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Free ACI 3I0-012 Exam Braindumps (page: 16)

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740 Questions & Answers
Page 16 of 186

Which statement about modern matched-maturity transfer pricing in banks is correct?

  1. It is now a widely accepted standard that banks should use a single representative transfer price across the entire maturity spectrum.
  2. Modern matched-maturity pricing systems include an additional liquidity surcharge that is specifically applied to more liquid short maturities.
  3. Matched-maturity transfer prices should represent a weighted average cost of capital that incorporates the cost of equity into the cost of borrowed funds.
  4. Modern matched-maturity systems differentiate transfer prices by the maturity of the commitment and also apply a marginal funding cost perspective.

Answer(s): D



Supervisors would generally consider interest rate risk exposure in the banking book excessive beginning at what level of losses given a +1- 200 bps market rate movement?

  1. > 2% of 6 months forward earnings
  2. > 20% of regulatory capital
  3. <10% of regulatory capital
  4. < 5% of 12 months forward earnings

Answer(s): B



Which one of the following statements is incorrect? Hedge accounting of an existing position no longer applies when:

  1. the trader acquires additional exposure in the hedged item.
  2. the hedging instrument is sold, terminated or exercised.
  3. the hedged item is sold or settled.
  4. a hedge fails the effectiveness test.

Answer(s): A



Which of the following is a function of asset and liability management (ALM)?

  1. coordinated limit management of a financial institution’s credit portfolio
  2. running a matched trading book
  3. monitoring credit quality of assets and establishing a early warning system
  4. managing the financial risk of the bank by protecting it from the adverse effects of changing interest rates

Answer(s): B






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