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Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition by Youssef F. Bissada, Jean Dermine

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Solution to Stage Seven

1:

Equity = present value of loan transaction

Break-even loan rate = R = 10.57%

‘Equity’ spread = loan rate – interbank rate = 10.57% – 10% = 0.57%

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