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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
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
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