3I0-012 Exam Questions

A 6-month (182-day) investment of CAD 15,500,000.00 yields a return of CAD 100,000.00. What is the rate of return?

Which of the following are specifically quoted in terms of a yield-to-maturity?

Who takes the counterparty risk on the seller in a to-party repo?

Repo is said to have "double indemnity" due to the creditworthiness of the counterparty and:

In which type of repo is "double dipping" a risk?

You buy a 30-day 4% CD with a face value of GBP 20,000,000.00 at par when it is issued. You sell it in the secondary market after 10 days at 4.05%. What is your holding period yiel...

What are the secondary market proceeds of a CD with a face value of EUR 5,000,000.00 and a coupon of 3% that was issued at par for 182 days and is now trading at 3% but with only 7...

The spot/next repo rate for the 5% Bund 2018 is quoted to you at 1.75-80%. You sell bonds with a market value of EUR 5,798,692.00 through a sell/buy-back. The Repurchase Price is:

The one-month (31-day) GC repo rate for French government bonds is quoted to you at 3.75- 80%. As collateral, you are offered EUR 25,000,000.00 nominal of the 5.5% OAT April 2012,...

If 6-month USD/CAD forward rates are quoted at 40/45, which of the following statements is correct?

What is the ISO code for the currency of China?

The "spot basis" of a 2 against 4 months EUR/USD forward/forward swap is:

If you sell USD 3-month forward to a client against EUR, what should you do to hedge your position?

What is an FX swap from spot?

Which of the following currency risks could only be hedged by a non deliverable forward (NDF)?

A 6-month SEK/NOK Swap is quoted 40/50. Spot is 1.1145. Which of the following statements is correct?

For which country's currency is ZAR the ISO code?

You are quoted the following rates: Spot GBP/USD 1.5295-00 Spot USD/CHF 0.9320-23 6M GBP/USD swap 16/12 6M USD/CHF swap 22/18 Where can you buy GBP against CHF 6-month outright?

You are quoted spot USD/NOK 5.7220-28 and USD/SEK 6.3850-58, at what price can you buy NOK against SEK?

You are quoted the following market rates: Spot EUR/USD 1.3150 3M (92-day) EUR 0.20% 3M (92-day) USD 0.44% What is 3-month EUR/USD?

You are quoted the following market rates: Spot AUD/CAD 1.0600 12M (360-day) AUD 3.40% 12M (360-day) CAD 1.55% What are the 12-month AUD/CAD forward points?

You are quoted the following rates: Spot GBP/CHF 1.4535-45 3M GBP/CHF swap 22/19 At what rate can you sell GBP against CHF outright 3-month?

An interest rate swap (IRS) is:

An important reason for trading a futures contract rather than an FRA is:

Selling a FRA has the same interest rate exposure as:

What is the purpose of an initial margin on a futures exchange?

What is the Overnight Index for USD?

Which of the following statements is correct?

A forward-forward lender has an exposure to the risk of:

What is the Overnight Index for GBP?

An option premium is normally a positive function of:

The gamma of an option is:

The seller of a call option has:

How would you delta hedge an `at-the-money' long call option?

An option contract that gives the buyer the right to exercise the option at several distinct points during its life is called:

When considering interest rate risk in the banking book, retail demand deposits without fixed contractual maturity:

If the duration gap is zero, how will a small parallel shift in interest rates affect the market value of the bank's equity?

Which of the following statements is correct regarding duration?

Using reprising gap analysis, a bank's balance sheet is considered liability-sensitive to market interest rate changes, if:

Which of the following statements about the Liquidity Coverage Ratio is correct?

Which one of the following statements about mark-to-model valuation is correct?

A closed position in a particular foreign currency exists:

Which of the following are all goals of the originator of securitized assets?

Which of the following risks are considered market risks?

Under Basel III rules the meaning of RSF is:

Under Basel rules the risk weight for MA-rated claims on corporate in the standardized approach

What is the meaning of CCP within the Basel framework?

At the end of the day, you are short CHF 3,500,000.00 against SEK at 6.9275. You are asked to revalue your position at 6.9190. What is the resulting profit or loss?

From 2019 on the total capital requirement for banks under Basel III will be defined as:

You are the buyer of a receiver's swap. All other things being equal your counterparty risk is increasing if