Complete the following sentence. If a bank has an asset repricing in 6 months funded by a
liability repriced in 3 months:

A.

the bank would benefit from higher interest rates

B.

the bank could hedge this interest rate risk with a 3x6 derivative

C.

the bank will make mark-to-market losses if rates decrease

D.

the bank could hedge this interest rate risk by selling a 6x9 derivative

What is meant by “turn of the month”?

A.

the last calendar day of the month

B.

the last bank business day of the month

C.

last business day of the month against first business day of the next month

D.

value first business day of the month against last business day of the same month

A Eurodollar futures price of 99.685 implies:

A.

A forward-forward rate of 0.685%

B.

A forward-forward rate of 0.315%

C.

Current 3-month LIBOR of 0.6850%

D.

Current 3-month LIBOR of 0.3150%

Selling a FRA has the same interest rate exposure as:

A.

Opening a positive gap

B.

Going over-borrowed

C.

Making a forward-forward loan

D.

Taking a forward-forward deposit

Which one of the following is a major objective of ACI-The Financial Markets Association?

A.

to promote globalization and deregulation of the financial markets

B.

to maintain the professional level of competence and to disseminate a high level of ethical and professional behavior

C.

to act as the official international market regulator in the absence of government regulation

D.

to become the sole global corporation of wholesale financial market professionals

Today’s spot value date is the 29th of February. What is the maturity date of a 4-month USD deposit deal today? Assume no bank holidays.

A.

Thursday 27th June

B.

Friday 28th June

C.

Saturday 29th June

D.

Monday 1st July

An option premium is normally a positive function of:

A.

the traded volume

B.

the historical volatility of the price of the underlying commodity

C.

the style (European or American) of the option

D.

the implied volatility of the price of the underlying

Which of the following correctly states the Model Code’s recommendations regarding electronic trading and broking?

A.

Liquidity providers should be cognizant of reputational risks when supplying liquidity for onward third party consumption.

B.

Market participants must not seek information as to the legal status of a potential counterparty before allocating credit or trading status.

C.

Transactions should be handled in accordance with the regulator’s dealing rule book.

D.

Access to systems internally and at the client interface must be strictly controlled by the dealers.

A forward-forward lender has an exposure to the risk of:

A.

Higher interest rates

B.

Lower interest rates

C.

Flattening yield curve

D.

Parallel shift downwards in the yield curve

A 6-month SEK/NOK Swap is quoted 40/50. Spot is 1.1145. Which of the following
statements is correct?

A.

SEK interest rates are higher than NOK interest rates

B.

NOK interest rates are higher than SEK interest rates

C.

NOK interest rates are higher than USD interest rates

D.

SEK interest rates and NOK interest rates are converging