1.0352

1.0353

1.0347

1.0348

Counterparty risk and operational risk

Counterparty risk and legal risk

Collateral illiquidity and counterparty risk

Collateral illiquidity and legal risk

Selling a FRA for a similar notional amount

Buying a FRA for a similar notional amount

Selling a call option on the contract

Selling a put option on the contract

0.525%

0.45%

0.75%

0.375%

Buy 3x6

Sell 3x6

Buy 0x6

Sell 6x9

Unchanged

Move towards 28/31

Move towards 5 7/60

Insufficient information

At that price

At that price in a marketable amount

At that price in a marketable amount, provided the counterparty’s name is acceptable

At that price in a marketable amount, provided the counterparty’s name is acceptable and the market price has not moved excessively

Prices quoted by brokers should be taken to be firm in marketable amounts unless otherwise qualified

Prices quoted by brokers should be taken to be indicative in marketable amounts unless otherwise qualified

Prices quoted by brokers should be taken to be firm in amounts of 1,000,000.00 of the quoted currency unless otherwise qualified

Prices quoted by brokers should be taken to be indicative in amounts of 1,000,000.00 of the base currency unless otherwise qualified

Credit risk

Settlement risk

Liquidity risk

Legal risk

minimum tier 1 capital of 4.5% and minimum total capital plus a conservation buffer of 10.5%

minimum tier 1 capital of 6% and minimum total capital including conservation buffer of 8%

minimum tier 1 capital of 4% and minimum total capital including conservation buffer of 10.5%

minimum tier 1 capital of 6% and minimum total capital including conservation buffer of 10.5%

1.4340

1.4343

1.4337

1.4335

Effective Expected Potential Exposure

Effective Expected Positive Exposure

Effective Expected Price Earning

Effective Expected Payment Exposure

Eurocertificate of deposit

US Treasury bill

CP

All of the above

On an special number known only to the chief dealer.

On a number located in the office of the internal auditor.

Secured so that reported transactions cannot be erased without senior management approval.

Secured by recordings that are stored for a suitable period.

Ensure that your counterparty understands the terms under which your bank accepts the order.

Ensure that your counterpart can be contacted in the event of unusual situations or events or extremely volatile market conditions.

Ensure that your counterparty understands that any guarantee or fixed price execution requires agreement in writing.

All of the above.