3I0-012 Exam Questions

A CD with a face value of EUR 10,000,000.00 and a coupon of 3% was issued at par for 182 days and is now trading at 3.10% with 120 days remaining to maturity. What has been the cap...

You have taken 3-month (92 days) deposits of CAD 12,000,000.00 at 1.10% and CAD 6,000,000.00 at 1.04%. Minutes later, you quote 3-month CAD 1.09-14% to another bank. The other deal...

A 7% CD was issued at par, which you now purchase at 6.75%. You would expect to pay:

The tom/next GC repo rate for German government bonds is quoted to you at 1.75-80%. As collateral, you sell EUR 10,000,000.00 nominal of the 5.25% Bund July 2012, which is worth EU...

The tom/next GC repo rate for German government bonds is quoted to you at 1.75-80%. As collateral, you sell EUR 10,000,000.00 million nominal of the 5.25% Bund July 2012, which is...

A bond is trading 50 basis points special for 1 week, while the 1-week GC repo rate is 3.25%. If you held GBP 10,500,000.00 of this bond, what would be the cost of borrowing agains...

If EUR/USD is quoted to you as 1.3050-53, does this price represent?

The seller of a EUR/RUB NDF could be:

Voice-brokers in spot FX act as:

Are the forward points significantly affected by changes in the spot rate?

In GBP/CHF, you are quoted the following prices by four different banks. You are a buyer of CHF. Which is the best quote for you?

Which of the following CHF/JPY quotes that you have received is the best rate for you to buy CHF?

You have quoted spot USD/CHF at 0.9423-26. Your customer says "I take 5". What does he mean?

A 12-month EUR/USD swap is quoted at 41/44. EUR interest rates are expected to fall, with USD interest rates remaining stable. Assuming no change in the spot rate what effect would...

Assuming a flat yield curve in both currencies, when quoting a 1- to 2-month forward FX time option price in a currency pair trading at a discount to a customer:

Clients of a voice-broker quote EUR/USD at 1.3556-61, 1.3559-62, 1.3557-63 and 1.3555-59. What will be the broker's price?

A "time option" is an outright forward FX transaction where the customer:

As far as fineness and weight are concerned, what are the London Bullion Market Association (LBMA) requirements for a "good delivery bar"?

If spot AUD/USD is quoted to you as 1.0420-25 and 1-month forward AUD/USD is quoted to you as 28/23, at what rate can you buy USD 1-month outright?

The mid-rate for USD/CHF is 0.9300 and the mid-rate for NZD/USD is 0.8560. What is the mid rate for NZD/CHF?

You quote a customer a spot cable 1.6050-55 in USD 3,000,000.00. If they sell USD to you, how much GBP will you be short of?

You are quoted the following market rates: spot USD/SEK 6.3850 1M (30-day) USD 0.40% 1M (30-day) SEK 1.15% What is 1-month USD/SEK?

You are quoted the following market rates: Spot GBP/USD 1.5525 9M (272-day) GBP 0.81% 9M (272-day) USD 0.55% What are the 9-month GBP/USD forward points?

You quote a customer spot AUD/USD at 1.0350-55. The T/N swap is quoted to you at 3/2. The customer asks to buy USD for value tomorrow. What rate should you quote him to break-even...

Which of the following is true about interest rate swaps (IRS):

Which of the following is true?

EURODOLLAR futures are:

You have a short position of 50 EURODOLLAR futures contracts. You can hedge your position by:

If a dealer has a 6-month USD asset and a 3-month USD liability, how could he hedge his balance sheet exposure in the FRA market?

What is the Overnight Index for EUR?

You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90-day) BBA LIBOR, which is fixed at 0.9500%. What is the settlement amount at maturity?

Which of the following is true?

Basis risk on a futures contract is:

Lending for 3 months and borrowing for 6 months creates a 3x6 forward-forward deposit. The cost of that deposit is called:

A corporate wishing to hedge the interest rate risk on its floating-rate borrowing would:

The market is quoting: 6-month (182-day) CAD 1.25% 12-month (366-day) CAD 1.55% What is the 6x12 rate in CAD?

The seller of a put option has:

The exercise price in an option contract is:

An `at-the-money' option has:

The vega of an option is:

A put option is `out-of-the-money' if:

Which of the following transactions would have the effect of lengthening the average duration of assets in the banking book?

What is a `duration gap'?

Which statement about modern matched-maturity transfer pricing in banks is correct?

Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

Which one of the following statements is incorrect? Hedge accounting of an existing position no longer applies when:

Which of the following is a function of asset and liability management (ALM)?

Which of the following statements is correct?

Which one of the following statements about interest rate movements is true?

Under Basel rules, what is the meaning of EEPE?