EUR/USD is 1.3080-83 and EUR/CHF is 1.2160-63. What price would you quote to a customer who wishes to sell CHF against USD?

A.

1.0759

B.

0.9299

C.

1.5909

D.

0.9295

What is interest rate immunization in the context of bank gap management?

A.

the strategy of holding more interest rate sensitive assets than interest rate sensitive liabilities

B.

the strategy of holding fewer interest rate sensitive assets than interest rate sensitive liabilities

C.

reducing the size of the balance sheet

D.

structuring a bank’s portfolio so that its net interest revenue and/or the market value of its portfolio will not be adversely affected by changes in interest rates

What is an FX swap from spot?

A.

An exchange of two streams of interest payments in different currencies and an
exchange of the principal amounts of those currencies at maturity

B.

A spot sale (purchase) and a forward purchase (sale) of two currencies agreed
simultaneously between two parties

C.

An exchange of currencies on a date beyond spot and at a price fixed today

D.

An agreement to buy (sell) an amount of base currency value spot and simultaneously resell (buy back) the same amount to the same counterpart value today

How would you compute the bid side of the forward/forward FX swap points?

A.

bid side of the near leg swap points minus offered side of the far leg swap points

B.

bid side of the far leg swap points minus offered side of the near leg swap points

C.

offered side of the far leg swap points minus bid side of the near leg swap points

D.

offered side of the near leg swap points minus bid side of the far leg swap points

You quote a price to a broker. It is hit by another bank, but you are not informed until some time afterward that the deal has been done. Who is to blame?

A.

You are, as it is your responsibility to check periodically that the price has not been dealt upon.

B.

The broker is, as he must immediately tell you that your price has been dealt upon.

C.

The other bank is, since it did not immediately seek confirmation.

D.

All the parties, particularly you and the other bank.

What is the purpose of an initial margin on a futures exchange?

A.

To cover losses incurred between variation margin payments

B.

To exclude retail investors

C.

To pay reserve requirements

D.

To cover fees due to the clearing house

What is the Overnight Index for GBP?

A.

SONIA

B.

STINA

C.

STONIA

D.

EONIA

A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:

A.

entering into a pay fixed I receive variable standard interest rate swap

B.

entering into a receive fixed I pay variable standard interest rate swap

C.

entering into a pay fixed / receive variable amortizing interest rate swa

D.

entering into a GBP/USD FX swap

Where sale and repurchase agreements or stock borrowing or lending transactions are entered into:

A.

screen services, brokers and other third party providers can all be useful sources of data

B.

For periods less than one month, the maturity date will be the first date that is a
business day that is within one, seven, fourteen days from the value date, but when near the month end must never be a date in the next calendar month

C.

Inter-dealer brokers or the automated trading system need not be notified when
participants attempt to utilize odd settlement dates

D.

It is not recommended that legal opinion should be obtained on the enforceability of the contract

Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

A.

adequacy regulations in Pillar 1

B.

market risk and Tier 3 capital elements

C.

internal management procedures subject to supervisory review in Pillar 2

D.

market discipline, disclosure and transparency in Pillar 3