3I0-012 Exam Questions

What is a "normal" shaped curve?

If you take an 18-month USD deposit, when is interest payable?

Which of the following will tend to have the higher yield?

Mark-to-market' in a repo means:

How can material divergences between the value of cash and collateral be managed in a documented sell/buy-back?

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 2015,...

Four banks provide you with quotes in CHF/SEK. Which is the best price for you to buy SEK?

After having quoted a rate of 1.5005-10, the quoting bank says, "Your risk". This means:

What is the London Gold Price Fix (London Gold Fixing)?

The outright forward FX rate is not a function of which of the following?

The Interest Rate Parity Theorem states that:

Forward points represent:

You have quoted a Swiss customer spot USD/CHF as 0.9273-78, but he asks you to quote it as CHF/USD. What do you quote?

How is a USD Overnight Indexed Swap (OIS) settled?

An `at-the-money' call option:

The seller of a floor:

Which of the following statements about the Net Stable Funding Ratio is correct?

A bank expects interest rates to fall with a parallel downward shift in the yield curve. What action should the bank take, if it wants to benefit from this view?

Which of the following statements is correct?

What type of risk would describe the failure of a back office to make adequate margin calls on repo positions?

Which one of the following statements concerning covenants is incorrect?

Under Basel rules, what is the meaning of LGD?

What do you call a combination of a long (short) call option and short (long) put option with same face value, same expiration date, same style, where the strike price is equal to...

When may a broker assume a deal is closed?

What is the recommended follow-up procedure in case of a settlement discrepancy?

In dealing terminology, what does "my risk" refer to?

Which one of the following statements about "CLS rescinds" is correct?

The process of confirming trades is a function that can be performed by:

Your broker quotes you EUR/USD at 1.3425-28. You respond by saying "yours". Which one of the following statements is true?

Which SWIFT message should be used to advise the netting position of a currency resulting from FX, NDF, options and other trades?

What does the Model Code advise regarding the taping of telephone conversations?

From the following CAD rates: 1M (31-day) CAD deposit 0.95% 1x2 CAD (30-day) FRA 1.21% 2x3 CAD (31-day) FRA 2.01% Calculate the 3-month implied cash rate.

Using the following rates: 3M (90-day) EUR deposit 0.25% 6M (180-day) EUR deposit 0.50% What is the rate for a EUR deposit, which runs from 3 to 6 months?

The two-week repo rate for the 5.25% Bund 2011 is quoted to you at 3.33-38%. You agree to reverse in bonds worth EUR 266,125,000.00, but insist on an initial margin of 2%. You woul...

What is an outright forward FX transaction?

If a 12-month AUD/NZD swap is quoted 53/47, which of the following statements would you consider to be correct?

You wish to sell a customer GBP/USD for value tomorrow. How can you hedge yourself?

You are quoted the following rates: Spot USD/JPY 97.10-15 3M USD/JPY swap 9/6 Spot USD/CHF 0.9320-23 3M USD/CHF swap 11/8 Where can you sell CHF against JPY 3-month outright?

If a dealer needs to hedge an over-lent 3x6 position against 1MM dates for which the FRA is quoted 1.30-1.34% and futures at 98.64, which would be cheapest for him (ignoring margin...

The delta of an `at-the-money' long call option is:

A long collar is:

What is the purpose of the Liquidity Coverage Ratio?

Which of the following is a measure of a bank's gross exposure to foreign exchange rate risk?

When constructing a gap report, how would a EUR 25,000,000.00 long position in 6x12 FRA be categorized?

What would happen to a bank's net interest income if it ran a zero gap in an environment of decreasing interest rates?

What is a hedge?

When is your settlement risk greatest on a spot FX deal?

Which of the following is a characteristic of all liquid assets under Basel III?

Today, you sell GBP 5,000,000.00 to a customer against JPY for spot value. Tomorrow, the customer defaults. What is your exposure called?

Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?