Free ACI 002-101 Exam Questions

Become ACI Certified with updated 002-101 exam questions and correct answers

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Total 420 Questions | Updated On: Jan 10, 2025

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Question 1

You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 4.95%. How would you hedge the swap using FRAs? How to hedge an IRS with a strip of FRAs?

A : ll a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

B : y a strip of 6x12, 12x10 and 16x24 FRAs

C : y a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

D : ll a strip of 6x12, 12x18 and 18x24 FRAs

Answer: D

Question 2

What is the effect of netting?

A : reduce the size of the balance sheet

B : To reduce the number and size of payments and transfers

C : l of the above

D : reduce exposure to credit risk

Answer: C

Question 3

How can material divergences between the value of cash and collateral be managed in a documented sell/ buy-back?

A : rgin maintenance

B : ther of the above, but usually (b)

C : ther of the above, but usually (a)

D : -pricing

Answer: B

Question 4

The outright forward FX rate is not a function of which of the following?

A : edaycount

B : rket expectation

C : spot exchange rate

D : interest rates of the two currencies

Answer: B

Question 5

In a plain vanilla interest rate swap, the fixed-rate payer":"

A : established the price sensitivities of a longer-term fixed-rate asset and a floating-rate liability

B : established the price sensitivities of a longer-term fixed-rate liability and a floating-rate asset

C : pays floating in the swap

D : ceives fixed in the swap

Answer: B

Page: 1 / 84

Total 420 Questions | Updated On: Jan 10, 2025

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