The interest rate exposures of a bank for its two repricing buckets and the use of...
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The interest rate exposures of a bank for its two repricing buckets and the use of derivatives during the time intervals are shown as following: 1-8 years 8-20 years beyond RSA RSL Equity Derivatives Interest rate Swap (notional) Periodic Dollar Gap 1 year or less 178,548 249,000 Puts -90,500 234,000 145,450 70,000 18,550 ... ... ... ... 95,000 a) For the repricing time interval of 1 year or less, identify how the puts on bond have been used (i.e. specify whether the puts are bought or sold for hedging against or speculation on a rising or falling interest rate)? b) For the repricing time interval of 1-8 years, what has the interest rate swap been used for (i.e. specify whether the swap is bought or sold for hedging against or speculation on a rising or falling interest rate)? The interest rate exposures of a bank for its two repricing buckets and the use of derivatives during the time intervals are shown as following: 1-8 years 8-20 years beyond RSA RSL Equity Derivatives Interest rate Swap (notional) Periodic Dollar Gap 1 year or less 178,548 249,000 Puts -90,500 234,000 145,450 70,000 18,550 ... ... ... ... 95,000 a) For the repricing time interval of 1 year or less, identify how the puts on bond have been used (i.e. specify whether the puts are bought or sold for hedging against or speculation on a rising or falling interest rate)? b) For the repricing time interval of 1-8 years, what has the interest rate swap been used for (i.e. specify whether the swap is bought or sold for hedging against or speculation on a rising or falling interest rate)?
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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