medium · FRM Part 1 Financial Markets and Products
A bank has a long position in a 5-year EUR/USD currency swap where it receives EUR fixed and pays USD fixed.
If the USD interest rate rises while the EUR rate and the exchange rate remain constant, the value of the swap to the bank will:
- Decrease, because rising USD rates always hurt dollar-based banks.
- Decrease.
- Increase.
- Remain unchanged because the exchange rate is constant.
Sign up free to see the explanation and track your rank →
More FRM Part 1 Financial Markets and Products practice
- If at the time of delivery S_1 = $72 and F_1 = $74, while the hedge was entered at F_0 =…
- If the oil market shifts from backwardation to a persistent contango, which of the…
- A 'long' position in which of the following provides insurance against a rise in prices?
- Immediately following a reset date (and the subsequent payment), what is the value of the…
- In a clearinghouse structure, multilateral netting allows for:
- In the context of derivative markets, what does the term 'counterparty credit risk'…
- If at maturity the futures price were significantly higher than the spot price, what…
- A 'Fallen Angel' is a term used in the bond market to describe:
All Financial Markets and Products questions · FRM Part 1 study guide · FRM Part 1 glossary · FRM Part 1 flashcards