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Long a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

Long a straight bond + pay floating on a swap = long a synthetic Floating Rate Note

Short a straight bond + receive fixed on a swap = long a synthetic Floating Rate Note

Short a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

to increase funding diversification , to reduce funding costs, to achieve regulatory and accounting benefits, to increase the size of the balance sheet

to increase funding diversification , to reduce funding costs, to achieve regulatory and accounting benefits

to increase funding diversification , to reduce operational risk, to achieve regulatory and accounting benefits, to decrease the size of the balance sheet

to increase funding diversification , to reduce operational risk, to achieve regulatory and accounting benefits, to increase the size of the balance sheet

A cash instrument

An exchange traded derivative

An interest rate derivative

A balance sheet instrument

the trade is within the specified tenor limits

the trade is within the tenor limits and is of an applicable trade type

the trade is within the tenor limits and credit limits

the trade is within the tenor limits, credit limits and is of an applicable trade type

1.73%

1.75%

1.77%

1.80%

The LCR is a measure to ensure that the reserve of high quality liquid assets is sufficient to cover short term demand for liquidity in a stress situation.

the ratio (cash outflow in a 30-day stress period divided by high quality liquid assets) has to be greater than 100%.

Covered bonds are class 1 assets.

Obligations issued by central banks or government agencies are class 2 assets.

The volatilities of the underlying assets are normally distributed and the prices remain constant.

The risk factors are normally distributed and volatilities of risk factors and correlations between risk factors are constant.

The prices of underlying assets are normally distributed, the volatilities of risk factors follow a GARCH process and correlations between risk factors are constant.

The returns of underlying assets are normally distributed and volatilities of risk factors and correlations between risk factors are constant.

With liquidity transfer pricing (LTP) banks attribute the costs, benefits and risks of liquidity to respective business units within a bank

With liquidity transfer pricing (LTP) banks are monitoring and diversifying their funding base

With liquidity transfer pricing (LTP) banks are agreeing with external liquidity providers on the fair market price of funds

Liquidity transfer pricing charges providers of funds for the cost of liquidity and users of funds for the benefit of liquidity

The other dealer is bound to reciprocate.

This is not in any way an enforceable or binding commitment.

The Model Code does not comment on dealing reciprocity.

It is common market practice to suspend reciprocity in periods of high volatility.

Information that could be damaging to a third party

Unsubstantiated rumours

Unsubstantiated information that they suspect may be inaccurate and damaging to a third party

Price-sensitive information

Wherever the parties agree

In London

In NewYork

In Frankfurt

under reference

firm, but not necessarily in marketable amounts

firm, unless otherwise qualified

merely indicative

1.299971

1.309966

1.309971

1.310029

Long a FRN + pay fixed on a swap = long a synthetic straight bond

Long a FRN + receive floating on a swap = long a synthetic straight bond

Long a FRN + pay floating on a swap = short a synthetic straight bond

Long a FRN + pay floating on a swap = long a synthetic straight bond.

The CD yields a higher rate of return

The CD has less credit risk

The CD is a transferable instrument

The CD has a shorter range of maturities