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ACI operations > ACI vragen > Flashcards

ACI vragen Flashcards

1
Q

Arranging the delivery of currency payments is a responsibility of

A

Operations

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2
Q

Necessary on-boarding data

A
  1. Client contacts
  2. SSI and global settlement limits
  3. Confirmation methods
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3
Q

CME group is an example of what

A

Clearing house

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4
Q

Volatility

A

A statistical measure of price fluctuations as an annualised percentage

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5
Q

Which departments should be involved if a new product is introduced

A

All relevant departments

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6
Q

MT 340

A

Confirmation of a FRA (forward rate agreement)

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7
Q

If a trade is incomplete, what is absolutely essential for processing the trade

A

Name of the counterparty and value date

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8
Q

Trade confirmation

A
  1. Economic details: initial and final amount, rates
  2. Product information: currency, index
  3. Dates: trade date, initial day, final day
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9
Q

Criteria to match an FX deal

A
  1. Counterparty
  2. Trade and value date
    3, Amounts of currencies bought/sold
  3. FX rate
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10
Q

Value date

A

The date on which a financial transaction is settled

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11
Q

Settlement date

A

The date on which a payment has to be made

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12
Q

US domestic clearing system

A

CHIPS

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13
Q

SIC System

A

RTGS-system Switzerland

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14
Q

CHAPS closing time

A

4:20 pm London time

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15
Q

TARGET2

A

Processing of individual payments in Europe

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16
Q

EURO1

A

RTGS-system Europe

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17
Q

European countries that do NOT participate in Target2

A

Czech republic and UK

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18
Q

What is the name for the commonly used settlement process for securities

A

DVP

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19
Q

Difference between TARGET and TARGET2

A

TARGET2 runs a single shared platform

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20
Q

Principal functionalities of interbank funds transfer systems

A

Transfer of information and settlement

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21
Q

MT210

A

Notice to receive

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22
Q

Main advantages of CLS system

A

No settlement risk and high level of STP

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23
Q

What is common for settelement of cross-border securities transactions

A

T+3

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24
Q

The bridge

A

Euroclear and Clearstream hold accounts with each other

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25
Q

Which SWIFT message should you use if a client wants to transfer an amount of money to its supplier in a foreign currency and your bank and the beneficiary’s bank do not use the same correspondent bank

A

MT103 and MT202

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26
Q

Multilateral netting use of a

A

Clearing house

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27
Q

Message type that is not accepted by TARGET

A

MT210

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28
Q

Deadline for interbank payments through TARGET2

A

6 pm

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29
Q

Cash reconciliation report

A
  1. cash forecasting
  2. Cash positioning
  3. Cash collateral management
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30
Q

Responsibilities position keeper

A
  1. Keeps the balance of the nostro accounts
  2. Makes sure opening position on nostro account is as agreed
  3. Alerts the dealer when funds are running too high/low
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31
Q

What interest rate compensation does the ECB give on balances equal to the minimal cash reserve requirement

A

The main refinancing rate

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32
Q

Loro account

A

account in the same currency held for a customer in a different country

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33
Q

Reconciliation evaluation criteria

A

Day’s past settlement date, value and/or likely compensation

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34
Q

Arranging good value date

A

Changing the value date in a payment order

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35
Q

What does a recon matching system NOT produce

A

a list of all payments to wrong accounts

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36
Q

Ledger debit

A

You expected an incoming payment and the money is not yet transferred

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37
Q

What is the most important feature of brokerage reconciliation

A

That it should be performed promptly at month end prior to payment

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38
Q

Right order for SWIFT message

A
  1. Basic Header Block
  2. Applications Header Block
  3. User Header Block
  4. Text Block
  5. Trailer Block
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39
Q

How many characters does a BIC code have?

A

8 or 11

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40
Q

MT 300

A

FX spot

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41
Q

MT 320

A

Money market deposit

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42
Q

BIC code

A

Worldwide code for both financial and non-financial institutions

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43
Q

How are accounting entries usually generated?

A

Based on a code profile held for each product type on a time event basis

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44
Q

What is an essential part of the securities dealing and processing part of a treasury system?

A

The custodian account reconciliation function

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45
Q

Where are interbank transfers/deposits cleared?

A

In the central bank of the currency area of the currency in which the transfer is denominated

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46
Q

Euro money market paper (euro bond)

A

Fixed-rate security that is issued outside the currency area of the issued currency

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47
Q

For which product is the issue price calculated as a discounted amount (i.e. present value)

A

All US domestic paper (USCP, US T-bills and Commercial and bank bills) except USCD

48
Q

Currencies with daycount convention act/365

A

GBP, NZD, AUD, SGD, CAD, HKD, ZAR

49
Q

Convention for terms longer than 4 weeks

A

Modified following

50
Q

What convention is used for a straight 3mnth EUR deposit

A

End of Month (EOM) convention

51
Q

When is the interest paid for a deposit > 1 year

A

Paid annualy and at maturity

52
Q

Collateral pool

A

Pool of assets available to the system as collateral to obtain funds

53
Q

Which instruments are used for liquidity purposes

A

Money market deposits and FX swaps

54
Q

With what product can you refinance a short position

A

Repo (selling bonds and agreeing to buy back at a future date) or borrowing money

55
Q

What convention is used for a 1 week repo

A

Following even if it’s past month end

56
Q

What kind of rate does a minimax (collared) FRN have?

A

Floating rate in which the rate can fluctuate within a pre-agreed range

57
Q

What are commonly used yield curves

A

Money market for short term, government bonds for longer term

58
Q

Regular issues of US T-bills

A

4, 13, 26 and 52 weeks

59
Q

Final proceeds of CD

A

Face value + interest

60
Q

Junk bond

A

Sub-investment grade bond lower than BBB-

61
Q

Settlement amount of a bond

A

Calculated by the sum of its clean price and accrued interest

62
Q

Redemption premium

A

A pre-agreed amount that the holder of a bond receives if the issues calls the bond during the term

63
Q

If a bond trades at a discount this means that

A

The coupon of the bond is lower than the current market yield for the same term

64
Q

Regular issues UK T-bill (vraag 14)

A

3, 6, 9 and 12 months

65
Q

What product is non-negotiable (non-tradable)

A

Deposits

66
Q

The yield of a FRN (Floating Rate Note) is determined by

A

The level of the short-term interest rates

67
Q

What is typical for an FX Forward transaction

A
  1. Not cash settled
  2. Settlement risk
  3. Market risk
  4. Settlement on a day later than spot date
68
Q

If you need to buy you will be quoted

A

the ask rate

69
Q

If you need to sell you will be quoted

A

the bid rate

70
Q

If the interest rate of the base currency is lower than the interest rate of the counter currency

A

then the FX forward rate is higher than the FX spot rate

71
Q

What are applications for FX swaps

A
  1. Reducing credit risk

2. arbitraging between the interest rate diff in the money markets and the swap points

72
Q

What are applications for FX swaps

A
  1. Reducing credit risk

2. arbitraging between the interest rate diff in the money markets and the swap points

73
Q

Exchange Delivery Settlement Price (EDSP)

A

Determines the final variation margin.

74
Q

CAP is a series of

A

European style call options (caplets), can only be exercised at their expiry date. Caplets pay out if the money market benchmark is higher that the strike price

75
Q

When is the premium for most option paid

A

Start of the contract term; 2 business days after the trade date

76
Q

Fixed for floating, what do you do?

A

Sell an IRS

77
Q

Floating for fixed, what do you do?

A

Buy an IRS

78
Q

Asset swap

A

A combination of a BOUGHT fixed rate bond and an IRS in which you pay fixed and receive floating

79
Q

Spread in IRS

A

The different between the yield in gov. bonds and the fixed rate of an IRS

80
Q

Examples of CFD’s (contract for difference)

A

FRA and NDF; these are cash settled

81
Q

Maintenance margin

A
  1. Minimum balance that has to be held on a margin account

2. Determined as percentage of the initial margin

82
Q

Examples of money market derivatives

A

FRAs (OTC) and STIR futures (exchange traded)

83
Q

Delta (hedge ratio) in respect to options

A

ration between the change in the option price compared and the change in the price of the underlying instrument

84
Q

When is a FRA settled

A

Start date of the underlying period

85
Q

Reference rate for a USD IRS

A

ICE LIBOR

86
Q

Reference rate for an OIS Swap in EUR

A

EONIA

87
Q

In a plain vanilla swap, the fixed rate payer has simultaneously

A

Established the price sensitivity of a longer term fixed rate liability and a floating rate asset

88
Q

Overnight index swap

A

a fixed-floating swap in which the floating rate is an overnight index compounded daily

89
Q

How is a USD overnight indexed swap with a term of four months settled

A

2 days after the maturity date on a net basis

90
Q

6s v 9s FRA what rate do you use?

A

3 months rate - contract rate

91
Q

If the floating rate is higher than the fixed rate, who has to pay?

A

The seller of the swap

92
Q

A short EUR put/JPY call option gives

A

Your counterparty the right to sell EUR and buy JPY

93
Q

The seller of a CAP

A

Has to pay compensiation if the reference rate goes higher than the strike price

94
Q

What are the main risks in treasury

A

Market risk and credit risk

95
Q

What risks fall under credit risk

A
  1. Settlement risk
  2. Delivery risk
  3. Replacement risk
96
Q

What does ISDA stand for

A

International Swap and Derivatives Association

97
Q

Which risks are mitigated by a netting agreement

A

Settlement risk and replacement risk

98
Q

FATF

A

to combat Money laundering and terrorist financing

99
Q

Ladder maturity report

A
  1. Used to measure liquidity risk and interest rate risk.

2. A record that starts with the net open positions and runs off day by day to arrive at a zero balance

100
Q

Leaving an open position overnight, what risks are present?

A
  1. Settlement risk
  2. Counterparty risk
  3. Market risk
101
Q

Types of market risk

A
  1. Stock price risk
  2. Interest rate risk
  3. FX risk
  4. Commodity risk
  5. Liquidity risk
102
Q

What is the order for money laundering

A
  1. Placement
  2. Layering
  3. Integration
103
Q

Capital market is the general term for a financial market in which

A

medium to long-term debt and financial instruments and securities are traded

104
Q

What kind of system is the EURO1 system

A

A system where large value payments are processes individually and irrevocable but are settled at a net basis

105
Q

CLS bank onlye executes the settlement of what transactions

A

FX transactions

106
Q

If a deal is concluded through a broker, the responsibility for assessing the creditworthiness of the counterparty rests with

A

The principals

107
Q

In the weekend newspapers you read that one of your FX counterparties has defaulted. What is your risk if you have 1 FX forward deal outstanding

A

Replacement risk

108
Q

Examples of a function performed by middle office / product control

A
  1. P&L measurement

2. Validation of the imported rates

109
Q

Who has the responsibility to ensure the orderly functioning and integrity of fin. markets and the stability of the fin. system in the EU

A

EBA London

110
Q

NDF currencies

A

BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PHP, RUB, TWD

111
Q

If your trader has dealt a 6mnth USD/JPY swap selling and buying 10 mio USD you

A

Expect a credit statement on your JPY nostro account on the near date

112
Q

General initial margin means

A

a deposit amount per contract that is determined by the exchange

113
Q

Some large losses occurred in the past from derivatives because

A

Traders were able to embezzle their loss positions for a longer period of time

114
Q

A callable bond attribute a right to

A

the issuer to buy the bond back during the term at a pre-agreed price

115
Q

The purchase price of a coupon bond on a coupon date

A

is higher that its face value if its coupon rate is higher than its yield to maturity

ACI operations (11 decks)

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