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% Assets Cash 1-year US T-bills (6.85%) 1-year UK Govt Bonds (6.5%) 1200 @ $1.50 per 1 10-year US T-notes (7.15%) 10-year US floating munis (LIBOR +0.65% reset annually) $245 Overnight repos $280 1year UK CD's (6.25%) (100 $1.50 per ) 10-year UK floating notes (LIBOR +0.2% 150 $150 $150 $300 $155 $1.50 reset annually) 10-year fixed rate (7.45%) $225 S200 45 $900 S50 Equity $900 Total liabilities and equity Total assets a. What is the repricing GAP for a one year maturity bucket? b. If interest rates rise on assets by 55 basis points and rise 40 basis points on liabilities, what is the change in Net Interest Income (NIn? 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 lf the value of the changes to $1.63, what effect (tor l) will this have on (N107 what if the $1.477