Hybex Electrics is a highly rated company with a considerable amount of fixed rate liabilities and would like to increase the percentage of floating rate debt. Which of the following is the best course of action?

A.

Hybex should become a payer of a fixed rate on a swap against receipt of LIBOR.

B.

Hybex should become a receiver of a floating rate on a swap against payment of a fixed rate

C.

Hybex should become a receiver of a fixed rate on a swap against payment of LIBOR D.

D.

Hybex should become a receiver of a floating rate on a swap against payment of LIBOR

What is EONIA?

A.

Volume-weighted average overnight EUR deposit rate

B.

Volume-weighted average overnight EUR LIBOR

C.

Arithmetic average overnight EUR deposit rate

D.

ECB overnight lending rate

When do bank participants have a duty to make absolutely clear whether the prices they are quoting are firm or merely indicative?

A.

only if they are dealing with brokers

B.

only if dealing on an e-trading platform
VA

C.

only if they are dealing in non-marketable amounts

D.

always

The vega of an option is:

A.

The sensitivity of the option value to changes in interest rates

B.

The sensitivity of the option value to changes in implied volatility

C.

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

D.

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

Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

A.

> 2% of 6 months forward earnings

B.

> 20% of regulatory capital

C.

<10% of regulatory capital

D.

< 5% of 12 months forward earnings

You have a short position of 50 EURODOLLAR futures contracts. You can hedge your position by:

A.

Selling a FRA for a similar notional amount

B.

Buying a FRA for a similar notional amount

C.

Selling a call option on the contract

D.

Selling a put option on the contract

From the following GBP deposit rates:
1M (30-day) GBP deposits 0.45%
2M (60-day) GBP deposits 0.50%
3M (91-day) GBP deposits 0.55%
4M (123-day) GBP deposits 0.65%
5M (153-day) GBP deposits 0.70%
6M (184-day) GBP deposits 0.75%
Calculate the 3x4 forward-forward rate.

A.

0.60%

B.

0.949%

C.

1.074%

D.

0.933%

What ought to be done in the event a trade erroneously occurs at an off-market rate?

A.

By agreement between the two counterparties, the trade must be cancelled as soon as practically possible since a rate amendment is prohibited.

B.

By agreement between the two counterparts, the trade should, as soon as practically possible, either be cancelled or have its rate amended to an appropriate market rate.

C.

The off-market rate should be adjusted as soon as possible to the appropriate current market rate and a new authenticated SWIFT confirmation sent immediately to the

D.

Nothing need be done, since once a trade is agreed to by the front office it is a binding agreement for both counterparties.

Which Greek letter is used to describe the ratio of change in the option price compared with
change in the price of the underlying instrument, when all other conditions are fixed?

A.

beta

B.

gamma

C.

delta

D.

theta

You request use of funds from your agent bank for 1 day on an amount of EUR
100,000,000.00, EONIA was 0.812% and the ECB deposit facility rate is 0.50%. What use of funds settlement amount should you expect?

A.

EUR 1,388,89

B.

EUR 1,561.11

C.

EUR 2,255.56

D.

EUR 2,951.39