Question 10 (18 marks) Use the following information about a hypothetical government security dealer named BBA Dealer to answer this question. Market yields are in parenthesis, and amounts are in millions. $170 Liabilities and Equity Overnight repos Subordinated debt 7-year fixed rate (8.55%) $10 75 75 50 100 Assets Cash 1-month T-bills (7.05%) 3-month T-bills (7.25%) 2-year business loans (7.50%) 8-year mortgage loans (8.96%) 5-year munis (floating rate) (8.20% reset every 6 months) Total assets 150 25 $335 Equity Total liabilities & equity 15 $335 30 days a) Determine the cumulative repricing gap if the planning period is: i. (4 marks) ii. 3 months (4 marks) iii. (4 marks) b) Let X be the last digital of your student ID and Y be the second last digital of your student ID. What is the impact over the next 30 days on net interest income if interest rates increase XY basis points? (If you student ID is 19999236S, XY will be 36). (6 marks) 2 years Question 10 (18 marks) Use the following information about a hypothetical government security dealer named BBA Dealer to answer this question. Market yields are in parenthesis, and amounts are in millions. $170 Liabilities and Equity Overnight repos Subordinated debt 7-year fixed rate (8.55%) $10 75 75 50 100 Assets Cash 1-month T-bills (7.05%) 3-month T-bills (7.25%) 2-year business loans (7.50%) 8-year mortgage loans (8.96%) 5-year munis (floating rate) (8.20% reset every 6 months) Total assets 150 25 $335 Equity Total liabilities & equity 15 $335 30 days a) Determine the cumulative repricing gap if the planning period is: i. (4 marks) ii. 3 months (4 marks) iii. (4 marks) b) Let X be the last digital of your student ID and Y be the second last digital of your student ID. What is the impact over the next 30 days on net interest income if interest rates increase XY basis points? (If you student ID is 19999236S, XY will be 36). (6 marks) 2 years