ACI ACI Certifications 3I0-012 Questions & Answers

• Question 691:

  The exercise price in an option contract is:

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

  B. The price at which the transaction on the underlying instrument 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: B

• Question 692:

  The seller of a put option has:

  A. Substantial opportunity for gain and limited risk of loss

  B. Substantial risk of loss and substantial opportunity for gain

  C. Limited risk of loss and limited opportunity for gain

  D. Substantial risk of loss and limited opportunity for gain

  Correct Answer: D

• Question 693:

  The market is quoting:

  6-month (182-day) CAD 1.25% 12-month (366-day) CAD 1.55% What is the 6x12 rate in CAD?

  A. 0.300%

  B. 0.946%

  C. 1.935%

  D. 1.835%

  Correct Answer: D

• Question 694:

  A corporate wishing to hedge the interest rate risk on its floating-rate borrowing would:

  A. Sell interest rate caps

  B. Sell futures

  C. Sell FRAs

  D. Buy futures

  Correct Answer: B

• Question 695:

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

  A. Implicit nominal rate

  B. Implied forward rate

  C. Funding rate

  D. Effective future rate

  Correct Answer: B

• Question 696:

  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

  Correct Answer: B

• Question 697:

  Which of the following is true?

  A. The 3-month EURODOLLAR futures contract has a basis point value of USD 50.00 and a face value of USD 1,000,000.00

  B. The 3-month EURIBOR futures contract has a a basis point value of EUR 12.50 and a face value of EUR 500,000.00

  C. The 3-month Sterling (SHORT STERLING) futures contract has a a basis point value of GBP 12.50 and a face value of GBP 500,000.00

  D. The 3-month Euro Swiss Franc (EUROSWISS) futures contract has a a basis point value of CHF 50.00 and a face value of CHF 2,000,000.00

  Correct Answer: C

• Question 698:

  If a dealer has a 6-month USD asset and a 3-month USD liability, how could he hedge his balance sheet exposure in the FRA market?

  A. Buy 3x6

  B. Sell 3x6

  C. Buy 0x6

  D. Sell 6x9

  Correct Answer: A

• Question 699:

  What is the Overnight Index for EUR?

  A. EURIBOR

  B. EONIA

  C. EUREPO

  D. EURONIA

  Correct Answer: B

• Question 700:

  You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90-day) BBA LIBOR, which is fixed at 0.9500%.

  What is the settlement amount at maturity?

  A. You pay CAD 20,000.00

  B. You receive CAD 20,000.00

  C. You pay CAD 19,952.61

  D. You receive CAD 19,952.61

  Correct Answer: C