Todays spot value date is Friday 27th February. What is normally the 1-month maturity date? Assume no bank holidays.

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Todays spot value date is Friday 27th February. What is normally the 1-month maturity date? Assume no bank holidays.
A. 28th March
B. 29th March
C. 30th March
D. 31st March

Answer : D



What is a ‘duration gap’?
A. the average maturity of liabilities on a balance sheet
B. the difference between the duration of assets and liabilities
C. the difference between the duration of the longest-held and shortest-held liabilities on the balance sheet
D. the average maturity of the portfolio on the asset side of a balance sheet

Answer : B



EURODOLLAR futures are:
A. Traded on the Chicago Mercantile Exchange (CME Group) and have a face value of USD 500,000.00
B. Traded on the Intercontinental Exchange (ICE) and have a face value of USD 1,000,000.00
C. Traded on the Intercontinental Exchange (ICE) and have a face value of USD 500,000.00
D. Traded on the Chicago Mercantile Exchange (CME Group) and have a face value of USD 1,000,000.00

Answer : D



A 3-month (91-day) deposit of AUD 25,000,000.00 is made at 3.25%. At maturity, it is rolled over three times at 3.55% for 90 days, 4.15% for 91 days and 4.19% for 89 days. At the end of 12 months, how much is repaid (principal plus interest)?
A. AUD 25,962,011.00
B. AUD 25,959,714.91
C. AUD 25,948,878.47
D. AUD 25,948,648.82

Answer : A



You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90- day) BBA LIBOR, which is fixed at 0.9500%.
What is the settlement amount at maturity?
A. You pay CAD 20,000.00
B. You receive CAD 20,000.00
C. You pay CAD 19,952.61
D. You receive CAD 19,952.61


Answer : C