ACI ACI Certifications 3I0-012 Questions & Answers

• Question 611:

  What is a short strangle option strategy?

  A. A short call option + long put option with a higher strike price than the call option

  B. A long call option + long put option with a lower strike price than the call option

  C. A short call option + short put option with a lower strike price than the call option

  D. A long call option + long put option with higher strike price than the call option

  Correct Answer: C

• Question 612:

  A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:

  A. entering into a pay fixed I receive variable standard interest rate swap

  B. entering into a receive fixed I pay variable standard interest rate swap

  C. entering into a pay fixed / receive variable amortizing interest rate swap

  D. entering into a GBP/USD FX swap

  Correct Answer: B

• Question 613:

  What is a short straddle option strategy?

  A. A long call option + long put option with the same strike prices

  B. A short call option + short put option with the same strike prices

  C. A long call option + short put option with the same strike prices

  D. A short call option + long put option with the same strike prices

  Correct Answer: B

• Question 614:

  What is the probability of an `at-the-money' option being exercised?

  A. Less than 50% probability

  B. 50% probability

  C. More than 50% probability

  D. Zero probability

  Correct Answer: B

• Question 615:

  It is June. You are over-borrowed from October to January on your deposit book. How would you hedge using FRAs?

  A. Sell 3x6

  B. Buy 3x6

  C. Sell 4x7

  D. Buy 4x7

  Correct Answer: C

• Question 616:

  Today, you sold 10 December EURODOLLAR futures contracts at 99.50. The closing price is fixed by the exchange at 99.375. What variation margin will be due?

  A. You will have to pay USD 312.50

  B. You will receive USD 312.50

  C. You will have to pay USD 3,125.00

  D. You will receive USD 3,125.00

  Correct Answer: D

• Question 617:

  An Overnight Indexed Swap (OIS) 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. A floating-for-floating rate swap in different currencies in which both floating rates are overnight indexes compounded daily

  Correct Answer: C

• Question 618:

  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 organization for the futures exchange

  D. The owner of the futures exchange

  Correct Answer: A

• Question 619:

  A bank borrowing USD for 12 months and lending them for 6 months creates:

  A. Forward-forward loan

  B. Forward-forward deposit

  C. Negative gap

  D. An over-lent position

  Correct Answer: B

• Question 620:

  In the international market, a FRA in USD is usually settled with reference to:

  A. BBA LIBOR

  B. Fed funds

  C. ISDALIBOR

  D. EURIBOR

  Correct Answer: A