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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.


A) 3.410%
B) 3.977%
C) 3.996%
D) 3.997%

E) A) and D)
F) A) and C)

Correct Answer

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An interest rate swap is:


A) A contract to exchange one stream of income paymen
B) A temporary exchange of one deposit for another of
C) A forward-forward contract
D) All of the above

E) B) and C)
F) A) and B)

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In spite of having agreed to a deal, dealers are not bound to the deal if it is subject to documentation. The Model Code:


A) Does not regard this as a good practice.
B) Urge dealers to be bear this in mind, as this is c
C) Does not comment on this matter.
D) Recommends that national ACI Associations deal wit

E) A) and B)
F) A) and C)

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A forward-forward loan creates an exposure to the risk of:


A) Higher interest rates
B) Lower interest rates
C) Steepening yield curve
D) Parallel shift downwards in the yield curve

E) All of the above
F) B) and C)

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What is the buyers primary risk in a repo?


A) The credit risk on the collateral
B) The credit risk on the repo counterparty
C) The legal risk on the contract
D) The operational risk on margin maintenance

E) A) and C)
F) A) and B)

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What is the effect of netting?


A) To reduce the number and size of payments and tran
B) To reduce exposure to credit risk
C) To reduce the size of the balance sheet
D) All of the above

E) B) and C)
F) A) and D)

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What is the Gold Offered Forward Rate?


A) The price differential between spot and forward go
B) The rate at which dealers will lend gold against U
C) The implied forward price of gold
D) The price of gold for forward delivery

E) A) and B)
F) B) and D)

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Making interest rate swap transactions subject to agreement on documentation:


A) Is recommended where the complications of the tran
B) Is strictly forbidden.
C) Is considered bad practice.
D) Must have senior management approval.

E) None of the above
F) All of the above

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What is settlement risk in FX?


A) The risk of failure of a payments or settlement sy
B) The risk that only one side of an exchange of curr
C) The risk of payments gridlock in a real-time gross
D) The risk that default by a counterparty before the

E) A) and B)
F) B) and C)

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What is a long straddle option strategy?


A) A long call option + long put option with the same
B) A short call option + short put option with the sa
C) A long call option + short put option with the sam
D) A short call option + long put option with the sam

E) All of the above
F) B) and C)

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Which of the following is not true?


A) The Model Code is published by ACI's Committee for
B) The Model Code sets out the practicalities of deal
C) The Model Code is an attempt to deal with the lega
D) The Model Code sets out the manner and spirit in w

E) A) and B)
F) B) and D)

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How can material divergences between the value of cash and collateral be managed in a documented sell/buy-back?


A) Margin maintenance
B) Re-pricing
C) Either of the above, but usually (a)
D) Either of the above, but usually (b)

E) A) and C)
F) None of the above

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A 3-month (91-day) deposit of EUR25 million is made at 3.25%. At maturity, it is rolled over three times at 3.55% for 90 days, 4.15% for 91 days and 4.19% for 89 days. At the end of 12 months, how much is repaid (principal plus interest) ?


A) EUR 25,962,011.01
B) EUR 25,959,714.91
C) EUR 25,948,878.47
D) EUR 25,948,648.82

E) All of the above
F) B) and C)

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Written confirmation is a function that can be done by:


A) Any dealer as long as he/she is not a party to the
B) Staff in the back-office.
C) Staff in the dealing room who are not dealing.
D) Any staff outside the dealing room.

E) All of the above
F) B) and D)

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What is the risk of dealing through an agent with an unknown principal?


A) You may not be able to ensure that your firm can a
B) You may not be able to net your exposure in an ins
C) You may not be able to net your exposure for capit
D) All of the above.

E) A) and B)
F) B) and C)

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If you bought USD 2,000,000 against CHF at 1.1020, USD 3,000,000 at 1.1040 and USD 5,000,000 at 1.1032, what is the average rate of your position?


A) 1.1030
B) 1.1035
C) 1.1028
D) 1.1032

E) B) and C)
F) A) and C)

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You have a USD loan that is priced at 3-month LIBOR+50. LIBOR for the loan will be re- fixed in exactly one month. The market is quoting:


A) Sell a 1x3 FRA at 1.95%
B) Buy a 1x3 FRA at 1.98%
C) Buy a 1x4 FRA at 2.10%
D) Sell a 1x4 FRA at 2.10%

E) A) and B)
F) B) and C)

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What does the Model Code say about the responsibility of a broker in handling suspicious transactions?


A) Suspicious transactions should be reported by the
B) Brokers need to make staff aware of the problem an
C) A broker should report any suspicions about a tran
D) Brokers should advise clients to reject the name.

E) B) and C)
F) A) and D)

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A dealer does the following deals in EUR/USD: buys EUR 1 m at 1.1020 sells EUR 3 m at 1.1022 buys EUR 2 m at 1.1002 buys EUR 1.5 m at 1.1012 What position does the dealer now have?


A) Long EUR 1.5 m at 1.0984
B) Short EUR 1.5 m at 1.1036
C) Long EUR 1.5 m at 1.1012
D) Short EUR 3.0 m at 1.1025

E) B) and C)
F) A) and D)

Correct Answer

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Which of the following is issued by auction?


A) Treasury bill
B) CD
C) BA
D) USCP

E) A) and C)
F) B) and C)

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