QUESTION: 17

Your money market dealer has lent GBP 5,000,000.00 at 4 3/4% for 6 months (183 days). How much must the counterparty pay back to you in capital plus accrued interest at maturity?

GBP 5,117,123.29
GBP 5,119,075.00
GBP 5,119,075.34
GBP 5,120,729.17

Answer(s): C

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QUESTION: 18

Today is the fixing date for 6x9 FRA that you sold at 5.50% and for which the FRABBA LIBOR is now 6.00%.
Which of the following is true?

You will pay a cash settlement to the counterparty
You will receive the cash settlement
There is no cash settlement pending
There is insufficient information to make a determination

Answer(s): A

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QUESTION: 19

The notional amount in an interest rate swap is:

the sum of all the fixed and floating rate payments
the net difference between fixed and floating rate payments
the principal amount on which floating and fixed interest payments are calculated
the amount at which the two counterparties can close-out their transaction

Answer(s): C

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QUESTION: 20

What does "modified following business day convention" mean?

a convention whereby a transaction is dated the following business day, unless that day extends into the next month, in which case it is dated the preceding business day
a convention whereby a transaction is dated the following business day
a convention whereby a transaction is dated the preceding business day
a convention whereby a transaction is dated the next business day that corresponds to the same numerical day of the month as the preceding payment

Answer(s): A

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QUESTION: 20

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