The weighted average duration of liabilities can be increased by:

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The weighted average duration of liabilities can be increased by:
A. buying additional 30-year German Government bonds
B. selling futures contracts on 30-year German Government bonds
C. buying futures contracts on 10-year German Government bonds
D. exercising an early repayment option on a long-term senior borrowing

Answer : D



An important reason for trading a futures contract rather than an FRA is:
A. The expense of settling an FRA
B. The reduced counterparty risk on a futures exchange
C. The reduced basis risk on futures
D. The superior interest rate risk on FRAs

Answer : B



What is a short strangle option strategy?
A. A short call option + long put option with a higher strike price than the call option
B. A long call option + long put option with a lower strike price than the call option
C. A short call option + short put option with a lower strike price than the call option
D. A long call option + long put option with higher strike price than the call option

Answer : C



Which of the following currency risks could only be hedged by a non deliverable forward
(NDF)?
A. an exposure in Latvian Lats (LVL)
B. an exposure in Russian Rouble (RUB)
C. an exposure in Romanian Leu (RON)
D. an exposure in Bulgarian Lev (BGN)


Answer : B



You are quoted spot USD/NOK 5.7220-28 and USD/SEK 6.3850-58, at what price can you buy NOK against SEK?
A. 0.8963
B. 1.1157
C. 1.1159
D. 1.1160


Answer : D