Question 6 The interest rate exposures of a bank for its two repricing buckets and the use of derivatives during the time intervals are shown below: 1-3 years 3-5 years beyond 1 year or less 48,548 RSA 234,000 105,655 RSL 79,000 145,450 149,055 Equity 95,000 Derivatives Puts Futures 60,000 Interest rate Swap (notional) Actual Dollar Gap - 50,500 18,550 16,600 a) For the repricing time interval of 1 year or less, identify how the puts on bond have been used by specifying whether the puts are bought (or sold) for hedging against (or speculation on) a rising (or falling) interest rate? (i.e., you need to make three correct judgments that are consistent with each other) b) For the repricing time interval of 1-3 years, what have the bond futures been used for? (i.e., specify whether the bond futures have been bought or sold for hedging against or speculation on a rising or falling interest rate) c) For the repricing time interval of 3-5 years, how has the interest rate swap been used for? (Again, three judgments are needed as above) Question 6 The interest rate exposures of a bank for its two repricing buckets and the use of derivatives during the time intervals are shown below: 1-3 years 3-5 years beyond 1 year or less 48,548 RSA 234,000 105,655 RSL 79,000 145,450 149,055 Equity 95,000 Derivatives Puts Futures 60,000 Interest rate Swap (notional) Actual Dollar Gap - 50,500 18,550 16,600 a) For the repricing time interval of 1 year or less, identify how the puts on bond have been used by specifying whether the puts are bought (or sold) for hedging against (or speculation on) a rising (or falling) interest rate? (i.e., you need to make three correct judgments that are consistent with each other) b) For the repricing time interval of 1-3 years, what have the bond futures been used for? (i.e., specify whether the bond futures have been bought or sold for hedging against or speculation on a rising or falling interest rate) c) For the repricing time interval of 3-5 years, how has the interest rate swap been used for? (Again, three judgments are needed as above)