All prices quoted by brokers should be taken to be:

A.

under reference

B.

firm, but not necessarily in marketable amounts

C.

firm, unless otherwise qualified

D.

merely indicative

A. under reference
B. firm, but not necessarily in marketable amounts
C. firm, unless otherwise qualified
D. merely indicative
Answer: C
Which of the following does not represent an operational risk as defined by Basel rules?

A.

theft of information

B.

damage to an organization through loss of its reputation or standing

C.

market manipulation

D.

loss incurred from the use of incorrect documentation

You are paying 1,00% per annum paid semi-annually and receiving 6-month LIBOR on a
USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR
for the next payment date is fixed today at 0.95%. How would you hedge the swap using
FRAs?
How to hedge an IRS with a strip of FRAs?

A.

buy a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

B.

sell a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

C.

buy a strip of 6x12, 12x18 and 18x24 FRAs

D.

sell a strip of 6x12, 12x18 and 18x24 FRAs

The Model Code’s correct recommendation regarding electronic trading states:

A.

Time stamps on e-trading platforms need to be internally and globally synchronised to
ensure appropriate tracking of trades

B.

All records should be archived and appropriate audit trails must be maintained as
required by the local Central Bank

C.

Regular tests for loss of access to external liquidity platforms but not loss of service to
clients should be undertaken

D.

Testing of the system’s capability to cope with extreme volumes should be carried out
annually

In a plain vanilla interest rate swap, the “fixed-rate payer”:

A.

has established the price sensitivities of a longer-term fixed-rate liability and a floatingrate
asset

B.

has established the price sensitivities of a longer-term fixed-rate asset and a floatingrate liability

C.

receives fixed in the swap

D.

pays floating in the swap

An interest rate guarantee (IRG) is:

A.

AnFRA

B.

An option on an FRA

C.

A collar

D.

AnIRS

A 3-month (90-day) NZD deposit is 2.75% and 6-month (180-day) NZD deposit is 3.00%. What is the 3x6 NZD deposit rate?

A.

3.2281%

B.

3.2278%

C.

3.00%

D.

2.875%

Which one of the following formulae is correct?

A.

Long a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

B.

Long a straight bond + pay floating on a swap = long a synthetic Floating Rate Note

C.

Short a straight bond + receive fixed on a swap = long a synthetic Floating Rate Note

D.

Short a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

rates (which are higher) are unchanged. What would you expect the 3-month forward
USD/CHF rate to be?

A.

unchanged

B.

15/13

C.

10/8

D.

6/4

Under Basel III rules the meaning of RSF is:

A.

Reviewed Supervisory Factor

B.

Required Stable Funding

C.

Riskless Stable Funding

D.

Riskless Supervised Funding