CAIIB BFM fb QUESTIONS

Credit conversion factor - The credit conversion factor (CCF) converts the amount of a free credit line and other off-balance-sheet transactions (with the exception of derivatives) to an EAD (exposure at default) amount. This function is used to calculate the exposure at default. CHIPS - Clearing House Interbank Payments System CHAPS - Clearing House Automated Payment System Coupon swap - A zero coupon swap is an exchange of income streams in which the stream of floating interest-rate payments is made periodically, as it would be in a plain vanilla swap, but the stream of fixed-rate payments is made as one lump-sum payment when the swap reaches maturity instead of periodically over the life of the swap. Word Mine in dealing room - Dealer takes the spot/forward/deposit whichever has been quoted from the counter party. It is dangerous to use the expression unless amounts have been qualified first. - Intrinsic Risk Gone concern - Defunct firm or one in the process of being wound up. Debts of such firms become due immediately in full, their market value is determined on the basis of auction or liquidation value of their tangible assets, and their goodwill counts for nothing. Abbreviation of EMV chip - Europay, MasterCard and Visa Provision coverage ratio = Cumulative provisions / Gross NPAs Intrinsic risk - Risk does not mean volatility; risk means losing your money. That happens when a business fails to deliver the operating performance embodied in the price an investor paid to acquire it. Call risk - Call risk is the risk that a bond issuer will redeem its bonds before they mature. Certificate of deposit - A certificate of deposit (CD) is a savings certificate entitling the bearer to receive interest. A CD bears a maturity date, a specified fixed interest rate and can be issued in any denomination. CDs are generally issued by commercial banks. The original Basel III rule from 2010 required banks to fund themselves with 4.5% of common equity (up from 2% in Basel II) of riskweighted assets (RWAs). Since 2015, a minimum Common Equity Tier 1 (CET1) ratio of 4.5% must be maintained at all times by the bank.[3] This ratio is calculated as follows: CET1/RWAs >= 4.5 % The minimum Tier 1 capital increases from 4% in Basel II to 6%,[3] applicable in 2015, over RWAs.[4] This 6% is composed of 4.5% of CET1, plus an extra 1.5% of Additional Tier 1 (AT1). Furthermore, Basel III introduced two additional capital buffers: A mandatory "capital conservation buffer", equivalent to 2.5% of risk-weighted assets. Considering the 4.5% CET1 capital ratio required, banks have to hold a total of 7% CET1 capital, from 2019 onwards. A "discretionary counter-cyclical buffer", allowing national regulators to require up to an additional 2.5% of capital during periods of high credit growth. The level of this buffer ranges between 0% and 2.5% of RWA and must be met by CET1 capital. MSF - Marginal Standing Facility (MSF) rate refers to the rate at which the scheduled banks can borrow funds overnight from RBI against government securities. MSF is a very short term borrowing scheme for scheduled commercial banks. Marginal Standing Facility (MSF) - 7.00% (w.e.f. 05/04/2016). Decreased from 8.25% which was continuing since 02/06/2015 European option - A European option is an option that can only be exercised at the end of its life, at its maturity. European options tend to sometimes trade at a discount to its comparable American option. This is because American options allow investors more opportunities to exercise the contract. Yield - The income return on an investment. This refers to the interest or dividends received from a security and is usually expressed annually as a percentage based on the investment's cost, its current market value or its face value. BPV - BPV is a method that is used to measure interest rate risk. It is sometimes referred to as a delta or DV01. It is often used to measure the interest rate risk associated with swap trading books, bond trading portfolios and money market books. LC crystallisation questions Exposure measure Basel 3 general features swap questions 2 What is supervisor review role in Basel 3 Restructuring provision is for how much period Leverage ratio Addtional tier 1 is how much percentage of tier 1 modified duration of equity Bill buying rate Cross rate Loss spot 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 Note : I found no case studies regarding risk wt asset or capital charge finding, provisioning,risk type identification or forex rate quotations which I heard alwez come so there is a change in patten this time - more theory. To clear this read - module 1 and 2 thoroughly and D- Basel III, asset classification and provisions (no ques this time), module 3- just browse over summary it's sufficient. All the best !! Recollected - Dec 2013 ----------------------- Which one of the following is the nodal agency designated by government of india to manage the Export Marketing Fund (EmF)? a. Exim Bank b. Export promotion councils of respective commodities c. Ministry of finance d. Export Council guarantee corporations Ans - a .. Quantitative disclosures in respect of capital requirements for market risk in trading book not include ? a. Foreign Exchange Risk b. Interest rate risk c. Securitisation expousures d. Equity position Risk Ans - c .. A bank borrows US $ for 03 months @ 2.5% and swaps the same in the INR for 03 months for deployment in CPs @ 5.5%. The 03 Months premium on US $ is 0.75% the margin generated by the bank in the transaction is ...... a. 3% b. 2.25% c. 5.5% d. Non of these Ans - b = 5.5-2.5=3 = 3*.75 = 2.25% .. The main purpose of capital adequacy norms is to ensure that a bank has sufficient capital to ...... a. Provide loans b. Repay its depositors c. Provide a stable resources to absorb any losses arising from the risks in its business d. Have adequate infrastructure of its on Ans - c .. A bank holds stocks of a company ‟A‟ and wants to protect the downside risk on it may ...... a. Take a long position in the stock futures b. Take a short position in the stock futures c. Purchase call option on the stock d. Sell put option Ans - d .. A 91 day T-bill with remaining maturity of 73 days is priced at Rs 99. What is the yield? a. 5% b. 5.05% c. 4.95% d. 5.20% Ans - 2 (100-Price)*365*100 / (price * no of days to maturity) Wherein; P – Purchase price D – Days to maturity Day Count: For Treasury Bills, D = [actual number of days to maturity/365] in this case price is 99 and days to maturity are 73 so answer would be (100-99)*365*100 / ( 99*73)=5.05 ans .. On a 5 point scale (very high,high,average,modete & Low),probability of occurrence of an activity has been estimated at an average level. Potential financial impact is estimated at an high level, given that the impect of internal control is 40% what is the estimated level of operational level? a. Very high to high b. High to average c. Average to moderate d. Moderate to Low Ans - d .. Market risk in treasury can be controlled by ...... a. Overnight limit alone b. Gap limit only c. Counter party limit only d. Both a and b Ans - d .. A bank identified 4 asets(a,b,c and d) with a view to reduce risk. it has to choose one of them Which one of the following criteria would be most relevant for the purpose? a. Risk capital required for each assests b. Return on risk capital vis-à-vis that for the portfolio c. Correlation of assets with the portfolio d. Income earmed on assets Ans - c .. Losses from failed transaction processing is classified under „Event Type Classification as ...... a. Business Disruptions and System failure b. Execution,Delivery and process Management c. Clients, products and Business Practices d. None of the above Ans - b .. Which one of the following ratio does not take into account risks in banking business? a. ROC b. Capital adequacy c. RORAC d. RAROC Ans - a .. A rating model combines financial ratios using reported accounting instruction and equaty values to forecast the probability of a company enterning bankrupacy with in 12 month period. This model is known as ...... a. Altman,s Z score model b. Credit metrics model c. Credit risk model d. None of the Above Ans - a .. Interest income of a bank does not include ...... a. Profit on sale of investments b. Interest on balances with RBI c. Interst on bills discounted d. Interest on car loans Ans - a .. Components of portfolio risk are ...... a. Dafault risk and systematic risk b. Down-gradation risk and concentration risk c. Concentration risk and intrinsic risk d. Default risk and down-gradation risk Ans - c .. Loans against balances held in FCNR(B) account can be permitted up to ...... a. Rs 50 lakh with 35% margin b. Rs 100 lakh with 35% margin c. US $ 1 MIO without any margin d. Any amount subject to usual margin requirements. Ans - d Banks can from 12.10.2012 grant loan against these depsoits without any limits subjuect to usual margin requirements .. Who advices the weekly average rates for FCNR(B) deposits to the ADR ...... a. Forex Association of india b. FEDAI c. EXIM Bank d. RBI Ans - b .. YTM of a bond depends upon ...... a. Coupon rate and market value only b. Market value and residual maturity only c. Residual matuarity and coupon rate only d. Coupon rate market value and residual matuarity Ans - b .. Export packing Credit is normally computed on the basis of ...... a. FOB value of Export b. CIF value of export c. CFR value of export d. C & I value of export Ans - a .. A bank in Mumbai quotes a FRA on 10th March 6*9 FRA at MIBOR 5.15-5.25 What is the settlement date matuarity date of the FRA a. 10th Dec : 10th Dec b. 10th Sep : 10th Dec c. 10Th Sep : 10th Sep d. 10th Dec : 10th Sep Ans - b .. Which approaches are used for measueing and managing funding requirement ? i) stock approach ii) Standered approached iii) Flow approach iv) Quantitatives approach a. i) and iii) only b. ii) and iv) only c. ii) and iii) only d. i) and iv) only Ans - a .. 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 a. Rs 1451.72 b. Rs 1056.36 c. Rs 1112.84 d. Non of above Ans : bond valuation=i (PVIFAkd,n) + F (PVIFkd,n) = 70*11.296+1000*.661=790.72+661=1451.72 ANS Based on the following information answer Q no 27 to 28 Tour bank ABCD is planning to get international banking and start forex trading tou are request to undertake several steps/ takes liences etc. .. Based on the information given below answer Q no 22 to Q 25 The forex daelar of KBC Bank sold GBP 20000 in the interbank market @83.7500 in cover of import TT recorted by one of their branches. Subsequently it was detected that the transaction had erroneously reported twice by the branch and hence the sale had to be cancelled the interest rate at the time of cancellation was 1GBP=83.6875 /83.7275. ONE month forward rate: 1 GBP =83.7300/83.7700 Brokerage of Rs. 1000 for each sale as well as purchase transaction is payable. What is the amount received in the original sale transaction by the dealar? a. Rs 16,75,400 b. Rs 16,73,750 c. Rs 16,74,000 d. Rs 16,74,550 Ans: Which rate would be applied for cancellation? a. Bill Selling b. Bill buying c. TT selling d. TT Buying Ans: How much has to be paid to the dealer at the time of cancellation? a. Rs 16,74,550 b. Rs 16,74,600 c. Rs 16,75,550 d. Rs 16,73,750 Ans: How much is the loss/gain on cancellation of GBP sale by the dealer? a. Rs 1550 loos b. Rs 1550 Gain c. Rs 1000 Gain d. No profit no loss Ans: Recollected - June 2015 ------------------------------ Calculation of CRR and SLR Gold card scheme of exporters Supervisory review Rwa calculation Letter of credit case study business line exposure numerical calculation of incremental NPA questions related to risks and treasury UDPDC 600 irrevocable lc Asset liability Gap. Case study Export bill case study Tier1 and tier2 capital n CAR case study On 12 feb, received import bill of USD 10000. The bill has to retired to debit the a/c of the customer. Interbank spot rate =34.6500/7200. The spot rate for March is 5000/4500. The exchange margin TT SELLING is 0.15% and exchange margin BILL SELLING is 0.20%.quote rate to be applied For retirement of import bills, whether under LC or otherwise, bank's bill selling rate ruling on the date of retirement of bills or the forward rate, shall be applied. All foreign currency bills under LC, if not retired on receipt, shall be crystallized into Rupee liability, at TT Selling rate, on the 10th day after the date of receipt of documents. So, here the answer should be = 34.4500 - (34.45 * 0.20 / 100) = 34.4500 - 0.0689 = 34.3811 ............... ABC bank ltd has following repricing assets &liabilities as on 31/03/2015 Call money rs1500crore Cash credit adances rs1200 crore Cash in hand rs1000crore Saving bank deposit rs1500crore Fixed deposit rs1500crore Current bal a/c rs1250 crore 1.adjusted gap in repricing assets &liabilities? 2.if intrest falls by 1%across the board for all assets&liabilities the net intrest income will be? 3.if int increases by1.5% across the board for all assets &liabilities the net intrest income will be? If int on call money falls by1% on cash credit by 0.5% on sb a/c by 0.30% & on fd by 1% the net intrest income? ............... Export bill for usd 5mio drawn 90 days from the date of shipment Shipment date 3rd october2014 Due date is 1st feb2015 Exchange margin 0.15% Spot rupee : 63.15/20 Premium spot-january55/60 paise Rate to be quoted to nearest 0.25 paise & rupee amt is to be rounded off Rate of intrest on post shipment export up to 180 days is 9%p.a Comm. On bills purchased is 0.075% Int & comm to be charged up front a.bill buying rate? b.The int to be recovered from the exporter will be? c.the comm charged to the transaction will be closed to? d.Amt payable to the exporter will be? e.in case int chargeable is 10%, amt payable to the exporter will be lower by? ............... A customer presents a bill worth usd 1mio at your bank which is due for maturity at ant time during second month.following information as follows Rs/$ spot:63.42/63.57 One month swap points:20/10 Two month swap points:15/10 Bank‟s margin is 0.5%. for merchant transaction 1.one month forward market buying rate? 2.One month forward selling rate will be? 3.the two months forward market buying rate? 4.the rate quoted for buying the bill will be? ............... ABC bank ltd on 15/10/2014 as follows : Rs in crore Paid up capital 500 Stock surplus 25 Statutory reserves 650 Capital reserves representing Surplus arising out of sale proceeds of assets 50 Other disclosed free reserves 120 General provision & loss reserves 150 Specific provision on npa at port folio level 15 Provision in lieu of diminution in fair value of assets in case of restructured adv 10 Revaluation reserves 100 Infusion of capital after published bal sheet 50 Rwa under credit/standarised approach 6000 Capital charge for market risk 270 Capital chare for operational risk 180 a.eligible tier1 capital? b.eligible tier2 capital? c.eligible crar of the bank will be? d.as per guidelines exposure ceiling of abc bak on15/10/2014 to a borrower group in the infrastructure tale space? e.bank intends to finance a single nbfc& purposes&other infrastructure finance its exposure ceiling will be on 15/10/2014? ............... Default probality of advance portfolio of a bank Rating aaa aa a bbb bb b ccc 3yrs 0.03% 0.12% 0.25% 1.05% 6% 25% 40% 5yrs 0.10% 0.35% 0.55% 1.90% 10% 35% 25% Base rate of 11% is charged to aaa category of borrowers for a 3yr loan load factor to be added to base rate. 1%of aa, 2%of a, 3% of bbb& 4% of bb a/c load factor to be further increased by 0.5% for each additional maturity year over 3yrs will be 1.a loan of rs400 crore for 5yrs was given to an A rated COMP two yrs back.there has been no default. Current out standing is rs200 crore. Exposure at default is 100% and loss given default is 50%. The expected loss on this a/c will be? 2.as per risk policy of the bank the loan that shall earn the lowest return will be? 3.received a proposal from a A rated borrower for a loan repayable in 5yrs.what rate of intrest should be charged to th borrower? 4.as on 31/03/2014,the bank had 200BBB rated a/c out of which 10% a/c migrated to default category by 31/03/2015. 5. what is the increase in the number of a/c‟s in the default category? ............... ABC bank has a capital of rs400 crore s on 31/03/2014 following addl details as follows s.no details amt in crore 1. cash &bal with rbi 200 2. bank balances 200 3. INVESTMENTS Held for trading 500 Available for sale 1000 Held to maturity 500 4. advances(net) 2000 5. other assets 300 6. total assets 4700 Interms of counter party the investments as follows Counter party amt in crore Government 1000 Banks 500 Others 500 The break investments as under Govt.sec bank bonds other sec total HFT 100 100 300 500 AFS 600 400 - 1000 Trading book 700 500 300 1500 HTM 300 - 200 500 TOTAL 1000 500 500 2000 Risk weights assigned as follows DETAILS OF ASSET RISK WEIGHT Cash&bal with rbi 0 Bank bal 20 INVESTMENTS Govt 2.5 Banks 22.5 Others 102.5 Adv & other assets 100 1.total risk weighted assets are? 2.% of total risk weighted assets to the book value of assets? 3.capital adequacy of the bank will be? 4.diff between the max&min risk weighted assets under investments? 5.capital held by abc bank in excess of the minimum regulatory requirement comes to ---------------- crores? ............... Recollected - Dec 2015 ---------------------------- 1. As per basel 3...investment % in banking and FI Minimum total capital requirement will remain at the current 8% level (9% as per RBI). But the required total capital will increase to 10.5% (11.5% as per RBI) when combined with the conservation buffer (2.5%). 2. What option is available to issuer in CP? Issuer of CP can issue/hold CP in dematerialised or physical form 3. Call money otc deal ____ time period for NDS Deals in the Call/Notice/Term money market can be done from 9:00 am to 5:00 pm on weekdays and from 9:00 am to 2:00 pm on Saturdays or as specified by RBI from time to time. 4. fimmda/fedai/iba formed mibor committee...name this company Board of Financial Benchmarks India Pvt. Ltd (FBIL) 5. ALCO committee meeting in ____ time period Individual banks will have to decide the frequency for holding their ALCO meetings 6. Under lrs amt dat can be remitted per fy USD 250,000 7. Recession period as per ICAAP 8. No of principles under SRP 4 9. Negative carry of crr n slr 10. No. imp areas in mkt disciplines 13 11. T-bill min investment Rs. 25000 12. NIM and EER Formula.... NIM = NII - NIE EER = Equity / Total assets 13. case study on dgap,weight,leverage, modified duration... Modified duration = sub of pvt/ sub of pv Mc duration = mod dur/ yield + 1 Dirty Bond is a bond with interest of broken period. One that is traded on a day between two successive coupon payment dates. Npa provision calculations gap calculAtions nim rwa calculations cd theory fwd rate calculations What is dirty price ..what is ponv ..basel 3 questions ...difference between credit linked note nd CDS ...question on haircut ..case study on duration, modified duration ..case study on Letter of credit Case study on pricing of assets nd liabilities ..questions on spot price..forward rate 5 Numbers bunch on Commercial paper Like validity, amount, eligibility etc. Total 5 number. All r there in ur sample questions bt one by one. Here they asked in bunch. Currency swap sum for 5 number. Last time also in june it had come 5 number questions on Import Lc. Different 2 Questions. Like 1 is lc for quantity 1000mt nd export presented 2 bill of ladings from different dates. If lc is ristricked for partial shipment then 4 option for different discrepancies .. Other Questions if lc is silent on insurance and exporter submit 105% of invoice amt insurance cover then.. Like this 5 question on lcs basically on ucpdc article bt example wise Static and dynamic simulation How many partys in an otc txn higher the RAROC____is the reward expectation from the investor. As per regulator Basel III which are of following criteria is required for addition Tier I capital at the pre speeding trigger point. Dirty price=clean price+accrued interest T-bill min investment Rs. 25000 Under LRS amt dat can be remitted per fy USD 250,000 NIM and EER Formula.... Net Interest Margin is the ratio of net interest income to average interest-earning assets = NIM = NII - NIE EER = Equity / Total assets No. imp areas in mkt disciplines 13 F.I can issue CDs for a period of? 1 to 3 years Interest rate ceiling fixed by regulator on FCNR (B), 3-5yrs? Interest ceiling for maturity period between 1 year and 3 years is LIBOR/Swap +200bps Interest ceiling for maturity period between 3 years and 5 years is LIBOR/Swap +400bps 3 types of Forex exposures Transaction, Translation and Economic Exposure 25 day volatility of a stock is 3.75. Find daily volatility? volatility stocks = root of no. of days * daily volatility 0.75 C.D are issued in the form of? Usance Promissory Note Article 10 of UCP 600? Ammenement acceptance CRILC full form Central Repository of Information on Large Credits (CRILC) RWA of housing loan Housing Loans - 50% Housing Loans > Rs. 30 Lakhs - 75% Provision of sub - standard category (secured)? 15% Advanced measurement approach under operational risk, risk mitigation upto ..........%? 20% Minimum credit rating by sebi? The minimum credit rating shall be 'A3' as per rating symbol and definition prescribed by SEBI. Full Form of PONV point of non-viability Interbank Rate The rate of interest charged on short-term loans made between banks. Banks borrow and lend money in the interbank market in order to manage liquidity and meet the requirements placed on them. ........... Case Studies on NPA Provisions 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? a. Rs. 49 lacs b. Rs. 42.5 lacs c. Rs. 38.5 lacs d. Rs. 34 lacs Ans - c 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 ECGC. 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 .. Asset in doubtful category for 2 years – Rs. 500000/- Realization value of security – Rs. 300000/- What will be the provision requirement? a. Rs. 500000/- b. Rs. 320000/- c. Rs. 200000/- d. Rs. 175000/- Ans - b 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 .. 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? a. 150000 b. 75000 c. 55000 d. 50000 Ans - b 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 .. Balance sheet of a bank provides the following information: Fixed Assets - 1000cr Investment in central Govt Securities - Rs 10000cr In standard loan accounts Housing Loans - RS 6000cr (Secured, below Rs 10 lac) the Retail loan - Rs 4000cr Other loans - Rs 8000cr sub-standard secured loans - Rs 1000cr sub-standard unsecured loans - Rs 500cr Doubtful loans (D-1, secured) - Rs 800cr Doubtful loans (D-1, unsecured) - Rs 600cr Doubtful loans (D-2, secured) - Rs 500cr Doubtful loans (D-2, unsecured) - Rs 1000cr Doubtful loans (D-3, secured) - Rs 1000cr Doubtful loans (D-3, unsecured) - Rs 600cr Loss Assets - 50cr and other assets - Rs 500cr. Answer the following questions, based on this information, by using standard Approach for credit risk. 1. What is the amount of RWAs for investment in govt securities? a. Rs 5000cr b. Rs 3500cr c. Rs 2500cr d. Nil 2. What is the amount of RWAs for sub-standard unsecured accounts? a. Rs 500cr b. Rs 7500cr c. Rs 1000cr d. Rs 1500cr 3. What is the amount of RWAs for doubtful (D-1, unSecured) accounts? a. Rs 300cr b. Rs 500cr c. Rs 800cr d. Rs 900cr 4. What is the amount of RWAs for doubtful (D-2, unSecured) accounts? a. Rs 300cr b. Rs 500cr c. Rs 800cr d. Rs 900cr 5. What is the amount of RWAs for doubtful (D-3, unSecured) accounts? a. Rs 300cr b. Rs 500cr c. Rs 800cr d. Rs 900cr 6. What is the amount of RWAs for retail loans? a. 3000cr b. 4000cr c. 5000cr d. 6000cr 7. What is the amount of RWAs for housing loans? a. 3000cr b. 4000cr c. 5000cr d. 6000cr Solution : 1. d RW against Govt Securities = 0 % So, RWA = 10000 x 0% = 0 Cr 2. a If the provision is less than 20 %, then RW is 150% If the provision is 20-49 %, then RW is 100% If the provision is 50% or more, then RW is 50% Provision in Sub-Standard Un-Secured - 25 %, and so, RW = 100 % So, RWA = 500 x 100 % = 500 Cr 3. a If the provision is less than 20 %, then RW is 150% If the provision is 20-49 %, then RW is 100% If the provision is 50% or more, then RW is 50% Provision in doubtful (D-1, unsecured) - 100 %, and so, RW = 50 % So, RWA = 600 x 50 % = 300 Cr 4. b If the provision is less than 20 %, then RW is 150% If the provision is 20-49 %, then RW is 100% If the provision is 50% or more, then RW is 50% Provision in doubtful (D-2, unsecured) - 100 %, and so, RW = 50 % So, RWA = 1000 x 50 % = 500 Cr 5. a If the provision is less than 20 %, then RW is 150% If the provision is 20-49 %, then RW is 100% If the provision is 50% or more, then RW is 50% Provision in doubtful (D-3, unsecured) - 100 %, and so, RW = 50 % So, RWA = 600 x 50 % = 300 Cr 6. a RW on retail loans = 75 % So, RWA = 4000 x 75% = 3000 Cr 7. a RW on housing loans = 50 % So, RWA = 6000 x 50% = 3000 Cr ....................................... ABC Bank has the following re-pricing assets and liabilities (Rs. in crores): Call Money - 600 Cash Credit Loans - 480 Cash in Hand - 500 Saving Bank - 600 FD - 600 Current Depost - 600 Now, answer the following based on the above information. 1. What is the adjusted gap in re-pricing assets and liabilities? Adjusted gap : = (SB + FD) - (Call money + CC) = (600 + 600) - (600 + 480) = 1200 - 1080 = Rs.120cr (Rs. 120 cr Negative Gap, because assets are less than liabilities) The cash in hand and current account deposits are not subject to re-pricing as these are not interest bearing, hence these have been ignored. 2. What is the change in NII, if interest rate falls by 3% points for all assets and liabilities? There is negative gap (interest bearing liabilities more) of Rs.120cr [(600+600)-(600+480)]. Which means the interest cost declines @2% on this negative gap, which leads to increase in NII. Hence it is Rs.120cr * 3% = Rs. 3.60cr increase in NII 3. What is the change in NII, if interest rate increase by 3% points for all assets and liabilities? There is negative gap (interest bearing liabilities more) of Rs.120cr [(600+600)-(600+480)]. Which means the interest cost increases @3% on this negative gap, which leads to decline in NII. Hence it is Rs.120cr * 3% = Rs. 3.60cr decline in NII 4. What is the change in NII, if interest rate falls on call money by 1%, SB by 0.2%, FD by 1% and CC by 0.6%? Fall in interest income in case of assets = (Call- 600 * 1% = 6.00cr) + (Cash credit- 480 * 0.6% = 2.88) = Rs.8.88cr. Fall in interest expenses in case of liabilities = (SB- 600 * 0.2 = 1.20cr) + (FD- 600 + 1% = 6.00 cr) = 7.20cr Net Decline = 8.88cr - 7.20cr = 1.68cr 5. What is the change in NII, if interest rate increases on call money by 0.5%, SB by 0.1%, FD by 0.8% and CC by 1%? Increase in interest amount in case of assets : = (Call- 600 * 0.5% = 3.00cr) + (Cash credit- 480 * 1% = 4.80) = Rs.7.80cr. Increase in interest amount in case of liabilities : = (SB- 600 * 0.1 = 0.60cr) + (FD- 600 * 0.8% = 4.80cr) = 5.40cr Net improvement = 7.80cr - 5.40cr = 2.40cr .. ABC Bank provides following information: Rs.in crores - 1 st year Net profits - 250 Provisions - 300 Staff expenses - 350 Other operating expenses - 150 Other income - 400 Rs.in crores - 2nd year Net profits - 200 Provisions - 250 Staff expenses - 300 Other operating expenses - 250 Other income - 500 Answer the following questions, based on the above information : 1. What is the amount of capital charge for operational risk, on the basis of 1st year results alone as per Basic indicator approach. Capital charge = Gross income * 15% Gross income = net profit + provisions + staff expenses + other operating expenses = 250 + 300 + 350 + 150 = 1050 cr Capital charge = 1050 * 15% = 157.50 cr 2. What is the amount of capital charge for operational risk, on the basis of 2nd year results alone as per Basic indicator approach. Capital charge = Gross income * 15% Gross income = net profit + provisions + staff expenses + other operating expenses = 200 + 250 + 300 + 250 = 1000 cr Capital charge = 1000 * 15% = 150 cr 3. What is the amount of capital charge for operational risk, on the basis of 1st and 2nd year results as per Basic indicator approach. Capital charge = Gross income * 15% Gross income = net profit + provisions + staff expenses + other operating expenses 1st year = 250 + 300 + 350 + 150 = 1050 cr 2nd year = 200 + 250 + 300 + 250 = 1000 cr Average gross income =(1050 + 1000) / 2 = 2050 / 2 = 1025 cr Capital charge = 1025 * 15% = 153.75 cr 4. What is the amount of risk weighted assets for operational risk as per Basel 2 recommendations, on the basis of 1st year results alone, as per Basic indicator approach? RWA = Capital charge / 8% = 157.50 / 8% = Rs.1968.75 cr 5. What is the amount of risk weighted assets for operational risk as per Basel 2 recommendations, on the basis of 2nd year results alone? RWA = Capital charge / 8% = 150 / 8% = Rs.1875 cr 6. What is the amount of risk weighted assets for operational risk as per Basel 2 recommendations, on the basis of 1st year and 2nd results? RWA = Capital charge / 8% = 153.75 / 8% = Rs.1921.88 cr .. BASEL III 3 Pillars of BASEL III The basic structure of Basel III remains unchanged with three mutually reinforcing pillars. Pillar 1 : Minimum Regulatory Capital Requirements based on Risk Weighted Assets (RWAs) : Maintaining capital calculated through credit, market and operational risk areas. Pillar 2 : Supervisory Review Process : Regulating tools and frameworks for dealing with peripheral risks that banks face. Pillar 3: Market Discipline : Increasing the disclosures that banks must provide to increase the transparency of banks Major Features of Basel III ? (a) Better Capital Quality : One of the key elements of Basel 3 is the introduction of much stricter definition of capital. Better quality capital means the higher loss-absorbing capacity. This in turn will mean that banks will be stronger, allowing them to better withstand periods of stress. (b) Capital Conservation Buffer: Another key feature of Basel iii is that now banks will be required to hold a capital conservation buffer of 2.5%. The aim of asking to build conservation buffer is to ensure that banks maintain a cushion of capital that can be used to absorb losses during periods of financial and economic stress. (c) Countercyclical Buffer: This is also one of the key elements of Basel III. The countercyclical buffer has been introducted with the objective to increase capital requirements in good times and decrease the same in bad times. The buffer will slow banking activity when it overheats and will encourage lending when times are tough i.e. in bad times. The buffer will range from 0% to 2.5%, consisting of common equity or other fully loss-absorbing capital. (d) Minimum Common Equity and Tier 1 Capital Requirements : The minimum requirement for common equity, the highest form of loss-absorbing capital, has been raised under Basel III from 2% to 4.5% of total risk-weighted assets. The overall Tier 1 capital requirement, consisting of not only common equity but also other qualifying financial instruments, will also increase from the current minimum of 4% to 6%. Although the minimum total capital requirement will remain at the current 8% level, yet the required total capital will increase to 10.5% when combined with the conservation buffer. (e) Leverage Ratio: A review of the financial crisis of 2008 has indicted that the value of many assets fell quicker than assumed from historical experience. Thus, now Basel III rules include a leverage ratio to serve as a safety net. A leverage ratio is the relative amount of capital to total assets (not risk-weighted). This aims to put a cap on swelling of leverage in the banking sector on a global basis. 3% leverage ratio of Tier 1 will be tested before a mandatory leverage ratio is introduced in January 2018. (f) Liquidity Ratios: Under Basel III, a framework for liquidity risk management will be created. A new Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) are to be introduced in 2015 and 2018, respectively. (g) Systemically Important Financial Institutions (SIFI) : As part of the macro-prudential framework, systemically important banks will be expected to have loss-absorbing capability beyond the Basel III requirements. Options for implementation include capital surcharges, contingent capital and bail-in-debt. Comparison of Capital Requirements under Basel II and Basel III : Requirements Under Basel II Under Basel III Minimum Ratio of Total Capital To RWAs 8% 10.50% Minimum Ratio of Common Equity to RWAs 2% 4.50% to 7.00% Tier I capital to RWAs 4% 6.00% Core Tier I capital to RWAs 2% 5.00% Capital Conservation Buffers to RWAs None 2.50% Leverage Ratio None 3.00% Countercyclical Buffer None 0% to 2.50% Minimum Liquidity Coverage Ratio None TBD (2015) Minimum Net Stable Funding Ratio None TBD (2018) Systemically important Financial Institutions Charge None TBD (2011) .. 1. Wish you all the very best for your exam. ............ Credit conversion factor - The credit conversion factor (CCF) converts the amount of a free credit line and other off-balance-sheet transactions (with the exception of derivatives) to an EAD (exposure at default) amount. This function is used to calculate the exposure at default. CHIPS - Clearing House Interbank Payments System CHAPS - Clearing House Automated Payment System Coupon swap - A zero coupon swap is an exchange of income streams in which the stream of floating interest-rate payments is made periodically, as it would be in a plain vanilla swap, but the stream of fixed-rate payments is made as one lump-sum payment when the swap reaches maturity instead of periodically over the life of the swap. Word Mine in dealing room - Dealer takes the spot/forward/deposit whichever has been quoted from the counter party. It is dangerous to use the expression unless amounts have been qualified first. - Intrinsic Risk Gone concern - Defunct firm or one in the process of being wound up. Debts of such firms become due immediately in full, their market value is determined on the basis of auction or liquidation value of their tangible assets, and their goodwill counts for nothing. Abbreviation of EMV chip - Europay, MasterCard and Visa Provision coverage ratio = Cumulative provisions / Gross NPAs Intrinsic risk - Risk does not mean volatility; risk means losing your money. That happens when a business fails to deliver the operating performance embodied in the price an investor paid to acquire it. Call risk - Call risk is the risk that a bond issuer will redeem its bonds before they mature. Certificate of deposit - A certificate of deposit (CD) is a savings certificate entitling the bearer to receive interest. A CD bears a maturity date, a specified fixed interest rate and can be issued in any denomination. CDs are generally issued by commercial banks. The original Basel III rule from 2010 required banks to fund themselves with 4.5% of common equity (up from 2% in Basel II) of riskweighted assets (RWAs). Since 2015, a minimum Common Equity Tier 1 (CET1) ratio of 4.5% must be maintained at all times by the bank.[3] This ratio is calculated as follows: CET1/RWAs >= 4.5 % The minimum Tier 1 capital increases from 4% in Basel II to 6%,[3] applicable in 2015, over RWAs.[4] This 6% is composed of 4.5% of CET1, plus an extra 1.5% of Additional Tier 1 (AT1). Furthermore, Basel III introduced two additional capital buffers: A mandatory "capital conservation buffer", equivalent to 2.5% of risk-weighted assets. Considering the 4.5% CET1 capital ratio required, banks have to hold a total of 7% CET1 capital, from 2019 onwards. A "discretionary counter-cyclical buffer", allowing national regulators to require up to an additional 2.5% of capital during periods of high credit growth. The level of this buffer ranges between 0% and 2.5% of RWA and must be met by CET1 capital. MSF - Marginal Standing Facility (MSF) rate refers to the rate at which the scheduled banks can borrow funds overnight from RBI against government securities. MSF is a very short term borrowing scheme for scheduled commercial banks. Marginal Standing Facility (MSF) - 7.00% (w.e.f. 05/04/2016). Decreased from 8.25% which was continuing since 02/06/2015 European option - A European option is an option that can only be exercised at the end of its life, at its maturity. European options tend to sometimes trade at a discount to its comparable American option. This is because American options allow investors more opportunities to exercise the contract. Yield - The income return on an investment. This refers to the interest or dividends received from a security and is usually expressed annually as a percentage based on the investment's cost, its current market value or its face value. BPV - BPV is a method that is used to measure interest rate risk. It is sometimes referred to as a delta or DV01. It is often used to measure the interest rate risk associated with swap trading books, bond trading portfolios and money market books. LC crystallisation questions Exposure measure Basel 3 general features swap questions 2 What is supervisor review role in Basel 3 Restructuring provision is for how much period Leverage ratio Addtional tier 1 is how much percentage of tier 1 modified duration of equity Bill buying rate Cross rate Loss spot 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

Calculate Altman Z score

Calculate Altman Z score 

a) 1.945

b) 2.945

c) 3.945

d) 4.945

The prediction that the company  

a) non bankrupt company 

b) is not on the verge of financial ruin

c)  bankrupt company

d) is  on the verge of financial ruin

e) a and b

d) c and d

1. Working capital = Current assets - current liabilities = 140000 - 70000 = 70,000

2. Total assets = 210000+90000+35000+10000+5000 = 350000

3. Retained earnings. = Reserves & surplus = 30000

4. EBIT = operating profit = 200000

5. Market value of shares = 10000 x 15 = 150000

6. Book value of total debts = Long term liabilities + current liabilities = 150000 + 70000 =

220000.

7. Sales = 200000 x 4 = 800000, since operating profit is 25% on sales.

Conclusion:

Z = 1.2×0.20 + 1.4 × 0.09 + 3.3 × 0.57 + 0.6 × 0.68 + 1.0 × 2.29 = 4.945, say 4.95

Altman Z-Score CAIIB BFM

Application of Altman Z Score / Bankruptcy Score Formula

The formula is used to predict corporate defaults or bankruptcy or in academic language, financial distress position of companies.

The formula is based on discriminant analysis technique in statistical analysis.

The formula uses multiple variables from income statement and balance sheet of companies.

What’s the formula?

Formula =

Altman Z-Score = 1.2*T1 + 1.4*T2 + 3.3*T3 + 0.6*T4 + 1.0*T5

Here are the key definitions from the above formula:

T1 = Working Capital / Total Assets

This ratio measures liquid assets. The companies in trouble will usually experience shrinking liquidity.

T2 = Retained Earnings / Total Assets

This ratio calculates the overall profitability of the company. Dwindling profitability is a warning sign.

T3 = Earnings before Interest and Taxes / Total Assets

This ratio shows how productive a company is in generating earnings, relative to its size.

T4 = Market Capitalization / Total Liabilities

This ratio suggests how far the company’s assets can decline before it becomes technically insolvent (i.e., its liabilities become higher than its assets).

T5 = Sales / Total Assets

This is the asset turnover ratio and is a measure of how effectively the firm uses its assets to generate sales

BFM Recollected questions::

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

Time buckets for BFM exam

Time buckets for BFM exam

https://drive.google.com/file/d/1FrtoipiegRYtH9UQZrt2GgvQQZfQDyEG/view?usp=sharing

Very important for BFM case study to solve remember

Summary of Major Issues in LC Transactions

Check List for Issuing/Accepting L/C
• Quality of Issuing Bank
• Method of Payment: Sight or Deferred Basis
• Transport Documents
• Other Documents
• Documents: Banks deal in documents not in goods, services or performance
• Should not refer to underlying contract
• Timing: UCP norm is max. 21 days after shipment date for presentation of
documents
Responsibilities and Obligations of Banks
• Irrevocable unless otherwise mentioned
• Issuing Bank: Prime obligation
• Advising Bank: Only obligation to authenticate the credit and passing it on promptly
to beneficiary

• Confirming Bank: takes over payment responsibilities of the issuing bank as far as the
beneficiary is concerned
• Reimbursing Bank: Responsibility of Issuing Bank to provide proper reimbursement
instructions
• Applicability of Force Majeure clause limiting banks’ liability on account of Acts of
God, riots, etc.
• Banks have five banking days to examine documents after receipt of documents
• Banks will examine documents with reasonable care
• Documents should be consistent with each other and complete
• Documents should conform with the terms of the credit
• Documents should comply with the provisions of UCP
Common Defects in Documentation
Commonly found discrepancies between the letter of credit and supporting documents
include:
• Letter of Credit has expired prior to presentation of draft.
• Bill of Lading evidences delivery prior to or after the date range stated in the credit.
• Stale dated documents.
• Changes included in the invoice not authorized in the credit.
• Inconsistent description of goods.
• Insurance document errors.