The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in...

 

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The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in millions. I 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%) (£200 @ $1.50 per £) 10-year US T-notes (7.15%) 10-year US floating munis (LIBOR + 0.65% reset annually) $50 $245 $150 $300 $155 Liabilities and Equity Overnight repos 1 year UK CD's (6.25%) (£100 @ $1.50 per £) 10-year UK floating notes (LIBOR +0.2 % £150 $280 $150 @ $1.50 reset annually) 10-year fixed rate (7.45%) Equity Total assets $900 Total liabilities and equity a) What is the repricing GAP for a one year maturity bucket? 13. 664 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 (NII)? C) Is this change in Net Interest Income due to the Spread Effect or the CGAP Effect? THEY HAVE A NEGATION d) Is BAC net long or net short for a one year maturity bucket? camp. e) $225 $200 45 $900 If the value of the £ changes to $1.63, what effect (Tor) will this have on (NII)? What if the £ = $1.47? IF you GO TO 58 to 1.63 THEN YOUR The balance sheet of BAC is listed below. Market yields are in parentheses. Amounts are in millions. I 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%) (£200 @ $1.50 per £) 10-year US T-notes (7.15%) 10-year US floating munis (LIBOR + 0.65% reset annually) $50 $245 $150 $300 $155 Liabilities and Equity Overnight repos 1 year UK CD's (6.25%) (£100 @ $1.50 per £) 10-year UK floating notes (LIBOR +0.2 % £150 $280 $150 @ $1.50 reset annually) 10-year fixed rate (7.45%) Equity Total assets $900 Total liabilities and equity a) What is the repricing GAP for a one year maturity bucket? 13. 664 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 (NII)? C) Is this change in Net Interest Income due to the Spread Effect or the CGAP Effect? THEY HAVE A NEGATION d) Is BAC net long or net short for a one year maturity bucket? camp. e) $225 $200 45 $900 If the value of the £ changes to $1.63, what effect (Tor) will this have on (NII)? What if the £ = $1.47? IF you GO TO 58 to 1.63 THEN YOUR

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a The repricing GAP for a one year maturity bucket RSA 15030050 500 RSL 28015... View the full answer