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Detail Form
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1.
The major difference between futures and OTC instruments like FRAs and interest rate swaps is that futures are:
2.
You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million interest rate swap with exactly two years to maturity . 6-month LIBOR for the next payment date is fixed today at 4.95%. You expect 6-month LIBOR in 6 months to fix at 5.25%, in 12 months at 5.35% and in 18 months at 5.40%. What do you expect the net settlement amounts to be over the next 2 years? Assume 30-day months.
3.
The intrinsic value of a long call option:
4.
What is the probability of an at-the-money option being exercised?
5.
A dealer does the following deals in EUR/USD:
buys EUR 1 m at 11020
sells EUR 3 m at 1.1022
buys EUR 2 m at 1.1002
buys EUR 1.5 m at 1.1012
What position does the dealer now have?
buys EUR 1 m at 11020
sells EUR 3 m at 1.1022
buys EUR 2 m at 1.1002
buys EUR 1.5 m at 1.1012
What position does the dealer now have?
6.
Fraud is typically classified as:
7.
What is the effect of netting?
8.
What is a Vostro account?
9.
For which of the following reasons is the extension of forward contracts at non-current rates is discouraged:
i. These could be used to conceal profit or losses.
ii. These could be used to perpetrate fraud.
iii. These could result in an unauthorised extension of credit.
iv. These could result in confusing settlement instructions.
i. These could be used to conceal profit or losses.
ii. These could be used to perpetrate fraud.
iii. These could result in an unauthorised extension of credit.
iv. These could result in confusing settlement instructions.
10.
Confirmations must be sent out