CAIIB-BFM-RECOLLECTED QUESTIONS FROM MAY/NOV

2013,14,15 EXAMS
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 .15% and
exchange margin BILL SELLING is.20%.quote rate to be applied
Ans. Give. 34.4341
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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?
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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 of
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?
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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
Banks 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?
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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/cs 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.dif 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?

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Recollected - Dec 2013
----------------------BFM Dec 13
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%
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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
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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
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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--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
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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
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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
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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: