Interest Rate Derivatives Quiz – 7

Which risk is mitigated by the Delivery versus Payment (DvP) mode of settlement?

A bond portfolio’s current market value is Rs 100 cr and the portfolio modified duration (MD) is 6. If the YTM falls by one basis point (0.01%), calculate the new market value.

The initial margin/contract level minimum margin will be .

The legal form of Professional Clearing Member can be .

SPAN margining is applied between .

An investor can open Gilt Account(s).

The seller must deliver , in the physical settlement of Government bond futures.

When the long-term rate rises more than the short-term rate, the shift in structure is .

Considering global derivative markets, which of the following is bigger in size?

Investors can hold Govt. securities in demat form in which of the following?

A Professional Clearing Member can settle trades .

If the 6-month rate is 6%, 1-year rate is 7% and 10-year rate is 8.5%, the shape of the term structure is .

A zero-coupon bond issued by a corporate will have which of the following risks?

The price of a bond is Rs 100. YTM is 8%, Modified Duration is 4. If YTM changes by 2%, price change is .

If the shape of term structure is ‘Normal’, it implies that .

When is the auction conducted for short delivery of securities?

What are the number of maximum contracts available for trading in Govt. Bond futures?

Bond price is 120, MD = 6.0, YTM changes by 1%. Price change is .

When speculating the timing of interest rate change, you should match the .

In a Gilt Account .

Bond price = Rs 97, Coupon = 8.5%. What is current yield?

If all rates move in the same direction by the same extent, the shift is called .

The trade guarantee for exchange traded derivatives is provided by .

The value of derivative in the balance sheet is its “fair value”, which is its .

Who maintains Constituent SGL account with the PDO of RBI?

If VaR (1 Day – 99%) = Rs 17, it means .

In a Callable bond, the can prepay the bond before maturity.

Coupon is not a true return measure because .

Between Modified Duration (MD) and PVBP, which is a better risk measure?

Which interest rate affects Treasury Bill prices?

Which among the following options is a derivative?

Long and short positions can be offsetted at , for proprietary trades.

Converting a floating-rate loan into a fixed-rate loan is .

A company issues two bonds having the same maturity but different coupon. An investor will choose one bond over the other for investment because of .

Clearing Corporation protects itself from the counterparty credit risk and settlement risk from both buyer and seller by .

orders will be executed at a favourable price.

A Professional Clearing member can execute trades for .

What is Market liquidity risk?

On which day does the Government of India conduct the auction for Treasury Bills?

The last trading day for Treasury Bill future contract is .

What shift in the term structure is called if the long term minus short term rate moves from -2% to -1.5%?

There is no possibility of yield curve spread risk when the term structure shift is .

A client of a trading member has a long position of 14 contracts and short position of 3 contracts in the same underlying. What is the net position for the client?

The contract-level minimum margin is .

The maximum contract months available for 10-year, 6-year, and 13-year bond futures is .

When there is a failure to notify the Intent to Deliver, the auction is conducted on .

The underlying for short term interest rate derivatives is .

Currently the underlying for Interest Rate Derivatives in India is / are .

Which is the correct sequence of products launched in the Indian Exchange traded derivatives market?

The size of counterparty credit risk is equal to the .

Considering 30/360 day count basis, how many days are counted for interest accrual from Feb 28, 2015 to March 1, 2015?

A Trading-cum-Clearing Member is a member of .

The Yield curve spread risk deals with the differential price changes in .

What will be the shape of term structure if the difference between Long term rate and short term rate is zero?

The current position limit at Clearing Member level is .

Holdings of Govt. securities of investors are held in with the Public Debt Office of RBI.

When the original period of borrowing or lending is more than a year, it is .

Suppose the 3-month rate is 5.5%, the 1-year rate is 7.5% and the 10-year rate is 6%. What is the shape of the term structure?

Calculate the change in the value of one futures contract if the Government Bond futures contract price changes by 100 ticks.

The risk which is faced by the highest number of market participants is .

The extreme loss margin is implemented by the .

A fixed rate housing loan is not exposed to any interest rate risk – State True or False?

Basis Risk’ refers to the differential price changes in .

Interest rate derivatives is best described as .

Exchange traded Interest Rate Derivatives are always settled in .

If the interest rate falls within the period, the shape of the term structure will be .

have to obtain prior permission of RBI to short sell Govt. Bond futures.

Inter-commodity spread consists of two trades with .

When is the Delivery Margin payable?

Which of the following is the settlement day of the 91 day bill futures contract?

Yield to Maturity (YTM) is not a completely satisfactory measure of return because .

Who conducts the settlement of trades of Exchange Traded Derivatives?

Investors can hold Government Securities .

is the true return on investment.

The price quotation for Government Bond futures is .