BASEL problem

Bank XYZ has 

Common shares - 500cr

Statutory reserves - 250cr

Capital reserves - 300cr

Balance in P&L Account at the end of the previous FY - 150cr

Revaluation reserves - 200cr

Provisions and Loss Reserves - 300cr

Debt Capital Instruments - 200cr

Perpetual Debt Instruments (PDI) - 50cr

Perpetual Cumulative Preference Shares (PCPS) - 50cr

Redeemable Cumulative Preference Shares (RCPS) - 50cr

RWA for credit and operational risk are Rs 12000cr

RWA for market risk Rs 5000cr

Based on the above information, answer the following questions?

1. what is the amount of Tier-1 capital?

a. 1080cr

b. 1140cr

c. 1250cr

d. 1380cr

Ans - c

Tier-1 = Common shares + Statutory reserves + Capital reserves + Balance in P&L Account at the end of the previous FY + Perpetual Debt Instruments (PDI)

= 500+250+300+150+50

= 1250cr

2. Calculate the amount of Tier-2 capital?

a. 350cr

b. 475cr

c. 540cr

d. 840cr

Ans - c

Tier2 = Provisions and Loss Reserves maximum 1.25% of risk weighted assets + Debt Capital Instruments + Revaluation reserve at 55% discount + PCPS + RCPS

= (12000*1.25%) 150+200+(200*45%,at 55% discount)90+50+50

= 540cr

3. Calculate the amount of capital fund?

a. 1250cr

b. 1380cr

c. 1560cr

d. 1790cr

Ans - d

Total capital fund = Tier-1 capital + Tier-2 capital

= 1250 + 540 = 1790cr

4. What is the capital adequacy ratio of the bank?

a. 10.20 %

b. 10.53 %

c. 11.03 %

d. 11.53 %

Ans - b

Capital adequacy ratio = Total Capital fund / Total RWA

= 1790 / 17000

= 10.53 %

5. What is the amount of minimum capital to support credit and operational risk as per Basel 3 without capital conservation buffer?

a. 1080cr

b. 1140cr

c. 1250cr

d. 1380cr

Ans - a

= 12000 * 9% = 1080cr

6. What is the amount of minimum capital to support credit and operational risk as per Basel 3 with capital conservation buffer?

a. 1080cr

b. 1140cr

c. 1250cr

d. 1380cr

Ans - d

12000 * 11.5% = 1380cr

7. What is the amount of minimum Tier 1 to support the credit and operational risk without capital conservation buffer?

a. 350cr

b. 475cr

c. 540cr

d. 840cr

Ans - d

Tier 1 = 12000 * 7% = 840 cr

8. What is the amount of minimum Tier 1 to support the credit and operational risk with capital conservation buffer?

a. 1080cr

b. 1140cr

c. 1250cr

d. 1380cr

Ans - b

Tier 1 = 12000 * 9.5% = 1140 cr

9. What is the amount of minimum Tier 1 to support the market risk without capital conservation buffer?

a. 350cr

b. 475cr

c. 540cr

d. 840cr

Ans - a

Tier 1 = 5000 * 7% = 350 cr

10. What is the amount of minimum Tier 1 to support the market risk with capital conservation buffer?

a. 350cr

b. 475cr

c. 540cr

d. 840cr

Ans - b

Tier 1 = 5000 * 9.5% = 475 cr

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Bank Financial Management Numericals

A bak has computed its Tier I capital -Rs. 1000 Crores. Tier-II Capital -Rs 1200 Crores. RWAs for Credit Risk -Rs 15,000 Crores. Capital charge for market risk -Rs 600 Crores. Capital charge for operational risk -Rs 400 Crores.
What would be the bank's total RWAs?

18,889 Crores
21,161 Crores
26,111 Crores
26,141 Crores
Ans -3

Solution : RWAs for Credit Risk = Rs 15,000 Crores RWAs for Market Risk = Rs 600/.09 = Rs 6,667 Crores RWAs for Operational Risk = Rs 400/.09 = Rs 4,444 Crores Total RWAs = 15000+6667+4444 = Rs 26,111 Crores

Tier I Capital = Rs 1,000 Crores Tier II Capital = Rs 1,200 Crores Total Capital = Rs 2,000 Crores Maximum tier II capital that can be taken into account for the purpose of CRAR is 100% of tier I capital. Tier-I CRAR = (Eligible Tier I capital funds) / (Total RWAs) = 1000/26111 = 3.83%. Total CRAR = (Eligible total capital funds) / (Total RWAs) = 2000/26111 = 7.66%.

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A claim of Rs. 49 lacs has been settled by ECGC in favour of a bank against default of Rs. 70 lacs. Subsequently the bank realizes Rs. 15 lacs with the collaterals available to the loan. What will be actual amount settled by ECGC after realization of security by the bank?

Rs. 49 lacs
Rs. 42.5 lacs
Rs. 38.5 lacs
Rs. 34 lacs
Ans -3

Explanation :
ECGC had settled Rs. 49 lacs on default of 70 Lacs (That is 70% of the default amount). But Subsequent to that settlement, Rs. 15 lacs was realised through the security held, So, the claim amount from ECGC should be, 55 Lacs only from ECG

And the ECGC had settled only 70 % of the claim amount. So, the settlement amount will be,

70% of Rs. 55 lacs = 5500000 x 70/100 = 38.5 lacs So, actual amount settled by ECGC = Rs. 38.5 lacs

...........................................................................................................................................................................
Spot Rate -35.6000/6500 Forward 1M=3500/3000 2M=5500/3000 3M=8500/8000 Transit Period -20 days. Exchange Margin -0.15%. Find 2 M Forward Buying Rate.

31.1971
34.1971
31.6976
34.6976
Ans – 4

Explanation :

Bcz, it is having Transit Period -20 days and 2 M Forward, 3 Month Forward Buying Rate will be applied, 20 days + 2M.

Spot Rate = 35.6000 Less Forward Discount of 3M (.8500) Less Exchange Margin (.0521)

i.e. 35.6000-.8500-.0521(0.15% of 34.7500) = 34.6979 Ans.

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What would be the issue price of a CP (Face value of Rs. 100) carrying an interest rate of 10 % and maturity of 1 year expressed as % of notional value?

100
96.15
90.90
92.50
Ans -3

Explanation :

Interest rate = 10 % annual

CPs are issued at discount prices. . So if face value is 100, then

Issue price × (1+10%) = 100 Issue price × 1.10 = 100 Issue price = 100/1.10 = 90.9090 = 90.90

...........................................................................................................................................................................
Asset in doubtful category for 2 years – Rs. 500000/Realization value of security – Rs. 300000/What will be the provision requirement?

Rs. 500000/-
Rs. 320000/-
Rs. 200000/-
Rs. 175000/-
Ans -2
Explanation:

Provision for secured portion of Doubtful Cat for 2 years = 40% Provision for unsecured portion of Doubtful Cat for 2 years = 100%

Here, Secured portion = Rs. 300000 Unsecured portion = Rs. 200000

Provision = (300000 * 40/100) + 200000 = 120000 + 200000 = 320000

...........................................................................................................................................................................
Inflow of USD 200,000.00 by TT for credit to your exporter's account, being advance payment for exports (credit received in Nostro statement received from New York correspondent). What rate you will take to quote to the customer, if the market is 55.21/25?

55.21
55.21-Bank commission
55.25
55.25-Bank commission
Ans -2

Explanation :

It will be purchase of USD from customer for which USD will have to be sold in the market. Say when

USD/Rs is being quoted as 48.09/11, meaning that market buys USD at Rs 48.09 and sells at Rs 48.11.

We shall have to quote rate to the customer on the basis of market buying rate, i.e. 48.09, less our

margin, as applicable, to arrive at the TT Buying Rate applicable for the customer transaction.

...........................................................................................................................................................................
Retirement of import bill for GBP 100,000.00 by TT Margin 0.20%, ignore cash discount/premium, GBP/USD 1.3965/75, USD/INR 55.16/18. Compute Rate for Customer.

76.5480
76.6985
77.1140
77.2682
Ans -4
Explanation :

For retirement of import bill in GBP, we need to buy GBP, to buy GBP we need to give USD and to get USD, we need to buy USD against Rupee, i.e. sell Rupee.

At the given rates, GBP can be bought at 1.3975 USD, while USD can be bought at 55.18. The GBP/INR rate would be 77.1140. (1.3975 x 55.18), at which we can get GBP at market rates. Thus the interbank rate for the transaction can be taken as 77.1140.

Add Margin 0.20% 0.1542.

Rate would be 77.1140 + 0.1542 = 77.2682 for effecting import payment. (Bill Selling Rate).

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Given that Tier I capital is Rs. 500 crores and Tier II capital Rs. 800 crores and further given that RWA for credit risk Rs. 5000 crores, capital charge for market risk and operational risk Rs. 200 crores and Rs. 100 respectively, answer the following questions if the regulatory CAR is 8%. Based on the data given above, answer the following questions.

What are the total risk weighted assets?

Rs. 7250 crores
Rs. 8750 crores
Rs. 9000 crores
Rs. 7800 crores
Ans – 2

RWA of mkt risk =200/.08=2500

RWA ops risk =100/.08=1250

Total RWA = RWA credit risk+ RWA mkt risk+ RWA ops risk

= 5000+2500+1250

= 8750

...........................................................................................................................................................................
Data relating to balance sheet as on 14 Mar 2015 banks reveals its capital at Rs. 1110 cr, Reserve 2150 cr, demand deposit 6500 cr, SB deposit 20500 cr, term deposits from banks 1300 cr, term deposit from public 30800 cr, borrowing from RBI nil, borrowing from other institutions 200 cr, refinance from NABARD 150 cr, bills payable 50 Cr, accrued 20 cr, sub ordinatted debt 200 cr and credit balance in suspense a/c 30 cr (Total Being 63000)

1.Total amt of liabilities not to be included in computing DTLs in RS

3250 cr
3300 cr
4600 cr
4700 cr
Ans -4

(1100+2150+150+1300=4700) In time liabilities capital and reserve + refinance from NABARD + term deposit of banks are not to be included

...........................................................................................................................................................................
2.Total amount of DTL on which CRR is to be maintained

58100 cr
63000 cr
58300 cr
67100 cr
Ans -3

=6500+20500+30800+200+50+20+200+30 =58300 other than those not included while calculating DTL

...........................................................................................................................................................................
3.Bank would require to maintain average CRR amounting to ...... , if the rate of CRR is 5%

2915
2905
1749
3150
Ans -1

5% of amt of DTL that is 58300 and 5% is 2915

...........................................................................................................................................................................
NET WORTH RS. 1500 CRS T1 + T2 CAPITAL RS 3500 CRS RSA RS 22500 CRS RSL RS 21000 CRS DA WT MODIFY DURATION OF ASSETS 1.80 DL WT MODIFY DURATION OF LIABILITY 1.10

DURATION OF GAP FOR BANK IS ESTAMATED AT

0.77
0.73
0.62
NONE
Ans -1

Solution:

DWAP = DA-W*DL = FIRST CALCULATE W=RSL/RSA=21000/22500=.933 = 1.80-.933*1.10 = 0.77

...........................................................................................................................................................................
LEVERAGE RATIO IS

6.43
15
14.33
6.14
Ans -1

LEVERAGE RATIO = RSA/(TIER1+TIERII) 31 = 22500/3500 = 6.428

...........................................................................................................................................................................
MODIFY DURATION OF EQUITY IS

4.97
5.99
3.68
9.56
Ans -2

Modified duration = DGAP*leverage ratio = 0.933*6.43 = 5.99

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Mr. X purchases a put option for 300 shares of A with strike price of Rs. 2000 having maturity after 02 months for Rs. 50. On maturity, shares of A were priced at Rs. 1900. What is the profit/lost for the individual on the transaction (without taking the interest cost and exchange commission into calculation)?

Profit of Rs. 30000
Profit of Rs. 15000
Loss of Rs. 30000
Loss of Rs. 15000
Ans: 2

Explanation.

This is put option, so it is assumed that, He will sell 300 shares of A at a price of 2000 Total value of shares is = 600000

Then he will buy the total shares in the market at a price of 1900. 300 × 1900 = 570000 So profit of 30000 in the transaction. .

But he has to paid Rs. 50 per share to buy put options. =300 × 50 = 15000 Total profit or loss = 600000 -570000 -15000 = 15000

...........................................................................................................................................................................
12% government of India security is quoted at RS 120. If interest rates go down by 1%, the market price of the security will be?

120
133.3
109
140
Ans – 2

Explanation :

Current Yield = Coupon Rate x 100/CMP Current Yield = 12 x 100/120 = 10%

Now, Interest rate goes down by 1% (That is 9%). By applying the same formula, we get : 9 = 12 x 100/CMP CMP = 1200/9 = 133.3

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Case study for calculation of capital for market risk

Bank has paid up capital 100 free res. 300 prov and conti res 200 reveluation of res. of 300 p n c p share 400 subordinate debt 300

r.w.a for credit and operational risk 10000 for market risk 4000 Based on the data given above, answer the following questions.

1.Tier-1 capital ?

900
800
750
610
Ans – 2

.............................................
2.Tier-2 capital ?

900
800
750
610
Ans –4

.............................................
3.Capital fund ?

895
1250
1410
1575
Ans – 3

hint : Formula : Tier 1 + Tier 2

.............................................
4.Capital adequacy ratio ?

9%
9.75 %
10.50 %
10.07 %
Ans – 4

CAR = T1+T2/RWA

.............................................
5.Minimum capital to support credit and opr. risk ?

900
950
1000
1250
Ans – 1

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Spot Rate -35.6000/6500 Forward 1M=3500/3000 2M=5500/3000 3M=8500/8000 Transit Period -20 days. Exchange Margin -0.15%. Find Bill Buying Rate

33.1971
34.1971
35.1971
36.1971
Ans -3

Solution :

Ans: Bill Buying Rate (Ready) : Bill Date +20 days Spot Rate = 35.6000 Less Forward Discount 1M (0.3500) Less Exchange Margin 0.15% (0.529)

i.e. 35.6000-.3500-.0529(0.15% of 35.2500) = 35.1971

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On 15th June, Customer presented a sight bill for USD 100000 for Purchase under L

Transit period is 20 days and Exchange margin is 0.15%. The spot rate is 34.80/90. Forward differentials: July -.65/.57 Aug -1.00/.97 Sep -1.40/1.37 How much amount will be credited to the account of the Exporter?
28.0988
34.0988
40.0988
44.0988
Ans: 2

Solution :

Bill Buying rate will be applied Spot Rate = 34.80 Less discount .65 = 34.15 Less Exchange Margin O.15% i.e. .0512

=34.80-0.60-0.0512 =34.0988

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Inflow of USD 200,000.00 by TT for credit to your exporter's account, being advance payment for exports (credit received in Nostro statement received from New York correspondent). What rate you will take to quote to the customer, if the market is 55.21/25?
55.21
55.21-Bank commission
55.25
55.25-Bank commission
Ans: 2

Explanation :

It will be purchase of USD from customer for which USD will have to be sold in the market. Say when USD/Rs is being quoted as 55.21/25, meaning that market buys USD at Rs 55.21 and sells at Rs 55.25.

We shall have to quote rate to the customer on the basis of market buying rate, i.e. 55.21, less our margin, as applicable, to arrive at the TT Buying Rate applicable for the customer transaction.

.......................................................................................................................................................................
A textile exporter, with estimated export sales of Rs. 300 lacs during the last year and projected sales of Rs.500 lacs for the current year, approaches the bank for granting credit facilities. The bank sanctions following facilities in the account:

PCL/FBP/FUBD/FBN Rs. 100.00 lacs

Sub limits:

PCL (25 % margin on fob value) Rs. 50.00 lacs FBP (10 % margin on bill amount) Rs. 50.00 lacs FUBD (15 % margin on bill amount) Rs. 50.00 lacs FBN (nil margin) Rs. 100.00 lacs.

He gets an order for USD 50,000.00 CF, for exports of textiles-dyed/hand printed, to UK, with shipment to be made by 15.9.2014.

On 2.6.2014 he approaches the bank for releasing PCL against this order of USD 50,000.00. The bank releases the PCL as per terms of sanction.

On 31.8.2014, the exporter submits export documents for USD 48,000.00, against the order for USD 50,000.00. The documents are drawn on 30 days usance

(D/A) as per terms of the order The bank discounts the documents at the days applicable rate, adjusts the PCL outstanding and credits the balance to the exporter's account, after recovering interest up to notional due date. Interest on PCL recovered separately.

The documents are realized on 29.10.2014, value date 27.10.2014, after deduction of foreign bank charges of USD 250.00. The bank adjusts the outstanding post shipment advance allowed against the bill on 31.8.2014.

Bank charges interest at -PCL-8.50 % upto 180 days, and post shipment at 8.50 % upto 90 days and

10.50 % thereafter. Overdue interest is charged at 14.50%. The USD/INR rates were as under:

2.6.2014: Bill Buying 48.20, bill Selling 48.40.

31.08.2014: TT buying 47.92, Bill buying 47.85, TT selling 48.08, Bill selling 48.15., premium for 30 days was quoted as 04/06 paise. Now answer the following:

1. What is the amount that the bank allows as PCL to the exporter against the given export order, considering insurance and freight costs of 12%. (i) Rs. 15,90,600 (ii) Rs. 24,10,000 (iii) Rs. 21,20,800 (iv) Rs. 18,15,000

2. What exchange rate will the bank apply for purchase of the export bill for USD 48,000.00 tendered by the exporter: (i) 47.89 (ii) 47.85 (iii) 47.91 (iv) 47.96

3. What is the amount of post shipment advance allowed by the bank under FUBD. for the bill submitted by the exporter: (i) Rs. 19,54,728 (ii) Rs. 19,52,280 (iii) Rs. 19,53,912 (iv) Rs. 22,98,720

4. What will be the notional due date of the bill submitted by the exporter: (i) 30.10.2014 (ii) 30.9.2014 (iii) 25.10.2014 (iv) 27.10.2014

5. Total interest on the export bill discounted, will be charged up to; (i) notional due date 25.10.2014 (ii) value date of credit 27.10.2014 (iii) date of realisation 30.10.2014 (iv) date of credit to nostro account 29.10.2014

Ans. 1: USD 50,000.00 @ 48.20 = Rs.. 2410000.00 -less 12% for insurance and freight cost i.e Rs. 289,200 = Rs.21,20,800.00 (for value of the order.

Less margin 25% i.e. Rs.530,200.00 balance Rs 15,90,600.00)

Ans. 2: 47.89 -Bill buying rate on 31.8.2008 -47.85 plus 4 paise premium for 30 days, this being a DA bill.

Ans 3: USD 48,000.00 @ 47.96 =Rs. 23,02,080.00, less 15% margin on DA bill, i.e. Rs. 345312.00 = Rs 19,56,768.00

Ans 4: Bill submitted on 31.8.2014-drawn on 30 days DA plus normal transit period of 25 days 31.8.2014 plus 30 days plus 25 days, i.e. total 55 days from 31.3.2014 i.e. 25.10.2014

Ans 5: Interest is charged up to the date the funds have been credited to the banks nostro account, the

effective date of credit is the value date of credit, i.e. 27.10.2014.

.......................................................................................................................................................................
A bank has compiled following data for computing its CRAR as on 30 Sep 2014

Tier I capital 2500 Tier ii capital 2000 RWA for credit risk other than retail assets (include 2000 crores of commercial real estate -35,500 Exposure on retail assets -8,700 Total eligible financial collaterals available for retail assets -1200 Capital charge for general market risk net position -450 Capital charge for specific risk -190 Vertical adjustment -15 Horizontal adjustment -10 Total capital charge for options -70 Gross income for the previous year -495 Gross income for the year before previous year -450 Gross income for 2nd year before previous year -390

Based on the data given above, answer the following questions.

The capital required for credit risk at minimum required rate as per RBI is ......

Rs. 4585 Crores
Rs. 4383 Crores
Rs. 3701 Crores
Rs. 3508 Crores
Ans -3

= 8700-1200=7500 @ 75% =5625 35500+5625=41125 9%= 3701 Crs

Total weighted assets for operational risk is ……

Rs. 4944 Crores
Rs. 4323 Crores
Rs. 9553 Crores
Rs. 7156 Crores
Ans -1

1335/3 =885/.09 =4944

.............................................
The CRAR of the bank as on 30th Sept 2013 is ……

7.35 %
8.05 %
9.22 %
10.23 %
Ans -2

41125+9833+4944 = 55902 4500/55902 = 8.049

.......................................................................................................................................................................
The bank compares its tier I CRAR with minimum require tier I CRAR And finds

Its tier I CRAR is more and exceeds requirement by 675 Crs
Its tier I CRAR is more and exceeds requirement by 355 Crs
Its tier I CRAR falls short by Rs 854 Crs
None of these
Ans -3

(As per RBI, Tier I capital adequacy ratio should be atleast 6 %) RWA is 55902 6 % of 55902 = 55902 x 6/100 = 3354. Tier I capital is 2500. So, 3354-2500=854 Tier I capital will be short fall by Rs. 854 Crores.

.......................................................................................................................................................................
A bank’s G sec portfolio has 100 day VaR at 95% confidence level of 4% based on yield What is the worst case scenario over 25 days?

Increase in yield by 0.4%
Decrease in yield by 0.4%
Increase in yield by 2%
Decrease in yield by 2%
Ans -3

Solution :

100 day VaR is 4 %. So one day Var is, 4 = one day VaR × square root of 100 4 =one day VaR × 10 One day VaR = 0.4 %

25 day VaR = 0.4 × suare root of 25 = 0.4 ×5 = 2% In worst case scenario yield will always increase. . Because this will decrease the market price or value. . Answer is increase in yield by 2 %

.....................................................................................................................................................................................................................................
A bond having a McCauley’s duration of 8 Yr is yielding 10% at present. What will be the modified duration?

8.8181
8.2323
7.5353
7.2727
Ans -4

Modified duration is McCauley's duration discounted by one period yield to maturity Here we are talking McCauley's duration is 8 years. Modified duration =McCauley's duration / ( 1 + yield ) = 8 /(1 + 10%) = 8/(1 +0.1) = 8/(1.1) = 7.2727

.......................................................................................................................................................................
What will be the annualized yield of the treasury bill face value Rs. 1 lac with maturity after 85 days which is being traded at Rs 98000/-?

8.59
8.76
8.19
8.26
Ans -2

Explanation : Fv-pp/pp x 365/85 [(100000-98000)/98000) x (365/85) = 8.76

.......................................................................................................................................................................
An exposer of Rs 100 lakhs is backed by lien on fixed deposit of Rs 30 lakhs. There is no maturity mismatch. What should be Hair cut for credit risk mitigation?

70 lakhs
0.70 lakh
0.00 lakh
30 lakhs
Ans -3

Hair cut for collateral under banks FDR is 0.

....................................................................................................................................................................................................................................................
What is the risk capital if the traded value is of 200 million and volatility is 8%?

18.67 million
37.28 million
16.00 million
39.12 million
Ans -2

Explanation :

Risk capital = 200 million* 0.08*2.33= 37.28 million

2.33 is the factor to be used while calculating risk capital

........................................................................................................................................................................................................................................................
If the YTM is 6% and the coupon rate of 7% is payable semi-annually, the value of the bond to be ? (PVIFA (3%,14)=11.296, PVIF (3%,14)=.661

Rs 1451.72
Rs 1056.36
Rs 1112.84
Rs. 1231.04
Ans -2

Explanation :

Bond valuation=i (PVIFAkd,n) + F (PVIFkd,n) Since, it is semi annually, 1000*7% / 2 = 35. So, 35*11.296 + 1000 * 0.661 = 395.36 + 661 = 1056.36

.......................................................................................................................................................................
ABC co has following data as on 31-03-2015 Value in cr

Paid up capital (for 2 crore share with face value of Rs 10) -20 Reserve -60 Long term Loans -80 PBIDT -50 Paid interest -12 Depreciation -10 Tax -08 Price earning ratio -10

1.On this basis, ans the following qtns

Its net profit would be ......

Rs. 38 Cr
Rs. 40 Cr
Rs. 42 Cr
Rs. 20 Cr
Ans – 4

PBIDT-I-D-T = 50-12-10-8 = 20 cr

.............................................
2.Book value of shares of the company as on 31-03-2015

Rs. 10 cr
Rs. 30 cr
Rs. 40 cr
Rs. 80 cr
Ans – 3

Book value of shares = (paid up capital + reserve)/no of shares = (20+60)/2 = 40

............................................. ....
3.The earning per share would be ......

Rs. 40 cr
Rs. 30 cr
Rs. 20cr
Rs. 10cr
Ans – 4

EPS=NPAT/paid up capital* face value = 20/20*10 = 10

......................................................
Market price of the share of the co......

Rs. 50 cr
Rs. 100 cr
Rs. 200 cr
Rs. 300 cr
Ans –2

Market price = PER * EPS = 10*10 = 100

.......................................................................................................................................................................
Data relating to balance sheet as on 14 Mar 2015 banks reveals its capital at Rs 1110 cr, reserve 2150 cr, demand deposit 6500cr,SB deposit 20500 cr, term deposits from banks 1300 cr, term deposit from public 30800 cr, borrowing from RBI nil, borrowing from other institutions 200 cr, refinance from NABARD 150 cr, bills payable 50 Cr, accrued 20 cr, subordinated debt 200 cr and credit balance in suspense a/c 30 cr (Total Being 63000)

Answer the following based on the data given above.

Total amt of liabilities not to be included in computing DTLs in Rs

3250 cr
3300 cr
4600 cr
4700 cr
Ans -4

In time liabilities capital and reserve + refinance from NABARD + term deposit of banks not to be included

1100+2150+150+1300

=4700

.............................................
Total amount of DTL on which CRR is to be maintained

Rs. 58100 cr
Rs. 63000 cr
Rs. 58300 cr
Rs. 67100 cr
Ans – 3

6500+20500+30800+200+50+20+200+30=58300

other than those not included while calculating DTL

.............................................
Bank would required to maintain average CRR amounting to, if the rate of CRR is 5%

2915
2905
1749
3150
Ans – 3

= 5% of 58300

= 2915

.............................................
What are the risk weighted assets for market risk?

Rs. 1000 crores
Rs. 1500 crores
Rs. 2000 crores
Rs. 2500 crores
Ans –4

200/.08 =2500

.............................................
What are the risk weighted assets for operational risk?

Rs 1000 Cr
Rs 2000 Cr
Rs 1250 Cr
Rs 2500 Cr
Ans – 3

100/.08 = 1250 Ans

.............................................
What is the Tier-I CRAR?

10.29 %
11.42 %
5.71%
14.85 %
Ans -3

TIER-I CRAR=Eligible tier-1 capital/(Total RWAs) = 500/8750 = 5.71%

.............................................
What is the total capital adequacy ratio?

0.1486
0.1111
0.1143
0.1282
Ans –3

Total CRAR = Eligible Total capital/(Total RWAs) = 1000/8750 = 11.42 %

(Remember here tier-II capital does not exceed 100 % of tier-I capital. So, Tier-II of Rs. 500Crore is taken for calculation (500+500=1000).

.......................................................................................................................................................................
If there is an assets of Rs. 120 in the doubtful-I cat and the realization value of security is Rs. 100 only, what will be the provision requirement?

Rs. 40
Rs. 45
Rs. 50
Rs. 60
Ans – 2

Since it a doubtful-I cat asset, so 25% of realization value Rs.100 i.e Rs. 25 and 100% of short Fall that is 120-100=20 so ans will be 20+25=45

.......................................................................................................................................................................
A bond having duration of 8 Yr is yielding 10% at present. If yield increase by .60%, what would be the impact on price of the bond?

Bond price would go up by 4.36%
Bond price would fall by 4.36%
Bond price would go up by 2.82%
Bond price would fall by 2.82%
Ans -2

Modified duration is McCauley's duration discounted by one period yield to maturity Here we are talking McCauley's duration is 8 years. Modified duration =McCauley's duration / ( 1 + yield )

8 /(1 + 10%) = 8/(1 +0.1) = 8/(1.1) = 7.2727

% change in price =-modified duration × yield change

= -7.2727× (0.60%) = (-)4.3636 % = (-) 4.36% ( -)means decrease in price

4.36 % decrease in price. .

.......................................................................................................................................................................
Mr. Raj purchases a call option for 400 shares of A with strike price of Rs. 100 having maturity after 03 months for Rs. 20 and also buy a put option for 200 shares of B with strike price of Rs. 200 having maturity after 03 months for Rs. 30. On maturity, shares of A were priced at Rs. 130 and shares of B were priced at Rs. 180. What is the profit/lost for the individual on the transaction (without taking the interest cost and exchange commission into calculation)?
Profit of Rs. 4000
Profit of Rs. 2000
Loss of Rs. 4000
Loss of Rs. 2000
Ans -2

Explanation.

First one is a call option, so it is assumed that, He will purchase 400 shares of A at a price of 100 Total value of shares is = 40000 Then he will sell the total shares in the market at a price of 130. 400 × 130 = 52000 But he paid the premium for call options @ 20 × 400 = 8000 So profit in this first transaction will be 52000 -40000 -8000 =4000 (Profit of Rs. 4000)

Second one is a put option, so it is assumed that, He will sell 200 shares of A at a price of 200 Total value of shares is = 40000 Then he will buy the total shares in the market at a price of 180. 200 × 180 = 36000 But he has to paid Rs. 30 per share to buy put options. =30 × 200 = 6000

So profit in this transaction will be 40000 -36000 -6000 = -2000 (loss of Rs. 2000)

So taking both the transactions, 4000-2000 = 2000 (Profit of Rs. 2000)

.......................................................................................................................................................................
The balance sheet of x bank provide the following information as on 31 mar 2013 Rs , Cr) capital 1000, reserves-6000, current account deposit 30000, saving bank deposit 3000, term deposit, term deposit 30000 and borrowings 3000 on the assts side the cash -6900, bal with banks-15000, investment-15000, bills purchased =-20000, cash credit-20000, term loans-20000 and fixed assets 3100. Total-100000. Earning assets out of total assets are 90000 cr. Cash credit , bill purchased and investments are affected by change in interest rate. Term loans carry fixed interest rate . SB an d TD are affected by change in interest rate.

1.Rate sensitive assts of the bank are

55000
75000
85000
none
Ans -1

2.A Rate sensitive liabilities of the abnk are

63000
93000
60000
none
Ans -3

3.The above bank has ......

positive gap
negative gap
marginal gap
zero gap
Ans -2

4.Tier-I capital of the bank

1000
7000
10000
none
Ans -2

.................................................................................................................................................................................................................................................
A company enjoys cash credit account with a bank. It also has a term loan account with o/s balance of Rs. 15 Crores as on 31-03-2015. The bank has also subscribed to the bonds issued by the borrower company amounting to Rs. 3 Crores. As on 31-03-2015, the CC account with o/s balance of Rs 1.20 Crs is required to be classified as NPA. There is no default in payment of interest and installment in the term loan and bonds. What will be the amount that will become NPA on account of this company?

Rs. 1.20 Crores
Rs. 4.20 Crores
Rs. 16.20 Crores
Rs. 19.20 Crores
Ans -4
= 15+3+1.20 = 19.20

.......................................................................
If there is an assets of Rs. 150 only in the doubtful-III cat and the realization value of security is Rs. 100 only, what will be the provision requirement.

Rs. 50
Rs. 95
Rs. 110
Rs. 150
Ans – 4

Since it a doubtful-III Cat asset,

100% provision is required for the entire asset.

So, 150 is the right ans.

..............................................................
If there is an assets of Rs. 120 only in the doubtful-II cat and the realization value of security is Rs. 100 only, what will be the provision requirement ?

Rs. 40
Rs. 50
Rs. 60
Rs. 70
Ans – 3

Since it a doubtful-II Cat asset, so 40% realization value of Rs. 100 i.e Rs.40 and 100% of short Fall that is

120-100=20 so ans will be 40+20=60

.......................................................................................................................................................................
Retirement of import bill for GBP 100,000.00 by TT Margin 0.20%, ignore cash discount/premium, GBP/USD 1.3965/75, USD/INR 55.16/18. Compute Rate for Customer.

76.5480
76.6985
77.1140
77.2682
Ans -4

Explanation :

For retirement of import bill in GBP, we need to buy GBP. To buy GBP we need to give USD and to get USD, we need to buy USD against Rupee, i.e. sell Rupee. At the given rates, GBP can be bought at 1.3975 USD and USD can be bought at Rs. 55.18. The GBP/INR rate would be 77.1140. (1.3975 x 55.18), at which we can get GBP at market rates. Thus the interbank rate for the transaction can be taken as 77.1140. Add Margin 0.20% 0.1542. Rate would be 77.1140 + 0.1542 = 77.2682 for effecting import payment.

(Bill Selling Rate).

........................................................................................................................................................................................................................................................................
ABC Ltd Option Quotes. Stock Price : Rs. 350

Calls Puts Strike Price Jan Feb March Jan Feb March 300 50 55 ---- 320 36 40 43 3 5 7 340 18 20 21 8 11 - 360 6 9 16 18 21 23 380 4 5 6 -43 -

-A blank means no quotation is available

1. List out the options which are out-of-the-money. 2. What are the relative pros and cons (i.e. risk and reward) of selling a call against the 5000 shares held, using (i) Feb/380 calls versus (ii) March 320/ calls ? 3. Show how to calculate the maximum profit, maximum loss and break-even associated with the strategy of simultaneously buying say March/340 call while selling March/ 360 call?

4. What are the implications for the firm, if for instance, it simultaneously writes March 360 call and buys March 320/put? 5. What should be value of the March/360 call as per the Black-Scholes Model? Assume that t=3 months, risk-free rate is 8 percent and the standard deviation is 0.40 6. What should be the value of the March/360 put if the put-call parity is working? Solution:

1) Calls with strike prices 360 and 380 are out –of –the-money. 2) (i) If the firm sells Feb/380 call on 5000 shares, it will earn a call premium of Rs.25,000 now. The risk

however is that the firm will forfeit the gains that it would have enjoyed if the share price rises above Rs. 380.

(ii) If the firm sells March 320 calls on 5000 shares, it will earn a call premium of Rs.215,000 now. It should however be prepared to forfeit the gains if the share price remains above Rs.320.

3) Let s be the stock price, p1 and p2 the call premia for March/ 340 and March/ 360 calls respectively. When s is greater than 360, both the calls

will be exercised and the profit will be { s-340-p1} – { s-360-p2 } = Rs. 15 The maximum loss will be the initial investment , i.e. p1-p2 = Rs.5 The break even will occur when the gain on purchased call equals the net premium paid

i.e. s-340 = p1 – p2 =5 Therefore s= Rs. 345

4) If the stock price goes below Rs.320, the firm can execute the put option and ensure that its portfolio value does not go below Rs. 320 per share.

However, if stock price goes above Rs. 380, the call will be exercised and the stocks in the portfolio will have to be delivered/ sold to meet the

obligation, thus limiting the upper value of the portfolio to Rs. 380 per share. So long as the share price hovers between R. 320 and Rs. 380, the

firm will lose Rs. 1 (net premium received) per pair of call and put.

5) S0 =350 E =360 t =0.25 r = 0.07 s =0.40

350 (0.40)2 ln + 0.07+ x 0.25 360 2 d1 =0.40 x Ö0.25 = ( -0.0282 + 0.0375) / 0.2 = 0. 0465 d2 = 0.0465 -0.40 v.0.25.. = -0.1535

Using normal distribution table N (0.00) = 1-0.5000 = 0.5000 N (0.05) = 1 – 0.4801 = 0.5199 Therefore N( 0.0465) = 0.5000 + (0.0465/0.0500) x (0.5199 – 0.5000) = 0.5185 N ( -0.20) = 0.4207 N ( -0.15) = 0.4404

Therefore N ( -0.1535) = 0.4207 + ( 0.0465/0.0500) x(0.4404 – 0.4207) = 0.4390 E /ert = 360 / e0.07 x0. 25 = 360 / 1. 01765 = 353.75 C0 = 350 x 0.5185 – 353.75 x 0.4390 = 181.480 – 155.30 = Rs. 26.18

6) If put-call parity is working, we have P0 = C0 – S0 + E/ert Value of the March/360 put = 26.18 -350 + 353.75 = Rs.29.93

.......................................................................................................................................................................
you have given the following information, in summary about the profit & loss a/c of the c bank

Interest earning Rs 120000 cr Other income Rs 1800 cr Profit on sale of fixed assets Rs 120 cr Income from sale of third party products Rs 80 cr

On expenses side Interest expenses are Rs 8200 cr Operating expences Rs 3400 cr Provisions of Rs 1600cr

Answer following

Operating profit for the bank ......

Rs 800cr
4400 cr
2400 cr
2800 cr
Ans -3

Gross income for the purpose of working out capital charge for operational risk under Basel II would be
6000 cr
4400 cr
4000cr
2600cr
Ans -1

Under basic indicator approach the bank would be required to allocate capital for operational risk under Basel-ii based on operations for one year as.

900 cr
600 cr
300 cr d 1200 cr
Ans -1

The risk weighted assets for operational risk under basel-II in the above case would be:

11250 cr
90000 cr
5000 cr
6000 cr
Ans -1

The allocation of capital for market risk under basel-II would be ......

296 cr
592 cr
444 cr
Insufficient data to calculate the capital required
Ans - 4

...................................................................................................................................................................................................................................................................
Mr. Raj purchases a call option for 500 shares of A with strike price of Rs. 140 having maturity after 03 months at a premium of Rs. 40. On maturity, shares of A were priced at Rs. 180. Taking interest cost @ 12% p.a What is the profit/lost for the individual on the transaction?
Profit of Rs. 20000
Profit of Rs. 600
Loss of Rs. 20600
Loss of Rs. 600
Ans -4
Explanation.

This is call option, so it is assumed that, He will purchase 500 shares of A at a price of 140 Total value of shares is = 70000

.......................................................................................................................................................................
Mr. Raj purchases a call option for 500 shares of A with strike price of Rs. 140 having maturity after 03 months at a premium of Rs. 40. On maturity, shares of A were priced at Rs. 180. Taking interest cost @ 12% p.a What is the profit/lost for the individual on the transaction?

Profit of Rs. 20000
Profit of Rs. 600
Loss of Rs. 20600
Loss of Rs. 600
Ans -4

Explanation.

This is call option, so it is assumed that, He will purchase 500 shares of A at a price of 140 Total value of shares is = 70000

Then he will sell the total shares in the market at a price of 180. 500 × 180 = 90000 So profit of 20000 in the transaction. . But he has to pay the premium for call options. Which is 40 × 500 = 20000 And the fund interest cost will be, 12% p.a So for 03 months 12/4=3%) = 20000 × 3/100 = 600 Total premium + premium cost = 20000 + 600 = 20600

In total, = 20000 -20600 = -600

......................................................................................................................................................................................................................................................................
An advance of Rs. 400000/-has been declared sub standard on 31/05/2015. It is covered by securities with realizable value of Rs. 250000/-. What will be the total provision in the account as on 31/03/2015?
150000
75000
55000
50000
Ans -2

Explanation :

Sub standard assets will attract provision of 15 % for secured portion and 25 % for unsecured portion.

Please refer “http://rbidocs.rbi.org.in/rdocs/notification/PDFs/62MCIRAC290613.pdf” Page -25, Para – 5.4. So,

= 15% of 250000 + 25% of of 150000

= 37500 + 37500

= 75000

.......................................................................................................................................................................
XYZ Bank’s foreign correspondent maintaining a Nostro Rupee account with XYZ bank, wants to fund his

account by purchase of Rs. 10.00 million, against US dollars. Assuming that the USD/INR interbank market is at 56.2380/2420, what rate would be quoted to the correspondent, ignoring exchange margin?

56.2380
56.2400
56.2420
56.2425
Ans -1

The transaction is to sell Rs 10.00 million, against US dollars, and hence the XYZ Bank would quote the

lower of the two rates, i.e. 56.2380 (Sell low maxim).

.......................................................................................................................................................................
XYZ Bank’s foreign correspondent maintaining a Nostro Rupee account with XYZ bank, wants to fund his

account by purchase of Rs. 10.00 million, against US dollars. Assuming that the USD/INR interbank market is at 56.2380/2420, what rate would be quoted to the correspondent, ignoring exchange margin? Calculate amount of USD XYZ Bank would receive in its USD Nostro account, if the deal is struck.

175438.60
177803.07
177815.71
178571.43
Ans -3

Explanation :

The transaction is to sell Rs 10.00 million, against US dollars. Hence the XYZ Bank would quote the lower of the two rates, i.e. 56.2380. If the deal is struck, the foreign bank would pay Rs. 10000000/56.2380 = USD 177815.71 to XYZ Bank USD Nostro account.

.......................................................................................................................................................................
A bank borrows US $ for 03 months @ 3.0% and swaps the same in to INR for 03 months for deployment in CPs @ 5%. The 3 months premium on US $ is 0.5%.

What is the margin(gain/loss) generated by the bank in the transaction?

2%
3%
1.5%
2.5%
Ans -3

Explanation :

Bank borrows US $ for 3 months @ 3% Same it will invest in CP for 3 months @ 5% So, it gains 2% by interest rate margin here. But when bank repay its borrowing in $, it has pay 0.5% extra because US $ will be costly by 0.5% as US $ is at premium. So it will reduce bank gain by 0.5%. 2.0%-0.5% = 1.5%

.......................................................................................................................................................................
A bond with a coupon rate of 9% maturing in 2015 and trading at Rs 180 will have yield of …...
4%
5%
6%
7%
Ans -2

Explanation :

Current yield = Coupon rate/Prevailing market value

= 9/180= 5%

Export Credit

EXPORT CREDIT::

   Export sector has been recognised as a thrust area considering its importance
and contribution of this sector to the economy. Therefore, the sector is being
presently extended finance at concessional rates, with flexibility in financing norms.

Export finance is by a large regulated through the directive / guidelines issued by
the Reserve Bank of India (RBI), Director General of Foreign Trade (DGFT) and
the Foreign Exchange Dealers’ Association of India (FEDAI). Export finance is

broadly classified into two categories
:
(i) Pre-shipment finance and
(ii) Post-shipment finance

Pre-shipment finance often referred to as ‘Export Packing Credit (EPC)’ is extended
as working capital for purchase of raw materials, processing, packing, transportation
and warehousing of goods meant for export. Both manufacturers as well as merchant
exporters are eligible to avail Rupee Packing Credit at concessional rate of interest.
Pre-shipment credit is available in foreign currency also. It has two essential features,
viz.,. existence of an export order and / or letter of credit and liquidation of the credit by
submission of export documents within a stipulated period. In case of exporters of
proven standing, the facility can also be extended on a running account basis
provided the conduct of the account is satisfactory and orders are lodged
subsequently within a reasonable time. Substitution of contracts / export orders are
also permitted in case of running accounts.
EPC can also be provided to units established in SEZ / EPZ/ AEPZ/ EOUs for
supply to units in the same or another SEZ / EPZ/ AEPZ/ EOU although
no movement of merchandise takes place across the borders of the country.

 There is no fixed formula for determining the quantum of finance to be granted to an
exporter against specific order / LCs. The guiding principle to the applied in all such
cases is a concept of need-based finance. The period for which the Bank gives
packing credit depends upon the manufacturing / trade cycle or specific requirements
of the individual export, normally not exceeding 180 days. The percentage of
margin is determined depending on the nature of order, commodity, capability of
exporter, etc. keeping in view the spirit behind RBI guidelines for liberal finance to
export sector.

 Since packing credit loans are concessional and purpose oriented, it will be
necessary to ensure proper end use of amounts disbursed to the exporters.

 Post- shipment finance can be extended upto 100% of the invoice value of goods. It
can be short term or long term finance depending upon the payment terms offered
by Indian exporters to overseas buyers. The maximum period usually allowed for realisation of export proceeds is 180 days from the date of shipment, with certain
exceptions. Post- shipment finance is also available both in rupees and specified
foreign currencies. Very often export business takes place without support of
documentary Letters of Credit and the Bank normally extends finance to the exporters
by purchasing the bills drawn by them of foreign buyers or granting advance against
bills sent on collection basis. While purchasing the bill, the Bank takes into
consideration the track record of the exporter, country risk, nature of merchandise,
terms of payment, payment record of the drawee, etc. Advances against Duty
Drawback receivable are also granted under Post-shipment Finance.

 RBI has been traditionally pursuing a policy to make available export credit at
reasonably low interest rate with a view to helping the exporters to be competitive
vis-a-vis their competitors. RBI have rationalised the interest rates on export
credit which are indicated by RBI, periodically, in their Monetary & Credit Policy as
ceiling rate in respect of all categories of export credit so that interest rates
charged by the banks can actually be lower than the prescribed rate. Such ceiling
rates will be linked to PLRs of respective banks as applicable to other domestic
borrowers.

 As far as deferred exports are concerned, RBI has allowed banks to charge
their normal term lending rate based on the credit rating of the borrower. In this
connection, deferred exports are those where the realisation period exceeds 180
days, with certain exceptions. All deferred exports are subject or regulatory
guidelines contained in Project Export Manual (PEM) published by RBI.

The Export Credit Guarantee Corporation of India Ltd. (ECGC) provides support to
both exporters and financing banks through export credit insurance. The related
guarantee / policies issue by ECGC cover individual Packing Credit Guarantee
(IPCGO) cover from ECGC for pre-shipment credits on a case-to-case by authorities
empowered by the Bank for the same. As regards post - shipment credit, Bank
may stipulate Individual post- shipment Guarantee (IPSG) on a case-to-case basis
depending on the risk perception.

ECGC guarantee Caiib BFM

ECGC guarantee::

In the case of advances classified as doubtful and guaranteed by ECGC, provision should be made only for the balance in excess of the amount guaranteed by the Corporation. Further, while arriving at the provision required to be made for doubtful assets, realisable value of the securities should first be deducted from the outstanding balance in respect of the amount guaranteed by the Corporation and then provision made as illustrated hereunder:

Example::

Outstanding Balance Rs. 4 lakhs
ECGC Cover 50 percent
Period for which the advance has remained doubtful More than 2 years remained doubtful (say as on March 31, 2014)
Value of security held Rs. 1.50 lakhs
Provision required to be made
Outstanding balance Rs. 4.00 lakhs
Less: Value of security held Rs. 1.50 lakhs
Unrealised balance Rs. 2.50 lakhs
Less: ECGC Cover
(50% of unrealisable balance) Rs. 1.25 lakhs
Net unsecured balance Rs. 1.25 lakhs

Provision for unsecured portion of advance Rs. 1.25 lakhs (@ 100 percent of unsecured portion)
Provision for secured portion of advance (as on March 31, 2012) Rs.0.60 lakhs (@ 40 per cent of the secured portion)

Total provision to be made Rs.1.85 lakhs (as on March 31, 2014)

International banking Recollected

International banking Recollected

1)Leveraged buy outs
2)Management buy out
3)correspondent banking
4)balance of payment
5)A case study on NRI NRI PIO
6)ADR GDR level movement
7)syndication definition
8)World Bank
9)a case study on ECGC
10)Offshore banking
11)Export Import duration after shipment
12)Letter of credit theory
13)A case study on parties of LC
14)A Case study on cross rate transaction
15)A case study on margin selling or buying
16)Authorised Dealer
17)IMF 2 questions
18)Theoretical case study on ECB
19)Straddle
20)URR522

60 theory
40 case study

....

CAIIB Elective Information Technology Pdf

CAIIB elective Information Technology Pdf


Download Link here
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BFM Recollected Previous year questions.

CAIIB PAPER 2 BFM Recollected questions By Srinivas Kante

BFM Recollected questions::

Daily votality is 5% 2.5 Find modified duration - Ans is 2.38

STRIPS (Separate Trading of Registered Interest and Principal Securities) is a ...... zero-coupon securities

Which is not a derivative product ? - Repo (Swap, Option, Forward, Repo)

ECB limit - USD 500 mn up to minimum period of 5 years and USD 20 mn up to minimum period of 3 years without prior approval of RBI

ECB is denominated in which currencies.....USD, Euro or JPY

Consessive rate of interest on postshipment rupee export credit to gold card status holder can be extended maximum - 365 days

One importer want import one machine from China.He has to open lc. The exporter wants advance payment. What type lc - red clause

Value at risk is a measure of? Gap risks in foreign exchange operations

Which office not under treasury ? Options given r Mid office, back office, front office, legal office*, 

Under standard assets, provision for loss, RSV should be?? Ans - less than 10%

If interest of principle is not serviced for 90 days, what is the position of account? ans- outof order

Basel 3 teir 1 components. (Plz remember that Revaluation reserve is also now under Teir 1)

If treasury assets r withdrawn before maturity, what type of risk is it? ,

A 91 Day T bill of 93.21 wl have yield of? 

If 91 days treasury is 88., then its implied yield is?

ICAAP is related to? 

ADR related question

Double forward is called what ?

Related to Nro account

Nro account can be opened as sb,CA,FD type

Derivatives also lot of questions

Advising bank roles ... Like what he can do what can't

INCOTERM

IRS

Swap

Risk weightage

Lot of RWAs questions

Which is not included in calculation of NDTL/DTL for CRR/SLR

Component of tier 1

Rwa as per Basel III for housing loan based on LTV

Many questions sellect correct or incorrect about NRO NRE FCNR ECB EEFC CCIL

Estimated occurence of probability

Questions on currency derivatives, forwards, swaps

Forex market characteristics

One question related to embedded option risk

As per basic indicator approach calculation of capital charge 15% of average gross income over there years given but one of the year is having negative one that we have to ignore.

8.83GS2023price100.49 with yield 8.75 .....just it is given and based on this statement he asked for 5marks

Crystallization period for export

One question on American and europian option

Capital charge on operational risk based on standardized approach and basic indicator approach

Questions on ADR AND GDR

Questions on option and forward contact, future

Loan To Value Ratio

Risk Weight %

Swap Defination , ADR and INCOTERMS

RWA calculation for operational risk under Standardized approach

DGAP

Conceptual question on FCNR, RFC, NRO, NRE

Operational risk calculation all approaches

Modified duration

Tier 1 n tier 2 numerical

LC based case studies for 5 marks

Basic inducater appoach market risk 5 number

Modified duration of equity5 ques

Calculations of capital adequacy ratio quite a few questions

10 questions at from various risks associated with Treasury operations

Interest rate swap 5 questions

Bill buying 5 questions

EXCHANGE RATE

AAA A BB Rating Chart Questions for Risk Weighted Calculations

Yield Calculation

W RSA,RSL NUMERICAL

RATED BOND NUMERICAL

Yeild of bond numerical

BASIC INDICATOR APPROACH NUMERICAL

BPV

Forex t.bill 

Leverage 

Forward contact

CRAR

Operational risk

Treasury theoritical

60question theory easy

No ques from volatility and bpv

Call risk problems

packing credit problems

Rsl. Rsa.. Md problems

Leveage ratio related case study

BASEL III Tier 1 Tier 2 capital Minimum equity ratio related 

BFM Book page no 415 ICCAP related question

BFM Book page no 443 stock approach related 05 question

BFM Book page no 477 - RSL/RSA/DGAP/Modified Duration Gaps

BFM Book page no 20 - Export Bill 5 marks

BFM Book page no 295 - Estimated level of Operational Risk 

Case study numerical-TEIR 1 TEIR 2 CAPITAL CONVERSION BUFFER QUESTION BASEL ON BASEL3

Case study on RFC account 5 marks

Case study on forex exchange buying commission etc 5marks

Case study on mkdified duration gap 5marks

VAR - 1 QUESTION 

TEIR 1 COMPONENT-2 QUESTION

CBLO- 1 QUESTIOn

Case Studies on

1. Cancellation of contract

2. NRE/NRO POA

3. RWA

4. MEAN & SD

5. SLR

6. YTM

7. SHORT LERM & LONG TERM GAP ASSET VS Liabilities

8. NII & NIM

9. Tier1, Tier2

10. Capital adequecy

11. Nostro Vostro Loro

12. Daily volatilty

13. Stop loss limit

14. Operational risk case study

15. Foreign exchange numericals

16. Swap numericals

17. Liquidity case study

18. Forward rate agreement 25 crore 3 month swap, three year three business line calculate yield and risk weightage

19. Calculate CET Basel 3

20. Calculate Aadditional tier 1

...........................................

2 to 3 question duration

5 question export bill(cancellation of contract rate, margin amount,rebook rate,etc)

5 question on capital adequacy (balance sheet provided, compute equity capital, tier 1 capital, total rw, capital adequacy, buffer capital)

5 question on nostro,loro vostro

5 question on FRA 

5 question on net interest margin 

2-3 question on bonds

3-4 question on LC

some 2-3 sums on bpv

...........................................

1. Rate qoute 1 ques

2.LC partial delivery UCPDC rule

3.FRA 6*9 dates of delivery and maturity

4.case study on rules and guidelines regarding NRE, NRO and FCNR accounts- amt of loan,POA,remittance,fund transfer limit etc

5.coupon swaps,forward contracts

6.securitization-SPV or Commercial bank allocation of assets 

7.Case study on NII,NIM,EER

8.Case study on Cash flows,deviation during years,SD/mean

9.ECGC insurance premium bear by?

10.CHIPS-USA

11.treasury risk management 4-5 ques

12.European put option

13.Authorises person categ 2

14. ques on BOP expansion 

15.bank margin calculation from rates 

16.Stop loss given- asked whether buy or sell at what rate to book profit or stop loss

17.monthly volatility given-calculate daily volatility 

18.modified duration calculation 

19.case study on Nostro Vostro and Loro and Mirror accounts

20.which is not an off balance sheet item of following 

21.crystallisation of sight bills 30 days

22.LC date expired due to bank closed due to hurricane UCPDC rule

23.standard ECGC policy cover-political risk

24.basel III - tier 2 capital req of total risk wtd assets, pillar 3 def

25.standardised approach and basic indicator approach and AMA all methods for operational risk calcualtion

24. volatility can also be measured by?

25.price volatility depends on yield volatility,BPV,Yield and price

26.VaR related 2 ques theoretical

27.derivatives hedge underlying risks

28.call risk

29.Maturity ladder or baskets case study

30.provision coverage ratio def

31.asset liability mismatch

32. Bond ytm,current yield 2-3 ques

Caiib Today ABM morning Batch reply from iibf

CAIIB ABM Today exam 55 Recollected Questions June 2018

CAIIB ABM TODAY EXAM 55 QUESTIONS RECOLLECTED by Srinivas Kante 1.Hicks -Hansen synthesis 2.Basic difference between IS and LM curve 3.Increase in money supply Lowe interest rate and raising inflation 4.NDP @factor cost 5.Demand –pull inflation means 6.Erosion as per the role 7.Climate Survey 8.Case study one related to Budget 9.Central limit theorem 10.sampling methods . 11. job erosion 12 curreneaccountdefficit 13 Gross deficit etc. case 14..standard deviations mean related 15 .Case 3 Xyz jewellery shop Related But the level oh complexity is very high..n .. 16 fiscal policy ,monetary policy 17.demand supply curve etc... 18.Correlation and regression numerical 19.NNP @ factor cost 20working capital 21. bank guarantee 22.Performance Appraisal 23. Halo effect Tendency.. 24.NNP at market price 25.In correct characteristics in Business cycle 26 Notional income also known as.. 27.Least squre method used in.. 28.Fctoring of services the factor 29.Lender to sensitising test and scenerion analysis..Type of loans 30. Debt to equity of enter prises raatio is.05 its... 31.Bank Gaurantee to commoidity brokarage (margin %).. 32.find P(x bar >/85) ? 33Std error of the mean is???? 34 Estimate of the population proportion is.. 35 Commericial paper issued multiples of.. 36.Commericial paper issued maximum period 37.Find P(88| 39.HRM 40.monetary policy 41.Annuity due prblems 42. Future Value problem 43.Estimation 44.Bond price 45.Revenue dediciat problem 46.Job evealution Job specfication case study 47. Turn over methodeapplied on leass than 5 cr 48. Factor of Supply schedule 49.Lional econmic statement. 50. GDP calculation 51. GNP at amrket price calculation 52. Sampling Methodes 53.Hallo effect 54 Cov(X,Y)=150 mean X=20 mean Y=10 standard deviation x=25 then equation of regression line is 55. 3 questions from HRM 5 marks each Thank you all, Srinivas Kante