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Kultur Dokumente
1.
by
Hanumantha Rao)
Probability of occurrence=4
Potential financial impact=4
Impact of internal control=0%
What is the estimated level of operational risk?
A.3
B.2
C.0
D.4
=(4*4*(1-0))square.5=4, So ans is d (look for page295 BFM)
Estimated level of operational risk=Estd probability of
occurrence(4)*Estd potential financial impact(4) *estimated impact of
internal controls
75
Ans : b
since it a doubtful-II cat so 30% realization value of Rs
90 i.e Rs 27 and 100% of short Fall that is 120-90= 30 so ans will
be 30+27= 57
3(b). If there is an assets of Rs 120 only in the doubt ful-III cat and
the realization value of security is Rs 90 if above mentioned asset in
doubt-III than what will be the provision requirement.
A 120
B 48
C 57
D 108
Ans : a since it a doubtful-III cat so 100% of realization value Rs 90
i.e Rs 90 and 100% of short Fall that is 120-90= 30 so ans will be
90+30=120
4. A preshipment account above 3 years as on mar 31 2004 has debit
balance of Rs 4 lakh. Principle security value is 1.50 lakh and ECGC
cover is available at 50 %. What provision will be made on the a/c as
on 31.05.2025 .
A Rs 2.15 lac
B
2.0 lac
C
1.92 lac
D
2.25 lac
Ans : a
5. A/C of ABC has become doubtful with balance of Rs. 6 lac . The
collateral security value is Rs 3 lac and that of principle security is 2
lac. Guarantors worth is Rs 10 lac . A/c is in more than 1 Yr and up
to 3 yr doubtful category . What will be amount of provision as on
mar 2013.
A Rs 1.50 lac
B
2.50 lac
C
1.80 lac
D
3.0 lac
Ans : B
since it is in more than two yr in doubtful category it
should be treated as doubtful-II cat and allow 30% of realisation
value that is 3+2=5 , 30% of 5 will be Rs 1.50 lac and 100% of
short fall that is 6-5=1 lac so 1.50+1.0=2.50 lac ans
6. Provisions to be made for a standard asset....teaser housing loan
A)0.25%
B)0.40%
C)1%
D) 2%
Ans: 2%
7. A 5-year 6% semi-annual bond @ market yield of 8%, having a price of
Rs. 92, falls to Rs. 91.80 at a yield of 8.10%, what is Basis Point Value
(BPV)?
1) Rs. 0.20
2) Rs. 0.10
3) Rs. 0.02
4) Rs. 0.05
BPV=92-91.80/8.10%-8%=.2/.10*100=.2/10=.02
b)34.6979
c)27.6979
d)25.6979
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
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.
10.Issue of DD on New York for USD 25000. The spot Rate is IUSD =
34.3575/3825 1M forward rate is 34.7825/8250
Exchange margin: 0.15%
a ) 32.4341
b ) 34.4341
c ) 36.4341
d ) 38.4341
Ans: Issue of DD on New York for USD 25000. The spot Rate is IUSD =
34.3575/3825 IM forward rate is 34.7825/8250
Exchange margin: 0.15%
Solution:
TT Selling Rate will Apply
Spot Rate = 34.3825 Add Exchange margin (.15%) i.e. 0.516
TT Selling Rate = Spot Rate + Exchange Margin = 34.4341 Ans.
b ) INR 5.9366
c ) INR 6.9366
d ) INR 7.9366
Solution
Cross Rate will apply
USD will be bought in the local market at TT Buying rate and sold at Spot
Selling Rates in Singapore for French
Francs:
TT Buying Rates USD/INR = Spot rate Exchange margin = 35.8500-.0287
= 35.8213
Spot Selling Rate for USD/Francs = 6.0340
Inference:
6.0340 Franc = 1USD
= INR 35.8213
1 franc = 35.8213/6.0340 = INR 5.9366 Ans.
12. On 12th Feb, received Import Bill of USD-10000. The bill has to be
retired to debit the account of the customer. Interbank spot rate
=34.6500/7200. The spot rate for March is 5000/4500. The exchange
margin for TT selling is .15% and Exchange margin for Bill selling is .20%.
Quote rate to be applied.
a ) 31.8415
b ) 34.8415
c ) 35.8415
d ) 39.8415
Solution
Bill Selling Rate will be applied.
Spot Rate + Exchange margin for TT Selling + Exchange margin for Bill
selling = 34.7200+.0520+.0695 = 34.8415
13 On 15th July, Customer presented a sight bill for USD 100000 for
Purchase under LC. How much amount will be credited to the account of the
Exporter. Transit period is 20 days and Exchange margin is 0.15%. The spot
7.35
7.37
6.89
8.01
12.38 +
10.96
9.70
8.86
+ 61.87 = 103.77
21.COST / UNIT
RAW MATERIAL 50
DIRECT LABOUR 20
OVERHEADS 40
TOTAL COST 110
NO OF UNITS 10,000
NO OF UNITS SOLD ON CREDIT 8000
AVERATE RAW MATERIAL IN STOCK : 1 MONTH
AVERAGE WORK IN PROGRESS : 0.5 MONTH
AVERAGE FINISHED GOODS IN STOCK : 0.5 MONTH
CREDIT BY SUPPLIER : 1 MONTH
CREDIT TO DEBTOR : 2 MONTHS
TAKE 1 YEAR = 12 MONTHS
3) CURRENT RATIO
C.A. / C.L. ( INCL T/L) ( 8 + 7 + 5 + 5 ) / ( 2 + 12 + 6 +20) = 6.25
33.A bank is holding bond portfolio having BPV of Rs 51000 per Cr. The
book value of the holding is Rs 9780 Cr having present market value of Rs
10543 Cr. Total face value of the holding is Rs 10124 Crs. What would be
the gain/loss on the holding if the portfolio yield increases by 12 basis points
?
a) Loss of Rs 1265.16
b) loss of Rs 1214.68
c)
loss of Rs 612000
d)
Insufficient data
Ans : c
So increase in yield..
Will decrease the market price. ..
Means loss in holding the portfolio. ..
BPV is Change in price by 1 basis point ( 0.01%) change in yield..
9.2 / ( 1 + 9.8%)
9.2 / ( 1 +0.098)
9.2 / ( 1.098)
8.37 = modified duration
38. Two stocks A and B have negative correlation of 80% between them
the portfolio consists of 100 units of stock a ( market price Rs 100 ) and
200 units of stock b ( market price Rs 200) if price of stock A moves up
by 10 % what would be gain/loss on the portfolio ?
a) gain Rs 4200
b) loss Rs 2200
c) Loss rs 600
d) non of these
ans : b Explanation. .
Co relation is 80% = 0.80
Which is negative. .
Means. .
two stock price is inversely related. ..
If price of stock a goes up
Then price of stock b goes down. ..
Factor is by 0.80..
Here stock price of a goes up by 10 %..
Current price of stock a is 110 rs...
Also price of stock b is goes down by 10%0.80 = 8%
Current price of stock b..
Will be 200 (1-.08%)
= 184 rs. .
Gain in stock a
= 110100 - 100100
= 11000 - 10000
= 1000
Loss in sock b
= 184200 - 200200
= 36800 - 40000
= -3200
In totally. .
= 1000+(-3200)
= -2200
= loss of 2200
b) 92.59%
c) 96.15%
d) none of these
ans:c
= (100/104) 100
= 96.15384
= 96.15
Interest rate = 8 % annual
For six months it should be 4 %
CPs are issued at discount prices. .
So if face value is 100..
Then 8 % annual.
4% for semi annual. .
Issue price (1+ 4%) = 100
Issue price 1.04 = 100
Issue price = 100/1.04
= 96.15384
= 96.15
41. 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 ?
1) Very high to high
2) High to average
3) Average to moderate
4) Moderate to Low
Ans: c
Estimated level of operational risk =
Estimated probability of occurrence estimated potential financial impact
Estimated impact of internal controls
Firstly we assume 5 level risk in numbers. ..
Scale of risk. .
Very high - 4
High - 3
Average - 2
Moderate - 1
Low - 0
So probability of occurrence
= average = 2
Potential financial impact
= high = 3
Impact of internal control
= 40 %
For calculation. .
Estimated level of operational risk =
Square root of (2 3 ( 1-40%))
= square root of (6 0.60)
= square root of 3.6
= more than 1 and less than 2
= more than moderate and less than average
Answer ..c..
Average to moderate
Reference page no 294, 295
BFM McMillan book
42. For estimating level of operational risk, abank estimates probability of
occurrence on historical frequency and maps it on a 5 point scale where
1. implies negligible risk
2. Implies low risk
3. implies medium risk
4. implies high risk
5. implies very high risk
Low risk
Medium risk
High risk
Very high risk
Ans : b
Explanation. ...
.
Estimated level of operational risk =
Estimated probability of occurrence estimated potential financial
impact Estimated impact of internal controls
Firstly we assume 5 level risk in numbers. ..
Scale of risk. .
Very high - 5
High - 4
Medium - 3
Low - 2
Negligible - 1
So probability of occurrence
= average = 2
Potential financial impact
= high = 5
Impact of internal control
= 50 %
For calculation. .
43.A bank,s G sec portfolio has 100 day VaR at 95% confidance level
of 4% based on yield.What is the worst case scenario over 25 days ?
a) increase in yield by 0.4%
b) Decrease in yield by 0.4%
c) Increase in yield by 2%
d) Decrease in yield by 2%
ans: 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 %
44. A bank,s G sec portfolio has 100 day VaR at 95%
confidance level of 4% based on yield.What is the worst case
scenario over 25 days
in case the portfolio size of the bank,s (mentioned above ) G
sec portfolio is rs 10000 croeres with average modified duration of
3, then worst case loss that the bank may suffer overnight is
a) RS 120 crores in terms of market value
b) loss of Rs 40 crores by way of interest income
c) Gain of Rs 40 crores by way of interest income
d) none of these
ans:
3*.4*10000/100=120 cr
priced at Rs 140. Taking interest cost @ 12% p.a . what is the profit
earned by the individual on the transaction ?
a) No loss no profit
b) Rs 600 loss
c) Rs 10600 loss
d) None of these
Ans : c Explanation. .
Call option ..
He will pushase 500 shares of A..at a price of 120
Tatal value of shares is..
60000
Then he will sell the total shares in the market at a price of 140..
500 140
= 70000
So profit of 10000 in the transaction. .
But he has to pay the premium for call options. .
Which is 40 500
= 20000
And for getting this much fund interest cost is..
= 20000 3 % for 3 months (12% p.a for 03 months 12/4=3)
= 600
Total premium + premium cost
= 20000 + 600
= 20600
In totality. ..
= 10000 - 20600
= - 10600
51. A financial institution buys a specified no of futures at NSE on
a stock Rs 90 each when spot price of the stocks Rs 95 . At the
maturity of the contract the FI takes delivery of the shares. During
the period of Rs 3. The acquisition cost to the FI per share is
( ignore any commission charged by exchange)
a) Rs 95
b) Rs 90
c) Rs 97
d) None of these
ans : b
52. A fixed for floating swap on a notional amount of Rs 10 crores
exchanges 9% fixed against 2% over MIBOR. Settlement is up
front based on closing MIBOR of the immediately preceding quarter. If
d) Non of these
ans is c
55. A company enjoys cash credit account with a bank . HE also has a
term looan account with o/s balance of Rs 15 Crs as on 31-03-2010 the
bank has also subscribed to the bonds issued by the borrower company
amounting to Rs 3 Crs. As on 31-03-2010 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. The amount
that will become NPA on account of this borrow company is
a) Rs 1.20 Crs
b) Rs 16.20 Crs
c) 19.20 Crs
d) none of these
ans: c = 15+3+1.20=19.20
56. A bank has deposits worth ZMW 3,00,000 billion. The interest rate on
this is 12%. SRR to be maintaioned by the bank is 8% effective cost to
deposit is....
1)
2)
3)
4)
12%
15.23%
13.04%
14.66%
So making no loss ..
Bank has to lend money at that interest rate..
Which will cover this cost of funding that is 36000
36000 = 276000 r /100
36000/276000 = r / 100
0.1304 = r / 100
r = 13.04 %
57. in a loan a/c the balance outstanding is 4.20 lacs and a cover of 75% is
available from CGFTMSE .the a/c has been doubtful since 25.08.2009.and
the value of security held is 1,50,000.the total provision in the a/c as on
31.03.2013 will be
1.2,10,000
2.2,17,500
3.1,26,000
4.2,65,000
Answer should be 2
Explanation ...
Outstanding. .balance. .
Is .....420000
Security available is..
150000
CGFTMSE...on remaining amount
Which is. .
= 420000- 150000
= 270000
Coverage is only 75 %..
So uncovered amount. .
We will take as a Provisioning. .
Which is ..
= 25% of 270000
= 67500
Since loan is in doubtful category for more than 3 years
So we will take 100 % Provisioning for security value. .
Which is.
= 150000
So totality. .
Provisioning is..
= 150000 + 67500
= 217500
58. A customer covers its receivable under exchange fluction risk cover
scheme of ECGC . On due date the currency appreciate by 45%. The
customer will gain on the transaction due to currency fluction.
a)
b)
c)
d)
45%
12%
10%
2%
Ans: bAny loss or gain..
Within the range of 2 % to 35%..
Will go in ecgc account. .
Thatswhy. .
Gain of 45%
Of that...33% will go in ecgc account. .
So profit only. .12%..
For customer
d) Non of these
ans: A Because of ecgc settled the 45 lakhs on default of 60 lakhs. .
Which means. .ecgc settled the 75 % of default. .
here 20 lakhs is realised security. ...
Which means claim amount will be only..
40 lakhs towards ecgc...
And ecgc will settle obly 75 % amount. .
And 25 % will be bear by bank..
So loss of 25% of 40 lakhs.
Means loss 10 lakhs will bear by bank
60. A claim of Rs 45 lacs has been settled by ECGC in favour of a bank
againt default of Rs 60 lacs. Subsequently the bank realizes Rs 20 lacs
collaterals available to it.What is thenet amount paid to ECGC ?
a) Rs 30 lacs
b) 45 lacs
c) 20 lacs
d) None of these
Because of ecgc settled the 45 lakhs on default of 60 lakhs. .
Which means. .ecgc settled the 75 % of default. .
here 20 lakhs is realised security. ...
Which means claim amount will be only..
40 lakhs towards ecgc...
And ecgc will settle obly 75 % amount. .
And 25 % will be bear by bank..
So 75% of 40 lakhs.
Means 30 lakhs will settled by ecgc
61.
62. The ovenight VaR of 1yr govt security yield is 0.20% with a current yield
of 7.50%. A prospective seller of the security may expect the yield to be on
next day
1) 7.50%
2)7.70%
3) 7.30%
4) inadequate information to make the calculation.
right ans is B any one explain
In worst case scenario prospective seller of security may expect rise in
the yield so ans is 7.50+0.20=7.70......
Same case vl diffrent fr prospective buyer as he expect the yield to fall
so 7.70-.20=7.30
34.7825/8250
Exchange margin: 0.15%
a ) 32.4341
b ) 34.4341
c ) 36.4341
d ) 38.4341
Dinesh Jawalkar Issue of DD on New York for USD 25000. The spot Rate is
IUSD = 34.3575/3825 IM forward rate is
34.7825/8250
Exchange margin: 0.15%
Solution:
TT Selling Rate will Apply
Spot Rate = 34.3825 Add Exchange margin (.15%) i.e. 0.516
TT Selling Rate = Spot Rate + Exchange Margin = 34.4341 Ans.
Qtn:65 Exporter received Advance remittance by way of TT French Franc
100000.
The spot rates are in India IUSD = 35.85/35.92 1M forward =.50/.60
The spot rates in Singapore are 1USD = 6.0220/6.0340 1M forward
=.0040/.0045
Exchange margin = 0.8%
a ) INR 4.9366
b ) INR 5.9366
c ) INR 6.9366
d ) INR 7.9366
Dinesh Jawalkar Solution
Cross Rate will apply
USD will be bought in the local market at TT Buying rate and sold at Spot
Selling Rates in Singapore for French
Francs:
TT Buying Rates USD/INR = Spot rate Exchange margin = 35.8500-.0287
= 35.8213
Spot Selling Rate for USD/Francs = 6.0340
Inference:
qtn:66 On 15th July, Customer presented a sight bill for USD 100000 for
Purchase under LC. How much amount will be
credited to the account of the Exporter. Transit period is 20 days and
Exchange margin is 0.15%. The spot rate is
34.75/85. Forward differentials:
Aug: .60/.57 Sep:1.00/.97 Oct: 1.40/1.37
a ) 28.0988
b ) 34.0988
c ) 40.0988
d ) 44.0988
Solution
Bill Buying rate will be applied.
Spot Rate----34.75 Less discount .60 = 34.15
Less Exchange Margin O.15% i.e. .0512 =34.0988 Ans.
Qtn 67Bank received MT of USD 5000 on 15th Sep. The Nostro account was
already credited. What amount will be paid to
the customer: Spot Rate 34.25/30. Oct Forward Differential is 22/24.
Issue of DD on New York for USD 25000. The spot Rate is IUSD =
34.3575/3825 IM forward rate is
34.7825/8250
Exchange margin: 0.15%
Solution:
TT Selling Rate will Apply
Spot Rate = 34.3825 Add Exchange margin (.15%) i.e. 0.516
TT Selling Rate = Spot Rate + Exchange Margin = 34.4341 Ans.
Qtn 67 Exporter received Advance remittance by way of TT French Franc
100000.
The spot rates are in India IUSD = 35.85/35.92 1M forward =.50/.60
The spot rates in Singapore are 1USD = 6.0220/6.0340 1M forward
=.0040/.0045
Exchange margin = 0.8%
a ) INR 4.9366...See More
month forward contract with their bank at $0.94 per Euro. How much will IAI
receive in
three months?
a. $92,000
b. $94,000
c. $106,383
d. $108,696
ANS : B
69. One year T-bill rate is 9% and the rate on one year zero
coupon debenture issued by LM ltd is 12.50% , the probabililty of
default is ..
a)
4%
b)
3%
c)
5%
d) non of these
ans: b formula for probability of default is 1-P= 1- ( (1+i)/(1+k))
=1-((1.09/1.125))=1-.969=.03=3% ( Page 284 of bFM).
70. A bond with acupon rate of 7.38% maturing in 2015 and trading
at Rs 106.32 will have yield of.
a) 6.94%
b) 14.40%
c)7.84%
d) non of these
ans : a = current yield= coupon rate/ Prevailing mkt value= .
0738/106.32= 6.94%