References Mailings Review View Help Tell me what you want to do Q16) Use the following information about a hypothetical government security dealer named M. P. Jorgan Market yields are in parentheses, and amounts are in millions Liabilities and Equity Overnight repos Subordinated debt 7-year foxed rate (8.55%) $170 150 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 $ 10 75 75 50 100 25 $335 Equity Total abilities and equity 15 $335 2 Financial Institutions Chapter Eight a What is the repricing gap if the planning period is 30 days? 3 months? 2 years? Recall that cash is a non-interest-caring asset . What is the impact over the next 30 days on net interest income if interest rates increase 50 basis points? Decrease 75 basis points? c. The following one-year runoffs are expected $10 million for two-year Tnotes and $20 million for eight-year T-notes What is the one-vear repricing gap? d If runoffs are considered, what is the effect on net uiterest income at yearend if interest rate increase 30 basis point? Decrease basis ports? References Mailings Review View Help Tell me what you want to do Q16) Use the following information about a hypothetical government security dealer named M. P. Jorgan Market yields are in parentheses, and amounts are in millions Liabilities and Equity Overnight repos Subordinated debt 7-year foxed rate (8.55%) $170 150 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 $ 10 75 75 50 100 25 $335 Equity Total abilities and equity 15 $335 2 Financial Institutions Chapter Eight a What is the repricing gap if the planning period is 30 days? 3 months? 2 years? Recall that cash is a non-interest-caring asset . What is the impact over the next 30 days on net interest income if interest rates increase 50 basis points? Decrease 75 basis points? c. The following one-year runoffs are expected $10 million for two-year Tnotes and $20 million for eight-year T-notes What is the one-vear repricing gap? d If runoffs are considered, what is the effect on net uiterest income at yearend if interest rate increase 30 basis point? Decrease basis ports