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ACI 3I0-012 - ACI Dealing Certificate

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Total 740 questions

The Market Segmentation hypothesis suggests that the yield curve bends at some point along its length because:

A.

Investors have less appetite for longer-term investments

B.

Borrowers prefer to borrow long-term but lenders prefer to lend short-term

C.

Different types of institution tend to specialize in different maturity ranges

D.

The risk premium becomes significant only at longer maturities

Which of the following methods is a means of credit risk mitigation?

A.

entering into a plain vanilla IRS

B.

entering into collateral agreements

C.

hedging a portfolio’s USD exposure

D.

investing only in sizeable and liquid markets

In GBP/CHF, you are quoted the following prices by four different banks. You are a buyer of CHF. Which is the best quote for you?

A.

1.4340

B.

1.4343

C.

1.4337

D.

1.4335

The tom/next GC repo rate for German government bonds is quoted to you at 1.75-80%. As collateral, you sell EUR 10,000,000.00 nominal of the 5.25% Bund July 2012, which is worth EUR 11,260,000.00, with no initial margin. The Repurchase Price is:

A.

EUR 10,000,500.00

B.

EUR 10,000,486.11

C.

EUR 11,260,563.00

D.

EUR 11,260,547.36

Which of the following is always a secured instrument?

A.

ECP

B.

Repo

C.

Interbank deposit

D.

CD

A put option is ‘out-of-the-money’ if:

A.

Its strike price is higher than the current market price of the underlying commodity

B.

If the current market price of the underlying commodity is higher than the strike price of the option

C.

Its strike price is equal to the current market price of the underlying commodity

D.

If the current market price of the underlying commodity is lower than the strike price of the option

How frequently should business contingency procedures be tested and updated?

A.

quarterly tests I updates as needed

B.

at least every second year

C.

half-yearly tests / yearly updates

D.

at least yearly

Which Greek letter is used to describe the ratio of change in the option price compared with change in the price of the underlying instrument, when all other conditions are fixed?

A.

beta

B.

gamma

C.

delta

D.

theta

What is the expression used to describe a genuine error (wrong amount, wrong side, wrong rate) made by a dealer in the execution of an order on an electronic platform?

A.

mis-stroke

B.

slip-bid

C.

mis-hit

D.

broken trade

The market is quoting:

1-month (30-day) GBP 0.47%

7-month (213-day) GBP 0.74%

What is the 1x7 rate in GBP?

A.

0.7956%

B.

0.7946%

C.

0.7840%

D.

0.7732%

Taking collateral to hedge the credit risk on a counterparty means that you have:

A.

Eliminated credit risk

B.

Eliminated market risk

C.

Taken a guarantee from the issuer of the collateral

D.

Taken on market, legal and operational risks

Convert 8.25% quoted on a semi-annually compounded money market basis for USD to the equivalent annually-compounded bond basis.

A.

8.30%

B.

8.52%

C.

8.54%

D.

8.69%

If I say that I have “bought and sold” EUR/USD in an FX swap, what have I done?

A.

Bought EUR and sold USD spot, and sold EUR and bought USD forward

B.

Bought USD and sold EUR spot, and sold USD and bought EUR forward

C.

Synthetically taken a USD loan in exchange for making a EUR loan with the same counterparty

D.

Sold EUR/USD spot and bought back EUR/USD forward

Which of the following statements about operational risk awareness is correct?

A.

It is good practice to collect and disclose incidents and near-misses for the future benefit of the professional community.

B.

It is good practice to collect and analyze incidents and near-misses so as to set up preventive action plans for the future.

C.

A report describing operational risks should be made at the request of the front office.

D.

A report describing operational risks should be made at least once a year and provided to the front office.

Which of the following statements regarding economic capital is correct?

A.

Economic capital is calculated externally and is the amount of capital the firm should have to support its target credit rating

B.

Economic capital is calculated on an expected shortfall basis with a specific time horizon and confidence level.

C.

Economic capital is used for measuring and reporting risks across a financial organisation.

D.

Economic capital is always lower than regulatory capital because of the more adequate modelling of correlation effects compared to the regulatory approach.