ACI ACI Certifications 3I0-012 Questions & Answers

• Question 471:

  Which one of the following statements is incorrect under Basel III?

  A. Instruments qualifying for recognition as Tier 1 or Tier 2 capital will be substantially restricted.

  B. Basel III does not include Tier 3 capital

  C. There is a distinction between upper Tier 2 and lower Tier 2 capital

  D. New non-common equity Tier 1 and Tier 2 instruments are more loss-absorbing than previously

  Correct Answer: C

• Question 472:

  Which one of the following statements regarding the variance-covariance method for calculating value- at-risk is true?

  A. The volatilities of the underlying assets are normally distributed and the prices remain constant.

  B. The risk factors are normally distributed and volatilities of risk factors and correlations between risk factors are constant.

  C. The prices of underlying assets are normally distributed, the volatilities of risk factors follow a GARCH process and correlations between risk factors are constant.

  D. The returns of underlying assets are normally distributed and volatilities of risk factors and correlations between risk factors are constant.

  Correct Answer: D

• Question 473:

  Which one of the following formulae is correct?

  A. Long a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

  B. Long a straight bond + pay floating on a swap = long a synthetic Floating Rate Note

  C. Short a straight bond + receive fixed on a swap = long a synthetic Floating Rate Note

  D. Short a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

  Correct Answer: A

• Question 474:

  Under new Basel rules, what is the meaning of CVA?

  A. Credit Value Adaption

  B. Call Value Adaption

  C. Credit Value Adjustment

  D. Counterpart Value Adjustment

  Correct Answer: C

• Question 475:

  Which of the following does not represent an operational risk as defined by Basel rules?

  A. theft of information

  B. damage to an organization through loss of its reputation or standing

  C. market manipulation

  D. loss incurred from the use of incorrect documentation

  Correct Answer: B

• Question 476:

  You are a sales person in a bank and are about to sell a structured note to a non-professional customer. Before finalizing the transaction you remember to double-check the customer's charter. You learn that the customer is not allowed to invest in structured products. The risk you have avoided is most likely to be classified as:

  A. credit risk

  B. liquidity risk

  C. legal risk

  D. refinancing risk

  Correct Answer: C

• Question 477:

  A purchased 3X6 FRA should be reported in a gap report as

  A. a given deposit with a term of six months

  B. a taken deposit with a term of three months

  C. a given deposit with a term of three months and a taken deposit with a term of six months

  D. a taken deposit with a term of three months and a given deposit with a term of six months

  Correct Answer: C

• Question 478:

  Does the slope of the interest yield curve typically have a substantial impact on a bank's net interest margin?

  A. No, it doesn't, since the slope of the yield cure is unrelated to the spread between short-term and longterm interest rates.

  B. No, it doesn't. There isn't any link at all between the slope of the interest yield curve and a bank's net interest margin.

  C. Yes it does. In banking, long-term rates usually apply to bank deposits and money market borrowings whereas short-term interest rates are attached to loans and securities.

  D. Yes it does. Long-term rates usually apply to a bank's assets (loans, securities, etc.) and the short term interest rates are generally attached to liabilities (deposits, money market borrowings, etc.).

  Correct Answer: D

• Question 479:

  Which of the following statements is correct?

  A. With liquidity transfer pricing (LTP) banks attribute the costs, benefits and risks of liquidity to respective business units within a bank

  B. With liquidity transfer pricing (LTP) banks are monitoring and diversifying their funding base

  C. With liquidity transfer pricing (LTP) banks are agreeing with external liquidity providers on the fair market price of funds

  D. Liquidity transfer pricing charges providers of funds for the cost of liquidity and users of funds for the benefit of liquidity

  Correct Answer: A

• Question 480:

  The Liquidity Coverage Ratio imposed by Basel III requires a bank:

  A. to keep enough highly liquid assets to cover its net liabilities for the next 10 days to guard against severe liquidity stress

  B. to keep enough highly liquid assets to cover its net liabilities for the next 30 days to guard against severe liquidity stress

  C. to keep enough highly liquid assets to cover its net liabilities for the next 60 days to guard against severe liquidity stress

  D. to retain enough liquidity to cover its assets against severe default risk

  Correct Answer: B