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Free ICBRR Exam Braindumps (page: 32)

Page 32 of 87
PDF with 342 Questions

Floating rate bonds typically have ________ duration which means they have ________ sensitivity to interest rate changes.

  1. long, small
  2. long, high
  3. short, high
  4. short, small

Answer(s): D



A portfolio consists of two floating rate bonds and one fixed rate bond.

Based on the information below, modified duration of this portfolio is

  1. 2.64
  2. 3.00
  3. 4.28
  4. 4.44

Answer(s): A



Banks duration match their assets and liabilities to manage their interest risk in their banking book. A bank has $100 million in interest rate sensitive assets and $100 million in interest rate sensitive liabilities. Currently the bank's assets have a duration of 5 and its liabilities have a duration of 2. The asset-liability management committee of the bank is in the process of duration-matching.
Which of the following actions would best match the durations?

  1. Increase the duration of liabilities by 2 and increase the duration of assets by 1.
  2. Increase the duration of liabilities by 2 and decrease the duration of assets by 1.
  3. Decrease the duration of liabilities by 1 and increase the duration of assets by 1.
  4. Decrease the duration of liabilities by 1 and decrease the duration of assets by 1.

Answer(s): B



Forward rate agreements (FRA) are:

  1. Exchange traded derivative contracts that allow banks to take positions in forward interest rates.
  2. OTC derivative contracts that allow banks and customers to obtain the risk/reward profile of long-term interest rates by relying on long-term funding.
  3. Exchange traded derivative contracts that allow banks to take positions in future exchange rates.
  4. OTC derivative contracts that allow banks to take positions in forward interest rates.

Answer(s): D



Page 32 of 87



Post your Comments and Discuss GARP ICBRR exam with other Community members:

Vey commented on May 27, 2023
highly appreciate for your sharing.
CAMBODIA
upvote

Vey commented on May 27, 2023
Highly appreciate for your sharing.
CAMBODIA
upvote