Pass the ACI-Financial 3I0-012 Questions and answers with ExamsMirror

has established the price sensitivities of a longer-term fixed-rate liability and a floating-rate asset

has established the price sensitivities of a longer-term fixed-rate asset and a floating-rate liability

receives fixed in the swap

pays floating in the swap

No, it doesn’t, since the slope of the yield cure is unrelated to the spread between short-term and long-term interest rates.

No, it doesn’t. There isn’t any link at all between the slope of the interest yield curve and a bank’s net interest margin.

Yes it does. In banking, long-term rates usually apply to bank deposits and money market borrowings whereas short-term interest rates are attached to loans and securities.

Yes it does. Long-term rates usually apply to a bank’s assets (loans, securities, etc.) and the short term interest rates are generally attached to liabilities (deposits, money market borrowings, etc.).

to keep enough highly liquid assets to cover its net liabilities for the next 10 days to guard against severe liquidity stress

to keep enough highly liquid assets to cover its net liabilities for the next 30 days to guard against severe liquidity stress

to keep enough highly liquid assets to cover its net liabilities for the next 60 days to guard against severe liquidity stress

to retain enough liquidity to cover its assets against severe default risk

27th December

30th December

31st December

1st January

interest rate, currency, equity and commodity risk

interest rate, currency, equity and default risk

interest rate, equity, liquidity and default risk

legal, reputation and regulatory risk

The transaction is terminated and the collateral is returned to the seller

The transaction is rolled over until the coupon is paid or the issuer becomes insolvent, at which point the seller becomes an unsecured creditor of the issuer

The buyer is obliged to make a manufactured payment to the seller and becomes an unsecured creditor of the issuer

The buyer is not obliged to make a manufactured payment to the seller but the buyer is likely to ask for margin

for a short length of time, usually 30 seconds

until the price has been taken “off” by the dealer

for a short length of time, typically a matter of seconds

for a minute or two

Long a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

Long a straight bond + pay floating on a swap = long a synthetic Floating Rate Note

Short a straight bond + receive fixed on a swap = long a synthetic Floating Rate Note

Short a straight bond + pay fixed on a swap = long a synthetic Floating Rate Note

No deal is done and the broker should inform both counterparties accordingly.

The deal is done and the broker should inform both counterparties accordingly.

The matter should be resolved in consultation with senior management of the 3 institutions.

The ACI’s Committee for Professionalism will investigate and advise accordingly.

IDR

RUP

INR

IND

no transaction is done

the broker has to honor each and every amount hit

the broker has to split the amount among the banks on a pro rata basis

the broker may freely choose the bank(s) he will deal with

when receiving THB in 1 month

when receiving HKD in 2 months

when receiving PHP in 2 bank business days

when receiving KRW in 3 months

theft of information

damage to an organization through loss of its reputation or standing

market manipulation

loss incurred from the use of incorrect documentation

matching should be performed by no later than the day after trading day

matching processes are manual and may not be automated

matching should be performed as soon as possible upon receipt of the confirmation

confirmation matching should be a post-settlement workflow activity

Daily fixing of EUR interbank deposit rates in the European market

Daily fixing of EUR interbank deposit rates in the London market

Another name for EUR LIBOR

The ECB’s official repo rate