3I0-012

3I0-012 practice questions, page 9 of 30, with answer review and explanations.

Question 41

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

Question 42

What is the Overnight Index for EUR?

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

Question 43

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

Question 44

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

Question 45

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