What is the correct interpretation of a EUR 5,000,000.00 one-week VaR figure with a 99% confidence level?
You are short of 6 December EURODOLLAR futures contracts at 99.50. Yesterday, the closing price was 99.35. Today’s closing price is 99.105. What variation margin will be due?
What is Funds Transfer Pricing in the ALM process?
You have borrowed at 3-month LIBOR+50. LIBOR for the loan will be re-fixed in exactly one month. The market is quoting:
1x3 USD FRA 0.42-45%
1x4 USD FRA 0.54-58%
1x5 USD FRA 0.57-62%
To hedge the next LIBOR fixing, you should: