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please explain in details, thanks. Use the following information about a hypothetical government security dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts
please explain in details, thanks.
Use the following information about a hypothetical government security dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts are in millions. $10 $170 Liabilities and Equity Overnight Repos Subordinated debt 7-year fixed rate (8.55% 75 150 Assets Cash 1 month T-bills (7.05%) 3 month T-bills (7.25%) 2 year T-notes (7.50%) 8 year T-notes (8.96%) 5 year munis (floating rate) (8.20% reset every 6 months) Total Assets 75 50 100 13 25 $335 Equity Total Liabilities & Equity $335 a) What is the funding or repricing gap if the planning period is 30 days? 91 days? 2 years? Recall that cash is a noninterest-earning asset. (7.5 Marks) b) What is the impact over the next 30 days on net interest income if all interest rates rise 50 basis points? Decrease 75 basis points? (7.5 Marks)Step by Step Solution
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