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Question 1 of 11
1. Question
Read the following statements and choose the correct option:
Statement 1: The agreement in an OTC derivatives transaction is called a confirm.
Statement 2: swap rate is the average of the all the bid quotes.
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Question 2 of 11
2. Question
Bank X, is an US Bank and Bank Y, is a European Bank. Both have entered into a fixedfixed currency swap. Bank X has paid principal amount of 150M USD and Y pays 100M Euros to Bank X.
Interest paid by X to Y is 5% and receives 4% annually. Determine value of currency swap for X, which has remaining 2 years. Assuming yields in US & Europe are 2% and 3%. Spot exchange rate is 1.4 USD/ 1 EUR.
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Question 3 of 11
3. Question
A $10 million notional swap that pays floating rate based on 6month LIBOR and receives 5% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates as 3,6 & 15 months. Spot LIBOR rates are as follows: 3 months at 5.2%, 9 months at 5.5% and 15 months at 5.8%. LIBOR of last payment was 7%. Calculate value of swap to the fixed rate payer using FRA.
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Question 4 of 11
4. Question
A $10 million notional swap that pays floating rate based on 6month LIBOR and receives 5% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates as 3,6 & 15 months. Spot LIBOR rates are as follows: 3 months at 5.2%, 9 months at 5.5% and 15 months at 5.8%. LIBOR of last payment was 7%. Calculate value of swap to the fixed rate payer
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Question 5 of 11
5. Question
Which swaps can have both legs of swap as floating?
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Question 6 of 11
6. Question
Which swaps can be used to convert to transform from fixed/floating to an indexbased returns?
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Question 7 of 11
7. Question
Magnitude of potential loss in swaps is ______________ when compared to loss on debt defaults?
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Question 8 of 11
8. Question
Which of the following is inaccurate about currency swaps?
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Question 9 of 11
9. Question
At what rates are swap cash flows discounted?
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Question 10 of 11
10. Question
Swaps are similar to forwards, except?
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Question 11 of 11
11. Question
Company Y has a liability of $800M with a paying term of 20 years and payable yearly. Interest rate on loan is LIBOR+1%. Company wants to bring in certainty in terms of amount to be paid every year and decides to enter into a swap. Which swap could be the best option for this purpose?
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