Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

A.

1 minus recovery rate, probability of default and exposure at default

B.

exposure at origination, exposure at default and loss given default

C.

loss given default, 1 minus recovery rate and exposure at default

D.

exposure at origination, recovery rates and probability of default

If the duration gap is zero, how will a small parallel shift in interest rates affect the market value of the bank’s equity?

A.

If interest rates rise, the market value of equity will increase

B.

If interest rates rise, the market value of equity will decrease C. The bank is immunised from changes in interest rates.

C.

The market value of equity will decrease due to an increase in interest rates

You quote the following rates to a customer:
Spot GBP/CHF 1.4535-45
6MGBP/CHF swap 46/41
At what rate do you sell GBP to a customer 6-month outright?

A.

1.4494

B.

1.4499

C.

1.4504

D.

1.4586

You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334- day) JPY LIBOR, which is fixed at 0.4450%.
What is the settlement amount at maturity?

A.

You pay JPY 440,694

B.

You receive JPY 440,694

C.

You pay JPY 438,882

D.

You receive JPY 438,882

In interbank trading, if a dealer is calling “off” at the same time as the broker is hitting a price:

A.

no transaction should be concluded and the broker should inform both counterparties accordingly

B.

a transaction should be concluded and the broker should inform both counterparties accordingly

C.

the dealer has the choice of either concluding the transaction or not

D.

the broker decides whether the transaction should be concluded or not

What is the probability of an ‘at-the-money’ option being exercised?

A.

Less than 50% probability

B.

50% probability

C.

More than 50% probability

D.

Zero probability

Today, you sold 10 December EURODOLLAR futures contracts at 99.50. The closing pric is fixed by the exchange at 99.375. What variation margin will be due?

A.

You will have to pay USD 312.50

B.

You will receive USD 312.50

C.

You will have to pay USD 3,125.00

D.

You will receive USD 3,125.00

Which of the following is required for institutions acting as prime brokers?

A.

They must remain neutral and stay out of disputes between their customers.

B.

They must rely on the execution venue to resolve disputes.

C.

They must delegate the resolution of broken trades downstream to their clients.

D.

They must take responsibility for the swift resolution of any disputes

The two-week repo rate for the 5.25% Bund 2014 is quoted to you at 3.33-38%. You agree to reverse in bonds worth EUR 266,125,000.00 with no initial margin.
You would earn repo interest of:

A.

EUR 349,806

B.

EUR 344,632

C.

EUR 319,315

D.

EUR 324,110

Which of the following statements is correct?

A.

An adjusted settlement amount is paid at the end of the FRA contract period that includes reinvestment interest for late payment

B.

An unadjusted settlement amount is paid at the end of the FRA contract period

C.

An adjusted settlement amount is paid at the start of the FRA contract period that is discounted for early payment

D.

An unadjusted settlement amount is paid at the start of the FRA contract period