Interest Rate Derivatives set 4

Which of the following statements is correct for Netting?

___is a ‘Standard Tenor’ in money market.

The ‘Clearing Account’ is used exclusively for making and receiving payments with Clearing Corporation – State True or False ?

The settlement for exchange traded derivatives is done by _

A person wishes to hedge the long term interest rate as he expects the rate change to happen in the long term. Which of the following options should he choose ?

Depository for government securities is the___

When the interest rate is same for all terms, the shape of term structure is called _

The FAIR VALUE for derivatives in accounting standards is its Book Value – State True or False ?

Which of the following is a correct measure of the realized return for a zero-coupon bond ?

Every debit in Gilt Account would require authorization from Gilt Account Holder, and the right to set off cannot be applied in the Gilt Account – State True or False ?

To convert interest rate into interest amount, which of the following parameters) need to be specified ?

Quantity Freeze is a limit set by the Exchange on the trade size – State True or False ?

Delivery Margin is payable on the Day of Intent – State True or False ?

Which of the following constitute the “capital” market ?

Some months back the 3 month rate was 10.2% and the 3 year rate was 10.8%. Currently the 3 month rate is 10.5% and the 3 year rate is 10.9% . What is the shift of this term structure called ?

A trading member has two clients – Client X and Client Y. Client X has a net long position of 5 and Client Y has a net short position of 8. What is the net position for the trading member ?

One of the reason that ‘Coupon’ is not a true measure of return is that it ignores the premium or discount in bond price – State True or False ?

If the shape of term structure is ‘Flat’, it implies that___

A Good Till Day order will get executed as soon the trigger price is hit in the market – State True or False ?

When there is a failure to notify the Intent to Deliver, the auction is conducted on the second business day after the Day of Intention – State True or False ?

The settlement for the currently traded bond futures is _

Some months back the 3 month rate was 9% and the 2 year rate was 10%. Currently the 3 month rate is 9.2% and the 2 year rate is 10.8% . What is the shift of this term structure called ?

What is the maturity of the underlying for Treasury Bill futures in India ?

What is the implication of ‘Inverted’ shape of term structure ?

Modified Duration and Macaulay Duration both measure the reinvestment risks – State True or False?

The Settlement Risk is overcome by the ___mode of settlement.

Repo transaction means___

Among the following options, which quantity of face value can be bought or sold for Govt. bond futures?

The underlying for ‘Interest rate derivative’ should be__

The Contract Amount (or Market Lot) for Government Bond futures is Rs 100000 of facevalue – State True or False ?

The major economic role of derivatives is risk management – State True or False ?

The regulator for the Exchange-traded interest rate derivatives is___

Every futures seller will prefer to deliver’___Bond as the conversio factor Remains constant during the Delivery Month.

When the interest rate falls with the tenor of a bond, the shape of term structure is called___

The____will frame the operational rules and procedures for interest rate derivatives trading in india.

The Economic Role of derivatives is___

When the term structure curve shifts in clockwise direction, the shift is___

When there is a short-delivery on the settlement day, the shortage is auctioned on the same day and this is called “Auction-in” – State True or False ?

Other things remaining constant, the Modified Duration will _ frequency of bond decreases.

____pays the principal amount periodically till maturity.

____is the account between investors and primary dealers for holding Govt. Securities.

When there is physical settlement of Govt. Bond futures, the seller has to deliver_

Can Government Bond futures of Rs 15 lakhs be bought by an investor ?

The size of settlement risk is equal to the___

Government Bond derivatives are settled by _

When there is a failure to notify the Intent to Deliver, the shortage is auctioned on the same day and this is called “buy-in” – State True or False ?

Market liquidity risk is the inability to quickly buy or sell futures contract without disturbing the futures price – State True or False ?

Assume that the 6 month rate is 5.5%, the 1 year rate is 7% and the 10 year rate is 6.2%, than the shape of term structure would be _

To make the notional bond and a Deliverable Bond equivalent in value, a Conversion Factor is employed, which is same to each Deliverable Bond – State True or False ?

Which of the following is interest rate risk ?

Position limits are defined only at the Trading member level – State True or False ?

The price of a derivative is basically determined by___

Mr A has purchased a par bond for a total sum of Rs 10 lakhs. Later the Yield to Maturity (YTM) falls by one basis point (0.01%). The Modified Duration (MD) is 5.80. Calculate the market value of Mr. A investments after the change in YTM.

If the bond is a zero-coupon bond, there will be no reinvestment risk – State True or False ?

The Govt Bond futures price changes by 300 ticks. Therefore the change in value of one futures contract will be___

The Treasury Bills auction is conducted by the Govt. of India on____

For a 6-Year cash settled Interest Rate Futures contracts, the underlying shall be a coupon bearing Government of India security of face value Rs. 100 and residual maturity between 4 and 8 years on the expiry of futures contract ONLY – State True or False ?

The legal form of Exchange members can be individuals, partnerships, corporate bodies or banks, except for Professional Clearing Member, who can be only corporate bodies or banks – State True or False ?

If the base price of a security for a trading day is Rs 500 and the price range is 2%, the opening price for the trading day will be____

In____bonds, the issuer can prematurely redeem the bonds.

Mr. X has done the foll trades in a day: 6 Long positions and 9 short positions in the same underlying.
What is his net position at the end of day ?

____has the highest Notional Amount Outstanding in world derivative markets.

The change in bond price is income is___after the change in interest rate but the effect of reinvestment income is____.

Calendar spread consists of buying and selling futures on the same underlying, for the same quantity and same expiry months – State True or False ?

The shifting of ‘Clearing Account to another Clearing Bank will require prior approval of Clearing Corporation – State True or False ?

The price of a bond (of Rs 100 face value) is Rs 105. It has a coupon rate of 9%. What is the current yield ?

Current yield’ return calculation is better than ‘coupon’ but is still not a true return because it does not considers the premium/discount in bond price – State True or False ?

Swaps are Exchange traded instruments – State True or False ?

A Trading cum clearing member can settle trades but cannot execute them on the Exchange – State True or False ?

The right sequence of products launched in the Indian Exchange traded derivatives market is : First – Equity Index futures, then – Equity Index options, Single stock options and Single stock futures – State True or False ?

In____the period is less than one year; and in___it is one year or more

The___is predominantly determined by inflation outlook and the capital expenditure by industry and business.

VaR will be slightly higher for short positions than for long positions – State True or False ?

The expiry date for Treasury Bill futures contract is___

Among the following options, which is the most liquid tenor in Bond markets ?

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

No separate position limit is prescribed at clearing member level for 10-year bond futures – State True or False ?

The underlying for Bond Derivatives is the Interest rate of that bond – State True or False ?

Yield to Maturity (YTM) can be considered as the TRUE measure of return – State True or False ?

Equity derivative markets have penetrated remarkably in world economies and are considered to be the biggest in size in terms of turnover – State True or False ?

Amongst the following, who can maintain Constituent Subsidiary General Ledger (CSGL) account with the Public Debt Office (PDO) of RBI ?

The Notice of Intent to deliver has to be served by the close of one business day prior to the last business day (expiry day) of Contract Month – State True or False ?

When a Stop Loss sell order is entered, the trigger price has to be____

To protect itself from default of buyer and seller, the Clearing Corporation uses the process of____.

Value-at-risk (VaR) is a measure of maximum likely price change over a given interval / horizon and at a given confidence level / percentile – State True or False ?

Assume that the 6 month rate is 5.5% and the 1 year rate is 7%. From the below given options, what should be the 5 year rate so that the shape of term structure would be Normal.

The last trading day for Treasury Bill future contract is Last Thursday of Contract Month (or the previous trading day if it falls on a holiday) – State True or False ?

For the Open Position on the Last Trading Day, the _ Must Notify the clearing Corporation the notice of intent to deliver.

The price quotation for T-bill is___

A Professional Clearing Member is a member of___

A Professional Clearing Member is a member of the Clearing Corporation only and not of the Exchange – State True or False ?

In terms of facevalue, the contract amount for government bond futures is Rs 25000. State True or False ?

The highest risk a bank or financial institution faces is that of Currency Risk – State True or False ?

In the secondary market, the accrued interest is paid by the buyers to sellers of the coupon bearing bonds – State True or False ?

The Derivatives Exchange and the Clearing Corporation for this derivative exchange are one single entity – State True or False ?

Retail investors can open demat account for government securities with___

If the price of a Govt. bond future is Rs 111.75, what will the market value of one contract ?

When there is a short-delivery on the settlement day, the shortage is auctioned on the next business day – State True or False ?

If the difference between Long term Rates and Short term Rates falls or narrows (from positive to less positive or from negative to more negative); than the term structure of rates (shifts) is called___

Mr. Sharma wishes to invest in Government Bonds and wishes to open a Gilt account. As per rules he can open only one Gilt account. – State True or False ?