 1.4323-28
B) 1.4320-25
C) 1.4315-20
D) 1.4318-23

E) A) and C)
F) A) and D)

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Half an hour ago you were made a price in USD/CAD of 1.5250-55 and sold USD 10 million. The price is now 1.5232-37 and you square your position. What is your profit or loss?


A) + CAD 23,000
B) + CAD 13,000
C) + CAD 18,000
D) - CAD 13,000

E) All of the above
F) A) and B)

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A 12-month EUR/USD swap is quoted at 241/244. EUR interest rates are expected to fall, with USD interest rates (which are higher) remaining stable. Assuming no change in the spot rate what effect would you expect on the forward points?


A) Unchanged
B) Move towards 228/231
C) Move towards 257/260
D) Insufficient information

E) A) and D)
F) B) and C)

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Which of the following is true?


A) The CME eurodollar futures contract has a tick val
B) The Euronext. LIFFE EURIBOR futures contract has a
C) The Euronext. LIFFE CHF futures contract has a tic
D) All of the above

E) None of the above
F) B) and C)

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What is the maximum maturity of a London CD?


A) One year
B) 270 days
C) 183 days
D) 5 years

E) B) and C)
F) C) and D)

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What is the maximum maturity of a US Treasury bill?


A) One year
B) 270 days
C) 183 days
D) 5 years

E) A) and C)
F) B) and C)

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If EUR/USD is 1.1025-28 and the 6- month swap is 112.50/113, what is the 6-month outright price?


A) 1.1380-1.11405
B) 1.11375-1.1141
C) 1.09125-1.0915
D) None of these

E) None of the above
F) C) and D)

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You bought USD 5,000,000 against EUR at 1.1037 and 3,000,000 at 1.1052. If the EUR/USD rate is now quoted 1.1015/17, and if you deal at that rate, what profit would you make?


A) Nil
B) A profit of EUR 16,847.58
C) A loss
D) A profit of EUR 18,166.05

E) C) and D)
F) A) and B)

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Which of the following are transferable instruments?


A) Eurocertificate of deposit
B) US Treasury bill
C) CP
D) All of the above

E) A) and B)
F) All of the above

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What is the day count/annual basis convention for euroyen deposits?


A) Actual/365
B) Actual/360
C) Actual/actual
D) 30E/360

E) A) and D)
F) C) and D)

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The major difference between futures and OTC instruments like FRAs and interest rate swaps is that futures are:


A) Exchange-traded
B) Guaranteed
C) Standardised
D) All of the above

E) A) and C)
F) A) and D)

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You are quoted the following market rates: spot EUR/USD. 1.2250 3M (91-day) EUR 2.55% 3M (91-day) USD. 2.00% What is 3-month EUR/USD?


A) 1.2232
B) 1.2233
C) 1.2234
D) 1.2267

E) B) and C)
F) None of the above

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Where the matter of dealing for personal account is concerned, the Model Code recommends that:


A) Subject to local legal requirements, this matter i
B) Bank management should encourage such activities b
C) Where this is allowed, bank management should have
D) Bank management should allow staff to deal for the

E) All of the above
F) B) and C)

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You and a dealer at another bank have an informal bilateral reciprocal arrangement to quote each other two-way prices. During periods of high volatility, the other dealer refuses to quote to you. The Model Code states that:


A) The other dealer should act with honour, honesty
B) It is a purely matter for your two institutions.
C) Such arrangements are not in any way enforceable o
D) All of the above.

E) A) and B)
F) None of the above

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Basis risk on a futures contract is:


A) The risk of an adverse change in the futures price
B) The risk of an adverse change in the spread betwee
C) The progressive illiquidity of a futures contract
D) The risk of a divergence between the futures price

E) All of the above
F) C) and D)

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