You are quoted the following rates:
Spot GBP/USD 1.5295-00
Spot USD/CHF 0.9320-23
6M GBP/USD swap 16/12
6M USD/CHF swap 22/18
Where can you buy GBP against CHF 6-month outright?

A.

1.4206

B.

1.4215

C.

1.4217

D.

1.4225

A dealer has been invited by a broker to go to an exclusive club for the third time in a week. He should:

A.

agree, since entertainment is a normal part of business

B.

refer this to senior management

C.

agree but insist on paying half the cost

D.

agree, if the broker pays for the event but does not attend it

If 6-month USD/CAD forward rates are quoted at 40/45, which of the following statements
is correct?

A.

USD rates are higher than CAD rates in the 6-month

B.

CAD rates are higher than USD rates in the 6-month

C.

There is a positive USD yield curve

D.

There is not enough information to decide

Experience has shown that recourse to taped telephone conversations proves invaluable to
the speedy resolution of disputes. Therefore, the Model Code recommends:

A.

that all telephone conversations (internal and external) be taped without informing
counterparties

B.

that only conversations undertaken by dealers and brokers should be recorded

C.

that all conversations undertaken by dealers and brokers should be recorded, together with back office telephone lines used by those responsible for confirming deals or passing payments to other institutions

D.

that only telephone conversations between dealers and brokers be recorded

The gamma of an option is:

A.

The sensitivity of the option value to changes in volatility

B.

The sensitivity of the option value to changes in the time to expiry

C.

The sensitivity of the delta to changes in the value of the underlying

D.

The sensitivity of the option value to changes in the price of the underlying

The “spot basis” of a 2 against 4 months EUR/USD forward/forward swap is:

A.

usually the current spot EUR/USD mid-market rate

B.

commonly the prevailing 4-month forward EUR/USD mid-rate

C.

always the forward EUR/USD bid rate of the first swap leg

D.

generally the prevailing 2-month forward EUR/USD mid-rate

In which type of repo is “double dipping” a risk?

A.

Delivery repo

B.

HIC repo

C.

To-party repo

D.

“Double dipping” is never a risk in any type of repo

April 2012, which is worth EUR 28,137,500.00.
The Repurchase Price is:

A.

EUR 28,228,360.69

B.

EUR 28,229,572.15

C.

EUR 25,080,729.18

D.

EUR 25,081,805.55

An important reason for trading a futures contract rather than an FRA is:

A.

The expense of settling an FRA

B.

The reduced counterparty risk on a futures exchange

C.

The reduced basis risk on futures

D.

The superior interest rate risk on FRAs

When considering interest rate risk in the banking book, retail demand deposits without fixed contractual maturity:

A.

should be assumed to have zero duration

B.

should be treated like other instantly variable rate liabilities, such as overnight money market borrowing.

C.

should be assumed to have a low correlation with money market reference rates

D.

represent a minor contributor to interest rate risk and can safely be disregarded