QUESTION # 3 (10 MARKS)

11. Use the following information about IGI security dealer.Market yields are in parenthesis, and amounts are in millions.

Assets Liabilities and Equity

Cash $10 Overnight Repos $170

1 month T-bills (7.05%) 75 Subordinated debt

3 month T-bills (7.25%) 75 7-year fixed rate (8.55% 150

2 year T-notes (7.50%) 50

8 year T-notes (8.96%) 100

5 year munis (floating rate)

(8.20% reset every 6 months) 25 Equity 15

Total Assets $335 Total Liabilities & Equity $335

1. 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.
2. .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?
3. The following one-year runoffs are expected:$10 million for two-year T-notes, and $20 million for eight-year T-notes.What is the one-year repricing gap?
4. If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise 50 basis points?Decrease 75 basis points?