ACI-Operations Certificate Set 6

an agreement to exchange one stream of interest payments for another (fixed against floating) ✘ a fixed rate leg in one currency and a fixed rate leg in another currency ✘ two floating rate legs on different indexes ✘ an agreement to borrow and lend one currency for another at two different value dates ✔

The fixed rate and the floating rate payers know the cash value of their payments at the outset ✘ There is exchange of principal at the start and at the end of the swap ✘ Payment netting is only allowed through a third party ✘ The notional amount of the swap is generally not exchanged between counterparties ✔

A purchase of a cap and a sale of a cap at higher reference rate ✘ A purchase of a floor and a sale of a cap or vice versa ✘ A purchase of a cap and a purchase of a floor ✘ A purchase of a step-up cap and a sale of a step-down floor ✔

on the trade date ✘ on the maturity date of the FRA ✘ daily in accruals ✘ on the start date of the FRA ✔

an option traded in EUR ✘ an option which can be exercised at any time between the purchase and expiration date ✘ an option with premium payable only on its expiry date ✘ an option which can be exercised only at maturity ✔

the interest rate differential between the fixed and floating leg of the swap ✘ the brokerage fee for an interest rate swap transaction ✘ the payment made when a swap is terminated ✘ the difference between the swap rate and the benchmark government yield ✔

bears a risk limited to the premium paid ✘ bears a substantial risk ✘ bears a risk limited to the premium received ✘ bears no risk ✔

official prices calculated by the exchange at the close of trading for the purpose of making margin calculations ✘ official prices calculated by a panel of central banks ✘ official prices calculated by the central bank where the stock exchange is located ✘ never used ✔

reverse and cash trade ✘ cash and carry ✘ reverse cash and carry ✘ offset ✔

frequently purchased by issuers of floating rate debt ✘ frequently sold by issuers of floating rate debt ✘ frequently sold by issuers having an FX risk ✘ frequently purchased by issuers having an FX risk ✔