Click on the Detail Button to view the Formula Sheet. What is the Overnight Index for EUR?
A. EURIBOR
B. EONIA
C. Eurepo
D. TMP
Click on the Detail Button to view the Formula Sheet. Purchasing a USD/JPY call option is equivalent to:
A. Selling an JPY/USD put option
B. Selling a JPY/USD call option
C. Purchasing an JPY/USD put option
D. None of the above
Click on the Detail Button to view the Formula Sheet. If you funded a fixed-income investment portfolio with short-term deposits, how would you hedge your interest rate exposure with interest rate swaps?
A. Pay fixed and receive floating through swaps for the term of the portfolio
B. Pay floating and receive fixed through swaps for the term of the portfolio
C. You cannot : the maturity of the swaps would be longer than that of the deposits
D. You should not: there would be too much basis risk
Click on the Detail Button to view the Formula Sheet. A futures clearing house is:
A. The buyer to each seller and the seller to each buyer
B. A clearing agent only
C. The self-regulatory organisation for the futures exchange
D. The owner of the futures exchange
Click on the Detail Button to view the Formula Sheet. Basis risk on a futures contract is:
A. The risk of an adverse change in the futures price
B. The risk of an adverse change in the spread between futures and cash prices
C. The progressive illiquidity of a futures contract as it approaches expiry
D. The risk of a divergence between the futures price and the final fixing of the underlying interest rate
Click on the Detail Button to view the Formula Sheet. What is the purpose of an initial margin on a futures exchange?
A. To cover losses incurred between variation margin payments
B. To exclude retail investors
C. To pay reserve requirements
D. To cover fees due to the clearing house
Click on the Detail Button to view the Formula Sheet. An Overnight Indexed Swap is:
A. A fixed-floating money market swap in which the floating rate is an overnight index fixed periodically over the term of the swap
B. A fixed-floating money market swap in which the floating rate is the mean of the overnight index over the term of the swap
C. A fixed-floating money market swap in which the floating rate is an overnight index compounded daily
D. All of the above
Click on the Detail Button to view the Formula Sheet.
The market is quoting:
1-month (31-day) USD. 1.75%
3-month (91-day) USD. 2.05%
What is the 1x3 rate in USD?
A. 4.261%
B. 2.202%
C. 1.900%
D. 1.592%
Click on the Detail Button to view the Formula Sheet. A customer sells a LIFFE Euro Swiss futures contract. Which of the following risks could he be trying to hedge?
A. An increase in forward USD/CHF
B. Falling CHF interest rates
C. A decrease in forward USD/CHF
D. Rising CHF interest rates
Click on the Detail Button to view the Formula Sheet. You have quoted a Swiss customer spot USD/CHF as 1.3710-15, but he asks you to quote it as CHF/USD. What do you quote ?
A. 0.7291-94
B. 0.7294-91
C. 1.3710-15
D. None of these
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