CAIIB-BFM-RECOLLECTED QUESTIONS FROM MAY/NOV 2013,14,15 EXAMS
Recollected - June 2015
1. 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 Tier 1 and Tier 2 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 .15% and exchange margin BILL SELLING is.20%.quote rate to be applied Ans. Give. 34.4341
2. ABC bank ltd has following repricing assets &liabilities as on 31/03/2015 Call money rs.1500crore Cash credit advances rs.1200 crore Cash in hand rs.1000crore Saving bank deposit rs.1500crore Fixed deposit rs.1500crore Current bal a/c rs.1250 crore 1. adjusted gap in repricing assets &liabilities? 2.if interest falls by 1%across the board for all assets&liabilities the net interest income will be? 3.if int increases by 1.5% across the board for all assets &liabilities the net interest 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 interest income?
3. Export bill for usd 5mio drawn 90 days from the date of shipment Shipment date 3rd october 2014 Due date is 1st feb 2015 Exchange margin 0.15% Spot rupee : 63.15/20 Premium spot-january 55/60 paise Rate to be quoted to nearest 0.25 paise & rupee amt is to be rounded off Rate of interest 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?
4. 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?
5. 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 charge 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 bank on 15/10/2014 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?
6. Default probability 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?
7. 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 2013 1. 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
2. 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
3. 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. None of these Ans - b = 5.5-2.5=3 = 3*.75 = 2.25%
4. 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
5. 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
6. 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
7. On a 5 point scale (very high,high,average,moderate & 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 impact 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
8. 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
9. A bank identified 4 assets(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 assets b. Return on risk capital vis-à-vis that for the portfolio c. Correlation of assets with the portfolio d. Income earned on assets Ans - c
10. 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
11. 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
12.A rating model combines financial ratios using reported accounting instruction and equally values to forecast the probability of a company entering bankruptcy 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
13. 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
14. 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
15. 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 deposits without any limits subject to usual margin requirements
16. 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
17. YTM of a bond depends upon ...... a. Coupon rate and market value only b. Market value and residual maturity only c. Residual maturity and coupon rate only d. Coupon rate market value and residual maturity Ans - b
18. 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
19. A bank in Mumbai quotes a FRA on 10th March 6*9 FRA at MIBOR 5.15-5.25 What is the settlement date maturity 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
20. Which approaches are used for measuring and managing funding requirement ? i) stock approach ii) Standard 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
21. 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
22. Based on the following information answer Q no 27 to 28 Tour bank ABCD is planning to get international banking and start forex trading request to undertake several steps/ takes licences etc.
23. 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 dealer? a. Rs 16,75,400 b. Rs 16,73,750 c. Rs 16,74,000 d. Rs 16,74,550
Which rate would be applied for cancellation? a. Bill Selling b. Bill buying c. TT selling d. TT Buying
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
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