Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Standard view
Full view
of .
Save to My Library
Look up keyword
Like this
0 of .
Results for:
No results containing your search query
P. 1


Ratings: (0)|Views: 859 |Likes:
Published by Madiyar Mambetov

More info:

Published by: Madiyar Mambetov on Nov 28, 2012
Copyright:Attribution Non-commercial


Read on Scribd mobile: iPhone, iPad and Android.
download as RTF, PDF, TXT or read online from Scribd
See more
See less





1. Federal regulations in the U.S. allow derivatives to be used only by the 25 largestbanks.
Saunders - Chapter 23 #1
2. Derivative contracts allow an FI to manage interest rate and foreign exchange risk.
Saunders - Chapter 23 #2
3. The replacement cost of the derivative contracts for the top 25 derivative users wasgreater than the credit exposure as of September 2006.
Saunders - Chapter 23 #3
4. The Financial Accounting Standards Board requires that all derivatives be marked-to- market with any losses and gains transparent on FI's financial statements.
Saunders - Chapter 23 #4
5. A spot contract specifies deferred delivery and payment.
Saunders - Chapter 23 #5
6. A forward contract specifies immediate delivery for immediate payment.
Saunders - Chapter 23 #6
7. In a forward contract agreement, the quantity of product to be traded, the time of the actual trade and the price are determined at the time of the agreement.
Saunders - Chapter 23 #7
8. A perfect hedge or perfect immunization, seldom occurs.
Saunders - Chapter 23 #8
9. Immunizing the balance sheet against interest rate risk means that gains (losses)from an off-balance-sheet hedge will exactly offset losses (gains) from the balancesheet position.
Saunders - Chapter 23 #9
10. An FI with a positive duration gap is exposed to interest rate declines and couldhedge its interest rate risk by buying forward contracts.
Saunders - Chapter 23 #10
11. An FI with a negative duration gap is exposed to interest rate declines and couldhedge its interest rate risk by buying forward contracts.
Saunders - Chapter 23 #11
12. An off-balance-sheet forward position is used to hedge the FI's on-balance-sheetrisk exposure.
Saunders - Chapter 23 #12
13. Microhedging uses futures or forward contracts to hedge the entire balance sheetduration gap.
Saunders - Chapter 23 #13
14. Macrohedging uses a derivative contract, such as a futures or forward contract, tohedge a particular asset or liability risk.
Saunders - Chapter 23 #14
15. Routine hedging will allow the FI to achieve the return from the assets andliabilities on the balance sheet.
Saunders - Chapter 23 #15
16. Selective hedging occurs by reducing the interest rate risk by selling sufficientfutures contracts to offset the interest rate risk exposure of a portion of the cashpositions on the balance sheet.
Saunders - Chapter 23 #16
17. Hedging selectively only a portion of the balance sheet is an attempt to increasethe return of the FI by accepting some level of interest rate risk.
Saunders - Chapter 23 #17
18. The sensitivity of the price of a futures contract depends on the duration of thedeliverable asset underlying the contract.
Saunders - Chapter 23 #18
19. All bonds that are deliverable under a Treasury bond futures contract have amaturity of 20 years and an interest rate of 8 percent.
Saunders - Chapter 23 #19
20. Hedging a specific on-balance-sheet cash position usually will only require more T-bill futures contracts than hedging the same cash position with T-bond futurescontracts because the t-bond contract size is only 10 percent as large as large as the T-bill contract.
Saunders - Chapter 23 #20
21. A conversion factor often is to figure the invoice price on a futures contract whena bond other than the benchmark bond is delivered to the buyer.
Saunders - Chapter 23 #21
22. Basis risk occurs when the underlying security in the futures contract is not thesame asset as the cash asset on the balance sheet.
Saunders - Chapter 23 #22
23. An adjustment for basis risk with a value of "br" less than one means that thepercent change in the spot rates is greater than the change in rate in the deliverablebond in the futures market.
Saunders - Chapter 23 #23
24. Hedging foreign exchange risk in the futures market may involve uncertaintyabout all of the transactions necessary to achieve the hedge to fulfillment.
Saunders - Chapter 23 #24
25. Tailing-the-hedge normally requires an FI manager to utilize more futurescontracts to hedge a cash position than are warranted by the initial analysis.
Saunders - Chapter 23 #25
26. The hedge ratio measures the impact that tailing-the-hedge will have on thenumber of contracts necessary to hedge the cash position.
Saunders - Chapter 23 #26

Activity (8)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
Swati Verma liked this
Ngoc Khanh liked this
Andrew Templin liked this
Vivian Yeh liked this
Vivian Yeh liked this

You're Reading a Free Preview

/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->