Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

5. The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in millions. 1 year UK LIBOR = 5.85%; 1

image text in transcribed

5. The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in millions. 1 year UK LIBOR = 5.85\%; 1 year US LIBOR = 6.05\% a) What is the repricing GAP for a one year maturity bucket? b) If interest rates fall on assets by 60 basis points and fall 45 basis 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 for a one year maturity bucket? e) If the f changes to $1.63, what effect (or ) will this have on (NII)? What if f=$1.47 ? 5. The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in millions. 1 year UK LIBOR = 5.85\%; 1 year US LIBOR = 6.05\% a) What is the repricing GAP for a one year maturity bucket? b) If interest rates fall on assets by 60 basis points and fall 45 basis 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 for a one year maturity bucket? e) If the f changes to $1.63, what effect (or ) will this have on (NII)? What if f=$1.47

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Chains Of Finance How Investment Management Is Shaped

Authors: Diane-Laure Arjalies, Philip Grant, Iain Hardie, Donald MacKenzie, Ekaterina Svetlova

1st Edition

0198802943, 978-0198802945

More Books

Students also viewed these Finance questions