ACI 3I0-012 Exam Questions Free Practice Test

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Questions # 31:

You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million interest rate swap with exactly two years to maturity . 6-month LIBOR for the next payment date is fixed today at 4.95%. You expect 6-month LIBOR in 6 months to fix at 5.25%, in 12 months at 5.35% and in 18 months at 5.40%. What do you expect the net settlement amounts to be over the next 2 years? Assume 30-day months.

Options:

pay 250, receive 1,250, receive 1,750, receive 2,000

receive 250, pay 1,250, pay 1,750, pay 2,000

pay 2,500, receive 12,500, receive 17,500, receive 20,000

receive 2,500, pay 12,500, pay 17,500, pay 20,000

Expert Solution

Questions # 32:

Which position below is NOT a component of common equity Tier 1 capital?

Options:

innovative hybrid capital instruments with incentives to redeem

common shares issued by bank

retained earnings

stock surplus (share premium)

Expert Solution

Questions # 33:

Today, you sell GBP 5,000,000.00 to a customer against JPY for spot value. Tomorrow, the customer defaults. What is your exposure called?

Options:

Replacement risk

Settlement risk

Legal risk

Basis risk

Expert Solution

Questions # 34:

The process of confirming trades is a function that can be performed by:

Options:

any dealer as long as he/she is not a party to the trade

staff in the back-office/operations who are independent of the trade

staff in the dealing room who are not dealing

any staff outside the dealing room

Expert Solution

Questions # 35:

What is the purpose of the Liquidity Coverage Ratio?

Options:

to mitigate market replacement risk across markets

to eliminate funding mismatches by establishing a minimum acceptable amount of stable funding

to ensure that banks have enough high-quality liquid assets to survive a 30-day period of acute market stress

to minimize duration risk on a bank’s assets over a one-year horizon

Expert Solution

Questions # 36:

Which of the following statements about the Net Stable Funding Ratio is correct?

Options:

Assets are classified with an available stable funding factor (ASF).

Liabilities are classified with a required stable funding factor (RSF).

The ratio of available funding to required funding has to be higher than 50%n

Equity has an available stable funding factor of 100%.

Expert Solution

Questions # 37:

As to general risk management principles, the Model Code mentions that the organizationalstructure should ensure independent risk management and controls. Which one of the following is not among those controls?

Options:

open and effective communication channels between all levels of staff and cross-functions should be maintained.

regular internal audits should be carried out together with trading and risk management to ensure early identification of internal control weaknesses

complete segregation of duties between the front, middle and back office activities

a separate system for independent monitoring to ensure compliance with the risk management framework should be in place

Expert Solution

Questions # 38:

Under Basel rules, what is the meaning of RWA?

Options:

Risk Weighted Assets

Risk Weighted Average

Recovery Weighted Assets

Risk Weighted Adjustments

Expert Solution

Questions # 39:

If 6-month EUR/AUD is quoted at 129/132, which of the following statements is correct?

Options:

EUR rates are higher than AUD rates in the 6-month

AUD rates are higher than EUR rates in the 6-month

There is a positive EUR yield curve

There is not enough information to decide

Expert Solution

Questions # 40:

After having quoted a rate of 1.5005-10, the quoting bank says, “Your risk”. This means:

Options:

The quoted rate is subject to change at the risk of the price-taker

The quoting bank is reminding you of the market risk of your potential trade

This is a requirement of any market maker

The market maker needs to check your credit limit

Expert Solution

Questions # 41:

Which of the following is a measure of a bank’s gross exposure to foreign exchange rate risk?

Options:

The maturity mismatch among assets and liabilities denominated in the home and reporting currencies.

The gap between variable and fixed rate assets and liabilities across all currencies.

The sum of all assets in one currency minus the sum of all liabilities in that same currency.

The sum of all off-balance sheet assets in one foreign currency minus the on-balance sheet equity in another currency.

Expert Solution

Questions # 42:

What type of risk would describe the failure of a back office to make adequate margin calls on repo positions?

Options:

Credit risk

Market risk

Operational risk

Settlement risk

Expert Solution

Questions # 43:

Which of the following statements is correct?

Options:

Hedging a long bond position with payer’s swap involves basis risk

Hedging the credit risk of an asset swap package with a credit default swap has no basis risk

Basis risk is a result only of maturity mismatches

Basis risk is a result only of duration mismatches.

Expert Solution

Questions # 44:

An ‘at-the-money’ call option:

Options:

Costs more than an ‘in-the-money’ call option

Costs less than an ‘out-of-the-money’ call option

Costs more than an ‘out-of-the-money’ call option

Costs the same as an ‘in-the-money’ put option

Expert Solution

Questions # 45:

A long collar is:

Options:

A purchase of a cap and a sale of a floor

A purchase of a floor and a sale of a cap

A purchase of a cap and a purchase of a floor

A sale of a cap and a sale of a floor

Expert Solution

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