ACI Dealing Certificate

Click on the Detail Button to view the Formula Sheet. The one-month (31-day) GC repo rate for French government bonds is quoted to you at 3.75-80%. As collateral, you are offered EUR25 million nominal of the 5.5% OAT April 2006, which is worth EUR 28,137,500. If you impose an initial margin of 1%, the Repurchase Price is:

Click on the Detail Button to view the Formula Sheet. 3-month EUR/USD FX swaps are quoted to you at 15/19.
If the "points are in your favour", what have you done?

Click on the Detail Button to view the Formula Sheet. Convert 8.25% quoted on a semi-annually compounded money market basis for USD to the equivalent annually-compounded bond basis.

Click on the Detail Button to view the Formula Sheet. A CD with a face value of USD50 million and a coupon of 4.50% was issued at par for 90 days and is now trading at 4.50% with 30 days remaining to maturity.

What has been the capital gain or loss since issue?

Click on the Detail Button to view the Formula Sheet. A bond is trading 50 basis points special for 1 week, while the 1-week GC repo rate is 3.25%.
If you held GBP 10,500,000 of this bond, what would be the cost of borrowing against it in the repo market?

Click on the Detail Button to view the Formula Sheet.
From the following GBP deposit rates:
1M (31-day) GBP deposits3.15%
2M (61-day) GBP deposits3.25%
3M (91-day) GBP deposits3.41%
4M (120-day) GBP deposits3.56%
5M (152-day) GBP deposits3.73%
6M (182-day) GBP deposits3.90%

calculate the 3x4 forward-forward rate.

Click on the Detail Button to view the Formula Sheet. Cable is quoted at 1.6075-80 and you say "5 yours!" to the broker.

What have you done?

Click on the Detail Button to view the Formula Sheet. A 6-month (182-day) investment of CHF15.5 million yields a return of CHF100,000.

What is the rate of return?

Click on the Detail Button to view the Formula Sheet.

How are Overnight Indexed Swaps settled?

Click on the Detail Button to view the Formula Sheet. In a dispute between the dealer and a broker, the Model Code recommends that this should be referred in the first instance to: