Which one of the following four statements about the "market-maker" trading strategy is INCORRECT?
Mega Bank holds a $250 million mortgage loan portfolio, which reprices every 5 years at LIBOR + 10%. The
bank also has $150 million in deposits that reprices every month at LIBOR + 3%. What is the amount of Mega
Bank's rate sensitive assets?
Which one of the following four alternatives correctly identifies the purpose of a clearinghouse in trading
activities?
Which of the following are conclusions that could be drawn from the shape of the statistical distribution of
losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
