A bank borrowing USD for 12 months and lending them for 6 months creates:

A.

Forward-forward loan

B.

Forward-forward deposit

C.

Negative gap

D.

An over-lent position

What is the ISO code for palladium?

A.

XAU

B.

XAG

C.

XPT

D.

XPD

Which of the following statements about leverage ratios under Basel III is correct?

A.

The leverage ratio is the ratio of the bank’s Tier 1 Capital to total assets of the bank, excluding its off- balance sheet exposures and derivatives.

B.

The purpose of introducing a leverage ratio is to avoid the build-up of excess leverage that could potentially lead to a “credit crunch” in stressed conditions.

C.

The leverage ratio under Basel III must be higher than 4%.

D.

The leverage ratio is the ratio of the bank’s Tier 1 and Tier 2 Capital to total assets of the bank, including its off-balance sheet exposures and derivatives.

VaR increases with:

A.

lower correlation of underlying risk factors

B.

a shorter time horizon

C.

a lower confidence level

D.

a higher confidence level

What is the Overnight Index for USD?

A.

H-15 Index

B.

Prime Rate

C.

Overnight Fed funds

D.

Fed funds effective rate

What is a short strangle option strategy?

A.

A short call option + long put option with a higher strike price than the call option

B.

A long call option + long put option with a lower strike price than the call option

C.

A short call option + short put option with a lower strike price than the call option

D.

A long call option + long put option with higher strike price than the call option

Who takes the counterparty risk on the seller in a to-party repo?

A.

The buyer

B.

The to-party agent

C.

A third-party guarantor

D.

A central clearing counterparty

Your are quoted the following rates:
Spot CHF/JPY105.12-22
3M CHF/JPY 3.5/4.5
At what rate can you buy 3-month outright JPY against CHF?

A.

105.085

B.

105.265

C.

108.62

D.

105.155

Under Basel rules the risk weight for claims on unrated sovereigns and their cennl banks in the standardized approach is:

A.

75%

B.

100%

C.

150%

D.

350%

An interest rate swap (IRS) is:

A.

A contract to exchange one stream of interest payments for another

B.

A temporary exchange of one deposit for another of a longer maturity in the same currency

C.

A forward-forward contract

D.

A contract to exchange an interest rate stream in one currency for another one in a different currency