National Institute of

Bank Management

Dashboard  My courses  TR MGMT  MODULE III: DERIVATIVES  EOM III:

TEST: 25-02-2023

Started on Saturday, 25 February 2023, 9:00 AM

State Finished
Completed on Saturday, 25 February 2023, 9:43 AM
Time taken 42 mins 43 secs
Grade 31.00 out of 60.00 (52%)

Question 1 Incorrect Mark 0.00 out of 0.50

A bank has set up forward purchase limit of Rs 250 cr for

an exporter under probable exposure category contract
for rs 100 crore were booked and utilized. Thereafter
contract for rs 100 crores were booked and cancled. The
customer now wants to book some more contracts
under the said F.P. limit. What is the maximum amount,
he would be able to book?

Select one:
a. Rs 150 crores
b. Rs 200 crores
c. Rs 100 crores
d. Rs 50 crores
Question 2 Correct Mark 0.50 out of 0.50

A customer buys put option for strike price of USD 1 =

INR 64 due on 15 Mar 2018. On 15 March, current
exchange rate is USD 1 = INR 64.70. The customer would
–

Select one:
a. None of the other given options
b. Exercise the option.
c. Allow the option to lapse
d. Cancel the contract

Question 3 Incorrect Mark 0.00 out of 0.50

A Margin Call is received by a trader on his exchange

traded futures position when:

Select one:
a. The trader first takes the futures position on the
exchange
b. When the balance in his Margin account falls
below the Initial and Maintenance Margin
requirement for his position
c. The trader settles the futures position on expiry
date
d. When the balance in his Margin account falls
below Initial Margin required for his position
Question 4 Correct Mark 0.50 out of 0.50

A customer has payment for USD 20,000/- falling due

after 90 days. He decides to hedge the exposure. The
current exchange rate is 64.79/80. Premium for 90 days
quoted as 69/70. Forward rate for 90 days would be -

Select one:
a. Rs 64.80
b. Rs 65.50
c. Rs 65.00
d. Rs 65.10

Question 5 Correct Mark 0.50 out of 0.50

AD I Banks may do foreign exchange contracts through

brokers that are

Select one:
a. Registered by SEBI
b. Registered under companies act
c. Recognized by CCIL
d. Accredited by FEDAI

Question 6 Correct Mark 0.50 out of 0.50

An Indian importer who wishes to hedge exchange rate

risk of Rupee depreciation would

Select one:
a. Buy USDINR put options
b. Sell USDINR call option
c. Buy USDINR futures
d. Sell USDINR futures
Question 7 Correct Mark 0.50 out of 0.50

As compared to a 3-month USDINR Call option with

strike price Rs. 65, a 6-month USDINR Call option with an
equal strike price will have:

Select one:
a. A lower premium
b. A higher premium
c. Cannot be determined
d. Equal premium since maturity is the same

Question 8 Correct Mark 0.50 out of 0.50

FEDAI is an association of

Select one:
a. All foreign banks in India
b. All public sector banks in India
c. All AD-I banks in India
d. All the banks in India

Question 9 Correct Mark 0.50 out of 0.50

As per the Garman Kohlhagen pricing model, the put

option premium will ___________ if the volatility in the
returns of USDINR increases, and the put option
premium will _____________ if the USDINR spot rate
increases

Select one:
a. Increase; increase
b. Decrease; increase
c. Increase; decrease
d. Decrease; decrease
Question 10 Incorrect Mark 0.00 out of 0.50

Forward exchange contract can be done for option

period of maximum -

Select one:
a. One year
b. One week
c. One day
d. One month

Question 11 Incorrect Mark 0.00 out of 0.50

If a Bond Futures trader, chooses to be a market maker

in the IRF market, by selling futures contracts, he:

Select one:
a. Decrease the probability to loose
b. Increases the probability of a gain
c. Gives up the opportunity for gains and removes
chance of losses
d. Both (b) and (c) are true

Question 12 Correct Mark 0.50 out of 0.50

If the USDINR exchange rate increases, the premiums on

USDINR call options will ________ and the premiums on
USDINR put options will ______________

Select one:
a. Increase, decrease
b. ecrease, increase
c. Decrease, decrease
d. Increase, increase
Question 13 Incorrect Mark 0.00 out of 0.50

If USDINR exchange increases, a short position in

USDINR put option will

Select one:
a. Make gains
b. Neither gain nor lose since options are only
settled at maturity
c. No Change
d. Make losses

Question 14 Correct Mark 0.50 out of 0.50

In case of cross hedging through IRF contract, an

investor needs to consider the following key factors:

Select one:
a. Conversion Factor of the CTD bond issue
b. PVBP of the bond to be hedged
c. PVBP of the CTD bond issue
d. Hedge Ratio

Question 15 Incorrect Mark 0.00 out of 0.50

Selling a GBPINR call option hedges against the risk of

Select one:
a. Selling options does not provide an effective
hedge
b. A sharp increase in GBPINR in the future
c. A sharp decrease in GBPINR in the future
d. A Decline in USD/INR
Question 16 Correct Mark 0.50 out of 0.50

Strike price of option contract has to be

Select one:
a. Less than current market price
b. None of the other given options
c. More than current market price
d. Same as current market price

Question 17 Incorrect Mark 0.00 out of 0.50

The current value of NIFTY is 10500. The premium on a

NIFTY put option with strike price 10400 will be
_____________ than the premium on a NIFTY put option
(same expiry date) with a strike price of 10500?

Select one:
a. Less than
b. Greater than
c. Equal to
d. Cannot be determined

Question 18 Correct Mark 0.50 out of 0.50

The floating rate in an OIS deal is linked to:

Select one:
a. NSE O/N MIBOR
b. O/N Call Rate
c. None of the other given options
d. FBIL O/N MIBOR
Question 19 Correct Mark 0.50 out of 0.50

Which of the following cannot be the underlying in a

financial derivative contract:

Select one:
a. Market interest rate
b. Equity market index
c. All of the above can be underlyings in a financial
derivative contract
d. Fixed income security

Question 20 Incorrect Mark 0.00 out of 0.50

Which of the following is not a mandatory requirement

of OTC derivatives

Select one:
a. All of the above
b. Position limits on counterparties
c. Margin requirements
d. Daily mark to market settlement

Question 21 Incorrect Mark 0.00 out of 1.00

A bond, listed in the deliverable basket, with a coupon

rate relatively higher than the coupon rate of the
notional bond futures contract will have a Conversion
Factor:

Select one:
a. Less than 1
b. Greater than 1
c. Equal to 1
d. Either of these
Question 22 Correct Mark 1.00 out of 1.00

A CDS contract allow the market players to:

Select one:
a. Get relief in regulatory capital
b. All of them
c. Hedge against credit risk
d. Trade on credit risk

Question 23 Incorrect Mark 0.00 out of 1.00

A 5-Year OIS deal originally entered by say State Bank of

India with HSBC, 2 years before, paying an original fixed
rate of 7% p.a., and with the 3-Year prevailing swap rate
of 6% p.a., gives SBI a:

Select one:
a. Negative MTM
b. Positive MTM
c. Zero MTM
d. Need to be Estimated

Question 24 Correct Mark 1.00 out of 1.00

A CDS contract in India, in occurrence of a credit event,

can be settled through:

Select one:
a. Either of the three ways
b. Cash Settlement
c. Auction based Settlement
d. Physical Settlement
Question 25 Incorrect Mark 0.00 out of 1.00

A CDS position bought by a User in India can be

prematurely unwind with:

Select one:
a. Either of them
b. The original counterparty at mutually agreeable
price
c. Auction based Settlement
d. At a price as arrived at by FIMMDA

Question 26 Incorrect Mark 0.00 out of 1.00

A Mutual Fund has invested in a diversified portfolio of

shares, the current value of which is Rs. 30 crores and
the portfolio beta is 1.2. Nifty futures are quoting at
10,000 and Nifty Futures contract size is 75. In order to
increase portfolio beta to 1.4, the Mutual Fund should
_______ (buy/sell) _________ number of contracts of Nifty
futures

Select one:
a. Sell; 560 contracts
b. Buy; 80 contracts
c. Buy; 400 contracts
d. Sell; 80 contracts
Question 27 Correct Mark 1.00 out of 1.00

A trader contracted a long position of 10 lots in USD/INR

future at 64.5725. The closing rate of the day was
64.2575. The margin account the next day will be:

Select one:
a. Debited by Rs 3150
b. Credited by Re. 3150
c. Difference will show only on month end
d. No change in margin account

Question 28 Incorrect Mark 0.00 out of 1.00

A trader sells one contract of USDINR call option on NSE,

strike price Rs. 65 with expiry date 26-Feb-2018 and
receives a premium of Rs. 1.00. On expiry date, if the
final settlement price is Rs. 64, the gross payoff and net
payoff of the trader are

Select one:
a. Loss of Rs. 1000; Loss of Rs. 1000
b. Rs. 0.00; Loss of Rs. 1000
c. Rs. 0.00; Gain of Rs. 1000
d. Gain of Rs. 1000; Gain of Rs. 2000
Question 29 Correct Mark 1.00 out of 1.00

During the settlement month on a particular day, futures

settlement price is Rs. 101.3. For the deliverable bond,
conversion factor is 0.854 and the accrued interest is Rs.
3.33. What is the invoice price?

Select one:
a. 94.32
b. 89.84
c. 96.93
d. 91.52

Question 30 Incorrect Mark 0.00 out of 1.00

Export turnover of an exporter during the last five years

is as under - 2016-17, 2015-16, 2014-15, 2013-14, 2012-
13, 2011-12 The limit for forward contracts for the next
year under probable exposure method would be

Select one:
a. Rs 250 crores
b. Rs 150 crores
c. Rs 240 crores
d. Rs 200 crores
Question 31 Incorrect Mark 0.00 out of 1.00

If a dealer buys a 1-month GBPUSD FX Swap; notional

amount GBP 1 million, effectively he

Select one:
a. Sells USD 1-month forward against GBP
b. Sells USD spot against GBP and buys USD 1-
month forward against GBP
c. Buys USD 1-month forward against GBP
d. Buys USD spot against GBP and sells USD 1-
month forward against GBP

Question 32 Incorrect Mark 0.00 out of 1.00

If a trader has a view that the interest rate differential

between INR and USD will broaden over one month, and
wishes to gain from this view, while minimizing FX risk,
he will

Select one:
a. Buy a 1-month USDINR FX Swap
b. Receive INR interest and Pay USD interest in a
USDINR currency swap over 1 year
c. Sell a 1-month USDINR FX Swap
d. Buy a 1-month USDINR Forward Contract

Question 33 Correct Mark 1.00 out of 1.00

If a trader wants to make leveraged gains from a view

that GBPINR exchange rate is expected to rise, he should

Select one:
a. Buy GBP against INR
b. Sell GBPINR futures
c. Buy GBPINR futures
d. uy USDINR futures
Question 34 Correct Mark 1.00 out of 1.00

If an American company has made an investment in a

Rupee denominated masala bond paying 8% coupon per
annum and wishes to hedge its exchange rate risk, it will
use a cross currency interest rate swap in which the
American company will:

Select one:
a. Pay USD interest at 8% fixed and receive INR
interest at quoted rate
b. Receive INR interest at 8% fixed and pay USD
interest at quoted rate
c. Pay INR interest at 8% fixed and receive USD
interest at quoted rate
d. Receive USD interest at 8% fixed and pay INR
interest at quoted rate

Question 35 Correct Mark 1.00 out of 1.00

In a situation, where the market price of an interest rate

futures contract is lower than its fair price, a futures
trader may likely to follow:

Select one:
a. Either of these
b. Reverse Cash and Carry Arbitrage
c. None of these
d. Cash and Carry Arbitrage
Question 36 Incorrect Mark 0.00 out of 1.00

In case of an OIS with a maturity of 11 months, the

settlement of interest differential is done

Select one:
a. Either of the Above
b. Once in every Six months
c. Once in every Three months
d. Only Once

Question 37 Correct Mark 1.00 out of 1.00

Most common way to prematurely unwinding an OIS

deal in India is:

Select one:
a. Booking a Reverse Swap
b. Unwinding at a rate given by FIMMDA
c. Unwinding with original counterparty
d. Either of the above

Question 38 Incorrect Mark 0.00 out of 1.00

Net Zero Supply for derivative contract implies

Select one:
a. The derivative contract is not available for trading

b. The derivative contract has expired

c. The derivative contract simultaneously creates
two opposite positions
d. The derivative contract is given an off-balance
sheet treatment
Question 39 Incorrect Mark 0.00 out of 1.00

On 1st Jan, 2018 a trader bought one lot of USD/INR call

option on NSE at a strike price of 64.5 for a premum of
0.20 per USD. On the expirty day of 25th
January,2018the RBI reference rate was 63.75. What is
the gain for the trader on this contract?

Select one:
a. Rs. - 200
b. Rs. 750
c. Rs. 200
d. Rs. 730

Question 40 Incorrect Mark 0.00 out of 1.00

On 9th of February 2018, a trader took a short position

in 2 contracts (1 contract = 12000 shares) of SAIL equity
futures expiring on 28th March 2018. On 22nd of
February, if the trader wants to offset his position he will

Select one:
a. Not do anything since the position cannot be
offset before expiry date
b. Buy 24000 shares of SAIL
c. Buy 2 contracts of SAIL equity futures expiring on
22nd February 2018
d. Buy 2 contracts of SAIL equity futures expiring on
28th of March 2018
Question 41 Correct Mark 1.00 out of 1.00

On trade date 9th February 2018, Tata Steel shares are

trading at spot price of Rs. 675.00. A trader buys 1 lot
(1061 shares) of Tata Steel equity futures (expiry date
28th March 2018) on the National Stock Exchange at a
futures price of Rs. 680.00. On the trade date, the trader
will be required to pay:

Select one:
a. The spot price of Tata Steel shares
b. The Margin on the position taken
c. Nothing
d. The futures price of Tata Steel

Question 42 Correct Mark 1.00 out of 1.00

One advantage of using swaps to eliminate interest-rate

risk is that swaps:

Select one:
a. Are less costly than futures
b. Have better accounting treatment than options
c. Are more liquid than future
d. Are less costly than rearranging balance sheets

Question 43 Correct Mark 1.00 out of 1.00

The currency futures available on Indian exchanges are

standardized with respect to

Select one:
a. All of the above
b. Currency pairs
c. Expiry date
d. Settlement type
Question 44 Correct Mark 1.00 out of 1.00

The Daily Settlement Price of currency futures on Indian

exchanges is

Select one:
a. The last half-hour weighted average of currency
futures traded prices
b. The last half-hour weighted average spot
exchange rate
c. The RBI currency reference rate
d. None of the above

Question 45 Correct Mark 1.00 out of 1.00

The latest methodology prescribed by RBI (2016) for

estimating counterparty credit risk for derivative
positions is called:

Select one:
a. Standardized Approach for Counterparty Credit
Risk (SA- CCR)
b. Credit Valuation Adjustment (CVA)
c. Current Exposure Method (CEM)
d. Standardized Measurement Method (SMM)

Question 46 Correct Mark 1.00 out of 1.00

The maturity date of a forward exchange contract falls

on 13th Feb 2018. The said date is declared as a holiday
subsequently. The settlement date will:

Select one:
a. Not change.
b. Be preponed to the previous day
c. Be next spot value date
d. Be postponed to the next working day.
Question 47 Correct Mark 1.00 out of 1.00

The purpose of conversion factor is to:

Select one:
a. Make the seller minimise his loss for the bond he
delivers
b. Make the seller earn profits in the bond he
delivers
c. Reduce the transaction cost for the buyer
d. Make the seller of the futures contract indifferent
to the bond he delivers

Question 48 Incorrect Mark 0.00 out of 1.00

The seller of a USDINR put option will make _______ ______

if USDINR falls sharply

Select one:
a. Unlimited gains
b. Limited losses
c. Unlimited losses
d. Limited gains
Question 49 Incorrect Mark 0.00 out of 1.00

The spot price of HDFC Bank shares on NSE is Rs.

1850.00. A trader identifies two options (expiry date
22nd February) on HDFC Bank shares, the first is a call
option with a strike price of Rs. 1800 and the second is a
put option with a strike price of 1900.

Select one:
a. The first option is in-the-money and the second
option is out-of-the-money
b. Both the options are in-the-money
c. The first option is out-of-the-money and the
second option is in-the-money
d. Both the put options are out-of-the-money

Question 50 Incorrect Mark 0.00 out of 1.00

The USDINR spot (Bid/ Ask) is 64.7200/64.7250. The

USDINR 3 month Forward paise (Bid/Ask) are 77/80. The
3 month USDINR forward bid rate will be

Select one:
a. 65.52
b. 65.495
c. 65.49
d. 65.525
Question 51 Correct Mark 2.00 out of 2.00

The spot USDINR is 65, the 1-year is USD Libor is 2.25%

and the INR Mibor is 7.0%. The 1 year USDINR forward
premium will be (approximately upto 2 decimal places)

Select one:
a. Rs. 1.25
b. Rs. 4.75
c. Rs. 5.02
d. Rs. 3.02

Question 52 Incorrect Mark 0.00 out of 2.00

The payoff to the holder of a long FRA on 90-day LIBOR

with a fixed rate of 8.75 percent, a notional amount of
$20 million if the underlying is 9 percent at expiration,
and with 30/360 day count convention is:

Select one:
a. 12225
b. -12500
c. -12225
d. 12500

Question 53 Correct Mark 2.00 out of 2.00

The fixed rate on an FRA expiring in 30 days on 180-day

LIBOR with the 30-day rate being 5 percent and the 210
day rate being 6 percent is:

Select one:
a. 5 percent
b. 6 percent
c. 6.14 percent
d. 5.5 percent
Question 54 Correct Mark 2.00 out of 2.00

The fair price of a 3-Months (90 days maturity) single

bond futures contract, on 7.72 GS 2025, presently traded
in the spot market at Rs.99.53/-, with a 3-months MIBOR
of 7.60% p.a., will be:

Select one:
a. 99.4652
b. None of these
c. 99.5001
d. 99.4911

Question 55 Correct Mark 2.00 out of 2.00

The current spot of a XYZ shares is Rs. 500. The company

is not expected to pay any dividend for the next six
months. The 3 month risk-free interest rate is 6%. The
Cost of Carry Model based price of the 3-month futures
on XYZ stock would be

Select one:
a. Rs. 530.00
b. Rs. 507.50
c. Rs. 502.50
d. Rs. 506.00
Question 56 Correct Mark 2.00 out of 2.00

On 1st February, a trader sells 2 contracts of 22nd

February expiry Nifty futures contracts at a futures price
of Rs. 10,700. Each Nifty futures contract size is 75. On
8th February, the trader sells 3 more contracts of the
same February-end Nifty futures at a price of 10,300. The
trader holds the total position till expiry date. If on 22nd
February, the final settlement price of the Nifty futures
contracts is Rs. 10,500, the trader has made a total
___________ (profit / loss) of Rs.___________.

Select one:
a. Profit; Rs. 15,000
b. Loss of Rs. 75,000
c. Loss; Rs. 15,000
d. Profit; Rs. 75,000

Question 57 Incorrect Mark 0.00 out of 2.00

A trader has sold 5 contracts (1 contract = 100 shares) of

ACC Put options, strike price Rs. 1700, expiring on 22nd
February 2018 at a premium of Rs. 50 per share. On
expiry date, ACC stock price is Rs. 1500. The net payoff to
the trader will be

Select one:
a. Loss of Rs. 100,000
b. Gain of Rs. 100,000
c. Loss of Rs. 75,000
d. Gain of Rs. 75,000
Question 58 Incorrect Mark 0.00 out of 2.00

A trader has bought 2 contracts (1 contract = 100 shares)

of ACC Call option, strike price Rs. 1700, expiring on 22nd
February 2018, at a premium of Rs. 25 per share. On
expiry date, ACC stock price is Rs. 1500. The gross payoff
to the trader will be

Select one:
a. Loss of Rs. 40000
b. Loss of Rs. 5000
c. Rs. 0.00
d. Loss of Rs. 45000

Question 59 Incorrect Mark 0.00 out of 2.00

A Mutual Fund (MF) holds a diversified portfolio of bank

stocks. The view is that due to higher year end
provisioning, bank's equity prices will fall by March end.
If the MF wants to protect the returns on the portfolio in
the most efficient way, it should

Select one:
a. Liquidate the portfolio
b. Buy stock index futures
c. Sell equity futures of the individual bank stock
d. Sell bank index futures
Question 60 Incorrect Mark 0.00 out of 2.00

A 6 month USDINR forward contract was booked by your

bank for buying USD 200,000 at the contractual rate of
65.50. Three months after the contract was booked, the
3 month USDINR forward rate is 65.25 and the MIBOR is
6.0%. The mark-to-market value of the booked forward
contract is

Select one:
a. Rs. 48,543.7 loss
b. Rs. 50,000 loss
c. Rs. 47,169. 8 gain
d. Rs. 49,261.1 loss