In additional to the commodity-specific risks, which of the following risks represent the main commodity derivative risks?
I. Basis
II. Term
III. Correlation
IV. Seasonality
A. I, IV
B. I, II
C. I, II, III, IV
D. II, III
正解:C
解説: (Pass4Test メンバーにのみ表示されます)
質問 2:
Which one of the following four options is NOT a typical component of a currency swap?
A. Denomination of the original notional amount into a foreign currency
B. Periodic exchange of interest payments in different currencies
C. An initial currency exchange of the notional amount
D. A final currency exchange
正解:A
解説: (Pass4Test メンバーにのみ表示されます)
質問 3:
Mega Bank holds a $250 million mortgage loan portfolio, which reprices every 5 years at LIBOR + 10%. The bank also has $150 million in deposits that reprices every month at LIBOR + 3%. What is the amount of Mega Bank's rate sensitive assets?
A. $200 million
B. $100 million
C. $150 million
D. $250 million
正解:D
解説: (Pass4Test メンバーにのみ表示されます)
質問 4:
Normally, commercial banking can be viewed as a fixed income carry trade since
A. Short-term fixed rate deposits are used to fund long-term floating rate loans.
B. Short-term fixed-rate deposits are used to fund short-term floating rate loans.
C. Short-term floating-rate deposits are used to fund long-term fixed rate loans.
D. Short-term floating-rate deposits are used to fund short-term floating rate loans.
正解:C
解説: (Pass4Test メンバーにのみ表示されます)
質問 5:
When operating in a heavily traded currency, a commercial and retail bank's treasury is likely to focus on cover operations. Which one of the following four commercial and retails treasury's operations is known as a cover operation?
A. Ensuring that the risks generated by the bank's business are mitigated in the market.
B. Mitigating liquidity risk, or effectively managing the balance sheet and its funding.
C. Managing the net interest rate risk in the banking book directly with market counterparties by operating a derivatives trading desk.
D. Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer price.
正解:A
解説: (Pass4Test メンバーにのみ表示されます)
質問 6:
Which type of risk does a bank incur on loans that are in the "pipeline", i.e loans that are in the process of origination but not yet originated?
A. Interest rate risk and credit risk
B. The bank does not incur any risk since the loan is not yet originated
C. Credit Risk only
D. Interest rate risk only
正解:A
解説: (Pass4Test メンバーにのみ表示されます)
Yamase -
2016-FRRに合格しました、Pass4Testありがとうございます。この問題集をしっかりやれば、まず、落ちることはないと思います。GARPさん、感謝です。