20
You buy a Certificate of Deposit with a nominal value of CHF 30 million in the
secondary market at a yield of 1.75%. The remaining term is 30 days. The
original term was 60 days and the CD was issued at with a coupon of 1.85%.
What is the price of this CD?
a.
b.
c.
d.
CHF 30,000,000.00
CHF 30,041,186.50
CHF 30,048,679.01
CHF 30,092,500.00
21
A trader repos out 5% (actual/actual) Dutch State Loans with a nominal value
of EUR 20 million on a flat basis. The term of the repo is 10 days. The clean
price of these bonds is 101.00%. There are 50 accrued coupon days at the start
date of the repo. What is the initial consideration of this repo?
a.
b.
c.
d.
EUR 20,200,000.00
EUR 20,227,397.26
EUR 20,336,986.30
EUR 20,138,356.16
22
As a market user you conclude a flat basis repo transactions as a seller. The
clean price of the repoed 3.60% US-Treasury Bonds is 50,000,000 and the
dirty price is USD 50,210,000 (42 days accrued interest). The term of the repo
is 6 days and the repo was quoted to you as 1.70 - 1.74%. What will be the
maturity consideration of this repo transaction?
a.
b.
c.
d.
USD 50,014,560.90
USD 50,224,560.90
USD 50,225,226.17
USD 50,311,926.30
23
You repo out General Collateral bonds with a single A rating and a dirty market value of EUR 15,790,432.16 including accrued interest of EUR 12,800.00
The repo buyer demands a margin of 5%. What is the initial consideration?
a.
b.
c.
d.
EUR 15,026,316.34
EUR 15,038,506.82
EUR 15,790,432.16
EUR 16,579,953.77
5
The Financial Markets Academy, April 2011
61
You are short of CHF deposits in your bank and wish to fill this position by
raising USD deposits and swapping the US-dollars to Swissies. You are quoted
the following swap points:
ƒ Credit Suisse 150 -145
ƒ Bank of Tokyo 152 - 147
Which price do you accept?
a.
b.
c.
d.
145
147
150
152
62
The 2 months gold foward rate is 2.75% and the 2 months LIBOR is 2.50%.
What is the Gold mid market lease rate?
a.
b.
c.
d.
6.25 basispoints
18.75 basispoints
31.25 basispoints
43.75 basispoints
63
What is the 3 month forward gold price for one Troy ounce if if the current
spot price is GBP 950.00 and the Gold swap rate is 8.75%?
a.
b.
c.
d.
GBP 866.875
GBP 929.22
GBP 970.78
GBP 1,033.125
64
A trader wants to take profit from a increase in interest rates after six months.
Which of the following combination of transactions should he use?
a.
b.
c.
d.
Borrow three months and lend six months
Borrow six months and lend nine months
Borrow six months and lend three months
Borrow nine months and lend six months
65
A trader wants to hedge a mismatch position in which he has taken a six
months deposit and given a nine months deposit. How can he do this?
a.
b.
c.
d.
Buy a 3s v 9s FRA
Buy a 6s v 9s FRA
Sell a 3s v 9s FRA
Sell a 6s v 9s FRA
15
The Financial Markets Academy, April 2011