Question
Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.) Assets Liabilities and
Use the following information about a hypothetical government security dealer named J.P. Groman. (Market yields are in parentheses; amounts are in millions.)
Assets | Liabilities and Equity | ||||
Cash | $ | 16 | Overnight repos | $ | 187 |
1-month T-bills (7.11%) | 87 | Subordinated debt | |||
3-month T-bills (7.31%) | 87 | 7-year fixed (8.61%) | 156 | ||
2-year T-notes (7.56%) | 56 | ||||
8-year T-notes (9.02%) | 106 | ||||
5-year munis (floating rate) (8.26% reset every six month) | 31 | Equity | 40 | ||
Total | $ | 383 | Total | $ | 383 |
a. | What is the repricing or funding gap if the planning period is 30 days? 91 days? 2 years? (Recall that cash is a noninterest-earning asset.)
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