ACI Diploma Sample Questions
ACI Diploma Sample Questions
ACI Diploma Sample Questions
Sample Questions
1. Foreign Exchange
1.1 One month ago, you sold EUR 3-month outright against USD. However, now
you determine that you need the USD in one month. How can you roll back this
position?
A. You buy and sell 1-month EUR/USD & sell and buy 2-month EUR/USD ***
B. You sell and buy 1-month EUR/USD & buy and sell 2-month EUR/USD
C. You buy and sell 2-month EUR/USD & sell and buy 3-month EUR/USD
D. You sell and buy 2-month EUR/USD & buy and sell 3-month EUR/USD
1.2 Assume you buy and sell USD 10,000,000.00 against ZAR, spot against 3
months. Which of the following scenarios is the most profitable for your
position?
A. ZAR interest rates fall and USD interest rates remain unchanged ***
B. ZAR interest rates rise and USD interest rates remain unchanged
C. USD interest rates and ZAR interest rates remain unchanged
D. USD interest rates fall and ZAR interest rates remain unchanged
1.3 You have a short position in GBP for 6 months (180 days) at 7.25%.
The market is quoting:
3-month (90 days) Sterling CP 7.06%
3-month (90 days) USCP 4.96%
spot GBP/USD 1.6715
3-month (90 days) GBP/USD 80 / 76
What would be your 3x6 break-even rate after issuing USCP and converting
the proceeds through an FX swap into 3-month GBP?
A. 7.4313%
B. 7.3066%
C. 7.4385%
D. 7.3058% ***
2.1 How do you calculate the maturity amount in a sell / buy-back where the
collateral pays a coupon between start and end dates?
2.2 Rank the typical yields of the following financial instruments in the
international money market in decreasing order (from highest to lowest):
2.3 You repo out a CD with a face value of EUR 25,000,000.00, an original term to
maturity of 91 days and a coupon of 3.50% that has 51 days remaining to
maturity and is currently trading at 3.25%, for 2 weeks (14 days). You are
quoted a 2-week EUR repo rate of 2.90-95%. The buyer requires a Margin
Ratio of 105%. What are the cashflows in the repo?
3. Fixed Income
3.1 Other things being equal, which of the following bonds would show the largest
relative price increase given the same downward shift in the yield curve?
A. its coupon is 20 basis points less than the swap rate over the same term
B. its coupon is 20 basis points more than the swap rate over the same term
C. its yield is 20 basis points below the swap yield curve ***
D. its yield is 20 basis points above the swap yield curve
A. 1.84%
B. 1.91% ***
C. 1.79%
D. 1.95%
4. Derivatives
A. buy USD put / JPY call (strike 108.00) and sell USD put / JPY (call strike 106.00) ***
B. buy USD put / JPY call (strike 107.00) and buy USD call / JPY (put strike 107.00)
C. buy USD call / JPY put (strike 108.00) and sell USD call / JPY (put strike 110.00)
D. buy USD put / JPY call (strike 108.00) and sell USD put / JPY (call strike 110.00)
4.3 A long condor trade for MAR / JUN / SEP / DEC refers to:
4.5 On the last trading day of the MAR futures contract, you transact a 1-year EUR
money market swap on which you are receiving fixed against 3-month
EURIBOR. How would you hedge your position?
4.6 Three year USD fixed rate swaps are quoted at a spread of 50-55 over the 3
year U.S. Treasury rate, which is 4.05%. At what swap rate would a client pay
fixed on an annual bond basis?
A. 4.65 ***
B. 4.60
C. 3.53
D. 3.58
4.7 You are expecting a steepening of the yield curve. Which of the following
would be the most logical low-risk strategy?
A. USD 60,491.84
B. USD 56,425.17 ***
C. USD 58,458.33
D. USD 58,966.50
5. Market Analysis
5.2 What should rising interest rates theoretically imply for the external value of a
country’s currency according to interest rate parity?
A. A bearish moving average crossover occurs if the MACD moves above the trigger
B. A bullish moving average crossover occurs if the MACD moves below the trigger
C. Shorter moving averages produce quicker and more responsive indicators than longer
moving averages ***
D. The "standard" MACD is the difference between a 45-day and 5-day exponential moving
average (EMA)
6.1 What can be calculated internally by a bank under the A-IRB (Advanced
Internal Rating-Based) approach under the Basel II capital adequacy rules?
6.2 The VaR of asset A is 400 and the VaR of asset B is 300. What is the combined
VaR, assuming there is zero correlation between these two assets?
A. 700
B. 100
C. 500 ***
D. 0
6.3 Calculate the VaR10/99% of a EUR 5,000,000.00 single asset portfolio. The
annual volatility for this asset is 17%. Assume that changes follow a normal
distribution.
A. EUR 50,000.00
B. EUR 170,000.00
C. EUR 280,575.00
D. EUR 394,525.00 ***