ACI ACI Certifications 3I0-012 Questions & Answers

• Question 111:

  In spite of having agreed to a deal, dealers are not bound to the deal if it is subject to documentation. The Model Code:

  A. Does not regard this as a good practice.

  B. Urge dealers to be bear this in mind, as this is common practice for capital market deals.

  C. Does not comment on this matter.

  D. Recommends that national ACI Associations deal with this according to their local customs.

  Correct Answer: A

• Question 112:

  Which of the following is not true?

  A. The Model Code is published by ACI's Committee for Professionalism.

  B. The Model Code sets out the practicalities of dealing in those financial instruments listed in the Model Code.

  C. The Model Code is an attempt to deal with the legal issues relating to every conceivable financial instrument.

  D. The Model Code sets out the manner and spirit in which foreign exchange and money market business should be conducted in order that participants maintain high standards of professionalism, integrity and ethical conduct.

  Correct Answer: C

• Question 113:

  A disgruntled customer claims that he should not have to settle an FRA with you because it is really just a wager. What type of risk are you exposed to?

  A. Credit risk

  B. Legal risk

  C. Settlement risk

  D. Basis risk

  Correct Answer: B

• Question 114:

  You bought USD 5,000,000 against EUR at 1.1037 and 3,000,000 at 1.1052. If the EUR/USD rate is now quoted 1.1015/17, and it you deal at that rate, what profitwould you make?

  A. Nil

  B. A profit of EUR 16,847.58

  C. A loss

  D. A profit of EUR 18,166.05

  Correct Answer: B

• Question 115:

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

  A. Between +0.5 and +1

  B. +0.5

  C. Between 0 and +0.5

  D. Zero

  Correct Answer: B

• Question 116:

  The premium on an option contract is:

  A. The price of the underlying commodity at the time of the transaction

  B. The price at which the transaction on the underlying commodity will be carried out if and when the option is exercised

  C. The price the buyer of the option pays to the seller when entering into the options contract

  D. The price at which the two counterparties can close-out their position

  Correct Answer: C

• Question 117:

  You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 4.95%. How would you hedge the swap using FRAs? How to hedge an IRS with a strip of FRAs?

  A. buy a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

  B. sell a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

  C. buy a strip of 6x12, 12x10 and 16x24 FRAs

  D. sell a strip of 6x12, 12x18 and 18x24 FRAs

  Correct Answer: D

• Question 118:

  Which of the following is true?

  A. The CME eurodollar futures contract has a tick value (for one full basis point equivalent) of USD25 and a face value of USD 1,000,000

  B. The Euronext. LIFFE EURIBOR futures contract has a tick value (for one full basis point equivalent) of EUR25 and a face value of EUR 1,000,000

  C. The Euronext.LIFFE CHF futures contract has a tick value (for one full basis point equivalent) of CHF25 and a face value of CHF 1,000,000

  D. All of the above

  Correct Answer: D

• Question 119:

  Click on the Exhibit Button to view the Formula Sheet. You are short of 6 Dec euro dollar futures contracts at 98.10. Yesterday, the closing price was 98.15. Today's closing price is 97.905.Whatvariation margin will be due?

  A. You will have to pay USD 612.50

  B. You will receive USD 612.50

  C. You will have to pay USD 3,675.00

  D. You will receive USD 3,675.00

  Correct Answer: D

• Question 120:

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

  A. Break-even rate

  B. Implied rate

  C. Forward-forward rate

  D. All of the above

  Correct Answer: D