You are short of 6 December EURODOLLAR futures contracts at 99.50. Yesterday, the closing price was 99.35. Today’s closing price is 99.105. What variation margin will be due?
Which of the following is the best description of a “broken trade”?
If I say that I have “bought and sold” EUR/USD in an FX swap, what have I done?
Which of the following statements about Credit Default Swaps (CDS) is correct?
How is an outright forward FX transaction quoted?
Which of the following is part of the typical scope of Asset Liability Management (ALM)?
The 180-day CAD/CHF rate is bid 62 and the 90-day CAD/CHF rate is bid 29. What is the bid rate for 120 days, assuming straight-line interpolation?
What is settlement risk in FX?
What should be done when a voice broker calls “off” at the very instant the dealer hits the broker’s price as “mine” or “yours”?
A sold JUN 3-month STIR-future should be reported in the gap report as of 22 May:
With reference to dealing periods, what does the term “short dates” refer to?
Which of the following statements reflects the Model Code on gambling or betting amongst market participants?
Written confirmation is a function that can be done by:
Which type of repo is the least risky for the buyer?
The popularity of FX-trading via Internet platforms has serious implications for the applicability of traditional rules such as “Know Your Customer”. Which of the following are correct?
Which of the following statements is correct?
The columns below list short-term cash rates on 3rd April and 3rd F1ay 3rd April 3rd May
Describe the shape of the short-term segment of the yield curve on 3’ April using market terminology. In addition, describe the change in the shape of the curve between 3rd April and 3rd May.
Which of the following statements is correct regarding duration?
Under new Basel rules, what is the meaning of CVA?
USD/CHF is quoted to you at 0.9290-93 and GBP/USD at 1.5320-30. At what rate could you buy GBP and sell CHF?
Which one of the following statements about mark-to-model valuation is correct?
If GBP/USD is 1.5350-53 and USD/JPY is 97.50-53, what is GBP/JPY?
You have quoted your customer the following CAD deposit rates:
The customer says, “I give you CAD 20,000,000.00 in the two’s”. What have you done?
What would be the strategy for a bank if it is unable to speculate on interest rates and/or unable to absorb market risk?
What should a broker do if his quoted price is hit simultaneously by several dealers for a total amount greater than that for which the price concerned was valid?
EURIBOR is the:
What usually happens to the collateral in a tri-party repo?
Voice-brokers in spot FX are remunerated with:
Which position below is NOT a component of common equity Tier 1 capital?
You have just sold USD 5,000,000.00 spot against JPY. What type of risk does not apply?
The intrinsic value of a long call option:
You are paying 1,00% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 0.95%. How would you hedge the swap using FRAs?
How to hedge an IRS with a strip of FRAs?
Your GBP/CHF rate is 1.3710-15. How many GBP would your customer have to give you to buy CHF 10,000,000.00?
What is the day count/annual basis convention for JPY money market deposits?
Today is Monday, 8th December. You sell a 9x12 USD FRA for value Thursday, 10th September next year. On what date is the settlement amount due to be paid or received (assuming that there are no holidays)?
Where answer phone equipment is used for reporting and recording of off-premises transactions, it should be:
An option granted by the seller that gives the buyer the right to enter into an underlying interest rate swap transaction is ca lied:
A forward-forward loan creates an exposure to the risk of:
If the daily 90% confidence level VaR of a portfolio is correctly estimated to be USD 5,000.00, one would expect that:
What is the day count/annual basis convention for euroyen deposits?
A dealer has indicated his intention of assigning an interest rate swap to a third party soon after transacting that swap. When about to execute an assignment
When quoting the exchange rate between the USD and AUDI which is conventionally the base currency?
A forward/forward FX swap:
You want to hedge your deposit against falling interest rates. Which of the alternatives below are appropriate for this purpose?
The buyer of a currency put option has:
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?
From the following GBP deposit rates:
1M (30-day) GBP deposits 0.45%
2M (60-day) GBP deposits 0.50%
3M (91-day) GBP deposits 0.55%
4M (123-day) GBP deposits 0.65%
5M (153-day) GBP deposits 0.70%
6M (184-day) GBP deposits 0.75%
Calculate the 3x4 forward-forward rate.
You quote a customer a spot cable 1.6050-55 in USD 3,000,000.00. If they sell USD to you, how much GBP will you be short of?
What is the correct interpretation of a EUR 2,000,000.00 overnight VaR figure with a 97% confidence level?
A bank that has quoted a firm price is obliged to deal:
What is the maximum maturity of an unsecured USCP?
Which of the following statements is true concerning dealing and rollovers at non-current rates?
What is the amount of the principal plus interest due at maturity on a 1-month (32-day) deposit of USD 50,000,000.00 placed at 0.37%?
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?
You have taken 3-month deposits of EUR 10,000,000.00 at 0.60%, EUR 5,000,000.00 at 0.40% and EUR 5,000,000.00 at 0.50%.
What is the average rate of your long position?
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?
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?
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?
Which one of the following statements about interest rate movements is true?
Clients of a voice-broker quote EUR/USD at 1.3556-61, 1.3559-62, 1.3557-63 and 1.3555-59.
What will be the broker’s price?
An option is:
A US security yields 7% on an annually-compounded bond basis. What is the equivalent annually- compounded money market yield?
You quote a price to a broker. It is hit by another bank, but you are not informed until some time afterward that the deal has been done. Who is to blame?
An option contract that gives the buyer the right to exercise the option at several distinct points during its life is called:
Complete the following sentence. If a bank has an asset repricing in 6 months funded by a liability repriced in 3 months:
In interbank trading, if a dealer is calling “off” at the same time as the broker is hitting a price:
Which of the following are specifically quoted in terms of a yield-to-maturity?
Your are quoted the following rates:
3M CHF/JPY 3.5/4.5
At what rate can you buy 3-month outright JPY against CHF?
3-month EUR/USD FX swaps are quoted to you at 8/12. If the “points are in your favor”, what have you done?
A Eurodollar futures price of 99.685 implies:
A euro zone-based bank that is asset-sensitive to market interest rate changes might reduce interest rate risk by:
Whose compliance rules, regulations and best practices should be followed in FX electronic trading?
What is a short straddle option strategy?
What is the ISO code for the currency of China?
If you sell USD 3-month forward to a client against EUR, what should you do to hedge your position?
Spot EUR/USD is 1.3050-53 and EUR interest rates are lower than USD interest rates. Would you expect the forward points for EUR/USD to be:
Automated trading systems for interbank spot FX display the best prices entered into the systems by users and:
The extension of forward FX contracts at their historic rates is only allowed when:
You have quoted a Swiss customer spot USD/CHF as 1.3710-15, but he asks you to quote it as CHF/USD. What do you quote?
What is a long straddle option strategy?
The Chairman and members of the ACls Committee for Professionalism are ready to assist in resolving disputes through the ACIs Expert Determination Service in situations where:
You and a dealer at another bank have an informal bilateral reciprocal arrangement to quote each other two-way prices. During periods of high volatility, the other dealer refuses to quote to you. The Model Code states that
You are quoted the following market rates:
spot EUR/USD. 1.2250
3M (91-day) EUR 2.55%
3M (91-day) USD. 2.00%
What is 3-month EUR/USD?
Bank XYZ calls you for a quote in EUR/USD for EURO 20 million. If you decide to quote to Bank XYZ:
The two-week repo rate br the 5.25% bund 2007 is quoted to you at 3.33-38%. You agree to reverse in bonds worth EUR 266,125,000 with no initial margin. You would earn repo interest ot
Are the forward points materially affected by changes in the spot rate?
What is the value date of a 6-month outright forward FX transaction dealt today, if todays spot date is Monday, 30th June? Assume there are no bank holidays.
You are quoted the following market rates:
spot EUR/GBP 0.6670
6M (182-day) EUR 2.35%
6M (182-day) GBP 375%
What is 6-month EUR/GBP?
A dealer needs to buy USD against SGD. Of the following rates quoted to him, which is the best rate for him?
3-month USD/CHF is quoted at 112/110. Interest rates in Switzerland are reduced but USD rates (which are higher) are unchanged. What would you expect the 3-month forward USD/CHF rate to be?
The premium on an option contract is:
Click on the Exhibit Button to view the Formula Sheet. You are short of 6 Dec euro dollar futures contracts at 98.10. Yesterday, the closing price was 98.15. Today’s closing price is 97.905.Whatvariation margin will be due?
Where the Committee for Professionalism of the ACI has been notified of a breach of the letter or spirit of the Model Code, it
What is the ISO code for platinum?
The Model Code is clear on “position parking”. What does it say?
Under Basel rules the risk weight for AM-rated claims on corporates in the standardized approach is:
In FX trading a “third party beneficiary” is best described as:
Which of the following is a characteristic of all liquid assets under Basel III?
Which of the following statements about Eurodollar deposits is correct?
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 EUR 25,000,000.00 nominal of the 5.5% OAT April 2015, which is worth EUR 28,137,500.00. If you impose an initial margin of 1%, the Repurchase Price is:
You are quoted the following rates:
3M USD/JPY swap 9/6
Spot USD/CHF 0.9320-23
3M USD/CHF swap 11/8
Where can you sell CHF against JPY 3-month outright?
When is your settlement risk greatest on a spot FX deal?
From the following CAD rates:
1M (31-day) CAD deposit 0.95%
1x2 CAD (30-day) FRA 1.21%
2x3 CAD (31-day) FRA 2.01%
Calculate the 3-month implied cash rate.
You quote your customer EUR/USD 1.3070-73, However they need the rate quoted in EUR per USD. What do you quote?
If the value of the collateral in a repo has fallen during the term of the transaction, who suffers the loss?
What do you call a combination of a long (short) call option and short (long) put option with same face value, same expiration date, same style, where the strike price is equal to the forward price?
Between which departments are clear and structured escalation procedures required for the management of incorrect funding balances?
A bank expects interest rates to fall with a parallel downward shift in the yield curve. What action should the bank take, if it wants to benefit from this view?