Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) Assets Liabilities and Equity Cash $ 30 Overnight repos $ 241 1-month T-bills (7.25%) 115 Subordinated debt 3-month T-bills (7.45%) 115 7-year fixed (8.75%) 170 2-year T-notes (7.70%) 70 8-year T-notes (9.16%) 120 5-year munis (floating rate)
(8.40% reset every six month) 30 Equity 69 Total $ 480 Total $ 480 a.
What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a noninterest-earning asset.) (Enter your answers in millions. Negative amounts should be indicated by a minus sign.) Repricing Gap 30 days $ million 91 days million 2 years million b.
What is the impact over the next 30 days on net interest income if all interest rates rise by 70 basis points? (Input the amount as a positive value.) Net interest income will (Click to select)decreaseincrease by $ . c.
The following one-year runoffs are expected: $19 million for two-year T-notes, $29 million for the eight-year T-notes. What is the one-year repricing gap? (Enter your answer in millions.) One-year repricing gap $ million d.
If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise by 70 basis points? (Input the amount as a positive value.) Net interest income will (Click to select)decreaseincrease by $ .