The balance sheet of A. G. Fredwards, a government security dealer, is listed below. Market yields are in parentheses, and amounts are in millions. 

 

         Assets                                                                 Liabilities and Equity

         Cash                                                    $20         Overnight repos                     $340

         1-month T-bills (7.05%)                     150         Subordinated debt

         3-month T-bills (7.25%)                     150         7-year fixed rate (8.55%)        300

         2-year T-notes (7.50%)                       100

         8-year T-notes (8.96%)                       200

         5-year munis (floating rate)

               (8.20% reset every 6 months)         50         Equity                                        30

         Total assets                                       $670         Total liabilities and equity    $670

 

a.   What is the repricing gap if the planning period is 30 days? 3 month days? 2 years? 

b.   What is the impact over the next three months on net interest income if interest rates on RSAs increase 50 basis points and on RSLs increase 60 basis points?

c. The following one-year runoffs are expected:  $10 million for two-year T-notes and $15million for eight-year T-notes. What is the one-year repricing gap?

d. If runoffs are considered, what is the effect on net interest income at year-end if interest rates on RSA rise 50 basis points and on RSL increase 75 basis points?