5. Market yields are in parentheses. 1 year UK LIBOR = 5.5%; 1 year US LIBOR = 6.35% Assets Liabilities and Equity Cash $385 Overnight repos $390 1-year US T-bills (6.85%) $250 1 year UK CD's (6.25%) 1-year UK Govt Bonds (6.5%) (140 @ $1.25 per ) $175 (80 @ $1.25 per ) $100 10-year UK floating notes 10-year US T-notes (7.15%) $355 (LIBOR +0.2% 252 10-year US floating munis @ $1.25 reset annually) $315 (LIBOR + 0.65% reset annually) $60 10-year fixed rate (7.45%) $100 Equity 170 Total assets $1,150 Total liabilities and equity $1,150 a) What is the repricing GAP for a one year maturity bucket? b) If interest rates rise on assets by 65 basis points and rise 35basis points on liabilities, what is the change in Net Interest Income (NII)? c) Is this change in Net Interest Income due to the Spread Effect or the CGAP Effect? d) Is BAC net long or net short? e) If the value of the changes to $1.58, what effect (1 or 1) will this have on (NII)? What if the = $1.03? 5. Market yields are in parentheses. 1 year UK LIBOR = 5.5%; 1 year US LIBOR = 6.35% Assets Liabilities and Equity Cash $385 Overnight repos $390 1-year US T-bills (6.85%) $250 1 year UK CD's (6.25%) 1-year UK Govt Bonds (6.5%) (140 @ $1.25 per ) $175 (80 @ $1.25 per ) $100 10-year UK floating notes 10-year US T-notes (7.15%) $355 (LIBOR +0.2% 252 10-year US floating munis @ $1.25 reset annually) $315 (LIBOR + 0.65% reset annually) $60 10-year fixed rate (7.45%) $100 Equity 170 Total assets $1,150 Total liabilities and equity $1,150 a) What is the repricing GAP for a one year maturity bucket? b) If interest rates rise on assets by 65 basis points and rise 35basis points on liabilities, what is the change in Net Interest Income (NII)? c) Is this change in Net Interest Income due to the Spread Effect or the CGAP Effect? d) Is BAC net long or net short? e) If the value of the changes to $1.58, what effect (1 or 1) will this have on (NII)? What if the = $1.03