The Liquidity Coverage Ratio (LCR) in Basel III:

A.

is a new rule that compares liquid asset levels in banks to their available equity capital

B.

spells out a modernized system for calculating the required minimum reserve that banks must hold at the central bank

C.

compares liquid and reliably liquidating assets to expected cash outflows from specified run-off rates for various liability classes under a short-term stress scenario

D.

tied directly into the internal ratings-based approach for determining the liquidity of credit-counterparties

For which of the following might an MT370 be used?

A.

To confirm an FX transaction

B.

To advise the netting position of a currency in NDFS

C.

To advise changes in SSIs

D.

To confirm a MM transaction

Under Basel rules the meaning of CCF is:

A.

Currency Conversion Factor

B.

Credit Conversion Factor

C.

Credit Contribution Factor

D.

Credit Collateralization Factor

You are paying 5% 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 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.

A.

Pay 250.00, receive 1,250.00, receive 1,750.00, receive 2,000.00

B.

Receive 250.00, pay 1,250.00, pay 1,750.00, pay 2,000.00

C.

Pay 2,500.00, receive 12,500.00, receive 17,500.00, receive 20,000.00

D.

Receive 2,500.00, pay 12,500.00, pay 17,500.00, pay 20,000.00

The spot/next repo rate for the 5% Bund 2018 is quoted to you at 1.75-80%. You sell bonds
with a market value of EUR 5,798,692.00 through a sell/buy-back. The Repurchase Price
is:

A.

EUR 5,798,982

B.

EUR 5,799,497

C.

EUR 5,746,376

D.

EUR 5,000,694

Which of the following are specifically quoted in terms of a yield-to-maturity?

A.

US Treasury bill

B.

CD

C.

Interbank deposit

D.

USCP

What does the Model Code recommend regarding “entertainment and gifts”?

A.

Management should monitor the form, frequency and cost of entertainment and gifts dealers receive, have a clearly articulated policy towards the giving/receipt of gifts and ensure the policy is enforced.

B.

As gifts and entertainment may be offered in the normal course of business, employees can offer inducements to conduct business and solicit them from the personnel of other institutions.

C.

Although management should not monitor the form, frequency or cost of
entertainment/gifts dealers receive, they may have a policy towards the giving/receipt of gifts and ensure the policy is enforced

D.

Gifts or entertainment should never be offered in the normal course of business, and
employees must never offer any inducements to conduct business, nor solicit them from
other institutions.

Automated trading systems for interbank spot FX display the best prices entered into the systems by users and:

A.

Display the names of those users along their prices

B.

Offer users the choice of whether to remain anonymous

C.

Offer pre and post-trade anonymity to users quoting prices

D.

Offer users the choice of whether to remain anonymous

What steps will the CFP of the ACI probably not undertake after having been formally notified by one of the parties of a breach of the letter or spirit of the Model Code?

A.

consult the local ACI national association

B.

bring the matter to the appropriate court of justice

C.

examine the complaint

D.

bring the matter to the attention of the appropriate regulatory body

You are quoted the following rates:
Spot GBP/CHF 1.4535-45
3M GBP/CHF swap 22/19
At what rate can you sell GBP against CHF outright 3-month?

A.

1.4523

B.

1.4526

C.

1.4513

D.

1.4516