How long does the Model Code recommend that tapes and other records ofdealers/brokers be kept?

A.

at least two months

B.

one year

C.

up to one month

D.

at least three months

A bank that has quoted a firm price is obliged to deal:

A.

At that price

B.

At that price in a marketable amount

C.

At that price in a marketable amount, provided the counterparty’s name is acceptable

D.

At that price in a marketable amount, provided the counterparty’s name is acceptable and the market price has not moved excessively

Today’s spot value date is the 30th of June. What is the maturity date of a 2-month EUR deposit deal today? Assume no bank holidays.

A.

27th August

B.

30th August

C.

31st August

D.

1 September

Which of the following is a function of asset and liability management (ALM)?

A.

coodinated limit management of a financial institution’s credit portfolio

B.

running a matched trading book

C.

monitoring credit quality of assets and establishing a early warning system

D.

managing the financial risk of the bank by protecting it from the adverse effects of changing interest rates

You have taken 3-month deposits of EUR 10,000,000.00 at 0.60%, EUR 5,000,000.00 at
0.40% and EUR 5,000,000.00 at 0.50%.
What is the average rate of your long position?

A.

0.525%

B.

0.45%

C.

0.75%

D.

0.375%

A bond is trading 50 basis points special for 1 week, while the 1-week GC repo rate is 3.25%. If you held GBP 10,500,000.00 of this bond, what would be the cost of borrowing against it in the repo market?

A.

GBP 7,551.37

B.

GBP 6,544.52

C.

GBP 5,537.67

D.

GBP 1,006.85

You are quoted the following market rates:
Spot GBP/USD 1.5525
9M (272-day) GBP 0.81%
9M (272-day) USD 0.55%
What are the 9-month GBP/USD forward points?

A.

-30

B.

+29

C.

-29

D.

+30

Responsibility for the activities of all personnel engaged in dealing (both dealers and support staff) for both principals and brokers lies with:

A.

the market supervisor

B.

the national ACI association

C.

the management of such organizations

D.

the central bank

What is the correct interpretation of a EUR 2,000,000.00 overnight VaR figure with a 97%
confidence level?

A.

A loss of at least EUR 2,000,000.00 can be expected in 97 out of the next 100 days.

B.

A loss of at most EUR 2,000,000.00 can be expected in 3 out of the next 100 days.

C.

A loss of at least EUR 2,000,000.00 can be expected in 3 out of the next 100 days.

D.

A loss of at most EUR 2,000,000.00 can be expected in 6 out of the next 100 days.

A 12-month EUR/USD swap is quoted at 41/44. EUR interest rates are expected to fall, with USD interest rates remaining stable.
Assuming no change in the spot rate what effect would you expect on the forward points?

A.

Unchanged

B.

Move towards 28/31

C.

Move towards 5 7/60

D.

Insufficient information