3I0-012 Exam Questions

Your are quoted the following rates: Spot CHF/JPY 105.12-22 3M CHF/JPY 3.5/4.5 At what rate can you buy 3-month outright JPY against CHF?

EUR/USD is 1.3080-83 and EUR/CHF is 1.2160-63. What price would you quote to a customer who wishes to sell CHF against USD?

If spot NZD/CHF is quoted to you as 0.7406-09. How many NZD would you receive in exchange for CHF 5,000,000.00 if you dealt on the price?

You quote the following rates to a customer: Spot GBP/CHF 1.4535-45 6MGBP/CHF swap 46/41 At what rate do you sell GBP to a customer 6-month outright?

You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next...

You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334-day) JPY LIBOR, which is fixed at 0.4450%. What is the settlement amount at maturity?

A Eurodollar futures price of 99.685 implies:

In the international market, a FRA in USD is usually settled with reference to:

A bank borrowing USD for 12 months and lending them for 6 months creates:

A futures clearing house is:

An Overnight Indexed Swap (OIS) is:

It is June. You are over-borrowed from October to January on your deposit book. How would you hedge using FRAs?

Today, you sold 10 December EURODOLLAR futures contracts at 99.50. The closing price is fixed by the exchange at 99.375. What variation margin will be due?

What is a short straddle option strategy?

What is the probability of an `at-the-money' option being exercised?

What is a short strangle option strategy?

A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:

Which of the following statements about leverage ratios under Basel III is correct?

Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:

The Liquidity Coverage Ratio (LCR) in Basel III:

What is interest rate immunization in the context of bank gap management?

The weighted average duration of liabilities can be increased by:

Prudential regulation of banking book liquidity risk is dealt with by the Basel Committee (Basel II / Basel III) in the context of:

VaR increases with:

Under Basel Rules, the Basic Indicator Approach is a regulatory framework for:

Under Basel rules, expected credit loss is a function of which of the following sets of parameters:

Under Basel rules the risk weight for claims on unrated sovereigns and their cennl banks in the standardized approach is:

Under Basel rules the meaning of CCF is:

What is meant by "turn of the month"?

In order to give a price in EUR/USD, the broker must:

In interbank trading, if a dealer is calling "off" at the same time as the broker is hitting a price:

A dealer has been invited by a broker to go to an exclusive club for the third time in a week. He should:

What does the Model Code recommend regarding "entertainment and gifts"?

Which one of the following is a major objective of ACI-The Financial Markets Association?

Which of the following is required for institutions acting as prime brokers?

When a deal is done via a broker:

Bank XYZ calls you for a quote in EUR/USD for EUR 50,000,000.00. If you decide to quote, which of the following is true?

What happens if an instruction remains unmatched and/or unsettled through CLS Bank?

What recommendation does the Model Code make to banks accepting a stop-loss order?

Where sale and repurchase agreements or stock borrowing or lending transactions are entered into:

Whose compliance rules, regulations and best practices should be followed in FX electronic trading?

You quote a price to a broker. It is hit by another bank, but you are not informed until some time afterward that the deal has been done. Who is to blame?

For which of the following might an MT370 be used?

What steps will the CFP of the ACI probably not undertake after having been formally notified by one of the parties of a breach of the letter or spirit of the Model Code?

Experience has shown that recourse to taped telephone conversations proves invaluable to the speedy resolution of disputes. Therefore, the Model Code recommends:

Which of the following correctly states the Model Code's recommendations regarding electronic trading and broking?

A US security yields 7% on an annually-compounded bond basis. What is the equivalent annually- compounded money market yield?

Today's spot value date is the 29th of February. What is the maturity date of a 4-month USD deposit deal today? Assume no bank holidays.

From the following AUD rates: 3M AUD (91-day) deposits 2.35% 3x6 AUD (90-day) FRA 2.55% Calculate the 6-month implied cash rate.

Which is the day count/annual basis convention for SGD money market deposits?