ACI vragen Flashcards
1
Q
Arranging the delivery of currency payments is a responsibility of
A
Operations
2
Q
Necessary on-boarding data
A
- Client contacts
- SSI and global settlement limits
- Confirmation methods
3
Q
CME group is an example of what
A
Clearing house
4
Q
Volatility
A
A statistical measure of price fluctuations as an annualised percentage
5
Q
Which departments should be involved if a new product is introduced
A
All relevant departments
6
Q
MT 340
A
Confirmation of a FRA (forward rate agreement)
7
Q
If a trade is incomplete, what is absolutely essential for processing the trade
A
Name of the counterparty and value date
8
Q
Trade confirmation
A
- Economic details: initial and final amount, rates
- Product information: currency, index
- Dates: trade date, initial day, final day
9
Q
Criteria to match an FX deal
A
- Counterparty
- Trade and value date
3, Amounts of currencies bought/sold - FX rate
10
Q
Value date
A
The date on which a financial transaction is settled
11
Q
Settlement date
A
The date on which a payment has to be made
12
Q
US domestic clearing system
A
CHIPS
13
Q
SIC System
A
RTGS-system Switzerland
14
Q
CHAPS closing time
A
4:20 pm London time
15
Q
TARGET2
A
Processing of individual payments in Europe
16
Q
EURO1
A
RTGS-system Europe
17
Q
European countries that do NOT participate in Target2
A
Czech republic and UK
18
Q
What is the name for the commonly used settlement process for securities
A
DVP
19
Q
Difference between TARGET and TARGET2
A
TARGET2 runs a single shared platform
20
Q
Principal functionalities of interbank funds transfer systems
A
Transfer of information and settlement
21
Q
MT210
A
Notice to receive
22
Q
Main advantages of CLS system
A
No settlement risk and high level of STP
23
Q
What is common for settelement of cross-border securities transactions
A
T+3
24
Q
The bridge
A
Euroclear and Clearstream hold accounts with each other
25
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
MT103 and MT202
26
Multilateral netting use of a
Clearing house
27
Message type that is not accepted by TARGET
MT210
28
Deadline for interbank payments through TARGET2
6 pm
29
Cash reconciliation report
1. cash forecasting
2. Cash positioning
3. Cash collateral management
30
Responsibilities position keeper
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
31
What interest rate compensation does the ECB give on balances equal to the minimal cash reserve requirement
The main refinancing rate
32
Loro account
account in the same currency held for a customer in a different country
33
Reconciliation evaluation criteria
Day's past settlement date, value and/or likely compensation
34
Arranging good value date
Changing the value date in a payment order
35
What does a recon matching system NOT produce
a list of all payments to wrong accounts
36
Ledger debit
You expected an incoming payment and the money is not yet transferred
37
What is the most important feature of brokerage reconciliation
That it should be performed promptly at month end prior to payment
38
Right order for SWIFT message
1. Basic Header Block
2. Applications Header Block
3. User Header Block
4. Text Block
5. Trailer Block
39
How many characters does a BIC code have?
8 or 11
40
MT 300
FX spot
41
MT 320
Money market deposit
42
BIC code
Worldwide code for both financial and non-financial institutions
43
How are accounting entries usually generated?
Based on a code profile held for each product type on a time event basis
44
What is an essential part of the securities dealing and processing part of a treasury system?
The custodian account reconciliation function
45
Where are interbank transfers/deposits cleared?
In the central bank of the currency area of the currency in which the transfer is denominated
46
Euro money market paper (euro bond)
Fixed-rate security that is issued outside the currency area of the issued currency
47
For which product is the issue price calculated as a discounted amount (i.e. present value)
All US domestic paper (USCP, US T-bills and Commercial and bank bills) except USCD
48
Currencies with daycount convention act/365
GBP, NZD, AUD, SGD, CAD, HKD, ZAR
49
Convention for terms longer than 4 weeks
Modified following
50
What convention is used for a straight 3mnth EUR deposit
End of Month (EOM) convention
51
When is the interest paid for a deposit > 1 year
Paid annualy and at maturity
52
Collateral pool
Pool of assets available to the system as collateral to obtain funds
53
Which instruments are used for liquidity purposes
Money market deposits and FX swaps
54
With what product can you refinance a short position
Repo (selling bonds and agreeing to buy back at a future date) or borrowing money
55
What convention is used for a 1 week repo
Following even if it's past month end
56
What kind of rate does a minimax (collared) FRN have?
Floating rate in which the rate can fluctuate within a pre-agreed range
57
What are commonly used yield curves
Money market for short term, government bonds for longer term
58
Regular issues of US T-bills
4, 13, 26 and 52 weeks
59
Final proceeds of CD
Face value + interest
60
Junk bond
Sub-investment grade bond lower than BBB-
61
Settlement amount of a bond
Calculated by the sum of its clean price and accrued interest
62
Redemption premium
A pre-agreed amount that the holder of a bond receives if the issues calls the bond during the term
63
If a bond trades at a discount this means that
The coupon of the bond is lower than the current market yield for the same term
64
Regular issues UK T-bill (vraag 14)
3, 6, 9 and 12 months
65
What product is non-negotiable (non-tradable)
Deposits
66
The yield of a FRN (Floating Rate Note) is determined by
The level of the short-term interest rates
67
What is typical for an FX Forward transaction
1. Not cash settled
2. Settlement risk
3. Market risk
4. Settlement on a day later than spot date
68
If you need to buy you will be quoted
the ask rate
69
If you need to sell you will be quoted
the bid rate
70
If the interest rate of the base currency is lower than the interest rate of the counter currency
then the FX forward rate is higher than the FX spot rate
71
What are applications for FX swaps
1. Reducing credit risk
| 2. arbitraging between the interest rate diff in the money markets and the swap points
72
What are applications for FX swaps
1. Reducing credit risk
| 2. arbitraging between the interest rate diff in the money markets and the swap points
73
Exchange Delivery Settlement Price (EDSP)
Determines the final variation margin.
74
CAP is a series of
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
When is the premium for most option paid
Start of the contract term; 2 business days after the trade date
76
Fixed for floating, what do you do?
Sell an IRS
77
Floating for fixed, what do you do?
Buy an IRS
78
Asset swap
A combination of a BOUGHT fixed rate bond and an IRS in which you pay fixed and receive floating
79
Spread in IRS
The different between the yield in gov. bonds and the fixed rate of an IRS
80
Examples of CFD's (contract for difference)
FRA and NDF; these are cash settled
81
Maintenance margin
1. Minimum balance that has to be held on a margin account
| 2. Determined as percentage of the initial margin
82
Examples of money market derivatives
FRAs (OTC) and STIR futures (exchange traded)
83
Delta (hedge ratio) in respect to options
ration between the change in the option price compared and the change in the price of the underlying instrument
84
When is a FRA settled
Start date of the underlying period
85
Reference rate for a USD IRS
ICE LIBOR
86
Reference rate for an OIS Swap in EUR
EONIA
87
In a plain vanilla swap, the fixed rate payer has simultaneously
Established the price sensitivity of a longer term fixed rate liability and a floating rate asset
88
Overnight index swap
a fixed-floating swap in which the floating rate is an overnight index compounded daily
89
How is a USD overnight indexed swap with a term of four months settled
2 days after the maturity date on a net basis
90
6s v 9s FRA what rate do you use?
3 months rate - contract rate
91
If the floating rate is higher than the fixed rate, who has to pay?
The seller of the swap
92
A short EUR put/JPY call option gives
Your counterparty the right to sell EUR and buy JPY
93
The seller of a CAP
Has to pay compensiation if the reference rate goes higher than the strike price
94
What are the main risks in treasury
Market risk and credit risk
95
What risks fall under credit risk
1. Settlement risk
2. Delivery risk
3. Replacement risk
96
What does ISDA stand for
International Swap and Derivatives Association
97
Which risks are mitigated by a netting agreement
Settlement risk and replacement risk
98
FATF
to combat Money laundering and terrorist financing
99
Ladder maturity report
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
Leaving an open position overnight, what risks are present?
1. Settlement risk
2. Counterparty risk
3. Market risk
101
Types of market risk
1. Stock price risk
2. Interest rate risk
3. FX risk
4. Commodity risk
5. Liquidity risk
102
What is the order for money laundering
1. Placement
2. Layering
3. Integration
103
Capital market is the general term for a financial market in which
medium to long-term debt and financial instruments and securities are traded
104
What kind of system is the EURO1 system
A system where large value payments are processes individually and irrevocable but are settled at a net basis
105
CLS bank onlye executes the settlement of what transactions
FX transactions
106
If a deal is concluded through a broker, the responsibility for assessing the creditworthiness of the counterparty rests with
The principals
107
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
Replacement risk
108
Examples of a function performed by middle office / product control
1. P&L measurement
| 2. Validation of the imported rates
109
Who has the responsibility to ensure the orderly functioning and integrity of fin. markets and the stability of the fin. system in the EU
EBA London
110
NDF currencies
BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PHP, RUB, TWD
111
If your trader has dealt a 6mnth USD/JPY swap selling and buying 10 mio USD you
Expect a credit statement on your JPY nostro account on the near date
112
General initial margin means
a deposit amount per contract that is determined by the exchange
113
Some large losses occurred in the past from derivatives because
Traders were able to embezzle their loss positions for a longer period of time
114
A callable bond attribute a right to
the issuer to buy the bond back during the term at a pre-agreed price
115
The purchase price of a coupon bond on a coupon date
is higher that its face value if its coupon rate is higher than its yield to maturity
