ACI 3I0-012 Exam (page: 9)
ACI 3I0-012 Dealing Certificate
Updated on: 31-Mar-2026

Viewing Page 9 of 149

If a dealer has a 6-month USD asset and a 3-month USD liability, how could he hedge his balance sheet exposure in the FRA market?

  1. Buy 3x6
  2. Sell 3x6
  3. Buy 0x6
  4. Sell 6x9

Answer(s): A



What is the Overnight Index for EUR?

  1. EURIBOR
  2. EONIA
  3. EUREPO
  4. EURONIA

Answer(s): B



You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90-day) BBA LIBOR, which is fixed at 0.9500%.

What is the settlement amount at maturity?

  1. You pay CAD 20,000.00
  2. You receive CAD 20,000.00
  3. You pay CAD 19,952.61
  4. You receive CAD 19,952.61

Answer(s): C



Which of the following is true?

  1. The 3-month EURODOLLAR futures contract has a basis point value of USD 50.00 and a face value of USD 1,000,000.00
  2. The 3-month EURIBOR futures contract has a a basis point value of EUR 12.50 and a face value of EUR 500,000.00
  3. The 3-month Sterling (SHORT STERLING) futures contract has a a basis point value of GBP 12.50 and a face value of GBP 500,000.00
  4. The 3-month Euro Swiss Franc (EUROSWISS) futures contract has a a basis point value of CHF 50.00 and a face value of CHF 2,000,000.00

Answer(s): C



Basis risk on a futures contract is:

  1. The risk of an adverse change in the futures price
  2. The risk of an adverse change in the spread between futures and cash prices
  3. The progressive illiquidity of a futures contract as it approaches expiry
  4. The risk of a divergence between the futures price and the final fixing of the underlying interest rate

Answer(s): B



Viewing Page 9 of 149



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