December 08 Exam questions

[Codeelicious]

Hi all.. this is just a rough idea of what came out. for the new
students to refer.
some forgotten....

Module 2) Section B)


Q1) MGS calculation


2)


3) What is BA and its special features?


Module 3 Sec B


1) Calculate the (cross rates)
immediate forwards -value today with
fixed forward
option forwards


2) Discuss 4 Fx exposure risks


3) Discuss and explain 2 of the following...with examples and diagram
if appropriate
a) Swap
b) The premises of technical analysis
c) head and shoulder


Module 4 Sec B


1) Discuss the following risks in IRS
- operational risk
-credit risk
-interest rate risk
- liquidity risk


2) xyz want to borrow...........................
calculate eurodollar futures and FRA
which is better?
what do you need to do?
Calculate profit/ loss in futures?
Calculate FRA settlement amount?


3)
a) Discuss european and american options


b) Compare 2 main differences - OTC Fx options and futures currency


c) Factors affecting pricing of options

[Chris Tan]

Adding to Codee's Module 4 Question 2

Customer XYZ NEEDS to borrow USD 20 million in 2 months time for 3 months. He is worried about rising interest rates and wishes to lock in his borrowing cost. Based on the current rates in the market given below....
(think the value date given is like August or sth)

FRA Rates
FRA 1 X 4
FRA 2 X 5
FRA 3 X 6

Futures
September
December
March

a) Which method would you recommend to XYZ to use... and why? (2 marks)

b) If futures, what would you do? (1 mark)
i.e: Which futures, how many contracts etc....

c) Calculate the profit/loss (if any) from using futures if when it is time to unwind the rate is ......   (2 marks)
i.e: Use the tick difference X 25USD X No. of Contracts

d) If FRA, what would you do?  (1 mark)
............. FRA 2 X 5

e) Upon unwinding the FRA, rate is ....., what is the settlement amount?  (3 marks?)
Formulae as given in formula sheet =) (just have to remember to use 3 months not total months in calculation)



Module 3 Section B

The following are the rates quoted to you in the market

USD/MYR
O/N
Tom/Next
Swap Points

AUD/USD
O/N
Tom/Next
Swap Points

One of the above is traded at a premium, while the other is traded at a discount, examinees must note the difference....

a) Calculate USD/MYR value today  (2 marks)
i.e: Must know which swap points to use, that value today is means you cross add/subtract, and how to apply the discount/premium

b) Calculate AUD/MYR value today (2 marks)
i.e: Same as above but is the previous was cross add, then this is cross subtract

c) Calculate AUD/MYR val today (2 marks)
ie: Simple multiplication of the bid and the offer of answers in (a) and (b), so getting one wrong means losing 6 marks

d) Give two examples of an immediate transaction and explain what you would do (2 marks)
i.e: Val today, Val tom I guess

e) Give two examples of a options forward and explain what you would do (2 marks)

Cheers,
Chris

[Codeelicious]

On Dec 14, 6:50 pm, Codeelicious <codeew...@yahoo.com> wrote:
> Hi all.. this is just a rough idea of what came out. for the new
> students to refer.
> some forgotten....
>
> Module 2)  Section B)
>
> Q1) MGS calculation
>

> 2) Why MGS yield is lower than KLIBOR
> Why NID yield is lower than those issue by corporates