WorksheetsEquity and Fixed Income markets
Total questions: 12
Worksheet time: 21mins
Which of the following is true?
Secured repo rates are lower than unsecured repo rates
US Repo rates normally increase if Fed Reserve rates go down
Unsecured repos have lower counterparty risks than secured repos
Increasing rates negatively affect savers, positively affect borrowers
When the yield curve is upward sloping...
Investors demand a premium for short-term maturities
Investors think the Central Bank will stimulate the economy to fight a forthcoming recession
Investors demand a compensation for longer maturities
...it is “inverted”; whereas a downward sloping curve is “normal”
Indicates increasing yields for shorter maturities
What is the SONIA rate?
The rate established by the Bank of England
The average overnight interbank rate
The rate banks earn depositing money with the BoE
The overnight indexed swap rate
What effect have last year's increases in the UK Central Bank benchmark rate had on SONIA rates?
The SONIA rate has increased
The SONIA rate has decreased
The SONIA rate has not been affected
It cannot be determined
Which of the following statements is FALSE?
US Commercial paper is generally riskier than T-bills because of higher liquidity and credit risk
When the BoE increases the reference rate by 0.50%, the value of outstanding bonds increases
Everything else being equal, lower-rated bonds have higher yields
Investors demand higher yields for less liquid instruments
Long-term bonds are generally more volatile than short-term securities
The market is currently at £20 - £21.1
A trader submits a limit sell order at £21.2 which is pegged to the bid quote.
When the market changes to £19.5 – £20.1, the limit (pegged) order price is adjusted to:
19.9
20.3
20.4
20.7
21.0
A continuous auction starts with an empty order book.
The market opens and the following sequence of orders arrives:
10:00am Buy 2, limit 10
10:01am Buy 3, limit 11
10:20am Sell 2, limit 12
10:23am Sell 2, limit 9
10:50am Sell 3, limit 11
10:54am Buy 1, limit 11
What total volume would trade?
2
3
4
5
6
A continuous auction starts with an empty order book.
The market opens and the following sequence of orders arrives:
10:00am Buy 2, limit 10
10:01am Buy 3, limit 11
10:20am Sell 2, limit 12
10:23am Sell 2, limit 9
10:50am Sell 3, limit 11
10:54am Buy 1, limit 11
---> 10:55am Sell 2, market order.
At what average price would the market order be executed?
10
10.5
11
11.5
12
Consider the following limit order book.
In a single price auction, at what price would the market clear? (Hint: find the equilibrium price)
520
521
522
523
Some other price
Assume that the total public offering amount in a US Treasury Auction is $17 billion. The total amount bid by non-competitive bidders is $2 billion.
In addition, the following 8 competitive bids are received (see picture).
What is the stop-out rate at which the auction will be executed?
3.001%
2.998%
3.002%
3.000%
2.999%
Assume that the total public offering amount in a US Treasury Auction is $17 billion. The total amount bid by non-competitive bidders is $2 billion.
In addition, the following 8 competitive bids are received (see picture).
What bidders will receive allocations?
All of them
All except 2, 5 and 6
All except n. 2 and 5
All except 3 and 8
All except 3 and 7
Assume that the total public offering amount in a US Treasury Auction is $17 billion. The total amount bid by non-competitive bidders is $2 billion.
In addition, the following 8 competitive bids are received (see picture).
What amount will be awarded to bidders who bid at the stop-out rate (1 & 7)?
1.5bln each
2bln each
1.5bln to bidder 1
2.5bln to bidder 7
0bln to bidder 1
4bln to bidder 7
1bln to bidder 1
3bln to bidder 7
